May 9, 2022 market close
The market has been down for the past few weeks. Today's market action was down and RED all day. So, how did our 8-stock and 25-stock UP portfolios perform?
Both of the portfolios under-performed the $SPY as it declined 3.2% today. The CQNS UP Model works best in an up market (and our benchmark is the S&P 500 Index ETF).
Both of the portfolios under-performed the $SPY as it declined 3.2% today. The CQNS UP Model works best in an up market (and our benchmark is the S&P 500 Index ETF).
Today's results from our 8-stock CQNS UP Portfolio
Today's results from our 25-stock CQNS UP portfolio
May 9, 2022: We will back-test our model. Check back for results.
However it was working, the past few days will not be kind to the model's results. The CQNS UP run stocks are high BETA stocks with lower variance than random profitable stocks, and lower variance (relative to BETA) than all profitable stocks, or the S&P 500 index ETF. These stocks have been falling hard during these past trading days.
May 2, 2022: We beat the SPY today with the CQNS UP run.
I realize we cannot call market direction. However, when the market goes up our CQNS Efficient Stocks, our CQNS UP Run, significantly outperforms the $SPY (The S&P 500 Index ETF) which is our benchmark.
The SPY was up 0.6% (mostly late in the day). Our picks (best portfolio plus a few extra top performers) were up a median of 3.3%, or 5.5x the SPY return. Many of these stocks were in the Yahoo Finance top mover screener after market close. These were the stocks that moved the market today.
The model delivers these types of returns in markets like we have today, where liquidity is tight and professional traders are investing in efficient portfolios like these. We call them "Smart Volatility" for people who like to invest on the edge, and with an edge.
Good luck in the markets. The market today was down pre-market, up, then down, then closed up. We cannot predict or call market direction, but when the market is up, these stocks do very well.
The SPY was up 0.6% (mostly late in the day). Our picks (best portfolio plus a few extra top performers) were up a median of 3.3%, or 5.5x the SPY return. Many of these stocks were in the Yahoo Finance top mover screener after market close. These were the stocks that moved the market today.
The model delivers these types of returns in markets like we have today, where liquidity is tight and professional traders are investing in efficient portfolios like these. We call them "Smart Volatility" for people who like to invest on the edge, and with an edge.
Good luck in the markets. The market today was down pre-market, up, then down, then closed up. We cannot predict or call market direction, but when the market is up, these stocks do very well.
April 28, 2022 results (CQNS UP Run moved with the $SPY, aggressively)
Today was a strange day. The S&P 500 had been down for the week, and looked to be down this morning. The market leapt higher, and closed up almost 2%. The stocks picked by the model, which were communicated out in a video and BLOG post pre-market, started the day mixed, but then proceeded significantly higher with 100% breadth. In other words, when the market was down, these stocks were mixed. The losses would have been lower than the S&P 500. As the market turned higher, these stocks were like a barometer of the market.
They rose and in a very aggressive manner with the market. By the market close, these 13 stocks were up 1.68% to 8.85% against an $SPY rise of 2.53%.
This portfolio printed money for investors if they were confident the S&P 500 would rise today. It followed the $SPY's direction throughout the day.
This is especially interesting since we believe the indices were moved this morning by bets via derivatives, and not from direct purchases and sales of equities. As you can see, many of the stocks traded below their 3 month average volume. We also believe today was a liquidity-driven rally.
We tweeted out intra-day results (below).
They rose and in a very aggressive manner with the market. By the market close, these 13 stocks were up 1.68% to 8.85% against an $SPY rise of 2.53%.
This portfolio printed money for investors if they were confident the S&P 500 would rise today. It followed the $SPY's direction throughout the day.
This is especially interesting since we believe the indices were moved this morning by bets via derivatives, and not from direct purchases and sales of equities. As you can see, many of the stocks traded below their 3 month average volume. We also believe today was a liquidity-driven rally.
We tweeted out intra-day results (below).
Large-cap US equities are screaming higher.
— Chicago Quantum (@chicago_quantum) April 28, 2022
The first 9 are our CQNS UP Run 'model' or 'optimized' smart volatility portfolio today.
Then $SPY
Then 4-more smart volatility individual picks that are in larger portfolios (same score within 1e-5 rounding). pic.twitter.com/rTmGCuVRSo
US equities markets tearing higher.
