paststat loader
as on :Feb-21

Strategy Description:


Trading Signals : 4 Consecutive Down Days

Stock's close has been Decreasing over the last 4 days .

Entry : Current Close

Exit    : 1st higher close than entry in next five trading days , otherwise at the end of 5th Trading day at close



Trading Bias :
LONG

# Trades              : 33

Winning Trades :  30

Losing Trades    : 3

% Win Trades :
90.9

Performance Summary:


Median Trade % :
0.67
Average Trade % :
0.75
Average Winning Trade % :
0.99

Max Winning Trade % :3.24

Max Consecutive Winners : 17

Average Losing Trade % :
-1.63

Max Losing Trade % :-2.76

Max Consecutive Losers : 2

Outlier Adjusted Profit Factor :
5.14

Profit Factor : 5.8

Payoff : 0.6

T-Test : 4.11

Drawdown and Runup Summary:


Avg Intra Drawdown % :
-0.94
Avg Intra Runup % :
1.78
Max Intra Drawdown %:
-3.03
Max Intra Runup %:
6.41

Exit Bias # %Wins Avg% Med% OAPF AWT% ALT% Payoff MLT% T-Test
Next Open 2 Close LONG 33 58 0.36 0.27 1.90 1.13 -0.68 1.67 -2.94 1.77
T+1 LONG 33 48 0.10 0.00 1.01 1.12 -0.85 1.31 -2.69 0.48
T+2 LONG 33 70 0.49 0.66 1.85 1.34 -1.47 0.91 -2.92 1.82
T+3 LONG 33 70 0.76 1.42 2.30 1.78 -1.59 1.12 -3.57 2.52
T+4 LONG 33 76 0.88 1.24 2.82 1.71 -1.69 1.01 -3.51 3.05
T+5 LONG 33 82 1.14 1.28 5.91 1.63 -1.09 1.49 -2.76 4.57
T+10 LONG 33 76 1.64 1.93 3.66 2.80 -1.96 1.43 -4.06 3.13
T+20 LONG 33 70 1.09 1.22 1.56 3.52 -4.50 0.78 -10.74 1.32
Over Night Gap SHORT 33 67 0.26 -0.32 1.82 0.72 -0.66 1.09 -2.09 -1.71
1st +ve Cls in 5 Days LONG 33 91 0.75 0.67 5.14 0.99 -1.63 0.60 -2.76 4.11
1st -ve Cls in 5 Days LONG 32 41 0.21 -0.17 1.16 1.82 -0.88 2.06 -2.69 0.77
Exit Bias # %Wins Avg% Med% OAPF AWT% ALT% Payoff MLT% T-Test
Next Open 2 Close SHORT 586 52 0.04 0.00 1.10 0.88 -0.87 1.01 -4.36 -0.88
T+1 LONG 587 44 0.00 -0.05 0.97 1.14 -0.90 1.28 -5.43 0.08
T+2 SHORT 586 51 0.01 -0.04 1.03 1.42 -1.47 0.96 -6.47 -0.16
T+3 SHORT 585 50 0.00 0.01 1.01 1.74 -1.73 1.01 -7.46 -0.02
T+4 SHORT 584 50 0.02 0.00 1.03 1.95 -1.91 1.02 -8.81 -0.19
T+5 SHORT 583 51 0.02 -0.02 1.04 2.06 -2.11 0.98 -11.04 -0.21
T+10 SHORT 578 51 0.03 -0.12 1.06 3.00 -3.05 0.98 -12.79 -0.21
T+20 LONG 562 47 0.06 -0.50 0.94 4.60 -4.01 1.15 -16.89 0.26
Over Night Gap LONG 586 48 0.04 0.00 1.07 0.81 -0.68 1.19 -3.53 0.89
1st +ve Cls in 5 Days LONG 570 76 0.12 0.48 1.13 1.02 -2.75 0.37 -12.00 1.40
1st -ve Cls in 5 Days SHORT 567 79 0.21 -0.54 1.41 0.94 -2.55 0.37 -11.04 -2.67

Hypothetical Monthly Returns :

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2017-----------0.390.39
20180.120.311.080.44-1.121.49--0.22---2.54
20190.761.590.73--0.61--0.12-0.580.925.31

Equity Curve:

Trades Details:

Entry Price Exit Price Max Min Days Change Change% P/L %
2017-12-2632.552017-12-2733.382.390.3510.391.18
2018-01-2231.212018-01-2331.756.41-1.2610.110.35
2018-02-2633.342018-02-2734.104.49-1.9510.310.92
2018-03-2934.492018-04-0236.093.400.1111.133.24
2018-04-2633.862018-04-3034.410.26-1.1120.090.26
2018-04-2733.592018-04-3034.411.07-0.3110.371.07
2018-05-1134.272018-05-1833.78-1.21-2.135-0.96-2.76
2018-05-1433.672018-05-2133.690.29-0.385-0.44-1.29
2018-05-1533.652018-05-2234.32-0.21-2.1450.210.62
2018-05-1633.052018-05-1733.522.54-0.7510.020.06
2018-06-0731.372018-06-1431.84-0.59-1.1050.040.13
2018-06-0831.032018-06-1431.84-0.16-1.4040.391.24
2018-06-1130.592018-06-1331.130.45-0.9020.120.39
2018-06-1230.572018-06-1331.130.61-0.5110.140.46
2018-06-2030.442018-06-2531.22-0.16-0.9430.431.40
2018-06-2130.172018-06-2230.772.33-0.0310.260.85
2018-09-0429.582018-09-0529.890.67-0.1410.200.67
2019-01-0834.022019-01-1034.442.72-1.3420.220.65
2019-01-0933.692019-01-1034.443.720.3610.551.63
2019-02-1333.622019-02-1433.921.24-3.0310.100.29
2019-02-2633.272019-03-0333.68-0.25-1.6040.220.64
2019-02-2732.872019-03-0333.682.11-2.7330.611.85
2019-02-2832.822019-03-0333.682.34-2.5920.662.00
2019-03-0132.762019-03-0333.684.011.0310.722.19
2019-06-2137.842019-06-2438.763.240.1110.691.82
2019-09-0936.842019-09-16?0.26-2.695-0.31-0.85
2019-09-1035.852019-09-1236.183.33-1.0320.170.48
2019-09-1135.762019-09-1236.184.58-0.7910.260.72
2019-11-0634.202019-11-0834.352.13-1.6520.060.16
2019-11-0733.882019-11-0834.352.040.2210.371.09
2019-11-2734.502019-11-2934.763.49-0.8210.170.50
2019-12-3033.592020-01-0234.02-0.19-0.4820.431.29
2019-12-3133.532020-01-0234.021.470.7510.491.47

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