paststat loader
as on: Feb-17 09:30

Strategy Description:


Stocks making lower lows for 4 days in row & Stocks whose RSI (2) crossed below 10 today after being above 10 for the previous day, The RSI period used is 2 .

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              : 40

Winning Trades :  40

Losing Trades    : 0

% Win Trades :
100

Performance Summary:


Median Trade % :
0.49
Average Trade % :
0.63
Average Winning Trade % :
0.63

Max Winning Trade % :2.35

Max Consecutive Winners : 40

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 : 7.81

Drawdown and Runup Summary:


Avg Intra Drawdown % :
-0.62
Avg Intra Runup % :
1.07
Max Intra Drawdown %:
-3.95
Max Intra Runup %:
3.40

Exit Bias # %Wins Avg% Med% OAPF AWT% ALT% Payoff MLT% T-Test
Next Open 2 Close LONG 40 53 0.08 0.05 1.36 0.49 -0.38 1.28 -1.12 0.89
T+1 LONG 40 63 0.23 0.33 1.86 0.77 -0.66 1.17 -1.45 1.74
T+2 LONG 40 68 0.48 0.30 2.93 1.01 -0.61 1.65 -1.65 3.14
T+3 LONG 40 65 0.43 0.45 2.23 1.08 -0.77 1.40 -2.50 2.33
T+4 LONG 40 63 0.29 0.30 1.63 1.13 -1.10 1.03 -3.35 1.28
T+5 LONG 40 53 0.09 0.10 1.14 1.37 -1.32 1.04 -4.11 0.35
T+10 LONG 40 58 0.24 0.28 1.26 1.96 -2.08 0.94 -5.20 0.59
T+20 LONG 40 55 0.17 0.61 0.89 3.33 -3.69 0.90 -8.54 0.23
Over Night Gap LONG 40 63 0.16 0.22 1.70 0.53 -0.46 1.15 -0.95 1.72
1st +ve Cls in 5 Days LONG 40 100 0.63 0.49 727,878.28 0.63 0.00 727,878.28 0.01 7.81
1st -ve Cls in 5 Days LONG 40 33 0.23 -0.23 1.48 1.85 -0.55 3.36 -1.45 1.14
Exit Bias # %Wins Avg% Med% OAPF AWT% ALT% Payoff MLT% T-Test
Next Open 2 Close LONG 3889 52 0.02 0.04 1.07 0.46 -0.46 0.99 -3.56 1.88
T+1 LONG 3889 53 0.03 0.06 1.07 0.64 -0.66 0.97 -5.04 2.10
T+2 LONG 3889 54 0.06 0.09 1.10 0.88 -0.91 0.97 -5.66 2.99
T+3 LONG 3889 54 0.09 0.12 1.13 1.08 -1.08 1.01 -7.01 3.69
T+4 LONG 3889 54 0.11 0.17 1.15 1.27 -1.24 1.02 -7.95 4.28
T+5 LONG 3889 54 0.14 0.18 1.17 1.42 -1.38 1.03 -7.59 4.80
T+10 LONG 3889 55 0.28 0.28 1.26 2.01 -1.85 1.09 -10.63 6.86
T+20 LONG 3889 57 0.54 0.64 1.38 2.90 -2.58 1.12 -14.62 9.33
Over Night Gap LONG 3889 50 0.01 0.01 1.02 0.42 -0.40 1.04 -3.29 1.12
1st +ve Cls in 5 Days LONG 3886 79 0.10 0.33 1.22 0.59 -1.76 0.34 -7.59 5.14
1st -ve Cls in 5 Days LONG 3885 27 0.05 -0.28 1.06 1.80 -0.62 2.91 -5.04 2.14

Hypothetical Monthly Returns :

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2002---------0.000.15-0.15
2003--0.590.46-0.270.48-----1.80
2004----0.07------0.520.59
2005-0.16----------0.16
2007-----0.45------0.45
2008---------0.09--0.09
20091.49-----------1.49
2010---------0.33--0.33
2012-------0.160.40---0.56
20130.27-0.03-0.220.14------0.67
2015--0.31-0.45-----0.10-0.85
2016---0.51------0.50-1.02
2017--0.12---0.01-----0.12
20180.10-----------0.10

Equity Curve:

Trades Details:

Entry Price Exit Price Max Min Days Change Change% P/L %
2002-10-1849.192007-02-0762.650.27-1.0250.010.01
2002-11-1550.422005-10-2859.881.29-0.1710.230.45
2003-03-2051.362003-11-1952.300.65-1.3820.090.18
2003-03-2150.652009-06-1571.452.060.9310.801.58
2003-04-0451.462005-08-2962.74-0.22-1.3020.300.57
2003-04-0751.342012-04-13102.640.850.1610.410.81
2003-06-1956.162009-02-2481.491.48-2.1020.130.22
2003-06-2055.952005-03-0858.640.73-0.2310.330.60
2003-07-0853.982003-07-2351.960.650.0110.170.32
2003-07-2949.882003-08-1150.201.75-1.2410.561.13
2004-05-0750.852005-08-0461.280.36-0.2620.110.22
2004-12-0255.372005-02-0259.371.810.9610.861.56
2005-02-1858.882013-01-17106.450.52-1.0740.090.15
2005-02-2258.622006-05-2258.130.78-0.0310.190.33
2007-06-1160.222004-03-1656.690.24-1.6340.090.16
2007-06-1259.352008-12-0284.901.710.3610.711.19
2008-10-3171.092010-06-2881.920.70-0.1210.190.27
2009-01-2284.012011-12-19107.68-0.20-1.7030.560.66
2009-01-2383.352011-10-07102.271.97-3.9521.221.46
2009-01-2682.632010-10-0586.532.87-3.1011.942.35
2010-10-1484.082009-02-1782.130.76-1.6030.150.18
2010-10-1583.052010-11-1879.941.820.2810.670.81
2012-08-16107.012014-09-24107.860.920.2610.520.49
2012-09-14104.832013-09-1693.633.400.4211.261.20
2013-01-29104.292017-01-10121.250.01-0.6820.330.32
2013-01-30104.112014-12-18117.530.51-0.1710.510.49
2013-03-08102.772014-12-01114.970.91-0.0110.100.10
2013-05-14104.842004-05-1050.841.00-0.1210.700.67
2013-06-2197.742015-11-23117.011.92-0.5910.410.42
2015-03-06117.332009-02-2779.241.110.5111.080.92
2015-05-06115.012006-03-0261.262.48-1.5911.551.34
2015-11-09114.362015-11-16115.800.74-0.0510.340.30
2016-04-25124.792012-04-13102.641.47-0.5520.670.54
2016-04-26124.222002-12-0450.001.490.2911.241.00
2016-11-10121.412012-11-16112.460.26-0.8840.280.23
2016-11-11120.732004-01-1554.410.51-1.0730.960.79
2016-11-14120.002004-08-1354.941.51-0.8010.590.49
2017-03-09116.592017-03-30120.360.41-0.3010.410.35
2017-07-03124.462017-07-05124.490.15-0.2810.030.02
2018-01-09123.952018-01-11124.311.07-1.0420.360.29

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