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 Short Earnings
The portfolio is based on a model set to identify short signals based on Wall Street Horizon earnings date shift data. More specifically identify optimal conditions for entry when a company shifts its earnings date later 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 underperform the S&P 500 in the near future.
The scan is run everyday, if constituents are identified for entry, equally allocated short positions are entered between all the new constituents.
The entered positions are held for 63 days or until they hit the stop loss condition defined for the position
There is a stop loss condition on every entered position, which executes when the ATR (average true range) crosses above 3x of the normal volatility (averaged across the past 21 days).
The portfolio can stay in cash if no constituents are identified. Market relative performance is the goal of the strategy.