DLPAL DQ 3 in 3

The first day of August was a good day for DLPAL DQ with 3 in 3 winning signals from a Dow 30 scan after the close of the previous trading day, although the index fell 0.3%

Despite a down day for the Dow 30, DLPAL DQ results from the previous day after the close (Tuesday, July 31, 2018) generated three winners from open to close of the day, two long and one short.

Below are scan results of DLPAL DQ for Dow 30 stocks as of the close of Tuesday, July 31, 2018, and the returns from open to close of Wednesday, August 1, 2018.

The program generated long signals for AAPL and JNJ, and a short signal for TRV. The returns of the three signals from open to close of the day were 1.19%, 0.19% and 0.82%, in that order. For equal allocation to these three signals, the gain was 0.73% from the open to the close of the day.

Note that we perform basic validation after signals are generated to check for spurious results but this is essentially discretionary quantitative trading and final decisions about which signal are worth pursuing may depend also on other external factors. Usually short signals show low robustness on the average but in the case of the short signal in TRV, the Robustness Index was 100%, as shown in the relevant test results below.

We also liked the backtest profile of this particular short signal:

Below is the scan workspace for the above results. We basically look for high profitability signals in Dow 30 stocks. Click on images to enlarge.

Note that we use data from 01/03/2000 or later adjusted for splits and dividends.


DLPAL DQ identifies parameter-less strategies in historical price data that fulfill user-defined performance statistics and risk/reward parameters as of the last bar in the input data files. For more information about DLPAL DQ click here. We offer a two-week trial with full functionality except code generation. Click here for a demo.

For articles about DLPAL DQ click here.

Disclaimer

This entry was posted in DLPAL software and tagged , , , , . Bookmark the permalink.

Leave a Reply