📊 MOO→11:00 Earnings Regime Research

Generated 2026-05-01 · Strategy: sub-$5 SHORT pump-fade @ MOO 09:30 → exit 11:00 ET, TP +7% / SL -1.5%

BASELINE (sub-$5 pumps, 2024-04 → 2026-04, 1.99 yrs)

Trades

4,224

2024-04-22 → 2026-04-20

Mean per trade

+1.93%

Daily Sharpe

17.73

Win rate

44.3%

TP rate

36.8%

SL rate 53.2%

$/yr % per pick-unit

4097%

⚠️ Backtest 1.99 yrs only (intraday cache limit). Earnings cluster regime built on 5y. Daily Sharpe 17.7 matches Apr 28 finding (deploy-validated baseline).

🎯 Discovered tiers (significant N≥30, p<0.10)

MEGA-BMO

megacap_bmo_today

N 385 Mean +2.47% Δ vs base +0.54% Sh-day 18.75 WR 48.8% p 0.008

Megacap reports BMO this morning → small-cap pump-fade overperforms (+0.54%/trade vs baseline, p=0.008)

HIGH×MEGA-BMO

high_density_x_megacap_bmo

N 243 Mean +2.49% Δ vs base +0.56% Sh-day 19.49 WR 49.0% p 0.025

Heavy earnings day + megacap BMO → strongest tier (Δ+0.56%/trade)

HIGH×MEGA-AMC-Y

high_density_x_megacap_yesterday_amc

N 196 Mean +2.48% Δ vs base +0.55% Sh-day 20.44 WR 48.0% p 0.053

Megacap reported AMC yesterday + heavy earnings today → echo volatility helps fade (Δ+0.55%/trade, Sh 20.4)

HEAVY-DAY

high_earn_count_top_quintile

N 825 Mean +2.20% Δ vs base +0.26% Sh-day 19.50 WR 45.8% p 0.034

Top quintile earnings density (>12 reports) → Δ+0.26%/trade, Sh 19.5

JUN-LULL

june

N 443 Mean +1.58% Δ vs base -0.35% Sh-day 14.11 WR 46.7% p 0.049

June underperforms — earnings lull + summer mean-reversion regime (Δ-0.35%/trade, p=0.049)

MAR-PEAK

march_seasonal

N 365 Mean +2.24% Δ vs base +0.31% Sh-day 26.36 WR 47.4% p 0.125

March highest daily Sharpe 26.4 (suggestive only, p=0.125)

📐 Bucket details

Density × Megacap crosses

group	density_tertile	megacap_today_bmo_flag	megacap_today_amc_flag	megacap_yesterday_amc	n	mean_pct	daily_sharpe	wr_pct	delta_vs_base	permutation_p
density_x_megacap_yesterday	LOW			0	1495	+1.87%	16.84	45.2%	-0.07%	0.438
density_x_megacap_yesterday	LOW			1	81	+1.93%	25.45	45.7%	-0.01%	0.984
density_x_megacap_yesterday	MID			0	1276	+1.88%	17.61	43.4%	-0.06%	0.556
density_x_megacap_yesterday	MID			1	150	+1.90%	12.90	43.3%	-0.03%	0.929
density_x_megacap_yesterday	HIGH			0	1026	+2.00%	19.53	43.7%	+0.06%	0.569
density_x_megacap_yesterday	HIGH			1	196	+2.48%	20.44	48.0%	+0.55%	0.053
density_x_megacap_today_bmo	LOW	0			1576	+1.87%	17.12	45.2%	-0.06%	0.449
density_x_megacap_today_bmo	MID	0			1284	+1.82%	17.00	42.8%	-0.11%	0.219
density_x_megacap_today_bmo	MID	1			142	+2.44%	17.49	48.6%	+0.50%	0.121
density_x_megacap_today_bmo	HIGH	0			979	+1.97%	19.87	43.2%	+0.04%	0.738
density_x_megacap_today_bmo	HIGH	1			243	+2.49%	19.49	49.0%	+0.56%	0.025
density_x_megacap_today_amc	LOW		0		1563	+1.87%	17.16	45.2%	-0.06%	0.452
density_x_megacap_today_amc	LOW		1		13	+1.77%	10.76	38.5%	-0.16%	0.898
density_x_megacap_today_amc	MID		0		1363	+1.88%	17.31	43.5%	-0.05%	0.580
density_x_megacap_today_amc	MID		1		63	+1.81%	11.28	41.3%	-0.13%	0.810
density_x_megacap_today_amc	HIGH		0		873	+2.01%	19.54	43.5%	+0.08%	0.536
density_x_megacap_today_amc	HIGH		1		349	+2.23%	20.13	46.4%	+0.30%	0.137

