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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.
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- The StockPicker model focused on trading shares of the largest US companies (from the S & P100 index) currently reaches a CAGR of 32.59 %. Excluding fees and forex, even 45.06 %.
- MomentumFormula II model focused on gold and oil trading currently reaches a CAGR of 20.3 %. Excluding fees and forex, 22.61 %.
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).
SP FORECAST 11_2020
Ticker | Company | Future Yield |
|---|---|---|
| NFLX | Netflix Inc | 0,170 |
| INTC | Intel Corp | 0,159 |
| FDX | Fedex Corp | 0,152 |
| KMI | Kinder Morgan | 0,145 |
| COP | Conocophillips | 0,116 |
| WFC | Wells Fargo & Company | 0,105 |
| LLY | Eli Lilly and Company | 0,103 |
| SLB | Schlumberger N.V. | 0,099 |
| DIS | Walt Disney Company | 0,098 |
| XOM | Exxon Mobil Corp | 0,093 |
| CSCO | Cisco Systems Inc | 0,092 |
| GD | General Dynamics Corp | 0,088 |
| ADBE | Adobe Systems Inc | 0,085 |
| EXC | Exelon Corp | 0,084 |
| WBA | Walgreens Boots Alliance | 0,076 |
| RTX | Raytheon Technologies Corporation | 0,072 |
| GE | General Electric Company | 0,067 |
| GILD | Gilead Sciences Inc | 0,066 |
| DD | Du Pont De.Nemours Inc | 0,064 |
| UPS | United Parcel Service | 0,064 |
| BK | Bank of New York Mellon Corp | 0,063 |
| NEE | Nextera Energy | 0,063 |
| OXY | Occidental Petroleum Corp | 0,057 |
| AIG | American International Group | 0,054 |
| GOOGL | Alphabet Cl A | 0,053 |
| CVS | CVS Corp | 0,052 |
| TGT | Target Corp | 0,046 |
| USB | U.S. Bancorp | 0,045 |
| PYPL | Paypal Holdings | 0,044 |
| GOOG | Alphabet Cl C | 0,044 |
| NVDA | Nvidia Corp | 0,043 |
| CHTR | Charter Communicatio | 0,041 |
| ABBV | Abbvie Inc | 0,034 |
| CVX | Chevron Corp | 0,030 |
| QCOM | Qualcomm Inc | 0,030 |
| UNP | Union Pacific Corp | 0,030 |
| ALL | Allstate Corp | 0,029 |
| C | Citigroup Inc | 0,026 |
| MS | Morgan Stanley | 0,023 |
| EMR | Emerson Electric Company | 0,023 |
| BIIB | Biogen Inc | 0,023 |
| BAC | Bank of America Corp | 0,020 |
| CMCSA | Comcast Corp A | 0,020 |
| MCD | McDonalds Corp | 0,019 |
| GM | General Motors Company | 0,018 |
| MO | Altria Group | 0,017 |
| DHR | Danaher Corp | 0,014 |
| KHC | Kraft Heinz Company | 0,013 |
| MET | Metlife Inc | 0,012 |
| SPG | Simon Property Group | 0,008 |
| HD | Home Depot | 0,008 |
| F | Ford Motor Company | 0,003 |
| TMO | Thermo Fisher Scientific Inc | 0,002 |
| COF | Capital One Financial Corp | 0,002 |
| MMM | 3M Company | -0,001 |
| DOW | Dow Inc | -0,003 |
| HON | Honeywell International Inc | -0,003 |
| T | AT&T Inc | -0,004 |
| BMY | Bristol-Myers Squibb Company | -0,004 |
| ORCL | Oracle Corp | -0,005 |
| FB | Facebook Inc | -0,006 |
| AAPL | Apple Inc | -0,011 |
| LOW | Lowes Companies | -0,013 |
