Can Predictions on New Issue Price Movement be Used to Generate Alpha?
An Automated Trading Strategy Using Consensus Data from Triad Securities
Deltix has just completed research that demonstrates that positive returns can be achieved by using a proprietary consensus report from the New Issue Service offered by Triad Securities Corp.
We developed two algorithms covering 1100 equities. Back-testing showed the two strategies (the first for IPOs, the second for Secondaries) had Sharpe Ratios of 2.11 and 2.73 with average profits per share of $0.20 and $0.09 respectively for the eight years of 2008 to 2015.
Click here to download the report that includes details about the data set, algorithm and specific results.