Can You Generate Alpha in US Equities Using Crowd Sourced Earnings Data?

By: The Deltix Quantitative Research Team

Introduction

This paper describes the implementation of an automated equity trading strategy based on aggregated company earnings estimates from independent, buy-side, and sell-side analysts, along with those of private investors and students. By sourcing estimates from a diverse community of individuals (“crowd-sourcing”), Estimize provides an alternative view of earnings expectations compared to traditional sell-side analysts.

We implemented the strategy in the Deltix QuantOffice research platform, a purpose-built C# development studio with embedded math, statistics and data libraries.

Estimize Data

The Estimize data used in this research is a set of earnings per share (EPS) estimates. Each data record refers to a certain EPS announcement which is made for a stock every quarter. The data record features a set of fields:

–        Instrument type;

–        Creation time;

–        Estimate_id;

–        Released_id;

–        EPS forecast;

–        Revenue forecast;

–        Date of the release.

 

A sample of the Estimize data as represented in Deltix QuantOffice is shown below.


 

Basis of Research using Estimize data

The purpose of the research described in this paper is to determine if there are opportunities to generate alpha in US equities, using Estimize data as a basis for overnight market movement prediction (the holding period is about 19 hours). We show how with simple mathematical techniques, we can identify pricing inefficiencies which we can exploit to generate excess returns. We take the theory of stock market overreaction as a basis for our model. A consequence of overreaction is the possible profitability of a contrarian strategy, that is, a strategy that exploits negative serial dependence in asset returns. The defining characteristic of a contrarian strategy is the purchase of securities that have performed poorly in the past and the sale of securities that have performed well. Such “selling the winners” and “buying the losers” may earn positive returns because current losers are likely to become future winners and current winners are likely to become future losers when stock returns are negatively autocorrelated. Therefore, it may be said that an implication of stock market overreaction is positive expected profits from a contrarian investment strategy.

This research analyzes how Estimize forecasts change over the period preceding the announcement by a company of its earnings (reporting period). The directionality in estimates can serve as an indicator for “winners” and “losers”. We determine if the short term estimates are more optimistic or pessimistic than the long term ones to predict the change of price after the announcement.

As a start, let us determine which estimates should be considered as short term. To do this, the average number of estimates per reporting period for a ticker universe of the S&P100 is calculated. The results are shown below.

Ticker

Number

Ticker

Number

Ticker

Number

AAPL

186.57

MON

10.43

BMY

4.13

GOOG

70.62

HON

10.33

FCX

4.00

AMZN

53.10

JNJ

9.64

APC

3.88

NKE

40.22

CVS

9.23

MET

3.80

SBUX

33.00

WMT

9.15

UNP

3.78

EBAY

32.85

PG

9.00

WAG

3.67

INTC

30.46

FDX

8.50

RTN

3.43

DIS

28.00

CL

7.50

UPS

3.43

JPM

27.56

UNH

7.50

LLY

3.36

CSCO

25.91

AIG

7.44

AEP

3.33

IBM

24.85

MRK

7.25

DOW

3.00

F

24.45

GILD

7.11

NOV

2.75

MSFT

22.92

ABT

6.78

NSC

2.75

V

22.64

HAL

6.67

MDT

2.67

ORCL

21.30

AMGN

6.63

SO

2.67

QCOM

19.83

BAX

6.57

MMM

2.63

HPQ

19.73

EMR

6.57

MDLZ

2.33

MA

18.38

PEP

6.50

UTX

2.33

HD

17.36

BA

6.44

DVN

2.25

DELL

16.71

T

6.44

EXC

2.25

EMC

16.25

LMT

6.29

COF

2.09

WFC

16.00

CVX

6.09

COP

2.00

LOW

15.88

MS

5.83

MO

2.00

GS

15.62

PFE

5.50

OXY

2.00

TGT

14.56

VZ

5.13

BK

1.88

COST

13.82

TWX

5.00

APA

1.75

TXN

13.77

SLB

4.78

PM

1.50

BAC

13.58

AXP

4.69

WMB

1.00

C

13.00

USB

4.50

ALL

0.00

MCD

13.00

XOM

4.40

BRK.B

0.00

CAT

11.31

DD

4.25

SPG

0.00

GE

11.11

ACN

4.22

KO

10.64

GD

4.20

 

The mean value is 12.5 estimates per reporting period. To designate estimates as a short term, we need to balance between having too large a number of estimates (which may increase imprecision) and too small a number (which may be unrepresentative). Therefore, we expect that the boundary between these short term and long term estimates should be a particular quintile, q, of estimates:

In our implementation q= 0.2, which means that for 100 estimates, we take the mean value of the last 20 as the short term forecast.

