Trade Idea – When the house (a.k.a $GS) closes highers for 5 days in row

$GS closes higher for 5 days in row

$GS Stock Chart

$GS closes higher for 5 days in row, trading strategy rules

  • $GS closes higher for five days in row
  • Go Short at close (9 Sep 2013 )
  • Buy to cover next day at close  ( 10 Sep 2013)

below the backtest performance summary for the $GS closing higher for 5 days , trading strategy  during  last four years.

Short $GS , when $GS closes higher for 5 days trading strategy, Backtest Performance Summary
Total number of trades 10 Percent profitable 100%
Number of winning trades 10 Number of losing trades 0
Average profit per trade % 1.16 Median trade -1.05
Average winning trade % 1.16% Average losing trade % 0.00%
Largest winning trade % 2.72% Largest losing trade % 0.00%
Max consecutive winners 10 Max consecutive losers 0
Ratio avg win/avg loss % #DIV/0!  T-test -4.72
Profit Factor #DIV/0! Outlier Adjusted Profit Factor #DIV/0!

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Below the details of change , change% , the next trading day , for  $GS Stock Price when ever “$GS closing higher for 5 days ” since last 4 years.

Date Next Day Change Next Day Change %
09-Sep-13 ?? ??
23-Jul-13 -1.22 -0.74
08-May-13 -1.71 -1.15
25-Apr-13 -0.64 -0.44
07-Mar-13 -3.62 -2.33
14-Feb-13 -0.93 -0.6
07-Sep-12 -1.63 -1.42
03-Jul-12 -2.63 -2.72
05-Jan-11 -1.73 -1.03
05-Jan-10 -1.79 -1.07
10-Sep-09 -0.17 -0.1

beware the sample size is low , you might want to look at $GS closing higher for 4 days , trading strategy, ( which was a loss yesterday ) ,

and here is the backtest performance summary for the $GS closing higher for 4 days , trading strategy  during  last four years.

Short $GS , when $GS closes higher for 4 days trading strategy, Backtest Performance Summary
Total number of trades 47 Percent profitable 77%
Number of winning trades 36 Number of losing trades 11
Average profit per trade % 0.61 Median trade -0.74
Average winning trade % 1.20% Average losing trade % 1.32%
Largest winning trade % 4.96% Largest losing trade % 2.70%
Max consecutive winners 8 Max consecutive losers 1
Ratio avg win/avg loss % 0.91  T-test -3.02
Profit Factor 2.75 Outlier Adjusted Profit Factor 2.51

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Trade Idea – $UVXY down for five days in row

When $UVXY is down for five days in row

$UVXY down for five days in row stockchart 

$UVXY (ProShares Ultra VIX Short-Term Fut ETF ) down for five days in row trading strategy

  • $UVXY ETF closes down for five or more days in row
  • Go long  at next day’s open
  • Exit at close next trading day

Below the backtest performance summary for the “Go Long at Next Open and exit at next day close when $UVXY closes down for five days in row” trading strategy during the last four years.

Go Long at Next Open and exit at next day close when $UVXY closes down for five days in row trading strategy Backtest Performance Summary
Total number of trades 27 Percent profitable 74%
Number of winning trades 20 Number of losing trades 7
Average profit per trade % 4.97 Median trade 2.04
Average winning trade % 7.65% Average losing trade % -2.69%
Largest winning trade % 25.44% Largest losing trade % 5.61%
Max consecutive winners 6 Max consecutive losers 1
Ratio avg win/avg loss % 2.84  T-test 3.22
Profit Factor 8.1 Outlier Adjusted Profit Factor 6.19

ps: take those profit factor ( which is gross  profit in point change / gross loss in point change) with a pinch of salt plsss , as back in late 2011, $UVXY was trading at above 10000 ( for split adjusted levels) !!!, but a look at the pay-off ratio ( average win% divided by average loss%) is still at 2.84 , a trading strategy worth having a loot at.

