📊 Earnings Strategy · COMPOUND BACKTEST · Unlimited BP
Sizing: % equity per trade (compounds). No BP cap. Period: 2024-04-19 → 2026-04-01 (1.9y)
📈 COMPOUND RESULT
$10,000 → $24,919 (+149%)
CAGR +59.7%/yr · WR 74.8% · Sharpe 5.73 · MaxDD -5.1% · 515 trades
🚀 Compound vs fixed-$ sizing: +182% vs +95% (87 п.п. лучше за тот же период)
CAGR
+59.7%
compounded yearly
Total Return
+149%
$+14,919
Sharpe (daily)
5.73
ann · WR 74.8%
📈 Equity Curve (Compound)
Drawdown %
Position Size $ over time (scales with equity)
📐 Tier Sizing Schedule
Sizing % per trade scales gently with equity. BP unlimited — no concurrent cap. Compounds naturally.
T0 · $10K – $25K
Per-trade size range: $600 – $1.5K
6.00%
T0a · $25K – $50K
Per-trade size range: $1.6K – $3.1K
6.25%
T0b · $50K – $100K
Per-trade size range: $3.3K – $6.5K
6.50%
T1 · $100K – $300K
Per-trade size range: $6.7K – $20K
6.67%
T2 · $300K – $1M
Per-trade size range: $21K – $70K
7.00%
T3 · $1M – $5M
Per-trade size range: $75K – $375K
7.50%
T4 · $5M – $25M
Per-trade size range: $425K – $2.1M
8.50%
T5 · $25M – $100M
Per-trade size range: $2.25M – $9M
9.00%
T6 · $100M+
Per-trade size range: $9.5M+
9.50%
Tiers actually hit during backtest
| Tier | N trades | WR | Avg equity | Avg size | Σ PnL |
|---|
| T0 ($10-25K) | 515 | 74.8% | $17,709 | $1,063 | +$14,919 |
🔮 Forward Projection (extrapolate CAGR 59.7%)
Starting from end of backtest $24,919. Naive — assumes edge stable, no liquidity ceiling, no regime change.
⚠️ Reality checks для проекции:
- На $5M+ начнётся liquidity ceiling: размеры >0.3% ADV дают slippage. Mid-caps станут недоступны.
- Для тикеров <$10B mcap при $5M equity → нельзя $400K на сделку. Нужен per-ticker liquidity cap.
- Edge может decay: за 2 года 2024-26 был bull regime + AI hype. В bear/risk-off win rates просядут.
- На $10M+ нужна разработка — добавить новые setups чтобы не упереться в N capacity.
📋 4 Сетапа (final)
S1_LONG_gap>+10%_callheavy
gap > +10% AND pc_oi=call_heavy
Heavy call OI + большой gap up = bullish institutional setup. На MOO продолжение.
87.3%
N=55 · mean +1.89% · Σ$+1,111
S2_LONG_gap>+10%_ttnlow
gap > +10% AND ttn_vol=low
Quiet gap up без шума новостей = clean breakout. Часто quiet ralliers.
84.4%
N=45 · mean +1.99% · Σ$+1,254
S3_SHORT_gap<-10%_ttnnews
gap < -10% AND ttn_vol IN (mid,high)
Большой gap down + много негатива = panic continues to MOO.
74.4%
N=160 · mean +2.85% · Σ$+4,341
S4_SHORT_gap=-10..-5_ttnnews
gap = -10..-5% AND ttn_vol IN (mid,high)
⭐ Workhorse — самый прибыльный (Σ$298K). Mild gap down + новости = недостаточно паники чтобы выкупить.
70.6%
N=255 · mean +3.52% · Σ$+8,214
⏰ Daily Playbook
1
17:00 ET (накануне): earnings cron — список AMC отчитавшихся (~15-25)
2
06:00: PM data pull + список BMO отчитавшихся (~10-20)
3
08:00: screener считает gap, ttn_vol, pc_oi для каждого тикера
4
08:14: screener подсвечивает тикеры где сработал любой setup. Вычисляет SIZE = current_equity × tier_pct
5
08:15: limit orders по каждому matched тикеру (БП unlimited — берёшь всех)
6
09:29: финальная проверка fills, MOO close orders
7
09:30: auto-exit MOO. Готово.