Megacap-day flags (alone)

group	megacap_today_bmo_flag	megacap_today_amc_flag	megacap_yesterday_amc	n	mean_pct	daily_sharpe	wr_pct	delta_vs_base	permutation_p
megacap_today_bmo_flag	0			3839	+1.88%	17.61	43.9%	-0.05%	0.004
megacap_today_bmo_flag	1			385	+2.47%	18.75	48.8%	+0.54%	0.008
megacap_today_amc_flag		0		3799	+1.91%	17.66	44.2%	-0.03%	0.227
megacap_today_amc_flag		1		425	+2.16%	18.18	45.4%	+0.22%	0.228
megacap_yesterday_amc			0	3797	+1.91%	17.71	44.2%	-0.03%	0.189
megacap_yesterday_amc			1	427	+2.17%	17.77	45.9%	+0.24%	0.192
density_x_megacap_yesterday			0	1495	+1.87%	16.84	45.2%	-0.07%	0.438
density_x_megacap_yesterday			1	81	+1.93%	25.45	45.7%	-0.01%	0.984
density_x_megacap_yesterday			0	1276	+1.88%	17.61	43.4%	-0.06%	0.556
density_x_megacap_yesterday			1	150	+1.90%	12.90	43.3%	-0.03%	0.929
density_x_megacap_yesterday			0	1026	+2.00%	19.53	43.7%	+0.06%	0.569
density_x_megacap_yesterday			1	196	+2.48%	20.44	48.0%	+0.55%	0.053
density_x_megacap_today_bmo	0			1576	+1.87%	17.12	45.2%	-0.06%	0.449
density_x_megacap_today_bmo	0			1284	+1.82%	17.00	42.8%	-0.11%	0.219
density_x_megacap_today_bmo	1			142	+2.44%	17.49	48.6%	+0.50%	0.121
density_x_megacap_today_bmo	0			979	+1.97%	19.87	43.2%	+0.04%	0.738
density_x_megacap_today_bmo	1			243	+2.49%	19.49	49.0%	+0.56%	0.025
density_x_megacap_today_amc		0		1563	+1.87%	17.16	45.2%	-0.06%	0.452
density_x_megacap_today_amc		1		13	+1.77%	10.76	38.5%	-0.16%	0.898
density_x_megacap_today_amc		0		1363	+1.88%	17.31	43.5%	-0.05%	0.580
density_x_megacap_today_amc		1		63	+1.81%	11.28	41.3%	-0.13%	0.810
density_x_megacap_today_amc		0		873	+2.01%	19.54	43.5%	+0.08%	0.536
density_x_megacap_today_amc		1		349	+2.23%	20.13	46.4%	+0.30%	0.137

Earnings density tertile (count today)

density_tertile	n	mean_pct	daily_sharpe	wr_pct	tp_rate	sl_rate	delta_vs_base	permutation_p
LOW	1576	+1.87%	17.12	45.2%	34.9%	52.0%	-0.06%	0.449
MID	1426	+1.88%	16.96	43.4%	36.1%	54.1%	-0.05%	0.539
HIGH	1222	+2.07%	19.76	44.4%	40.0%	53.8%	+0.14%	0.153

Season cluster (rolling 21d quintile)

rolling_quintile	n	mean_pct	daily_sharpe	wr_pct	delta_vs_base	permutation_p
Q1_low	773	+2.05%	19.33	45.5%	+0.12%	0.365
Q2	1015	+1.91%	17.14	46.5%	-0.03%	0.806
Q3	813	+1.81%	17.79	41.8%	-0.13%	0.316
Q4	601	+2.15%	19.54	45.9%	+0.22%	0.151
Q5_peak	1022	+1.84%	16.78	42.4%	-0.09%	0.398

Month-of-year seasonality

month	n	mean_pct	daily_sharpe	wr_pct	delta_vs_base	permutation_p
1.00	394.00	+2.01%	18.65	44.4%	+0.07%	0.693
2.00	265.00	+1.87%	20.44	41.9%	-0.07%	0.785
3.00	365.00	+2.24%	26.36	47.4%	+0.31%	0.125
4.00	254.00	+2.08%	18.08	46.5%	+0.15%	0.544
5.00	280.00	+1.81%	13.82	42.5%	-0.13%	0.569
6.00	443.00	+1.58%	14.11	46.7%	-0.35%	0.049
7.00	322.00	+1.89%	17.06	42.9%	-0.05%	0.819
8.00	340.00	+2.17%	17.57	45.3%	+0.24%	0.252
9.00	402.00	+1.91%	16.90	44.3%	-0.02%	0.902
10.00	427.00	+1.92%	23.38	43.6%	-0.02%	0.918
11.00	345.00	+1.65%	13.92	40.6%	-0.29%	0.157
12.00	387.00	+2.13%	22.47	45.0%	+0.20%	0.297