Below the details of  change from next day’s open to next day’s close ( as on 23 July 2013 , meant for 24 July 2013 open to close in this case) change , change % for $UVXY ETF, when ever  $UVXY down for five days in row  since last 4 years.

Date Nxt Open 2 Cls Change  Nxt Open 2 Cls  Change % Date Nxt Open 2 Cls Change  Nxt Open 2 Cls  Change %
23-Jul-13 ?? ??
11-Jul-13 0.91 1.86 08-Jun-12 362 25.44
10-Jul-13 0.53 1.1 21-Mar-12 -108 -5.61
01-Jul-13 0.44 0.64 13-Mar-12 191 8.03
12-Apr-13 13.8 21.66 23-Feb-12 312.08 9.96
12-Feb-13 1.8 1.82 06-Feb-12 30 0.93
11-Feb-13 -2 -1.98 23-Jan-12 -192.12 -4.17
16-Jan-13 5 3.92 10-Jan-12 65.99 1.2
08-Jan-13 5.1 3.52 09-Jan-12 107.98 2.04
07-Jan-13 -1.5 -0.99 22-Dec-11 504.14 7.79
24-Sep-12 50.4 18.1 21-Dec-11 288.06 4.52
21-Sep-12 -15.4 -5.14 06-Dec-11 330.1 3.28
07-Sep-12 26.9 7.48 05-Dec-11 -90.01 -0.91
20-Jun-12 235 21.17 02-Dec-11 780.13 8.58

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TradeIdea : $PG gives MACD Bullish Crossover Signal

$PG gives MACD Bullish Crossover

$PG MACD Bullish Crossover Stock Chart

Procter & Gamble Co. ($PG) –  gives a MACD Bullish Crossover Signal 

  • MACD Bullish Crossover signal is calculated as below
    • MACD line crossed above the signal line today after being below the signal line yesterday. The MACD parameters used are 26 and 12 and the signal line is a 9-day EMA of the MACD line
    • paststat.com goes back exactly  250-periods for its calculations so the effects of the simple moving average , which is used to calculate EMA in the first calculation have fully dissipated.
  • Go Short at close
  • Exit at next trading day’s close

Below the backtest performance summary results when $PG gives a MACD Bullish Crossover Signal , since last 4 years

Go Short at close and buy to cover at next day close when  $PG gives MACD Bullish Crossover signal backtest performance during last 4 years
Total # of Trades 44 Percent Profitable Trades 75%
Number of Win Trades 33 Number of Loss Trades 11
Avg Profit Trade % 0.41 Median Trade % -0.38
Profit Factor 3.15 Outlier Adjusted Profit Factor 2.85
Avg Win Trade % 0.75% Avg Loss Trade % 0.63%
Max Win Trade % 2.59% Max Loss Trade % 1.65%
Max Consecutive Wins 8 Max Consecutive Losses 2
Ratio Avg Win / Avg Loss % 1.19 T-Test -3.19

Below the details of next day change , Change% of  $PG price, when  $PG gives a MACD Bullish Crossover signal , during the last 4 years

