WSH Long Earnings Date by Wall Street Horizon

Performance 1/1/13 - 1/29/19
logo
Investment Approach
About Wall Street Horizon:
Wall Street Horizon provides institutional investors and traders with the most accurate and comprehensive forward-looking corporate data. Wall Street Horizon offers over 40 event types covering more than 7,000 equities worldwide.

Backtest: WSH Long Earnings
The portfolio is based on a model set to identify buy signals based on Wall Street Horizon earnings date shift data. More specifically identify optimal conditions for entry when a company shifts its earnings date earlier than it was originally set. The model portfolio scans securities from the S&P 500 universe.

Here's how the backtest is conducted:

  • The portfolio selects its assets using Lucena’s event scan technology which identifies the equities most likely to outperform the S&P 500 in the near       future.
  • The scan is run everyday, if constituents are identified for entry, the available cash is allocated equally between all the newly identified constituents.
  • The entered positions are held for 42 days or until they hit the stop loss condition defined for the position
  • There are a stop losses on the positions, which execute when the ATR (average true range) crosses above 3x of the normal volatility (averaged               across the past 126 day).
  • The portfolio can stay in cash if no constituents are identified. Market relative performance, low volatility and high Sharpe are the goals of the                 strategy.
  • Performance Versus Benchmark 1/1/13 to 1/29/19
    Strategy Overall Bench Overall Strategy TTM Bench TTM
    Abs. Return 146.16% 80.52% 2.83% -6.46%
    Rel. Return 65.64% N/A 9.30% N/A
    Beta 0.48 N/A 0.33 N/A
    Std. Dev 0.77% 0.82% 0.69% 1.11%
    Sharpe 1.27 0.82 0.31 -0.29
    Draw Down -12.29% -19.78% -9.87% -19.78%
    IR 0.40 N/A 0.57 N/A
    0.26 N/A 0.28 N/A
    Historical Summary
    1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
    Ann. Return 2.83% 13.94% 18.14% 19.35% N/A
    Std. Dev 0.69% 0.67% 0.66% 0.77% N/A
    Ann. Volatility 11.03% 10.56% 10.53% 12.25% N/A
    Performance Attribution
    Risk/Return versus benchmark
    Monthly Return Comparison Trailing 12 Months
    Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Total
    Strategy -5.29% -1.81% 0.26% -1.70% 0.66% 0.03% 4.81% 1.06% -2.42% 5.34% -2.98% 4.17% 2.83%
    Benchmark -3.89% -2.69% 0.27% 2.16% 0.48% 3.60% 3.03% 0.43% -6.94% 1.79% -9.18% 5.31% -6.46%
    Rel. Return -1.39% 0.88% -0.02% -3.86% 0.17% -3.57% 1.78% 0.63% 4.52% 3.56% 6.20% -1.14% 9.30%
      
    Perspective on Performance

    WSH Long Earnings Date

    Strategy Performance Analysis by Wall Street Horizon
    logo
    Performance Report
    Performance Chart
    Correlation
    Beta
    Exposure
      
      
    Simulation Settings
    Strategy Settings
    Module:Event Analyzer
    Date of report: 6/24/19 3:49 PM
    Date Range: 1/1/13-1/29/19
    Generated by: WallStreetHorizon Research
    Benchmark: S&P 500
    Holding Period: 42
    Transaction Cost Modeling:
    Commission/trade$2.95
    Commission/share$0.004
    Leverage1.0
    Short Borrowing3.50%
    Slippage0.0 bps
    Rebalancing:
    Preferred Day N/A
    Exit Criteria Settings:
    Portfolio Stop Loss N/A
    Portfolio Max Gain N/A
    ATR Day Lookback 126
    ATR Max Gain N/A
    ATR Stop Loss 3.00
    Indicators:
    WSH Earnings Date
    WSH-Days Earning Shifted Days-6.0 to -1.0
    FLRLONG Net Income to Total Assets Ratio1.515 to 3.361
    Analyst Recommendation ConsensusGreater than 3.5
    TLR Sharpe Value Days: 2520.11 to 1.23
    Event Universe
    Name Dates Whitelist Sectors
    WSH Earnings Date 1/1/10 - 12/31/12 S&P 500 All

