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as on :Apr-09
$SDD  15.02 -1.66 -9.96%
ProShares UltraShort SmallCap600
SAVE STRATEGY

Strategy Description:


Trading Signals : 5 Consecutive Down Days

Stock's close has been Decreasing over the last 5 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 :
SHORT

# Trades              : 29

Winning Trades :  10

Losing Trades    : 19

% Win Trades :
34.5

Performance Summary:


Median Trade % :
0.45
Average Trade % :
0.5
Average Winning Trade % :
4.17

Max Winning Trade % :9.04

Max Consecutive Winners : 4

Average Losing Trade % :
-1.42

Max Losing Trade % :-4.25

Max Consecutive Losers : 9

Outlier Adjusted Profit Factor :
1.27

Profit Factor : 1.65

Payoff : 2.93

T-Test : -0.86

Drawdown and Runup Summary:


Avg Intra Drawdown % :
-1.32
Avg Intra Runup % :
1.41
Max Intra Drawdown %:
-9.15
Max Intra Runup %:
6.64

$SDD, 5 Consecutive Down Days ,trading strategy backtest report

Exit Bias # %Wins Avg% Med% OAPF AWT% ALT% Payoff MLT% T-Test
Next Open 2 Close SHORT 29 76 0.36 0.00 2.50 0.67 -0.62 1.07 -1.18 -2.26
T+1 SHORT 29 69 0.24 -0.28 1.15 1.08 -1.61 0.67 -4.25 -0.75
T+2 SHORT 29 59 0.39 -0.29 1.39 1.89 -1.73 1.09 -4.63 -0.86
T+3 SHORT 29 48 0.28 0.05 0.99 2.61 -1.90 1.37 -8.00 -0.49
T+4 SHORT 29 52 0.48 -0.51 1.19 3.14 -2.36 1.33 -7.28 -0.76
T+5 SHORT 29 59 0.72 -0.80 1.38 3.23 -2.83 1.14 -7.78 -1.06
T+10 SHORT 29 59 1.08 -1.17 1.24 4.56 -3.85 1.18 -13.18 -1.04
T+20 SHORT 29 48 1.18 2.08 1.08 8.52 -5.67 1.50 -9.72 -0.78
Over Night Gap LONG 29 52 0.11 0.15 0.63 1.11 -0.95 1.16 -5.12 0.40
1st +ve Cls in 5 Days SHORT 29 34 0.50 0.45 1.27 4.17 -1.42 2.93 -4.25 -0.86
1st -ve Cls in 5 Days SHORT 29 76 0.18 -0.91 0.99 1.36 -3.52 0.39 -7.78 -0.39

vs any random day backtest report

Exit Bias # %Wins Avg% Med% OAPF AWT% ALT% Payoff MLT% T-Test
Next Open 2 Close SHORT 1142 71 0.05 0.00 1.12 0.66 -1.42 0.47 -12.87 -1.03
T+1 SHORT 1146 63 0.05 0.00 1.11 1.26 -2.05 0.61 -22.57 -0.60
T+2 SHORT 1145 58 0.08 -0.09 1.14 2.09 -2.65 0.79 -36.95 -0.76
T+3 SHORT 1144 56 0.11 -0.18 1.17 2.71 -3.15 0.86 -32.49 -0.81
T+4 SHORT 1143 57 0.12 -0.37 1.18 3.14 -3.82 0.82 -54.53 -0.76
T+5 SHORT 1142 57 0.14 -0.54 1.21 3.51 -4.30 0.82 -59.63 -0.83
T+10 SHORT 1137 59 0.25 -1.29 1.31 5.07 -6.60 0.77 -89.27 -0.95
T+20 SHORT 1113 62 1.23 -2.60 1.66 6.77 -7.87 0.86 -67.78 -4.16
Over Night Gap SHORT 1142 62 0.00 0.00 1.05 1.00 -1.63 0.61 -17.44 -0.04
1st +ve Cls in 5 Days SHORT 1112 33 0.07 0.61 1.14 4.22 -1.95 2.16 -22.57 -0.62
1st -ve Cls in 5 Days SHORT 1115 78 0.21 -0.88 1.20 1.76 -5.26 0.33 -59.63 -1.54

Hypothetical Monthly Returns :

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2015---------1.42----1.42
2016----1.651.281.4----7.43-8.46
2018-0.01---0.95-0.5--------1.46
2019-2.592.47-0.3------0.22---0.07-0.71

Equity Curve:

Trades Details:

Entry Price Exit Price Max Min Days Change Change% P/L %
2015-09-1736.312015-09-1838.493.609.151-1.57-4.25
2016-04-1832.602016-04-2533.30-1.96-1.085-0.15-0.45
2016-04-1932.152016-04-2533.30-1.04-0.734-0.61-1.87
2016-04-2031.912016-04-2533.300.000.003-0.85-2.62
2016-05-3131.272016-06-0730.58-3.99-0.9151.223.84
2016-06-0130.992016-06-0829.76-5.55-0.2151.755.55
2016-06-0230.492016-06-0331.42-4.001.441-0.42-1.35
2016-11-1025.212016-11-1723.32-2.48-1.5152.329.04
2016-11-1124.592016-11-1823.25-6.64-4.0051.757.00
2016-11-1423.422016-11-2123.05-1.330.7750.773.22
2016-11-1523.112016-11-2222.41-4.720.0051.094.64
2016-11-2321.832016-11-2922.21-1.493.113-0.01-0.05
2016-11-2521.512016-11-2922.210.004.662-0.34-1.56
2018-01-0814.962018-01-0915.220.020.7110.00-0.02
2018-04-1813.772018-04-2014.400.005.932-0.40-2.86
2018-05-2212.842018-05-2313.251.501.501-0.20-1.50
2019-01-0915.422019-01-1315.63-1.232.073-0.10-0.66
2019-01-1015.302019-01-1315.63-0.482.072-0.22-1.42
2019-01-1115.232019-01-1315.630.582.561-0.29-1.91
2019-01-1814.522019-01-2115.170.014.411-0.55-3.77
2019-02-1413.372019-02-2112.89-3.82-1.3150.584.28
2019-02-1513.022019-02-2212.79-1.240.4350.332.48
2019-02-1812.972019-02-2412.86-0.411.2850.100.80
2019-02-1912.842019-02-2512.83-2.400.3350.100.80
2019-02-2012.672019-02-2112.89-0.251.271-0.12-0.95
2019-03-3113.622019-04-0213.75-3.260.902-0.12-0.90
2019-09-1312.382019-09-17?-0.610.892-0.01-0.11
2019-09-1612.332019-09-17?0.554.361-0.07-0.55
2019-12-2011.132019-12-2311.17-0.210.211-0.02-0.21

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