— Chicago Quantum (@chicago_quantum) April 28, 2022
Our CQNS UP portfolio (smart volatility, efficient stock portfolio, 9 stocks to be purchased and held evenly weighted) is up really up / GREEN.
Top 9 stocks shown
Wow. This is when the $SPY is up 2.26% (10th stock) pic.twitter.com/J5PvffDQEt
Good morning, today's pre-market video
— Chicago Quantum (@chicago_quantum) April 28, 2022
We chat for ~20 minutes, then end with the good stuff: 'secret sauce' for data analysts & quants. We name tickers.https://t.co/sbhfVJjAdD
Please comment below video & click youtube's red subscribe button. pic.twitter.com/ka5fHYhnJ5
Why is the S&P 500 Trading Range so big □
— Chicago Quantum (@chicago_quantum) April 28, 2022
S&P 500 Daily Trading Range is up to levels that reflect market turbulence
— Chicago Quantum (@chicago_quantum) April 28, 2022
Definition: (H-L)/O
Causes:
Liquidity is drying up
Markets like turbulence
News really is that interesting & unique every day
Big bets in dark pools
War & Politics
What say you? pic.twitter.com/jmHW2H1KRZ
Best CQNS UP model run: April 13, 2022 market close data
By way of comparison, the $SPY, $QQQ, and all profitable stocks have a CQNS score of 0.
These portfolios have a score of -1.2 x 10-3, which is very good. All portfolios, whether 4 stocks held evenly (say $1000 apiece) or 10 stocks held evenly have the same CQNS score (within rounding).
Here they are. Feel free to track them with us.
-0.0012 ['AOSL', 'SI', 'SITM', 'TTD'] 4
-0.0012 ['AOSL', 'SI', 'SITM', 'SQ', 'TTD'] 5
-0.0012 ['AOSL', 'SI', 'SITM', 'SQ', 'TTD', 'UPST'] 6
-0.0012 ['AOSL', 'DDS', 'SI', 'SITM', 'SQ', 'TTD', 'UPST'] 7
-0.0012 ['AOSL', 'CLFD', 'DDS', 'SI', 'SITM', 'SQ', 'TTD', 'UPST'] 8
-0.0012 ['AOSL', 'DDS', 'LSPD', 'SI', 'SITM', 'SQ', 'TTD', 'UPST'] 8
-0.0012 ['AOSL', 'CLFD', 'DDS', 'LSPD', 'SI', 'SITM', 'SQ', 'TTD', 'UPST'] 9
-0.0012 ['AOSL', 'CLFD', 'DDS', 'LSCC', 'LSPD', 'SI', 'SITM', 'SQ', 'TTD', 'UPST'] 10
These portfolios have a score of -1.2 x 10-3, which is very good. All portfolios, whether 4 stocks held evenly (say $1000 apiece) or 10 stocks held evenly have the same CQNS score (within rounding).
Here they are. Feel free to track them with us.
-0.0012 ['AOSL', 'SI', 'SITM', 'TTD'] 4
-0.0012 ['AOSL', 'SI', 'SITM', 'SQ', 'TTD'] 5
-0.0012 ['AOSL', 'SI', 'SITM', 'SQ', 'TTD', 'UPST'] 6
-0.0012 ['AOSL', 'DDS', 'SI', 'SITM', 'SQ', 'TTD', 'UPST'] 7
-0.0012 ['AOSL', 'CLFD', 'DDS', 'SI', 'SITM', 'SQ', 'TTD', 'UPST'] 8
-0.0012 ['AOSL', 'DDS', 'LSPD', 'SI', 'SITM', 'SQ', 'TTD', 'UPST'] 8
-0.0012 ['AOSL', 'CLFD', 'DDS', 'LSPD', 'SI', 'SITM', 'SQ', 'TTD', 'UPST'] 9
-0.0012 ['AOSL', 'CLFD', 'DDS', 'LSCC', 'LSPD', 'SI', 'SITM', 'SQ', 'TTD', 'UPST'] 10
Results are very positive on our March 13, 2022 CQNS UP & DOWN runs performance.
We created two long portfolios and one short portfolio based on our March 13, 2022 run. These would be effective Monday, March 14, 2021 market open, and were measured for 10 trading days through Friday, March 25, 2022.
Significant outperformance vs. holding the 10th more efficient 'stock' according to our model, the $SPY.
At this point, we sell our time and our CQNS model runs for a fixed fee (either per hour or per run).
