azatlin's  Instablog

azatlin
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I harvest data, extract the signal and convert it into actionable trades.
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  • Trades Only Institutional Investors Get To See 2 comments
    Apr 25, 2014 11:36 PM

    I predict earnings surprises for companies in the Russell 1000 for Institutional Investors.

    My track record: 60% of my calls have had a positive return. The average return per trade is 1% for a 2 day hold.

    Why earnings surprises Like Willie Sutton said about robbing banks, "because that's where the money is." Earnings day is when a company's stock price will move the most. Up or down. It's almost pure Alpha.

    My System: Sorry, my black box is proprietary. It is based on fundamentals (i.e. not technicals).

    What to expect Each week, prior to earnings releases, I will publish: company, position to take (long or short), and specific dates to open/close the position.

    Note: Be advised that actual earnings release dates may vary from those I post. The actual trade dates may therefore be appropriately shifted

    Calculating Returns For simplicity sake, returns will be calculated as the difference between the closing price on the day the position was opened and the closing price on the day the position was closed. All trades are opened the day before (regardless of earnings release before or after market close) and closed 2 trading days after release.

    Good luck!

    -------------------------------

    WEEK S&P 500 RETURN SOUTHBAY RETURN (AVG. PER TRADE) # Trades Notes
    20-Jan -2.66% 1.69% 32  
    27-Jan -0.39% 1.03% 37  
    3-Feb 0.79% 0.82% 30  
    10-Feb 2.34% 1.29% 31  
    17-Feb -0.16% -2.01% 20  
    24-Feb 1.25% -0.75% 25  
    3-Mar 1.02% 2.14% 6  
    10-Mar -1.97% 2.41% 5  
    17-Mar 1.41% -0.89% 5  
    24-Mar -0.48% -2.30% 4 Due to copy/paste error, the calls for GME & RHT were reversed. Data given to Hedge Funds was correct and they enjoyed effectively the opposite (+2.8%)
    31-Mar 0.40% 6.90% 1  
    7-Apr -2.65% 1.26% 1  
    14-Apr 2.71% -1.73% 9  
    21-Apr Prelim -0.09% 1.05% 50  
    SYMBOL EARNINGS RELEASE DATE OPEN POSITION DATE CLOSE POSITION DATE CALL
    CHTR 4/28/2014 4/25/2014 4/30/2014 Short
    AWI 4/28/2014 4/25/2014 4/30/2014 Short
    CHTR 4/28/2014 4/25/2014 4/30/2014 Short
    ACT 4/29/2014 4/28/2014 5/1/2014 Long
    BSX 4/29/2014 4/28/2014 5/1/2014 Long
    RYN 4/29/2014 4/28/2014 5/1/2014 Long
    TRW 4/29/2014 4/28/2014 5/1/2014 Long
    WAT 4/29/2014 4/28/2014 5/1/2014 Long
    DBD 4/29/2014 4/28/2014 5/1/2014 Long
    BMY 4/29/2014 4/28/2014 5/1/2014 Short
    HSP 4/29/2014 4/28/2014 5/1/2014 Short
    LKQ 4/29/2014 4/28/2014 5/1/2014 Short
    SLAB 4/29/2014 4/28/2014 5/1/2014 Short
    MAR 4/29/2014 4/28/2014 5/1/2014 Short
    ACT 4/30/2014 4/29/2014 5/2/2014 Long
    SFLY 4/30/2014 4/29/2014 5/2/2014 Long
    ENR 4/30/2014 4/29/2014 5/2/2014 Short
    MWV 4/30/2014 4/29/2014 5/2/2014 Short
    SLGN 4/30/2014 4/29/2014 5/2/2014 Short
    CMP 4/30/2014 4/29/2014 5/2/2014 Short
    CNW 4/30/2014 4/29/2014 5/2/2014 Short
    TEX 4/30/2014 4/29/2014 5/2/2014 Short
    CLX 5/1/2014 4/30/2014 5/5/2014 Long
    K 5/1/2014 4/30/2014 5/5/2014 Long
    CVD 5/1/2014 4/30/2014 5/5/2014 Long
    CI 5/1/2014 4/30/2014 5/5/2014 Long
    SWI 5/1/2014 4/30/2014 5/5/2014 Long
    ITT 5/1/2014 4/30/2014 5/5/2014 Long
    BLL 5/1/2014 4/30/2014 5/5/2014 Short
    BWA 5/1/2014 4/30/2014 5/5/2014 Short
    CTRX 5/1/2014 4/30/2014 5/5/2014 Short
    MA 5/1/2014 4/30/2014 5/5/2014 Short
    MGM 5/1/2014 4/30/2014 5/5/2014 Short
    MYL 5/1/2014 4/30/2014 5/5/2014 Short
    AKAM 5/1/2014 4/30/2014 5/5/2014 Short
    BG 5/1/2014 4/30/2014 5/5/2014 Short
    BMRN 5/1/2014 4/30/2014 5/5/2014 Short
    RRD 5/1/2014 4/30/2014 5/5/2014 Short
    WU 5/1/2014 4/30/2014 5/5/2014 Short
    PSA 5/2/2014 5/1/2014 5/6/2014 Long

    Disclosure: I am long AKAM.

    Additional disclosure: Other than AKAM, I have no positions in any stocks mentioned. I reserve the right to take a position within the next 72 hours.

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Comments (2)
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  • bexpo
    , contributor
    Comments (256) | Send Message
     
    Appreciate seeing the dates - but these are still just odds? And how do you determine the spread?
    You can't watch all of these?
    TRW did not work?
    WAT did not work?
    ACT worked?
    BSX did not work?
    RYN did not work?
    DBD did not work?
    BMY worked?
    ACT worked?
    SLFY worked?
    2 May 2014, 12:28 AM Reply Like
  • azatlin
    , contributor
    Comments (9) | Send Message
     
    Author’s reply » Not sure what your questions are. Please expand:
    What do you mean 'odds'?
    What do you mean by 'spread'?
    Why do you think I can't watch all these?

     

    This is very simple: I am giving you a 3 day trade with specific open/close dates
    Not every trade works, obviously. But most yield positive returns.

     

    I am watching each of these trades and the specific entry/exit price. You can as well.
    (Note: the actual earnings release dates may vary sometimes from the dates listed, so do be careful)

     

    When you do the math, you will show the results I show.
    For example, in the prior week, there were 50 trades. The cumulative 1 week yield for all those 50 trades - assuming same dollar per trade - was 53%. Averaged across all 50 trades, 1.06%.

     

    Please let me know if you have any more questions.
    10 May 2014, 03:41 AM Reply Like
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