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S&P 500 Equity Long/Short Performance at New Highs

The performance of the strategy that generates daily signals for trading S&P 500 stocks long/short made a new high on Tuesday, July 28, 2020.

We started offering daily long/short signals from the S&P 500 stock universe on March 5, 2020. The signals are generated daily by DLPAL LS software and the report includes 5 long and 5 short tickers. Entry is at the open of the day and exit is at the close; no overnight positions are held open.

DLPAL LS is the program that generates the features used to rank the securities for long/short signals.

The initial subscription period ended Tuesday, June 16, 2020, and then we continued to provide the service exclusively to professional traders and hedge funds.

After 104 (updated) days of long/short signal generation the simulated performance of the strategy is 22.8%.

Note that after June 17 the input universe to DLPAL LS varies daily based on some filters that measure risk/reward for each security. We consider only securities that have relatively low volatility and reasonable reward potential based on performance from the previous 5 days. We thus avoid securities with high volatility but low reward potential. The typical size of the universe that is used as input to DLPAL LS software after the filter is applied is between 50 and 100 securities versus 505 that are currently in S&P 500.

Note that occasionally, the riskier set of securities generates higher returns because DLPAL LS succeeds in identifying the securities to go long and short. However, based on data we have collected, we have concluded that the filter works better in longer-term. For this reason, we track daily performance of several stock universes. For example, yesterday the universe we use resulted in 0.95% gain for normal features (used with the low risk/high reward universe) but high risk securities generated a loss of -0.4% instead. The full S&P 500 universe generated a gain of 0.6% for normal features.

For more information about the long/short signals click here.


Disclaimer: The Long/Short Signals are provided for informational purposes only and do not constitute investment advice. We do not warrant the accuracy, completeness, fitness or timeliness for any particular purposes of the Long/Short Signals. Under no circumstances the Long/Short signals should be treated as financial advice. The author of this website is not a registered financial adviser. Before subscribing read our full Disclaimer and Terms and Conditions. Acceptance of terms and conditions is required before subscribing.

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