We are considering whether we create a separately managed account for these types of holdings, and to make them available to clients.
Significant outperformance vs. holding the 10th more efficient 'stock' according to our model, the $SPY.
At this point, we sell our time and our CQNS model runs for a fixed fee (either per hour or per run).
We are considering whether we create a separately managed account for these types of holdings, and to make them available to clients.
| 2_week_results_snapshot_march_13_2022.png |
| five_stocks_performance_march_2022.numbers |
We ran the CQNS model on November 30, 2021 (after market close). On December 1, 2021 (first day after the model run), we checked the top 50 "UP" stock picks and the top 50 "DOWN" stock picks after market close.
Results:
We used the portfolio function in Yahoo Finance to track one-day gains and losses (during main trading session).
We know that most individual investors cannot buy and hold 50 stocks equally, and sell short 50 stocks equally due to timing, cost and ability to track this many positions. Also, this is not a 'day trading' model as there is stickiness in the picks, and the effects last for ~25 trading days (25 or more).
A larger fund can over-weight and under-weight positions.
An individual investor can use the Top 50 UP and Top 50 Down list to focus for due diligence.
Finally, we run the model and pick portfolios of stocks that should rise (and not fall), or fall (and not rise) better together for added benefit. This way, we are selecting portfolios that zig and zag together. For "UP" portfolios you have offsetting moves that reduce volatility while maintaining expected returns. For "DOWN" portfolios you either short or buy puts for one stock at a time, or for a tight, small portfolio. This is because diversification helps "Down" stocks disproportionately.
Hope you found this interesting. We run our model for clients for a fixed fee that we believe is valuable and cost effective. We either run your stock tickers through our model for $150, or we run all tickers through the model for $1,000.
Terms and conditions apply. Please do your own research and due diligence before investing. Investing in stocks and options has significant risk and you can lose all of the money you invest.
Results:
- 18 of the top 50 "UP" stocks (36%) rose today in an overwhelmingly down day.
- The largest two gains were 3.9% and 3.6%.
- The largest two declines were 8.9% and 8.2%
- The CQNS model helped to highlight 50 stocks that were a safer haven, or had a chance to rise, in a downward market today.
- 46 of the top 50 "DOWN" stocks (92%) fell today in an overwhelmingly down day.
- The largest two declines were 61.4% and 17.0%.
- The largest two gains were 6.9% and 5.9%
- The CQNS model helped to highlight 50 stocks that were a good 'downward bet' in this market.
We used the portfolio function in Yahoo Finance to track one-day gains and losses (during main trading session).
We know that most individual investors cannot buy and hold 50 stocks equally, and sell short 50 stocks equally due to timing, cost and ability to track this many positions. Also, this is not a 'day trading' model as there is stickiness in the picks, and the effects last for ~25 trading days (25 or more).
A larger fund can over-weight and under-weight positions.
An individual investor can use the Top 50 UP and Top 50 Down list to focus for due diligence.
Finally, we run the model and pick portfolios of stocks that should rise (and not fall), or fall (and not rise) better together for added benefit. This way, we are selecting portfolios that zig and zag together. For "UP" portfolios you have offsetting moves that reduce volatility while maintaining expected returns. For "DOWN" portfolios you either short or buy puts for one stock at a time, or for a tight, small portfolio. This is because diversification helps "Down" stocks disproportionately.
Hope you found this interesting. We run our model for clients for a fixed fee that we believe is valuable and cost effective. We either run your stock tickers through our model for $150, or we run all tickers through the model for $1,000.
Terms and conditions apply. Please do your own research and due diligence before investing. Investing in stocks and options has significant risk and you can lose all of the money you invest.
Summary results: if you would have shorted the 20 stocks selected in equal amounts (5% of your investment in each stock) vs. shorting that same amount of the $SPY exchange traded fund, you would have made an extra 17.55% in 35 trading days, including dividends.
We include investment results through August 2, 2021 and August 30, 2021 (both market open) or 15 & 35 trading days.
We include investment results through August 2, 2021 and August 30, 2021 (both market open) or 15 & 35 trading days.
May 25, 2021 'UP' run results
The top 10 CQNS-scoring stocks held together (equally weighted), outperforms the S&P 500 ETF ($SPY) by an alpha return of 9.7% after 9 trading days (12.8% vs. 3.1%),11.6% after 17 trading days, and 13% after 24 trading days (16.9% vs. 3.9%.).
