Strategy: 3-Position Portfolio (Scenario B) Target: 5x SPY performance (~5% return in 10 days) Budget: €1,271.97 (USD $1,476.27) Max Loss: 10% (HARD STOP) Exit Date: December 19, 2025 (or earlier if stops hit)
Action: BUY
Shares: 4
Limit Price: $182.00
Market Price (Dec 7): $181.76
Estimated Cost: $728.00
Target Allocation: 49.7%
Rationale: Core position. Best quality score (3.0), strong momentum (+8.52% week), lowest tail risk (6.6% prob of -10% loss). Clean fundamentals with 0 red flags.
Individual Stop-Loss: Exit if PLTR drops to $163.50 (-10% from entry)
Action: BUY
Shares: 5
Limit Price: $53.00
Market Price (Dec 7): $52.69
Estimated Cost: $265.00
Target Allocation: 18.0%
Rationale: Volatility play. Highest weekly momentum (+11.82%), extreme beta (2.62) provides amplification. Limited position size (18%) controls extreme volatility risk (32.4% prob of -10% loss).
Individual Stop-Loss: Exit if IONQ drops to $47.50 (-10% from entry)
⚠️ WARNING: IONQ has negative monthly momentum (-11.10%). This is a SHORT-TERM momentum trade only.
Action: BUY
Shares: 6
Limit Price: $57.00
Market Price (Dec 7): $56.88
Estimated Cost: $342.00
Target Allocation: 23.3%
Rationale: Diversification position. Biotech sector provides low correlation (0.26-0.29) with tech-heavy portfolio. Consistent momentum (Week +9.03%, Month +3.19%). Recent catalyst news.
Individual Stop-Loss: Exit if CRSP drops to $51.20 (-10% from entry)
| Item | Amount |
|---|---|
| PLTR (4 shares) | $728.00 |
| IONQ (5 shares) | $265.00 |
| CRSP (6 shares) | $342.00 |
| Subtotal | $1,335.00 |
| Transaction Fees (3 × $4) | $12.00 |
| TOTAL COST | $1,347.00 |
| Budget Available | $1,476.27 |
| Cash Remaining | $129.27 |
Capital Deployed: 91.2% Cash Buffer: 8.8%
| Metric | Value |
|---|---|
| Expected Return (10 days) | 3.76% |
| Expected Volatility | 12.60% |
| Sharpe Ratio | 0.30 |
| Probability of Hitting 5% Target | 46.1% |
| Probability of Losing >10% | 17.0% |
| VaR (95% confidence) | -16.96% |
Portfolio Risk-Adjusted Score: 1.83 (out of 5.0 max)
TRIGGER: Portfolio value drops to $1,212.30 (-10%)
ACTION: Exit ALL positions immediately using market orders
Calculation:
| Ticker | Entry Price | Stop Price | Loss $ | Exit Action |
|---|---|---|---|---|
| PLTR | $182.00 | $163.80 | -$72.80 | Sell 4 shares |
| IONQ | $53.00 | $47.70 | -$26.50 | Sell 5 shares |
| CRSP | $57.00 | $51.30 | -$34.20 | Sell 6 shares |
Rule: Exit individual position if it drops -10% from entry, UNLESS portfolio is still above -10% total.
TRIGGER: Portfolio value reaches $1,401.75 (+5%)
ACTION: Exit ALL positions immediately
Rationale: This achieves the 5x SPY target. Lock in profits, don't get greedy.
TRIGGER: Portfolio value reaches $1,428.45 (+7%)
ACTION: Exit ALL positions immediately
Rationale: This exceeds target significantly. Momentum may reverse.
EVENT: Federal Reserve policy announcement
PROTOCOL:
1:45 PM ET: Review portfolio P/L
2:00 PM ET: Fed announcement
2:30 PM ET: Review portfolio again
CRITICAL: FOMC creates extreme volatility. Be ready to exit positions instantly.
RULE: Exit ALL positions by 3:50 PM ET on December 19, 2025, regardless of P/L
Rationale: This is a 10-day strategy. Do not hold overnight into Dec 20.
Method: Use limit orders starting at 3:40 PM, switch to market orders at 3:50 PM if not filled
Expected cumulative returns if portfolio performs as modeled:
| Day | Date | Cumulative Return | Portfolio Value | Status |
|---|---|---|---|---|
| 0 | Dec 9 | 0.00% | $1,335.00 | Entry |
| 2 | Dec 11 | +0.75% | $1,345.01 | On track |
| 4 | Dec 13 | +1.50% | $1,355.03 | On track |
| 6 | Dec 16 | +2.25% | $1,365.04 | On track |
| 7 | Dec 17 | FOMC | ??? | HIGH VOLATILITY |
| 8 | Dec 18 | +3.00% | $1,375.05 | Near target |
| 10 | Dec 19 | +3.76% | $1,385.18 | Model expectation |
Note: These are AVERAGE expectations. Actual path will be volatile.
VaR Exceeds -10% Constraint
FOMC Volatility (Dec 17)
Ultra-Short Horizon (10 Days)
Momentum Reversal Risk
Model Limitations
This strategy applies rigorous quantitative methods from Elements of Quantitative Investing:
Key Principles:
Before executing on Dec 9, verify:
Option 1: Skip that stock, allocate to other 2 positions Option 2: Reduce shares to maintain budget Option 3: Abort entire strategy if multiple stocks gapping down
Recommendation: Abort if any stock gaps >10% down
Action: Review situation
Action: Exit that individual stock (excessive single-stock risk)
Action: EXIT ALL - target achieved, don't risk FOMC volatility
| Outcome | Probability | Portfolio Return | Final Value |
|---|---|---|---|
| Bull Case | 20% | +8.0% | $1,441.80 |
| Base Case | 46% | +4.5% | $1,395.08 |
| Neutral Case | 17% | +1.5% | $1,355.03 |
| Bear Case | 17% | -10.0% | $1,201.50 |
Expected Value: +1.89% (accounting for full distribution)
Median Outcome: +3.76% (model expectation)
Modal Outcome: +4.5% (most likely scenario)
| Time | Ticker | Action | Shares | Limit Price | Fill Price | Cost | Status |
|---|---|---|---|---|---|---|---|
| 9:30 AM | PLTR | BUY | 4 | $182.00 | |||
| 9:30 AM | IONQ | BUY | 5 | $53.00 | |||
| 9:30 AM | CRSP | BUY | 6 | $57.00 |
Total Entry Cost: $_________ (Target: ~$1,347)
| Date | Time | Ticker | Action | Shares | Price | Proceeds | Reason |
|---|---|---|---|---|---|---|---|
Total Exit Proceeds: $_________
Net P/L: $_________ (_____%)
Target Achievement: [ ] YES [ ] NO
EXECUTE THIS STRATEGY IF:
DO NOT EXECUTE IF:
Strategy Confidence: Moderate (70%) Risk Level: ULTRA-AGGRESSIVE Recommended For: Experienced traders only Time Commitment: Active daily monitoring required
Good luck. Stick to the plan. Respect the stops.
Analysis by: Senior Quantitative Investment Analyst Date: December 7, 2025 Strategy ID: ULTRA-AGG-2W-DEC9-19-2025 Files:
/home/pengacau/pasar-malam/output/quantitative_factor_analysis_report_dec7.md/home/pengacau/pasar-malam/output/EXECUTIVE_SUMMARY_QUANT_ANALYSIS_DEC7.md/home/pengacau/pasar-malam/output/quantitative_factor_analysis_final_dec7.json