Model: WSH Long Earnings

Performance 3/12/19 - 9/13/24
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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 9,000 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 (S&P 500 Total Return) 3/12/19 to 9/13/24
    Strategy Overall Bench Overall Strategy YTD Bench YTD
    Abs. Return 129.9% 102.1% 11.3% 18.0%
    Rel. Return 27.8% N/A -6.7% N/A
    Beta 0.32 N/A 0.00 N/A
    Ann. Volatility 14.2% 20.6% 9.3% 12.9%
    Sharpe 1.12 0.72 1.49 1.88
    Drawdown -18.6% -33.9% -6.0% -8.5%
    IR 0.05 N/A -0.66 N/A
    Tracking Error 18.9% N/A 15.8% N/A
    Historical Summary
    1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
    Ann. Return 18.7% 15.3% 11.3% 15.1% 16.3%
    Ann. Volatility 8.8% 8.9% 10.1% 13.5% 14.2%
    Performance Attribution
    Risk/Return versus benchmark
    Monthly Return Comparison Trailing 12 Months
    Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Total
    Strategy 1.0% 4.5% 1.1% 6.4% 1.1% 1.6% -1.3% -2.1% 1.0% 3.5% 0.5% 0.3% 18.8%
    Benchmark -2.2% 8.9% 4.4% 1.6% 5.2% 3.1% -4.2% 4.8% 3.5% 1.1% 2.3% -0.4% 31.2%
    Rel. Return 3.2% -4.4% -3.3% 4.8% -4.1% -1.5% 2.9% -6.9% -2.4% 2.4% -1.8% 0.7% -12.4%
    News Based Perspective on Performance
    SequenceTextLink
    1. Missed opportunities to expand Apple position on 3/12/19 View Details
    2. Diversification opportunites: MSFT, GOOG, META 9/13/24 View Details
    3. Recommended increase allocation in TSLA position on 3/12/19 View Details
    4. Recommended decrease allocation in CMG, GIS 9/13/24 View Details
    Total Portfolio Impact:    +2.25%    3/12/19 - 9/13/24
      
    Model: WSH Long Earnings

    Model: WSH Long Earnings

    Strategy Performance Analysis by Wall Street Horizon
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    Performance Report
    Performance Chart
    Correlation
    Beta
    Exposure
      
    Performance Metrics
    Portfolio Initial Adjusted Final Adjusted Return Compound Annual Return
    Model: WSH Long Earnings$998,384$2,296K$2,296K 16.3%
    S&P 500$2,783.30$5,626.02$2,842.72 13.6%
    Portfolio Return Sharpe Sortino Ann. Volatility Max Drawdown
    Model: WSH Long Earnings129.9%1.121.56 14.2% 18.6%
    S&P 500102.1%0.720.88 20.6% 33.9%

    Transaction Cost:
    Number of Transactions319
    Total Commissions ($0.0035 per share, $2.95 min per trade)$2,080
    Slippage$0
    Borrowing CostsN/A
    Total Transaction Costs$2,080
    Benchmark Relative Metrics:
    Beta0.32
    Information Ratio0.05
    Annualized Tracking Error18.9%

    Trade Analysis
    Trade Metrics (Successful):
    Metric Long Short All
    # Trades 41 (52.6%) N/A (N/A) 41 (52.6%)
    Avg Gain 9.83% 0.00% 9.83%
    Avg Hold Time 1 months less than a second 1 months
    Trade Metrics (Unsuccessful):
    Metric Long Short All
    # Trades 36 (46.2%) N/A (N/A) 36 (46.2%)
    Avg Loss -5.97% 0.00% -5.97%
    Avg Hold Time 3 weeks less than a second 3 weeks

    Best Long Trade:
    Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
    STE Mar 27, 2020 9:31:34 AM May 28, 2020 9:30:28 AM 2 months 24.4% $98,547.15 9.3%

    Worst Long Trade:
    Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl
    STE Mar 20, 2020 11:51:43 AM Mar 23, 2020 11:25:28 AM 2 days -9.3% ($34,739.79) -3.2%

    Best Short Trade:
    Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl

    Worst Short Trade:
    Ticker Open Date Close Date Hold Time Pnl Amount Weighted Pnl

    Performance Metrics By Year
    2019 2020 2021 2022 2023 2024
    ReturnStrategy 21.3% 25.0% 19.8% 2.6% 10.8% 11.3%
    S&P 500 16.1% 16.3% 26.9% -19.4% 24.2% 18.0%
    Winning DaysStrategy 55.1% 49.8% 54.0% 53.0% 54.8% 53.1%
    S&P 500 58.5% 57.3% 56.7% 43.0% 54.8% 56.7%
    SharpeStrategy 1.49 1.21 1.34 0.28 1.34 1.49
    S&P 500 1.56 0.61 1.88 -0.78 1.74 1.88
    SortinoStrategy 2.26 1.70 2.03 0.37 2.09 2.05
    S&P 500 1.83 0.69 2.67 -1.24 2.85 2.55
    Max DDStrategy 8.0% 18.6% 8.2% 10.9% 6.3% 6.0%
    S&P 500 6.8% 33.9% 5.2% 25.4% 10.3% 8.5%
    Ann. VolatilityStrategy 17.0% 20.0% 14.2% 12.1% 7.9% 9.3%
    S&P 500 12.0% 34.4% 13.1% 24.2% 13.1% 12.9%
      

