when $QQQ down by more than 1% on a fri and mon

$QQQ down by more than 1% on fri & mon ?

$QQQ down by more than 1% on fri & mon ?

at the time of writing with $QQQ down by more than 1% at 138.44 , as on 12th Jun 2017 close

below trading strategy rules

1)  $QQQ posts back to back 1% or more down days

2) current trading day is monday and previous trading days is friday

below the trading odds for $QQQ longs , for the next 1/2/3/4/5/10/20 trading days , since Y2K, when $QQQ posts  2 down days of more than 1% loss ,on a friday followed by monday

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss % OAPF T-Test
t+1% 44 27 61.4 0.90 0.68 2.47 -1.58 1.56 -6.34 1.82 2.08
t+2% 44 30 68.2 1.25 1.25 2.99 -2.46 1.21 -7.09 2.53 2.40
t+3% 44 25 56.8 1.05 0.66 4.10 -2.96 1.39 -9.90 1.57 1.48
t+4% 44 26 59.1 1.10 1.11 4.44 -3.71 1.20 -10.15 1.50 1.45
t+5% 44 28 63.6 1.77 2.07 4.81 -3.56 1.35 -8.73 1.93 2.34
t+10% 44 27 61.4 2.56 2.73 6.69 -4.01 1.67 -9.93 2.30 2.65
t+20% 44 26 59.1 0.66 1.17 7.00 -8.50 0.82 -24.14 0.96 0.47
1st +’ve in 5 days 44 40 90.9 1.76 1.37 2.36 -4.26 0.55 -8.73 3.85 3.73

40/44 times  $QQQ closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 176 bps

PF: Profit Factor, and OAPF is the outlier adjusted profit factor ( which is profit factor recalculated after removing the maximum winner )

below the prior instances of $QQQ posting back to back 1% losses on a friday followed by monday since since Y2K