    Combination Method:
    Selection Type:Union
      
    Performance Metrics
    Transaction Cost:
    Commissions$8,559.12
    Slippage$27,981.35
    Borrowing Costs$0.00
    Total Transaction Costs$36,540.47
    Transaction Analysis:
    Number of Transactions 283
    Average Trade Hold Days (Weighted) 31.00 (N/A)
    % Successful Transactions (Weighted) 56.03% (N/A)
    % Hit Stop Loss 37.59%
    % Hit Stop Gain 0.00%
    Profit Ratio 1.74
    Monthly Performance Metrics:
    Days of Outperformance 49.12%
    Months of Outperformance53.42%
    Most Consecutive Months of Outperformance5
    Most Consecutive Months of Underperformance6
    Benchmark Relative Metrics:
    Beta0.48
    Information Ratio0.40
    R^20.26
    Tracking Error0.78%
    Performance Metrics:
    Portfolio Return Sharpe Sortino Alpha Standard Dev Max DrawDown
    Fund146.16%1.271.83 1.07 0.77% -12.29%
    Benchmark80.52%0.821.03 0.00 0.82% -19.78%
    Portfolio Initial Adjusted Final Adjusted Return Compound Annual Return
    Fund$1,000K$2,462K$1,462K 15.99%
    Benchmark$1,000K$1,805K$805,226.95 10.22%
      
    Performance Metrics By Year
    2013 2014 2015 2016 2017 2018 2019
    ReturnStrategy 3.48% 27.79% 9.12% 29.73% 31.78% -4.21% 4.17%
    Benchmark 26.39% 11.39% -0.73% 9.54% 19.42% -6.24% 5.31%
    Winning DaysStrategy 53.89% 57.34% 50.21% 54.92% 55.79% 51.42% 78.95%
    Benchmark 58.17% 57.14% 47.22% 51.98% 57.20% 52.59% 68.42%
    SharpeStrategy 0.34 2.05 0.62 2.43 2.85 -0.33 6.09
    Benchmark 2.22 1.00 0.03 0.76 2.69 -0.29 3.63
    SortinoStrategy 0.36 2.91 1.07 3.72 5.16 -0.45 11.39
    Benchmark 3.10 1.31 0.04 0.99 3.60 -0.36 4.57
    Max DDStrategy -9.07% -6.13% -8.99% -4.54% -2.94% -12.29% -1.34%
    Benchmark -5.76% -7.40% -12.35% -10.51% -2.80% -19.78% -2.48%
    AlphaStrategy -0.15 0.20 0.10 0.26 0.22 -0.02 0.03
    Benchmark 0.00 0.00 0.00 0.00 0.00 0.00 0.00
    St. Dev.Strategy 0.78% 0.78% 1.01% 0.69% 0.62% 0.70% 0.54%
    Benchmark 0.68% 0.71% 0.97% 0.82% 0.42% 1.07% 1.16%
    Tracking ErrorStrategy 0.65% 0.67% 0.98% 0.77% 0.62% 0.93% 0.94%
    Benchmark 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
      
    Monthly Return to Benchmark By Year
    JanFebMarAprMayJunJulAugSepOctNovDecTotal
    2013 Strategy 3.04% -4.57% 0.63% 2.33% 4.16% -0.47% -0.30% -4.18% 0.00% 4.24% 0.62% -1.62% 3.48%
    Benchmark 2.44% 1.11% 3.60% 1.81% 2.08% -1.50% 4.95% -3.13% 2.97% 4.46% 2.80% 2.36% 26.39%
    Relative Return 0.60% -5.67% -2.97% 0.52% 2.09% 1.03% -5.25% -1.05% -2.97% -0.22% -2.18% -3.98% -22.91%
     
    2014 Strategy -0.36% 7.45% 5.24% 3.12% 2.90% 1.66% -1.49% 1.56% -1.63% 2.38% 4.53% -0.16% 27.79%
    Benchmark -3.56% 4.31% 0.69% 0.62% 2.10% 1.91% -1.51% 3.77% -1.55% 2.32% 2.45% -0.42% 11.39%
    Relative Return 3.20% 3.14% 4.54% 2.50% 0.80% -0.25% 0.01% -2.21% -0.08% 0.06% 2.07% 0.25% 16.40%
     
    2015 Strategy -3.27% 2.14% 0.12% -2.99% 1.59% -3.89% 10.85% 11.29% -4.59% -1.06% -0.64% 0.66% 9.12%
    Benchmark -3.10% 5.49% -1.74% 0.85% 1.05% -2.10% 1.97% -6.26% -2.64% 8.30% 0.05% -1.75% -0.73%
    Relative Return -0.16% -3.35% 1.86% -3.85% 0.54% -1.79% 8.88% 17.54% -1.95% -9.36% -0.69% 2.41% 9.84%
     
    2016 Strategy 3.45% 3.84% 4.49% 0.61% 5.83% 2.20% -0.03% 2.97% -1.71% 0.85% 3.70% 0.39% 29.73%
    Benchmark -5.07% -0.41% 6.60% 0.27% 1.53% 0.09% 3.56% -0.12% -0.12% -1.94% 3.42% 1.82% 9.54%
    Relative Return 8.53% 4.25% -2.11% 0.34% 4.29% 2.11% -3.59% 3.09% -1.59% 2.79% 0.28% -1.43% 20.20%
     
