When $UVXY is down for five days in row
- $UVXY ETF closes down for five or more days in row
- Go long at next day’s open
- Exit at close next trading day
Below the backtest performance summary for the “Go Long at Next Open and exit at next day close when $UVXY closes down for five days in row“ trading strategy during the last four years.
|Go Long at Next Open and exit at next day close when $UVXY closes down for five days in row trading strategy Backtest Performance Summary|
|Total number of trades||27||Percent profitable||74%|
|Number of winning trades||20||Number of losing trades||7|
|Average profit per trade %||4.97||Median trade||2.04|
|Average winning trade %||7.65%||Average losing trade %||-2.69%|
|Largest winning trade %||25.44%||Largest losing trade %||5.61%|
|Max consecutive winners||6||Max consecutive losers||1|
|Ratio avg win/avg loss %||2.84||T-test||3.22|
|Profit Factor||8.1||Outlier Adjusted Profit Factor||6.19|
ps: take those profit factor ( which is gross profit in point change / gross loss in point change) with a pinch of salt plsss , as back in late 2011, $UVXY was trading at above 10000 ( for split adjusted levels) !!!, but a look at the pay-off ratio ( average win% divided by average loss%) is still at 2.84 , a trading strategy worth having a loot at.
Below the details of change from next day’s open to next day’s close ( as on 23 July 2013 , meant for 24 July 2013 open to close in this case) change , change % for $UVXY ETF, when ever $UVXY down for five days in row since last 4 years.
|Date||Nxt Open 2 Cls Change||Nxt Open 2 Cls Change %||Date||Nxt Open 2 Cls Change||Nxt Open 2 Cls Change %|
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