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Earnings Surprise Drift

PEAD proxy: buy after >3% gap-up on 2x volume, ride drift 20-60 days

Earnings Surprise Drift

3Y
Total Return
+7.4%
3Y
Sharpe Ratio
-0.53
3Y
Max Drawdown
-2.6%
3Y
Win Rate
7.9%
3Y
Alpha
-20.7%
3Y
Comp. Score *
0.00
Risk Parameters
Max Allocation0.0%
Stop Loss5.0%
Take Profit5.0%
Max DD Tolerance2.6%
Rebalanceweekly
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
AAPL FLAT 29% 6.0% below entry 6.0% above entry 0.0% TVYH
MSFT FLAT 24% 5.1% below entry 5.1% above entry 0.0% TVYH
NVDA FLAT 49% 10.2% below entry 10.2% above entry 0.0% TVYH
GOOGL FLAT 30% 6.3% below entry 6.3% above entry 0.0% TVYH
AMZN FLAT 33% 6.9% below entry 6.9% above entry 0.0% TVYH
META FLAT 36% 7.6% below entry 7.6% above entry 0.0% TVYH
TSLA FLAT 62% 13.1% below entry 13.1% above entry 0.0% TVYH
JPM FLAT 25% 5.3% below entry 5.3% above entry 0.0% TVYH
V FLAT 22% 4.6% below entry 4.6% above entry 0.0% TVYH
UNH FLAT 43% 9.0% below entry 9.0% above entry 0.0% TVYH
LLY FLAT 38% 8.0% below entry 8.0% above entry 0.0% TVYH
AVGO FLAT 55% 11.5% below entry 11.5% above entry 0.0% TVYH
▶ For Passive Investors (Buy & Hold)

This strategy is NOT recommended for passive investing. - Take profit: Take profit at +50%. This strategy is inconsistent — capture gains when available. - Stop loss: Reduce position by 50% at -25% drawdown. Consistency is only 0%. - Exit rule: Review annually. Exit if strategy underperforms its benchmark for 3 consecutive years.

Avg 5Y Return
2.9%
Avg 5Y Sharpe
-1.21
10Y Return
8.8%
10Y Sharpe
-1.09
HODL Composite
0.0
Consistency
0%
Suitable for passive
No