Jan 19 2022 (market close) CQNS (UP) Run results

Good morning.  We ran the model late into the night (had to start it at ~7:30pm CT once market data provider was ready).  2,390 US listed equities with market capitalization > $50M and net income > $1 that traded every day for the past year.

Top Stock Portfolios were all anchored around $MARA.  Here they are...all the scores (first number, negative) are to be compared against holding all profitable (net income > 1) stocks in equal capitalization.  That portfolio has a CQNS score of zero.

These are the top "UP" portfolios.  The more negative the first number, the better.  This is an absolute risk-reward trade-off.
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​-0.0146 ['MARA'] 1 

-0.0106 ['MARA', 'SI'] 2 

-0.0089 ['MARA', 'PEP'] 2 

-0.0088 ['MAA', 'MARA'] 2 

-0.0087 ['EQOS', 'MARA', 'SI'] 3 

-0.0086 ['MARA', 'XPO'] 2 

-0.0085 ['MARA', 'NOW'] 2 

-0.0083 ['ACLS', 'MARA', 'SI'] 3 

-0.0080 ['ADC', 'MARA', 'SI'] 3 

-0.0080 ['MARA', 'NFG', 'SI'] 3 

-0.0079 ['COST', 'MARA', 'SI'] 3 

-0.0079 ['KEYS', 'MARA', 'SI'] 3 

-0.0079 ['HI', 'MARA', 'SI'] 3 

-0.0076 ['HAE', 'MARA', 'SI'] 3 

-0.0069 ['GRWG', 'ICHR', 'MARA', 'SI'] 4 

-0.0069 ['CMS', 'ICHR', 'MARA', 'SI'] 4 

-0.0068 ['CAG', 'ICHR', 'MARA', 'SI'] 4 

-0.0068 ['ICHR', 'MARA', 'NOC', 'SI'] 4 

-0.0068 ['APAM', 'ICHR', 'MARA', 'SI'] 4 

-0.0067 ['GLRE', 'ICHR', 'MARA', 'SI'] 4 

-0.0067 ['ACLS', 'MARA', 'SI', 'SITM'] 4 

-0.0063 ['MARA', 'MMM', 'WEC'] 3 

-0.0063 ['COHU', 'DKL', 'MARA'] 3 

-0.0062 ['FFNW', 'MARA', 'SNDR'] 3 

-0.0062 ['AEP', 'MARA', 'WMS'] 3 

-0.0060 ['ACLS', 'ICHR', 'MARA', 'SI', 'SITM'] 5 

-0.0059 ['MARA', 'TPC', 'UVSP'] 3 

-0.0059 ['ACLS', 'ICHR', 'MARA', 'MGNI', 'SI'] 5 

-0.0058 ['ACLS', 'EQOS', 'ICHR', 'MARA', 'SI', 'SITM'] 6 

-0.0053 ['ACLS', 'EQOS', 'EXPI', 'ICHR', 'MARA', 'SI', 'SITM'] 7 

-0.0051 ['ACLS', 'AMAT', 'HWBK', 'ICHR', 'MARA', 'SI'] 6 

-0.0050 ['ACLS', 'ICHR', 'MARA', 'SI', 'SYY', 'WMK'] 6 

-0.0050 ['ACLS', 'CAG', 'ICHR', 'MARA', 'SI', 'USFD'] 6 

-0.0050 ['DHIL', 'GRWG', 'MARA', 'WBS'] 4 

-0.0050 ['ACLS', 'ICHR', 'MARA', 'RVSB', 'SI', 'TMHC'] 6 

