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as on :Nov-20
$SPY  258.30 0.44 0.17%

Strategy Description:


Stocks losing by more than 1 standard devaition , period used is 50 , and standard devation is calculated on daily percentage changes for previous 50 trading days including today & Current trading day is Tuesday .

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              : 39

Winning Trades :  39

Losing Trades    : 0

% Win Trades :
100

Performance Summary:


Median Trade % :
0.68
Average Trade % :
0.8
Average Winning Trade % :
0.8

Max Winning Trade % :3.84

Max Consecutive Winners : 39

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 : 7.11

Drawdown and Runup Summary:


Avg Intra Drawdown % :
-0.55
Avg Intra Runup % :
1.14
Max Intra Drawdown %:
-2.55
Max Intra Runup %:
6.71

Exit Bias # %Wins Avg% Med% OAPF AWT% ALT% Payoff MLT% T-Test
Next Open 2 Close LONG 39 56 0.03 0.13 1.04 0.51 -0.58 0.87 -1.97 0.27
T+1 LONG 39 64 0.31 0.21 2.05 0.81 -0.59 1.37 -1.85 1.96
T+2 LONG 39 59 0.67 0.37 2.91 1.57 -0.64 2.47 -4.17 2.41
T+3 LONG 39 67 0.55 0.31 2.22 1.26 -0.88 1.44 -4.31 1.99
T+4 LONG 39 72 0.54 0.65 2.08 1.38 -1.61 0.86 -10.54 1.45
T+5 LONG 39 82 0.77 1.00 3.08 1.39 -2.07 0.67 -6.38 2.63
T+10 LONG 39 72 0.97 1.24 2.18 2.35 -2.52 0.93 -10.26 2.07
T+20 LONG 39 72 1.22 1.64 2.76 2.68 -2.49 1.08 -6.65 2.67
Over Night Gap LONG 39 67 0.28 0.13 3.25 0.53 -0.23 2.30 -0.75 2.80
1st +ve Cls in 5 Days LONG 39 100 0.80 0.68 727,878.28 0.80 0.00 727,878.28 0.01 7.11
1st -ve Cls in 5 Days LONG 39 38 0.32 -0.20 1.51 1.95 -0.70 2.79 -4.17 1.22
Exit Bias # %Wins Avg% Med% OAPF AWT% ALT% Payoff MLT% T-Test
Next Open 2 Close LONG 1626 55 0.03 0.06 1.12 0.47 -0.51 0.93 -4.18 1.67
T+1 LONG 1626 54 0.05 0.06 1.16 0.64 -0.64 1.00 -6.51 2.28
T+2 LONG 1626 57 0.10 0.14 1.24 0.88 -0.94 0.94 -7.09 3.29
T+3 LONG 1626 59 0.16 0.24 1.31 1.08 -1.18 0.91 -11.02 4.03
T+4 LONG 1626 58 0.21 0.31 1.37 1.29 -1.31 0.98 -10.54 4.73
T+5 LONG 1626 60 0.26 0.37 1.43 1.41 -1.44 0.98 -12.83 5.35
T+10 LONG 1626 62 0.51 0.61 1.70 1.93 -1.85 1.05 -16.12 8.15
T+20 LONG 1626 67 1.01 1.29 2.17 2.77 -2.59 1.07 -16.30 12.09
Over Night Gap LONG 1626 53 0.02 0.03 1.11 0.38 -0.38 0.99 -5.23 1.63
1st +ve Cls in 5 Days LONG 1626 83 0.15 0.33 1.43 0.60 -2.00 0.30 -12.83 4.47
1st -ve Cls in 5 Days LONG 1623 30 0.11 -0.19 1.23 1.78 -0.62 2.87 -6.51 2.99

Hypothetical Monthly Returns :

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2011-0.130.52----0.18-0.340.54-1.71
2012--0.230.27----0.120.31--0.94
2013-----0.23-0.12-0.49--0.84
2014----0.200.150.150.010.390.58--1.48
20150.76-0.57-0.75--1.320.63---4.04
2016-0.20--0.38---0.320.040.34-1.28
2017--0.08--0.02------0.10

Equity Curve:

Trades Details:

Entry Price Exit Price Max Min Days Change Change% P/L %
2011-02-22115.992011-02-25116.430.18-1.2330.440.38
2011-03-01115.192011-03-02115.440.68-0.4410.250.21
2011-03-15113.112011-03-21114.640.01-2.5541.531.36
2011-08-02111.442011-08-03112.040.65-1.5610.600.54
2011-10-25109.842011-10-26110.955.18-0.6811.121.02
2011-11-01108.902011-11-02110.673.690.6511.781.63
2012-03-06121.042012-03-07121.893.990.1310.850.70
2012-04-10122.612012-04-11123.602.550.5010.990.81
2012-09-25131.382012-09-27131.870.60-0.8020.490.37
2012-10-09131.472012-10-16132.690.08-0.7751.220.93
2012-10-23128.942012-10-25128.940.61-0.7320.010.01
2013-06-11150.422013-06-13151.450.79-0.9221.020.68
2013-08-27151.432013-08-28151.970.71-0.1710.540.36
2013-10-08154.172013-10-09154.280.43-0.5710.110.07
2013-10-15158.102013-10-16160.311.450.5512.211.40
2014-05-06175.732014-05-07176.770.64-0.4111.040.59
2014-06-24184.062014-06-25184.900.55-0.2310.830.45
2014-07-08185.522014-07-09186.350.540.0410.830.45
2014-08-05181.522014-08-06181.580.58-0.7610.060.03
2014-09-09188.432014-09-10189.140.44-0.2810.710.38
2014-09-23188.072014-09-24189.540.85-0.8811.470.78
2014-10-07183.562014-10-08186.771.89-0.4713.211.75
2015-01-06190.832015-01-07193.211.450.5312.381.25
2015-01-27193.622015-02-03195.630.76-2.0052.011.04
2015-03-10195.762015-03-12197.790.25-0.2822.031.03
2015-03-31198.032015-04-06199.370.27-0.9331.340.68
2015-05-05200.402015-05-08203.011.43-1.0232.611.30
2015-05-26202.122015-05-27204.041.08-0.2011.920.95
2015-08-11201.152015-08-12201.390.23-1.5810.240.12
2015-08-25180.522015-08-26187.456.710.5916.933.84
2015-09-01184.862015-09-02188.371.920.3413.511.90
2016-02-02185.362016-02-03186.470.85-1.6111.110.60
2016-05-03201.992016-05-10204.23-0.15-0.8452.241.11
2016-05-17200.712016-05-18200.760.71-0.6010.060.03
2016-09-13210.002016-09-15212.020.69-0.3422.020.96
2016-10-11211.262016-10-12211.540.42-0.2010.280.13
2016-11-01208.872016-11-07210.980.04-1.2542.121.01
2017-03-21233.732017-03-22234.280.38-0.2910.550.24
2017-06-20243.012017-06-23243.130.24-0.2530.120.05

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