Ultra-Aggressive 2-Week Trading Strategy: Quantitative Analysis

Executive Summary

Recommended Allocation: 100% UPST (31 shares, $1,449.25) Alternative: 90% UPST / 10% BYND if correlation < 0.5

Expected 2-Week Return: 1.77-1.79% Probability of Achieving 5x SPY Target (3.75%): 44.5% Probability of >15% Drawdown: 11.1-14.6%

Quantitative Framework

Based on "The Elements of Quantitative Investing" (Paleologo, 2025):

1. Mean-Variance Optimization (Chapter 9): Maximize risk-adjusted returns
2. Performance Metrics (Chapter 3): Sharpe ratio, probability analysis
3. Risk Assessment (Chapter 5): VaR, drawdown probabilities
4. Factor Models (Chapter 4): CAPM framework with short squeeze alpha

Stock Analysis

BYND (Beyond Meat)

• Price: $1.22
• Beta: 2.52 (extremely high market sensitivity)
• Short Interest: 20.72%
• RSI: 57.7 (moderately bullish)
• 2-Week Historical Range: 82.72% (extremely volatile)
• Expected 2-Week Return: 1.93-1.95%
• Expected 2-Week Volatility: 27.22%

UPST (Upstart Holdings)

• Price: $46.75
• Beta: 2.28 (high market sensitivity)
• Short Interest: 29.53% (higher squeeze potential)
• RSI: 67.2 (bullish momentum)
• 2-Week Historical Range: 39.50% (moderate volatility)
• Expected 2-Week Return: 1.75-1.77%
• Expected 2-Week Volatility: 14.23%

Optimization Results

Mean-Variance Optimization (Risk Aversion = 1.0)

• Optimal Weights: 0% BYND, 100% UPST
• Expected Return: 1.77%
• Volatility: 14.23%
• Sharpe Ratio: 0.124

Maximum Sharpe Ratio Optimization

• Optimal Weights: 0% BYND, 100% UPST
• Sharpe Ratio: 0.124

Sensitivity to Correlation

Monte Carlo Simulation (10,000 runs)

Portfolio: 100% UPST

• Mean Return: 2.19%
• Standard Deviation: 14.14%
• Sharpe Ratio: 0.155
• Probability of Target (3.75%): 45.4%
• Probability of >15% Drawdown: 11.1%

Return Distribution Percentiles:

• 5th: -20.90% (95% VaR)
• 25th: -7.34%
• 50th (median): 2.17%
• 75th: 11.91%
• 95th: 25.49%

Implementation Details

Budget & Fees

• Total Budget: €1,271.97 EUR ($1,476.27 USD)
• Trade Fees: €2 per trade, €4 round-trip per position
• Total Fees: €8.00 (0.63% of portfolio)

Recommended Execution

1. Buy 31 shares of UPST @ $46.75 = $1,449.25
2. Cash Remaining: $27.02 USD (€23.28 EUR)
3. Effective Allocation: 100% UPST, 0% BYND

Alternative Allocation (if correlation < 0.5)

1. Buy 28 shares of UPST @ $46.75 = $1,309.00
2. Buy 135 shares of BYND @ $1.22 = $164.70
3. Total: $1,473.70
4. Cash Remaining: $2.57 USD

Risk Metrics

Value at Risk (95%, 2-week)

• 100% UPST: -21.63%
• 50/50 Portfolio: -29.44%
• 100% BYND: -42.75% (estimated)

Drawdown Probabilities

• >15% Loss Probability: 14.6% (UPST) vs 21.5% (50/50)
• >20% Loss Probability: 8.2% (UPST) vs 14.3% (50/50)

Key Risk Factors

1. Market Risk: Both stocks have beta > 2.0
2. Correlation Risk: High correlation (0.65 assumed) reduces diversification
3. Liquidity Risk: BYND at $1.22 may have wide spreads
4. Horizon Risk: 2-week timeframe limits recovery potential
5. Fee Impact: €8 fees = 0.63% hurdle

Probability Analysis

Target Achievement (5x SPY = 3.75%)

• 100% UPST: 44.5% probability
• 90/10 UPST/BYND: 44.5% probability
• 50/50 Portfolio: 46.0% probability (slightly higher but much riskier)

Risk-Return Trade-off

Strategic Rationale

Why 100% UPST is Recommended

1. Superior Risk-Adjusted Returns: Higher Sharpe ratio (0.124 vs 0.097 for 50/50)
2. Lower Volatility: 14.23% vs 19.02% for 50/50 portfolio
3. Better Short Squeeze Setup: 29.53% SI vs 20.72% for BYND
4. Stronger Momentum: RSI 67.2 vs 57.7
5. Implementation Efficiency: Whole shares work better at $46.75 vs $1.22

Why BYND is Suboptimal

1. Extreme Volatility: 82.72% historical range indicates unstable price action
2. Poor Risk-Adjustment: Lower Sharpe despite higher expected return
3. Liquidity Concerns: $1.22 price suggests potential spread issues
4. Correlation Drag: High correlation with UPST reduces diversification benefit

Risk Management Protocol

Entry Criteria

1. Market Condition: SPY above 200-day MA, VIX < 20
2. Stock-Specific: UPST above $45 support, RSI > 60
3. Timing: Enter on Monday Dec 9, 2025

Exit Criteria

1. Stop-Loss: 15% of portfolio value ($1,231.83 USD)
2. Profit Target: 5% return ($1,550.08 USD)
3. Time Stop: Exit by Dec 20 regardless of P&L
4. Thesis Break: Exit if short interest drops below 25%

Position Monitoring

1. Daily: Check price, volume, RSI
2. Weekly: Review short interest data
3. Continuous: Monitor market sentiment, news flow

Limitations & Assumptions

Model Limitations

1. Normal Distribution Assumption: Returns may have fat tails
2. Stationarity: Historical parameters may not persist
3. Correlation Stability: 0.65 correlation is an estimate
4. Short Squeeze Timing: Difficult to predict catalyst timing

Data Limitations

1. 2-Week Horizon: Limited historical data for precise estimation
2. Fee Impact: Assumes €4 round-trip, actual may vary
3. Slippage: Not modeled for BYND's potential wide spreads
4. Market Impact: Small position size minimizes but not zero

Conclusion

For an ULTRA-AGGRESSIVE 2-week trading strategy targeting 5x SPY returns:

RECOMMENDATION: Allocate 100% to UPST (31 shares, $1,449.25)

Expected Outcome:

• 44.5% probability of achieving 3.75% target return
• 14.6% probability of >15% drawdown
• Expected Sharpe ratio: 0.124

Key Risk: This remains a high-risk strategy with substantial probability of loss. The 2-week horizon amplifies timing risk, and fees represent a significant hurdle.

Alternative: If correlation between BYND and UPST is below 0.5, consider 90% UPST / 10% BYND allocation for slight diversification benefit.

Analysis based on "The Elements of Quantitative Investing" framework. Past performance is not indicative of future results. Ultra-aggressive strategies carry high risk of substantial losses.