Strategy - AtrSPXL


ATR with SPXL

Description

This strategy looks for advancing price formations that have shown decent results in the past. The strategy is not using any stops, this is up to the practitioner themselves.

This uses SPXL for all trades.

Trading happens on the next Open from the signal day.

Details

Metrics

Metric Measure
AccountName default
NoOfTrades 157.00
NoOfWins 94.00
NoOfLosses 63.00
SharpRatio 0.77
SortinoRatio 0.96
GrossProfit $83739.76
FirstDate 2009-04-15
LastDate 2022-04-18
FirstEquity $10000.00
FinalEquity $93739.76
OpenEquity $0.00
LongEquity $83739.76
ShortEquity $0.00
PercentWins 59.87%
AveWin $1987.32
AveLoss $-1636.01
AveWinLoss 1.21
Expectancy 1.86%
AveDrawUp 45.48%
AveDrawDown -14.54%
MaxDrawDown -27.12%
Kelly 26.84%
Thrope 55.59
APR 18.77%
CalmarRatio 1.29

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
SPXL 2009-04-15 2009-04-16 $1.76 $1.90 Long 4403.0 7.55% 10586.10 10586.10
SPXL 2009-04-21 2009-05-06 $1.69 $2.29 Long 4583.0 35.79% 13354.34 13354.34
SPXL 2009-05-15 2009-05-28 $2.09 $2.16 Long 5295.0 3.59% 13751.03 13751.03
SPXL 2009-05-29 2009-06-02 $2.22 $2.45 Long 5152.0 10.23% 14922.75 14922.75
SPXL 2009-06-03 2009-06-08 $2.42 $2.40 Long 4930.0 -1.02% 14800.73 14800.73
SPXL 2009-06-09 2009-06-23 $2.46 $2.10 Long 4999.0 -14.80% 3049.95 12931.34
SPXL 2009-06-23 2009-06-24 $2.10 $2.14 Long 4733.0 1.82% 13160.10 13160.10
SPXL 2009-07-20 2009-07-22 $2.46 $2.47 Long 4423.0 0.33% 13195.74 13195.74
SPXL 2009-08-12 2009-08-18 $2.86 $2.76 Long 3629.0 -3.62% 12820.57 12820.57
SPXL 2009-08-19 2009-08-20 $2.73 $2.89 Long 3768.0 5.77% 13415.00 13415.00
SPXL 2009-08-21 2009-09-02 $3.04 $2.84 Long 3758.0 -6.44% 12680.87 12680.87
SPXL 2009-09-04 2009-09-21 $2.94 $3.48 Long 3543.0 18.57% 14612.16 14612.16
SPXL 2009-09-24 2009-09-25 $3.52 $3.35 Long 3266.0 -4.96% 14040.89 14040.89
SPXL 2009-09-28 2009-09-29 $3.36 $3.52 Long 3395.0 4.68% 14575.34 14575.34
SPXL 2009-09-30 2009-10-02 $3.51 $3.08 Long 3355.0 -12.18% 13139.85 13139.85
SPXL 2009-10-05 2009-10-06 $3.17 $3.34 Long 3451.0 5.28% 13717.94 13717.94
SPXL 2009-10-15 2009-10-26 $3.74 $3.65 Long 2974.0 -2.29% 13463.84 13463.84
SPXL 2009-11-17 2010-01-19 $3.88 $4.24 Long 2851.0 9.24% 14486.73 14486.73
SPXL 2010-02-23 2010-03-24 $3.91 $4.65 Long 2938.0 18.80% 16648.55 16648.55
SPXL 2010-03-30 2010-04-20 $4.70 $5.09 Long 2887.0 8.25% 17769.70 17769.70
SPXL 2010-04-21 2010-04-30 $5.14 $5.15 Long 2826.0 0.02% 17771.91 17771.91
SPXL 2010-06-18 2010-06-25 $3.95 $3.51 Long 3635.0 -11.21% 3544.67 16241.35
SPXL 2010-06-25 2010-07-01 $3.51 $3.07 Long 3597.0 -12.51% 14583.91 14583.91
SPXL 2010-07-27 2010-08-13 $3.91 $3.48 Long 3155.0 -11.08% 2218.58 13214.06