Six of the ten stocks outperformed the $SPY during the 9-day period, while eight of ten outperformed the $SPY during the 17 day and 24 day periods.
If you invested $1,000 in these 10 stocks ($100 apiece) you would have earned $128 in 9 days, vs. $31 invested in the S&P 500. If you would have held that $1,000 investment for 17 days, your return would be $156 vs. $40. Finally, after 24 days your $1000 would be worth $1,169 vs $1,039.
Six of the ten stocks outperformed the $SPY during the 9-day period, while eight of ten outperformed the $SPY during the 17 day and 24 day periods.
If you invested $1,000 in these 10 stocks ($100 apiece) you would have earned $128 in 9 days, vs. $31 invested in the S&P 500. If you would have held that $1,000 investment for 17 days, your return would be $156 vs. $40. Finally, after 24 days your $1000 would be worth $1,169 vs $1,039.
We ran an analysis of all NYSE American stocks for a year, through Friday, August 20, 2021
Here is what we found.
142 stocks passed data validation and were included in the analysis.
1. $GBR had a one-day rise that was exceptional.
2. Six stocks had a significant, one-day volume spike. These traded more than 130x their daily volume of shares in a single day. These stocks can attract attention.
Ticker. Largest trading day (multiple of average annual trading volume)
$CTEK 135x
$NNVC 142x
$NES 144x
$AINC 149x
$CVU 157x
$AGE 207x
3. Market returns over the past year of the major indices:
Actual risk-free rate = 0.05%
Actual GSPC return = 33%
Actual RUT return = 40%
Actual NASDAQ return = 32%
4. Five stocks paid more than 5% in dividends last year (actual yield vs average stock price).
If you held these stocks, you would be getting paid while you wait.
$SACH 11%
$FSP 8%
$CQP 7%
$BRG 7%
$GLU 6%
5. Four stocks had a BETA of 2.0 or more (vs. $SPY):
$UAVS 2.40
$REPX 2.35
$CEI 2.25
$UEC 2.07
6. Seven reverse splits (where companies reduce the number of outstanding shares):
$FURY
$BTX
$NOG
$WYY
$REPX
$ENSV
$RMED
7. And finally, the most efficient stock portfolio out of the NYSE American is to hold these four stocks in equal weight (invest the same amount in each, starting August 23, 2021 at market open):
$REPX
$TGB
$UAVS
$UEC
8. Our CQNS model selected this as the most efficient portfolio out of these 142 data validated stocks:
2021-08-21 validated stock list ['AAU', 'ACU', 'AGE', 'AIM', 'AINC', 'AIRI', 'AMS', 'ANVS', 'ARMP', 'ASM', 'ATNM', 'AUMN', 'AWX', 'AXU', 'BDR', 'BGI', 'BHB', 'BRG', 'BRN', 'BTG', 'BTN', 'BTX', 'CBOE', 'CCF', 'CDOR', 'CEI', 'CIX', 'CMCL', 'CMT', 'CPHI', 'CQP', 'CTEK', 'CVU', 'DLA', 'DPW', 'DSS', 'ELA', 'ELMD', 'EMAN', 'EMX', 'ENSV', 'EPM', 'EQX', 'EVBN', 'EVI', 'FRD', 'FSI', 'FSP', 'FURY', 'GBR', 'GDP', 'GLDG', 'GLU', 'GORO', 'GSAT', 'GSS', 'GSV', 'HUSA', 'IBIO', 'IGC', 'IMH', 'IMO', 'INFU', 'INTT', 'ISDR', 'ISR', 'ITP', 'ITRG', 'JOB', 'KLR', 'KULR', 'LCTX', 'LEU', 'LNG', 'LODE', 'MCF', 'MHH', 'MLSS', 'MMX', 'MSN', 'MTA', 'MTNB', 'MXC', 'MYO', 'NAK', 'NAVB', 'NBY', 'NES', 'NHC', 'NNVC', 'NOG', 'NTIP', 'NXE', 'OGEN', 'OPTT', 'PED', 'PLAG', 'PLX', 'PRK', 'PTN', 'PW', 'PZG', 'REI', 'REPX', 'RHE', 'RLGT', 'RMED', 'RVP', 'SACH', 'SDPI', 'SEB', 'SENS', 'SILV', 'SMTS', 'SNMP', 'SSY', 'STXS', 'SVM', 'SYN', 'TGB', 'TMBR', 'TMP', 'TMQ', 'TPHS', 'TRX', 'UAVS', 'UEC', 'UFAB', 'URG', 'USAS', 'UUU', 'VGZ', 'VNRX', 'VOLT', 'WRN', 'WTT', 'WWR', 'WYY', 'XPL', 'XTNT', 'YCBD', 'ZDGE']
9. The most inefficient stock is $GBR, or New Concept Energy, Inc. This should fall much faster than the $SPY during market declines.