-0.0048 ['FAF', 'FORM', 'MARA', 'RGLD'] 4 

-0.0047 ['ACLS', 'EQOS', 'ICHR', 'MARA', 'NYT', 'SI', 'UCTT', 'UTL'] 8 

-0.0046 ['ACLS', 'EQOS', 'EXPI', 'ICHR', 'MARA', 'PPSI', 'SI', 'SITM'] 8 

-0.0046 ['HFWA', 'ITRI', 'MARA', 'SNCE'] 4 

-0.0046 ['BEP', 'MARA', 'QNST', 'STC'] 4 

-0.0046 ['EVR', 'MARA', 'QLYS', 'SMG'] 4 

-0.0045 ['ACLS', 'BBWI', 'ICHR', 'MARA', 'PNC', 'SI', 'UCTT'] 7 

-0.0043 ['ACLS', 'AEE', 'AEM', 'EQOS', 'ICHR', 'MARA', 'PPG', 'SI', 'UCTT'] 9 

-0.0042 ['ACLS', 'CHTR', 'ENB', 'EQOS', 'ICHR', 'MARA', 'SI', 'SPLP', 'UCTT'] 9 

-0.0042 ['CATY', 'CIO', 'MARA', 'RPAY', 'SI', 'ZEUS'] 6 

-0.0039 ['ACLS', 'CIFR', 'ICHR', 'MARA', 'PRFT', 'SI', 'SLAB', 'UCTT'] 8 

-0.0037 ['ACLS', 'AMCR', 'HFWA', 'ICHR', 'MARA', 'NMRK', 'NUE', 'SI', 'UCTT'] 9 

-0.0037 ['ACLS', 'BBSI', 'GILD', 'ICHR', 'MARA', 'SI', 'SMCI', 'TG', 'UCTT'] 9 

-0.0036 ['ACLS', 'BIG', 'CATY', 'ICHR', 'MARA', 'PCGU', 'SHC', 'SI', 'UCTT'] 9 

-0.0036 ['APAM', 'AUY', 'CALB', 'GRWG', 'HTH', 'MARA'] 6 

-0.0034 ['ACB', 'BV', 'ICHR', 'MARA', 'PFIS', 'PLMR'] 6 

-0.0034 ['CBT', 'CVCY', 'EQOS', 'MARA', 'ORA', 'SPNT', 'WSM'] 7 

-0.0034 ['AMCR', 'BANF', 'FFNW', 'MARA', 'MGNI', 'SPLP'] 6 

-0.0033 ['ANF', 'CMCSA', 'MARA', 'OTTR', 'PBIP', 'QLI', 'SI', 'VMC'] 8 

-0.0033 ['AROC', 'CROX', 'HPE', 'HUMA', 'MARA', 'SAFM', 'SEIC', 'SI'] 8 

-0.0030 ['ACLS', 'EQOS', 'EXPI', 'GSHD', 'ICHR', 'INGR', 'MARA', 'PM', 'PPSI', 'SI', 'SITM', 'SJW', 'TFX', 'WTRG'] 14 

-0.0027 ['AHH', 'BSY', 'CCOI', 'CTAS', 'MARA', 'MELI', 'SP', 'UCTT'] 8 

-0.0027 ['ABNB', 'ASTE', 'CHMI', 'ECPG', 'ETN', 'EXPI', 'FIVE', 'MARA'] 8 

-0.0026 ['ASB', 'ATGE', 'BLK', 'EXPI', 'HIW', 'MARA', 'ONEW', 'REGI'] 8 

-0.0025 ['AMT', 'APPS', 'ATVI', 'BAC', 'ESI', 'HBAN', 'HFFG', 'MARA'] 8 

-0.0024 ['CFX', 'ESGR', 'ICLR', 'IPGP', 'MARA', 'NOA', 'OKE', 'XRX'] 8 

-0.0016 ['ABNB', 'CSCO', 'FDBC', 'FRHC', 'GO', 'MARA', 'MS', 'PAYA', 'PCYG', 'PEAK', 'SRE', 'STRA'] 12 

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The market returns have fallen dramatically these past two months.  Lowest I have seen since just past the pandemic crash.

