Alpha Trading Signals
Every day ORTEX identifies alpha-generating opportunities. These are identified through rigorous analysis and validated through back-testing. The Alpha trading signal will tell you how much return has historically been made and the optimal holding period and relative success of this signal in the past. ORTEX back-test data sets in infinite combinations and bring you the highest-ranked signals across over 50,000 stocks every day. These signals are the ones that are most likely to happen again and produce the highest return in the shortest time. ORTEX Alpha signals are split into five families Short Squeeze, EPS, RSI, MACD and Company Events. Some of these signals families have multiple types. The different types of signal look at different aspects of the metric that is the main base for that signal.
For more information about our signals and the performance of them please read our blog post here – https://public.ortex.com/trading-signals/
Below is an explanation of the data you can see in the table.
The date the Signal is or was effective from and triggered on the previous days close.
The type of Signal that has been fired. ORTEX Alpha signals are EPS divergence signals (EPS), P/E signals (P/E), short interest signals (Short Increase), RSI, STOCHASTIC (STOCH), MACD and an ORTEX technical,(ORTEX, which is a combination of the various Technical signals that has provided strong historical returns when back-tested).
EPS divergence signals fire when the consensus of analysts EPS estimates diverge significantly from the share price and this divergence historically reverts and leads to strong alpha-generating opportunities.
P/E Signals fire when a historically attractive/unattractive P/E level is reached (vs its own history and peers) that tends to lead to a reversion.
Short Increase signals show when there is a specific increased level of Shares on loan, which tends to be followed by underperformance in the stock price.
Technical signals RSI, STOCH, ORTEX and MACD are fired when an extreme relative level is triggered that has historically produced a strong and predictive subsequent move.
The average mean return that the signal has historically generated.
The latest technical figure for the signal triggered. For example, for an RSI 80-90 signal, the current level would be a figure within this range, e.g. 82.19
TRIGGERS PER YEAR
Total number of times the signal has triggered divided by the number of years the signal has been back-tested for.
This shows how many times this signal has triggered in the past and the percentage of those triggers that have moved in the intended direction.
Significance is a score out of 100 displayed as 0-5 stars with 100 or 5 stars being the highest. The signals are rated based on the largest return over the shortest time combined with the frequency and success of previous signals.
MIN and MAX
MIN and MAX show the range of return on previous triggers with MIN being the lowest amongst all previous triggers and MAX being the highest.
RECOMMENDED HOLDING PERIOD
This is calculated to maximize return and minimizing holding time. The number shown is the number of trading days it has historically been best to hold the position for. You can click on the signal to see more details about this in the “Percentiles and recent trading signals” chart.
The market cap of the company in Euros
This shows how many analysts cover the stock and the skew of BUY, HOLD and SELL ratings. The green box indicates the number of BUY ratings, RED is SELLs and BLUE is HOLDs.
The return chart shows the historical mean of the price development from the signal day and 30 trading days forward (90 for EPS signals)
The green and red background show the percentage of signals that had a price increase (green) or price decrees (red) and is a good indicator of the risk level.