Next day Change , Change%  , when $PG gives MACD Bullish Crossove signal, during last 4 years
Date Next Day Change Next Day Change % Date Next Day Change Next Day Change %
18-Jun-13 ?? ??
24-May-13 -1.02 -1.25 23-Mar-11 0.22 0.39
14-May-13 1.21 1.52 14-Feb-11 -0.58 -0.97
02-Apr-13 -0.83 -1.06 11-Feb-11 -0.18 -0.3
10-Jan-13 -0.05 -0.07 14-Jan-11 -0.03 -0.05
21-Nov-12 1.11 1.65 10-Dec-10 -0.01 -0.02
25-Oct-12 -0.62 -0.9 08-Oct-10 0.26 0.46
18-Oct-12 -0.89 -1.3 02-Sep-10 0.2 0.36
13-Sep-12 0.25 0.37 08-Jul-10 -0.18 -0.32
07-Sep-12 -0.01 -0.01 23-Jun-10 -0.46 -0.82
06-Aug-12 0.4 0.62 08-Jun-10 -0.6 -1.06
02-Jul-12 0.17 0.29 12-May-10 -0.24 -0.42
08-Jun-12 -0.2 -0.33 21-Apr-10 -0.04 -0.07
07-Jun-12 -0.01 -0.02 23-Mar-10 -0.83 -1.43
17-May-12 -0.42 -0.68 26-Jan-10 0.1 0.18
25-Apr-12 -0.02 -0.03 19-Jan-10 -0.75 -1.36
13-Feb-12 0.24 0.39 14-Jan-10 -0.68 -1.23
30-Nov-11 -0.47 -0.76 29-Oct-09 -1.38 -2.59
29-Sep-11 -0.49 -0.81 08-Sep-09 -0.39 -0.81
16-Sep-11 -0.49 -0.81 25-Aug-09 -0.04 -0.08
15-Aug-11 -0.25 -0.43 06-Jul-09 -0.23 -0.5
05-Jul-11 0.42 0.7 01-Jul-09 -0.79 -1.72
24-Mar-11 -0.24 -0.42 29-Jun-09 -1 -2.17

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TradeIdea : $IWF crosses above 50 DMA

$IWF crosses above 50 DMA

$IWF crosses above 50 DMA Stock Chart

iShares Russell 1000 Growth Index ($IWF) –  crosses above 50-DMA  trading system rules

  • $IWF price closed above 50-DMA today , while
  • $IWF price is below 50-DMA previous day
  • Go long at close
  • Exit at next trading day’s close

Below the backtest performance summary results when $IWF crosses above 50-DMA , since last 4 years

Go Long when $IWF crosses above 50-DMA tradig system, back test report
Total # of Trades 29 Percent Profitable Trades 76%
Number of Win Trades 22 Number of Loss Trades 7
Avg Profit Trade % 0.69 Median Trade % 0.35
Profit Factor 19.41 Outlier Adjusted Profit Factor 16.73
Avg Win Trade % 0.95% Avg Loss Trade % -0.15%
Max Win Trade % 2.61% Max Loss Trade % 0.37%
Max Consecutive Wins 15 Max Consecutive Losses 2
Ratio Avg Win / Avg Loss % 6.33 T-Test 4.75

Below the details of next day change, change% of $IWF price, when  $IWF crosses above 50-DMA, during the last 4 years

$IWF next day change, change% details during last 4 years , when $IWF crosses above 50-DMA
Date next day change next day change % Date next day change next day change %
13-Jun-13 ?? ?? 30-Nov-11 0.1 0.18
06-Jun-13 1.02 1.38 10-Oct-11 0.17 0.31
19-Apr-13 0.49 0.69 30-Jun-11 0.88 1.49
31-Dec-12 1.71 2.61 26-May-11 0.21 0.35
17-Dec-12 0.73 1.11 19-Apr-11 1.05 1.8
06-Dec-12 -0.04 -0.06 13-Apr-11 0 0
29-Nov-12 -0.04 -0.06 24-Mar-11 0.19 0.33
15-Oct-12 0.74 1.12 02-Sep-10 0.63 1.35
26-Jul-12 1.23 1.97 17-Aug-10 0.07 0.15
13-Jul-12 -0.2 -0.32 22-Jul-10 0.43 0.92
29-Jun-12 0.18 0.29 14-Jul-10 0.02 0.04
19-Jun-12 -0.15 -0.24 01-Mar-10 0.15 0.31
25-Apr-12 0.44 0.68 18-Feb-10 0 0
11-Apr-12 0.91 1.43 04-Nov-09 0.89 2.02
20-Dec-11 -0.21 -0.37 13-Jul-09 0.18 0.47

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TradeIdea : VXX Aroon Oscillator turned oversold

VXX Aroon Oscillator turned oversold

VXX Aroon Oscillator turned oversold Stock Chart

iPath S&P 500 VIX Short-Term Futures ETN ( VXX ) , Aroon Oscillator turned oversold trading strategy rules

  • VXX Stock Aroon Oscillator value is less then -70.
  • While VXX Stock’s while yesterday’s Aroon Oscillator reading is above -70
  • GO short at close during the current trading session
  • Buy to cover at the close of next trading session

The period used to calculate Aroon Oscillator is 14.  Aroon Oscillator is arrived at subtracting Aroon down from Aroon up

Below the backtest performance summary for going short when “VXX Aroon Oscillator turned oversold ” trading strategy during the last four years.

