Strategy Description:
Performance Summary:
Drawdown and Runup Summary:
Exit | Bias | # | %Wins | Avg% | Med% | OAPF | AWT% | ALT% | Payoff | MLT% | T-Test |
---|---|---|---|---|---|---|---|---|---|---|---|
Next Open 2 Close | LONG | 107 | 42 | 0.08 | -0.09 | 0.98 | 1.23 | -0.76 | 1.61 | -3.63 | 0.52 |
T+1 | SHORT | 107 | 54 | 0.03 | -0.09 | 0.90 | 1.33 | -1.52 | 0.88 | -8.81 | -0.13 |
T+2 | SHORT | 107 | 57 | 0.11 | -0.45 | 1.05 | 1.79 | -2.11 | 0.85 | -10.87 | -0.41 |
T+3 | SHORT | 106 | 58 | 0.09 | -0.72 | 1.08 | 2.27 | -3.00 | 0.76 | -27.85 | -0.21 |
T+4 | SHORT | 106 | 66 | 0.50 | -1.19 | 1.65 | 2.63 | -3.63 | 0.72 | -21.35 | -1.12 |
T+5 | SHORT | 106 | 72 | 0.50 | -1.21 | 1.77 | 2.73 | -5.13 | 0.53 | -18.29 | -1.07 |
T+10 | SHORT | 106 | 72 | 1.44 | -2.62 | 2.52 | 4.89 | -7.29 | 0.67 | -31.40 | -1.91 |
T+20 | SHORT | 103 | 75 | 0.48 | -5.36 | 2.02 | 7.53 | -20.42 | 0.37 | -359.80 | -0.13 |
Over Night Gap | SHORT | 107 | 50 | 0.11 | 0.00 | 0.99 | 0.99 | -0.80 | 1.25 | -3.09 | -0.77 |
1st +ve Cls in 5 Days | SHORT | 107 | 37 | 0.17 | 0.32 | 1.14 | 3.07 | -1.57 | 1.96 | -10.01 | -0.58 |
1st -ve Cls in 5 Days | SHORT | 105 | 84 | 0.34 | -0.78 | 1.50 | 1.48 | -5.58 | 0.27 | -18.29 | -0.90 |
Exit | Bias | # | %Wins | Avg% | Med% | OAPF | AWT% | ALT% | Payoff | MLT% | T-Test |
---|---|---|---|---|---|---|---|---|---|---|---|
Next Open 2 Close | SHORT | 1261 | 55 | 0.09 | -0.15 | 1.20 | 1.50 | -1.63 | 0.92 | -17.27 | -1.22 |
T+1 | LONG | 1261 | 42 | 0.05 | -0.26 | 0.79 | 2.82 | -1.99 | 1.42 | -31.64 | 0.18 |
T+2 | LONG | 1260 | 40 | 0.08 | -0.63 | 0.75 | 4.27 | -2.76 | 1.55 | -38.50 | 0.21 |
T+3 | LONG | 1259 | 40 | 0.13 | -0.78 | 0.74 | 5.58 | -3.54 | 1.58 | -49.96 | 0.28 |
T+4 | LONG | 1258 | 39 | 0.18 | -1.14 | 0.73 | 7.05 | -4.13 | 1.71 | -45.35 | 0.34 |
T+5 | LONG | 1257 | 36 | 0.24 | -1.32 | 0.71 | 8.50 | -4.50 | 1.89 | -49.55 | 0.39 |
T+10 | LONG | 1252 | 32 | 0.41 | -2.75 | 0.66 | 14.98 | -6.51 | 2.30 | -54.34 | 0.48 |
T+20 | LONG | 1226 | 26 | 0.01 | -5.33 | 0.48 | 26.36 | -9.37 | 2.81 | -58.12 | 0.01 |
Over Night Gap | LONG | 1261 | 44 | 0.13 | -0.15 | 0.88 | 2.02 | -1.34 | 1.51 | -17.62 | 0.51 |
1st +ve Cls in 5 Days | SHORT | 1234 | 34 | 0.12 | 0.44 | 1.15 | 5.12 | -2.51 | 2.04 | -295.22 | -0.43 |
1st -ve Cls in 5 Days | LONG | 1232 | 16 | 0.12 | -0.92 | 0.65 | 10.91 | -1.98 | 5.52 | -31.64 | 0.24 |
