📊 Earnings v7 · CLEAN (no look-ahead, no overfit)
Pattern-based setups · split-clean (|ret|<15%) · entry-time gap · 1.95y · $10,000 → $18,354
📈 CLEAN BACKTEST (от $10K, BP unlimited)
$10,000 → $18,354 (+83.5%)
CAGR +36.4%/yr · WR 60.8% · Sharpe daily 6.88 · MaxDD -1.47% · 1259 trades
⚠ Look-ahead version was +237% CAGR 86.8% — БЫЛО завышено в 2.6x. Реальная стратегия = 36% CAGR.
📈 Equity Curve
Drawdown %
📋 Финальные сетапы (CLEAN)
P1 — LONG_BIAS · LONG @ 08:15 → MOO
IF ticker.pattern IN ('LONG_KING', 'long_lean') → LONG @ 0815, exit MOO
N = 314
WR = 63.1%
Mean = +1.12%
Sharpe = +5.60
Σ PnL = $+2,819
49 LONG_BIAS тикеров (LONG_KING=12, long_lean=37): WELL, ENPH, BSX, RMBS, NVT, BROS, FOXA, HPQ, BSY, CTSH, IOT, CTVA, BIIB, и т.д.
P2 — SHORT_BIAS · SHORT @ 08:00 → MOO
IF ticker.pattern IN ('SHORT_KING', 'short_lean') → SHORT @ 0800, exit MOO
N = 963
WR = 59.7%
Mean = +0.72%
Sharpe = +3.71
Σ PnL = $+5,136 (62% всего PnL)
158 SHORT_BIAS тикеров (SHORT_KING=83, short_lean=75): NFLX, BDX, CMCSA, NOW, LRCX, ORLY, FAST, HON, WDC, MMM, TRP, FTV, и т.д.
P3 — MIXED + GUIDANCE crash · SHORT @ 09:00 → MOO
IF pattern='mixed' AND gap_at_0900 < -10% AND has_guidance → SHORT @ 0900
N = 64
WR = 67.2%
Mean = +0.72%
Sharpe = +4.95
Σ PnL = $+461
Для 305 mixed тикеров — отдельный фильтр по guidance cut + crash.
🚫 Что НЕ работает (после очистки)
Удалены/инвертированы:
- Все S1-S9 setups с gap_to_moo — это был look-ahead bias (gap считался от MOO open = из будущего)
- S2 LONG_ttnlow @ 06:15 (было Sh 20.37) — clean = Sh -6.49 ❌
- S1 LONG callheavy (было Sh 11.95) — clean = Sh -9.17 ❌
- S9 LONG pcvol (было Sh 11.84) — clean = Sh -7.00 ❌
- MIXED tickers ANY direction universal — Sharpe negative обе стороны
- P4 callskew SHORT N=16 → дропнут
- 9 split artifact trades (NFLX, IBKR, NOW, SMCI, LRCX, ANET, PANW) — давали 45% фейкового PnL
✅ Что осталось РЕАЛЬНЫМ edge'ом:
- LONG_BIAS тикеры (49 штук) — LONG @ 08:15 work consistently
- SHORT_BIAS тикеры (158 штук) — SHORT @ 08:00 work consistently
- MIXED + guidance crash — узкий, но WR 67%
- Тикер pattern (5y MOO history) = НЕ look-ahead — это историческая статистика
⏰ Daily Playbook (final)
1
17:00 ET (накануне): AMC reports → ~20 имён
2
06:00: PM data + BMO reports → загружаем PM bars
3
07:55: Screener: для каждого ticker определи pattern (из 5y файла)
4
08:00: ★ Entry P2 (SHORT_BIAS → SHORT) для тикеров pattern IN (SHORT_KING, short_lean)
5
08:15: ★ Entry P1 (LONG_BIAS → LONG) для тикеров pattern IN (LONG_KING, long_lean)
6
09:00: Entry P3 (MIXED + gap_dn>10% + has_guidance → SHORT)
7
09:30: ALL exit MOO (auto)
💰 PnL Breakdown
| Setup | N | WR | Mean | Σ PnL |
|---|
| P2_SHORT_BIAS | 868 | 59.9% | +0.72% | $+5,136 |
| P1_LONG_BIAS | 312 | 63.1% | +1.12% | $+2,819 |
| P3_MIXED_guidance_crash | 64 | 67.2% | +0.72% | $+461 |
| P4_MIXED_callskew_dn | 15 | 33.3% | -0.48% | $-62 |
🏆 Top 10 Winners (real trades)
| Date | Ticker | Pattern | Setup | Side | Entry | Exit | Ret | PnL |
