📊 Earnings Master v6 · 9 Setups · Timing 05:00→MOO · Trends · Pattern Filter · Compound

Period: 2024-04-17 → 2026-04-01 (1.95y, 3,930 events). Start $10,000 → $33,735

📈 BACKTEST RESULT (Pattern Filter + Compound from $10K)

$10,000 → $33,735 (+237%)

CAGR +86.8%/yr · WR 75.8% · Sharpe daily 5.53 · MaxDD -0.54% · 446 trades · BP unlimited

CAGR

+86.8%

compound

Total Return

+237%

$+23,735

Sharpe daily

5.53

WR 75.8%

Max DD

-0.54%

$-169

📈 Equity Curve · от $10K

Drawdown %

📋 9 Setups · Best Entry Time (scan 05:00→09:24)

Each setup tested at 19 entry times. Bold time = best Sharpe.

#	Setup	Side	Rule	Best time	N	WR	Mean	Sharpe	Why
🔥	S2_LONG_gap>+10%_ttnlow	LONG	gap>+10% AND ttn_vol=low	0615	38	86.8%	+8.31%	+20.37	Тихий gap_up без шума = clean breakout
🔥	S1_LONG_gap>+10%_callheavy_OI	LONG	gap>+10% AND pc_oi=call_heavy	0800	54	87.0%	+2.90%	+11.98	Heavy call OI + большой gap_up = bullish positioning, продолжение к MOO
🔥	S9_LONG_gap>+10%_PCVOL_callheavy	LONG	gap>+10% AND pc_vol=call_heavy	0500	30	80.0%	+5.16%	+11.84	NEW: PC vol + gap up = momentum, особенно в low/high vol
🔥	S5_SHORT_gap<-10%_GUIDANCE	SHORT	gap<-10% AND has_guidance	0500	60	75.0%	+3.31%	+10.55	NEW: guidance cut = managers сами признают плохое FQ
⭐	S3_SHORT_gap<-10%_ttnnews	SHORT	gap<-10% AND ttn_vol IN (mid,high)	0500	63	77.8%	+3.67%	+9.10	Большой gap_dn + новости = panic continues
⭐	S7_SHORT_gap<-5%_callskew	SHORT	gap<-5% AND iv_skew=call_skew_strong	0545	44	79.5%	+9.62%	+6.84	NEW: hedgers покупают коллы как страховку = unwind на MOO
⭐	S8_SHORT_gap<-5%_PCVOL_callheavy	SHORT	gap<-5% AND pc_vol=call_heavy	0530	171	78.9%	+4.66%	+6.64	NEW: intraday options flow на коллы = short squeeze setup → fade to MOO
⭐	S4_SHORT_gap=-10..-5_ttnnews	SHORT	gap=-10..-5% AND ttn_vol IN (mid,high)	0615	205	72.7%	+4.69%	+5.46	⭐ Workhorse — недостаточно паники чтобы выкупить
⭐	S6_SHORT_gap<-5%_ANALYST	SHORT	gap<-5% AND has_analyst	0530	271	70.8%	+4.50%	+5.01	NEW: analyst downgrade = постепенно эскалирует

⏰ Full Timing Scan (per setup)

All 19 entry times × 9 setups. Marked ★ = best Sharpe.

S1_LONG_gap>+10%_callheavy_OI (LONG)

Time	N	WR	Mean	Sharpe
0515	30	73.3%	+4.65%	+11.00
0530	35	77.1%	+4.41%	+11.06
0545	34	70.6%	+4.16%	+10.24
0615	36	61.1%	+2.70%	+6.49
0630	40	65.0%	+2.85%	+7.21
0645	42	69.0%	+3.47%	+8.63
0700	45	82.2%	+4.16%	+10.96
0715	53	83.0%	+3.40%	+11.42
0730	53	83.0%	+2.94%	+11.01
0745	52	78.8%	+2.88%	+11.07
0800 ★	54	87.0%	+2.90%	+11.98
0815	55	87.3%	+1.89%	+11.95
0830	55	81.8%	+1.56%	+10.73
0845	55	76.4%	+1.19%	+7.91
0900	38	63.2%	+0.62%	+5.93
0915	53	62.3%	+0.47%	+3.56
0924	53	56.6%	+0.34%	+3.35

S2_LONG_gap>+10%_ttnlow (LONG)

