paststat loader
as on: Feb-17 09:30
$VNQ  75.29 0.41 0.55%

Strategy Description:


Stock's today's close has been below 200 -trading day's simple moving average & Stocks with today's Intraday low value that was lower than any previous 61 day intraday lows .

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 :  33

Losing Trades    : 1

% Win Trades :
97.1

Performance Summary:


Median Trade % :
0.61
Average Trade % :
0.7
Average Winning Trade % :
0.76

Max Winning Trade % :1.81

Max Consecutive Winners : 33

Average Losing Trade % :
-1.38

Max Losing Trade % :-1.38

Max Consecutive Losers : 1

Outlier Adjusted Profit Factor :
15.27

Profit Factor : 16.48

Payoff : 0.55

T-Test : 6.37

Drawdown and Runup Summary:


Avg Intra Drawdown % :
-0.72
Avg Intra Runup % :
1.52
Max Intra Drawdown %:
-3.05
Max Intra Runup %:
4.35

Exit Bias # %Wins Avg% Med% OAPF AWT% ALT% Payoff MLT% T-Test
Next Open 2 Close SHORT 34 44 0.06 0.07 0.83 0.88 -0.59 1.49 -2.07 -0.33
T+1 LONG 34 65 0.16 0.48 1.29 0.79 -0.99 0.80 -2.75 0.89
T+2 LONG 34 62 0.56 0.48 2.15 1.53 -1.02 1.50 -2.23 2.13
T+3 LONG 34 65 0.67 0.53 2.38 1.62 -1.09 1.49 -2.56 2.42
T+4 LONG 34 79 1.07 1.03 3.60 1.74 -1.55 1.13 -2.22 3.51
T+5 LONG 34 76 0.99 0.85 3.39 1.70 -1.32 1.29 -3.01 3.22
T+10 LONG 34 76 2.01 2.34 5.93 3.06 -1.39 2.20 -2.84 4.70
T+20 LONG 34 71 1.95 2.27 2.31 4.15 -3.35 1.24 -7.72 2.45
Over Night Gap LONG 34 65 0.22 0.16 2.82 0.49 -0.27 1.79 -1.01 2.67
1st +ve Cls in 5 Days LONG 34 97 0.70 0.61 15.27 0.76 -1.38 0.55 -1.38 6.37
1st -ve Cls in 5 Days LONG 33 30 0.15 -0.18 0.96 2.43 -0.84 2.90 -2.75 0.49
Exit Bias # %Wins Avg% Med% OAPF AWT% ALT% Payoff MLT% T-Test
Next Open 2 Close LONG 1006 53 0.02 0.06 1.03 0.58 -0.62 0.94 -4.04 0.69
T+1 LONG 1006 54 0.04 0.07 1.08 0.66 -0.70 0.94 -4.68 1.31
T+2 LONG 1006 56 0.07 0.19 1.12 0.94 -1.03 0.91 -7.30 1.78
T+3 LONG 1006 57 0.11 0.23 1.15 1.14 -1.27 0.90 -9.03 2.18
T+4 LONG 1006 58 0.14 0.35 1.17 1.33 -1.49 0.90 -9.69 2.49
T+5 LONG 1006 58 0.18 0.34 1.19 1.48 -1.63 0.91 -10.23 2.79
T+10 LONG 1006 58 0.35 0.63 1.27 2.26 -2.31 0.98 -10.06 3.94
T+20 LONG 1006 58 0.67 0.79 1.40 3.26 -2.94 1.11 -8.73 5.48
Over Night Gap LONG 1006 54 0.02 0.04 1.14 0.25 -0.25 0.99 -3.40 1.69
1st +ve Cls in 5 Days LONG 1002 81 0.08 0.36 1.16 0.62 -2.16 0.29 -10.23 1.91
1st -ve Cls in 5 Days LONG 1004 31 0.10 -0.24 1.15 1.84 -0.67 2.74 -4.68 2.12

Hypothetical Monthly Returns :

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2015----0.961.910.080.600.85---4.41
20160.360.74-------0.241.56-2.90
2017------0.41--0.27-0.230.91
2018-0.27------------0.27

Equity Curve:

Trades Details:

Entry Price Exit Price Max Min Days Change Change% P/L %
2015-05-0571.662015-05-0773.154.15-0.7720.961.34
2015-05-0671.522015-05-0773.154.35-0.0611.101.54
2015-06-0570.642015-06-1171.440.26-0.4040.280.40
2015-06-0970.002015-06-1071.011.70-0.1710.490.71
2015-06-1070.502015-06-1171.440.990.4210.430.61
2015-06-2569.642015-06-2670.660.97-0.3610.500.72
2015-06-2670.152015-07-0170.680.63-1.6230.020.03
2015-06-2969.062015-07-0170.680.90-0.2921.111.61
2015-06-3069.032015-07-0170.683.28-0.4411.141.65
2015-07-0170.162015-07-0270.851.610.0810.180.25
2015-08-2468.872015-08-2770.631.99-2.7631.251.81
2015-09-0167.112015-09-0268.301.400.1510.701.05
2015-09-0466.732015-09-0868.232.690.1911.011.51
2016-01-1571.522016-01-1972.431.310.0010.380.53
2016-01-2069.972016-01-2170.871.97-0.3410.390.55
2016-02-0869.422016-02-1670.19-0.75-2.6050.260.37
2016-02-0968.152016-02-1069.122.06-1.5410.470.69
2016-02-1167.642016-02-1268.921.430.1110.781.15
2016-10-0579.982016-10-0680.601.67-1.4010.030.04
2016-10-0680.012016-10-1080.961.63-0.6320.360.45
2016-10-2778.042016-10-2878.801.10-0.1410.180.24
2016-11-0177.772016-11-0778.550.13-2.4040.210.28
2016-11-0276.632016-11-0477.200.25-0.8020.010.01
2016-11-0376.042016-11-0477.201.13-0.1810.600.79
2016-11-0476.642016-11-0778.551.790.7511.341.75
2016-11-0977.202016-11-1478.750.14-3.0530.971.26
2016-11-1075.912016-11-1176.931.84-0.1510.460.60
2017-07-1181.162017-07-1282.163.410.4711.001.23
2017-10-2681.912017-10-2782.282.11-0.7010.370.45
2017-10-2782.282017-11-0182.571.65-0.9630.290.35
2017-12-2181.272017-12-2281.832.47-0.0610.560.69
2018-01-0481.012018-01-0581.050.89-2.3510.040.05
2018-01-0581.052018-01-0881.470.69-0.0110.420.52
2018-01-0980.422018-01-17?-0.24-2.435-1.11-1.38

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