Options Docs Pricing Sign in Sign up

Today's gap-up drift setups

Stocks that closed up 5%+ on 1.5x+ normal volume in the last 3 days. Academic research (Bernard-Thomas 1989, Lakonishok-Lee 1992 et al.) and our 4-year backtest both confirm these events drift upward for ~60 days. Hold 60 days, no stop loss (stops destroy the edge in this strategy).

$10,000
live drift portfolio
.
open positions
+25.6%
backtest annualized 4y
+115pp
backtest alpha vs SPY 4y
primary

gap-up drift

+25.6%/yr backtested 4,415 events over 4 years win rate 60% backtest details
portfolio builder: .
loading.
secondary

PEAD (post-earnings drift)

earnings beat + gap up + drift window open academic edge ~6-8% over 60d
secondary

52-week high breakout

making new 52w high on confirming volume above 200dma Jegadeesh-Titman momentum
supporting

composite ranking

19 factors weighted into 0-100 score context only
Caveats. Drift backtest used current S&P 500 + Nasdaq-100 universe (survivorship bias inflates results by 1-3pp/yr). No transaction costs modeled. The strategy has live forward-test running at portfolio; that's the unbiased record. Not investment advice.