Date $QQQ t+1% t+2% t+3% t+4% t+5% 1st +’ve cls in 5 days% # days to 1st +’ve cls in 5 days
12-Jun-17 ~138.44 ?? ?? ?? ?? ?? ?? ??
27-Jun-16 101.45 2.19 4.00 5.20 5.73 5.09 2.19 1
8-Feb-16 95.36 -0.31 0.07 -0.07 1.45 3.74 0.07 2
24-Aug-15 96.64 -0.38 4.64 7.29 7.27 5.94 4.64 2
15-Dec-14 98.91 -1.60 0.19 2.60 3.05 3.31 0.19 2
13-Oct-14 90.49 0.01 -0.63 -1.26 0.04 1.54 0.01 1
23-Jul-12 59.86 -0.79 -1.45 -0.14 2.22 2.14 2.22 4
16-Apr-12 61.59 2.03 1.77 0.63 0.35 -0.57 2.03 1
3-Oct-11 47.86 2.05 4.67 6.43 5.73 9.39 2.05 1
16-May-11 53.50 0.28 1.12 1.41 0.64 -0.84 0.28 1
7-Jun-10 40.87 -0.18 -1.02 1.81 2.78 2.76 1.81 3
17-Aug-09 35.39 1.43 2.13 3.33 4.70 4.60 1.43 1
30-Mar-09 27.61 0.86 2.36 5.66 7.62 7.35 0.86 1
12-Jan-09 27.07 0.03 -3.01 -1.42 -0.34 -5.28 0.03 1
17-Nov-08 25.98 -0.11 -5.32 -9.90 -5.99 -0.25 -0.25 5
27-Oct-08 26.27 11.05 10.77 14.46 14.64 14.40 11.05 1
6-Oct-08 31.92 -6.34 -7.09 -9.58 -10.15 0.77 0.77 5
29-Sep-08 34.63 2.88 1.80 -2.83 -4.34 -7.83 2.88 1
4-Aug-08 40.66 3.38 4.95 4.14 6.50 7.47 3.38 1
17-Mar-08 37.90 4.46 1.88 3.96 7.56 8.16 4.46 1
17-Dec-07 45.40 0.32 0.30 2.35 4.37 5.16 0.32 1
12-Nov-07 44.48 4.12 2.79 2.24 3.18 1.99 4.12 1
22-Mar-04 30.76 -0.82 0.32 3.00 2.65 4.31 0.32 2
17-Nov-03 31.08 -2.31 -1.36 -2.31 -1.30 1.44 1.44 5
9-Jun-03 26.65 1.51 2.66 3.09 0.77 3.87 1.51 1
31-Mar-03 22.63 0.79 3.56 4.87 3.17 3.33 0.79 1
27-Jan-03 21.98 1.02 2.53 -0.12 -0.37 -0.16 1.02 1
11-Nov-02 21.79 2.55 3.78 7.36 8.76 7.16 2.55 1
30-Sep-02 18.57 6.08 2.56 0.10 -1.79 -2.70 6.08 1
5-Aug-02 19.22 4.94 6.34 9.93 8.82 9.14 4.94 1
22-Jul-02 20.97 -4.27 0.94 -4.91 -3.12 1.84 0.94 2
3-Jun-02 25.97 1.31 2.35 -0.35 -2.35 -2.52 1.31 1
6-May-02 25.96 -0.93 9.67 6.83 2.04 6.18 9.67 2
14-Jan-02 35.81 0.95 -2.95 -0.78 -3.43 -6.41 0.95 1
10-Dec-01 36.75 0.56 1.37 -3.02 -2.17 -0.49 0.56 1
29-Oct-01 30.51 -1.94 -0.41 3.82 4.58 7.99 3.82 3
6-Aug-01 38.09 -0.52 -4.71 -4.31 -5.22 -3.29 -3.29 5
23-Jul-01 36.40 -1.13 -0.27 1.21 3.30 2.68 1.21 3
16-Jul-01 37.96 2.24 -1.65 0.68 -1.65 -4.11 2.24 1
11-Jun-01 41.27 -0.54 -3.26 -8.25 -7.49 -8.73 -8.73 5
12-Mar-01 37.91 5.08 3.43 -0.35 -2.60 2.27 5.08 1
2-Oct-00 77.75 -3.17 -1.30 -1.01 -4.32 -4.76 -4.76 5
18-Sep-00 80.55 3.69 5.29 -2.36 3.41 0.66 3.69 1
11-Sep-00 83.18 -1.55 0.74 0.20 -1.62 -3.16 0.74 2
24-Jul-00 85.14 0.79 0.66 -3.29 -8.55 -5.86 0.79 1
  • 32/33 times  $QQQ closed higher than the current trading day’s close , at-least once in the next five trading days at close , with an average of 231 , since 2002 
  • highlighted in red were those 4 losses when $QQQ failed to close higher in the next five days

—–

you might want to consider subscribing to our daily quant rants email  !!

check out the new a product tickalert from paststat

RSI Indicator with Martingale Position Sizing

The following article is a guest post from Jared Broad, CEO and Founder of QuantConnect. QuantConnect is an online browser-based back-testing platform for C# that allows you to test custom strategies over 15 years of historical intraday data. This article will be part of a new bi-monthly post by Jared with strategy examples for algorithmic trading.

Martingale is a bet sizing technique for increasing odds of winning at the expense of increased risk. The classic example is a coin flipping game where the gambler doubles his bet if he loses, in the hopes of making back any losses to break even. He will continue doubling his bet through subsequent losses until the bet breaks even. Once he returns to whole he continues betting with a unit bet. In theory with infinite capital and exactly 50-50 probability martingale can ensure the gambler will always return a profit.

Martingale portfolios typically display near perfect equity curves with dramatic, short term drawdowns.
Martingale portfolios typically display near perfect equity curves with dramatic, short term drawdowns.

Martingale position sizing is sometimes used in trading strategies without knowing its true risks. When implemented in reality traders have limited leverage, and the market win-loss probability fluctuates as losses can when the market is range-bound. It is a certainty that with a sufficient sample size eventually catastrophic loss does occur, it’s just a matter of when.

To demonstrate this we built a martingale position management algorithm, and backtest it on 15 years of data in QuantConnect to highlight the crashes.