Go Short when VXX Aroon Oscillator turned oversold  trading strategy backtest perfromance report
Total number of trades 57 Percent profitable 74%
Number of winning trades 42 Number of losing trades 15
Average profit per trade % 1.2 Median trade -1.52
Average winning trade % 2.66% Average losing trade % 2.88%
Largest winning trade % 6.71% Largest losing trade % 8.61%
Max consecutive winners 11 Max consecutive losers 2
Ratio avg win/avg loss % 0.92 T-Test -2.84
Profit Factor 3.85 Outlier Adjusted Profit Factor 2.96

Below the details of next day change , change % of VXX ETF Price, when VXX Stock’s Aroon Oscillator turned oversold, during last 4 years.

Next day change , change % of VXX ETF Price , when VXX Stock’s Aroon Oscillator turned oversold, during last 4 years.
Date Next day change Next day change %
06-May-13
03-Apr-13 -0.36 -1.77
12-Mar-13 -0.12 -0.57
19-Feb-13 1.81 8.61
15-Jan-13 -0.55 -2.11
12-Dec-12 0.56 1.89
26-Nov-12 0.62 2.08
17-Oct-12 -0.1 -0.3
24-Sep-12 2.72 7.93
14-Sep-12 -0.44 -1.2
17-Aug-12 0 0
09-Aug-12 -0.84 -1.81
29-Jun-12 -3.96 -6.51
18-Jun-12 -1.36 -2
25-Apr-12 -2.36 -3.51
20-Mar-12 -3.84 -4.97
09-Mar-12 -4.28 -4.58
01-Feb-12 -3.2 -3.06
17-Jan-12 -4.28 -3.43
05-Jan-12 -1.96 -1.52
22-Dec-11 3.44 2.54
15-Dec-11 -0.56 -0.36
27-Oct-11 -0.76 -0.52
30-Jun-11 -3.4 -4.02
19-May-11 0.88 0.98
27-Apr-11 -1.12 -1.2
15-Apr-11 2.32 2.11
30-Mar-11 -0.32 -0.27
11-Feb-11 -1.16 -1.03
07-Feb-11 -1.4 -1.22
26-Jan-11 -2.52 -2.08
11-Jan-11 -6.04 -4.32
03-Jan-11 -0.64 -0.44
20-Dec-10 -2.6 -1.73
03-Dec-10 -3 -1.82
22-Nov-10 7.8 4.54
03-Nov-10 -12.96 -6.71
18-Oct-10 7.2 3.21
07-Oct-10 -11.84 -4.58
05-Oct-10 -3.2 -1.22
09-Sep-10 -6.4 -2.11
31-Aug-10 -21.28 -6.06
02-Aug-10 4.8 1.41
22-Jul-10 -6.72 -1.74
14-Jun-10 -27.68 -6.09
16-Mar-10 -12.48 -3.37
22-Feb-10 7.36 1.72
19-Jan-10 -0.16 -0.04
14-Dec-09 -9.28 -1.55
20-Nov-09 -39.04 -5.92
19-Oct-09 -3.36 -0.48
17-Sep-09 15.04 1.89
13-Aug-09 25.76 2.81
06-Aug-09 -39.52 -4.07
22-Jul-09 -28.16 -2.87
11-Jun-09 -22.56 -1.92
15-May-09 -88.8 -6.65
06-May-09 19.68 1.44

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