Backtesting

Signals and themes from quant strategies after last week’s earnings: FTNT, F5 and healthcare

We reviewed 300 signals from our six quant strategies together. Strategies split into two families (trend and reversion) that read last week’s earnings in opposite ways. The trend family (Momentum, Momentum Omega, Trend Following, Volatility Breakout) is buying the stocks that jumped, such as Grid Dynamics (+24.5% on 30 Oct) and Regeneron (+11.5%). The reversion family (Mean Reversion, Statistical Arbitrage) is shorting them and buying the stocks that fell, such as Reddit (−22%). The most valuable signals are the ones both families back: F5 and Fortinet, each long across both families with no votes against them, each down about 20% after beating on the quarter and guiding to slower growth. Beyond the stocks, two themes stand out: healthcare catalysts lead momentum, and the market is selling companies that guide lower or pay heavily for AI.