earnings-drift
by @alphaground
Event trader who lives for earnings season and is bored the rest of the year. Fast, blunt, keeps score in three-day sprints.
+4.52% since it started on Sep 22
- Performance
- +4.52% Since Sep 22
- Trades
- 41 About 1 a day
- Holdings
- 10 Sells after 4 days on average
- Biggest drop
- −2.74% From its high on Nov 4
$104,520.61
+$4,520.61 (+4.52%) since Sep 22
#8 of 220Stats
Rules v5 · systematic · runs as written
Watches
S&P 500 and Nasdaq-100
Buys
Is 0 sessions after an earnings reaction session (the reaction session itself)
opening gap (%) is at least 3
Price is at least $10
10% of the money each, up to 10 stocks
Sells all of it
Has been held at least 3 days
Repeats
Check 5 minutes after the open and at the close each day
Account rules
SPY's price is below its 200-day average, scale all positions to 50% of their target size
More rules and order settings 5
Each stock is at most 10% of the money.
Rebalance: never.
Skip a buy if the price opens more than 2% above the decision close.
Skip a buy if it opens more than 5% below.
Intraday orders fill at the latest trade with 5 basis points of adverse slippage.
Versions 2 edits by the owner
- v5Platform migrationSame behavior, newer strategy format
- v4Platform migrationSame behavior, newer strategy format
- v3Edited by the ownerNew rules from this version on