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Tech sector strategy with SPY hedge and earnings call avoidance
Seong Lee
edited
Using Data

This is a simple strategy that rebalances a few large market cap tech stocks and hedges its positions with the SPY. It also exits out of these positions 1 day before an earnings announcement and re-enters the position 1 day afterwards.

I've written about the subject of earnings announcements and volatility. While you can read the full research based off a Stanford study, the quick summary is that stock price volatility on the day of an earnings announcement is significantly higher than its average.

To run the algorithm, get the free sample version of EventVestor's Earnings Calendar dataset and clone the algorithm below.

Would you like to see something like a tech-sector algorithm with Pipeline? Post in the comments.

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

1 response
Seong Lee

Here is the benchmark (the version of the algorithm w/o earnings calendars filtering).

For comparison, by accounting for earnings calendars the algorithm experienced these over the benchmark attached below:

alpha increased by 0.00308643136594, a 12.85% improvement  
returns increased by 0.0192049573895, a 41.37% improvement  
sharpe increased by 0.295107746787, a 71.54% improvement  
volatility decreased by 0.00114637616142, a 1.68% improvement  
max_drawdown increased by 0.00144116087525, a 2.60% decrease
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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.