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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
    Aug 23, 2014 3:41 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." Stock prices move th emost on earnings day because of earnings surprises. Up or down. It's almost pure Alpha.

    My System: 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. It is up to you to confirm the actual dates. The results tallied here are based on the actual release dates.

    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!

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

    Absolutely crushed by the Retail space this week.

    SHLD, AEO & TJX all made ~10%+ moves and we were on the wrong side.

    SYMBOLEARNINGS RELEASE DATEOPEN POSITION DATECLOSE POSITION DATECALL
    ADI8/26/20148/25/20148/27/2014Long
    WSM8/27/20148/26/20148/28/2014Long
    TIF8/27/20148/26/20148/28/2014Long
    GEF8/27/20148/26/20148/28/2014Long
    DG8/28/20148/27/20148/29/2014Short
    COST8/29/20148/28/20148/30/2014Short
    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-Jun1.34%-3.29%5SJM finally released
    9-Jun-0.68%1.53%4Had the wrong dates for MW - posted Friday AFTER earnings release on Thursday so trade could not have happened.
    16-Jun1.39%-1.73%5KBR finally released earnings
    23-Jun-0.10%-0.95%4 
    30-Jun1.22%0.00%1PAYX released
    7-Jul-0.86%4.87%2 
    14-Jul0.51%2.12%5 
    21-Jul0.01%0.83%21ALB & CHH did not report this week
    28-Jul-2.68%1.25%14ALB released
    4-Aug0.33%0.39%15CHH Released. TWX cancelled acquisition monkey hammered the results
    11-Aug1.19%-0.15%10ADSK beats revenues, beats earnings, raises guidance, gets slapped down hard. Makes sense in a Bizarro Universe.
    18-Aug prelim1.69%-2.95%9 
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