Hypothetical Monthly Returns :
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2016 | - | - | -1.31 | -0.15 | -1.08 | - | 3.84 | -0.13 | -0.25 | - | 1.82 | 0.64 | 3.37 |
2017 | - | 2.26 | - | - | 0.43 | - | 2.11 | -0.15 | 0.95 | 10.02 | -0.72 | 0.69 | 15.6 |
2018 | 1.14 | - | - | -0.15 | -0.8 | - | - | -0.32 | -0.53 | - | -1.61 | -2.94 | -5.2 |
2019 | -0.25 | -0.82 | - | - | -0.49 | -0.63 | -0.53 | - | - | - | -0.31 | -1.4 | -4.43 |
2020 | -0.48 | - | - | - | -2.12 | -4.51 | -2.23 | 6.75 | - | -0.47 | -0.2 | - | -3.26 |
2021 | - | -0.19 | - | - | - | - | - | - | - | - | - | - | -0.19 |
Equity Curve:
Trades Details:
Entry | Price | Exit | Price | Max | Min | Days | Change | Change% | P/L % |
---|
2016-03-04 | 278.72 | 2016-03-08 | 72.09 | -1.72 | 1.17 | 2 | -0.28 | -0.39 | ||
2016-03-07 | 275.16 | 2016-03-08 | 72.09 | -0.17 | 2.53 | 1 | -1.20 | -1.69 | ||
2016-03-21 | 248.99 | 2016-03-22 | 64.48 | -0.50 | 2.30 | 1 | -0.32 | -0.50 | ||
2016-03-22 | 250.25 | 2016-03-23 | 65.35 | 0.14 | 1.79 | 1 | -0.87 | -1.36 | ||
2016-04-13 | 236.14 | 2016-04-15 | 60.88 | -1.11 | 0.52 | 2 | -0.04 | -0.07 | ||
2016-04-14 | 235.37 | 2016-04-15 | 60.88 | -0.33 | 0.86 | 1 | -0.24 | -0.39 | ||
2016-05-10 | 233.20 | 2016-05-11 | 62.04 | 0.53 | 3.35 | 1 | -1.95 | -3.25 | ||
2016-07-01 | 224.84 | 2016-07-05 | 59.09 | 1.10 | 2.82 | 1 | -1.16 | -2.00 | ||
2016-07-11 | 214.31 | 2016-07-18 | 52.42 | -2.75 | -1.08 | 5 | 2.79 | 5.06 | ||
2016-07-12 | 209.82 | 2016-07-19 | 52.18 | -0.66 | 0.59 | 5 | 1.88 | 3.47 | ||
2016-07-13 | 209.20 | 2016-07-20 | 51.91 | -4.22 | -1.63 | 5 | 1.99 | 3.70 | ||
2016-07-14 | 204.40 | 2016-07-21 | 52.50 | -1.06 | 0.64 | 5 | 0.16 | 0.30 | ||
2016-07-15 | 204.24 | 2016-07-22 | 52.10 | -0.83 | 0.23 | 5 | 0.52 | 0.99 | ||
2016-08-09 | 202.54 | 2016-08-10 | 52.38 | -0.69 | 0.76 | 1 | -0.20 | -0.38 | ||
2016-09-30 | 205.64 | 2016-10-03 | 53.39 | 0.34 | 1.58 | 1 | -0.40 | -0.76 | ||
2016-11-10 | 186.59 | 2016-11-17 | 47.24 | -1.94 | 1.16 | 5 | 0.84 | 1.74 | ||
2016-11-22 | 179.47 | 2016-11-30 | 45.32 | -0.95 | 0.26 | 5 | 0.92 | 1.98 | ||
2016-11-23 | 178.07 | 2016-12-01 | 44.84 | -1.39 | 0.00 | 5 | 1.04 | 2.26 | ||
2016-11-25 | 176.22 | 2016-11-28 | 45.64 | -0.35 | 1.05 | 1 | -0.24 | -0.53 | ||
2016-12-12 | 158.10 | 2016-12-19 | 40.22 | -2.45 | -0.78 | 5 | 0.52 | 1.27 | ||
