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 0 comments
    Jul 19, 2014 12:31 AM

    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 -0.09% 1.05% 50  
    28-Apr 0.94% -2.06% 38  
    5-May -0.14% 1.62% 19  
    12-May -0.03% -6.58% 8  
    19-May 1.55% 1.81% 12  
    26-May 1.21% -4.42% 3  
    2-Jun 1.34% -3.29% 5 SJM finally released
    9-Jun -0.68% 1.53% 4 Had the wrong dates for MW - posted Friday AFTER earnings release on Thursday so trade could not have happened.
    16-Jun 1.39% -1.73% 5 KBR finally released earnings
    23-Jun -0.10% -0.95% 4  
    30-Jun 1.22% 0.00% 1 PAYX released
    7-Jul -0.86% 4.87% 2  
    14-July prelim 0.51% 1.58% 5  
    SYMBOL EARNINGS RELEASE DATE OPEN POSITION DATE CLOSE POSITION DATE CALL
    CHH 7/21/2014 7/18/2014 7/23/2014 Long
    NFLX 7/21/2014 7/18/2014 7/23/2014 Long
    SANM 7/21/2014 7/18/2014 7/23/2014 Short
    SLAB 7/21/2014 7/18/2014 7/23/2014 Short
    MJN 7/22/2014 7/21/2014 7/24/2014 Short
    DD 7/22/2014 7/21/2014 7/24/2014 Short
    JNPR 7/22/2014 7/21/2014 7/24/2014 Short
    EFX 7/23/2014 7/22/2014 7/25/2014 Short
    ALB 7/23/2014 7/22/2014 7/25/2014 Short
    ALK 7/24/2014 7/23/2014 7/29/2014 Long
    AMZN 7/24/2014 7/23/2014 7/29/2014 Long
    JAH 7/24/2014 7/23/2014 7/29/2014 Long
    INFA 7/24/2014 7/23/2014 7/29/2014 Short
    WYN 7/24/2014 7/23/2014 7/29/2014 Short
    CCE 7/24/2014 7/23/2014 7/29/2014 Short
    BMY 7/24/2014 7/23/2014 7/29/2014 Short
    MXIM 7/24/2014 7/23/2014 7/29/2014 Short
    ABC 7/24/2014 7/23/2014 7/29/2014 Short
    CAT 7/24/2014 7/23/2014 7/29/2014 Short
    SIAL 7/24/2014 7/23/2014 7/29/2014 Short
    IM 7/24/2014 7/23/2014 7/29/2014 Short
    DHI 7/24/2014 7/23/2014 7/29/2014 Short
    RSG 7/24/2014 7/23/2014 7/29/2014 Short
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