paststat loader
as on :Jan-24

Strategy Description:


Stock's close has been below the open over the last 4 days & Current trading day is Friday .

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              : 45

Winning Trades :  44

Losing Trades    : 1

% Win Trades :
97.8

Performance Summary:


Median Trade % :
0.46
Average Trade % :
0.6
Average Winning Trade % :
0.66

Max Winning Trade % :2.22

Max Consecutive Winners : 36

Average Losing Trade % :
-1.74

Max Losing Trade % :-1.74

Max Consecutive Losers : 1

Outlier Adjusted Profit Factor :
10.17

Profit Factor : 11.22

Payoff : 0.38

T-Test : 6.38

Drawdown and Runup Summary:


Avg Intra Drawdown % :
-0.13
Avg Intra Runup % :
1.02
Max Intra Drawdown %:
-1.78
Max Intra Runup %:
4.60

Exit Bias # %Wins Avg% Med% OAPF AWT% ALT% Payoff MLT% T-Test
Next Open 2 Close LONG 46 61 0.19 0.16 3.02 0.45 -0.21 2.16 -0.68 3.07
T+1 LONG 46 72 0.37 0.31 3.36 0.66 -0.37 1.76 -0.94 3.90
T+2 LONG 46 70 0.60 0.53 4.41 1.06 -0.43 2.45 -0.95 4.49
T+3 LONG 46 63 0.58 0.33 3.19 1.29 -0.62 2.07 -1.72 3.09
T+4 LONG 46 59 0.72 0.38 3.48 1.69 -0.66 2.55 -2.01 3.12
T+5 LONG 46 65 0.66 0.53 2.60 1.53 -0.97 1.58 -2.09 2.84
T+10 LONG 46 65 1.03 1.19 2.61 2.29 -1.34 1.71 -2.62 3.22
T+20 LONG 45 69 1.87 1.93 3.23 3.54 -1.83 1.93 -5.30 3.33
Over Night Gap LONG 46 63 0.17 0.17 1.83 0.46 -0.31 1.48 -0.80 2.43
1st +ve Cls in 5 Days LONG 45 98 0.60 0.46 10.17 0.66 -1.74 0.38 -1.74 6.38
1st -ve Cls in 5 Days LONG 45 40 0.49 -0.11 2.39 1.82 -0.39 4.63 -1.07 2.57
Exit Bias # %Wins Avg% Med% OAPF AWT% ALT% Payoff MLT% T-Test
Next Open 2 Close LONG 4245 52 0.02 0.03 1.07 0.45 -0.45 1.00 -3.56 1.83
T+1 LONG 4245 53 0.03 0.06 1.08 0.62 -0.64 0.97 -5.04 2.27
T+2 LONG 4245 54 0.06 0.09 1.11 0.87 -0.88 0.99 -5.66 3.24
T+3 LONG 4245 54 0.09 0.11 1.14 1.06 -1.04 1.02 -7.01 4.00
T+4 LONG 4245 54 0.11 0.17 1.16 1.24 -1.21 1.02 -7.95 4.62
T+5 LONG 4245 54 0.14 0.18 1.19 1.39 -1.34 1.03 -7.59 5.20
T+10 LONG 4240 56 0.28 0.32 1.29 1.96 -1.82 1.08 -10.63 7.49
T+20 LONG 4226 58 0.57 0.68 1.43 2.86 -2.54 1.12 -14.62 10.30
Over Night Gap LONG 4245 51 0.01 0.02 1.04 0.41 -0.40 1.04 -3.29 1.41
1st +ve Cls in 5 Days LONG 4216 79 0.10 0.32 1.26 0.58 -1.73 0.33 -7.59 5.67
1st -ve Cls in 5 Days LONG 4209 27 0.04 -0.27 1.04 1.78 -0.60 2.96 -5.04 1.93

Hypothetical Monthly Returns :