To decide entry points we chose a the popular Relative Strength Index (RSI) indicator and shorted when it was over 70, signalling it was overbought. Conversely we entered the market long when it was less than 30, signalling oversold. Our entry and exit conditions were fairly arbitrary because we wanted to explore martingale position sizing more than RSI.

Once the algorithm was vested we monitor for a minimum profit gain, and on achieving the minimum profit-gain we exit the strategy locking in the profit.

In the event the algorithm reaches our maximum loss, we record the trade loss and double-invert the position as per martingale rules. The trade’s loss is now attached to a “loss-chain” parameter which serves as memory of this doubling-sequence. The minimum profit gain must also recoup the loss-chain before resetting to start again.

Our backtest result shows our implementation beating the absolute return of the SPY over a 15 year period, but it has greater volatility resulting in a lower Sharpe Ratio (0.4 vs 1.1 S&P). Interestingly it demonstrates the characteristic crashes of a martingale strategy, but since we have fixed leverage the crashes never rebound to form the perfect straight line.

There are many areas for experimentation to improve the strategy performance, such as using more intelligent entry and exit techniques, anti-martingale position sizing and adjusting our entry and loss targets based on market volatility. But I’ll leave that for you to explore!

Originally posted by Jared Broad on QuantConnect.

Trade Ideas on 11-Nov-2013 , $NTAP, $PENN

Trade Ideas on 11-Nov-2013 , $NTAP, $PENN

Trade Ideas 11-Nov -2013

operating the Quant-Ideas pro database , with the below query

price > 5 & trade sample size over past 4 years > 25, & the average monthly volume > 2 mil & the %age winners > 67% , & the outlier profit factor >  2.5 & pay off ratio > 1 & the historical average profit of > 1%

we found the following two trades , assuming one has entered at market on close on 11  Nov-2013 and exiting on 12 Nov -2013

1) Short $PENN ( Penn National Gaming Inc ), moves by more than 3% from open to close 

below the trading odds for long at close when $PENN lost more than 3% during the current session and exit the next day at close since last 4 years

  • Total # of Trades : 34
  • Percent Profitable Trades : 74%
  • Number of Win Trades : 25
  • Number of Loss Trades : 9
  • Avg Profit Trade % : 1.30
  • Median Trade % : 1.12
  • Avg Win Trade % : 2.18%
  • Avg Loss Trade % : -1.13%
  • Max Win Trade % : 5.00%
  • Max Loss Trade % : 3.37%
  • Max Consecutive Wins: 9
  • Max Consecutive Losses: 2
  • Ratio Avg Win / Avg Loss % :1.93
  • Profit Factor :5.67
  • Outlier Adjusted Profit Factor :4.98

2) Long $NTAP (NetApp Inc) when forms a long legged doji candle stick 

below the trading odds for Go Long at next open $NTAP whenever , it forms a long legged doji candle stick pattern  and exit at next close , since last 4 years.

  • Total # of Trades : 31
  • Percent Profitable Trades :81%
  • Number of Win Trades :25
  • Number of Loss Trades :6
  • Avg Profit Trade % :1.00
  • Median Trade % :0.88%
  • Avg Win Trade % :1.48%
  • Avg Loss Trade % :-1.01%
  • Max Win Trade % :5.08%
  • Max Loss Trade % :2.46%
  • Max Consecutive Wins :15
  • Max Consecutive Losses: 1
  • Ratio Avg Win / Avg Loss % :1.47
  • Profit Factor: 5.57
  • Outlier Adjusted Profit Factor: 4.82

check out Quant-Ideas  to aid the short term trader to find high probability winning trades

have you bought the Anatomy of $SPY on First Trading Day of the Month  on Amazon yet ??

