Insider Data got better?

General
1

Hey, I am struggeling here with strategies on insider data.
The following strategy buys beaten down stocks (playing the long term reversal factor) with some form of short term momentum:

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From what I can see that strategies depending on insider data do better the last 5 years especially.

Could that be a data phenomenon, e.g. insider data got better on p123 the last 5 Years.

I can also see the same on EPS Revisions and upgrades.

Or is this based on the long term reversal factor itself, which just happened to be a good the last 5 Years?

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Did that data get better the last 5 Years?

2

The same happens with systems that base on eps revisions. They got much better the last 10 Years.
Question is that just because growth factor was strong or that the data got better?

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1 Like
3

same system in the last post, performance is insane the last 2 years, really scratching my head here…

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4

We have not touched insider data yet. We have a plans to calculate our own factors since we don’t like the way Factset creates the aggregated values as was discussed here

NOTE: we’ll leave current factors alone of course so we don’t destroy your strategy :slight_smile:

1 Like
5

Thank you, could be a game changer to calc the insider information the right way!

Just for general reference:
Stages of my model design the last 10 Years

  1. There are base models (Olikea ranking) that do a good job, > 30-40% Performance, 50% DD

  2. Combine Olikea Models with industry momentum, earning revisions in the ranking system
    46% Performance 50% DD

  3. Add one frank filter (Quality or earnings) to the buy rules
    46% and 38% DD

  4. Combine models in a book
    46% and 30% max DD

So a combination of a diversified ranking system and a buy filter is really successfull

Now there are two sources of “alternative data” in P123: Earnings estimates, earnings revisions, buy and sell order revisions and insider data.

That ist the stuff I am concentrating on!

Best Regards

Andreas

1 Like
6

Andreas,
thanks for sharing your “development” of rules and rankings.
What is missing in your list is some kind of TIMING indicator.
This is also what is missing from P-123.
I remember that Marco was hinting (long time ago) that P-123 wants to come up with one or several TIMERS but apparently this project never got anywhere.
Can it be revived?