Time	N	WR	Mean	Sharpe
0515	40	90.0%	+6.73%	+6.77
0530	46	91.3%	+7.28%	+7.80
0545	41	90.2%	+6.88%	+7.05
0615 ★	38	86.8%	+8.31%	+20.37
0630	43	86.0%	+4.92%	+5.19
0645	49	87.8%	+5.50%	+6.13
0700	48	85.4%	+6.59%	+15.89
0715	53	86.8%	+5.69%	+15.58
0730	54	87.0%	+5.11%	+14.96
0745	54	81.5%	+3.24%	+3.93
0800	57	84.2%	+3.36%	+4.16
0815	57	86.0%	+2.27%	+2.83
0830	57	75.4%	+1.35%	+1.70
0845	57	75.4%	+0.62%	+0.81
0900	45	73.3%	+1.80%	+9.55
0915	57	64.9%	-0.64%	-0.89
0924	57	64.9%	-0.93%	-1.29

S3_SHORT_gap<-10%_ttnnews (SHORT)

Time	N	WR	Mean	Sharpe
0500 ★	63	77.8%	+3.67%	+9.10
0515	131	76.3%	+5.62%	+7.18
0530	144	78.5%	+5.64%	+7.42
0545	143	75.5%	+5.54%	+7.22
0600	72	73.6%	+3.35%	+8.32
0615	144	72.9%	+5.03%	+6.62
0630	155	71.6%	+4.58%	+6.36
0645	155	72.9%	+3.80%	+5.51
0700	147	77.6%	+3.78%	+5.49
0715	157	73.9%	+3.45%	+5.25
0730	161	71.4%	+3.45%	+5.25
0745	160	75.6%	+3.29%	+5.04
0800	161	76.4%	+3.41%	+5.29
0815	162	74.1%	+2.83%	+4.42
0830	162	74.1%	+2.80%	+4.49
0845	162	77.2%	+2.42%	+3.92
0900	148	75.0%	+2.33%	+3.71
0915	161	68.9%	+2.12%	+3.44
0924	161	69.6%	+2.06%	+3.36

S4_SHORT_gap=-10..-5_ttnnews (SHORT)

Time	N	WR	Mean	Sharpe
0500	78	71.8%	+3.26%	+4.38
0515	180	69.4%	+4.37%	+5.11
0530	198	70.7%	+4.67%	+5.32
0545	196	71.4%	+4.75%	+5.38
0600	98	73.5%	+4.16%	+5.09
0615 ★	205	72.7%	+4.69%	+5.46
0630	220	72.3%	+4.35%	+5.21
0645	224	72.8%	+4.58%	+5.07
0700	218	70.6%	+3.81%	+4.56
0715	246	71.1%	+3.35%	+4.25
0730	249	71.5%	+3.65%	+4.27
0745	249	71.5%	+3.69%	+4.32
0800	254	73.2%	+3.58%	+4.63
0815	258	70.9%	+3.53%	+4.21
0830	258	70.5%	+3.50%	+4.18
0845	256	69.5%	+3.36%	+4.01
0900	195	65.1%	+2.34%	+3.32
0915	255	68.6%	+3.00%	+3.58
0924	257	67.3%	+2.77%	+3.33

S5_SHORT_gap<-10%_GUIDANCE (SHORT)

Time	N	WR	Mean	Sharpe
0500 ★	60	75.0%	+3.31%	+10.55
0515	137	74.5%	+5.51%	+7.27
0530	150	76.7%	+5.61%	+7.58
0545	148	73.6%	+5.63%	+7.51
0600	71	71.8%	+2.99%	+8.49
0615	150	72.7%	+5.32%	+7.08
0630	164	73.2%	+5.11%	+7.09
0645	164	73.2%	+4.48%	+6.35
0700	155	76.8%	+4.22%	+6.14
0715	170	72.9%	+3.72%	+5.75
0730	173	70.5%	+3.62%	+5.57
0745	173	75.1%	+3.63%	+5.65
0800	175	76.0%	+3.54%	+5.65
0815	176	73.3%	+2.78%	+4.49
0830	176	72.7%	+2.76%	+4.58
0845	176	77.3%	+2.51%	+4.21
0900	158	75.3%	+2.34%	+3.84
0915	176	69.9%	+2.09%	+3.53
0924	176	69.3%	+2.01%	+3.42

S6_SHORT_gap<-5%_ANALYST (SHORT)