Trade Ideas at close on 7-Nov-2013 , $EWZ, $TSLA, $NLY

Trade Ideas at close on 7-Nov-2013 , $EWZ, $TSLA, $NLY

Trade Ideas 7-Nov -2013

operating the Quant-Ideas pro database , with the below query

price > 5 & trade sample size over past 4 years > 16, & the average monthly volume > 10 mil & the %age winners > 70% , & the outlier profit factor >  3 ,& pay off ratio > 1.5  & the historical average profit of > 1%

we found the following three trades , assuming one has entered at market on close on 7 Nov-2013 and exiting on 8 Nov -2013

1) Short $EWZ ( iShares MSCI Brazil Index), RSI (14) crosses below 30 

below the trading odds for short at close when $EWZ RSI (14) Crosses below 30 and buy to cover the next day at close, since last 4 years

  • Total # of Trades : 19
  • Percent Profitable Trades : 74%
  • Number of Win Trades : 14
  • Number of Loss Trades : 5
  • Avg Profit Trade % : 1.31
  • Median Trade % : -0.28
  • Avg Win Trade % : 2.22%
  • Avg Loss Trade % : 1.23%
  • Max Win Trade % : 6.78%
  • Max Loss Trade % : 1.7%
  • Max Consecutive Wins: 5
  • Max Consecutive Losses: 1
  • Ratio Avg Win / Avg Loss % :1.8
  • Profit Factor :5.14
  • Outlier Adjusted Profit Factor :3.9

2) Long $NLY (Annaly Capital Management Inc) lost more than 3% , 

below the trading odds for long at close when $NLY lost more than 3% during the current session and exit at next close , since last 4 years.

  • Total # of Trades : 19
  • Percent Profitable Trades :74%
  • Number of Win Trades :14
  • Number of Loss Trades :5
  • Avg Profit Trade % :1.33
  • Median Trade % :0.53%
  • Avg Win Trade % :2.13%
  • Avg Loss Trade % :-0.91%
  • Max Win Trade % :9.29%
  • Max Loss Trade % :2.65%
  • Max Consecutive Wins :7
  • Max Consecutive Losses: 2
  • Ratio Avg Win / Avg Loss % :2.34
  • Profit Factor: 5.88
  • Outlier Adjusted Profit Factor: 3.91

3) Long $TSLA (Tesla Motors Inc ) lost more than 15% , during last 10 trading days ( or ROC(10) <-15% ) 

Below the trading odds for the $TSLA longs over the next 1/2/3/4/5 trading days period when ever $TSLA lost more than 15% over two weeks ( ten trading days)

Exit # Wins % Wins Avg% Med% Avg Win % Avg Loss % Pay Off Max Loss %
t+1 20 15 75 2.17 0.67 3.52 -1.88 1.87 -4.27
t+2 20 15 75 4.08 3.96 6.12 -2.06 2.97 -4.81
t+3 20 15 75 5.13 5.31 7.40 -1.68 4.4 -4.57
t+4 20 18 90 5.88 4.3 6.59 -0.56 11.77 -0.82
t+5 20 19 95 6.54 4.9 6.90 -0.36 19.17 -0.36

check out Quant-Ideas  to aid the short term trader to find high probability winning trades

have you bought the Anatomy of $SPY on First Trading Day of the Month  on Amazon yet ??

Trade Ideas at close on 6-Nov-2013 $MDR, $UVXY

Trade Ideas at close on 6-Nov-2013 , $MDR, $UVXY

Quant Ideas - 6 - Nov -2013

operating the Quant-Ideas pro database , with the below query

price > 5 & trade sample size over past 4 years > 25 , & the average monthly volume > 2mil & the %age winners > 70% , & the profit factor >  2 , & the historical average profit of > 1%

we found the following two trades , assuming one has entered at market on close on 6 Nov-2013 and exiting on 7 Nov -2013

1) $MDR ( McDermott International Inc) up for four days in row 

below the trading odds for short at close when $MDR is up for 4 days in row and buy to cover the next day at close, since last 4 years

  • Total # of Trades : 47
  • Percent Profitable Trades : 70%
  • Number of Win Trades : 33
  • Number of Loss Trades : 14
  • Avg Profit Trade % : 0.97
  • Median Trade % : -0.86
  • Avg Win Trade % : 2.13%
  • Avg Loss Trade % : 1.75%
  • Max Win Trade % : 13.06%
  • Max Loss Trade % : 5.21%
  • Max Consecutive Wins: 9
  • Max Consecutive Losses: 3
  • Ratio Avg Win / Avg Loss % :1.22
  • Profit Factor :3.01
  • Outlier Adjusted Profit Factor :2.55

2) $UVXY (ProShares Ultra VIX Short-Term Fut ETF) down for 5 days in row

below the trading odds for long at close when $UVXY is down for 5 days in row and exit at next close , since last 4 years.

