Reporting of automated trading systems 01/2021
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.
Factors that influence the decision-making of the model (now for the February stock selection, the calculation took place on 31 January 2021).
|Momentum 252 - 22||3,43%||12,40%|
|USD Volume Relative Change 22 vs 44||-1,48%||5,35%|
|SUV Resid 252||0,76%||2,73%|
|SUV Coef 126||-1,38%||4,99%|
|SUV Coef 104 Weeks||-1,32%||4,78%|
|AR LogPrice 52 Weeks||2,49%||9,00%|
|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.