To measure the predictive power of this approach we need to collect the estimates prior to the last reporting date and calculate the mean estimate which is our long term forecast:

The last estimate in this summation is at the day close prior to the report.

Similarly, the short term forecast is:

Trading Hypothesis

Our hypothesis is that relatively higher optimism in the short term forecast compared to the long-term forecast usually leads to negative price movement after the actual earnings announcement. In this case, the announcement will probably miss the short term expectation, and the stock price will fall. On the other hand, where long term optimism is followed by short term, pre-announcement, pessimism then this predicts positive stock price movement.

Trading Algorithm

To implement this hypothesis as an automated trading strategy we need to:

1)     Collect the earnings estimates until the day close prior to the earnings announcement and calculate the mean estimate:

meanEPS = sumEPS/EPScount;

 

2)     Calculate the mean of last q values:

k  = Floor(EPScount*q);

meanEPS_q = sumEPS_k/k;

 

3)     Calculate the difference between long and short term forecast, i.e. the difference between the mean Estimize consensus pre-report and mean Estimize consensus of the last 20% values:

 

delta = meanEPS – meanEPS_q;

 

4)     Open position prior to the EPS announcement in accordance with ∆.

 if (delta < 0) goShort; else goLong;

 

5)     Close position on next day open.

In the strategy, we open the position at 15:59 and close the position at 09:35 next day. Through testing, we determined that opening position at the closing auction price has no significant impact on performance.

 

Market Neutrality

We tested strategy performance using dollar (notional) and beta (market) neutral approaches with the goal of creating a portfolio uncorrelated with the movement of the market, i.e. to determine that this Estimize-based strategy generates true alpha.

 

1)     Dollar-neutral:

The portfolio is hedged using the S&P 500 index via the SPY. We calculate the dollar amount of all opened positions at 15:59 and open the opposite position in SPY. If the dollar amounts invested in each of the stocks are  , then we invest in SPY:  

 

 2)     Beta-neutral:

We performed a regression of stock returns on the SPY return over a period of 250 days:

 

Where denotes the daily return of a stock i or SPY index respectively, R = log(CurrentDayClose/prevDayClose). We used Ordinary Least Squares method to estimate betas for each stock.

If the dollar amounts invested in each of the stocks are , then the dollar amount invested in SPY is such that:

 

which keeps the overall portfolio beta-neutral.

These variations of the algorithm are available via strategy input parameters, in QuantOffice.


Consolidated Report

The strategy was run on securities:

1) S&P100;

2) 100 companies from S&P500 with the greatest turnover;

3) 200 companies from S&P500 with the greatest turnover.

Back-testing period: from 12/26/2011 to 12/31/2013.

 

 

S&P100

100 companies from S&P500 

200 companies from S&P500 

Strategy

Stocks

Dollar neutral

Beta neutral

Stocks

Dollar neutral

Beta neutral

Stocks

Dollar neutral

Beta neutral

Net Profit/Loss

22,903.79

18,235.72

17,099.26

28,831.43

24,290.54

21,602.58

42,221.01

34,195.22

28,497.21

Total Profit

88,561.18

92,850.19

88,344.25

121,216.22

125,820.11

121,110.75

211,465.74

219,339.25

207,103.44

Total Loss

-65,657.39

-74,614.47

-71,244.99

-92,384.79

-101,529.57

-99,508.17

-169,244.74

-185,144.03

-178,606.22

Cumulated Profit %

22.90 %

18.24 %

17.10 %

28.83 %

24.29 %

21.60 %

42.22 %

34.20 %

28.50 %

 

 

 

 

 

 

 

 

 

 

Max Drawdown

-4,050.98

-4,064.70

-4,130.32

-6,097.02

-6,023.01

-5,886.81

-6,847.01

-6,567.76

-6,992.91

Max Drawdown %

-3.44 %

-3.54 %

-3.62 %

-4.80 %

-4.84 %

-4.82 %

-4.87 %

-4.73 %

-5.23 %

Max Drawdown Time

1/28/2013

1/28/2013

1/28/2013

1/23/2013

1/23/2013

1/23/2013

3/19/2013

11/27/2013

11/29/2013

Return/Drawdown Ratio

5.65

4.49

4.14

4.73

4.03

3.67

6.17

5.21

4.08

Drawdown Days %

69.17 %

72.33 %

48.17 %

72.33 %

72.92 %

49.12 %

80.43 %

82.61 %

55.37 %

Max Drawdown Duration

81

81

81

137

139

139

78

133

133

 

