Jun. 9 at 6:43 PM
quant-builder.ai/learn
Consumer Cyclical Model Update
A few months ago, I posted about this model.
Two models combined. For months it barely picked anything. 1-2 per day. Sometimes zero. The sector was bleeding. I kept tracking it anyway.
Then late March: 43 picks. 43 again. Then 23. The model woke up. Caught the sector move.
That's the yellow section in the chart below (120 days)
After that it went nearly silent. Then spotted another setup in late May, got in, and went quiet again.
The equity curve tells the rest of the story(teal). Flat for months while the sector sold off. Up during the two windows when it found its setups. The model is up roughly +8% over 120 days. The Consumer Cyclical sector itself is still negative.
It outperformed its own benchmark by doing almost nothing most of the time.
Here's why I'm watching it closely right now.
One model was trained on 44 features, the other on 37.
The macro features that stand out: Crude Oil Price, Rate of Change in Crude Oil Price, 10-Year Yields, Sector 20-Day Moving Average, Sector PE Median.
Oil is coming down. I think oil will continue to grind lower over time as everything shakes out in Iran. If interest rates ease and oil keeps falling, I would expect the model to find some positive set-ups on the Macro side.
On the stock side, the models are trained on indicators like Operating Margin, PE Ratio, RSI 14, SMA 20, SMA 100, Revenue Growth, EPS Growth, Current Ratio, VWAP and a Quality Composite Score.
Macro conditions set the stage. Individual stock quality determines who makes the list.
I'm going to watch oil and keep checking the pick count every morning. When it starts ramping, I’ll start taking positions.
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