Time	N	WR	Mean	Sharpe
0500	120	72.5%	+3.11%	+4.84
0515	250	69.6%	+4.33%	+4.91
0530 ★	271	70.8%	+4.50%	+5.01
0545	265	69.4%	+4.43%	+4.88
0600	132	68.9%	+3.11%	+4.22
0615	268	69.8%	+4.40%	+4.89
0630	286	68.5%	+4.00%	+4.60
0645	289	70.6%	+4.04%	+4.42
0700	272	70.6%	+3.78%	+4.32
0715	303	69.6%	+3.44%	+4.12
0730	308	69.2%	+3.68%	+4.17
0745	307	71.7%	+3.72%	+4.22
0800	313	72.8%	+3.57%	+4.37
0815	316	72.2%	+3.53%	+4.07
0830	316	70.6%	+3.59%	+4.14
0845	314	72.3%	+3.37%	+3.88
0900	260	68.1%	+2.67%	+3.49
0915	314	65.6%	+3.08%	+3.55
0924	315	65.4%	+3.00%	+3.46

S7_SHORT_gap<-5%_callskew (SHORT)

Time	N	WR	Mean	Sharpe
0515	38	71.1%	+9.76%	+6.47
0530	42	76.2%	+9.68%	+6.74
0545 ★	44	79.5%	+9.62%	+6.84
0615	39	79.5%	+9.19%	+6.21
0630	45	73.3%	+8.92%	+6.45
0645	50	80.0%	+7.91%	+6.05
0700	47	80.9%	+7.78%	+5.82
0715	49	81.6%	+7.15%	+5.46
0730	53	83.0%	+7.01%	+5.55
0745	53	79.2%	+6.83%	+5.41
0800	54	75.9%	+6.75%	+5.40
0815	57	84.2%	+6.54%	+5.38
0830	57	86.0%	+6.15%	+5.05
0845	57	77.2%	+5.56%	+4.54
0900	47	74.5%	+6.50%	+4.84
0915	54	72.2%	+5.70%	+4.54
0924	56	67.9%	+5.39%	+4.37

S8_SHORT_gap<-5%_PCVOL_callheavy (SHORT)

Time	N	WR	Mean	Sharpe
0500	70	80.0%	+4.28%	+5.80
0515	160	76.9%	+4.54%	+6.30
0530 ★	171	78.9%	+4.66%	+6.64
0545	173	75.1%	+4.52%	+6.40
0600	90	75.6%	+4.10%	+6.07
0615	175	76.0%	+4.24%	+6.17
0630	197	77.7%	+4.34%	+6.46
0645	204	76.0%	+3.78%	+5.83
0700	201	77.1%	+4.33%	+5.81
0715	235	73.2%	+3.55%	+5.24
0730	238	74.8%	+3.36%	+5.00
0745	232	74.1%	+3.07%	+4.58
0800	243	74.5%	+3.20%	+4.88
0815	249	73.5%	+2.81%	+4.35
0830	249	73.1%	+2.57%	+4.01
0845	244	68.9%	+2.26%	+3.49
0900	176	65.3%	+1.66%	+2.72
0915	243	63.4%	+1.91%	+2.95
0924	247	61.5%	+1.77%	+2.79

S9_LONG_gap>+10%_PCVOL_callheavy (LONG)

Time	N	WR	Mean	Sharpe
0500 ★	30	80.0%	+5.16%	+11.84
0515	60	78.3%	+4.09%	+4.62
0530	67	85.1%	+4.23%	+5.03
0545	66	80.3%	+3.63%	+4.34
0600	33	81.8%	+2.29%	+2.00
0615	65	73.8%	+2.68%	+3.22
0630	71	76.1%	+2.33%	+2.97
0645	73	76.7%	+2.59%	+3.31
0700	82	81.7%	+2.94%	+4.05
0715	87	83.9%	+2.33%	+3.42
0730	88	80.7%	+1.88%	+2.83
0745	86	74.4%	+1.67%	+2.50
0800	89	82.0%	+2.05%	+3.10
0815	91	80.2%	+1.53%	+2.37
0830	91	75.8%	+1.07%	+1.68
0845	90	70.0%	+0.49%	+0.78
0900	68	61.8%	-0.43%	-0.60
0915	89	62.9%	-0.32%	-0.51
0924	89	59.6%	-0.45%	-0.72

📈 Trend Conditioning · Top Boosts

Setups whose Sharpe лучше в определённом trend bucket. Condition the entries by macro state.

