Feel free to write us
a message.
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 StockPicker.eu.
Factors that influence the decision-making of the model (now for the February stock selection, the calculation took place on 31 January 2021).
Variable | Coeff | Weight |
|---|---|---|
| Constant | 0,01% | 0,03% |
| Autocorrelation 5 | 1,79% | 6,46% |
| Momentum 252 - 22 | 3,43% | 12,40% |
| USD Volume Relative Change 22 vs 44 | -1,48% | 5,35% |
| CCI 4 | -2,74% | 9,91% |
| 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% |
| DividendPerShare DPS | -2,22% | 8,01% |
| EarningsPerShare EPS | 0,22% | 0,79% |
| MarketCapitalization MV | -2,83% | 10,20% |
| OperatingCashFlow OperatingCF | 0,50% | 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.
