MONDAY — live sleeve
Intraday, Monday only. Before the open the book ranks the S&P 500 by its weekend gap, buys the 20 biggest gap-down names at the open, and sells them at the close. Costs matter here: only commission-free equities make it viable.
Backtest +57% (OOS, 2bps) · 0.50 · −26.7%·Live −8.63% · -1.62 · −3.04%·Read paper →·Dashboard →
Intraday, Monday only. Just before the open it ranks the S&P 500 by its weekend gap and buys the 20 biggest gap-downs, then sells the whole basket at the close.
Liquid US stocks.
Buy at Monday's open, flat by the close. No position the rest of the week.
Costs matter here: only commission-free equities make it viable. Costs scored at 2 bps one-way.
Backtest +57%, Sharpe 0.50, max drawdown −27%. Capital sits idle six days a week and capacity is small.
| Sleeve | Sep 26 | Oct 26* | Total | Positive |
|---|---|---|---|---|
| Monday Gap Bounce | -1.3 | +0.2 | -1.1% | 50% |
* Current month is partial.
Today, month-to-date, last month, year-to-date and year-over-year returns by sleeve, with day-by-day history.
| Sleeve | Today | Prev day | MTD | Last mo | YTD | YoY |
|---|---|---|---|---|---|---|
| Monday Gap Bounce | +0.05% | +0.47% | +0.20% | −1.26% | — | — |
| S&P 500 | −1.62% | −0.36% | −0.70% | −0.59% | — | — |
Today is live vs the prior close; weekends show — until the next session. MTD/YTD anchor on the prior month/year-end close; YoY needs ~1y of history. The vs S&P 500 view subtracts the benchmark's same-period return.
| Equity | vs S&P 500 | ||
|---|---|---|---|
| 2026-10-30live | $9,894.23 | +0.05% | +1.68pp |
| 2026-10-29 | $9,888.80 | +0.47% | +0.83pp |
| 2026-10-28 | $9,842.73 | +0.02% | −0.32pp |
| 2026-10-27 | $9,841.09 | +0.37% | −0.21pp |
| 2026-10-26 | $9,804.44 | +0.20% | −0.51pp |
| 2026-10-23 | $9,785.21 | −0.21% | +0.33pp |
| 2026-10-22 | $9,806.27 | +0.49% | +1.67pp |
| 2026-10-21 | $9,758.40 | +0.19% | −0.33pp |
| 2026-10-20 | $9,739.49 | +0.28% | −0.05pp |
| 2026-10-19 | $9,712.70 | −0.05% | −0.48pp |
| Symbol | Qty | Value | % | P&L | P&L % |
|---|---|---|---|---|---|
| GM | 5.000 | $435.95 | 4.4% | +$22.20 | +5.4% |
| MGM | 14.000 | $417.06 | 4.2% | −$42.56 | −9.3% |
| LYB | 6.000 | $396.24 | 4.0% | +$42.90 | +12.1% |
| WDC | 1.000 | $367.39 | 3.7% | −$65.36 | −15.1% |
| CF | 3.000 | $363.33 | 3.7% | +$11.31 | +3.2% |
| LEN | 4.000 | $347.04 | 3.5% | +$39.96 | +13.0% |
| ARE | 8.000 | $321.96 | 3.3% | −$107.96 | −25.1% |
| GL | 2.000 | $318.72 | 3.2% | +$5.18 | +1.6% |
| UAL | 3.000 | $307.29 | 3.1% | +$10.80 | +3.6% |
| LDOS | 2.000 | $284.66 | 2.9% | +$47.26 | +19.9% |
| STLD | 1.000 | $249.99 | 2.5% | +$11.17 | +4.7% |
| CTSH | 3.000 | $196.22 | 2.0% | −$16.64 | −7.8% |
| SKYD | 25.000 | $195.88 | 2.0% | −$19.88 | −9.2% |
| DG | 1.000 | $131.72 | 1.3% | −$1.18 | −0.9% |
| Shown (14) | — | $4,333.45 | 43.8% | −$62.80 | −1.4% |
| Cash | — | $5,560.79 | 56.2% | — | — |
% of equity · P&L unrealized · positions + cash = 100%
14 positions · top 5 = 46% · effective N = 13.0
Gross market value, so both legs of a hedge count. Cash is excluded; P&L in the drill-down is unrealized.
| Time (ET) | Symbol | Side | Qty | Fill | Value | P&L % | P&L $ |
|---|---|---|---|---|---|---|---|
| Oct 26, 9:30 AM | UAL | buy | 3 | $98.83 | $296.49 | — | — |
| Oct 26, 9:30 AM | DG | buy | 1 | $132.90 | $132.90 | — | — |
| Oct 26, 9:30 AM | GL | buy | 2 | $156.77 | $313.54 | — | — |
| Oct 26, 9:30 AM | CTSH | buy | 3 | $70.95 | $212.85 | — | — |
| Oct 5, 9:30 AM | LDOS | buy | 2 | $118.70 | $237.40 | — | — |
| Oct 5, 9:30 AM | WDC | buy | 1 | $432.75 | $432.75 | — | — |
| Sep 28, 9:30 AM | CF | buy | 3 | $117.34 | $352.02 | — | — |
| Sep 28, 9:30 AM | LYB | buy | 6 | $58.89 | $353.34 | — | — |
| Sep 28, 9:30 AM | MGM | buy | 14 | $32.83 | $459.62 | — | — |
| Sep 21, 9:30 AM | STLD | buy | 1 | $238.82 | $238.82 | — | — |
| Sep 21, 9:30 AM | PSKY | buy | 25 | $10.68 | $267.00 | — | — |
| Sep 21, 9:30 AM | ARE | buy | 8 | $53.74 | $429.92 | — | — |
| Sep 21, 9:30 AM | GM | buy | 5 | $82.75 | $413.75 | — | — |
| Sep 21, 9:30 AM | LEN | buy | 4 | $76.77 | $307.08 | — | — |
Live stats are annualized from daily equity; short windows are noisy. Backtest numbers are from the paper’s full window.