  • Total # of Trades : 29
  • Percent Profitable Trades :72%
  • Number of Win Trades :21
  • Number of Loss Trades :8
  • Avg Profit Trade % :4.19
  • Median Trade % :2.08
  • Avg Win Trade % :6.62%
  • Avg Loss Trade % :-2.19%
  • Max Win Trade % :23.41%
  • Max Loss Trade % :5.24%
  • Max Consecutive Wins :9
  • Max Consecutive Losses: 2
  • Ratio Avg Win / Avg Loss % :3.02
  • T-Test :3.21
  • Profit Factor: 5.78
  • Outlier Adjusted Profit Factor: 4.13

check out Quant-Ideas  to aid the short term trader to find high probability winning trades

have you bought the Anatomy of $SPY on First Trading Day of the Month  on Amazon yet ??

Trade Idea : $GDX forms a bullish engulfing candlestick

Trade Idea : $GDX forms a bullish engulfing candlestick

$GDX  Bullish Engulfing Candlestick Stock Chart

$GDX forms a Bullish Engulfing Candlestick Trading strategy rule

  • $GDX (Market Vectors Gold Miners ETF) closes forms a Bullish Engulfing Candlestick pattern 
  • Go Short at Next Open ( 16 Oct 2013 Open )
  • Buy to cover at close (16 Oct 2013 Close)

below the backtest performance summary for the ” $GDX forms a Bullish Engulfing Candlestick    during  last four years with entry at next open and exit at next close

$GDX forms a Bullish Engulfing Candlestick  ,Backtest Performance Summary, Short at Next Open and Exit at Next Close
Total number of trades 24 Percent profitable 75%
Number of winning trades 18 Number of losing trades 6
Average profit per trade % 1.02 Median trade -0.83
Average winning trade % 1.46% Average losing trade % 0.29%
Largest winning trade % 3.50% Largest losing trade % 0.81%
Max consecutive winners 13 Max consecutive losers 2
Ratio avg win/avg loss % 5.03  T-test -4.4
Profit Factor 18.4 Outlier Adjusted Profit Factor 15.87

ps: you can use the backtest tool to test your trading strategy with single click 

Below the details of  , Change, Change% , from Next Open to Next Close  when ever $GDX forms a Bullish Engulfing Candlestick

Date Change from Next Open to Next Close Change % from Next Open to Next Close Date Change from Next Open to Next Close Change % from Next Open to Next Close
15-Oct-13 ?? ?? 02-Apr-12 -1.7 -3.4
20-May-13 0.08 0.29 16-Feb-12 -1.14 -2.08
30-Apr-13 0.19 0.64 25-Jan-12 -0.3 -0.54
06-Mar-13 -0.62 -1.65 06-Dec-11 -0.11 -0.19
04-Feb-13 -0.33 -0.77 11-Mar-11 0 0
22-Jan-13 -1.06 -2.32 30-Jul-10 -0.86 -1.79
21-Nov-12 0.39 0.81 20-Jul-10 -0.81 -1.69
25-Jun-12 -0.31 -0.7 07-Jul-10 -0.83 -1.69
23-May-12 -0.12 -0.27 07-Jun-10 0.01 0.02
09-May-12 -0.46 -1.07 25-May-10 -1.04 -2.12
12-Apr-12 -0.42 -0.89 05-Feb-10 -1.45 -3.5
10-Apr-12 -0.66 -1.41 03-Nov-09 -0.11 -0.24

#FYI , we write these “trade ideas”  blog posts , by filtering the trades by profit factor, %wins , avg profit % etc by using Quant-Ideas 

you might want to consider subscribing to our daily quant rants email  !!