    2017 Strategy 2.61% 6.04% -0.33% 0.85% 4.37% 0.22% -0.07% 4.87% 0.36% 2.04% 3.27% 3.94% 31.78%
    Benchmark 1.79% 3.72% -0.04% 0.91% 1.16% 0.48% 1.93% 0.05% 1.93% 2.22% 2.81% 0.98% 19.42%
    Relative Return 0.82% 2.32% -0.29% -0.06% 3.21% -0.26% -2.00% 4.82% -1.57% -0.17% 0.46% 2.96% 12.36%
     
    2018 Strategy -1.75% -5.29% -1.81% 0.26% -1.70% 0.66% 0.03% 4.81% 1.06% -2.42% 5.34% -2.98% -4.21%
    Benchmark 5.62% -3.89% -2.69% 0.27% 2.16% 0.48% 3.60% 3.03% 0.43% -6.94% 1.79% -9.18% -6.24%
    Relative Return -7.36% -1.39% 0.88% -0.02% -3.86% 0.17% -3.57% 1.78% 0.63% 4.52% 3.56% 6.20% 2.02%
     
    2019 Strategy 4.17% N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 4.17%
    Benchmark 5.31% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 5.31%
    Relative Return -1.14% N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A -1.14%
     
    Monthly Turnover For Strategy By Year
    JanFebMarAprMayJunJulAugSepOctNovDecTotal
    2013 49.16% 50.80% 36.71% 91.10% 0.00% 44.91% 17.58% 51.03% 0.00% 49.26% 0.00% 50.16% 440.70%
    2014 69.61% 14.33% 52.89% 32.85% 33.13% 32.55% 34.89% 35.39% 33.88% 145.58% 0.00% 50.21% 535.32%
    2015 67.80% 18.53% 30.59% 72.24% 23.61% 75.37% 0.00% 81.94% 52.48% 73.10% 42.93% 47.47% 586.07%
    2016 40.53% 39.60% 48.18% 69.71% 33.63% 32.78% 49.93% 0.00% 67.05% 66.17% 43.05% 43.27% 533.90%
    2017 50.25% 33.18% 50.89% 60.36% 36.52% 31.87% 101.58% 0.00% 50.10% 63.30% 31.85% 18.53% 528.43%
    2018 98.79% 84.47% 50.70% 60.35% 69.71% 31.28% 64.72% 0.00% 67.03% 129.09% 17.16% 50.09% 723.40%
    2019 0.00% N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A N/A 0.00%
      

    DISCLAIMER PERTAINING TO CONTENT DELIVERED & INVESTMENT ADVICE

    Simulation/Data Guidelines: Backtest simulations use adjusted pricing data to reflect split, reverse split and dividends. Dividends are automatically reinvested. Trade executions are evaluated daily using open, high, low, close and total volume points. Stop losses and total return limits do not consider intraday price changes. Trade executions may assume unattainable prices in live trading. Backtests that have run through the current date may contain trades based on intraday data for the last date. All data used by backtest simulation is subject to change or correction, and backtest results may vary at different run times. Trade decisions made by Lucena's proprietary technologies are also subject to change due to alterations of underlying algorithms. Backtest results should not be considered reproducible at a later point in time. Backtest results may contain in-sample and out-of-sample periods and do not reflect a real actively-managed portfolio.​

    Disclaimer: This information has been prepared by Lucena Research Inc. and is intended for informational purposes only. This information should not be construed as investment, legal and/or tax advice. Additionally, this content is not intended as an offer to sell or a solicitation of any investment product or service.

    Please note: Lucena is a technology company and not a certified investment advisor. Do not take the opinions expressed explicitly or implicitly in this communication as investment advice. The opinions expressed are of the author and are based on statistical forecasting based on historical data analysis. Past performance does not guarantee future success. In addition, the assumptions and the historical data based on which an opinion is made could be faulty. All results and analyses expressed are hypothetical and are NOT guaranteed. All Trading involves substantial risk. Leverage Trading has large potential reward but also large potential risk. Never trade with money you cannot afford to lose. If you are neither a registered nor a certified investment professional this information is not intended for you. Please consult a registered or a certified investment advisor before risking any capital.

    The information contained above is provided for informational and educational purposes only, and nothing contained herein should be construed as investment advice, either on behalf of a particular security or an overall investment strategy. Neither Lucena Research Inc. nor any of its affiliates makes any recommendation to buy or sell any security or any representation about the financial condition of any company. Actual results may differ materially from those expressed or implied. Past performance is not indicative of future results. Investors should undertake their own due diligence and carefully evaluate companies before investing. ADVICE FROM A SECURITIES PROFESSIONAL IS STRONGLY ADVISED. © 2018. Lucena Research, Inc. All Rights Reserved.