 

 

 

 

 

 

 

 

 

CAGR

11.18 %

8.99 %

5.71 %

13.90 %

11.82 %

7.12 %

19.84 %

16.31 %

9.27 %

Sharpe Ratio

2.08

1.72

1.36

2.12

1.83

1.33

2.19

1.88

1.33

Sortino Ratio

5.38

5.22

4.20

6.56

6.47

5.34

9.06

8.66

6.99

UPI

3.43

2.74

2.16

3.77

3.13

2.26

3.90

3.14

2.14

Annualized Volatility

0.72

0.54

0.40

0.65

0.46

0.32

0.64

0.46

0.30

Information Ratio

1.93

1.62

1.29

1.88

1.63

1.22

1.87

1.62

1.18

Optimal f

38.65

33.01

32.41

32.33

28.21

24.98

24.20

21.77

19.01

 

 

 

 

 

 

 

 

 

 

All Trades #

603

784

771

657

838

823

1148

1389

1344

Profitable Trades Ratio

0.54

0.52

0.52

0.54

0.52

0.52

0.53

0.52

0.52

Winning Trades #

328

409

401

355

433

425

607

718

693

Losing Trades #

275

375

370

302

405

398

541

671

651

 

 

 

 

 

 

 

 

 

 

Average Trade

37.98

23.26

22.18

43.88

28.99

26.25

36.78

24.62

21.20

Average Winning Trade

270.00

227.02

220.31

341.45

290.58

284.97

348.38

305.49

298.85

Average Losing Trade

-238.75

-198.97

-192.55

-305.91

-250.69

-250.02

-312.84

-275.92

-274.36

Avg. Win/ Avg. Loss Ratio

1.13

1.14

1.14

1.12

1.16

1.14

1.11

1.11

1.09

Average Profit per Share

0.17

0.12

0.11

0.19

0.14

0.13

0.15

0.11

0.09

 

 

 

 

 

 

 

 

 

 

Max Conseq. Winners

8

10

10

7

8

7

10

8

7

Max Conseq. Losers

6

6

7

9

7

7

8

8

8

 

Conclusion

We presented an approach that measures the relative optimism or pessimism of short term versus long term Estimize estimates as a strong predictive factor of the price directionality after EPS announcements. We developed a trading strategy that implements an algorithm based on this approach. We also constructed dollar-neutral and beta-neutral portfolios to demonstrate that the achieved effect is uncorrelated with the market.

The main contribution of the paper is back-testing and comparison of the unhedged strategy with dollar-neutral and beta-neutral ones. On stocks in the S&P100, back-testing shows that the unhedged strategy has an Information ratio of 1.93 over the period 2012-2013, with a stronger performance in 2012. Dollar-neutral and beta-neutral strategies achieved Information Ratios of 1.62 and 1.29 respectively, which indicates that the strategy does generate alpha.

 

 

 

Appendix A: Detailed Reports

Only S&P100 stocks:

Net Profit/Loss

22,903.79

13,834.76

9,069.03

Total Profit

88,561.18

58,373.43

30,187.75

Total Loss

-65,657.39

-44,538.67

-21,118.72

Cumulated Profit %

22.90 %

13.83 %

9.07 %

Max Drawdown

-4,050.98

-2,535.09

-2,528.59

Max Drawdown %

-3.44 %

-2.28 %

-2.32 %

Max Drawdown Date

1/28/2013

1/24/2013

7/31/2013

Return/Drawdown Ratio

5.65

5.46

3.59

Drawdown Days %

69.17 %

78.26 %

73.91 %

Max Drawdown Duration

81

83

137

CAGR

11.18 %

6.88 %

4.56 %

Sharpe Ratio

2.08

1.49

1.33

Annualized Volatility

5.38

4.62

3.43

Sortino Ratio

3.43

2.43

2.32

UPI

0.72

0.52

0.34

Information Ratio

1.93

1.42

1.29

Optimal f

38.65

32.26

38.88

All Trades #

603

441

162

Profitable Trades Ratio

0.54

0.54

0.56

Winning Trades #

328

238

90

Losing Trades #

275

203

72

Average Trade

37.98

31.37

55.98

Average Winning Trade

270.00

245.27

335.42

Average Losing Trade

-238.75

-219.40

-293.32

Avg. Win/ Avg. Loss Ratio

1.13

1.12

1.14

Average Profit per Share

0.17

0.15

0.23

Max Conseq. Winners

8

7

7

Max Conseq. Losers

6

6

5

Hedged by SPY S&P100 stocks:

