A new earnings season is going to start this month with a lot of trading activity. Explore my two quantitative automated trading systems and learn how they work in earnings releases. The results of previous earnings season (October-December 2017) are as below:
AfterEarningsQuant: 32.2%
EarningsTradingQuant : 37%
The five-year hypothetical backtesting results are the following:
EarningsTradingQuant
Date Range 11/01/12-08/24/17
Starting Capital 25,000.00
Ending Capital 122,242.39
Net Profit 97,242.39
Net Profit % 388.97%
Net Profit per year % 80.80%
Number of Trades 2385
Average Profit $40.77
Number of Long Trades 1788
Average Profit $46.26
Number of Short Trades 597
Average Profit $24.33
Winning Trades 1332
Win Rate 55,85%
Average Profit $235.52
Losing Trades 1053
Loss Rate 44.15%
Average Loss -$205.57
Maximum Drawdown -3,872.35
Maximum Drawdown Date 4/9/2014
Maximum Drawdown % -10.43%
Maximum Drawdown % Date 26/2/2013
Winning Months 79.31%
Profit Factor 1.45
Sharpe Ratio 6.27
AfterEarningsQuant
Date Range 11/01/12-08/24/17
Starting Capital 25,000.00
Ending Capital 140,235.25
Net Profit 115,235.25
Net Profit % 460.94%
Net Profit per year % 95.75%
Number of Trades 7824
Average Profit $14.73
Number of Long Trades 4766
Average Profit $17.41
Number of Short Trades 3058
Average Profit $10.61
Winning Trades 4343
Win Rate 55.51%
Average Profit $107.15
Losing Trades 3481
Loss Rate 44.49%
Average Loss -$100.57
Maximum Drawdown -7,313,22
Maximum Drawdown Date 1/5/2017
Maximum Drawdown % -7.93%
Maximum Drawdown % Date 2/5/2013
Winning Months 89.66%
Profit Factor 1.33
Sharpe Ratio 8.96