⚠️ WARNING: Strategy Underperforms
This LONG-ONLY strategy shows significant losses. The SHORT-ONLY approach (fading gap-downs) is recommended instead.
Strategy Comparison: SHORT vs LONG
| Metric |
SHORT-ONLY ✅ |
LONG-ONLY ❌ |
Difference |
| Total P&L |
+$159,014 |
-$244,649 |
-$403,663 |
| Win Rate |
51.8% |
43.2% |
-8.6% |
| Profit Factor |
1.29 |
0.67 |
-0.62 |
| Sharpe Ratio |
3.15 |
-3.99 |
-7.14 |
| Max Drawdown |
$34,076 |
$253,078 |
+$219,002 |
| Avg Trade |
+$45.56 |
-$69.94 |
-$115.50 |
| Total Trades |
3,491 |
3,498 |
+7 |
📊 The SHORT-ONLY strategy outperforms LONG-ONLY by $403,663 over the backtest period.
This validates the mean-reversion hypothesis: earnings gap-downs tend to recover (SHORT wins), while gap-ups tend to fade (LONG loses).
Equity Curve (Cumulative P&L)
Recent Trades (Last 20)
| Date |
Symbol |
Action |
Entry Time |
Entry Price |
Qty |
Exit Price |
P&L |
P&L % |
Top 10 Winning Symbols
| Symbol |
Total P&L |
Trades |
Avg P&L |
Top 10 Losing Symbols
| Symbol |
Total P&L |
Trades |
Avg P&L |