|---|
| 2026-02-12 | BAX | SHORT_KING | P2_SHORT_BIAS | SHORT | $22.56 | $19.52 | +13.35% | $+140 |
| 2026-02-10 | SPGI | long_lean | P1_LONG_BIAS | LONG | $373.74 | $418.97 | +11.97% | $+125 |
| 2025-04-03 | LW | long_lean | P1_LONG_BIAS | LONG | $52.11 | $59.94 | +14.90% | $+123 |
| 2025-10-23 | UL | LONG_KING | P1_LONG_BIAS | LONG | $63.48 | $71.06 | +11.80% | $+113 |
| 2025-01-30 | TER | SHORT_KING | P2_SHORT_BIAS | SHORT | $119.90 | $102.00 | +14.80% | $+112 |
| 2025-07-24 | HON | SHORT_KING | P2_SHORT_BIAS | SHORT | $242.00 | $213.04 | +11.84% | $+105 |
| 2025-04-24 | UL | LONG_KING | P1_LONG_BIAS | LONG | $63.97 | $71.85 | +12.19% | $+102 |
| 2025-07-31 | UL | LONG_KING | P1_LONG_BIAS | LONG | $59.53 | $66.26 | +11.18% | $+100 |
| 2025-02-06 | HON | SHORT_KING | P2_SHORT_BIAS | SHORT | $231.99 | $202.57 | +12.55% | $+97 |
| 2025-02-13 | UL | LONG_KING | P1_LONG_BIAS | LONG | $55.59 | $62.25 | +11.84% | $+95 |
📉 Top 10 Losers
| Date | Ticker | Pattern | Setup | Side | Entry | Exit | Ret | PnL |
|---|
| 2025-10-31 | RKT | long_lean | P1_LONG_BIAS | LONG | $17.19 | $16.18 | -6.01% | $-60 |
| 2025-10-29 | CAT | short_lean | P2_SHORT_BIAS | SHORT | $525.49 | $558.18 | -6.35% | $-62 |
| 2026-02-26 | STLA | short_lean | P2_SHORT_BIAS | SHORT | $7.70 | $8.13 | -5.71% | $-62 |
| 2025-10-21 | RTX | short_lean | P2_SHORT_BIAS | SHORT | $160.88 | $171.81 | -6.92% | $-66 |
| 2025-10-29 | FTV | SHORT_KING | P2_SHORT_BIAS | SHORT | $51.35 | $54.92 | -7.08% | $-69 |
| 2025-11-05 | LITE | SHORT_KING | P2_SHORT_BIAS | SHORT | $204.50 | $218.50 | -6.98% | $-69 |
| 2025-05-12 | NRG | short_lean | P2_SHORT_BIAS | SHORT | $127.00 | $137.00 | -8.00% | $-69 |
| 2025-10-22 | APH | SHORT_KING | P2_SHORT_BIAS | SHORT | $126.10 | $135.35 | -7.47% | $-71 |
| 2025-07-30 | TER | SHORT_KING | P2_SHORT_BIAS | SHORT | $96.97 | $105.73 | -9.16% | $-82 |
| 2026-02-05 | CARR | short_lean | P2_SHORT_BIAS | SHORT | $59.00 | $64.61 | -9.64% | $-100 |
📅 Monthly PnL
| Month | N | PnL | Equity |
|---|
| 2024-04 | 50 | $+303.97 | $10,304 |
| 2024-05 | 76 | $+355.76 | $10,660 |
| 2024-06 | 8 | $+55.79 | $10,716 |
| 2024-07 | 62 | $+291.01 | $11,007 |
| 2024-08 | 78 | $+375.25 | $11,382 |
| 2024-09 | 10 | $+39.51 | $11,421 |
| 2024-10 | 89 | $+426.89 | $11,848 |
| 2024-11 | 75 | $+373.83 | $12,222 |
| 2024-12 | 17 | $+193.34 | $12,415 |
| 2025-01 | 44 | $+314.69 | $12,730 |
| 2025-02 | 109 | $+963.98 | $13,694 |
| 2025-03 | 28 | $+113.50 | $13,808 |
| 2025-04 | 56 | $+567.77 | $14,375 |
| 2025-05 | 94 | $+236.31 | $14,612 |
| 2025-06 | 12 | $+83.83 | $14,695 |
| 2025-07 | 80 | $+451.81 | $15,147 |
| 2025-08 | 84 | $+504.89 | $15,652 |
| 2025-09 | 13 | $+226.81 | $15,879 |
| 2025-10 | 97 | $+744.55 | $16,624 |
| 2025-11 | 80 | $+12.04 | $16,636 |
| 2025-12 | 12 | $+137.13 | $16,773 |
| 2026-01 | 47 | $-2.27 | $16,770 |
| 2026-02 | 119 | $+1,457.42 | $18,228 |
| 2026-03 | 25 | $+151.60 | $18,379 |
| 2026-04 | 2 | $-25.01 | $18,354 |