Below are the results of long/short algo for the week of April 18, 2022.
The long/short identification is in the weekly timeframe and performed by DLPAL LS software. The following markets are considered:
- Dow 30 stocks
- S&P 500 stocks
- Nasdaq – 100 stocks
- Higher Risk Russell 3000 stocks
- 34 Popular ETFs
For stocks, we use weekly data starting 01/2000 and for ETFs, data since inception.
DLPAL LS is used by quantitative traders to develop algorithmic and machine learning strategies for directional and long/short trading but is also used as a discretionary trading tool.
The long/short signal identification was performed after the close of Thursday, April 14, 2022 (Friday was a holiday). The performance results below are from the open of Monday, April 18, 2022, to the close of Friday, April 22, 2022. Performance is calculated based on an equal allocation to all signals. Commissions and slippage are not included.
Dow 30 stocks results and performance
For Dow 30, we consider the top three long and the bottom three short stocks according to P-delta*S rank. The average return was +2.14%
S&P 500 stocks results and performance
For S&P 500, we consider the top five long and the bottom five short stocks according to P-delta*S rank. The average return was +2.50%
Nasdaq – 100 stocks results and performance
For NASDAQ-100, we consider the top five long and the bottom five short stocks according to P-delta*S rank. The average return was +0.47%
Higher Risk Russell 3000 stocks and results
The average return was +2.02%
ETFs results
For ETFs, we consider the top five long and the bottom five short stocks according to P-delta*S rank. The average return was +1.92%
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