| JPM | JP Morgan Chase & Company | -0,015 |
| SO | Southern Company | -0,017 |
| SBUX | Starbucks Corp | -0,021 |
| AMZN | Amazon.com Inc | -0,029 |
| ACN | Accenture Plc | -0,032 |
| BA | Boeing Company | -0,034 |
| BKNG | Booking Holdings Inc | -0,037 |
| V | Visa Inc | -0,040 |
| PM | Philip Morris International Inc | -0,042 |
| IBM | International Business Machines | -0,055 |
| CAT | Caterpillar Inc | -0,057 |
| MRK | Merck & Company | -0,062 |
| MA | Mastercard Inc | -0,063 |
| GS | Goldman Sachs Group | -0,065 |
| BRK.B | Berkshire Hathaway Cl B | -0,067 |
| TXN | Texas Instruments | -0,067 |
| MDT | Medtronic Inc | -0,068 |
| MSFT | Microsoft Corp | -0,073 |
| UNH | Unitedhealth Group Inc | -0,074 |
| AXP | American Express Company | -0,075 |
| ABT | Abbott Laboratories | -0,076 |
| AMGN | Amgen Inc | -0,081 |
| BLK | Blackrock | -0,087 |
| LMT | Lockheed Martin Corp | -0,090 |
| VZ | Verizon Communications Inc | -0,092 |
| KO | Coca-Cola Company | -0,095 |
| NKE | Nike Inc | -0,095 |
| PFE | Pfizer Inc | -0,103 |
| WMT | Wal-Mart Stores | -0,115 |
| PG | Procter & Gamble Company | -0,129 |
| MDLZ | Mondelez Intl Inc | -0,135 |
| CL | Colgate-Palmolive Company | -0,160 |
| DUK | Duke Energy Corp | -0,165 |
| COST | Costco Wholesale | -0,168 |
| PEP | Pepsico Inc | -0,183 |
| JNJ | Johnson & Johnson | -0,184 |
SP PREDICTORS 11_2020
Variable | Coeff | Weight |
|---|---|---|
| Constant | 0.0001 | 0.03% |
| Kurtosis 66 | 0.0159 | 5.19% |
| Autocorrelation 5 | 0.0171 | 5.59% |
| Momentum 252 - 22 | 0.0389 | 12.73% |
| USD Volume Relative Change 22 vs 44 | -0.0128 | 4.17% |
| CCI 4 | -0.0284 | 9.28% |
| Volume CCI 4 | 0.0102 | 3.35% |
| SUV Resid 252 | 0.0028 | 0.93% |
| SUV Coef 126 | -0.0160 | 5.24% |
| SUV Coef 12 Weeks | -0.0024 | 0.77% |
| SUV Coef 104 Weeks | -0.0138 | 4.50% |
| AR LogPrice 52 Weeks | 0.0235 | 7.67% |
| DividendPerShare DPS | -0.0210 | 6.88% |
| EarningsPerShare EPS | 0.0014 | 0.45% |
| MarketCapitalization MV | -0.0287 | 9.39% |
| OperatingCashFlow OperatingCF | 0.0058 | 1.88% |
| SalesPerShare SPS | -0.0015 | 0.48% |
| PriceBookValueRatio PTBV Change 126 Days | -0.0041 | 1.35% |
| PriceCashFlowRatio PCF Change 126 Days | -0.0126 | 4.14% |
| GrossMargin GM Change 252 Days | 0.0028 | 0.91% |
| PriceEarningsRatio PE Position 66 Days | -0.0093 | 3.03% |
| PriceBookValueRatio PTBV Position 252 Days | -0.0368 | 12.03% |
The table shows that the decision-making of the model during the last rebalance was most influenced by:
- a change in the pace of the momentum for the last year (for example, when one share grows by 5%, it is a large momentum compared to another stable share, whose yield is 0.25% for the same period),
- from the fundamental ones, we choose, for example, the well-known PriceBookValueRatio (the ratio of price to book value of a given company).
