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 roll-forward retraining models set to identify Buy signals based on Wall Street Horizon earnings announcement shift data. The models are not hard set with the specific factors and their importance but rather re-examine the data periodically to restructure new models based on the most recent historical data.
The models objectives are to identify optimal conditions for entry when a company restates its earnings date to an earlier date than it was originally set.
The model portfolio scans securities from the Russell 1000universe.
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 model scans for new constituents daily and when new constituents are identified for entry, the available cash is allocated equally between all the newly identified constituents.
The entered positions are then held conditionally as long as they satisfy the entry criteria or until they hit the stop loss condition.
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.
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