New Backtesting Enhancements

Posted on February 10th, 2016 by whalewisdom

We’ve been busy building out some new enhancements to the 13F backtesting engine. Some of the improvements include:

Hedging Strategies

Now you can optionally add hedging to your backtes to protect against downside market risk.  Hedging is done by shorting the S&P 500.  Internally this is accomplished by buying shares in SH, the S&P 500 short ETF.

Hedging will assume that 100% of the backtest’s invested principal is always in the backtest’s long positions.

For example, if you choose a 25% hedging rate, then for a $10,000 portfolio, you will be long $10,000 and have a $2,500 short on the S&P 500. The short position will adjust each rebalancing period to match 25% of the total portfolio. Any gains/losses from the short are added to the overall available capital for the long positions in the portfolio.

Moving Averages

Now you can setup moving averages in the chart that is displayed after your backtest runs.  Moving averages are calculated using monthly data.  Just click the “configure Moving Averages” link to add one or more moving averages.moving_averages

Edit Moving Averages


Sell Buffer

Now you can optionally include a stock sell buffer in your backtesting model. It works by keeping a stock in your portfolio even when it would otherwise drop out during rebalancing as long as the stock remains within your sell buffer threshold. For example, say you are backtesting with the top 20 stocks each quarter and set a sell buffer of 50. In the first quarter, AAPL is one of the top 20 stocks and is included in the portfolio. In quarter 2, AAPL drops down to number 25. Without the sell buffer, AAPL would drop out for that quarter, but since it is still within the sell buffer threshold of 50, it will remain in the portfolio. Your portfolio size remains the same. The stocks that would have fallen out stay in and the stocks that would otherwise have been added stay out. Using the sell buffer may help produce a lower turnover rate.

Rebalance Frequency

By default backtests rebalance quarterly using new 13F filing data. Now you can adjust the frequency for how often the rebalances occur.  Options include quarterly (the default), twice a year, and once a year.  Rebalancing less frequently may help lower turnover in the portfolio and possibly give you tax advantages by keeping stocks at least one year before selling.

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Form 8-K Event Email Alerts

Posted on February 7th, 2016 by whalewisdom

Now you can get an email alert whenever a security you’re tracking releases a specific Form 8-K event.  Form 8-K’s are sent out by publicly traded companies within 4 days of a material events.  Events such as

  • signing a material transaction agreement
  • bankruptcies or receiverships
  • mine shutdowns or violations of mine health and safety laws
  • delisting from a stock exchange at closing
  • issuing unregistered equity shares
  • election or departure of directors and officers
  • holding a stockholder meeting to approve the transactions
  • and many more.  See the complete list at

Using WhaleWisdom’s email alert system, you can choose which events (or all events) within the 8-K you wish to receive an email on.  Just go to step 3 of the email alert form and choose 8-K as one of the form types.  Once selected you will be presented with a list of events to choose from.



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