Played around with actuals in combination with earnings estimates Rate of change.
Looks a bit hefty to me (all liquidt stocks, mostly mid to big caps).
Please coment. TY
Played around with actuals in combination with earnings estimates Rate of change.
Looks a bit hefty to me (all liquidt stocks, mostly mid to big caps).
Please coment. TY
Those are highly liquid stocks!
Interesting. Def worth keeping an eye on
This one is on highy liquid stocks + variable slippage. Just not used to strats that are higher cap and print that kind of backtest.
So based on your answer I understand that actuals are PIT!
Great data add!
Interesting sim. I had trouble getting similar results until I realized that Force Positions into Universe=False was needed. Setting that to true trashes the equity curve. I suspect the Universe changes a lot. I need to look at that.
The outperformance AlgoMan puts a finger on happened between October 2020 and February 2023. Before and after those dates, the performance was congruent with that of the S&P 500. If you substitute for the rule frank("ActualGr%PQ(#EPS)",#all,#DESC,#ExclNA)>80
the rule frank("(EPSActual(0,Qtr)-EPSActual(1,QTR))/EPSActual(1,Qtr)",#all,#DESC,#ExclNA)>80
you get a very similar result. So I don't think, as JudgeTrade implied, that there's any lookahead bias here.