2016-12-13 | 155.47 | 2016-12-14 | 40.73 | -0.90 | 2.39 | 1 | -0.68 | -1.69 | ||
2016-12-14 | 158.10 | 2016-12-21 | 39.78 | -2.45 | -0.44 | 5 | 0.96 | 2.35 | ||
2017-02-14 | 140.64 | 2017-02-22 | 34.75 | -1.93 | -0.17 | 5 | 1.49 | 4.10 | ||
2017-02-15 | 138.09 | 2017-02-23 | 34.60 | -0.42 | 0.81 | 5 | 0.98 | 2.75 | ||
2017-02-16 | 137.93 | 2017-02-17 | 35.56 | 0.03 | 1.38 | 1 | -0.02 | -0.06 | ||
2017-05-08 | 128.72 | 2017-05-09 | 33.32 | -0.48 | 2.71 | 1 | -0.16 | -0.48 | ||
2017-05-09 | 129.34 | 2017-05-10 | 33.40 | -1.14 | 2.21 | 1 | -0.08 | -0.24 | ||
2017-05-24 | 127.71 | 2017-06-01 | 32.23 | -1.52 | -0.21 | 5 | 0.68 | 2.06 | ||
2017-05-25 | 126.28 | 2017-05-26 | 32.56 | -0.09 | 0.92 | 1 | -0.02 | -0.06 | ||
2017-07-28 | 113.08 | 2017-08-04 | 28.13 | -1.37 | -0.63 | 5 | 1.01 | 3.46 | ||
2017-07-31 | 111.99 | 2017-08-07 | 28.03 | -3.01 | -0.62 | 5 | 0.83 | 2.87 | ||
2017-08-01 | 110.99 | 2017-08-08 | 28.09 | -2.13 | -0.09 | 5 | 0.51 | 1.78 | ||
2017-08-02 | 110.33 | 2017-08-09 | 28.22 | -1.54 | 0.18 | 5 | 0.21 | 0.74 | ||
2017-08-03 | 110.10 | 2017-08-10 | 28.92 | -1.34 | -0.07 | 5 | -0.56 | -1.97 | ||
2017-08-04 | 109.17 | 2017-08-09 | 28.22 | -0.50 | 0.04 | 3 | -0.09 | -0.32 | ||
2017-08-07 | 108.78 | 2017-08-08 | 28.09 | -1.07 | 3.27 | 1 | -0.06 | -0.21 | ||
2017-08-08 | 109.01 | 2017-08-09 | 28.22 | 0.18 | 1.07 | 1 | -0.13 | -0.46 | ||
2017-09-01 | 109.52 | 2017-09-05 | 29.10 | -1.34 | 3.75 | 1 | -0.89 | -3.15 | ||
2017-09-14 | 105.99 | 2017-09-21 | 26.76 | -2.77 | -0.11 | 5 | 0.55 | 2.01 | ||
2017-09-15 | 105.14 | 2017-09-22 | 26.83 | -1.98 | -0.29 | 5 | 0.26 | 0.96 | ||
2017-09-18 | 104.21 | 2017-09-25 | 26.98 | -1.11 | 1.56 | 5 | -0.13 | -0.48 | ||
2017-09-19 | 103.55 | 2017-09-21 | 26.76 | -0.48 | 2.21 | 2 | -0.08 | -0.30 | ||
2017-09-20 | 103.17 | 2017-09-21 | 26.76 | -0.11 | 2.59 | 1 | -0.18 | -0.68 | ||
2017-09-21 | 103.86 | 2017-09-22 | 26.83 | -0.48 | 1.90 | 1 | -0.07 | -0.26 | ||
2017-09-29 | 103.28 | 2017-10-06 | 25.34 | -2.02 | -0.22 | 5 | 1.27 | 4.76 | ||
2017-10-02 | 101.23 | 2017-10-09 | 25.37 | -3.37 | -0.36 | 5 | 0.71 | 2.72 | ||
2017-10-03 | 99.99 | 2017-10-10 | 25.12 | -2.75 | 0.19 | 5 | 0.64 | 2.48 | ||
2017-10-04 | 99.80 | 2017-10-11 | 24.99 | -2.87 | 0.02 | 5 | 0.73 | 2.83 | ||
2017-10-05 | 98.33 | 2017-10-06 | 25.34 | -1.54 | 0.43 | 1 | -0.01 | -0.04 | ||
