Quant Idea – $NUGT Closes above Resistance level 3

$NUGT Closes above Resistance level 3

direxion funds 3X leveraged Gold Miners

 

$NUGT (Direxion Daily Gold Miners Bull 3X Shrs ) Closes above R3 Resistance Level trading strategy rules

  • $NUGT stock price closes above R3 ( resistance level , as calculated by using classic pivot point method) level
  • Go short at next day’s open
  • Exit at close next trading day

The formula used in the calculation of Classic R3 Resistance Level is

  • R3 = PP + RANGE * 2
  • PP = (HIGH + LOW + CLOSE) / 3

Below the backtest performance summary for the “$NUGT Closes above Resistance level 3” trading strategy during the last four years.

$NUGT Closes above Resistance level 3 trading strategy Backtest Performance Summary
Total number of trades 19 Percent profitable 79%
Number of winning trades 15 Number of losing trades 4
Average profit per trade % 1.54 Median trade -1.28
Average winning trade % 2.24% Average losing trade % 1.09%
Largest winning trade % 10.15% Largest losing trade % 2.26%
Max consecutive winners 7 Max consecutive losers 1
Ratio avg win/avg loss % 2.06  T-test -2.59
Profit Factor 5.87 Outlier Adjusted Profit Factor 4.12

Below the details of change from next day’s open to next day’s close ( as on 22 July 2013 , meant for 23 July 2013 open to close in this case) change , change % for $NUGT ETF, when ever $NUGT Closes above Resistance level 3 since last 4 years.

Date Next Day Change From Open 2 Close CFO%
22-Jul-13 ?? ??
16-Jul-13 -0.67 -10.15
11-Jul-13 -0.1 -1.74
28-Jun-13 -0.01 -0.16
08-May-13 0.16 1.33
24-Apr-13 -0.32 -2.35
21-Mar-13 -0.1 -0.35
12-Dec-12 -0.6 -1.11
31-Aug-12 -1.15 -1.77
16-Aug-12 -1.45 -2.57
03-Jul-12 -1.05 -1.77
25-Jan-12 -1.65 -1.34
03-Jan-12 0.85 0.78
30-Nov-11 -0.2 -0.12
21-Jun-11 3.3 2.26
05-Apr-11 -2.6 -1.28
23-Mar-11 -6.55 -3.45
26-Jan-11 -7.55 -4.83
13-Dec-10 -1.3 -0.65

ps: playing with 3X ETF is wee bit risky, so go with the small position sizes 

use Quant Ideas to find high probability winning trades for tomorrow

 you might want to consider subscribing to our daily quant rants email  !!

Leave a Reply