Strategy Description:
Performance Summary:
Drawdown and Runup Summary:
Exit | Bias | # | %Wins | Avg% | Med% | OAPF | AWT% | ALT% | Payoff | MLT% | T-Test |
---|---|---|---|---|---|---|---|---|---|---|---|
Next Open 2 Close | SHORT | 41 | 71 | 0.24 | -0.13 | 1.45 | 1.06 | -1.74 | 0.61 | -9.16 | -0.73 |
T+1 | SHORT | 41 | 68 | 0.48 | -0.48 | 1.65 | 1.84 | -2.46 | 0.75 | -7.51 | -1.02 |
T+2 | LONG | 41 | 44 | 0.04 | -0.29 | 0.48 | 3.18 | -2.42 | 1.31 | -7.10 | 0.05 |
T+3 | LONG | 41 | 51 | 0.79 | 0.05 | 0.76 | 4.21 | -2.80 | 1.50 | -8.34 | 0.80 |
T+4 | LONG | 41 | 51 | 0.88 | 0.03 | 0.81 | 4.93 | -3.38 | 1.46 | -8.34 | 0.82 |
T+5 | LONG | 41 | 44 | 0.42 | -0.80 | 0.62 | 5.24 | -3.34 | 1.57 | -9.04 | 0.43 |
T+10 | SHORT | 41 | 61 | 0.07 | -1.63 | 1.18 | 4.40 | -6.68 | 0.66 | -28.25 | -0.06 |
T+20 | SHORT | 38 | 55 | 1.54 | -1.59 | 1.32 | 8.30 | -6.80 | 1.22 | -20.32 | -1.04 |
Over Night Gap | SHORT | 41 | 56 | 0.24 | 0.00 | 1.31 | 1.42 | -1.27 | 1.12 | -4.02 | -0.83 |
1st +ve Cls in 5 Days | SHORT | 41 | 34 | 0.20 | 0.55 | 1.21 | 4.16 | -1.86 | 2.24 | -7.51 | -0.35 |
1st -ve Cls in 5 Days | SHORT | 41 | 78 | 0.09 | -1.11 | 1.22 | 2.00 | -6.68 | 0.30 | -20.05 | -0.12 |
Exit | Bias | # | %Wins | Avg% | Med% | OAPF | AWT% | ALT% | Payoff | MLT% | T-Test |
---|---|---|---|---|---|---|---|---|---|---|---|
Next Open 2 Close | SHORT | 1167 | 67 | 0.08 | 0.00 | 1.19 | 0.97 | -1.70 | 0.57 | -12.87 | -1.25 |
T+1 | SHORT | 1171 | 62 | 0.07 | 0.00 | 1.18 | 1.60 | -2.44 | 0.66 | -104.54 | -0.54 |
T+2 | SHORT | 1170 | 58 | 0.14 | -0.23 | 1.26 | 2.56 | -3.24 | 0.79 | -102.66 | -0.81 |
T+3 | SHORT | 1169 | 56 | 0.22 | -0.28 | 1.33 | 3.38 | -3.87 | 0.88 | -98.43 | -1.03 |
T+4 | SHORT | 1168 | 58 | 0.27 | -0.55 | 1.38 | 3.92 | -4.68 | 0.84 | -104.77 | -1.14 |
T+5 | SHORT | 1167 | 58 | 0.37 | -0.88 | 1.45 | 4.42 | -5.21 | 0.85 | -99.40 | -1.38 |
T+10 | SHORT | 1162 | 62 | 0.72 | -1.86 | 1.67 | 6.41 | -8.65 | 0.74 | -113.82 | -1.84 |
T+20 | SHORT | 1138 | 67 | 2.36 | -3.66 | 2.48 | 9.03 | -11.44 | 0.79 | -86.45 | -5.33 |
Over Night Gap | SHORT | 1167 | 62 | 0.00 | 0.00 | 1.08 | 1.16 | -1.89 | 0.61 | -100.43 | -0.01 |
1st +ve Cls in 5 Days | SHORT | 1142 | 32 | 0.06 | 0.66 | 1.26 | 5.48 | -2.53 | 2.16 | -104.54 | -0.25 |
1st -ve Cls in 5 Days | SHORT | 1135 | 81 | 0.43 | -1.04 | 1.60 | 1.99 | -6.08 | 0.33 | -99.40 | -2.34 |
Hypothetical Monthly Returns :
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2016 | - | - | - | -1.65 | 1.28 | 1.4 | - | - | - | - | 7.43 | - | 8.46 |
2018 | -0.01 | - | - | -0.95 | -0.5 | - | - | - | - | - | - | - | -1.46 |
2019 | -2.59 | 2.47 | -0.3 | - | - | - | - | - | -0.22 | - | - | -0.07 | -0.71 |
2020 | - | - | - | -3.74 | -2.1 | -1.79 | - | - | - | 1.38 | - | - | -6.24 |
2021 | - | 2.62 | - | - | - | - | - | - | - | - | - | - | 2.62 |
Equity Curve:
Trades Details:
Entry | Price | Exit | Price | Max | Min | Days | Change | Change% | P/L % |
---|
2016-04-18 | 32.60 | 2016-04-25 | 33.30 | -1.96 | -1.08 | 5 | -0.15 | -0.45 | ||
2016-04-19 | 32.15 | 2016-04-25 | 33.30 | -1.04 | -0.73 | 4 | -0.61 | -1.87 | ||
