Recap for March 31, 2020: S&P 500 long/short gained 0.5% from open to close.
Since March 5, 2020, when the first long/short signals report was published, the S&P 500 strategy is gaining 13.7% based on backtests. In practice, performance may vary in any direction due to high volatility periods. The S&P 500 is down 17.4% in the same period.
Below are the equity curves for S&P 500 and Dow-30 long/short signals from 03/05/2020 to 03/30/2020 based on backtests. The two equity lines represent the sum of the average daily changes of all signals from open to close of the day. The Dow-30 strategy is on pause because of reaching 3% cumulative stop-loss as of March 30, 2020.
Signals as of close of March 31, 2020
S&P 500 signals – Top 5/Bottom 5
DOW-30 signals – Top 3/Bottom 3
Strategy on pause and under evaluation.
Stock selection is made according to rank = P-delta × S.
P-delta is the directional bias P-long – P-short. S is the significance of the result.
Signal is LONG or SHORT. Last Date is the calculation date.
First Date is the first date in the historical data file for each stock.
Trade on is the signal entry. C and TS are used internally for the calculations.
For previous five reports only click here. (Signals start date: March 5, 2020)
Returns are calculated as the average from open to close for equal dollar allocation.
Notes about signals and strategies
These are daily signals with entry at the open and exit at the close. With a strategy one has to rebalance at next open because signals are determined after the close. Therefore, daily signals are more transaction intensive since same long/shorts may show up for next day but already closed. On the other hand, daily signals with entry on open and exit on close allow more discretion and flexibility while avoiding overnight risk.
Also note that the DOW-30 strategy may assume more risk since it considers only six signals as opposed to the 10 signals of the S&P 500 strategy. Usually, a higher number of signals offers better diversification.
Disclaimer: The DLPAL LS signals are provided as an educational trading tool 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 DLPAL LS signals. Under no circumstances the DLPAL LS 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.