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Equity Of Daily S&P 500 Long/Short Strategy At New Highs

The long/short strategy selects 5 long and 5 short stocks from S&P 500 on a daily basis. The signals are for the open of the day and positions are exited at the close.

We started offering daily long/short signals from the S&P 500 on March 5, 2020. The signals are generated daily after the close for the next day by DLPAL LS software and include 5 long and 5 short tickers. No open positions are held overnight; entry is at the open of the day and exit is at the close.

DLPAL LS software generates the features used to rank the securities for long/short signals. No programming is required.

This signal service is exclusively for professional traders and hedge funds.

After 133 days of long/short signal generation the simulated performance of the strategy is 25%.

Equity of the strategy made a new high on September 9, 2020. Sharpe is 2.85 and correlation with S&P 500 returns is -0.107.

Note that after June 17 of this year we implemented changes to the strategy so that the input universe to DLPAL LS varies daily based on a filter that measure risk/reward for each security in S&P 500. We consider only securities that have relatively low volatility and acceptable reward potential based on performance from the previous 5 days. We avoid securities with high volatility and those with low reward potential. The typical size of the universe that is used daily as input to DLPAL LS software after the filter is applied is between 40 and 150 securities versus 505 that are currently in S&P 500.

Occasionally, the riskier set of securities or the reward set may generate higher returns because DLPAL LS succeeds in identifying the right tickers to go long and short. However, based on data we have collected, we have concluded that performance with the filter is better over the longer-term.

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.