Premium Market Analysis, Trader Education, Software, and Trading Strategies

DLPAL software

High Hit Rate Predictions of the Sign of Next Day Return

On Wednesday, July 14, 2021, NASDAQ-100 long/short with directional bias had 91% hit rate from open to close.

After the close of Tuesday, July 13, 2021, DLPAL LS identified 12 NASDAQ-100 stocks, nine long and three short, and correctly predicted the sign of the next day return, Wednesday, July 14, 2021, for eight of the longs and all shorts, as shown below.

Returns for the stocks are form open to close and the average was 0.51%. A 91% hit rate is high but not unusual. Note that for NASDAQ-100 long/short with bias we instruct DLPAL LS to filter the results for long (P-long) and short (P-short) bias greater than 55.

S&P 500 long/short yielded an average return of 0.82% from open to the close of Wednesday, July 14, 2021. In this case we use pre-filtering to generate a sub-set of S&P 500 stocks, then use DLPAL LS with no output filters and select the top 5 long and bottom 5 short according to highest product of directional bias P-delta and significance S.

In this case the hit rate was 60%. Long/short with no bias usually has lower hit rate in general.

See also this recent article. 

The above are examples of how long/short can be used as part of quantitative trading. Note that additional and significant work is required to integrate this type of machine learning results with systematic quantitative trading.

If you have any questions about the DLPAL LS software used contact us.