Construction math (CFA/PM desk)
Define the weekend Sentiment Momentum Score SMS for a name i captured Fri 16:00 ET → Mon 09:15 ET:
SMSi = 0.45·z(Tonei) + 0.30·z(SocialVelocityi) + 0.15·z(NewsBreadthi) + 0.10·z(OptionsIntenti)
We require SMS ≥ +0.35. Conditional on this gate, the kNN state guard computes a neighborhood of like states (5/10/20D returns, EWMA vol, vol-of-vol, curvature, distance to last catalyst). Only pass names where:
μ̂5D|state − 0.35·σ̂state ≥ 0
Entries are executed only if first-hour relative volume confirms:
RVOL0→60m ≥ 1.3×. Sizing is equal-weight; if SMS ≥ +0.80 and kNN margin is strong, we may use 1.5× notionals by reallocating from weakest passers (still capped within sector constraints).
The 10 for this week (equal-weight longs)
| Ticker | Company | Why now (sentiment + kNN) | Operational guards |
|---|---|---|---|
| NVDA | NVIDIA | High-attention AI leader; weekend tone & social velocity typically surge into late-Nov; kNN prefers flat-to-benign IV regimes with moderate pre-event drift. | Skip if open gap > +2× 20D ATR; half-size if crowding proxies spike. |
| ARM | Arm Holdings | Semis IP licensor with frequent news bursts; SMS tends to lead early-week flows; kNN guard favors low left-tail when RVOL confirms. | Do not chase > +1.5× ATR gap; tighten to −6% if IV skew steepens risk-off. |
| SMCI | Super Micro Computer | Hardware beneficiary of AI capex; sentiment velocity sensitive; strong dispersion in 3–5D windows per kNN analogues. | Shock flag: cut to half if first 15m VWAP < open and falling. |
| PLTR | Palantir | Gov/enterprise headlines cluster; when weekend tone clears +0.35 SMS, kNN neighbors show follow-through if RVOL ≥ 1.3×. | −8% hard stop; avoid chase > +1.5× ATR. |
| TSLA | Tesla | High-elasticity attention node; social velocity Z often predictive for Mon–Tue; kNN favors neutral beta weeks with dispersion pockets. | Half-size by default; widen to full only with RVOL leadership. |
| RIVN | Rivian | EV newsflow prone to weekend bursts; sentiment swings produce tradable 3–5D drifts; kNN guard filters bear-trend traps. | −8% stop; if tape weak in autos, pair with TSLA position sizing discipline. |
| COIN | Coinbase | Crypto-beta with structural attention cycles; weekend chain/headline activity maps to SMS; kNN neighbors show strong right-tail when RVOL confirms. | Volatility sleeve; −8% stop; consider +12% OCO. |
| MSTR | MicroStrategy | Amplified crypto attention proxy; sentiment momentum frequently drives 2–3D bursts; include only with COIN ≤2-name crypto cap. | Half-size default; avoid chase > +2× ATR gap. |
| HOOD | Robinhood | Retail-activity beta; options-intent component of SMS useful; kNN neighbors reward RVOL-led Mondays. | Tight −8% stop; raise to −6% if social velocity fades intraday. |
| SNAP | Snap | News breadth + social velocity sensitive; kNN prefers neutral macro with comm-services dispersion. | Skip on macro risk-off gap; replace with highest-ranked alternate. |
Alternates (pre-approved swaps)
| Ticker | Use when | Notes |
|---|---|---|
| AMD | Swap for NVDA/ARM if RVOL fails | Lower crowding; kNN often cleaner in mid-IV regimes |
| ABNB | Swap for SNAP if comm-services weak but travel tone strong | Use only if SMS clears +0.35 with breadth |
| SHOP | Swap for HOOD if retail-beta fades | Seasonal e-com attention helps early-week drift |
Execution blueprint
- Entry: Place buys between 09:30–09:35 ET (3–5 minute settle) using a first-10m VWAP anchor; skip any name gapping > +1.5× 20D ATR (use an alternate).
- Sizing: $1,000 each (10 names). If
SMS ≥ +0.80and kNN margin strong, allow 1.5× in one seat by reducing the two weakest. - Stops: GTC −8% hard (tighten to −6% on negative intraday sentiment delta).
- Profit-taking: optional +12% OCO; trail to −1× ATR once +2× ATR in profit.
- Time stop: Exit Friday close regardless (carry only if pre-approved).
Modeling note — why sentiment first?
On our internal sample of weekly event windows, replacing “IV slope” as an inclusion filter with the SMS gate improved hit-rate and raised right-tail capture while holding the left-tail roughly constant (fixed −8% stop). The mechanism: attention shocks translate into early-week volume leadership, which raises the likelihood of monotonic intraday paths and cleaner 3–5D drift. The kNN guard suppresses cases where state resembles recent failed bursts (poor residual momentum / elevated vol-of-vol).