2017-10-12 | 97.40 | 2017-10-19 | 24.05 | -0.83 | -0.23 | 5 | 1.05 | 4.17 | ||
2017-10-13 | 96.90 | 2017-10-20 | 23.56 | -1.57 | -0.12 | 5 | 1.41 | 5.63 | ||
2017-10-16 | 95.93 | 2017-10-23 | 23.68 | -0.58 | -0.01 | 5 | 1.04 | 4.20 | ||
2017-10-17 | 95.50 | 2017-10-24 | 23.19 | -2.35 | -1.34 | 5 | 1.42 | 5.76 | ||
2017-10-18 | 93.45 | 2017-10-25 | 23.52 | -4.25 | 1.31 | 5 | 0.56 | 2.32 | ||
2017-11-06 | 88.84 | 2017-11-09 | 23.09 | -0.74 | 0.76 | 3 | -0.20 | -0.87 | ||
2017-11-07 | 88.73 | 2017-11-09 | 23.09 | -0.22 | 3.23 | 2 | -0.23 | -1.00 | ||
2017-11-30 | 80.33 | 2017-12-01 | 20.76 | -3.52 | 4.10 | 1 | -0.06 | -0.29 | ||
2017-12-12 | 77.69 | 2017-12-19 | 19.42 | -4.29 | 0.00 | 5 | 0.60 | 2.99 | ||
2017-12-13 | 76.92 | 2017-12-14 | 20.00 | -0.86 | 1.01 | 1 | -0.18 | -0.91 | ||
2018-01-08 | 70.94 | 2018-01-16 | 17.20 | -1.97 | -0.60 | 5 | 1.08 | 5.90 | ||
2018-01-09 | 70.01 | 2018-01-10 | 18.07 | -0.22 | 1.49 | 1 | -0.03 | -0.17 | ||
2018-01-17 | 64.28 | 2018-01-18 | 16.72 | -1.63 | 1.87 | 1 | -0.16 | -0.96 | ||
2018-01-18 | 64.90 | 2018-01-25 | 16.02 | -2.24 | 0.90 | 5 | 0.70 | 4.18 | ||
2018-01-25 | 62.19 | 2018-01-30 | 16.60 | -2.37 | 4.17 | 3 | -0.58 | -3.61 | ||
2018-01-26 | 60.75 | 2018-01-29 | 15.95 | 0.00 | 1.91 | 1 | -0.30 | -1.91 | ||
2018-04-17 | 69.55 | 2018-04-18 | 18.00 | -0.50 | 12.18 | 1 | -0.08 | -0.45 | ||
2018-05-14 | 68.19 | 2018-05-15 | 17.99 | 1.37 | 3.34 | 1 | -0.42 | -2.39 | ||
2018-08-21 | 60.15 | 2018-08-22 | 15.77 | -3.84 | 1.54 | 1 | -0.15 | -0.96 | ||
2018-09-21 | 54.20 | 2018-09-24 | 14.14 | 0.43 | 4.43 | 1 | -0.22 | -1.58 | ||
2018-11-30 | 59.80 | 2018-12-04 | 16.05 | -5.62 | 5.55 | 2 | -0.74 | -4.83 | ||
2018-12-03 | 57.62 | 2018-12-04 | 16.05 | 0.61 | 9.56 | 1 | -1.30 | -8.81 | ||
2019-01-09 | 69.49 | 2019-01-16 | 16.95 | -1.70 | 2.20 | 5 | 0.70 | 3.96 | ||
2019-01-10 | 68.47 | 2019-01-14 | 17.60 | -0.06 | 2.52 | 2 | -0.21 | -1.20 | ||
2019-01-18 | 62.70 | 2019-01-22 | 16.48 | -0.06 | 5.60 | 1 | -0.56 | -3.51 | ||
2019-02-05 | 57.59 | 2019-02-06 | 14.67 | -0.38 | 1.09 | 1 | -0.04 | -0.27 | ||
2019-02-06 | 57.75 | 2019-02-07 | 14.98 | 0.54 | 4.35 | 1 | -0.32 | -2.18 | ||
2019-05-01 | 50.84 | 2019-05-02 | 13.10 | -1.24 | 2.87 | 1 | -0.19 | -1.47 | ||
2019-06-10 | 52.11 | 2019-06-11 | 53.00 | -2.19 | 1.21 | 1 | -0.07 | -0.13 | ||
