paststat loader
as on: Sep-18 10:00
$SPY  290.26 0.94 0.32%

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              : 35

Winning Trades :  35

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 : 35

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 : 7.93

Drawdown and Runup Summary:


Avg Intra Drawdown % :
-0.48
Avg Intra Runup % :
0.59
Max Intra Drawdown %:
-1.91
Max Intra Runup %:
2.25

Exit Bias # %Wins Avg% Med% OAPF AWT% ALT% Payoff MLT% T-Test
Next Open 2 Close LONG 35 60 0.07 0.06 1.50 0.38 -0.38 0.99 -1.86 0.84
T+1 LONG 35 63 0.04 0.03 1.07 0.36 -0.51 0.72 -1.75 0.42
T+2 LONG 35 69 0.23 0.25 2.60 0.55 -0.45 1.20 -1.01 2.31
T+3 LONG 35 80 0.43 0.54 5.85 0.65 -0.45 1.45 -1.21 4.19
T+4 LONG 35 80 0.58 0.68 7.62 0.86 -0.54 1.60 -0.99 5.06
T+5 LONG 35 89 0.79 0.71 16.19 0.96 -0.55 1.76 -0.97 6.58
T+10 LONG 35 91 1.22 1.43 7.69 1.62 -3.05 0.53 -4.72 4.21
T+20 LONG 35 71 1.01 1.66 1.79 2.70 -3.23 0.84 -7.58 1.86
Over Night Gap SHORT 35 49 0.03 0.01 1.47 0.28 -0.20 1.41 -0.65 -0.66
1st +ve Cls in 5 Days LONG 35 100 0.41 0.42 727,878.28 0.41 0.00 727,878.28 0.01 7.93
1st -ve Cls in 5 Days LONG 35 49 0.32 -0.05 1.98 1.21 -0.51 2.36 -1.75 1.93
Exit Bias # %Wins Avg% Med% OAPF AWT% ALT% Payoff MLT% T-Test
Next Open 2 Close LONG 2775 54 0.01 0.06 1.05 0.60 -0.66 0.90 -8.99 0.79
T+1 LONG 2775 55 0.04 0.06 1.12 0.76 -0.83 0.91 -9.84 1.67
T+2 LONG 2775 57 0.08 0.15 1.17 1.06 -1.22 0.87 -13.36 2.44
T+3 LONG 2775 59 0.12 0.24 1.22 1.26 -1.50 0.84 -13.39 3.10
T+4 LONG 2775 58 0.16 0.30 1.27 1.48 -1.66 0.89 -17.80 3.63
T+5 LONG 2775 59 0.19 0.37 1.31 1.61 -1.84 0.87 -19.79 4.11
T+10 LONG 2770 62 0.38 0.69 1.49 2.18 -2.58 0.84 -26.77 6.06
T+20 LONG 2760 65 0.74 1.37 1.73 3.15 -3.80 0.83 -29.42 8.56
Over Night Gap LONG 2775 54 0.02 0.05 1.13 0.45 -0.47 0.95 -8.32 1.80
1st +ve Cls in 5 Days LONG 2774 83 0.16 0.35 1.40 0.73 -2.56 0.28 -19.79 4.67
1st -ve Cls in 5 Days LONG 2775 31 0.04 -0.22 1.12 1.98 -0.81 2.44 -9.84 1.22

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
20180.27-----------0.27

Equity Curve:

Trades Details:

Entry Price Exit Price Max Min Days Change Change% P/L %
2007-02-05114.432007-02-06114.460.35-0.3610.030.03
2007-02-06114.462007-02-07114.710.33-0.2210.250.22
2007-02-07114.712007-02-14115.03-0.06-0.6550.320.28
2010-01-0896.562010-01-1196.700.49-0.2910.130.14
2010-01-1196.702010-01-1496.870.18-1.3230.170.17
2010-02-2293.692010-03-0194.310.04-1.4850.620.66
2010-03-0494.942010-03-0596.291.510.4111.361.43
2010-03-0596.292010-03-0896.310.24-0.1610.020.02
2010-03-0896.312010-03-0996.471.06-0.3510.160.17
2010-03-0996.472010-03-1096.900.72-0.0410.430.45
2010-03-1096.902010-03-1197.310.44-0.5410.400.42
2010-03-1197.312010-03-1297.310.45-0.2710.010.01
2010-03-1297.312010-03-1597.340.10-0.7410.030.03
2010-03-1597.342010-03-1698.120.890.0010.780.80
2010-03-1698.122010-03-1798.700.920.0110.580.59
2010-03-1798.702010-03-2399.370.77-1.1840.670.68
2011-01-27111.712011-02-01112.360.28-1.9130.640.58
2012-03-13122.882012-03-15123.460.28-0.4120.580.47
2013-01-24134.002013-01-25134.750.96-0.0310.750.56
2013-01-25134.752013-01-29135.120.05-0.4920.370.27
2013-03-07138.812013-03-08139.400.56-0.0810.590.43
2013-03-08139.402013-03-11139.930.39-0.2010.530.38
2013-03-11139.932013-03-14140.560.05-0.5330.630.45
2014-02-12166.582014-02-13167.441.26-0.6810.860.52
2014-02-13167.442014-02-14168.370.74-0.1910.920.55
2014-02-14168.372014-02-18168.570.26-0.2010.200.12
2014-02-18168.572014-02-24169.180.39-0.8940.610.36
2015-02-17195.992015-02-18196.010.05-0.3710.020.01
2015-02-18196.012015-02-20197.040.57-0.6721.040.53
2016-03-07191.002016-03-11193.07-0.33-1.1942.071.08
2017-02-13226.412017-02-14227.320.40-0.2610.900.40
2017-02-14227.322017-02-15228.501.28-0.1311.190.52
2017-02-15228.502017-02-17228.670.84-0.4620.170.07
2018-01-08271.612018-01-09272.222.25-0.3710.610.23
2018-01-09272.222018-01-11273.792.02-0.5921.570.58

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