    Monthly Return to Benchmark By Year
    JanFebMarAprMayJunJulAugSepOctNovDecTotal
    2019 Strategy 0.0% 0.0% -1.5% 10.2% -5.3% 10.6% 1.3% -1.0% 2.2% 3.4% 0.3% 0.5% 21.3%
    Benchmark 0.0% 0.0% 1.5% 3.9% -6.6% 6.9% 1.3% -1.8% 1.7% 2.0% 3.4% 2.9% 16.1%
    Relative Return 0.0% 0.0% -3.1% 6.3% 1.3% 3.7% -0.0% 0.9% 0.4% 1.4% -3.1% -2.4% 5.3%
     
    2020 Strategy 3.7% -8.5% -5.5% -2.3% 8.1% 4.6% 9.5% 3.8% -3.0% 2.8% 7.5% 3.5% 25.0%
    Benchmark -0.2% -8.4% -12.5% 12.7% 4.5% 1.8% 5.5% 7.0% -3.9% -2.8% 10.8% 3.7% 16.3%
    Relative Return 3.9% -0.0% 7.0% -15.0% 3.6% 2.7% 4.0% -3.2% 1.0% 5.5% -3.2% -0.2% 8.8%
     
    2021 Strategy -0.3% 0.4% 6.4% 4.5% 1.1% 0.5% -3.3% 0.3% -0.2% 8.6% -0.8% 1.8% 19.8%
    Benchmark -1.1% 2.6% 4.2% 5.2% 0.5% 2.2% 2.3% 2.9% -4.8% 6.9% -0.8% 4.4% 26.9%
    Relative Return 0.8% -2.2% 2.2% -0.8% 0.5% -1.7% -5.6% -2.6% 4.6% 1.7% 0.0% -2.6% -7.1%
     
    2022 Strategy -5.2% 2.5% 3.2% -1.3% 0.9% -4.0% 1.9% -0.5% -4.5% 7.2% 4.4% -1.1% 2.6%
    Benchmark -5.3% -3.1% 3.6% -8.8% 0.0% -8.4% 9.1% -4.2% -9.3% 8.0% 5.4% -5.9% -19.4%
    Relative Return 0.1% 5.6% -0.3% 7.5% 0.9% 4.4% -7.2% 3.7% 4.8% -0.8% -1.0% 4.8% 22.1%
     
    2023 Strategy 1.4% -4.0% 1.6% 1.7% 0.9% 6.4% -1.4% -2.8% 0.3% 1.0% 4.5% 1.1% 10.8%
    Benchmark 6.2% -2.6% 3.5% 1.5% 0.2% 6.5% 3.1% -1.8% -4.9% -2.2% 8.9% 4.4% 24.2%
    Relative Return -4.8% -1.4% -1.9% 0.3% 0.7% -0.1% -4.5% -1.0% 5.2% 3.2% -4.4% -3.3% -13.5%
     
    2024 Strategy 6.4% 1.1% 1.6% -1.3% -2.1% 1.0% 3.5% 0.5% 0.3% 0.0% 0.0% 0.0% 11.3%
    Benchmark 1.6% 5.2% 3.1% -4.2% 4.8% 3.5% 1.1% 2.3% -0.4% 0.0% 0.0% 0.0% 18.0%
    Relative Return 4.8% -4.1% -1.5% 2.9% -6.9% -2.4% 2.4% -1.8% 0.7% 0.0% 0.0% 0.0% -6.7%
     
    Monthly Turnover By Year
    JanFebMarAprMayJunJulAugSepOctNovDecTotal
    2019 N/A N/A 34.8% 14.7% 51.0% 46.7% 42.8% 89.0% 13.6% 79.9% 20.8% 47.8% 441.1%
    2020 16.5% 135.4% 126.2% 29.1% 85.3% 0.0% 61.9% 6.6% 44.0% 54.6% 0.0% 99.8% 659.3%
    2021 0.0% 130.7% 19.6% 71.6% 36.3% 72.8% 85.2% 5.1% 71.9% 14.1% 34.4% 8.9% 550.5%
    2022 68.3% 0.1% 0.0% 0.0% 0.1% 0.0% 0.0% 0.1% 0.0% 0.0% 0.1% 0.0% 68.7%
    2023 0.0% 0.1% 0.0% 0.0% 0.1% 0.0% 0.0% 0.1% 0.0% 0.0% 0.1% 0.0% 0.4%
    2024 0.0% 0.1% 0.0% 0.0% 0.1% 0.0% 0.0% 0.0% 0.0% N/A N/A N/A 0.2%
      

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