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DLPAL DQ Performance on a Down Stock Market Day

After the close of Thursday, October 4, 2018, DLPAL DQ suggested four stocks from the tracked universe, two long and two short. All stocks generated profits next day from the open to the close on Friday, October 5, 2018. One of the longs, NEE, was the second best performing stock for the day although the S&P 500 fell 0.6%.

DLPAL DQ is an end-of-day scanner for discretionary quantitative traders. The software scans any number of securities for price action anomalies. Validation tools are included and code is generated for a variety of platforms for further testing.

Below are scan results of DLPAL DQ for a universe of 84 S&P 100 stocks as of the close of Thursday, October 4, 2018, and the returns from open to close of Friday, October 5, 2018.

P is the win rate, P1 is the 1-Bar win rate, Trades is the number of historical trades, CL is the maximum number of consecutive losers, Target and Stop are the values of the profit target and stop-loss, C indicates the type of exits, in this case percentages added to entry price shown in  Trade On as the open of next bar.

All stocks generated profit. Note that NEE had the second largest return in the universe of stocks tracked, after GE, as the table below shows (returns larger than 1%):

Identifying a winning long in a down market day is more difficult than identifying a winning short. The latter may win due to luck but in the former case the luck factor is lower. Of course, luck cannot be discounted completely in all cases.

A portfolio backtest of each signal on all stocks in the tracked universe significantly increases sample size and in this case indicated that all signals were profitable:

Below is the workspace used for the scan:

Based on the parameters shown on the workspace, we are always looking for high profitability patterns in the history of each stock with win rate greater than 80% and more than 20 trades.

Symbol list

Below is the list of stock symbols used in the analysis.

AAPL ABT AGN AIG ALL AMGN AMZN AXP BA BAC BIIB BK BLK BMY C CAT CELG CL CMCSA COF COP COST CSCO CVS CVX DHR DIS DUK DWDP EMR EXC F FDX GD GE GILD GS HAL HD HON IBM INTC JNJ JPM KO LLY LMT LOW MCD MDT MET MMM MO MRK MS MSFT NEE NKE NVDA ORCL OXY PEP PFE PG QCOM RTN SBUX SLB SO SPG T TGT TRV TXN UNH UNP UPS USB UTX VZ WBA WFC WMT XOM

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Charting and backtesting program: Amibroker

Disclaimer

Stock signals generated by DLPAL DQ are offered daily in our Premium Stocks report.