2016-04-20 | 31.91 | 2016-04-25 | 33.30 | 0.00 | 0.00 | 3 | -0.85 | -2.62 | ||
2016-05-31 | 31.27 | 2016-06-07 | 30.58 | -3.99 | -0.91 | 5 | 1.22 | 3.84 | ||
2016-06-01 | 30.99 | 2016-06-08 | 29.76 | -5.55 | -0.21 | 5 | 1.75 | 5.55 | ||
2016-06-02 | 30.49 | 2016-06-03 | 31.42 | -4.00 | 1.44 | 1 | -0.42 | -1.35 | ||
2016-11-10 | 25.21 | 2016-11-17 | 23.32 | -2.48 | -1.51 | 5 | 2.32 | 9.04 | ||
2016-11-11 | 24.59 | 2016-11-18 | 23.25 | -6.64 | -4.00 | 5 | 1.75 | 7.00 | ||
2016-11-14 | 23.42 | 2016-11-21 | 23.05 | -1.33 | 0.77 | 5 | 0.77 | 3.22 | ||
2016-11-15 | 23.11 | 2016-11-22 | 22.41 | -4.72 | 0.00 | 5 | 1.09 | 4.64 | ||
2016-11-23 | 21.83 | 2016-11-29 | 22.21 | -1.49 | 3.11 | 3 | -0.01 | -0.05 | ||
2016-11-25 | 21.51 | 2016-11-29 | 22.21 | 0.00 | 4.66 | 2 | -0.34 | -1.56 | ||
2018-01-08 | 14.96 | 2018-01-09 | 15.22 | 0.02 | 0.71 | 1 | 0.00 | -0.02 | ||
2018-04-18 | 13.77 | 2018-04-20 | 14.40 | 0.00 | 5.93 | 2 | -0.40 | -2.86 | ||
2018-05-22 | 12.84 | 2018-05-23 | 13.25 | 1.50 | 1.50 | 1 | -0.20 | -1.50 | ||
2019-01-09 | 15.42 | 2019-01-13 | 15.63 | -1.23 | 2.07 | 3 | -0.10 | -0.66 | ||
2019-01-10 | 15.30 | 2019-01-13 | 15.63 | -0.48 | 2.07 | 2 | -0.22 | -1.42 | ||
2019-01-11 | 15.23 | 2019-01-13 | 15.63 | 0.58 | 2.56 | 1 | -0.29 | -1.91 | ||
2019-01-18 | 14.52 | 2019-01-21 | 15.17 | 0.01 | 4.41 | 1 | -0.55 | -3.77 | ||
2019-02-14 | 13.37 | 2019-02-21 | 12.89 | -3.82 | -1.31 | 5 | 0.58 | 4.28 | ||
2019-02-15 | 13.02 | 2019-02-22 | 12.79 | -1.24 | 0.43 | 5 | 0.33 | 2.48 | ||
2019-02-18 | 12.97 | 2019-02-24 | 12.86 | -0.41 | 1.28 | 5 | 0.10 | 0.80 | ||
2019-02-19 | 12.84 | 2019-02-25 | 12.83 | -2.40 | 0.33 | 5 | 0.10 | 0.80 | ||
2019-02-20 | 12.67 | 2019-02-21 | 12.89 | -0.25 | 1.27 | 1 | -0.12 | -0.95 | ||
2019-03-31 | 13.62 | 2019-04-02 | 13.75 | -3.26 | 0.90 | 2 | -0.12 | -0.90 | ||
2019-09-13 | 12.38 | 2019-09-17 | ? | -0.61 | 0.89 | 2 | -0.01 | -0.11 | ||
2019-09-16 | 12.33 | 2019-09-17 | ? | 0.55 | 4.36 | 1 | -0.07 | -0.55 | ||
2019-12-20 | 11.13 | 2019-12-23 | 11.17 | -0.21 | 0.21 | 1 | -0.02 | -0.21 | ||
2020-04-28 | 13.82 | 2020-05-01 | 14.33 | -12.57 | -3.32 | 3 | -0.51 | -3.70 | ||
2020-04-29 | 12.32 | 2020-04-30 | 13.25 | 3.87 | 7.96 | 1 | -0.93 | -7.51 | ||
2020-05-27 | 10.65 | 2020-05-28 | 11.32 | -2.63 | 11.35 | 1 | -0.67 | -6.29 | ||
2020-06-05 | 9.08 | 2020-06-09 | 9.13 | -5.01 | -1.87 | 2 | -0.05 | -0.55 | ||
2020-06-08 | 8.71 | 2020-06-09 | 9.13 | 2.99 | 12.63 | 1 | -0.42 | -4.82 | ||
2020-10-06 | 8.27 | 2020-10-13 | ? | -3.39 | -1.44 | 5 | 0.48 | 5.80 | ||
2020-10-07 | 8.03 | 2020-10-14 | ? | -5.35 | -0.75 | 5 | 0.17 | 2.12 | ||
2020-10-08 | 7.79 | 2020-10-14 | 7.86 | -2.44 | 0.00 | 4 | -0.07 | -0.90 | ||
2020-10-09 | 7.74 | 2020-10-13 | 7.79 | -1.55 | 2.97 | 2 | -0.05 | -0.65 | ||
2020-10-12 | 7.62 | 2020-10-13 | 7.79 | 0.25 | 4.59 | 1 | -0.17 | -2.23 | ||
2021-02-05 | 7.83 | 2021-02-12 | ? | 0.00 | 0.00 | 5 | 0.56 | 7.15 | ||
2021-02-08 | 7.42 | 2021-02-16 | ? | 0.00 | 0.00 | 5 | 0.11 | 1.53 | ||
2021-02-09 | 7.29 | 2021-02-10 | 7.35 | 0.00 | 0.00 | 1 | -0.06 | -0.82 |
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