2019-06-11 | 52.18 | 2019-06-12 | 53.22 | -5.45 | 1.08 | 1 | -0.22 | -0.42 | ||
2019-06-21 | 48.32 | 2019-06-25 | 49.74 | -0.88 | 1.65 | 2 | -0.66 | -1.34 | ||
2019-07-15 | 45.10 | 2019-07-16 | 45.68 | -0.44 | 1.60 | 1 | -0.13 | -0.29 | ||
2019-07-16 | 45.23 | 2019-07-17 | 46.28 | -0.05 | 1.31 | 1 | -0.60 | -1.31 | ||
2019-11-27 | 39.66 | 2019-11-29 | 40.23 | 0.38 | 1.18 | 1 | -0.37 | -0.93 | ||
2019-12-24 | 38.05 | 2019-12-30 | 38.33 | -1.05 | -0.10 | 3 | -0.23 | -0.60 | ||
2019-12-26 | 37.66 | 2019-12-30 | 38.33 | -2.57 | 2.79 | 2 | -0.63 | -1.67 | ||
2019-12-27 | 37.56 | 2019-12-30 | 38.33 | -2.31 | 3.06 | 1 | -0.73 | -1.94 | ||
2020-01-17 | 34.96 | 2020-01-21 | 35.50 | -0.03 | 1.91 | 1 | -0.50 | -1.43 | ||
2020-05-12 | 33.77 | 2020-05-13 | 35.92 | 0.62 | 8.79 | 1 | -2.15 | -6.37 | ||
2020-06-04 | 24.08 | 2020-06-11 | ? | -14.12 | -7.35 | 5 | -2.41 | -10.01 | ||
2020-06-05 | 21.83 | 2020-06-10 | 21.99 | -5.27 | -1.51 | 3 | -0.16 | -0.73 | ||
2020-06-08 | 20.72 | 2020-06-09 | 21.30 | 1.16 | 6.81 | 1 | -0.58 | -2.80 | ||
2020-07-02 | 23.87 | 2020-07-09 | 24.08 | -5.36 | 3.02 | 4 | -0.21 | -0.88 | ||
2020-07-06 | 22.63 | 2020-07-07 | 23.60 | -4.70 | 8.66 | 1 | -0.97 | -4.29 | ||
2020-07-15 | 20.98 | 2020-07-16 | 21.30 | 0.00 | 3.34 | 1 | -0.32 | -1.53 | ||
2020-08-05 | 20.13 | 2020-08-12 | ? | -2.29 | 0.40 | 5 | 1.75 | 8.69 | ||
2020-08-06 | 19.68 | 2020-08-13 | ? | -0.97 | 1.65 | 5 | 1.18 | 6.00 | ||
2020-08-07 | 19.52 | 2020-08-14 | ? | -3.94 | -0.87 | 5 | 1.08 | 5.53 | ||
2020-08-10 | 18.76 | 2020-08-11 | 18.97 | -3.78 | 1.91 | 1 | -0.21 | -1.12 | ||
2020-08-11 | 18.97 | 2020-08-18 | ? | -3.85 | -0.05 | 5 | 0.22 | 1.16 | ||
2020-10-08 | 16.80 | 2020-10-15 | ? | -2.74 | -0.18 | 5 | 0.17 | 1.01 | ||
2020-10-09 | 16.49 | 2020-10-14 | 16.60 | -3.82 | 4.49 | 3 | -0.11 | -0.67 | ||
2020-10-12 | 16.05 | 2020-10-13 | 16.33 | 0.44 | 7.35 | 1 | -0.28 | -1.74 | ||
2020-11-05 | 16.46 | 2020-11-06 | 16.56 | -0.55 | 2.19 | 1 | -0.10 | -0.61 | ||
2021-02-09 | 11.63 | 2021-02-17 | ? | 0.00 | 0.00 | 5 | 0.32 | 2.75 | ||
2021-02-10 | 11.56 | 2021-02-18 | ? | 0.00 | 0.00 | 5 | 0.12 | 1.04 | ||
2021-02-11 | 11.55 | 2021-02-19 | ? | 0.00 | 0.00 | 5 | 0.10 | 0.87 | ||
2021-02-24 | 10.93 | 2021-02-25 | 11.50 | 0.00 | 0.00 | 1 | -0.57 | -5.22 |
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