TL;DR
Net P/L ≈ −$20 (−0.0%) on $10k notional. Big winners CAT +9.5% and AMZN +7.6% offset a META stop (−10%) and small defensive drags (WMT/MRK). RVOL + event-drift worked; AI capex shocks punished crowd favorites. Hard stop prevented a deeper META drawdown.
Green highlight: Discipline preserved capital; signal stack correctly favored RVOL + event proximity.
Per-name performance (Mon close → Fri close or stop)
| Ticker | Δ | P/L ($1k) | Driver |
|---|---|---|---|
| MSFT | −2.82% | −28.20 | Capex-spend jitters post-mega-AI build-outs. |
| GOOGL | +4.49% | +44.90 | Ads + Cloud resilience; post-print follow-through. |
| AMD | −1.40% | −14.00 | Semis mixed into week’s mega-cap prints. |
| META | −10.00% | −100.00 | AI opex/capex messaging shock; stop hit Thu. |
| AMZN | +7.64% | +76.40 | AWS re-acceleration; record-day squeeze. |
| V | −1.91% | −19.10 | Post-earnings digestion; modest risk-on rotation. |
| CAT | +9.53% | +95.30 | Beat + upbeat outlook; AI power demand tailwind. |
| XOM | −1.16% | −11.60 | Crude softness / mixed prints. |
| MRK | −3.31% | −33.10 | Health-care lag; drift lower into prints. |
| WMT | −3.10% | −31.00 | Staples faded as beta outperformed late-week. |
Total (10 × $1,000): −$20 (flat). META’s hard stop capped downside; without it, basket would finish ~−$56 worse.
Why it worked (and didn’t)
- Worked — RVOL + event drift. High-RVOL names into clear catalysts (AMZN, CAT) delivered large positive skew as results surprised and flows compressed shorts.
- Worked — Tie-breaks subordinated to kNN. Keeping news/sentiment as a light overlay avoided over-reacting to noisy headlines in MSFT/AMD; small losses, not blow-ups.
- Didn’t — Capex-shock regime. META’s AI-spend/opex guide reset triggered a rapid multiple check; our crowding guard helped sizing, but idiosyncratic guidance shocks still pierce. Stop at −10% did its job.
- Mixed — Defensives hedge. WMT/MRK dampened book beta during the early week, but underperformed during the Friday tech squeeze.
Market context (what moved tape)
- Amazon ripped on AWS re-acceleration (Q3 +20% y/y) and upbeat outlook; tech beta followed.
- Caterpillar surged on revenue beat and energy/data-center demand commentary; classic “event-drift + RVOL” profile.
- Meta sold off after expense/capex messaging; multiple compressed quickly post-print.
- Alphabet firmed on resilient Cloud/Ads; positive post-print drift supported.
- Microsoft modestly lower as capex intensity headlines kept a lid on drift.
Playbook updates (v1.5 draft)
- Capex-shock guard: For mega-caps guiding to step-ups in AI capex/opex, pre-register a tighter hard stop (−7%) for 48h post-print and cap single-name weight at 0.75× baseline.
- RVOL confirmation: Keep the mandatory RVOL/volume-z filter; promote CAT/AMZN-style setups when RVOL ≥ 1.8 and estimate dispersion narrows into the print.
- Event-window sanitation 2.0: Exclude neighbors with past post-print drawdowns < −8% when IV↑ + capex messaging present (prevents META-like analogs from slipping into the set).
- Staples hedge timing: Shift KO/WMT-type hedges after major tech prints to avoid giving back during tech squeezes.
Method note
Performance approximated using Mon Oct 27 → Fri Oct 31 closes (or hard stop trigger). Sources: major financial portals and earnings reports; figures rounded to nearest 0.01.