Equity · United States · CFDs, ETFs, funds, futures · Daily · United States Free

Daily Box Office Earnings and Aggregate Stock Returns

Academic paper

Is it Time for Popcorn? Daily Box Office Earnings and Aggregate Stock Returns

AuthorsSeda Oz; Steve Fortin

Institute

CAUniversity of Waterloo
?University of Waterloo - School of Accounting and Finance

Paper linkhttps://ssrn.com/abstract=3026910

Strategy in a nutshell

Uses box office earnings growth to trade stocks. If weekly earnings rise >15%, go long; otherwise, go short. Leverages consumer sentiment as a short-term market signal.

Economic rationale

Box office reflects discretionary spending and GDP-linked consumption. Strong earnings indicate positive investor sentiment; weak earnings signal caution. Predictive effect lasts about 4 days, requiring high-turnover trading.

Backtest performance

Annualised return27.13%

Beta-0.363

Sortino ratio-1.486

Win rate31%

Full Python code

1from AlgorithmImports import *
2#endregion
3class DailyBoxOfficeEarningsandAggregateStockReturns(QCAlgorithm):
4def Initialize(self):
5self.SetStartDate(2010, 1, 1)
6self.SetCash(100000)
7
8self.symbol = self.AddEquity("SPY", Resolution.Daily).Symbol
9
10# Daily box data indexed by date.
11self.daily_box_data = {}
12
13# Import daily box data.
14# Data source: https://www.boxofficemojo.com/daily/2020/?view=year
15daily_box_string_data = self.Download('data.quantpedia.com/backtesting_data/economic/daily_box_earnings.csv')
16lines = daily_box_string_data.split('\r\n')
17for line in lines[1:]:
18    split_line = line.split(';')
19    date = datetime.strptime(split_line[0], "%Y-%m-%d").date()
20    
21    if split_line[5] == '-':
22        weekly_change = None
23    else:
24        weekly_change = float(split_line[5])
25    
26    self.daily_box_data[date] = weekly_change
27
28def OnData(self, data):
29date_to_lookup = (self.Time - timedelta(days = 1)).date()
30
31if date_to_lookup in self.daily_box_data:
32    weekly_change = self.daily_box_data[date_to_lookup]
33    if weekly_change:
34        if weekly_change > 15:
35            self.SetHoldings(self.symbol, 1)
36        else:
37            self.SetHoldings(self.symbol, -1)
38else:
39    self.Liquidate()