Performance of weekly long/short strategy from January 2, 2020 to April 24, 2020.
The weekly dollar neutral long/short strategy trades long the top three and short the bottom three Dow-30 stocks in weekly timeframe with equal equity allocation. The stock selection is accomplished via a ranking function based on features generated by DLPAL LS software. Click here for more information and related articles.
Strategy type: Long/short equity
Universe: Dow 30 stocks (except RTX and DOW)
Backtest period: 01/04/2016 – 04/24/2020
Weekly feature calculation period: 01/03/2000 – 12/31/2015
Open positions: Maximum 3 long and 3 short
Position size per stock: Equity/6
Position entry/exit: Open of next weekly bar
Commission per share: $0.005
Below is the equity curve of the strategy from 01/04/2016 to 04/24/2020 based on a backtest.
There was a setback in March of this year due to a long position in BA but strategy is recovering. The total return is about 31% and maximum drawdown is only 5.5% allowing use of leverage.
Below is the backtest for this year only.
Total return is 5.4% at 4.6% maximum drawdown. The impact of the long BA position is more evident from this chart: return fell from about 7% to around 2% in March but the recovery has been steady since.