​ Year through:  2022-01-19 

QQQ: 366.48 322.63
IWM: 204.45 212.38
SPY: 451.75 378.84
SPY Variance: 6.8237416e-05 

Riskfree rate                    =  1.00%
Actual SPY return                =  19.25%
Use actual S&P500 rate            =  19.25%
Actual IWM return                =  -3.73%
Use floor Russell 2000 rate             =  5.00%
Actual QQQ return                =  13.59%
Use actual NASDAQ 100 rate            =  13.59%
===========================================
Market return                    =  11.61%

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Leptokurtic and low variance stocks.  Here are your 'best' options plays if you just like to pick a side and make a leveraged bet.

​The stocks that are leptokurtic and low variance: 
 This is the minimum Leptokurtic score and variance of all stocks:  4.5 0.0001666
['ABBV', 'AMGN', 'APD', 'AQN', 'ARE', 'FE', 'FRTA', 'LMT', 'MNR', 'NOC', 'PNM', 'PPL', 'ROP', 'SPH', 'T', 'TRI', 'TSN', 'VZ', 'WMT'] 19 

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These are the top 50 stocks selected by our model as of last night.  If you held only one stock, these stocks provide the best absolute risk-reward tradeoff based on how we do the math:

First number is CQNS score, second number is expected return (CAPM based on BETA), third number is a volume metric for the last trading day, fourth is the price compared to last year's average, and finally variance of the adjusted close price.

0 MARA MARATHON DIGITAL HOLDINGS  INC. -0.01459 0.48 0.59 0.69 3.34717494
1 SI Silvergate Capital Corp -0.00464 0.41 1.59 0.84 8.42056373
2 ICHR Ichor Holdings Ltd -0.00206 0.34 0.65 0.90 0.70294300
3 ACLS Axcelis Technologies Inc -0.00142 0.32 1.47 1.33 2.43897799
4 UCTT Ultra Clean Hldgs Inc -0.00138 0.33 1.58 1.02 0.61370958
5 EQOS Eqonex Ltd -0.00129 0.39 0.35 0.28 2.71065489
6 AOSL Alpha & Omega Semiconductor Ltd -0.00125 0.33 1.87 1.34 2.26670926
7 LSCC Lattice Semiconductor Corp. -0.00088 0.30 0.89 1.01 2.40309019
8 GRWG GrowGeneration Corp -0.00062 0.33 1.01 0.25 5.35860102
9 EXPI eXp World Holdings Inc -0.00058 0.35 0.78 0.62 2.68425762
10 AMAT Applied Materials Inc. -0.00039 0.28 1.57 1.07 1.50413063
11 COHU Cohu  Inc. -0.00037 0.29 0.56 0.87 0.72677548
12 SITM SiTime Corp -0.00024 0.32 1.72 1.27 29.51835164
13 APAM Artisan Partners Asset Management Inc -0.00023 0.26 1.24 0.91 0.08543206
14 TER Teradyne  Inc. -0.00014 0.26 0.97 1.14 1.75345774
15 FORM FormFactor Inc. -0.00014 0.28 0.87 1.03 0.59874225
16 KLAC KLA Corp. -0.00009 0.26 1.26 1.15 5.49810841
17 MTSI MACOM Technology Solutions Holdings Inc -0.00008 0.26 1.13 1.05 0.71692289
18 DIOD Diodes  Inc. -0.00005 0.25 1.02 1.04 1.61746525
19 LRCX Lam Research Corp. -0.00004 0.26 1.27 1.06 4.28793238
20 NXPI NXP Semiconductors NV -0.00002 0.24 0.68 1.04 1.20889843
21 ON ON Semiconductor Corp. 0.00000 0.26 1.28 1.29 2.15080146
22 CALX Calix Inc 0.00002 0.29 1.35 0.98 2.64070591
23 NVDA NVIDIA Corp 0.00003 0.26 2.12 1.24 17.51288435
24 PNM PNM Resources Inc 0.00004 0.02 0.93 0.94 0.03120138
25 BCE BCE Inc 0.00005 0.06 0.86 1.11 0.25081524
26 SOLN Southern Company 0.00005 0.05 0.05 1.08 0.07056424
27 FTS Fortis Inc. 0.00005 0.05 1.77 1.06 0.12292842
28 SMTC Semtech Corp. 0.00006 0.24 1.08 1.03 1.15506935
29 AMKR AMKOR Technology Inc. 0.00006 0.27 0.54 0.97 0.28018419
30 ONTO Onto Innovation Inc. 0.00006 0.26 1.30 1.24 1.94881245
31 JELD JELD-WEN Holding Inc. 0.00007 0.25 1.12 0.88 0.09960098
32 DCUE Dominion Energy Inc 0.00007 0.05 2.42 1.05 0.09170463
33 NVMI Nova Ltd 0.00008 0.24 1.79 1.21 3.04466597
34 KO Coca-Cola Co 0.00008 0.07 1.17 1.14 0.18204282
35 EQC Equity Commonwealth 0.00008 0.03 0.57 0.96 0.04427682
36 PEP PepsiCo Inc 0.00008 0.07 1.31 1.17 1.04911695
37 JNJ Johnson & Johnson 0.00008 0.05 0.84 1.02 0.16650824
38 RY Royal Bank Of Canada 0.00008 0.09 2.34 1.20 0.65791903
39 VZ Verizon Communications Inc 0.00008 0.04 1.00 1.00 0.05186990
40 TTMI TTM Technologies Inc 0.00008 0.07 0.90 1.04 0.03010160
41 HSY Hershey Company 0.00008 0.05 1.49 1.17 1.11456029
42 MCD McDonald`s Corp 0.00009 0.08 0.78 1.09 1.17297867
43 CL Colgate-Palmolive Co. 0.00009 0.04 1.24 1.07 0.11417914
44 PG Procter & Gamble Co. 0.00009 0.05 1.78 1.17 0.74145369
45 SO Southern Company 0.00009 0.05 0.88 1.10 0.14809517
46 WCN Waste Connections Inc 0.00009 0.08 1.10 1.03 1.15235832
47 BIP Brookfield Infrastructure Partners L.P 0.00009 0.07 0.79 1.11 0.14768481
48 BRK.B Berkshire Hathaway Inc. 0.00009 0.09 1.18 1.14 1.29862062
49 MDLZ Mondelez International Inc. 0.00010 0.07 0.97 1.12 0.19462593

