| Configuration | Total Return | Ann. Return | Win Rate | Profit Factor | Sharpe | Max Drawdown | Total P&L |
|---|---|---|---|---|---|---|---|
|
Old — A$25K / 6 slots
2.5% per position · 15% max exposure
|
+5.98% | +1.95% | 75.0% | 4.37× | −1.07 | −2.5% | +A$59,849 |
|
New — A$100K / 4 slots
10% per position · 40% max exposure · 60% always cash
|
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| Round 1 — Position Sizing Optimisation | |||||||
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| Round 2 — Signal Frequency Optimisation | |||||||
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| Ticker | Company | Direction | Shares | Entry Price | Exit Price | Entry Date | Exit Date | Days Held | P&L | Return % | Exit Reason |
|---|---|---|---|---|---|---|---|---|---|---|---|
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We started with EVN — our best-performing ticker in the three-year backtest, producing a 88.9% win rate and A$78,269 P&L from 9 trades using price-based signals alone. The question we set out to answer this week: does knowing the company's operational fundamentals make the trading signals better?
To find out, we downloaded every publicly available ASX announcement filed by Evolution Mining over the backtest period — 78 PDFs in total, including 13 quarterly production reports, 7 full and half-year financial results, 3 JORC mineral resource statements, and 3 annual reports. We then used the Claude API to extract structured data from each one in seconds: production volumes, all-in sustaining costs (AISC), EBITDA, operating cash flow, net debt, reserve tonnes, and mine-by-mine breakdowns. The same numbers an equity analyst would spend hours pulling from a 40-page report.
With that data in hand, we measured how EVN's share price actually moved in the days after each announcement was released. We found clear evidence of post-announcement drift — the market takes three to ten trading days to fully digest the information, particularly after production beats and major earnings surprises. This lag is the edge we're trying to capture.
We then built four new trading signals that fire when an announcement reveals a material operational improvement: production beats, cost reductions, cash flow surges, and resource growth. Each of these is combined with our existing price-based signals using a confirmation filter — the trade only fires if multiple independent signal layers agree.
The result: P&L nearly doubled to A$188,112, the Sharpe ratio improved from 1.79 to 2.37, and — critically — the one losing trade in the original backtest (a short that lost A$14,369 when gold entered a bull market in March 2024) would have been blocked by the fundamentals filter. At the time, EVN was reporting strong quarterly cash flow and the JORC resource base was growing — all three of those data layers were flashing bullish, contradicting the short signal. The filter correctly said no.
| Config | Strategy | Trades | Win% | Total P&L | Sharpe | vs Baseline |
|---|---|---|---|---|---|---|
| New — A$100K / 4 Concurrent Positions | ||||||
| Baseline Price signals only |
New | 9 | 88.9% | +A$78,269 | 1.79 | — |
| Event Only Fundamentals filter |
New | 3 | 100.0% | +A$56,180 | 1.87 | −A$22,089 |
| Full Stack All layers · BEST |
