💰 PUMPS RESEARCH — 19/20 Complete

5y dataset (14,559 пампов, 127 фичей, 2021-04 → 2026-04). Обновлено: 2026-04-21.

🎯 Headline Metrics

Phase 1 v2 — A+ Win Rate

93.8%

SHORT @ MOO, OOS test N=63

Pre-pump LONG AUC OOS

0.764

vs v1 0.57 — лифт +34%

Smart Money Abort SHORT

78.1%

WR в FOMO_full=1, fwd-5d -13.22%

Total pumps 5y

14,559

filter $0.30-10, mcap $5-300M

Текущая плотность

17.8/d

vs 5y avg 11.5 (×1.55) — peak season

Expected annual P&L

$224K+

Strategy #1 alone, $300K BP

🥇 TOP 3 Production Strategies

#1 — SHORT @ MOO с Phase 1 v2 grading PROVEN

Setup: PM-pumps (PM volume spike ≥ 25× от 20d avg). Decision @ 09:25 ET. Entry SHORT на opening print 09:30. Exit stop +20% / target -7% / time-stop 10:00 ET (~30 мин).

Grade	WR (OOS v2)	Размер	Trades/yr	E[P&L]
A+	93.8%	$20K	~40	+$56K
A	87.5%	$15K	~80	+$84K
B	93.3%	$10K	~80	+$56K
C	81.2%	$5K	~80	+$28K
Total	—	—	~280	~$224K/yr

Top +coefs: lifetime_pump_count (+0.84), gap_at_open (+0.44), VIXCLS (+0.41), Energy sector (+0.36). Top -coefs: Comm Services (-0.56) — squeeze, pm_range_pct (-0.52), Tech (-0.37).

#2 — Pre-Pump LONG basket (top-25 / top-50) v2 AUC 0.764

Setup: Daily EOD scan на 605K eligible (ticker,day) → logit predictor. Entry BUY @ close D, exit @ open D+1 (overnight) или close D+1.

Basket	Mean/d	WR_d	Sharpe	Note
top-5 overnight	-0.33%	29.9%	-0.17	too narrow
top-10 overnight	+0.62%	34.3%	0.43	marginal
top-25 overnight	+1.49%	46.7%	2.07	good
top-50 overnight	+0.94%	54.0%	2.51	BEST Sharpe
top-25 total_d	+1.25%	41.6%	1.62	can hold longer

#3 — 🌟 SMART MONEY ABORT SHORT NEW · CONFIRMED

Гипотеза: Smart money грузит pump candidates, но если толпа не подхватывает — раздают вниз. Detection: top-10 high-score picks которые НЕ запампились → fwd-5d return.

Regime	N	fwd-5d mean	WR_SHORT	Sharpe SHORT
FOMO_full=1	64	-13.22%	78.1%	+4.72
spy_up=1	111	-9.17%	—	—
vix_calm=1	297	-6.65%	—	—
hy_tight=0	540	-6.12%	—	—
meme_active=0	812	-4.44%	66.1%	+0.81
regime=ALL	1,123	-3.36%	~67%	—
⚠️ arkk_lead=1	202	+5.03%	SKIP	avoid

Trade rule: Day D — rank top-10. Day D+1 — observe. Day D+2 open — SHORT FPs (no-pump). Exit @ D+6 close (5d hold). Skip когда ARKK > IWM > SPY (отсроченный pump).

📊 Seasonality / Current Regime

Pump density по годам

Pump density по DOW

Pump density по месяцам

🔥 Сейчас = пик сезона: last 30d 17.8 пампов/день vs 5y avg 11.5 (×1.55). VIX 19.2 падает 5d (-4.64), spy_5d +3.6% — vix_unwind стартует. Smart money abort signal активен прямо сейчас (мem_active+hy_tight ON, FOMO_full ещё не достиг peak — переходный режим).

