Model: WSH Long Earnings by Wall Street Horizon

Performance 3/12/19 - 10/21/20
Investment Approach
About Wall Street Horizon:
Wall Street Horizon provides institutional investors and traders with the most accurate and comprehensive forward-looking corporate data. Wall Street Horizon offers over 40 event types covering more than 7,000 equities worldwide.

Backtest: WSH Long Earnings
The portfolio is based on a model set to identify buy signals based on Wall Street Horizon earnings date shift data. More specifically identify optimal conditions for entry when a company shifts its earnings date earlier than it was originally set. The model portfolio scans securities from the S&P; 500 universe.

Here's how the backtest is conducted:

  • The portfolio selects its assets using Lucena’s event scan technology which identifies the equities most likely to outperform the S&P; 500 in the near       future.
  • The scan is run everyday, if constituents are identified for entry, the available cash is allocated equally between all the newly identified constituents.
  • The entered positions are held for 42 days or until they hit the stop loss condition defined for the position
  • There are a stop losses on the positions, which execute when the ATR (average true range) crosses above 3x of the normal volatility (averaged               across the past 126 day).
  • The portfolio can stay in cash if no constituents are identified. Market relative performance, low volatility and high Sharpe are the goals of the                 strategy.
    • Performance Versus Benchmark (S&P; 500) 3/12/19 to 10/21/20
    Strategy Overall Bench Overall Strategy YTD Bench YTD
    Abs. Return 41.80% 23.43% 16.87% 6.34%
    Rel. Return 18.36% N/A 10.53% N/A
    Beta 0.36 N/A 0.31 N/A
    Std. Dev 1.18% 1.65% 1.28% 2.21%
    Sharpe 1.23 0.82 1.02 0.69
    Draw Down 18.61% 33.92% 18.61% 33.92%
    IR 0.06 N/A -0.12 N/A
    R² 0.26 N/A 0.28 N/A
    Historical Summary
    1 Yr 2 Yr 3 Yr 5 Yr 10 Yr
    Ann. Return 19.72% 24.07% N/A N/A N/A
    Std. Dev 1.18% 1.18% N/A N/A N/A
    Ann. Volatility 18.71% 18.72% N/A N/A N/A
    Performance Attribution
    Risk/Return versus benchmark
    Monthly Return Comparison Trailing 12 Months
    Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Total
    Strategy 0.30% 0.48% 3.70% -8.46% -5.53% -2.31% 8.13% 4.59% 9.55% 3.80% -2.96% 6.90% 17.78%
    Benchmark 3.40% 2.86% -0.16% -8.41% -12.51% 12.68% 4.53% 1.84% 5.51% 7.01% -3.92% 2.16% 13.10%
    Rel. Return -3.10% -2.38% 3.86% -0.05% 6.98% -14.99% 3.60% 2.75% 4.04% -3.21% 0.96% 4.74% 4.68%
    Perspective on Performance

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    Model: WSH Long Earnings

    Model: WSH Long Earnings

    Strategy Performance Analysis by Wall Street Horizon
    Performance Report
    Performance Chart
    Correlation
    Beta
    Exposure
      
    Performance Metrics
    Transaction Cost:
    Number of Transactions130
    Commissions$1,006.72
    Slippage$0.00
    Borrowing CostsN/A
    Total Transaction Costs$1,006.72
    Benchmark Relative Metrics:
    Beta0.36
    Information Ratio0.06
    R^20.26
    Performance Metrics:
    Portfolio Return Sharpe Sortino Alpha Standard Dev Max DrawDown
    Model: WSH Long Earnings41.80%1.231.74 0.42 1.18% 18.61%
    S&P; 50023.43%0.820.90 0.00 1.65% 33.92%
    Portfolio Initial Adjusted Final Adjusted Return Compound Annual Return
    Model: WSH Long Earnings$998,384.38$1,416K$417,314.33 24.01%
    S&P; 500$2,783.30$3,435.56$652.26 13.64%

    Performance Metrics By Year
    2019 2020
    ReturnStrategy 21.33% 16.87%
    S&P; 500 16.08% 6.34%
    Winning DaysStrategy 55.12% 49.02%
    S&P; 500 58.54% 53.43%
    SharpeStrategy 1.49 1.02
    S&P; 500 1.56 0.69
    SortinoStrategy 2.26 1.38
    S&P; 500 1.83 0.80
    Max DDStrategy 7.95% 18.61%
    S&P; 500 6.84% 33.92%
    AlphaStrategy 0.21 0.17
    S&P; 500 0.00 0.00
    St. Dev.Strategy 1.07% 1.28%
    S&P; 500 0.76% 2.21%
      

    Monthly Return to Benchmark By Year
    JanFebMarAprMayJunJulAugSepOctNovDecTotal
    2019 Strategy 0.00% 0.00% -1.53% 10.19% -5.27% 10.56% 1.27% -0.95% 2.16% 3.40% 0.30% 0.48% 21.33%
    Benchmark 0.00% 0.00% 1.54% 3.93% -6.58% 6.89% 1.31% -1.81% 1.72% 2.04% 3.40% 2.86% 16.08%
    Relative Return 0.00% 0.00% -3.07% 6.26% 1.31% 3.66% -0.04% 0.86% 0.44% 1.35% -3.10% -2.38% 5.25%
     
    2020 Strategy 3.70% -8.46% -5.53% -2.31% 8.13% 4.59% 9.55% 3.80% -2.96% 6.90% 0.00% 0.00% 16.87%
    Benchmark -0.16% -8.41% -12.51% 12.68% 4.53% 1.84% 5.51% 7.01% -3.92% 2.16% 0.00% 0.00% 6.34%
    Relative Return 3.86% -0.05% 6.98% -14.99% 3.60% 2.75% 4.04% -3.21% 0.96% 4.74% 0.00% 0.00% 10.53%
     
      
    Performance Disclaimer
    Disclaimer: This information has been prepared by Lucena Research Inc. and is intended for informational purposes only. This information should not be construed as investment, legal and/or tax advice. Additionally, this content is not intended as an offer to sell or a solicitation of any investment product or service. Please note: Lucena is a technology company and not a certified investment advisor. Do not take the opinions expressed explicitly or implicitly in this communication as investment advice. The opinions expressed are of the author and are based on statistical forecasting based on historical data analysis. Past performance does not guarantee future success. In addition, the assumptions and the historical data based on which an opinion is made could be faulty. All results and analyses expressed are hypothetical and are NOT guaranteed. All Trading involves substantial risk. Leverage Trading has large potential reward but also large potential risk. Never trade with money you cannot afford to lose. If you are neither a registered nor a certified investment professional this information is not intended for you. Please consult a registered or a certified investment advisor before risking any capital.
    Disclaimer Pertaining To Content Delivered & Investment Advice
    Disclaimer: This information has been prepared by Lucena Research Inc. and is intended for informational purposes only. This information should not be construed as investment, legal and/or tax advice. Additionally, this content is not intended as an offer to sell or a solicitation of any investment product or service.
    Please note: Lucena is a technology company and not a certified investment advisor. Do not take the opinions expressed explicitly or implicitly in this communication as investment advice. The opinions expressed are of the author and are based on statistical forecasting based on historical data analysis. Past performance does not guarantee future success. In addition, the assumptions and the historical data based on which an opinion is made could be faulty. All results and analyses expressed are hypothetical and are NOT guaranteed. All Trading involves substantial risk. Leverage Trading has large potential reward but also large potential risk. Never trade with money you cannot afford to lose. If you are neither a registered nor a certified investment professional this information is not intended for you. Please consult a registered or a certified investment advisor before risking any capital.