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WINNING

Accruals Quality

Low accruals = higher quality earnings (Sloan 1996 accruals anomaly)

3Y
Total Return
+30.4%
3Y
Sharpe Ratio
0.62
3Y
Max Drawdown
-8.2%
3Y
Win Rate
55.4%
3Y
Alpha
-57.1%
3Y
Comp. Score *
0.10
Risk Parameters
Max Allocation9.0%
Stop Loss8.2%
Take Profit5.0%
Max DD Tolerance8.2%
Rebalancemonthly
Execution Guidance
Order TypeLimit
Entry RuleBuy 0.5% below market in uptrend.
TimingSAFE TO BUY. *
ScalingEnter in 3 tranches over 1-2 weeks.
Positions — Vol-Adjusted Sizing
SymbolActionVol Stop LossTake ProfitSizeLinks
DGRW BUY 13% 4.6% below entry 3.0% above entry 16.1% TVYH
BRK-B BUY 17% 5.9% below entry 3.6% above entry 12.6% TVYH
JNJ BUY 19% 6.5% below entry 4.0% above entry 11.4% TVYH
PG BUY 19% 6.6% below entry 4.0% above entry 11.3% TVYH
KO BUY 18% 6.1% below entry 3.7% above entry 12.3% TVYH
QUAL BUY 15% 5.3% below entry 3.2% above entry 14.1% TVYH