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 |
The Deltix Quantitative Research Team
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