This is a sample report. Signals and performance are not up to date.
Recap for June 30, 2020
|Long/Short Strategy||S&P 500|
|Daily change||+0.2% open to close||+1.5% close to close|
|Since March 5, 2020||+17.7%*||-0.9%|
|Drawdown from peak||-3.4%||-4.1%|
|Max. drawdown||-5.8% on May 15, 2020||-28.6% on March 23, 2020|
The SPY ETF rose 1.4% from open to close of the day.
Correlation of strategy and S&P 500 daily returns is -0.124
Below is the equity curve for S&P 500 long/short signals from 03/05/2020 to 06/30/2020 based on backtests. The equity line (black) represents the growth of the average daily change of all signals from open to close of the day. Buy and hold performance is also shown (red) along with the correlation of the daily returns.
* Performance is based on backtests. Actual performance may vary in any direction due to high volatility periods, slippage, commissions and other known or unknown factors that may affect trading performance.
Signals for July 1, 2020
S&P 500 signals – Top 5/Bottom 5
Signal entry: open of the day. Signal exit: close of entry day.
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 signal history click here. (Subscription start date: June 17, 2020)
For signals before June 17, 2020 click here.
Returns are calculated based on equal dollar allocation.
Signals are generated by DLPAL LS software.
About the long/short signals and strategy switching
During higher volatility periods we use a long/short strategy that avoids overnight risk by entering positions at the open and exiting at the close of the day. With this strategy, we minimize overnight risk although trying to profit from from open to close is challenging. Daily open to close signals are more transaction intensive than holding positions overnight. On the other hand, these signals in addition to avoiding overnight risk, they also allow more discretion and flexibility, in case that is desired.
The open to close strategy has worked well since during the market correction in March 2020 but if volatility drops significantly, then regular trading hour profit potential may decline. In case that happens we may switch to smooth features and/or the regular Rank strategy that holds positions overnight. The Rank strategy is based on the same principles as the one used for weekly Market Signals reports with Dow 30 stocks but in this case all entry and exit signals apply to open of a day and the signal mix is rebalanced daily.
We also have other choices of strategies to use depending on market regimes. One strategy for example keeps positions for a minimum number of days. This is desirable in case volatility is very low. In addition, we may use different types of features depending on market regime and market risks.
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. More information is provided on subscription page.