 

Net Profit/Loss

18,235.72

13,519.25

4,716.47

Total Profit

92,850.19

58,917.72

33,932.47

Total Loss

-74,614.47

-45,398.47

-29,216.00

Cumulated Profit %

18.24 %

13.52 %

4.72 %

Max Drawdown

-4,064.70

-2,553.26

-3,319.65

Max Drawdown %

-3.54 %

-2.30 %

-3.13 %

Max Drawdown Date

1/28/2013

1/24/2013

8/1/2013

Return/Drawdown Ratio

4.49

5.29

1.42

Drawdown Days %

72.33 %

83.79 %

90.91 %

Max Drawdown Duration

81

107

169

CAGR

8.99 %

6.73 %

2.40 %

Sharpe Ratio

1.72

1.45

0.63

Annualized Volatility

5.22

4.63

3.80

Sortino Ratio

2.74

2.37

0.99

UPI

0.54

0.50

0.12

Information Ratio

1.62

1.39

0.62

Optimal f

33.01

31.44

16.63

All Trades #

784

483

301

Profitable Trades Ratio

0.52

0.53

0.50

Winning Trades #

409

257

152

Losing Trades #

375

226

149

Average Trade

23.26

27.99

15.67

Average Winning Trade

227.02

229.25

223.24

Average Losing Trade

-198.97

-200.88

-196.08

Avg. Win/ Avg. Loss Ratio

1.14

1.14

1.14

Average Profit per Share

0.12

0.14

0.08

Max Conseq. Winners

10

7

6

Max Conseq. Losers

6

6

8

 

 

Beta neutral S&P100 stocks:

Net Profit/Loss

17,099.26

13,140.04

3,959.22

Total Profit

88,344.25

55,753.20

32,591.05

Total Loss

-71,244.99

-42,613.16

-28,631.83

Cumulated Profit %

17.10 %

13.14 %

3.96 %

Max Drawdown

-4,130.32

-2,589.82

-3,407.28

Max Drawdown %

-3.62 %

-2.34 %

-3.24 %

Max Drawdown Date

1/28/2013

1/24/2013

8/1/2013

Return/Drawdown Ratio

4.14

5.07

1.16

Drawdown Days %

48.17 %

54.53 %

60.76 %

Max Drawdown Duration

81

129

169

CAGR

5.71 %

4.44 %

1.38 %

Sharpe Ratio

1.36

1.20

0.44

Annualized Volatility

4.20

3.71

3.13

Sortino Ratio

2.16

1.93

0.67

UPI

0.40

0.39

0.08

Information Ratio

1.29

1.15

0.44

Optimal f

32.41

32.23

14.08

All Trades #

771

469

302

Profitable Trades Ratio

0.52

0.54

0.49

Winning Trades #

401

253

148

Losing Trades #

370

216

154

Average Trade

22.18

28.02

13.11

Average Winning Trade

220.31

220.37

220.21

Average Losing Trade

-192.55

-197.28

-185.92

Avg. Win/ Avg. Loss Ratio

1.14

1.12

1.18

Average Profit per Share

0.11

0.15

0.07

Max Conseq. Winners

10

7

6

Max Conseq. Losers

7

6

6

 

Only 100 stocks from S&P500:

