Case Study: Daily Basket Trading Strategy Returns +54% in 49 Days (Verified)
Apr 18, 2023
The following is a case study on trading daily baskets based on the Top 10 Odds (S&P 500) list, published daily. Intended trades were initiated each day at the open, and ended each day at the close, thus having no overnight exposure.
Daily stock baskets were based on the Top 10 Odds (S&P 500), only consisting of symbols within the S&P 500. Each day, 10 longs that were statistically-advantaged were bought, and 10 shorts that were statistically-disadvantaged were sold, creating a hedged basket of 20 total stocks each day. This list is published for subscribers daily, and you can try it out here.
In this case study, 10:1 leverage was used on initial capital, and commissions are excluded. Without leverage, return would be 5.4% in 49 days (yearly returns would average 27.58%). To apply for a Bright Leverage account with up to 20:1 leverage (30:1 for StockOdds Graduates), click here.
Results After 49 Trading Days (2.5 Months)
|
Starting Capital |
$100,000.00 |
|
Leverage Factor |
10x |
|
Profit/Loss |
$54,058.03 |
|
Return on Initial Capital |
54.06% |
Basket Trading has low variance and can perform well on large market down-days such as February 9th, March 9th, and March 22nd, as also seen in the stats below.
|
Trading Basket Stats |
||
|
Largest Loss |
-$5,259.64 |
-0.52% |
|
Largest Gain |
$8,801.56 |
0.88% |
|
Longest Losing Streak |
2 Days |
|
|
Total Loss for Longest Losing Streak |
-$6,776.48 |
-0.67% |
|
Longest Winning Streak |
3 Days |
|
|
Total Gain for Longest Winning Streak |
$15,839.41 |
1.58% |
Daily Performance
|
Top 10 Odds (S&P 500) |
SPY Performance (S&P 500 ETF) |
||||
|
Date |
Return on Capital |
Profit/Loss |
Capital |
Open to Close |
Close to Close |
|
01-Feb |
0.39% |
$3,976.87 |
$1,019,710.00 |
1.38% |
1.06% |
|
02-Feb |
-0.25% |
-$2,509.05 |
$1,003,620.00 |
0.47% |
1.46% |
|
03-Feb |
-0.42% |
-$4,267.43 |
$1,016,055.50 |
0.18% |
-1.06% |
|
06-Feb |
0.49% |
$4,913.54 |
$1,002,763.00 |
0.01% |
-0.61% |
|
07-Feb |
-0.16% |
-$1,622.86 |
$1,014,285.50 |
1.52% |
1.29% |
|
08-Feb |
-0.12% |
-$1,217.75 |
$1,014,788.00 |
-0.61% |
-1.09% |
|
09-Feb |
0.67% |
$6,737.24 |
$1,005,557.50 |
-1.79% |
-0.87% |
|
10-Feb |
0.88% |
$8,801.56 |
$1,000,177.50 |
0.54% |
0.23% |
|
13-Feb |
0.03% |
$300.61 |
$1,002,042.00 |
1.02% |
1.18% |
|
14-Feb |
-0.25% |
-$2,505.13 |
$1,002,051.00 |
0.33% |
-0.05% |
|
15-Feb |
0.14% |
$1,405.02 |
$1,003,585.00 |
0.88% |
0.32% |
|
16-Feb |
-0.10% |
-$997.00 |
$996,998.00 |
-0.11% |
-1.38% |
|
17-Feb |
0.13% |
$1,298.30 |
$998,688.50 |
0.28% |
-0.25% |
|
21-Feb |
0.32% |
$3,200.95 |
$1,000,295.50 |
-0.99% |
-2.01% |
|
22-Feb |
-0.52% |
-$5,259.64 |
$1,011,468.50 |
-0.25% |
-0.14% |
|
23-Feb |
0.10% |
$996.82 |
$996,816.00 |
-0.17% |
0.53% |
|
24-Feb |
-0.11% |
-$1,105.63 |
$1,005,120.50 |
0.23% |
-1.07% |
|
27-Feb |
0.11% |
$1,100.82 |
$1,000,743.00 |
-0.55% |
0.34% |
|
28-Feb |
0.70% |
$7,016.40 |
$1,002,342.50 |
-0.25% |
-0.37% |
|
01-Mar |
0.37% |
$3,694.57 |
$998,533.50 |
-0.18% |
-0.38% |
|
02-Mar |
-0.42% |
-$4,213.49 |
$1,003,211.50 |
1.30% |
0.78% |
|
03-Mar |
0.30% |
$3,008.66 |
$1,002,885.50 |
1.16% |
1.60% |
|
06-Mar |
0.62% |
$6,288.26 |
$1,014,236.00 |
-0.14% |
0.07% |
|
07-Mar |
-0.13% |
-$1,313.24 |
$1,010,182.00 |
-1.53% |
-1.53% |
|
08-Mar |
-0.32% |
-$3,185.43 |
$995,447.50 |
0.13% |
0.16% |
|
09-Mar |
0.21% |
$2,103.95 |
$1,001,880.50 |
-2.05% |
-1.84% |
|
10-Mar |
-0.28% |
-$2,813.18 |
$1,004,707.50 |
-1.30% |
-1.44% |
|
13-Mar |
0.30% |
$3,037.61 |
$1,012,538.00 |
0.93% |
-0.14% |
|
14-Mar |
-0.04% |
-$401.56 |
$1,003,909.50 |
0.31% |
1.65% |
|
15-Mar |
0.78% |
$7,806.75 |
$1,000,865.00 |
0.88% |
-0.63% |
|
16-Mar |
0.48% |
