Where methodology, consistency, and discipline are the keys to success. Currently following Warren Buffett, Jon Boorman, Jim Cramer and more. We have also developed strategies for following Mad Money calls and Estimize crowd-sourced estimates.

Evaluating the actionability of Estimize FQ4-13

PostWed Jan 01, 2014 11:43 pm

Account Return: 3.81% . VTI Return: 1.52% . Win/Loss: 72/54 - Final Alpha: 2.29%

Estimize.com provides the ability to contribute earnings estimates and view what other users are predicting for earnings results. We at MimicTrading attempt to evaluate what actionability, if any, can be gleaned from this collection of user opinions. http://estimize.com/calendar

Concept and Methodology:

Our first attempt to utilize this information was unprofitable. The second season utilizes a mixture of alpha generation similar to that featured in the Estimize whitepaper* and the potential to hold over earnings based on negative expectation.

We will go long five trading days before the earnings release when the Estimize numbers are higher than Wall Street's for EPS. Revenue must be close to inline or better.

We also enter long on lower expectations than Wall Street consensus at the end of the trading day prior to release. We exit the same as our other longs. This will be known as our contrarian play.

All entries must have an Estimize consensus, and we enter a maximum of 20 positions at once, prioritized towards the greatest EPS divergence. All positions are equal weight for simplicity, but it will be interesting to see if larger consensus divergences result in different returns.

This season starts on January second and lasts approximately 8 weeks.

*The whitepaper documented alpha generation via positions taken when the Estimize consensus moves away from Wall Street. The idea being that one buys the stock on this movement before the stock price has had a chance to adjust to the new expectations. Unfortunately their site does not provide the tools to identify such movement without checking every name manually every day or adding every possible stock to your watchlist, so it's infeasible for us.


    ===| Entries |===
  1. Feb 21: Entered CRM, DECK, MDVN, DDD
  2. Feb 20: Entered JCP, RIG, WDAY, BBY, VRX
  3. Feb 19: Entered SODA, FSLR, AVGO, TGT, CLR
  4. Feb 18: Entered HTZ, SCTY, HD, VSI
  5. Feb 14: Entered PCLN, HPQ, MRVL, AGU
  6. Feb 13: Entered AWAY, FLS, LOCK, WMT, UPL, ESV
  7. Feb 12: Entered HLF, TEX, OII, MGM, DVN
  8. Feb 7: Entered AIG, KRFT, VFC
  9. Feb 6: Entered Z, NVDA, CTRP, PEP, ABX, APA
  10. Feb 5: Entered TRIP, DE,
  11. Feb 4: Entered CVS, REGN, IR
  12. Feb 3: Entered NAT at open, SOHU intraday
January Entries:
  1. Jan 31 open: Entered ATVI, MT, NUAN, LNKD, OPEN
  2. Jan 30 open: Entered GMCR, AKAM, IRBT, GM, MWW
  3. Jan 29 open: Entered IACI, HUM, BWLD, GILD, ATW
  4. Jan 28 open: Entered AEIS, KORS, EMR
  5. Jan 27 open: Entered SYY, BIDU
  6. Jan 24 open: Entered BRCM, CVX, NOV
  7. Jan 23 intraday: Entered TKR, RTN
  8. Jan 23 open: Entered FB, QCOM, CTXS, ALXN, XOM
  9. Jan 22 close: Entered SNDK, SYK, URI
  10. Jan 22 open: Entered YHOO, EA, AMGN, BA
  11. Jan 17 (in place of monday): Entered F, AAPL, X, PFE
  12. Jan 17: Entered MSFT, DFS, SYNA, PG
  13. Jan 16: Entered WDC, FCX, LMT, ADTN
  14. Jan 15: Exited CSX, C, UNH at close
  15. Jan 15: Entered INVN (BMO 1/23), CREE, AMD, CA (AMC 1/22)
  16. Jan 14: Entered JNJ, HAL, FRX (all BMO 1/21) at open
  17. Jan 13: Entered SLB (BMO 1/17), PH (BMO 1/17) at open, entered SJR (BMO 1/14) at close.
  18. Jan 10: Entered AXP (AMC Thurs), CSX (AMC Wed only 4 trading days)
  19. Jan 10: Exited HELE at open for 8.11% gain
  20. Jan 10: Entered INTC (AMC 16), MS (BMO 17) at open
  21. Jan 9: Exited AA at close for 1.04% gain
  22. Jan 9: Entered HELE at close.
  23. Jan 9: Exited BBBY at open for 9.93% loss
  24. Jan 9: Entered UNH, C (both BMO Jan 16)
  25. Jan 8: Exited FDO at close.
  26. Jan 8: Entered BAC (BMO Jan 15)
  27. Jan 3: Entered AA (AMC Jan 9)
  28. Jan 2: Entered BBBY (AMC Jan 8), FDO (BMO Jan 9)


