Stock Predictions: Daily Stock Selection Based On AI Algorithm for January 7th, 2016 – February 1st, 2017
Stock Predictions: Short-term Trading
Daily Stock Selection Based On a Self-Learning Algorithm
The short-term signals of I Know First’s proprietary algorithm can be successfully utilized besides their application for better timing of the mid and long term investments. Variety of rules based on those can be developed for trades execution and rebalancing on a daily basis.
A high predictability level and signal strength are key factors for the most intuitive approach of selecting the highest ranked stocks. Besides that, there can be several ways of integrating a trend or mean reversion logic into the selection process to account for trader’s approach and/or market conditions.
The following back test results of four strategies in this context are given for the S&P 500 stocks universe since the begin of 2016. At most 20 highest ranked stocks per day (if available) are traded in each case, the equity lines represent the value of corresponding equally weighted and daily rebalanced baskets of stocks, set up to outperform the broader universe. For three of them, additionally to the predictability and signal level, the price and signal dynamics are taken into account for the respective selection processes. No technical analysis elements (indicators, oscillators) are part of the analysis below. The signals are generated daily before the market opens and subsequently used to rank the stocks. For simplification purposes the simulation uses close-to-close price changes only and hence no limit orders or stop losses are considered for further performance enhancement. Both long and short positions can be taken, no leverage is applied.
The overall return in the period January 7th 2016 – February 1st 2017 ranges between 76.7% and 20.25% while the S&P 500 increased by 14.5%.
The following table summarizes the overall results and the annualized figures (assuming 252 business days in a year) for each of the strategies.
The table below breaks down the analysis into the respective trade statistics over the considered period:
In all of the strategies mentioned above only signals with higher predictability levels were used.
The short-term model is (currently) available to institutional clients only. Based on cooperation/partnership agreements for fund management purposes, integration of I Know First’s signals into the respective investment processes as well as development of quantitative strategies can be included into I Know First’s scope of services.
I Know First Research