142 stocks passed data validation and were included in the analysis.
1. $GBR had a one-day rise that was exceptional.
2. Six stocks had a significant, one-day volume spike. These traded more than 130x their daily volume of shares in a single day. These stocks can attract attention.
Ticker. Largest trading day (multiple of average annual trading volume)
$CTEK 135x
$NNVC 142x
$NES 144x
$AINC 149x
$CVU 157x
$AGE 207x
3. Market returns over the past year of the major indices:
Actual risk-free rate = 0.05%
Actual GSPC return = 33%
Actual RUT return = 40%
Actual NASDAQ return = 32%
4. Five stocks paid more than 5% in dividends last year (actual yield vs average stock price).
If you held these stocks, you would be getting paid while you wait.
$SACH 11%
$FSP 8%
$CQP 7%
$BRG 7%
$GLU 6%
5. Four stocks had a BETA of 2.0 or more (vs. $SPY):
$UAVS 2.40
$REPX 2.35
$CEI 2.25
$UEC 2.07
6. Seven reverse splits (where companies reduce the number of outstanding shares):
$FURY
$BTX
$NOG
$WYY
$REPX
$ENSV
$RMED
7. And finally, the most efficient stock portfolio out of the NYSE American is to hold these four stocks in equal weight (invest the same amount in each, starting August 23, 2021 at market open):
$REPX
$TGB
$UAVS
$UEC
8. Our CQNS model selected this as the most efficient portfolio out of these 142 data validated stocks:
2021-08-21 validated stock list ['AAU', 'ACU', 'AGE', 'AIM', 'AINC', 'AIRI', 'AMS', 'ANVS', 'ARMP', 'ASM', 'ATNM', 'AUMN', 'AWX', 'AXU', 'BDR', 'BGI', 'BHB', 'BRG', 'BRN', 'BTG', 'BTN', 'BTX', 'CBOE', 'CCF', 'CDOR', 'CEI', 'CIX', 'CMCL', 'CMT', 'CPHI', 'CQP', 'CTEK', 'CVU', 'DLA', 'DPW', 'DSS', 'ELA', 'ELMD', 'EMAN', 'EMX', 'ENSV', 'EPM', 'EQX', 'EVBN', 'EVI', 'FRD', 'FSI', 'FSP', 'FURY', 'GBR', 'GDP', 'GLDG', 'GLU', 'GORO', 'GSAT', 'GSS', 'GSV', 'HUSA', 'IBIO', 'IGC', 'IMH', 'IMO', 'INFU', 'INTT', 'ISDR', 'ISR', 'ITP', 'ITRG', 'JOB', 'KLR', 'KULR', 'LCTX', 'LEU', 'LNG', 'LODE', 'MCF', 'MHH', 'MLSS', 'MMX', 'MSN', 'MTA', 'MTNB', 'MXC', 'MYO', 'NAK', 'NAVB', 'NBY', 'NES', 'NHC', 'NNVC', 'NOG', 'NTIP', 'NXE', 'OGEN', 'OPTT', 'PED', 'PLAG', 'PLX', 'PRK', 'PTN', 'PW', 'PZG', 'REI', 'REPX', 'RHE', 'RLGT', 'RMED', 'RVP', 'SACH', 'SDPI', 'SEB', 'SENS', 'SILV', 'SMTS', 'SNMP', 'SSY', 'STXS', 'SVM', 'SYN', 'TGB', 'TMBR', 'TMP', 'TMQ', 'TPHS', 'TRX', 'UAVS', 'UEC', 'UFAB', 'URG', 'USAS', 'UUU', 'VGZ', 'VNRX', 'VOLT', 'WRN', 'WTT', 'WWR', 'WYY', 'XPL', 'XTNT', 'YCBD', 'ZDGE']
9. The most inefficient stock is $GBR, or New Concept Energy, Inc. This should fall much faster than the $SPY during market declines.