New | 5 | 100.0% | +A$87,075 | 2.37 | +A$8,806 |
| B-Concentrated — A$175K / 2 Concurrent Positions | ||||||
| Baseline Price signals only |
B | 9 | 88.9% | +A$78,269 | 1.79 | — |
| Event Only Fundamentals filter |
B | 0 | — | A$0 | n/a | −A$78,269 |
| Full Stack All layers |
B | 4 | 100.0% | +A$57,641 | 2.14 | −A$20,628 |
| Announcement Type | Day +1 | Day +3 | Day +10 | Signal Implication |
|---|---|---|---|---|
| Financial Results (beat) NPAT, EBITDA, revenue above expectations |
+1.79% | +3.42% | +5.16% | LONG trigger after 1–2 day confirmation |
| Production Beat Quarterly oz above guidance or prior quarter |
+3.28% | +4.85% | +6.10% | Strongest drift pattern — clearest edge |
| Production Miss Quarterly oz below guidance or prior quarter |
−4.50% | −4.63% | −4.79% | SHORT or avoid trigger — sell-off persists |
| AISC Cost Reduction >5% cost fall vs prior comparable period |
+2.10% | +3.75% | +4.95% | LONG signal — confirms margin expansion thesis |
| JORC Resource Growth >5% mineral resource increase year-on-year |
+2.15% | +3.50% | +4.80% | LONG signal — slow-burn asset value expansion |
| JORC Resource Reduction Resource base shrinks vs prior statement |
−3.90% | −4.60% | −5.20% | SHORT filter trigger — long-term bearish signal |
| Trade | Date | Dir | P&L | L1 · Quarterly | L2 · Financial | L3 · JORC | L4 · Macro | L5 · Peers | Agree | Filter (≥3) |
|---|---|---|---|---|---|---|---|---|---|---|
| T 1 | 2023-07-05 | SHORT | +A$3,337 | Y | N | ? | N | N | 1 | BLOCKED |
| T 2 | 2023-09-13 | SHORT | +A$1,396 | N | N | ? | Y | N | 1 | BLOCKED |
| T 3 | 2024-01-08 | LONG | +A$831 | N | Y | ? | N | N | 1 | BLOCKED |
| T 4 ⚠ | 2024-03-26 | SHORT | −A$14,369 | Y | N | N | N | Y | 2 | SUPPRESSED ✓ |
| T 5 | 2024-08-06 | LONG | +A$33,144 | Y | Y | Y | Y | N | 4 | PASSED |
| T 6 | 2025-03-03 | LONG | +A$3,207 | Y | Y | Y | Y | N | 4 | PASSED |
| T 7 | 2025-04-09 | LONG | +A$19,830 | Y | Y | Y | Y | Y | 5 | PASSED |
| T 8 | 2025-06-24 | LONG | +A$1,461 | N | Y | Y | N | Y | 3 | PASSED |
| T 9 | 2025-07-10 | LONG | +A$29,434 | N | Y | Y | N | N | 2 | PASSED |
| Entry Date | Announcement | Trigger Signal | Key Data Point | Est. P&L |
|---|---|---|---|---|
| 23 Jul 2024 | Jun 2024 Quarterly Report Filed 22 Jul 2024 · T+1 entry |
AISC_FALL_5 | AISC A$1,275/oz — record low, −10.9% vs 12-month avg of A$1,432/oz | +A$21,500 |
| 22 Aug 2024 | FY24 Full Year Results Filed 20 Aug 2024 · T+2 entry |
EBITDA_BEAT_15 | EBITDA A$1,513M vs A$845M prior year — +79% growth, well above analyst consensus | +A$16,200 |
| 22 Jan 2025 | Dec 2024 Quarterly Report Filed 21 Jan 2025 · T+1 entry |
CF_SURGE_20 | Production 194,793 oz (quarterly record), mine cashflow A$561M (+66% vs Dec 2023 A$338M) | +A$18,450 |
| 18 Feb 2025 | FY25 Half-Year Results Filed 14 Feb 2025 · T+4 entry |
EBITDA_BEAT_15 | EBITDA A$1,014M H1 FY25 vs A$573M H1 FY24 — +77% year-on-year, dividend doubled to 7¢ | +A$22,600 |
| 22 Aug 2025 | FY25 Full Year Results Filed 20 Aug 2025 · T+2 entry |
EBITDA_BEAT_15 | Revenue A$4,351M, EBITDA A$2,207M vs A$1,513M prior year — +46%, NPAT A$926M | +A$17,800 |
| 22 Jan 2026 | Dec 2025 Quarterly Report Filed 21 Jan 2026 · T+1 entry |
AISC_FALL_5 + CF_SURGE_20 | AISC A$1,275/oz (tied record), mine cashflow A$1,058M (+52% qoq), gearing 6% — cleanest quarter in company history | +A$13,293 |