Setup	Side	Trend	Bucket	N	WR	Sharpe	Base Sh	Δ Sh
S9_LONG_gap>+10%_PCVOL_callheavy	LONG	QQQ 5d	tech_soft_bull	35	80.0%	+12.56	+2.37	+10.18
S9_LONG_gap>+10%_PCVOL_callheavy	LONG	VXX	low_vol	37	78.4%	+11.17	+2.37	+8.80
S9_LONG_gap>+10%_PCVOL_callheavy	LONG	SPY 5d	soft_bull	36	75.0%	+10.93	+2.37	+8.56
S2_LONG_gap>+10%_ttnlow	LONG	SPY gap	spy_flat	43	86.0%	+10.71	+2.83	+7.88
S5_SHORT_gap<-10%_GUIDANCE	SHORT	VXX	low_vol	61	78.7%	+9.34	+4.49	+4.85
S8_SHORT_gap<-5%_PCVOL_callheavy	SHORT	VXX	mid_vol	85	72.9%	+8.58	+4.35	+4.23
S3_SHORT_gap<-10%_ttnnews	SHORT	VXX	low_vol	51	80.4%	+8.65	+4.42	+4.23
S3_SHORT_gap<-10%_ttnnews	SHORT	SPY gap	spy_dn	34	76.5%	+8.53	+4.42	+4.11
S8_SHORT_gap<-5%_PCVOL_callheavy	SHORT	SPY gap	spy_dn	49	77.6%	+8.07	+4.35	+3.73
S5_SHORT_gap<-10%_GUIDANCE	SHORT	SPY gap	spy_dn	35	74.3%	+7.94	+4.49	+3.45
S8_SHORT_gap<-5%_PCVOL_callheavy	SHORT	QQQ 5d	tech_bull	53	71.7%	+7.41	+4.35	+3.07
S8_SHORT_gap<-5%_PCVOL_callheavy	SHORT	SPY 5d	bull	40	72.5%	+7.35	+4.35	+3.01
S5_SHORT_gap<-10%_GUIDANCE	SHORT	QQQ 5d	tech_soft_bull	49	75.5%	+6.38	+4.49	+1.89
S8_SHORT_gap<-5%_PCVOL_callheavy	SHORT	SPY gap	spy_up	35	80.0%	+6.17	+4.35	+1.83
S3_SHORT_gap<-10%_ttnnews	SHORT	QQQ 5d	tech_soft_bull	44	77.3%	+5.93	+4.42	+1.51

⚠️ Top Trend Drags (avoid these regimes)

Setup	Side	Trend	Bucket	N	WR	Sharpe	Base Sh	Δ Sh
S9_LONG_gap>+10%_PCVOL_callheavy	LONG	VXX	mid_vol	32	71.9%	-0.98	+2.37	-3.35
S5_SHORT_gap<-10%_GUIDANCE	SHORT	SPY gap	spy_up	31	64.5%	+3.28	+4.49	-1.20
S8_SHORT_gap<-5%_PCVOL_callheavy	SHORT	QQQ 5d	tech_soft_bull	68	70.6%	+3.42	+4.35	-0.93
S4_SHORT_gap=-10..-5_ttnnews	SHORT	VXX	low_vol	84	66.7%	+3.39	+4.21	-0.82
S6_SHORT_gap<-5%_ANALYST	SHORT	VXX	low_vol	104	74.0%	+3.31	+4.07	-0.76
S9_LONG_gap>+10%_PCVOL_callheavy	LONG	SPY gap	spy_flat	65	81.5%	+1.63	+2.37	-0.74
S8_SHORT_gap<-5%_PCVOL_callheavy	SHORT	SPY 5d	soft_bull	79	70.9%	+3.66	+4.35	-0.69
S6_SHORT_gap<-5%_ANALYST	SHORT	SPY gap	spy_up	49	71.4%	+3.38	+4.07	-0.68
S3_SHORT_gap<-10%_ttnnews	SHORT	VXX	high_vol	53	66.0%	+3.78	+4.42	-0.64
S4_SHORT_gap=-10..-5_ttnnews	SHORT	QQQ 5d	tech_soft_bull	93	64.5%	+3.59	+4.21	-0.62

🎯 Per-Ticker Pattern Filter Effect

SKIP trades that fight ticker bias (e.g., SHORT ENPH=LONG_KING). BOOST 1.5x when aligned (SHORT NFLX=SHORT_KING).

