The S&P 500 index rallied about five standard deviations, or seven mean absolute deviations, on Monday, March 2, 2020. This is how our daily quantitative anomaly detection performed.
We use Norgate data with DLPAL DQ and DLPAL LS software for the anomaly detection. ETF daily data start on inception and stock daily data start on 01./03/2000. If you use Norgate data it is easy to export the series in format used by DLPAL software. Contact support for more details about the settings for data exporting and also the DLPAL workspace settings used for anomaly detection.
DLPAL DQ ETF anomaly detection
These are the returns as of close of March 2, 2020, for the anomalies identified in ETFs as of close of February 28, 2020.
The average gain of the two anomalies in SPLV and XLV was 4.68% from open to close.
DLPAL DQ S&P 100 anomaly detection
These are the returns as of close of March 2, 2020, for the anomalies identified in S&P 100 stocks as of close of February 28, 2020.
The average returns of the four anomalies in stocks was 2.63% from open to close.
DLPAL LS S&P 500 dollar neutral long/short: top 5/bottom 5
These are the returns as of close of March 2, 2020, for the anomalies identified in S&P 500 stocks and used in long/short, as of close of February 28, 2020.
The average gain was about 1% from close to close and open to close.
DLPAL LS Dow-30 dollar neutral long/short: top 3/bottom 3
These are the returns as of close of March 2, 2020, for the anomalies identified in Dow-30 stocks and used in long/short, as of close of February 28, 2020.
From close to close long/short gained 0.25% and from open to close it was nearly flat.
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Strategy performance results are hypothetical. Please read the Disclaimer and Terms and Conditions.
