TL;DR: The equal-weight basket returned +4.93% gross on $10k. Wins clustered in event-aware names (GM, ISRG, IBM, AAL); ballast (KO, PG) smoothed the path. Losses in crowded mega-caps (NFLX, TSLA) were option-led and headline-driven. We’re rolling v1.5 tweaks: add an ex-post shock flag, include options term-structure slope, tighten sector contagion, and auto-rebalance ballast when beta drifts.
Key Takeaways (trade desk)
- Dispersion weeks reward event-aware kNN selection; stick to clean neighbor windows around prints.
- Maintain a small staples ballast to stabilize P&L path during earnings clusters.
- For headline shocks (policy/tax one-offs), use the new intra-day size-halving rule after confirmation.
- Add front/second-week IV slope to flag “priced-for-chaos” setups despite moderate absolute IV.
Attribution
Event-Aware kNN
Execution Discipline
Scorecard (Mon → Fri)
| Ticker | Company | Mon Close | Fri Close | Return | P&L on $1k | One-line driver |
|---|---|---|---|---|---|---|
| GM | General Motors | 58.00 | 69.66 | +20.10% | +$201 | Guide raise & narrative relief; post-print drift matched neighbors. |
| ISRG | Intuitive Surgical | 458.47 | 546.51 | +19.20% | +$192 | Clean beat; procedure growth; multi-day follow-through. |
| AAL | American Airlines | 12.17 | 13.78 | +13.23% | +$132 | Airlines cluster strength; vol-of-vol cooled into print. |
| IBM | IBM | 283.65 | 307.46 | +8.39% | +$84 | Defensive tech factor; steady post-earnings drift. |
| KO | Coca-Cola | 68.43 | 69.71 | +1.87% | +$19 | Staples ballast; low left-tail risk week. |
| INTC | Intel | 38.10 | 38.28 | +0.47% | +$5 | Quiet into event; beta-neutral filler. |
| GE | GE Aerospace | 302.68 | 303.87 | +0.39% | +$4 | Services/LEAP cycle; modest net. |
| PG | Procter & Gamble | 151.96 | 152.49 | +0.35% | +$3 | Defensive carry; tiny positive drift. |
| TSLA | Tesla | 447.43 | 433.72 | −3.06% | −$31 | Options-led crowding around print produced chop. |
| NFLX | Netflix | 1,238.56 | 1,094.69 | −11.62% | −$116 | Tax/policy line-item dominated otherwise decent print. |
What worked
- Event-window neighbor sanitation. Removing ≥|2σ| surprise outliers kept us in IBM/ISRG and a strong GM setup with historically clean post-event drift.
- Crowding penalty. Down-weighting extreme HF + retail attention limited exposure to TSLA.
- Portfolio ballast. KO/PG delivered small positives and stabilized path volatility.
- Airlines cluster behavior. Falling vol-of-vol + positive revisions captured AAL’s multi-day grind higher.
What didn’t
- Headline shock leakage. NFLX proved that a single tax/policy item can overwhelm supportive states; our 12% news cap maintained discipline ex-ante but left exposure post-shock.
- Options-led crowding around events. TSLA diverged from like-state analogs as front-end IV/positioning drove chop.
Execution review
- Adherence: Monday auction → first hour VWAP entries; 2× 20-day ATR hard stops; Friday time stop.
- Attribution (bucket, non-risk-adjusted): Event-prox kNN ≈ +5.3% (GM, ISRG, IBM, AAL); Ballast ≈ +0.8% (KO, PG, GE, INTC); Crowded megacaps ≈ −1.2% (NFLX, TSLA).
Model updates for v1.5
- Earnings-day ex-post shock flag. If the gap is clearly non-operational (tax/legal one-off) and first 15-minute tape confirms (price < open and VWAP falling), halve size intra-day.
- Options term-structure slope. Include front/second-week IV ratio in the state vector to spot “priced-for-chaos” regimes.
- Sector contagion guard (stricter). On a second miss within 48h in the same sector, pull residual risk to 25% for the week.
- Ballast auto-rebalance. If ex-ante basket beta > +0.10, reallocate half-size from the weakest kNN name into KO/PG/Utilities.
Do Your Own Research. This is a tactical, 5-day equal-weight basket guided by quantitative signals and public information. It is not investment advice and does not consider individual circumstances.