Net Profit/Loss

28,831.43

23,711.21

5,120.22

Total Profit

121,216.22

80,130.00

41,086.22

Total Loss

-92,384.79

-56,418.79

-35,966.00

Cumulated Profit %

28.83 %

23.71 %

5.12 %

Max Drawdown

-6,097.02

-3,303.87

-5,767.64

Max Drawdown %

-4.80 %

-2.60 %

-5.24 %

Max Drawdown Date

1/23/2013

12/20/2013

5/21/2013

Return/Drawdown Ratio

4.73

7.18

0.89

Drawdown Days %

72.33 %

65.42 %

78.46 %

Max Drawdown Duration

137

97

301

CAGR

13.90 %

11.55 %

2.60 %

Sharpe Ratio

2.12

2.17

0.57

Annualized Volatility

6.56

5.32

4.59

Sortino Ratio

3.77

4.18

0.87

UPI

0.65

0.83

0.05

Information Ratio

1.88

1.98

0.54

Optimal f

32.33

40.79

12.33

All Trades #

657

451

206

Profitable Trades Ratio

0.54

0.55

0.52

Winning Trades #

355

247

108

Losing Trades #

302

204

98

Average Trade

43.88

52.57

24.86

Average Winning Trade

341.45

324.41

380.43

Average Losing Trade

-305.91

-276.56

-367.00

Avg. Win/ Avg. Loss Ratio

1.12

1.17

1.04

Average Profit per Share

0.19

0.23

0.11

Max Conseq. Winners

7

8

7

Max Conseq. Losers

9

10

5

 

 

Hedged by SPY 100 stocks:

 

Net Profit/Loss

24,290.54

23,623.01

667.54

Total Profit

125,820.11

81,115.72

44,704.39

Total Loss

-101,529.57

-57,492.71

-44,036.86

Cumulated Profit %

24.29 %

23.62 %

.67 %

Max Drawdown

-6,023.01

-3,452.13

-7,171.01

Max Drawdown %

-4.84 %

-2.72 %

-6.68 %

Max Drawdown Date

1/23/2013

12/20/2013

10/28/2013

Return/Drawdown Ratio

4.03

6.84

0.09

Drawdown Days %

72.92 %

75.30 %

86.56 %

Max Drawdown Duration

139

100

301

CAGR

11.82 %

11.51 %

.34 %

Sharpe Ratio

1.83

2.16

0.07

Annualized Volatility

6.47

5.32

4.93

Sortino Ratio

3.13

4.17

0.10

UPI

0.46

0.79

0.01

Information Ratio

1.63

1.97

0.07

Optimal f

28.21

40.61

1.41

All Trades #

838

503

335

Profitable Trades Ratio

0.52

0.54

0.49

Winning Trades #

433

270

163

Losing Trades #

405

233

172

Average Trade

28.99

46.96

1.99

Average Winning Trade

290.58

300.43

274.26

Average Losing Trade

-250.69

-246.75

-256.03

Avg. Win/ Avg. Loss Ratio

1.16

1.22

1.07

Average Profit per Share

0.14

0.22

0.01

Max Conseq. Winners

8

9

6

Max Conseq. Losers

7

8

6

Beta neutral 100 stocks

 

Net Profit/Loss

21,602.58

22,202.86

-600.28

Total Profit

121,110.75

77,638.42

43,472.33

Total Loss

-99,508.17

-55,435.57

-44,072.61

Cumulated Profit %

21.60 %

22.20 %

-.60 %

Max Drawdown

-5,886.81

-3,471.30

-7,440.96

Max Drawdown %

-4.82 %

-2.76 %

-6.99 %

Max Drawdown Date

1/23/2013

12/20/2013

10/28/2013

Return/Drawdown Ratio

3.67

6.40

-0.08

Drawdown Days %

49.12 %

50.88 %

59.00 %

Max Drawdown Duration

139

100

301

CAGR

7.12 %

7.31 %

-.21 %

Sharpe Ratio

1.33

1.68

-0.05

Annualized Volatility

5.34

4.35

4.12

Sortino Ratio

2.26

3.21

-0.07

UPI

0.32

0.59

0.00

Information Ratio

1.22

1.56

-0.05

Optimal f

24.98

38.58

-1.25

All Trades #

823

490

333

Profitable Trades Ratio

0.52

0.54

0.47

Winning Trades #

425

267

158

Losing Trades #

398

223

175

Average Trade

26.25

45.31

-1.80

Average Winning Trade

284.97

290.78

275.14

Average Losing Trade

-250.02

-248.59

-251.84

Avg. Win/ Avg. Loss Ratio

1.14

1.17

1.09

Average Profit per Share

0.13

0.22

-0.01

Max Conseq. Winners

7

9

6

Max Conseq. Losers

7

8

7

Only 200 stocks from S&P500:

 

