paststat loader
as on: Feb-17 09:30
$SPY  273.11 0.08 0.03%

Strategy Description:


Current trading quarter is 1st Quarter & Stock's close has been Increasing 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 :
LONG

# Trades              : 34

Winning Trades :  34

Losing Trades    : 0

% Win Trades :
100

Performance Summary:


Median Trade % :
0.42
Average Trade % :
0.41
Average Winning Trade % :
0.41

Max Winning Trade % :1.43

Max Consecutive Winners : 34

Average Losing Trade % :
0

Max Losing Trade % :0.01

Max Consecutive Losers : 0

Outlier Adjusted Profit Factor :
727878.28

Profit Factor : 727878.28

Payoff : 727878.28

T-Test : 7.84

Drawdown and Runup Summary:


Avg Intra Drawdown % :
-0.48
Avg Intra Runup % :
0.54
Max Intra Drawdown %:
-1.91
Max Intra Runup %:
2.02

Exit Bias # %Wins Avg% Med% OAPF AWT% ALT% Payoff MLT% T-Test
Next Open 2 Close LONG 34 59 0.08 0.11 1.48 0.40 -0.38 1.04 -1.86 0.83
T+1 LONG 34 62 0.04 0.03 1.01 0.37 -0.51 0.73 -1.75 0.35
T+2 LONG 34 68 0.24 0.26 2.56 0.57 -0.45 1.25 -1.01 2.29
T+3 LONG 34 79 0.42 0.53 5.31 0.65 -0.45 1.43 -1.21 3.99
T+4 LONG 34 79 0.56 0.64 6.96 0.84 -0.54 1.56 -0.99 4.82
T+5 LONG 34 88 0.78 0.71 14.92 0.96 -0.55 1.75 -0.97 6.33
T+10 LONG 34 91 1.16 1.41 6.74 1.56 -3.05 0.51 -4.72 3.97
T+20 LONG 34 74 1.08 1.69 2.02 2.70 -3.40 0.79 -7.58 1.97
Over Night Gap SHORT 34 50 0.04 -0.03 1.65 0.28 -0.20 1.39 -0.65 -0.75
1st +ve Cls in 5 Days LONG 34 100 0.41 0.42 727,878.28 0.41 0.00 727,878.28 0.01 7.84
1st -ve Cls in 5 Days LONG 34 47 0.30 -0.05 1.73 1.22 -0.51 2.37 -1.75 1.75
Exit Bias # %Wins Avg% Med% OAPF AWT% ALT% Payoff MLT% T-Test
Next Open 2 Close LONG 2773 54 0.02 0.06 1.05 0.60 -0.66 0.90 -9.00 0.82
T+1 LONG 2773 55 0.04 0.06 1.11 0.76 -0.83 0.92 -9.84 1.65
T+2 LONG 2773 57 0.08 0.15 1.17 1.06 -1.21 0.87 -13.36 2.41
T+3 LONG 2773 58 0.12 0.24 1.22 1.27 -1.50 0.85 -13.39 3.06
T+4 LONG 2773 58 0.15 0.29 1.26 1.48 -1.65 0.90 -17.80 3.58
T+5 LONG 2773 59 0.19 0.36 1.30 1.61 -1.83 0.88 -19.79 4.06
T+10 LONG 2773 62 0.38 0.68 1.48 2.18 -2.56 0.85 -26.77 6.02
T+20 LONG 2773 65 0.75 1.39 1.72 3.15 -3.79 0.83 -29.41 8.64
Over Night Gap LONG 2773 54 0.02 0.05 1.12 0.45 -0.47 0.95 -8.32 1.73
1st +ve Cls in 5 Days LONG 2773 83 0.16 0.36 1.40 0.73 -2.56 0.28 -19.79 4.67
1st -ve Cls in 5 Days LONG 2768 30 0.04 -0.23 1.10 1.99 -0.81 2.46 -9.84 1.07

Hypothetical Monthly Returns :

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2007-0.18----------0.18
20100.100.221.53---------1.86
20110.19-----------0.19
2012--0.16---------0.16
20130.28-0.42---------0.70
2014-0.52----------0.52
2015-0.18----------0.18
2016--0.36---------0.36
2017-0.33----------0.33
20180.19-----------0.19

Equity Curve:

Trades Details:

Entry Price Exit Price Max Min Days Change Change% P/L %
2007-02-05117.132007-02-06117.160.35-0.3610.030.03
2007-02-06117.162007-02-07117.420.32-0.2210.260.22
2007-02-07117.422007-02-14117.74-0.06-0.6550.320.28
2010-01-0898.862010-01-1199.000.49-0.2910.140.14
2010-01-1199.002010-01-1499.170.18-1.3230.170.17
2010-02-2295.922010-03-0196.550.04-1.4850.630.66
2010-03-0497.192010-03-0598.581.510.4111.391.43
2010-03-0598.582010-03-0898.600.24-0.1610.020.02
2010-03-0898.602010-03-0998.761.06-0.3510.160.17
2010-03-0998.762010-03-1099.200.72-0.0410.440.45
2010-03-1099.202010-03-1199.620.44-0.5410.410.42
2010-03-1199.622010-03-1299.630.45-0.2710.010.01
2010-03-1299.632010-03-1599.650.09-0.7510.030.03
2010-03-1599.652010-03-16100.450.890.0010.790.80
2010-03-16100.452010-03-17101.040.920.0110.600.59
2010-03-17101.042010-03-23101.730.76-1.1840.690.68
2011-01-27114.372011-02-01115.030.28-1.9130.660.58
2012-03-13125.812012-03-15126.400.28-0.4120.590.47
2013-01-24137.192013-01-25137.960.96-0.0310.770.56
2013-01-25137.962013-01-29138.330.05-0.4920.380.27
2013-03-07142.122013-03-08142.720.56-0.0810.610.43
2013-03-08142.722013-03-11143.260.39-0.2010.540.38
2013-03-11143.262013-03-14143.910.05-0.5330.640.45
2014-02-12170.552014-02-13171.431.26-0.6810.880.52
2014-02-13171.432014-02-14172.380.74-0.1910.950.55
2014-02-14172.382014-02-18172.580.26-0.2010.210.12
2014-02-18172.582014-02-24173.210.39-0.8940.630.36
2015-02-17200.662015-02-18200.680.05-0.3710.020.01
2015-02-18200.682015-02-20201.740.57-0.6721.060.53
2016-03-07195.522016-03-11197.64-0.33-1.1942.121.08
2017-02-13231.762017-02-14232.690.40-0.2610.930.40
2017-02-14232.692017-02-15233.901.28-0.1311.210.52
2017-02-15233.902017-02-17234.070.84-0.4620.170.07
2018-01-09274.542018-01-11276.122.02-0.5921.580.58

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