Portfolio Strategy Builder
Seasonality Analyser - Annual
Seasonality Analyser - Intraday
Earnings Analyser
Dividends Analyser
Event Analyser
Event Analyser - Intraday
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pre and post event:
pre and post-earnings:
Filter (optional):
The filter can be used to exclude earnings with certain conditions from the analysis.
Exclude earnings with values smaller than: Event where the current value is smaller than X (Your specification).
Exclude earnings with values greater than: Event where the current value is greater than X (Your specification).
Exclude earnings with a positive suprise smaller than: Events for which the current value is greater than the forecast and does not exceed it by a factor of X.
Exclude earnings with a positive suprise greater than: Events for which the current value is greater than the prediction and exceeds it by a factor of X.
Exclude earnings with a negative surprise smaller than: Events for which the current value is smaller than the forecast and does not exceed it by a factor of X.
Exclude earnings with a negative surprise greater than: Events for which the current value is smaller than the forecast and exceeds it by a factor of X.
Exclude earnings with increasing values smaller than: Events in which the current value is greater than the previous value and does not exceed it by a factor of X.
Exclude earnings with increasing values greater than: Events in which the current value is greater than the previous value and exceeds it by a factor of X.
Exclude earnings with decreasing values smaller than: Events in which the current value is smaller than the previous value and exceeds it by a factor of X.
Exclude earnings with decreasing values greater than: Events in which the current value is smaller than the previous value and does not exceed it by a factor of X.
Exclude earnings with a positive forecast smaller than: Events for which the current forecast is greater than the previous forecast and does not exceed it by a factor of X.
Exclude earnings with a positive forecast greater than: Events for which the current forecast is greater than the previous forecast and exceeds it by a factor of X.
Exclude earnings with a negative forecast smaller than: Events for which the current forecast is smaller than the previous forecast and does not exceed it by a factor of X.
Exclude earnings with a negative forecast greater than: Events for which the current forecast is greater than the previous forecast and exceeds it by a factor of X.
All options can be combined with each other. Several options are applied by AND link. In the "Earnings Development", you can check which events have been removed by the filters. All applied events have a red circle.
Calc: • current value < your value
Calc: • current value > your value
Calc: • if in percentage: forecast <= value & forecast to actual percentage < your value • if not in percentage: forecast - value < your value
Calc: • if in percentage: forecast <= value & forecast to actual percentage > your value • if not in percentage: forecast - value > your value
Calc: • if in percentage: forecast >= value & forecast to actual percentage < your value • if not in percentage: value - forecast < your value
Calc: • if in percentage: forecast >= value & forecast to actual percentage > your value • if not in percentage: value - forecast > your value
Calc: • if in percentage: value >= previous value & previous value to actual percentage < your value • if not in percentage: previous value - value < your value
Calc: • if in percentage: value >= previous value & previous value to actual percentage > your value • if not in percentage: previous value - current value > your value
Calc: • if in percentage: value <= previous value & previous value to actual percentage < your value • if not in percentage: value - previous value < your value
Calc: • if in percentage: value <= previous value & previous value to actual percentage > your value • if not in percentage: value - previous value > your value
Calc: • if in percentage: forecast >= previous forecast & previous forecast to forecast percentage < your value • if not in percentage: previous forecast - forecast < your value
Calc: • if in percentage: forecast >= previous forecast & previous forecast to forecast percentage > your value • if not in percentage: previous forecast - forecast > your value
Calc: • if in percentage: forecast <= previous forecast & previous forecast to forecast percentage < your value • if not in percentage: forecast - previous forecast < your value
Calc: • if in percentage: forecast <= previous forecast & previous forecast to forecast percentage > your value • if not in percentage: forecast - previous forecast > your value
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Backtest time: -20/20 days, Earnings:20, Quarter:1,2,3,4
Average performance of the instrument on the event day:
The chart shows the financial instrument's average development (white line) before and after the event.
The center of the chart marks the event day.
You can set the backtest range yourself by dragging and dropping on the chart or using the "Backtest from - to" slider.
The min and max values show the maximum range of the financial instrument before and after the event. The Min and Max values can be displayed and hidden by clicking "Min" and "Max" in the legend.
Backtest key figures:
Summarized profit: profit of the selected period of all calculated trades.
Winning trades: Percentage number of positive trades.
Average / Median profit: Average & Median profit of the selected period of all calculated trades.
Maximum drawdown: Maximum loss period in the summarized profit.
Sharp ratio: Sharp ratio shows the quality of the summarized profit in terms of profit and drawdown.
Sortino Ratio: Sortino Ratio shows the quality of the summarized profit in terms of profit and drawdown. The Sortino Ratio is our preferred metric as it does not negatively account for positive volatility.
Tradedays (Sum): Number of trading days in backtest
Gains / Losses: The number of trades won and lost.
Backtest time: -20/20 days, Earnings:20, Quarter:1,2,3,4
Backtest daily:
Trading simulation for a selected period: The next two charts show the result of the simulated trades started at the beginning of the selected period and ended at the end of the period.
