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Long/Short Signals for March 25, 2020 [DLPAL LS Signals]

DLPAL LS long/short signals for Dow-30 and S&P 500 stocks. Access to article requires DLPAL LS Signals subscription.

Recap for March 24, 2020: Dow-30 long/short lost 2% from open to close. S&P 500 long/short lost 0.7% from open to close.

Since March 5, 2020, when the first long/short signals report was published, Dow-30 strategy is gaining  0.8% and the S&P 500 strategy is gaining 9.8% based on backtests. In practice, these numbers may vary in any direction due to high volatility periods. The S&P 500 is down 21.8% in the same period.

Below are the equity curves for the Dow-30 and S&P 500 long/short signals form 03/05/2020 to 03/24/2020 based on backtests. The two equity lines represent the sum of daily changes from open to close.

Yesterday we wrote:

We expect a market rebound for the rest of the week but renewed selling pressures in the next two weeks. Given the dynamic nature of price action, these expectation may change on a daily basis.

Note that long/short strategies tend to underperform during strong rebounds because often the short part rebounds more than the long.

Signals as of close of March 24, 2020


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