Reporting of automated trading systems 01/2021

Reporting of automated trading systems 01/2021

event_note 02.02.2021

Take a look at the first report of our results in 2021.

In January, our system, based on a portfolio of 20 relatively most undervalued* stocks from the S&P 100 index in the Long position and 20 relatively most overvalued* stocks in the Short position, achieved a 4.1 % yield. The S&P 500 index fell by 1.1 % over the same period.

The performance of the system is 39.52 % at an annual recalculation. Detailed results can be viewed here.

You can view a report with for the month of February in our StockPickingLab application, or in the application of the partner company

Factors that influence the decision-making of the model (now for the February stock selection, the calculation took place on 31 January 2021).

Autocorrelation 51,79%6,46%
Momentum 252 - 223,43%12,40%
USD Volume Relative Change 22 vs 44-1,48%5,35%
CCI 4-2,74%9,91%
SUV Resid 2520,76%2,73%
SUV Coef 126-1,38%4,99%
SUV Coef 104 Weeks-1,32%4,78%
AR LogPrice 52 Weeks2,49%9,00%
DividendPerShare DPS-2,22%8,01%
EarningsPerShare EPS0,22%0,79%
MarketCapitalization MV-2,83%10,20%
OperatingCashFlow OperatingCF0,50%1,81%
SalesPerShare SPS-0,14%0,52%
PriceBookValueRatio PTBV Change 126 Days-0,46%1,65%
PriceCashFlowRatio PCF Change 126 Days-1,27%4,60%
PriceEarningsRatio PE Position 66 Days-1,05%3,78%
PriceBookValueRatio PTBV Position 252 Days-3,60%13,01%

The Momentum Formula II system did not trade in January due to a persistent error by Interative Brokers in placing stoplosses.

*Calculation of over/ undervaluation is based on the analysis of macroperdictors and company-specific predictors, see above.