In the bottom table of the analysis you can find a list of individual trades with further details.
Backtest Result Key figures:
Max drawdown: Maximum loss period in the summarized profit.
Summarized profit: Profit of the selected period of all calculated years.
Sharp ratio: The sharp ratio shows the quality of the summarized profit in terms of profit and drawdown.
Sortino ratio: The sortino ratio shows the quality of the summarized profit in terms of profit and drawdown. The Sortino Ratio is the preferred metric because it does not negatively factor in positive volatility.
Count trades: Number of trades.
Improvement: The ratio shows how much the backtest development has improved from half of the selected period. A high number is a positive sign.
Backtest Result Key figures:
Average / Median profit: Average & Median profit of the selected period of all calculated trades.
Winning trades: Percentage number of positive trades.
Gains / Losses: The number of trades won and lost.
Last trade: Max drawdown: The maximum loss of the last trade that occurred during the holding period but was not realized.
Last trade: Profit: The Profit of the last trade.
Trade list:
Trade list: The trade list shows the simulated trades that are opened and closed before and after the event.
Trade list: The trade list shows the simulated trades that are opened and closed before and after the event.
| Symbol | Startdate | Startprice | Enddate | Endprice | Change | Change % | Maxrise % | Maxrise | Maxdrop % | Maxdrop | EPS / Forecast |
Revenue / Forecast |
|---|
Statistic: The statistics show the average price performance in percent, the average movement in points, the maximum and minimum movement in percent, and points for the instrument before and after the event days in different daily periods from minus 20 to plus 20 days.
| -20 | -10 | -5 | -3 | -2 | -1 | 0 | +1 | +2 | +3 | +5 | +10 | +20 |
|---|
Statistic: The statistics show the percentage development of the instrument before and after the event days in different daily periods from minus 20 to plus 20 days.
| Events | -20 | -10 | -5 | -3 | -2 | -1 | 0 | +1 | +2 | +3 | +5 | +10 | +20 |
|---|
Statistic: The statistics show the development in points of the instrument before and after the event days in different daily periods from minus 20 to plus 20 days.
| Events | -20 | -10 | -5 | -3 | -2 | -1 | 0 | +1 | +2 | +3 | +5 | +10 | +20 |
|---|
10 events
Event history:
The chart shows the historical course of the event.
Events with a blue background are used for analysis and can be controlled via the filter function.
The stastitic shows general key figures of the event.
Event Development: The chart shows the historical data of the event. Events with a blue background are used for analysis and can be controlled via the filter function.
Earnings - Result Key figures:
Symbol Stock ticker.
Earnings beat We have often exceeded earnings expectations in percentage terms.
Next Earnings: When is the next earnings event.
1-Day move average after E-Release: How did the share perform in one day after earnings?
Earnings average: The average value of earnings.
Earnings average change: The average of the change from earnings to earnings.
Estimate average: The average value of earnings expectations.
Estimate average change: The average of the change from earnings expectation to earnings expectation.
Earnings to Estimate average: The average value between earnings and earnings expectations.
Earnings Standard deviation: The standard deviation from earnings to earnings.
Earnings over estimate count: How often did earnings exceed expectations?
Earnings under estimate count: As is often the case, earnings did not exceed expectations.
Earnings 1 year before: Earnings value one year ago.
Earnings 1 year before change: Percentage change in earnings one year ago compared to the last earnings.
Earnings count: Number of earnings analysed.
Years of data: Number of years analysed.
after E-Release
change
change
deviation
estimate count
estimate count
before
before change
Earnings statistic: The following table shows statistical data on earnings and their expectations.
The colors of the headings are the same as the data in the Earnings Development Chart.
| Symbol | Quarter | Average Earnings | Average Earnings Change | Average Estimate | Average Estimate Change | Average Earnings to Estimate | Earnings over/under Estimate Count |
1-Day Move after Release |
Average 1 Year Before | Average 1 Year Before Change |
|---|
Revenue statistic: The following table shows statistical data on revenue and their expectations.
The colors of the headings are the same as the data in the Earnings Development Chart.
| Symbol | Quarter | Average Revenue | Average Revenue Change | Average Estimate | Average Estimate Change | Average Revenue to Estimate | Revenue over/under Estimate Count |
1-Day Move after Release |
Average 1 Year Before | Average 1 Year Before Change |
|---|
Earnings development: The following table shows statistical data on earnings development and their expectations for the respective publication.
The colors of the headings are the same as the data in the Earnings Development Chart.
| Symbol | Symbol price | Year | Quarter | Earnings | Earnings Change | Estimate | Estimate Change | Earnings to Estimate | 1-Day Move after Release |
1 Year Before | 1 Year Before Change |
|---|
Revenue development: The following table shows statistical data on revenue development and their expectations for the respective publication.
The colors of the headings are the same as the data in the Earnings Development Chart.
| Symbol | Symbol price | Year | Quarter | Revenue | Revenue Change | Estimate | Estimate Change | Revenue to Estimate | 1-Day Move after Release |
1 Year Before | 1 Year Before Change |
|---|