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March 17, 2022, Higher Risk Equity Long/Short Update

A relatively large number of stocks in S&P 500 are classified as having higher short-term risk according to our metric.

As of close of March 16, 2022, 69 stocks have ATR(5) > 5% (based on closing price.)

We use these stocks (EOD data starting in 2000, or latter with minimum requirement 1250 bars) with DLPAL LS to generate long/short signals. DLPAL LS is used to develop algorithmic and machine learning strategies for directional and long/short trading but also for discretionary trading.

Below is the output of DLPAL LS for five top/five bottom long/short stocks  based on a rank equal to directional bias (P-delta) times its significance S.

As of the close of the previous day, March 15, 2022, there were 71 higher risk stocks in S&P 500 and the DLPAL results for five top/bottom long/short generated about 1.2% return from open to close of the day.

Note that DLPAL LS results can be used in a systematic or discretionary way with daily or weekly data. The program can output historical values of the features for developing and testing long/short and directional strategies but also the results can be used to identify high probability signals. DLPAL LS does not require any programming.

Fully functional trials are available to professional traders and hedge funds. For more information and requirements for receiving a free, fully-functional trial of the software click here.

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