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azatlin's  Instablog

azatlin
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I harvest data, extract the signal and convert it into actionable trades.
  • Trades Only Institutional Investors Get To See 0 comments
    Jun 6, 2014 11:37 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!

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

    SYMBOLEARNINGS RELEASE DATEOPEN POSITION DATECLOSE POSITION DATECALL
    HRB6/11/20146/10/20146/13/2014Short
    MW6/11/20146/10/20146/13/2014Short
    PBY6/10/20146/9/20146/12/2014Short
    RSH6/9/20146/8/20146/11/2014Short
    UNFI6/10/20146/9/20146/12/2014Long

    Most trades haven't closed so it's premature to issue a weekly performance but it was bad.

    WEEKS&P 500 RETURNSOUTHBAY RETURN (AVG. PER TRADE)# TradesNotes
    20-Jan-2.66%1.69%32 
    27-Jan-0.39%1.03%37 
    3-Feb0.79%0.82%30 
    10-Feb2.34%1.29%31 
    17-Feb-0.16%-2.01%20 
    24-Feb1.25%-0.75%25 
    3-Mar1.02%2.14%6 
    10-Mar-1.97%2.41%5 
    17-Mar1.41%-0.89%5 
    24-Mar-0.48%-2.30%4Due 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-Mar0.40%6.90%1 
    7-Apr-2.65%1.26%1 
    14-Apr2.71%-1.73%9 
    21-Apr-0.09%1.05%50 
    28-Apr0.94%-2.06%38 
    5-May-0.14%1.62%19 
    12-May-0.03%-6.58%8 
    19-May1.55%1.81%12 
    26-May1.21%-4.42%3 
    2-June prelim1.34%   
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