Trade Idea : $XHB down for 5 or more days in row

Trade Idea : $XHB down for 5 or more days in row

$XHB Stock Chart

 $XHB closed down for 5 or more days in row   trading strategy rules

  • $XHB (SPDR S&P Home builders ETF) closes down for five days in row 
  • Go Long at close ( 9 Oct 2013 )
  • Exit after 5 trading days at close  (16 Oct 2013)

below the backtest performance summary for the  $XHB  closed down for 5 or more days in row     during  last four years with exit period set to 5 trading days later

$XHB  closed down for 5 or more days in row  , exit after five trading days , Backtest Performance Summary
Total number of trades 17 Percent profitable 71%
Number of winning trades 12 Number of losing trades 5
Average profit per trade % 3.1 Median trade 2.58
Average winning trade % 5.99% Average losing trade % -3.84%
Largest winning trade % 13.85% Largest losing trade % 10.55%
Max consecutive winners 7 Max consecutive losers 1
Ratio avg win/avg loss % 1.56  T-test 2.06
Profit Factor 3.67 Outlier Adjusted Profit Factor 3.08

ps: you can use the backtest tool to test your trading strategy with single click 

Below the details of  change% , over the next 1/2/3/4/5/ trading days , when ever $XHB  closed down for 5 or more days in row

Date Adj Close t+1 t+2 t+3 t+4 t+5
09-Oct-13 29.1
21-Feb-13 27.52 1.27 -2.25 0.65 2.83 2.58
12-Nov-12 25.15 0.04 -2.66 -3.7 -1.59 0.4
12-Oct-12 24.49 2.25 3.1 5.1 6.29 6.04
25-Nov-11 14.71 3.67 5.1 10.61 11.15 12.24
23-Nov-11 14.82 -0.74 2.9 4.32 9.78 10.32
22-Nov-11 15.3 -3.14 -3.86 -0.33 1.05 6.34
22-Aug-11 12.92 2.4 5.19 5.42 8.67 13.85
28-Jul-11 16.4 0.37 -0.85 -5.18 -5 -10.55
08-Jun-11 16.83 1.19 -0.71 -0.18 2.32 0
07-Jun-11 17.1 -1.58 -0.41 -2.28 -1.75 0.7
18-Nov-10 14.98 0.07 0.33 -1 1.47 0.27
16-Aug-10 13.56 2.73 4.94 1.99 1.7 -0.44
06-Jul-10 13.34 4.57 4.72 7.2 5.62 9.75
02-Jul-10 13.47 -0.97 3.56 3.71 6.16 4.6
22-Jun-10 14.64 1.16 -0.82 -0.55 -0.75 -4.85
20-May-10 15.94 0.75 -0.25 0.56 0.94 4.83
19-May-10 16.65 -4.26 -3.54 -4.5 -3.72 -3.36

16/17 times ( 94%) $XHB closed higher at some point of the time in the next 5 trading days ,when ever $XHB is down for 5 days in row ( highlighted in red is the only instance when $XHB didn’t close higher from the entry point . ( when it lost -3.36% at the end of the 5th trading day.

#FYI , we write these “trade ideas”  blog posts , by filtering the trades by profit factor, %wins , avg profit % etc by using Quant-Ideas 

you might want to consider subscribing to our daily quant rants email  !!

Trade Idea – When $NLY looses by 2% in a day

$NLY looses by 2% in a day

$NLY Stock Chart

This is a symmetrical trading strategy ( which any professional trader would love to have in their ammo)

A symmetrical trading system is what a professional trader love to trade. In layman’s terms, this means that simply reversing the rules for buying and selling creates a profitable result on both longs and shorts. This type of pattern carries great value to the professional trader. The value derives from the fact that symmetry can indicate a cause and effect relationship between a statistical phenomenon and its outcome.

below the backtest performance summary for the $NLY Looses more than 2% in a day   during  last four years.

Long when $NLY looses more than 2% in a day trading strategy, Backtest Performance Summary
Total number of trades 57 Percent profitable 68%
Number of winning trades 39 Number of losing trades 18
Average profit per trade % 0.83 Median trade 0.66
Average winning trade % 1.70% Average losing trade % -1.06%
Largest winning trade % 9.34% Largest losing trade % 3.42%
Max consecutive winners 16 Max consecutive losers 3
Ratio avg win/avg loss % 1.6  T-test 3.21
Profit Factor 3.18 Outlier Adjusted Profit Factor 2.71

ps: you can use the backtest tool to test your trading strategy with single click 

and below the backtest perfromance summary of the opposite to that of the above trading strategy, that is  $NLY gains more than 2% in a day   during  last four years.