Negative BETA stocks:
​
Here are the stocks with BETA values outside the data validation range. 

APO Apollo Global Management Inc -0.10
APT Alpha Pro Tech Ltd. -0.24
AUBN Auburn National Bancorp Inc. -0.25
AVIR Atea Pharmaceuticals Inc -0.07
CBAN Colony Bankcorp  Inc. -0.09
CCRD CoreCard Corporation -0.00
CFFI C & F Financial Corp -0.01
CLX Clorox Co. -0.21
CPK Chesapeake Utilities Corp -1.09
CVLY Codorus Valley Bancorp  Inc. -0.25
DJCO Daily Journal Corporation -0.04
GCBC Greene County Bancorp Inc 0.00
GEO Geo Group  Inc. -0.05
GRAB Grab Holdings Limited -0.43
HRL Hormel Foods Corp. -0.04
IHS IHS Holding Ltd -1.43
KOSS Koss Corp. -3.15
LARK Landmark Bancorp Inc -0.18
LGO Largo Inc -0.03
MKFG Markforged Holding Corporation -0.14
MRLN Marlin Business Services Corp -0.11
MYFW First Western Financial Inc -0.07
NICK Nicholas Financial  Inc. -0.16
NWFL Norwood Financial Corp. -0.13
PDEX Pro-Dex Inc. (co) -0.33
PNT POINT Biopharma Global Inc -0.01
QDEL Quidel Corp. -0.29
ROIV Roivant Sciences Ltd -0.08
SBFG SB Financial Group Inc -0.22
SGLY Singularity Future Technology Ltd -1.02
SIEB Siebert Financial Corp. -0.08
SMLR Semler Scientific Inc -0.76
TCFC Community Financial Corp -0.08
TR Tootsie Roll Industries  Inc. -0.05
UNB Union Bankshares  Inc. -0.02
VRE Veris Residential Inc -0.01

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Low BETA stocks (but still >0).  These are not necessary 'slow movers' but they are relatively uncorrelated to the S&P 500 ETF $SPY.

