Can Earnings Date Revisions be Used to Generate Alpha?
An Automated Trading Strategy Using Earnings Date Revisions from Wall Street Horizon
Deltix updated its research from 2015, extending the data used from January 2006 to March 2017. We continue to be impressed by the stability of returns with this trading strategy.
The research 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, for both hedged and un-hedged versions of the strategy, for the period January 2006 to March 2017, the back-tested strategies showed Sharpe Ratios of 1.96 (unhedged) and 1.99 (hedged) with average profit per share of 10 cents and 8 cents respectively and 15% of annual return.
By comparison, in the prior study covering the period from January 2006 to September 2015, the back-tested strategies showed Sharpe Ratios of 2.08 (unhedged) and 2.12 (hedged). Average profit per share remained unchanged.
Click here to download the report that includes details about the study data set, algorithm and trading strategy, and specific results.