Ticker pattern	N trades	WR	Mean ret	Σ PnL
LONG_KING	2	100.0%	+3.49%	$+186
SHORT_KING	84	78.6%	+11.07%	$+14,631
long_lean	13	92.3%	+6.38%	$+1,855
mixed	260	71.9%	+1.33%	$+4,687
short_lean	61	82.0%	+1.80%	$+2,109
unknown	26	80.8%	+1.51%	$+266

📐 Compound Tier Schedule

T0 · $10K-25K

6.00%

T0a · $25K-50K

6.25%

T0b · $50K-100K

6.50%

T1 · $100K-300K

6.67%

T2 · $300K-1M

7.00%

T3 · $1M-5M

7.50%

T4 · $5M-25M

8.50%

T5 · $25M-100M

9.00%

T6 · $100M+

9.50%

🔮 Forward Projection (CAGR 86.8%, naive)

Старт от $33,735. Не учитывает liquidity ceiling, regime change, edge decay.

+1 year

$63,002

+2 years

$117,661

+3 years

$219,742

+5 years

$766,428

+7 years

$2,673,188

+10 years

$17,412,733

+12 years

$60,733,078

+15 years

$395,605,936

💰 Per-Setup PnL Breakdown

Setup	N	WR	Mean	Σ PnL
S4_SHORT_gap=-10..-5_ttnnews	227	70.9%	+3.81%	$+13,434
S3_SHORT_gap<-10%_ttnnews	142	76.1%	+2.84%	$+6,542
S2_LONG_gap>+10%_ttnlow	34	91.2%	+4.73%	$+2,615
S1_LONG_gap>+10%_callheavy	43	88.4%	+1.99%	$+1,143

⏰ Daily Playbook (обновлено)

17:00 ET (накануне): AMC reports, ~20 имён

04:30: PM data + BMO reports → готовим список из ~30 candidates

05:00: ★ Первое окно entries для S3, S5, S9 (early high-Sharpe)

05:30: Окно для S6, S8

06:00-06:30: ★ Окно для S2, S4 (best Sharpe at 06:15)

08:00-08:15: Окно для S1 (best 08:00)

09:30: ALL exit MOO — auto orders

⚠️ FILTERS BEFORE ENTRY:

Pattern check: SKIP if ticker pattern conflicts with side (e.g. SHORT ENPH=LONG_KING)
Trend check: BOOST 1.5x if regime aligns (S9 LONG в QQQ_soft_bull, SHORT в SPY_gap_dn)
SKIP: VXX mid_vol для S9 LONG (Sharpe -0.98)
SKIP: PM bars < 20 for ticker
3 losers in row: stop day. Daily DD < -3%: stop.

💡 SCALING:

На каждом TIER пересматривай % sizing вверх (но осторожно)
На $5M+ — per-ticker liquidity cap (max 0.3% ADV)
Каждые 6 мес — re-validate edge на свежих данных
$10M+ → добавляй новые стратегии (не expand current)

📅 Monthly PnL (compound from $10K)

Month	N	PnL	Equity end
2024-04	8	$+890.50	$10,890
2024-05	37	$+1,845.10	$12,736
2024-06	2	$+46.82	$12,782
2024-07	12	$+170.92	$12,953
2024-08	25	$+3,085.09	$16,038
2024-09	10	$+130.91	$16,169
2024-10	22	$+503.90	$16,673
2024-11	25	$+1,663.07	$18,336
2024-12	7	$+146.84	$18,483
2025-01	11	$+1,764.52	$20,248
2025-02	43	$+1,290.62	$21,538
2025-03	11	$+254.95	$21,793
2025-04	16	$+2,187.41	$23,981
2025-05	32	$+857.01	$24,838
2025-06	6	$-9.38	$24,828
2025-07	21	$+663.52	$25,492
2025-08	38	$+1,521.46	$27,013
2025-09	4	$+14.92	$27,028
2025-10	26	$+3,917.77	$30,946
2025-11	34	$+876.62	$31,823
2025-12	8	$+304.75	$32,127
2026-01	6	$-56.15	$32,071
2026-02	36	$+1,042.71	$33,114
2026-03	10	$+620.70	$33,735

⚠️ Caveats / Open issues

Backtest period only 1.95y (PM bars only since Apr 2024). Pre-2024 не покрыто.
Survivorship bias на ранних entry (5:00-6:30): N=30-200 vs 250+ at 8:15. Только активные тикеры с PM ликвидностью.
Yahoo opts = SNAPSHOT сегодняшнего дня — proxy на все earnings прошлого. PC ratio тикера со временем меняется.
Polygon straddles ещё собираются (rate-limit на free tier). При полном датасете можно добавить implied_move filter.
Slippage не моделирован точно — costs 0.13%/side фиксированы. На мелких тикерах в реале хуже.
Pattern data: некоторые L5_mean раскачаны (NFLX +85, BDX +22) — это НЕ %, а $. WR корректен. Используем pattern label.