0 ISTR Investar Holding Corp 0.01
1 SJM J.M. Smucker Co. 0.02
2 CIZN Citizens Holding Co 0.03
3 PFE Pfizer Inc. 0.03
4 PROV Provident Financial Holdings  Inc. 0.03
5 RMBI Richmond Mutual Bancorporation Inc 0.04
6 CMPO CompoSecure Inc 0.04
7 HWBK Hawthorn Bancshares Inc 0.05
8 LOAN Manhattan Bridge Capital Inc 0.05
9 CPB Campbell Soup Co. 0.05
10 UBCP United Bancorp  Inc. (Martins Ferry  OH) 0.06
11 KMB Kimberly-Clark Corp. 0.06
12 OVBC Ohio Valley Banc Corp. 0.06
13 K Kellogg Co 0.07
14 ASRV Ameriserv Financial Inc 0.07
15 TTSH Tile Shop Hldgs Inc 0.07
16 CALM Cal-Maine Foods  Inc. 0.07
17 SFM Sprouts Farmers Market Inc 0.07
18 SEB Seaboard Corp. 0.08
19 AJRD Aerojet Rocketdyne Holdings Inc 0.08
20 PETS Petmed Express  Inc. 0.08
21 FSFG First Savings Financial Group Inc 0.08
22 FFNW First Financial Northwest Inc 0.08
23 SLNH Soluna Holdings Inc 0.08
24 CRWS Crown Crafts  Inc. 0.09
25 EPSN Epsilon Energy Ltd 0.09
26 BGS B&G Foods  Inc 0.09
27 CALB California Bancorp 0.10
28 ALOT AstroNova Inc 0.10
29 TCI Transcontinental Realty Investors  Inc. 0.10
30 LGL LGL Group Inc 0.11
31 FCCO First Community Corp. 0.11
32 CAG Conagra Brands Inc 0.11
33 PNM PNM Resources Inc 0.11
34 NEWP New Pacific Metals Corp 0.13
35 PLBC Plumas Bancorp. 0.13
36 KR Kroger Co. 0.13
37 THS Treehouse Foods Inc 0.14
38 UWMC UWM Holdings Corporation 0.14
39 ED Consolidated Edison  Inc. 0.14
40 ARMP Armata Pharmaceuticals Inc 0.14
41 WEC WEC Energy Group Inc 0.14

​ Here are the stocks with one day volume spikes, and the multiple of average volume in the busiest day. 

AAME Atlantic American Corp. 160
ASRV Ameriserv Financial Inc 123
COHN Cohen & Company Inc 108
GMTX Gemini Therapeutics Inc 108
GSMG Glory Star New Media Group Holdings Limited 145
GTEC Greenland Technologies Holding Corp 134
IFRX InflaRx N.V. 123
IPA ImmunoPrecise Antibodies Ltd 187
LFG Archaea Energy Inc 136
MMMB MamaMancini`s Holdings Inc 147
PRQR ProQR Therapeutics N.V 113
SYPR Sypris Solutions  Inc. 113
ULBI Ultralife Corp 147
VTSI VirTra Inc 192
VYGR Voyager Therapeutics Inc 114

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Good luck in the markets today.  If you want to learn more and maybe become a client (where we run this for you whenever you want, and can tailor the run), please check out our brochure on the homepage.  You can buy services through this website in the "Stock Market Quant Analysis" or "Project Services" tabs, or by calling Jeffrey Cohen at 847.780.4401.  

I am Jeffrey Cohen and I wrote this.  We receive no compensation for this blog.