Short when $NLY gains more than 2% in a day trading strategy, Backtest Performance Summary
Total number of trades 47 Percent profitable 68%
Number of winning trades 32 Number of losing trades 15
Average profit per trade % 0.72 Median trade -0.67
Average winning trade % 1.33% Average losing trade % 0.59%
Largest winning trade % 3.71% Largest losing trade % 2.27%
Max consecutive winners 7 Max consecutive losers 2
Ratio avg win/avg loss % 2.25  T-test -3.95
Profit Factor 4.79 Outlier Adjusted Profit Factor 4.35

ps: you might want check out the Long $UVXY at next open after 5 consecutive down days , that triggered today 

#FYI , we write these “trade ideas”  blog posts , by filtering the trades by profit factor, %wins , avg profit % etc by using Quant-Ideas , (you too might to try , starting from $ 34.95 per month) and there is a Discount coupon ,in celebrations with new all time high “NEWHIGH” ( expires by the 22 Sep 2013 , Sunday midnight)

Trade Idea – $XME closes above prev high for 3 days in row

$XME closes above prev high for 3 days in row

$XME (SPDR S&P Metals & Mining ETF) stock chart

$XME  closes above previous day’s high for three days in row  trading strategy rules

  • $XME  (SPDR S&P Metals & Mining ETF) closes above previous day’s high for three days in row
  • Go Short at next open ( 27 Aug 2013 open)
  • Exit at next day at close  ( 27 Aug 2013)

below the backtest performance summary for the $XME  closes above previous day’s high for three days in row  trading strategy  during  last four years.

$XME  closes above previous day’s high for three days in row  trading strategy, Backtest Performance Summary
Total number of trades 28 Percent profitable 68%
Number of winning trades 19 Number of losing trades 9
Average profit per trade % 0.89 Median trade -0.57
Average winning trade % 1.57% Average losing trade % 0.55%
Largest winning trade % 4.47% Largest losing trade % 1.59%
Max consecutive winners 5 Max consecutive losers 1
Ratio avg win/avg loss % 2.85  T-test -3.2
Profit Factor 5.92 Outlier Adjusted Profit Factor 4.93

ps: you can use the backtest tool to test your trading strategy with single click 

Below the details of change , change% , the next trading day , for  $XLP ETF Stock Price when ever “$XME  closes above previous day’s high for three days in row  trading strategy” since last 4 years.

Date Change frm Next Open to Next Close Change %frm Next Open to Next Close Date Change frm Next Open to Next Close Change %frm Next Open to Next Close
26-Aug-13 ?? ?? 06-Dec-10 -2.34 -3.56
12-Aug-13 -0.86 -2.28 03-Dec-10 0.73 1.14
11-Jul-13 -0.4 -1.15 22-Nov-10 -0.2 -0.34
18-Oct-12 -0.94 -2.04 08-Nov-10 -2.71 -4.47
29-Jun-12 0.09 0.22 03-Sep-10 0.25 0.51
26-Apr-12 -0.28 -0.59 26-Jul-10 -1.81 -3.62
04-Nov-11 0 0 09-Jul-10 -0.97 -2.07
12-Oct-11 0.2 0.41 14-Jun-10 0.79 1.59
30-Aug-11 -0.59 -1.02 06-Apr-10 -0.47 -0.81
30-Jun-11 0.55 0.82 02-Mar-10 -0.28 -0.53
31-May-11 -2.02 -2.91 06-Jan-10 -0.16 -0.29
21-Apr-11 -0.48 -0.67 24-Dec-09 -0.97 -1.86
24-Mar-11 -0.02 -0.03 23-Dec-09 0.14 0.27
30-Dec-10 -0.36 -0.54 08-Sep-09 -0.42 -0.98

#FYI , we write trade ideas by filtering the trades by profit factor, %wins , avg profit % etc by using Quant-Ideas