📅 Forward-look (7 trading days)

Forward 7 trading days classification (advisory)

📅 Forward calendar source: earnings_calendar_forward.parquet (refreshed nightly 01:40 ET via cron/morning_data_refresh.sh). Today's tier mirror: viz/moo1100_regime_today.json (regenerated by tools/moo1100_advisor/regime_overlay.py --write).

date	dow	earn_count	density	BMO megacap	AMC megacap	Y AMC megacap	tier	badges
2026-05-01	Friday	47	HIGH	XOM	-	AAPL	STRONG_BOOST	HIGH×MEGA-BMO
2026-05-04	Monday	87	HIGH	-	-	-	BOOST	HEAVY-DAY
2026-05-05	Tuesday	248	HIGH	-	-	-	BOOST	HEAVY-DAY
2026-05-06	Wednesday	277	HIGH	-	-	-	BOOST	HEAVY-DAY
2026-05-07	Thursday	321	HIGH	-	-	-	BOOST	HEAVY-DAY
2026-05-08	Friday	32	HIGH	-	-	-	BOOST	HEAVY-DAY
2026-05-11	Monday	56	HIGH	-	-	-	BOOST	HEAVY-DAY

📋 Reference: 2025 Apr-May daily regime

click to expand

Reference: May 2025 / Apr 2025 daily regime (prev-year analog)

date	dow	earn_count	density	megacap_BMO	megacap_AMC	y_amc
2025-04-01	Tue	1	LOW	-	-	-
2025-04-02	Wed	0	LOW	-	-	-
2025-04-03	Thu	2	MID	-	-	-
2025-04-04	Fri	0	LOW	-	-	-
2025-04-07	Mon	1	LOW	-	-	-
2025-04-08	Tue	0	LOW	-	-	-
2025-04-09	Wed	2	MID	-	-	-
2025-04-10	Thu	1	LOW	-	-	-
2025-04-11	Fri	5	MID	JPM	-	-
2025-04-14	Mon	1	LOW	-	-	-
2025-04-15	Tue	4	MID	-	-	-
2025-04-16	Wed	9	HIGH	-	-	-
2025-04-17	Thu	19	HIGH	UNH	-	-
2025-04-21	Mon	3	MID	NFLX	NFLX	-
2025-04-22	Tue	12	HIGH	-	-	NFLX
2025-04-23	Wed	20	HIGH	TSLA	TSLA	-
2025-04-24	Thu	41	HIGH	-	-	TSLA
2025-04-25	Fri	19	HIGH	GOOG,GOOGL	GOOG,GOOGL	-
2025-04-28	Mon	1	LOW	-	-	GOOG,GOOGL
2025-04-29	Tue	34	HIGH	-	-	-
2025-04-30	Wed	30	HIGH	V	V	-
2025-05-01	Thu	61	HIGH	LLY,MA,META,MSFT	LLY,MA,META,MSFT	V
2025-05-02	Fri	38	HIGH	AAPL,AMZN,XOM	AAPL,AMZN,XOM	META,MSFT
2025-05-05	Mon	4	MID	BRK.B	-	AAPL,AMZN
2025-05-06	Tue	31	HIGH	-	-	-
2025-05-07	Wed	36	HIGH	-	-	-
2025-05-08	Thu	55	HIGH	-	-	-
2025-05-09	Fri	29	HIGH	-	-	-
2025-05-12	Mon	3	MID	-	-	-
2025-05-13	Tue	12	HIGH	-	-	-
2025-05-14	Wed	7	MID	-	-	-
2025-05-15	Thu	11	HIGH	-	-	-
2025-05-16	Fri	3	MID	-	-	-
2025-05-19	Mon	0	LOW	-	-	-
2025-05-20	Tue	7	MID	HD	-	-
2025-05-21	Wed	8	HIGH	-	-	-
2025-05-22	Thu	5	MID	-	-	-
2025-05-23	Fri	6	MID	-	-	-
2025-05-27	Tue	2	MID	-	-	-
2025-05-28	Wed	2	MID	-	-	-
2025-05-29	Thu	10	HIGH	NVDA	NVDA	-
2025-05-30	Fri	6	MID	-	-	NVDA

research_results/moo1100_earnings_regime_may01/ — raw data: bucket_results_tight.csv, regime_calendar_5y.parquet, moo1100_earnings_overlay.json
Methodology: edge-research v2 — bootstrap 10k CI, permutation 5k vs baseline. Honest 2y backtest with path-snapshot TP/SL approximation.