EarningsTradingQuant - AfterEarningsQuant new earnings season

Trading and Markets
#1

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

#2

AfterEarningsTradingQuant
AfterEarningsTradingQuant.png1145Ɨ749 24.6 KB

#3

EarningsTradingQuant
EarningsTradingQuant.png1144Ɨ747 13.9 KB

1 Like
#4

Hi, i want to inform you that from this moment until 15 May 2018 my automated strategy ā€œEarningsTradingQuantā€ will be free of charge.

The two previous earning sessons it had a return of 36,7% and 6,3%
For 5-year backtesting results look at this topic

Thank you

#5

@johnkur, your strategies are interesting, but I have noticed you have tried a ton of different strategies and nearly all have either crashed and burned, become too volatile, or struggled to beat the market.

If you are backtesting strategies I would advise you to be careful to not to ā€˜backfitā€™ or ā€˜curvefitā€™. That is, donā€™t just plug in random variables until you get a nice looking equity curve in the backtest. Find a system in one set of sample data, then run it several times in out of sample data. If the results are close to as good, you might have something. Iā€™m telling you from experience, as I did the same thing years ago.

Good luck.

#6

@DogZebra_Investing Hi, I want to inform that from all the systems i have created only these two are full automatic with specific rules. They have created after quantitive analysis of historical data without overfitting to get better results or nice equity curve. They are not black box systems and their rules are mainly fundamental rules. By know after six months on C2 the results are the expected. Of course no one can guarantee the long term success of a system.

#7

I have to agree with DogZebra, just too many burned or failed strategies.
Donā€™t wanna be a crash-test dummy for your next system.
Maybe you go TOS for a change.

What about your last strategy you started last month? Already giving up?

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