paststat loader
as on :Aug-23

Strategy Description:


Stocks making lower lows for 4 days in row & Stocks whose RSI (2) crossed below 10 today after being above 10 for the previous day, The RSI period used is 2 .

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 % :
0.49
Average Trade % :
0.64
Average Winning Trade % :
0.64

Max Winning Trade % :2.35

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 : 7.80

Drawdown and Runup Summary:


Avg Intra Drawdown % :
-0.61
Avg Intra Runup % :
1.07
Max Intra Drawdown %:
-3.95
Max Intra Runup %:
3.40

Exit Bias # %Wins Avg% Med% OAPF AWT% ALT% Payoff MLT% T-Test
Next Open 2 Close LONG 39 51 0.06 0.03 1.15 0.47 -0.38 1.24 -1.13 0.66
T+1 LONG 39 64 0.24 0.33 1.90 0.77 -0.69 1.11 -1.45 1.77
T+2 LONG 39 69 0.51 0.32 3.35 1.00 -0.59 1.68 -1.65 3.29
T+3 LONG 39 67 0.47 0.46 2.67 1.07 -0.72 1.48 -2.50 2.54
T+4 LONG 39 62 0.30 0.29 1.73 1.14 -1.03 1.10 -3.35 1.31
T+5 LONG 39 51 0.09 0.01 1.16 1.40 -1.28 1.09 -4.11 0.34
T+10 LONG 39 59 0.27 0.49 1.30 1.97 -2.17 0.91 -5.21 0.65
T+20 LONG 39 54 0.23 0.64 0.96 3.48 -3.57 0.98 -8.54 0.30
Over Night Gap LONG 39 64 0.18 0.22 2.17 0.53 -0.43 1.23 -0.94 2.06
1st +ve Cls in 5 Days LONG 39 100 0.64 0.49 727,878.28 0.64 0.00 727,878.28 0.01 7.80
1st -ve Cls in 5 Days LONG 39 33 0.25 -0.23 1.60 1.85 -0.55 3.38 -1.45 1.23
Exit Bias # %Wins Avg% Med% OAPF AWT% ALT% Payoff MLT% T-Test
Next Open 2 Close LONG 3890 52 0.02 0.04 1.07 0.46 -0.46 0.99 -3.56 1.89
T+1 LONG 3890 53 0.03 0.06 1.07 0.64 -0.66 0.97 -5.04 2.14
T+2 LONG 3890 54 0.06 0.09 1.11 0.88 -0.90 0.98 -5.66 3.06
T+3 LONG 3890 54 0.09 0.12 1.14 1.08 -1.07 1.01 -7.01 3.78
T+4 LONG 3890 54 0.12 0.17 1.16 1.27 -1.24 1.02 -7.95 4.38
T+5 LONG 3890 54 0.14 0.18 1.18 1.42 -1.38 1.03 -7.59 4.91
T+10 LONG 3885 55 0.28 0.29 1.27 2.00 -1.85 1.08 -10.63 7.02
T+20 LONG 3875 57 0.56 0.65 1.40 2.91 -2.58 1.13 -14.62 9.61
Over Night Gap LONG 3890 50 0.01 0.01 1.03 0.42 -0.40 1.04 -3.29 1.18
1st +ve Cls in 5 Days LONG 3888 79 0.10 0.32 1.21 0.59 -1.76 0.34 -7.59 4.93
1st -ve Cls in 5 Days LONG 3890 28 0.05 -0.27 1.07 1.80 -0.62 2.91 -5.04 2.29

Hypothetical Monthly Returns :

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2002---------0.000.15-0.15
2003--0.590.46-0.270.48-----1.80
2004----0.07------0.520.59
2005-0.16----------0.16
2006--0.02---------0.02
2007-----0.45------0.45
2008---------0.09--0.09
20091.49-----------1.49
2010---------0.33--0.33
2012-------0.160.40---0.56
20130.27-0.03-0.220.14------0.66
2015--0.31-0.45-----0.10-0.85
2016---0.51------0.51-1.02
2017--0.12---------0.12

Equity Curve:

Trades Details:

Entry Price Exit Price Max Min Days Change Change% P/L %
2002-10-1846.242002-10-2547.610.27-1.0250.010.01
2002-11-1547.392002-11-1849.021.29-0.1710.220.45
2003-03-2048.282003-03-2449.800.65-1.3820.090.18
2003-03-2147.612003-03-2449.802.060.9310.771.58
2003-04-0448.372003-04-0850.09-0.22-1.3020.290.57
2003-04-0748.262003-04-0850.090.850.1610.400.81
2003-06-1952.792003-06-2354.481.48-2.1020.120.22
2003-06-2052.592003-06-2354.480.73-0.2310.320.60
2003-07-0850.742003-07-0952.410.650.0110.170.32
2003-07-2946.892003-07-3048.821.75-1.2410.551.13
2004-05-0747.812004-05-1149.330.36-0.2620.110.22
2004-12-0252.062004-12-0354.441.810.9610.831.56
2005-02-1855.362005-02-2557.080.52-1.0740.090.15
2005-02-2255.112005-02-2356.930.78-0.0310.190.33
2006-03-0656.642006-03-0758.360.37-0.2710.040.07
2007-06-1156.622007-06-1558.390.24-1.6340.090.16
2007-06-1255.802007-06-1358.141.710.3610.681.19
2008-10-3167.112008-11-0369.290.70-0.1210.190.27
2009-01-2279.312009-01-2782.20-0.20-1.7030.540.66
2009-01-2378.682009-01-2782.201.97-3.9521.181.46
2009-01-2678.002009-01-2782.202.87-3.1011.892.35
2010-10-1479.112010-10-1981.600.76-1.5930.150.18
2010-10-1578.152010-10-1881.111.820.2810.650.81
2012-08-16100.662012-08-17104.150.920.2610.510.49
2012-09-1498.622012-09-17102.763.400.4211.221.20
2013-01-2998.322013-01-31101.550.01-0.6820.320.32
2013-01-3098.152013-01-31101.550.51-0.1710.490.49
2013-03-0896.892013-03-1199.860.91-0.0110.100.10
2013-05-1498.842013-05-15102.451.00-0.1210.680.67
2013-06-2192.142013-06-2495.271.92-0.5910.390.41
2015-03-06110.632015-03-09114.961.110.5111.050.92
2015-05-06108.442015-05-07113.162.48-1.5911.501.34
2015-11-09107.832015-11-10111.350.74-0.0510.330.30
2016-04-25117.662016-04-27121.801.47-0.5620.650.54
2016-04-26117.132016-04-27121.801.490.2911.201.00
2016-11-10114.482016-11-16118.140.26-0.8840.270.23
2016-11-11113.832016-11-16118.140.51-1.0730.930.80
2016-11-14113.152016-11-15117.081.51-0.8010.580.49
2017-03-09109.942017-03-10113.600.41-0.3010.400.35

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