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as on :Nov-16
$SPY  273.73 0.71 0.26%

Strategy Description:


Stocks losing by more than 1 standard devaition , period used is 50 , and standard devation is calculated on daily percentage changes for previous 50 trading days including today & Current trading day is Tuesday .

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              : 39

Winning Trades :  39

Losing Trades    : 0

% Win Trades :
100

Performance Summary:


Median Trade % :
0.68
Average Trade % :
0.8
Average Winning Trade % :
0.8

Max Winning Trade % :3.84

Max Consecutive Winners : 39

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 : 7.11

Drawdown and Runup Summary:


Avg Intra Drawdown % :
-0.55
Avg Intra Runup % :
1.16
Max Intra Drawdown %:
-2.55
Max Intra Runup %:
6.71

Exit Bias # %Wins Avg% Med% OAPF AWT% ALT% Payoff MLT% T-Test
Next Open 2 Close LONG 39 56 0.03 0.13 1.04 0.50 -0.58 0.86 -1.97 0.26
T+1 LONG 39 64 0.31 0.21 2.05 0.81 -0.59 1.37 -1.85 1.96
T+2 LONG 39 59 0.67 0.37 2.91 1.57 -0.64 2.47 -4.17 2.41
T+3 LONG 39 67 0.55 0.31 2.22 1.26 -0.88 1.44 -4.31 1.99
T+4 LONG 39 72 0.54 0.65 2.08 1.38 -1.61 0.86 -10.54 1.45
T+5 LONG 39 82 0.77 1.00 3.08 1.39 -2.07 0.67 -6.38 2.63
T+10 LONG 39 72 0.97 1.24 2.17 2.35 -2.52 0.93 -10.26 2.07
T+20 LONG 39 72 1.22 1.64 2.77 2.68 -2.49 1.08 -6.65 2.67
Over Night Gap LONG 39 67 0.28 0.14 3.25 0.53 -0.23 2.30 -0.75 2.81
1st +ve Cls in 5 Days LONG 39 100 0.80 0.68 727,878.28 0.80 0.00 727,878.28 0.01 7.11
1st -ve Cls in 5 Days LONG 39 38 0.32 -0.20 1.51 1.95 -0.70 2.79 -4.17 1.22
Exit Bias # %Wins Avg% Med% OAPF AWT% ALT% Payoff MLT% T-Test
Next Open 2 Close LONG 1627 55 0.03 0.06 1.11 0.47 -0.51 0.93 -4.17 1.61
T+1 LONG 1627 54 0.05 0.06 1.17 0.64 -0.64 1.00 -6.51 2.30
T+2 LONG 1627 57 0.10 0.14 1.24 0.88 -0.93 0.95 -7.09 3.31
T+3 LONG 1627 59 0.16 0.24 1.31 1.08 -1.18 0.91 -11.03 4.06
T+4 LONG 1627 58 0.21 0.31 1.37 1.29 -1.31 0.98 -10.54 4.76
T+5 LONG 1627 60 0.26 0.37 1.43 1.40 -1.44 0.97 -12.83 5.39
T+10 LONG 1627 63 0.51 0.61 1.71 1.93 -1.86 1.04 -16.12 8.20
T+20 LONG 1627 67 1.01 1.29 2.19 2.77 -2.60 1.06 -16.30 12.17
Over Night Gap LONG 1627 53 0.02 0.03 1.12 0.38 -0.38 0.99 -5.23 1.72
1st +ve Cls in 5 Days LONG 1627 83 0.15 0.33 1.43 0.60 -2.00 0.30 -12.83 4.47
1st -ve Cls in 5 Days LONG 1627 30 0.11 -0.19 1.24 1.77 -0.62 2.86 -6.51 3.07

Hypothetical Monthly Returns :

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2011-0.130.52----0.18-0.340.54-1.71
2012--0.230.27----0.120.31--0.94
2013-----0.23-0.12-0.49--0.83
2014----0.200.150.150.010.390.58--1.48
20150.76-0.57-0.75--1.320.63---4.04
2016-0.20--0.38---0.320.040.34-1.28
2017--0.08--0.02------0.10

Equity Curve:

Trades Details:

Entry Price Exit Price Max Min Days Change Change% P/L %
2011-02-22112.782011-02-25113.720.18-1.2330.430.38
2011-03-01112.012011-03-02112.760.68-0.4410.240.21
2011-03-15109.992011-03-21111.980.01-2.5541.501.35
2011-08-02108.362011-08-03109.440.65-1.5610.590.54
2011-10-25106.802011-10-26108.375.18-0.6811.091.02
2011-11-01105.892011-11-02108.103.690.6511.741.63
2012-03-06117.692012-03-07119.053.990.1310.820.70
2012-04-10119.222012-04-11120.732.550.5010.970.81
2012-09-25127.742012-09-27128.800.60-0.8020.480.37
2012-10-09127.822012-10-16129.600.08-0.7751.190.93
2012-10-23125.362012-10-25125.940.61-0.7320.010.01
2013-06-11146.262013-06-13147.920.79-0.9221.000.68
2013-08-27147.242013-08-28148.430.71-0.1710.530.35
2013-10-08149.912013-10-09150.700.43-0.5710.110.07
2013-10-15153.732013-10-16156.591.450.5512.161.40
2014-05-06170.872014-05-07172.660.64-0.4111.010.59
2014-06-24178.972014-06-25180.591.50-0.2910.810.45
2014-07-08180.392014-07-09182.020.540.0410.810.45
2014-08-05176.502014-08-06177.350.58-0.7610.060.03
2014-09-09183.222014-09-10184.740.44-0.2810.690.38
2014-09-23182.862014-09-24185.130.85-0.8811.440.78
2014-10-07178.482014-10-08182.421.89-0.4713.141.75
2015-01-06185.552015-01-07188.711.450.5312.321.25
2015-01-27188.262015-02-03191.070.76-2.0051.961.04
2015-03-10190.342015-03-12193.180.25-0.2821.981.03
2015-03-31192.542015-04-06194.720.27-0.9331.310.68
2015-05-05194.842015-05-08198.271.43-1.0232.551.30
2015-05-26196.522015-05-27199.281.08-0.2011.870.95
2015-08-11195.582015-08-12196.700.23-1.5910.240.12
2015-08-25175.522015-08-26183.086.710.5916.773.84
2015-09-01179.742015-09-02183.981.920.3413.431.90
2016-02-02180.262016-02-03182.160.85-1.6111.090.60
2016-05-03196.432016-05-10199.51-0.15-0.8452.191.11
2016-05-17195.182016-05-18196.120.71-0.6010.060.03
2016-09-13204.222016-09-15207.120.69-0.3421.970.96
2016-10-11205.452016-10-12206.650.42-0.2010.270.13
2016-11-01203.122016-11-07206.110.04-1.2542.071.01
2017-03-21227.312017-03-22228.880.38-0.2910.540.24
2017-06-20237.492017-06-23238.680.24-0.2530.120.05

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