The DJIA and S&P 100 long/short market neutral strategies gained +0.55% and +0.33%, respectively, from the open to the close of Thursday, August 31, 2017.
This long/short market neutral strategy is based on features engineered by DLPAL software. The score for ranking stocks is Pdelta*Significance and considers the top/bottom 10% of the stocks, i.e., 3 long and 3 short for DJIA and 10 long and 10 short for S&P 100. For more details see this article.
Results for Thursday, August 31, 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 to calculate the next day return from open to close based on equal allocation (no leverage) after the historical data for the stocks are updated. In this case the result is +0.55% for DJIA and +0.33% for S&P 100, which are the returns for August 31 based on results generated by the program after the close of August 30.
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.