Despite market weakness, the long/short market neutral strategy gained 0.34% from the open to the close of Friday, August 11, 2017.
This long/short market neutral strategy is based on features engineered by DLPAL software. The score for ranking the SP100 stocks is Pdelta*Significance and considers the top/bottom 10% of the stocks, i.e., 10 long and 10 short. For more details see this article.
Results for Friday, August 11, 2017
The results are based on the ranking as of the close of the previous trading day. All trades are for the next open.
DLPAL LS has a function that calculates the next day return from open to close based on equal allocation (no leverage) after the historical data for the stocks are updated.
Established hedge funds with web presence can receive a free fully functional license of DLPAL LS valid for a period of two months. For more details click here.