CLAUSE · BACKTEST REPORT · HYPOTHETICAL PERFORMANCE

Mega-cap earnings sidestep

“hold AAPL MSFT NVDA GOOGL META AMZN equal weight, exit each one the day before its earnings report and buy it back the day after, and buy nothing on a day when one of the six is reporting”

Tested over January 2023 to October 2026. On data sealed Oct 15, 2026. Published 15 October 2026.

The contract

1. Universe. Trade only AAPL, MSFT, NVDA, GOOGL, META, AMZN.
2. Signal. Each trading day at 09:35 ET, read the days until each holding’s next earnings report.
3. Signal. Also read the days until AAPL’s next earnings report.
4. Signal. Also read the days until MSFT’s next earnings report.
5. Signal. Also read the days until NVDA’s next earnings report.
6. Signal. Also read the days until GOOGL’s next earnings report.
7. Signal. Also read the days until META’s next earnings report.
8. Signal. Also read the days until AMZN’s next earnings report.
9. Exit (per holding). For each holding, if the days until its next earnings report is at most 1, sell that holding.
10. Hold. If the days until AAPL’s next earnings report equals 0 or the days until MSFT’s next earnings report equals 0 or the days until NVDA’s next earnings report equals 0 or the days until GOOGL’s next earnings report equals 0 or the days until META’s next earnings report equals 0 or the days until AMZN’s next earnings report equals 0, keep the current holdings as they are.
11. Allocation. Otherwise, set the target allocation of AAPL, MSFT, NVDA, GOOGL, META and AMZN to 16.66% each.

Equity vs SPY, dividends reinvested

STRATEGYTHE SAME NAMES, DIVIDENDS REINVESTEDHOLDINGSSPY, DIVIDENDS REINVESTEDlog scale

HOLDINGS6 names at a time, 6 over the run

Tear sheet

TOTAL

+336%

CAGR

+47.9%

VOL

24.0%

SHARPE

1.58

SPY SHARPE

1.09

BUY-AND-HOLD SHARPE

1.50

SORTINO

2.42

MAX DD

−28.2%

LONGEST DD

163 days

BETA

1.35

GROSS

95.9%

GROSS MAX

100%

NET

+95.9%

LONG

100%

SHORT

0.0%

TRADES

744

TURNOVER

436%

COST DRAG

0.4%

CAPACITY

$118,127,023 (GOOGL)

FINAL VALUE

$435,793 from $100,000

Per-clause attribution

What each clause earned while its decision governed the portfolio, holds included; these add up to the total return. The second figure re-runs the backtest with that clause removed and shows how the result would change.

EARNEDWITHOUT

Clause 9

+0.0%+0.0%

Clause 10

+34.7%−0.1%

Clause 11

+301%−336%

About these numbers

Window

Tested from Jan 9, 2023 to Oct 14, 2026. On a copy of the market sealed Oct 15, 2026.

Fills

Orders fill at the next open, 5 basis points each way.

Borrow

Every short pays 0.3% a year on the value of the position for each calendar day it is held. Where our data carries short interest, the rate steps up with short interest as a percent of shares outstanding, using the figure that was public before each session.

An assumption, not a record: we hold no historical borrow rates.

Short interest	Borrow
20% of shares outstanding or more	12% a year
10% of shares outstanding or more	4% a year
5% of shares outstanding or more	1.5% a year
under 5%, or none on file	0.3% a year

Dividends

Cash dividends are credited on the ex-date to whoever held the shares at the close before it: a long receives them, a short pays them, and the cash is reinvested at the next open. Capital gain distributions and dividends paid in stock are not modelled..

Margin

No margin interest, no maintenance calls modelled.

Delistings

A holding that stops trading exits at the last print held.

Halts

Treated like a delisting.

Attribution

Each clause's share of the result is measured by re-running the backtest without it.

Hypothetical performance on historical data. The same contract on the same data and cost model reproduces this number exactly. Backtests are not indicative of future results.