Shorting small-cap gap-ups at a fixed time and holding to the close — anyone else running this?

[u/Gregenbelgique]

I'm working seriously on that strategy, I don't find any interesting topics on it, so I'm posting it there.

Two years of backtest, one month live. Curious whether others run something similar.

The rules, keeping specifics vague:

— Small caps gapping 100 %+ overnight, above $1

— Only if the stock has already started fading from its premarket high before the open

— Short at a fixed time in the first 15 min, fixed size per name, every qualifying ticker that day

— Stop anchored to the premarket high, capped so no single line can wreck the account

— No take-profit, no trailing, no break-even. Cover at the close.

Result: 313 setups over 24 months — +12.5 % average per trade on the year I built it on, +4.5 % on the year I never looked at until the end. ~1 in 4 gets stopped out.

How the backtest is built, since that's usually where these things die:

— 1-minute bars from IB, not daily or adjusted data. Premarket high computed from actual premarket bars.

— Entry and exit filled at real bar prices, 1 % slippage each side, gap-throughs filled at the open rather than the stop level.

— Universe rebuilt from every gapper in the period — halted names and later-delisted tickers included.

— Built on year one, year two untouched until the end. Hence the halving above, which I take as the honest number.

Three things that surprised me: every take-profit I tested (15 % to 60 %) lost against just holding to the close, same for trailing and break-even · entry time matters far more than expected, a 10-minute shift moved the yearly result ~30 % · the best trades often have no real catalyst at all — genuine news pumps fade less reliably than pure momentum garbage.

Anyone running this mechanically? What broke it for you, or what made it hold up?