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2002----------0.36-0.36
2003--0.53---------0.53
2004----0.07-------0.07
2005----------0.11-0.11
20060.01-0.140.06-0.10---0.15-0.140.60
20070.06----0.15-0.10---0.450.76
2008------0.130.33-0.09--0.55
2009-0.55--0.47-0.18-----1.20
2010-0.06---------0.470.53
2011-0.17-0.03--0.07---0.540.160.97
2012----0.74---0.40--0.061.20
2013--0.03-----0.02--0.230.28
2015--0.31-------0.19-0.50
2016-------0.45--0.580.270.360.49
2017--------0.21---0.21
20180.030.31--0.07------0.190.61
2019----0.070.00------0.07

Equity Curve:

Trades Details:

Entry Price Exit Price Max Min Days Change Change% P/L %
2002-11-2246.622002-11-2648.710.40-0.2820.521.07
2003-03-2147.422003-03-2449.802.060.9310.771.58
2004-05-0747.622004-05-1149.330.36-0.2620.110.22
2005-11-0455.282005-11-0757.340.510.2610.190.34
2006-01-2757.262006-02-0259.21-0.01-0.3040.010.02
2006-03-3155.142006-04-0357.230.55-0.1510.240.41
2006-04-0754.432006-04-1056.370.71-0.1610.110.19
2006-06-2353.782006-06-2755.760.38-0.3620.170.30
2006-10-1357.082006-10-1659.271.020.2410.260.45
2006-12-0859.552006-12-1161.820.81-0.7110.270.43
2007-01-1258.292007-01-1660.370.26-0.2510.110.18
2007-06-0157.772007-06-0459.990.500.0910.270.46
2007-08-1058.552007-08-1360.701.77-0.2110.180.29
2007-12-0763.432007-12-1166.45-0.07-1.0920.891.35
2008-07-1864.472008-07-2166.900.50-0.2210.260.39
2008-08-2266.592008-08-2569.521.340.6810.691.00
2008-10-3166.852008-11-0369.290.70-0.1210.190.27
2009-02-2774.352009-03-0278.121.650.4811.271.65
2009-05-0869.882009-05-1173.273.490.9011.031.42
2009-07-1767.602009-07-2070.251.37-0.4810.370.53
2010-02-1268.152010-02-1670.580.28-0.5110.130.19
2010-12-0374.152010-12-0677.731.430.4411.081.41
2011-02-0469.892011-02-0772.620.82-0.5110.370.52
2011-04-0871.252011-04-1173.722.10-0.2610.070.09
2011-07-0175.072011-07-0577.780.580.0610.170.22
2011-11-1193.772011-11-1498.491.680.4811.561.61
2011-12-2396.132011-12-2799.850.47-0.2310.470.47
2012-05-25101.612012-05-30107.374.60-0.3222.332.22
2012-09-1498.232012-09-17102.763.400.4211.221.20
2012-12-21102.142012-12-26105.781.11-0.8820.190.18
2013-03-0896.512013-03-1199.860.91-0.0110.100.10
2013-09-0687.902013-09-0990.910.740.0310.040.05
2013-12-2787.862013-12-3091.450.760.2710.620.69
2015-03-06110.192015-03-09114.961.110.5111.050.92
2015-11-06108.012015-11-13112.29-0.08-0.8450.640.57
2016-08-26127.832016-08-29133.921.440.6111.771.34
2016-10-07124.182016-10-14126.140.01-1.785-2.23-1.74
2016-11-11113.382016-11-16118.140.51-1.0730.930.80
2016-12-16109.052016-12-19113.941.230.2011.211.08
2017-09-22119.782017-09-25124.600.850.0010.780.63
2018-01-19117.772018-01-22121.860.93-0.4310.120.10
2018-02-02114.682018-02-05119.671.87-0.7911.120.94
2018-05-04114.842018-05-11118.950.02-0.2150.240.20
2018-12-14116.202018-12-17119.170.690.0810.690.58
2019-05-17124.392019-05-22126.250.31-0.2730.260.21
2019-06-07130.33??-0.02-1.09??

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