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Walking Dead. High returns (~400% CAGR) but super-volatile and brittle. Hunts for terrible companies that spike, shorts them.
Adam
posted
Seeking Help Mean Reversion Collaboration Request Value

The basic idea for this algo is that it looks at companies that are fundamentally weak: they are not profitable, they have terrible returns on equity, and they are small (less than $50m) market caps.

It then waits until they spike -- their returns are in the top 5% of returns for all stocks over the last 10 days -- and then it shorts them.

The algo, as-is, is quite brittle and easy to break. It's not hard to find a time period during which the returns look far worse.

I'm turning the concept over to you guys to see if we can make something of it.

1 response
Mohammad Forouzani

I think the problem with these types of companies is that they are usually very hard to short, you cant short them even if you want to because your broker wont have shares you can borrow for the short.

I have run into this problem many times with small caps and penny stocks.

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