Net Profit/Loss

42,221.01

35,965.79

6,255.22

Total Profit

211,465.74

148,821.21

62,644.53

Total Loss

-169,244.74

-112,855.42

-56,389.31

Cumulated Profit %

42.22 %

35.97 %

6.26 %

Max Drawdown

-6,847.01

-5,999.18

-6,399.88

Max Drawdown %

-4.87 %

-4.60 %

-5.73 %

Max Drawdown Date

3/19/2013

2/20/2013

5/21/2013

Return/Drawdown Ratio

6.17

6.00

0.98

Drawdown Days %

80.43 %

82.21 %

87.15 %

Max Drawdown Duration

78

109

299

CAGR

19.84 %

17.10 %

3.17 %

Sharpe Ratio

2.19

2.09

0.55

Annualized Volatility

9.06

8.18

5.72

Sortino Ratio

3.90

3.90

0.87

UPI

0.64

0.62

0.07

Information Ratio

1.87

1.85

0.53

Optimal f

24.20

25.58

9.69

All Trades #

1148

841

307

Profitable Trades Ratio

0.53

0.54

0.50

Winning Trades #

607

453

154

Losing Trades #

541

388

153

Average Trade

36.78

42.77

20.38

Average Winning Trade

348.38

328.52

406.78

Average Losing Trade

-312.84

-290.86

-368.56

Avg. Win/ Avg. Loss Ratio

1.11

1.13

1.10

Average Profit per Share

0.15

0.18

0.09

Max Conseq. Winners

10

9

5

Max Conseq. Losers

8

8

5

 

 

Hedged by SPY 200 stocks:

 

Net Profit/Loss

34,195.22

35,888.21

-1,692.99

Total Profit

219,339.25

149,819.75

69,519.49

Total Loss

-185,144.03

-113,931.54

-71,212.48

Cumulated Profit %

34.20 %

35.89 %

-1.69 %

Max Drawdown

-6,567.76

-5,997.23

-9,581.66

Max Drawdown %

-4.73 %

-4.60 %

-8.91 %

Max Drawdown Date

11/27/2013

2/20/2013

11/8/2013

Return/Drawdown Ratio

5.21

5.98

-0.18

Drawdown Days %

82.61 %

83.99 %

92.29 %

Max Drawdown Duration

133

109

299

CAGR

16.31 %

17.07 %

-.87 %

Sharpe Ratio

1.88

2.09

-0.14

Annualized Volatility

8.66

8.18

6.47

Sortino Ratio

3.14

3.89

-0.19

UPI

0.46

0.62

-0.01

Information Ratio

1.62

1.85

-0.13

Optimal f

21.77

25.53

-2.09

All Trades #

1389

892

497

Profitable Trades Ratio

0.52

0.54

0.48

Winning Trades #

718

479

239

Losing Trades #

671

413

258

Average Trade

24.62

40.23

-3.41

Average Winning Trade

305.49

312.78

290.88

Average Losing Trade

-275.92

-275.86

-276.02

Avg. Win/ Avg. Loss Ratio

1.11

1.13

1.05

Average Profit per Share

0.11

0.17

-0.02

Max Conseq. Winners

8

9

7

Max Conseq. Losers

8

8

6

 

 

Beta neutral 200 stocks:

 

Net Profit/Loss

28,497.21

33,793.76

-5,296.55

Total Profit

207,103.44

141,269.44

65,834.00

Total Loss

-178,606.22

-107,475.67

-71,130.55

Cumulated Profit %

28.50 %

33.79 %

-5.30 %

Max Drawdown

-6,992.91

-5,998.04

-10,306.36

Max Drawdown %

-5.23 %

-4.68 %

-9.85 %

Max Drawdown Date

11/29/2013

2/20/2013

11/8/2013

Return/Drawdown Ratio

4.08

5.63

-0.51

Drawdown Days %

55.37 %

56.46 %

62.86 %

Max Drawdown Duration

133

109

299

CAGR

9.27 %

10.85 %

-1.91 %

Sharpe Ratio

1.33

1.64

-0.34

Annualized Volatility

6.99

6.61

5.55

Sortino Ratio

2.14

3.07

-0.47

UPI

0.30

0.47

-0.03

Information Ratio

1.18

1.48

-0.34

Optimal f

19.01

24.81

-6.19

All Trades #

1344

853

491

Profitable Trades Ratio

0.52

0.54

0.47

Winning Trades #

693

460

233

Losing Trades #

651

393

258

Average Trade

21.20

39.62

-10.79

Average Winning Trade

298.85

307.11

282.55

Average Losing Trade

-274.36

-273.47

-275.70

Avg. Win/ Avg. Loss Ratio

1.09

1.12

1.02

Average Profit per Share

0.09

0.17

-0.05

Max Conseq. Winners

7

9

7

Max Conseq. Losers

8

8

6

 

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The Deltix Quantitative Research Team