About Equifax: Equifax Inc. is a consumer credit reporting agency. It collects and aggregates information on over 800 million individual consumers and more than 88 million businesses worldwide. Headquartered in Atlanta, Georgia, Equifax operates or has investments in 24 countries in North America, Central and South America, Europe and the Asia Pacific region.
About the Equifax Homebuilders Bullish Model:
This model identifies optimal conditions for entry based on home equity installment and home equity revolving credit of US consumers along with technical and macro factors from Neuravest. The goal of the strategy is to outperform the benchmark XHB (SPDR S&P Homebuilders) in total return, Sharpe ratio, and drawdown. The model covers twelve publicly traded companies in the homebuilders sector: ‘LOW’, ‘KBH’, ‘PHM’, ‘TOL’, ‘DHI’, ‘JCI’, ‘WSM’, ‘MAS’, ‘WHR’, ‘LEN’, LII’, ‘HD’.
Features
- Delinquency Rate - Percentage of consumers who are unable to pay their debt.
- Utilization Rate - Ratio of a consumer’s debt to their total credit limit.
- Debt to Income - Ratio of a consumer’s debt to their annual income.
- Inquiries TTM - Number of credit inquiries made by a consumer over the past 12 months.
- Total Balance - The total balance across all consumers.
- Payment Ratio - The ratio of a consumer’s monthly payment to their outstanding debt.
- Available Credit - The difference between a consumer’s total credit limit and their outstanding debt.
- Payment to Due - The ratio of a consumer’s monthly payment to their payment due.
- Neuravest Macro- Building Permits- The percentage change is the building permits issued in the US.
- Neuravest Macro -US Industrial Production - A measure of the output of industrial establishments.
Here’s how the backtest is generated:
- This is a long only model based on homebuilders.
- Each day models scan a list of major publicly traded companies in the homebuilders space.
- The positions are entered based on Extreme Gradient Boosting machine learning models.
- The entered positions are based on the conditional hold.
- If constituents are identified for entry, 8.33 % of available cash is allocated to each constituent
- It holds the position as long as signal is active
Models are retrained and feature selection is performed in walk-forward fashion using a sliding window. - Transaction costs and slippage have been considered in the report.