Exit Results by Stock
  1. CRM - 4.53% Gain
  2. DECK - 0.99% Loss
  3. MDVN - 0.19% Loss
  4. DDD - 8.28% Loss
  5. BBY - 4.41% Gain
  6. JCP - 0.68% Gain
  7. VRX - 0.17% Loss
  8. RIG - 0.09% Loss
  9. WDAY - 3.01% Gain
  10. FSLR - 2.45% Gain
  11. AVGO - 1.39% Gain
  12. TGT - 0.27% Gain
  13. CLR - 5.45% Gain
  14. SODA - 3.51% Loss
  15. HD - 0.06% Loss
  16. SCTY - 4.16% Gain
  17. HTZ - 7.13% Gain
  18. VSI - 0.17% Loss
  19. MELI - 0.08%% Gain (contrarian)
  20. ACT- 4.66% Gain (contrarian)
  21. PCLN - 0.55% Gain
  22. HPQ - 1.17% Gain
  23. MRVL - 5.22% Gain
  24. AGU - 0.73% Gain
  25. AWAY- 3.82% Gain
  26. FLS - 7.93% Gain
  27. LOCK - 1.56% Gain
  28. WMT - 0.23% Gain
  29. UPL - 7.02% Gain
  30. ESV - 1.63% Gain
  31. HLF- 4.19% Gain
  32. TEX - 3.15% Gain
  33. OII - 3.95% Gain
  34. MGM - 1.89% Gain
  35. DVN - 1.68% Gain
  36. AIG - 2.99% Gain
  37. KRFT - 2.86% Gain
  38. VFC - 3.67% Gain
  39. Z - 11.28% Gain
  40. NVDA - 8.86% Gain
  41. CTRP - 7.53% Gain
  42. PEP - 1.62% Gain
  43. ABX - 1.61% Gain
  44. APA - 3.77% Gain
  45. TRIP - 10.4% Gain
  46. DE - 3.47% Gain
  47. RAX - 10.85% Loss (Contrarian)
  48. IR - 4.03% Gain
  49. REGN - 6.54% Gain
  50. CVS - 0.74% Gain
  51. SOHU - 0.15% Gain
  52. NAT - 6.14% Loss
  53. EXPE - 13.60% Gain (Contrarian)
  54. LNKD - 7.35% Gain
  55. NUAN - 1.85% Gain
  56. MT - 4.41% Gain
  57. ATVI - 1.12% Gain
  58. OPEN - 0.71% Gain
  59. P - 7.79% Loss (Contrarian)
  60. GMCR - 5.39% Gain
  61. AKAM - 1.08% Loss
  62. IRBT - 3.26% Loss
  63. GM - 4.45% Loss
  64. MWW - 4.38% Loss
  65. IACI - 3.03% Loss
  66. HUM - 2.41% Gain
  67. BWLD - 7.07% Gain
  68. ATW - 2.26% Loss
  69. GILD - 2.51% Gain
  70. KORS - 6.08% Loss
  71. EMR - 2.22% Loss
  72. AEIS - 5.27% Gain
  73. BIDU - 3.11% Loss
  74. SYY - 1.52% Loss
  75. BRCM - 1.15% Loss
  76. CVX - 1.2% Loss
  77. NOV - 2.36% Loss
  78. VRTX - 2.54% Gain (contrarian)
  79. FB - 5.04% Loss
  80. QCOM - 5.79% Loss
  81. CTXS - 4.88% Loss
  82. ALXN - 4.03% Loss
  83. XOM - 2.20% Loss
  84. TKR - 0.85% Loss
  85. RTN - 2.76% Loss
  86. AMGN - 0.73% Gain
  87. YHOO - 3.63% Loss
  88. BA - 3.67% Loss
  89. EA - 2.47% Gain
  90. F - 5.36% Loss
  91. PFE - 5.24% Loss
  92. X - 7.59% Loss
  93. AAPL - 1.76% Gain
  94. SYNA - 1.13% Loss
  95. PG - 2.59% Loss
  96. MSFT - 2.04% Loss
  97. DFS - 3.68% Loss
  98. SNDK - 2.69% Loss
  99. SYK - 1.32% Loss
  100. URI - 0.82% Loss
  101. LMT - 2.58% Gain
  102. WDC - 1.35% Loss
  103. INVN - 4.65% Gain
  104. AMD - 3.92% Loss
  105. CA - 0.71% Gain
  106. CREE - 1.52% Loss
  107. FCX - 4.16% Loss
  108. ADTN - 0.11% Loss
  109. HAL - 1.81% Gain
  110. JNJ - 0.49% Gain
  111. FRX - 0.06% Loss
  112. SLB - 0.28% Gain
  113. PH - 2.18% Gain
  114. MS - 1.33% Gain
  115. INTC - 4.08% Gain
  116. AXP - 1.66% Loss
  117. BBBY - 9.93% Loss (held over ER)
  118. FDO - 1.97% Gain
  119. AA - 1.04% Gain
  120. BAC - 0.60% Gain
  121. HELE - 8.11% Gain (contrarian)
  122. CSX - 1.63% Gain
  123. SJR - 2.32% Loss (contrarian)
  124. C - 0.02% Loss
  125. UNH - 1.07% Loss

