Dow Adaptive

The model's goal is to pick the most bullish stocks from within the Dow Jones Industrial Average with the expectation that they will outperform the average (the Dow Index) within the next 21 trading days.

Past performance is not indicative of future returns. Report generated on 8/12/2021.

0 %
Annualized Return
Sharpe Ratio
0 %

About this Strategy

The model scans daily for new constituents based on a Nueravest AI model. As long as there is cash available and new positions are identified, the positions are equally allocated. Positions are held as long as they continue to satisfy the conditional entry criteria.

dow adaptive chart
Past performance is not indicative of future returns.

Investment Approach

The model utilizes a Chain Classifier with a rolling training window. This allows the strategy to adjust how it analyzes input features through time. The intention for the strategy is to rely on the strength of the US economy while pursuing entry opportunities based on relative technical strength and fundamental factors. The portfolio is re-optimized monthly to achieve a maximum Sharpe Ratio. This optimization occurs in two ways.

Step One

Dynamic Model Construction: Feature selection and training is conducted dynamically to identify up to four features that can be used to identify bullish sentiment among the members of the Dow.

Step Two

Event Studies are conducted to identify the portfolio composition.

Data Sets Used

Market Data provided by Neuravest.