paststat loader
as on :Oct-29
$SPY  459.25 0.93 0.20%

Strategy Description:


Trading Signals : Year High & August

Stocks with today's Intraday high value that was higher than any previous 249 day intraday highs & Current trading month is August .

Entry : Current Close

Exit    : 1st lower close than entry in next five trading days , otherwise at the end of 5th Trading day at close



Trading Bias :
SHORT

# Trades              : 26

Winning Trades :  25

Losing Trades    : 1

% Win Trades :
96.2

Performance Summary:


Median Trade % :
-0.22
Average Trade % :
0.38
Average Winning Trade % :
0.42

Max Winning Trade % :2.03

Max Consecutive Winners : 15

Average Losing Trade % :
-0.67

Max Losing Trade % :-0.67

Max Consecutive Losers : 1

Outlier Adjusted Profit Factor :
9.89

Profit Factor : 12.68

Payoff : 0.62

T-Test : -3.79

Drawdown and Runup Summary:


Avg Intra Drawdown % :
-0.20
Avg Intra Runup % :
0.60
Max Intra Drawdown %:
-0.67
Max Intra Runup %:
3.05

Exit Bias # %Wins Avg% Med% OAPF AWT% ALT% Payoff MLT% T-Test
Next Open 2 Close SHORT 27 48 0.07 0.02 1.10 0.37 -0.22 1.73 -0.68 -0.88
T+1 SHORT 27 63 0.15 -0.04 1.43 0.36 -0.21 1.72 -0.75 -1.57
T+2 SHORT 27 59 0.30 -0.10 2.03 0.67 -0.23 2.95 -0.82 -2.18
T+3 SHORT 27 67 0.34 -0.18 1.59 0.72 -0.44 1.65 -1.38 -2.03
T+4 SHORT 27 59 0.34 -0.16 1.13 0.91 -0.48 1.88 -1.20 -1.69
T+5 SHORT 27 59 0.37 -0.26 1.27 0.94 -0.46 2.07 -1.26 -1.86
T+10 SHORT 27 56 0.53 -0.33 1.49 1.32 -0.46 2.90 -0.99 -2.42
T+20 SHORT 27 44 0.21 0.09 0.69 2.25 -1.43 1.57 -3.70 -0.50
Over Night Gap SHORT 27 59 0.08 -0.08 1.29 0.26 -0.19 1.42 -0.49 -1.34
1st +ve Cls in 5 Days SHORT 26 27 0.20 0.15 0.71 1.40 -0.24 5.80 -0.75 -1.01
1st -ve Cls in 5 Days SHORT 26 96 0.38 -0.22 9.89 0.42 -0.67 0.62 -0.67 -3.79
Exit Bias # %Wins Avg% Med% OAPF AWT% ALT% Payoff MLT% T-Test
Next Open 2 Close LONG 6441 52 0.00 0.04 1.00 0.63 -0.68 0.94 -8.99 0.29
T+1 LONG 6441 54 0.04 0.07 1.11 0.76 -0.78 0.97 -9.84 3.02
T+2 LONG 6441 56 0.09 0.14 1.16 1.07 -1.14 0.94 -13.36 4.37
T+3 LONG 6441 57 0.13 0.23 1.20 1.27 -1.40 0.91 -13.39 5.49
T+4 LONG 6441 57 0.17 0.29 1.24 1.47 -1.58 0.93 -17.80 6.41
T+5 LONG 6441 58 0.21 0.34 1.27 1.62 -1.74 0.93 -19.79 7.23
T+10 LONG 6431 61 0.41 0.62 1.43 2.19 -2.37 0.93 -26.77 10.72
T+20 LONG 6408 64 0.82 1.28 1.65 3.18 -3.43 0.92 -29.42 15.36
Over Night Gap LONG 6441 55 0.04 0.06 1.21 0.40 -0.40 0.99 -8.32 5.15
1st +ve Cls in 5 Days LONG 6429 82 0.16 0.36 1.35 0.72 -2.31 0.31 -19.79 7.76
1st -ve Cls in 5 Days LONG 6424 30 0.06 -0.24 1.10 1.99 -0.77 2.60 -9.84 2.91

Hypothetical Monthly Returns :

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1994-------0.13----0.13
1995-------0.01----0.01
1997-------0.93----0.93
2005-------0.27----0.27
2012-------0.41----0.41
2013-------0.23----0.23
2014--------0.15-----0.15
2016-------0.75----0.75
2017-------0.47----0.47
2018-------0.19----0.19

Equity Curve:

Trades Details:

Entry Price Exit Price Max Min Days Change Change% P/L %
1994-08-2628.951994-08-2930.66-0.100.6210.020.07
1994-08-2928.941994-09-0130.56-0.920.4930.100.33
1995-08-0234.831995-08-0336.90-0.870.6710.010.03
1997-08-0662.171997-08-0765.38-0.940.6210.490.75
1997-08-0761.701997-08-0864.05-3.05-0.5911.332.03
2005-08-0390.432005-08-0495.05-0.92-0.3310.770.80
2012-08-16118.692012-08-21125.56-0.090.2230.200.16
2012-08-17118.852012-08-21125.56-0.410.0320.370.30
2012-08-21118.502012-08-23124.59-0.930.2020.970.78
2013-08-01145.852013-08-06153.70-0.360.1830.840.54
2013-08-02146.102013-08-05154.58-1.400.0110.230.15
2014-08-20173.352014-08-27184.910.000.425-1.23-0.67
2014-08-21173.852014-08-22183.93-0.380.1010.290.16
2014-08-25174.462014-08-28184.80-0.130.3130.060.03
2014-08-26174.582014-08-27184.91-0.200.1210.070.04
2016-08-01196.982016-08-02207.38-1.09-0.0511.340.64
2016-08-05198.112016-08-08209.79-0.440.3510.130.06
2016-08-08197.992016-08-10209.39-0.110.3320.400.19
2016-08-09198.112016-08-10209.39-0.440.1010.520.25
2016-08-11198.532016-08-12210.18-0.300.3910.180.09
2016-08-15198.932016-08-16209.70-0.52-0.1911.090.52
2016-08-23198.822016-08-24209.59-1.240.0711.080.51
2017-08-08229.082017-08-10239.30-0.490.0223.441.42
2018-08-06268.632018-08-10283.160.210.4841.480.52
2018-08-07269.522018-08-08285.46-0.220.1210.120.04
2018-08-21270.242018-08-22286.20-0.290.4910.060.02
2018-08-24271.34??0.410.83??

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