Our long/short FAANG strategy operates in the weekly timeframe. The strategy generated a short signal for Facebook stock after the close of last week on Friday, March 16. The strategy is up 13% year-to-date.
The weekly FAANG long/short strategy selects two of the five FAANG stocks (FB, AAPL, AMZN, NFLX, GOOGL) to go long and two to go short each week based on features (predictors) calculated by DLPAL LS software. For more details see this article.
Below is the output of DLPAL LS as of the close of Friday, March 16, with the calculation of returns for all five stocks as of close of Friday, March 23.
After the close of March 16, NFLX and AMZN, the top two stocks based of the feature P-delta x S, were marked long and AAPL and FB were marked short. As it shown from the above results, the return for all stocks was +2.72% for close to close and +2.11% from open to close.
The return of the strategy year-to-date is 13% based on $0.01/share commission. Below are the equity curve, underwater equity curve and monthly returns table since 2016. Click on images to enlarge.
Note that the FAANG long/short signals are included in your weekly premium reports. Click here for more details.
If you have any questions or comments, happy to connect on Twitter: @mikeharrisNY
Charting and backtesting program: Amibroker
Quantitative analysis of Dow-30 stocks and 30 popular ETFs is included in our Weekly Premium Report. Market signals for longer-term traders are offered by our premium Market Signals service. Mean-reversion signals for short-term SPY traders are provided in our Mean Reversion report.