⚠️ STOP RULES:
- 3 убытка подряд за день → стоп до конца дня
- DD дня > -2% капитала → стоп
- FOMC/CPI/NFP days → 50% sizing
- На больших equity ($5M+) — per-ticker liquidity cap (max 0.3% ADV)
💡 SCALING NOTES:
- На каждом TIER пересматривай % sizing вверх (но осторожно)
- При DD >10% → откатить к предыдущему TIER на 1 месяц
- Каждые 6 месяцев — re-validate edge на свежих данных (walk-forward)
- $10M+ → time to add new strategies (не expand current beyond capacity)
📊 Performance Tables
By Sector (top 8)
| Sector | N | WR | Mean% | Σ PnL |
|---|
| Technology | 206 | 72.3% | +3.70 | +$6,556 |
| Communications | 58 | 75.9% | +4.87 | +$2,848 |
| Financials | 35 | 80.0% | +4.25 | +$1,585 |
| Consumer Discretionary | 98 | 73.5% | +0.64 | +$918 |
| Consumer Staples | 26 | 69.2% | +3.27 | +$877 |
| Industrials | 40 | 72.5% | +1.65 | +$633 |
| Health Care | 26 | 88.5% | +2.36 | +$590 |
| Energy | 13 | 76.9% | +3.15 | +$471 |
By Mcap
| Mcap | N | WR | Mean% | Σ PnL |
|---|
| <2B | 515 | 74.8% | +3.01 | +$14,919 |
Monthly PnL (compound)
| Month | N | WR | PnL | Equity end |
|---|
| 2024-04 | 9 | 0.0% | $+603 | $10,603 |
| 2024-05 | 41 | 0.0% | $+1,269 | $11,873 |
| 2024-06 | 4 | 0.0% | $+94 | $11,966 |
| 2024-07 | 14 | 0.0% | $-331 | $11,635 |
| 2024-08 | 31 | 0.0% | $+1,850 | $13,484 |
| 2024-09 | 10 | 0.0% | $+104 | $13,588 |
| 2024-10 | 26 | 0.0% | $+398 | $13,985 |
| 2024-11 | 29 | 0.0% | $+1,072 | $15,057 |
| 2024-12 | 9 | 0.0% | $+53 | $15,110 |
| 2025-01 | 13 | 0.0% | $+1,007 | $16,117 |
| 2025-02 | 52 | 0.0% | $+840 | $16,957 |
| 2025-03 | 17 | 0.0% | $+264 | $17,221 |
| 2025-04 | 19 | 0.0% | $+1,270 | $18,491 |
| 2025-05 | 33 | 0.0% | $+671 | $19,162 |
| 2025-06 | 8 | 0.0% | $+7 | $19,169 |
| 2025-07 | 23 | 0.0% | $+456 | $19,625 |
| 2025-08 | 44 | 0.0% | $+1,039 | $20,664 |
| 2025-09 | 4 | 0.0% | $+21 | $20,685 |
| 2025-10 | 29 | 0.0% | $+2,101 | $22,786 |
| 2025-11 | 35 | 0.0% | $+471 | $23,258 |
| 2025-12 | 10 | 0.0% | $+365 | $23,623 |
| 2026-01 | 7 | 0.0% | $+4 | $23,627 |
| 2026-02 | 41 | 0.0% | $+836 | $24,463 |
| 2026-03 | 11 | 0.0% | $+446 | $24,909 |
| 2026-04 | 1 | 0.0% | $+11 | $24,919 |
Top 10 days
| Date | N | PnL | Equity |
|---|
| 2025-10-22 | 2 | +$1,143 | $21,959 |
| 2025-01-30 | 6 | +$951 | $16,150 |
| 2024-08-01 | 7 | +$821 | $12,455 |
| 2025-04-16 | 1 | +$777 | $17,998 |
| 2024-08-07 | 6 | +$704 | $13,219 |
| 2024-11-08 | 6 | +$689 | $14,840 |
| 2024-05-01 | 7 | +$650 | $11,253 |
| 2024-04-19 | 1 | +$540 | $10,540 |
| 2025-10-30 | 8 | +$466 | $22,742 |
| 2025-08-06 | 8 | +$416 | $20,433 |
Worst 10 days
| Date | N | PnL | Equity |
|---|
| 2024-07-26 | 2 | $-612 | $11,647 |
| 2025-11-07 | 7 | $-114 | $22,954 |
| 2025-06-06 | 3 | $-100 | $19,098 |
| 2025-08-13 | 1 | $-61 | $20,605 |
| 2025-03-07 | 3 | $-52 | $17,029 |
| 2025-01-27 | 1 | $-51 | $15,137 |
| 2025-05-27 | 1 | $-46 | $18,980 |
| 2024-12-04 | 1 | $-44 | $15,007 |
| 2025-02-13 | 5 | $-43 | $16,415 |
| 2024-05-03 | 2 | $-37 | $11,364 |