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Quantitative trading

When The Bias is Just Right

Our NASDAQ-100 long/short model generated nine long trades after the close of Wednesday, May 5, 2021. The lack of short traders was curious but as it turned out, the bias was right.

For more details about the NASDAQ-100 long/short model based on the features calculated by DLPAL LS see this article. This particular model allows long or short bias. Below is the output of the program as of the close of Wednesday, May 5, 2021 along with the returns from open to close for the next day, Thursday, May 5, 2021.


All nine signals had positive return and the average for equal dollar allocation was 1.06% before trading costs.

Although highly biased results have higher directional risks, they often serve as a leading indicator of price action.

Note that for the NASDAQ-100 model that allows directional bias, we use this following simple fixed strategy:

Long if P-long > 55
Short if P-short > 55

P-long and P-short are two features calculated by DLPAL LS corresponding to the probability of short-term up and down moves, respectively. These are essentially probabilities of the sign of the next day return from the open to the close. Note that this model is used when trying to take advantage of the directional bias of the market and it is not dollar neutral.

More information about strategies can be found here. For more information about DLPAL LS click here. 

Click here for more articles. The program manual can be found here.

We use Norgate data.