WHAL · BACKTEST SEP 2023 – OCT 2025
Whale Flow
A cross-sectional options-flow signal: buy the stock with the most bullish call premium relative to its market cap. Trading live on Alpaca.
QUBT 1D · Example tradeWHAL
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Nov 2024: about $755K of bullish call premium against a ~$413M market cap put QUBT at the top of the ranking, twice in a week. Both entries were held to their time exit (+433% and +267%).
Backtest vs SPY
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Cumulative return, strategy vs SPY (dividend-adjusted).
Strategy logic
- Screens the day’s options flow for large, bullish, longer-dated call buying
- Liquidity and quality filters; leveraged and volatility ETFs excluded
- Ranks names by call premium relative to market cap
- Caps concurrent exposure to any one name
▶ Buys shares the next morning at a fixed % size · time-based exit
- Trades
- 426
- Return
- +224%
- SPY same period
- +57%
- Win rate
- 50.7%
- Max drawdown
- 44.2%
- Best trade
- QUBT +433%
* Backtest Sep 2023 – Oct 2025. Signal after the close, filled the next trading day with slippage.
Overview
Hypothesis: when call buying is very large relative to a company’s size, informed money may be positioning. After each close the system filters the day’s options flow to bullish, longer-dated call buying, sums premium per ticker, normalises by market cap and ranks the cross-section.
It trades the shares, not the options, so the signal is tested apart from the options’ leverage and decay. Execution is fully automated: the evening job selects, and the next morning it closes matured positions and opens the new one.
Highlights
- Return profile: a ~50% hit rate with a fat right tail — the edge comes from a few multi-baggers, so the design prioritises staying in winners over cutting losers.
- Ablations kept on record: a hard stop-loss cut the return to about +10%; a market-cap floor turned it negative; ranking by market cap instead of the ratio fell to +29%. The normalisation is the signal.
- No lookahead: selection uses only data available after the signal-day close, and entries happen on the next trading day.
- Risk: long-only and concentrated, so the strategy carries market beta and is not hedged. Drawdowns line up with broad sell-offs — the 2025 tariff shock was the worst.
Notes & caveats
- Thresholds, sizing and hold length are deliberately left out — this strategy is trading live.
- The backtest fills at the next day’s close while live orders go in at the next open — a known difference between simulation and live.
Stack
Pythonpandasalpaca-pyAPSchedulerDockerUnusual WhalesFMP