http://finviz.com/screener.ashx?v=171&t=SODA,FSLR,AVGO,TGT,CLR,JCP,RIG,WDAY,BBY,VRX,CRM,DECK,MDVN,DDD
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Wrap Up

PostThu Feb 27, 2014 10:43 pm

MELI's performance sums up my feelings about contrarian plays, and that is 'meh'. Not bad, not great. Not worth it as far as I'm concerned.

What's also not worth it for most investors would be trading over 120 stocks per quarter. As I had mentioned a few weeks ago, I plan to change that next quarter.

This strategy is still relatively untested in a tough market. We had a small dip and some issues early on. For part of that it underperformed the market, for part of it (the worse part) it showed resilience.

However, there's no denying it got the job done this quarter with the way we implemented it. It ended on a bit of a sour note. DDD is a relatively small cap, and for it to cost us that much does not bode well for next quarter where I plan to focus heavily on small caps.

If it can consistently produce 2% alpha even during quarters where the market ends lower, that will certainly mean a lot. It's not surprising that stocks close to earnings releases have higher volatility than average, but we need to see if that volatility is a double edged sword.

See us early April for a third season of Evaluating the actionability of Estimize
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Final Exits Thursday

PostWed Feb 26, 2014 6:41 pm

Almost there, with four more exits at tomorrow's close: CRM, DECK, MDVN, DDD
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Wednesday's Exits

PostTue Feb 25, 2014 4:01 pm

Only two days to go, will the market hold up long enough for us to get out?

Tomorrow we exit JCP, RIG, WDAY, BBY, VRX at the close.
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Tuesday's exits

PostMon Feb 24, 2014 4:49 pm

Tuesday we wind down further with exits in SODA, FSLR, AVGO, TGT, CLR
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No entries Monday, 4 exits

PostFri Feb 21, 2014 4:27 pm

The earnings season, at least as far as we are concerned, is coming to a close very soon. We will have no more entries as we wind down our positions for this quarter.

On Monday we will exit HTZ, SCTY, HD, VSI

How MELI performs may determine whether we try contrarian plays next quarter.

I have only one real goal for next season, and that's to reduce down dramatically the number of trades, while preserving the performance.

Likely we will limit our portfolio to 10 stocks, reduce big cap names, and set divergence thresholds.
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No exits Friday, 4 entries +contrarian

PostThu Feb 20, 2014 5:41 pm

Tomorrow we enter CRM, DECK, MDVN, DDD at the open.

We enter MELI at tomorrow's close as long as it's Estimize numbers don't shift upward.
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Thursdays entries and exits, one contrarian today

PostWed Feb 19, 2014 5:36 pm

We will be buying ACT at today's close on negative Estimize sentiment.

Tomorrow at the open we enter JCP, RIG, WDAY, BBY, VRX

We will exit PCLN, HPQ, MRVL, AGU
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Wednesday's action and SODA...

PostTue Feb 18, 2014 7:47 pm

Estimize had SODA listed on two different dates. The latter is confirmed on other sites, so we have to remove our SODA performance as it was just wrong.

I am tempted to leave it, because it's unreasonable to have to double check every entry on a system that already requires several trades per day. SODA had cost us 8% on this error before removal.

There are almost double the number of names we can enter on our buying power for Wednesday. We've picked the five with the highest Wall St divergence.

Our entries Wednesday are the aforementioned SODA, FSLR, AVGO, TGT, CLR

Our exits are AWAY, FLS, LOCK, WMT, UPL, ESV

Note on SINA. Estimize has it's date wrong according to other sources and it's Estimize number has turned bullish, so it is no longer a contrarian play.
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Ammended Tues Action

PostFri Feb 14, 2014 4:36 pm

Once again, holiday throws me off. Likely this will impact our performance, but it's to be expected with such a high maintenance system.

Our entries on Tues are HTZ, SCTY HD and VSI

Our exits are HLF, TEX, OII, MGM, DVN

For a contrarian play, we are watching SINA. Our last attempt at this was JIVE, and either the numbers changed at the last second, or I misread them, as they were actually better than Wall Streets, so we had to scrap it. As of this writing, Wall Street has 49 cents a share and Estimize 41 cents for SINA's EPS.
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