Can Earnings Date Revisions be Used to Generate Alpha?
An Automated Trading Strategy Using Earnings Date Revisions from Wall Street Horizon
Deltix has just completed research that demonstrates that positive returns can be achieved by using earnings date revision signals from Wall Street Horizon (WSH).
On stocks in the S&P 500, our back-testing shows that hedged and unhedged versions of the trading strategy have Sharpe Ratios of 2.08 to 2.12 over the period 2006-2015, average profit per share of $0.08 to $0.10, and 15% of annual return.
Click here to download the research report that includes details about the study data set, algorithm and trading strategy, and specific results.