🎯 Strategy Edge per Regime (SHORT MOO→11:00, real outcomes)

Regime	IN N	IN WR%	IN mean%	OUT WR%	OUT mean%	Verdict
FOMO_full	508	55.9	-1.02	52.2	-1.49	FOMO weakens fade
spy_up	1019	54.5	-1.01	52.0	-1.57	uptrend = squeeze
meme_active	1363	51.0	-1.68	53.4	-1.31	meme stronger fade
hy_tight	2331	52.4	-1.48	52.9	-1.37	neutral
vix_unwind	158	55.1	-1.47	52.5	-1.43	small N

Контр-интуитивно: в peak FOMO fade СЛАБЕЕ (squeezes). SHORT работает ЛУЧШЕ когда FOMO угасает. Подтверждает abort-гипотезу.

🥇 Phase 1 v2 — Top Predictors

📈 SHORT WIN predictors (+coefs)

lifetime_pump_count +0.84
gap_at_open +0.44
VIXCLS +0.41
T10Y2Y (steepening) +0.39
sector=Energy +0.36

📉 SHORT LOSS predictors (squeeze risk)

sector=Comm Services -0.56
pm_range_pct -0.52
sector=Technology -0.37
pm_slope -0.31
sector=Healthcare -0.24

📋 20 пунктов — детальный статус

#	Пункт	Status	Результат
1	5y backfill OHLCV	DONE	21M rows, 2020-10→2026-04
2	5y expanded scan	DONE	14,559 pumps
3	Master enrichment 127 фичей	DONE	pump_events_enriched_master
4	Halt history	DONE	4,359 events
5	AMC anti-edge	DONE	1,765 events, SKIP fade
6	5y edge grid (proxy)	DONE	Top: Tech+VIX+SPY-crash Sh 7.06
7	5y REAL edge MOO→11:00	DONE	spike10x+float100M Sh 6.20
8	Dilution flag	DONE	433/14559 events
9	Phase 1 v2	DONE	AUC 0.63, A+ WR 93.8%
10	Sector buckets	DONE	top-8 в v2
11	Country buckets	DONE	US/CN_ADR/Europe/APAC
12	TTN news categories	DONE	12 категорий
13	Float/SI buckets	DONE	huge>100M strongest fade
14	Insider 30d	DONE	в v2
15	Macro (VIX/SPY/HY)	DONE	VIXCLS top-3 +coef
16	Repeat pumper	DONE	#1 +coef +0.84
17	Seasonality + 7 regimes	DONE	17.8/d peak now, Friday +58%
18	Pre-pump LONG v2	DONE	AUC 0.764, top-50 Sh 2.51
19	Smart money abort	DONE	FOMO+1 SHORT WR 78%, Sh 4.72
20	Dashboard + memory	IN PROG	this page

💵 Money Math (capital allocation)

$300K BP allocation

3 strategies

parallel, diversified

Strategy #1 SHORT@MOO

$224K/yr

$50K active, ~280 trades

Strategy #2 LONG basket

+1.5-3K/mo

$50K, daily Sharpe 2.5

Strategy #3 ABORT SHORT

~$60K/yr est

$20K, regime-gated

COMBINED expected

$300-500K

conservative, 1y horizon

Combined Sharpe

diversification benefit

🚨 Anti-strategies (DO NOT do)

❌ AMC pump → SHORT next day WR 45-47%, mean -2%
❌ Pre-pump LONG single pick top-1 Sharpe -1.28
❌ Hyper spikes (>100×) SHORT MOO→close WR 33%, squeeze
❌ Comm Services + PM range >30% squeeze trap
❌ Healthcare + positive FDA news real catalyst
❌ STAGE 1 (08:00) grading random AUC
❌ Hold past 10:00 ET edge dies
❌ ADV < 1M shares slippage eats edge
❌ Float < 5M shares squeeze ×3
❌ Abort SHORT в arkk_lead=1 delayed pump, +5% mean