$4,792.14 |
$998,361.50 |
2.40% |
1.75% |
|
17-Mar |
-0.18% |
-$1,768.87 |
$982,707.50 |
-0.80% |
-1.17% |
|
20-Mar |
0.05% |
$499.67 |
$999,335.50 |
0.76% |
0.96% |
|
21-Mar |
-0.23% |
-$2,336.86 |
$1,016,024.50 |
0.41% |
1.31% |
|
22-Mar |
0.68% |
$6,747.85 |
$992,331.50 |
-1.65% |
-1.70% |
|
23-Mar |
-0.23% |
-$2,322.37 |
$1,009,724.00 |
-0.47% |
0.27% |
|
24-Mar |
0.33% |
$3,291.68 |
$997,477.50 |
1.00% |
0.66% |
|
27-Mar |
0.12% |
$1,193.79 |
$994,826.50 |
-0.42% |
0.19% |
|
28-Mar |
-0.52% |
-$5,233.14 |
$1,006,372.50 |
-0.06% |
-0.22% |
|
29-Mar |
0.43% |
$4,306.18 |
$1,001,437.50 |
0.39% |
1.45% |
|
30-Mar |
0.22% |
$2,179.93 |
$990,879.50 |
-0.08% |
0.59% |
|
31-Mar |
-0.31% |
-$3,084.44 |
$994,980.00 |
1.19% |
1.41% |
|
03-Apr |
0.54% |
$5,427.24 |
$1,005,044.00 |
0.50% |
0.38% |
|
04-Apr |
-0.12% |
-$1,192.22 |
$993,516.50 |
-0.70% |
-0.55% |
|
05-Apr |
0.29% |
$2,909.51 |
$1,003,278.50 |
-0.06% |
-0.26% |
|
06-Apr |
0.26% |
$2,587.30 |
$995,113.50 |
0.59% |
0.39% |
|
10-Apr |
0.39% |
$3,924.94 |
$1,006,394.00 |
0.73% |
0.10% |
|
11-Apr |
-0.51% |
-$5,152.27 |
$1,010,249.00 |
-0.12% |
0.03% |
|
12-Apr |
0.30% |
$3,011.43 |
$1,003,811.00 |
-0.91% |
-0.41% |
|
|
Daily Basket Performance |
|
SPY (O to C) |
SPY (C to C) |
|
|
Average |
0.11% |
$1,103.23 |
$1,003,007.52 |
0.09% |
0.02% |
|
Total |
5.41% |
$54,058.03 |
|
4.33% |
0.99% |
Notes and Assumptions
- The above represents a baseline approach
- Seasoned Traders can improve on these results
- This is a Single Strategy of Equal Quantity of Long and Short Symbols
- A Traders Goal is to ADD more Strategies
- Total Long Dollars and Total Short Dollars are equivalent
- A Trader could weight the long or short dollars to capture market moves
- No stocks have been vetted for news, gaps, macro themes or other
- Traders could vett obvious adverse news
- Market Orders to Enter Positions at the Open
- Traders could use Limit Orders to choose the price of their participation
- Market Orders at End of Day Session to Close Positions using MOC auction
- The lists are created using a multi-duck statistical signal approach
- Trader could add additional criteria for more robust signals
- The above results are verified by real life traders, that are trading these Subscriber Lists
- All symbols of the Subscriber Lists were traded in the above sample
- Again, a trader could vett and remove symbols
- Equal capital per position was utilized
- A Trader could vary the size or position size by volatility
- This is Gross Profit and does not include commission. As an estimate, Pro Trading commissions and borrow costs with Interactive Brokers could be around $5000-8000. This is just an estimate to be used for illustration purposes only. Actual figures may differ.
Summary and Key Takeaways
Basket trading (another form of relationship trading), especially when combined with quant-based strategies, can be very powerful. Discover the impressive potential of trading daily stock baskets with the Top 10 Odds (S&P 500) list, which provides a balanced selection of 20 total stocks each day. With zero overnight exposure, this featured case study showcases a remarkable +54% return on initial capital within 49 trading days using 10:1 intraday leverage. Basket trading can exhibit strong performance even during significant market down-days, and it also boasts low variance. By subscribing to the Top 10 Odds list, you'll gain access to a daily compilation of 10 statistically-advantaged stocks for long ideas and 10 statistically-disadvantaged stocks for short ideas to enhance your trading approach. Don't miss out on the opportunity to increase your trading Odds – sign up for the daily Top 10 Odds list here.
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