Homebuilders Bullish Model:
The model identifies optimal conditions for entry based on home credit information of US consumers from Equifax along with technical and fundamental factors from Neuravest Research. Machine learning models are identified and retrained in a roll forward basis to account for change in market regime. Large cap of publicly traded companies in the homebuilders sector are covered by the model and hence the goal of the strategy is to outperform the benchmark XHB (SPDR S&P Homebuilders) in Sharp ratio (Risk Adjusted Return).
Some of the Equifax and Neuravest features used are:
Here’s how the backtest is generated:
Strategy Overall | Bench Overall | Strategy TTM | Bench TTM | |
Abs. Return | 97.9% | 79.7% | 17.8% | 40.0% |
Rel. Return | 18.3% | N/A | -22.3% | N/A |
Beta | 0.42 | N/A | 0.42 | N/A |
Ann. Volatility | 12.1% | 18.3% | 11.2% | 15.8% |
Sharpe | 0.87 | 0.55 | 1.52 | 2.21 |
Drawdown | -14.3% | -33.5% | -7.4% | -7.7% |
IR | 0.03 | N/A | -1.41 | N/A |
Tracking Error | 14.3% | N/A | 12.8% | N/A |
1 Yr | 2 Yr | 3 Yr | 5 Yr | 10 Yr | |
Ann. Return | 17.8% | 8.0% | 9.5% | 7.6% | N/A |
Ann. Volatility | 11.3% | 13.1% | 11.9% | 12.9% | N/A |
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Strategy | 6.9% | 4.5% | 1.4% | 1.6% | -5.0% | 4.2% | -0.1% | 3.4% | -0.5% | -0.3% | -1.1% | 0.2% | 17.8% |
Benchmark | 12.8% | 4.6% | 0.7% | 5.5% | -5.7% | 8.9% | -0.1% | 1.0% | 5.1% | 3.3% | 0.9% | -0.7% | 40.0% |
Rel. Return | -5.9% | -0.1% | 0.7% | -3.9% | 0.7% | -4.7% | -0.1% | 2.4% | -5.6% | -3.5% | -1.9% | 0.9% | -22.3% |