paststat loader
as on :Aug-23
$VNQ  90.70 -1.29 -1.40%

Strategy Description:


Stock's today's close has been below 200 -trading day's simple moving average & Stocks with today's Intraday low value that was lower than any previous 61 day intraday lows .

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              : 28

Winning Trades :  27

Losing Trades    : 1

% Win Trades :
96.4

Performance Summary:


Median Trade % :
0.65
Average Trade % :
0.78
Average Winning Trade % :
0.81

Max Winning Trade % :1.81

Max Consecutive Winners : 21

Average Losing Trade % :
-0.01

Max Losing Trade % :-0.01

Max Consecutive Losers : 1

Outlier Adjusted Profit Factor :
1554.81

Profit Factor : 1698.97

Payoff : 81.33

T-Test : 7.29

Drawdown and Runup Summary:


Avg Intra Drawdown % :
-0.70
Avg Intra Runup % :
1.47
Max Intra Drawdown %:
-3.05
Max Intra Runup %:
4.35

Exit Bias # %Wins Avg% Med% OAPF AWT% ALT% Payoff MLT% T-Test
Next Open 2 Close SHORT 28 43 0.08 0.07 0.83 1.01 -0.62 1.63 -2.08 -0.37
T+1 LONG 28 61 0.12 0.39 1.13 0.85 -0.99 0.85 -2.75 0.59
T+2 LONG 28 64 0.63 0.69 2.19 1.64 -1.20 1.37 -2.23 2.03
T+3 LONG 28 64 0.74 0.66 2.58 1.73 -1.05 1.64 -2.56 2.38
T+4 LONG 28 79 1.16 1.02 5.01 1.77 -1.08 1.64 -1.81 3.63
T+5 LONG 28 75 1.12 0.77 7.05 1.69 -0.57 2.95 -2.57 3.67
T+10 LONG 28 86 2.32 2.12 12.08 2.91 -1.22 2.38 -2.73 5.32
T+20 LONG 28 71 2.64 2.11 5.09 4.35 -1.65 2.64 -4.97 3.35
Over Night Gap LONG 28 64 0.20 0.15 2.12 0.53 -0.38 1.38 -1.07 1.93
1st +ve Cls in 5 Days LONG 28 96 0.78 0.65 1,554.81 0.81 -0.01 81.33 -0.01 7.29
1st -ve Cls in 5 Days LONG 28 29 0.07 -0.19 0.76 2.41 -0.87 2.77 -2.75 0.20
Exit Bias # %Wins Avg% Med% OAPF AWT% ALT% Payoff MLT% T-Test
Next Open 2 Close LONG 1008 53 0.02 0.06 1.03 0.58 -0.62 0.94 -4.05 0.70
T+1 LONG 1008 54 0.04 0.07 1.08 0.66 -0.70 0.95 -4.68 1.28
T+2 LONG 1008 56 0.07 0.21 1.12 0.94 -1.04 0.90 -7.30 1.75
T+3 LONG 1008 57 0.11 0.22 1.15 1.14 -1.27 0.89 -9.03 2.14
T+4 LONG 1008 57 0.14 0.31 1.17 1.34 -1.47 0.91 -9.69 2.46
T+5 LONG 1008 58 0.17 0.32 1.19 1.47 -1.62 0.91 -10.23 2.75
T+10 LONG 1008 58 0.34 0.59 1.28 2.21 -2.26 0.98 -10.05 3.91
T+20 LONG 1008 59 0.65 0.75 1.42 3.13 -2.87 1.09 -8.71 5.49
Over Night Gap LONG 1008 54 0.02 0.04 1.12 0.26 -0.26 0.97 -3.41 1.46
1st +ve Cls in 5 Days LONG 1007 81 0.07 0.36 1.13 0.62 -2.18 0.28 -10.23 1.65
1st -ve Cls in 5 Days LONG 1008 31 0.09 -0.25 1.13 1.82 -0.68 2.68 -4.68 1.92

Hypothetical Monthly Returns :

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2015---0.250.961.670.080.600.85---4.41
20160.360.74-------0.241.56-2.90

Equity Curve:

Trades Details:

Entry Price Exit Price Max Min Days Change Change% P/L %
2015-04-3066.572015-05-0171.471.45-0.0910.540.76
2015-05-0565.682015-05-0770.934.15-0.7720.941.34
2015-05-0665.562015-05-0770.934.35-0.0611.071.54
2015-06-0564.752015-06-1169.270.26-0.4040.280.40
2015-06-0964.172015-06-1068.851.70-0.1710.480.71
2015-06-1064.622015-06-1169.270.990.4210.420.61
2015-06-2563.842015-07-0268.01-0.04-1.355-0.01-0.01
2015-06-2664.292015-07-0167.840.63-1.6230.020.03
2015-06-2963.292015-07-0167.840.90-0.2921.071.61
2015-06-3063.272015-07-0167.843.28-0.4411.101.65
2015-07-0164.312015-07-0268.011.610.0810.170.25
2015-08-2463.122015-08-2767.801.99-2.7631.211.81
2015-09-0161.522015-09-0265.571.380.1410.671.03
2015-09-0461.162015-09-0865.492.690.1910.971.51
2016-01-1565.542016-01-1969.511.310.0010.370.53
2016-01-2064.122016-01-2168.021.97-0.3410.380.55
2016-02-0863.622016-02-1667.36-0.75-2.6050.250.37
2016-02-0962.452016-02-1066.342.06-1.5410.460.69
2016-02-1161.992016-02-1266.141.430.1110.751.15
2016-10-0573.312016-10-0676.511.67-1.4010.030.04
2016-10-0673.342016-10-1076.851.63-0.6320.340.45
2016-10-2771.532016-10-2874.801.10-0.1410.180.24
2016-11-0171.282016-11-0774.560.13-2.4040.200.28
2016-11-0270.242016-11-0473.280.25-0.8020.010.01
2016-11-0369.702016-11-0473.281.13-0.1810.580.79
2016-11-0470.252016-11-0774.561.790.7511.281.75
2016-11-0970.772016-11-1474.750.14-3.0530.931.26
2016-11-1069.582016-11-1173.021.84-0.1510.440.60

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