Reporting of automatic trading systems 10/2020

Reporting of automatic trading systems 10/2020

event_note 05.11.2020

Take a look at the results of our trading systems in a real trading environment.

You can view complete reports in the Reports section.

For the first month, we have been operating under the new name CCF RESEARCH, a.s. (official report), so we decided to unlock the current report of the StockPicker system, including a table of factors that influence the decision-making of the model, now for the November stock selection (calculation took place on November 3, 2020).


Future Yield
NFLXNetflix Inc0,170
INTCIntel Corp0,159
FDXFedex Corp0,152
KMIKinder Morgan0,145
WFCWells Fargo & Company0,105
LLYEli Lilly and Company0,103
SLBSchlumberger N.V.0,099
DISWalt Disney Company0,098
XOMExxon Mobil Corp0,093
CSCOCisco Systems Inc0,092
GDGeneral Dynamics Corp0,088
ADBEAdobe Systems Inc0,085
EXCExelon Corp0,084
WBAWalgreens Boots Alliance0,076
RTXRaytheon Technologies Corporation0,072
GEGeneral Electric Company0,067
GILDGilead Sciences Inc0,066
DDDu Pont De.Nemours Inc0,064
UPSUnited Parcel Service0,064
BKBank of New York Mellon Corp0,063
NEENextera Energy0,063
OXYOccidental Petroleum Corp0,057
AIGAmerican International Group0,054
GOOGLAlphabet Cl A0,053
CVSCVS Corp0,052
TGTTarget Corp0,046
USBU.S. Bancorp0,045
PYPLPaypal Holdings0,044
GOOGAlphabet Cl C0,044
NVDANvidia Corp0,043
CHTRCharter Communicatio0,041
ABBVAbbvie Inc0,034
CVXChevron Corp0,030
QCOMQualcomm Inc0,030
UNPUnion Pacific Corp0,030
ALLAllstate Corp0,029
CCitigroup Inc0,026
MSMorgan Stanley0,023
EMREmerson Electric Company0,023
BIIBBiogen Inc0,023
BACBank of America Corp0,020
CMCSAComcast Corp A0,020
MCDMcDonalds Corp0,019
GMGeneral Motors Company0,018
MOAltria Group0,017
DHRDanaher Corp0,014
KHCKraft Heinz Company0,013
METMetlife Inc0,012
SPGSimon Property Group0,008
HDHome Depot0,008
FFord Motor Company0,003
TMOThermo Fisher Scientific Inc0,002
COFCapital One Financial Corp0,002
MMM3M Company-0,001
DOWDow Inc-0,003
HONHoneywell International Inc-0,003
TAT&T Inc-0,004
BMYBristol-Myers Squibb Company-0,004
ORCLOracle Corp-0,005
FBFacebook Inc-0,006
AAPLApple Inc-0,011
LOWLowes Companies-0,013
JPMJP Morgan Chase & Company-0,015
SOSouthern Company-0,017
SBUXStarbucks Corp-0,021 Inc-0,029
ACNAccenture Plc-0,032
BABoeing Company-0,034
BKNGBooking Holdings Inc-0,037
VVisa Inc-0,040
PMPhilip Morris International Inc-0,042
IBMInternational Business Machines-0,055
CATCaterpillar Inc-0,057
MRKMerck & Company-0,062
MAMastercard Inc-0,063
GSGoldman Sachs Group-0,065
BRK.BBerkshire Hathaway Cl B-0,067
TXNTexas Instruments-0,067
MDTMedtronic Inc-0,068
MSFTMicrosoft Corp-0,073
UNHUnitedhealth Group Inc-0,074
AXPAmerican Express Company-0,075
ABTAbbott Laboratories-0,076
AMGNAmgen Inc-0,081
LMTLockheed Martin Corp-0,090
VZVerizon Communications Inc-0,092
KOCoca-Cola Company-0,095
NKENike Inc-0,095
PFEPfizer Inc-0,103
WMTWal-Mart Stores-0,115
PGProcter & Gamble Company-0,129
MDLZMondelez Intl Inc-0,135
CLColgate-Palmolive Company-0,160
DUKDuke Energy Corp-0,165
COSTCostco Wholesale-0,168
PEPPepsico Inc-0,183
JNJJohnson & Johnson-0,184


Kurtosis 660.01595.19%
Autocorrelation 50.01715.59%
Momentum 252 - 220.038912.73%
USD Volume Relative Change 22 vs 44-0.01284.17%
CCI 4-0.02849.28%
Volume CCI 40.01023.35%
SUV Resid 2520.00280.93%
SUV Coef 126-0.01605.24%
SUV Coef 12 Weeks-0.00240.77%
SUV Coef 104 Weeks-0.01384.50%
AR LogPrice 52 Weeks0.02357.67%
DividendPerShare DPS-0.02106.88%
EarningsPerShare EPS0.00140.45%
MarketCapitalization MV-0.02879.39%
OperatingCashFlow OperatingCF0.00581.88%
SalesPerShare SPS-0.00150.48%
PriceBookValueRatio PTBV Change 126 Days-0.00411.35%
PriceCashFlowRatio PCF Change 126 Days-0.01264.14%
GrossMargin GM Change 252 Days0.00280.91%
PriceEarningsRatio PE Position 66 Days-0.00933.03%
PriceBookValueRatio PTBV Position 252 Days-0.036812.03%

The table shows that the decision-making of the model during the last rebalance was most influenced by: