Short-term Trading: Summary of Realistic Backtests based on Daily Stock Selection

February 22, 2023
Dario Biasini is a Research Analyst at I Know First.





Summary
  • Presentation and analysis of I Know First's daily trading stock selection strategies
  • Implementation in Quantopian of realistic backtests of the presented strategies
  • Analysis of how strategies can be adjusted for different rebalancing and holding times
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Algorithmic Articles Premium Articles

Sector Rotation Based Algorithmic Trading Strategies for Stocks and ETFs

May 19, 2019
In the following we present an analysis of Sector Rotation based Algorithmic Trading Strategies which rely upon quantitative equity sector predictions computed by aggregating our AI forecasting algorithm’s daily signals for S&P 500 stocks. We show that these aggregated predictions result in high performing trading strategies with:
  • Sharpe ratios reaching 1.48
  • Returns of up to 70.5% in a 2-year time period
  • The possibility of trading up to 195 million US dollars
Algorithmic Performance

Stock Filtering by the I Know First Signal and Predictability Indicators

January 12, 2019
Dario Biasini is a Research Analyst at I Know First.





Summary
We expand on research performed in previous articles by further exploring the effect and interpretation of the I Know First prediction measures and how these can be used for stock filtering. We show that as predictability and signal strength increase the average trade returns based on these indicators grow in a consistent, significant, and robust manner and that by daily selecting stocks with the highest predictabilities and signals average returns significantly above those of S&P500 Index can be achieved.
  • Analysis of the Returns Generated by Filtering S&P500 Stocks using the I Know First Signal and Predictability Indicators
  • Comparison of the Compounded Returns Generated by using the I Know First Signal and Predictability Indicators against those of the whole S&P500 Stock Universe

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Algorithmic Articles Premium Articles

ETF Trading Strategies Based on I Know First’s Aggregated Algorithmic Forecasts

March 29, 2018
In the following article we update a set of ETF trading strategies based on I Know First’s aggregated investment signals for the individual stocks contained within the funds. In this article, the ETF forecast is generated by using a weighted aggregation of stock-level forecasts and the performance of this method is tested on the SPDR Sector ETFs. We show that these aggregated forecasts result in ETF Trading strategies which outperform the benchmark and present excellent performance and risk statistics.
Algorithmic Performance

S&P 500 Forecast Based On AI: SPY Trading Strategies based on I Know First’s algorithmic signals

February 28, 2018
In the following article we analyze the performance of SPY trading strategies developed using I Know First’s stock market forecasts. We show different ways such strategies can be built using the algorithmic forecasts and that they result in ETF portfolios with excellent performance and risk statistics.
Algorithmic Performance

ETF Predictions Based Trading Strategies Using I Know First’s Aggregated ETF Forecast

February 13, 2018
We continue our series of articles analyzing the performance of ETF predictions computed by aggregating I Know First’s algorithmic forecasts for the individual stocks contained within the funds. In this article, a new method to generate an ETF forecast by using a weighted aggregation of stock-level predictions is presented and the performance of this method is tested using Sector ETFs. We show that the computed ETF predictions result in strategies which outperform the benchmark and present excellent performance and risk statistics both on an individual ETF level and for portfolios of ETFs.
Algorithmic Performance

Stock Market Prediction Algorithm Based on Deep Learning: Returns up to 26.82% in 3 Days

February 4, 2018
Package Name: Stocks Under 10 Dollars
Recommended Positions: Short
Forecast Length: 3 Days (01/30/2018 - 02/02/2018)
I Know First Average: 8.52%

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 Stock Market Prediction Algorithm
Stocks Under $10
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