SPXL 2010-08-13 2010-08-19 $3.48 $3.58 Long 3162.0 2.88% 13533.16 13533.16
SPXL 2010-09-10 2010-09-17 $3.74 $4.01 Long 2884.0 7.02% 14291.24 14291.24
SPXL 2010-09-27 2010-10-06 $4.20 $4.33 Long 2837.0 3.12% 14662.62 14662.62
SPXL 2010-10-07 2010-10-22 $4.38 $4.57 Long 2742.0 4.35% 15184.91 15184.91
SPXL 2010-10-26 2010-11-05 $4.56 $5.07 Long 2633.0 11.20% 16530.58 16530.58
SPXL 2010-11-08 2010-11-29 $5.07 $4.64 Long 2639.0 -8.59% 15380.43 15380.43
SPXL 2010-12-08 2011-01-06 $5.17 $5.84 Long 2353.0 13.05% 16966.64 16966.64
SPXL 2011-01-12 2011-01-21 $5.93 $5.98 Long 2361.0 0.85% 17085.09 17085.09
SPXL 2011-01-28 2011-02-25 $6.19 $6.34 Long 2261.0 2.50% 17434.23 17434.23
SPXL 2011-04-01 2011-05-09 $6.69 $6.79 Long 2149.0 1.43% 17639.74 17639.74
SPXL 2011-05-11 2011-05-16 $7.03 $6.69 Long 2058.0 -4.84% 16939.62 16939.62
SPXL 2011-07-01 2011-07-08 $6.48 $6.74 Long 2161.0 4.12% 17515.56 17515.56
SPXL 2011-07-13 2011-07-14 $6.46 $6.48 Long 2215.0 0.24% 17550.28 17550.28
SPXL 2011-07-18 2011-07-20 $6.32 $6.59 Long 2223.0 4.27% 18149.71 18149.71
SPXL 2011-07-21 2011-07-22 $6.64 $6.78 Long 2231.0 2.22% 18478.48 18478.48
SPXL 2011-07-25 2011-07-29 $6.61 $5.94 Long 2206.0 -10.14% 17000.02 17000.02
SPXL 2011-09-02 2011-09-23 $4.25 $3.58 Long 2933.0 -15.63% 15052.70 15052.70
SPXL 2011-10-17 2011-10-19 $4.52 $4.54 Long 2704.0 0.57% 15122.65 15122.65
SPXL 2011-11-03 2011-11-18 $4.85 $4.46 Long 2632.0 -8.14% 14082.83 14082.83
SPXL 2011-12-09 2011-12-12 $4.61 $4.65 Long 2390.0 0.90% 14182.13 14182.13
SPXL 2011-12-16 2012-01-31 $4.42 $5.57 Long 2602.0 26.10% 17182.39 17182.39
SPXL 2012-02-07 2012-03-09 $5.88 $6.25 Long 2384.0 6.27% 18060.70 18060.70
SPXL 2012-03-13 2012-03-26 $6.38 $6.76 Long 2326.0 5.96% 18944.98 18944.98
SPXL 2012-03-28 2012-03-30 $6.82 $6.80 Long 2218.0 -0.22% 18911.94 18911.94
SPXL 2012-04-02 2012-04-03 $6.76 $6.89 Long 2251.0 1.97% 19211.90 19211.90
SPXL 2012-05-03 2012-05-10 $6.68 $6.15 Long 2356.0 -7.90% 17969.02 17969.02
SPXL 2012-06-18 2012-07-27 $5.66 $6.04 Long 2578.0 6.63% 18936.98 18936.98
SPXL 2012-07-31 2012-08-27 $6.25 $6.70 Long 2452.0 7.20% 20040.23 20040.23
SPXL 2012-08-28 2012-09-05 $6.59 $6.58 Long 2423.0 -0.21% 20006.04 20006.04
SPXL 2012-09-10 2012-09-28 $7.01 $7.09 Long 2320.0 1.13% 20189.72 20189.72
SPXL 2012-12-03 2012-12-28 $6.81 $6.63 Long 2432.0 -2.63% 19753.16 19753.16
SPXL 2013-01-07 2013-02-06 $7.36 $8.07 Long 2168.0 9.60% 21286.03 21286.03
SPXL 2013-02-11 2013-02-22 $8.27 $8.15 Long 2106.0 -1.42% 21038.41 21038.41
SPXL 2013-03-07 2013-03-22 $8.72 $8.84 Long 1949.0 1.45% 21284.38 21284.38
SPXL 2013-03-25 2013-04-09 $9.05 $9.11 Long 1949.0 0.73% 21412.73 21412.73
SPXL 2013-04-10 2013-04-11 $9.23 $9.51 Long 1902.0 2.95% 21931.56 21931.56
SPXL 2013-04-12 2013-04-18 $9.49 $8.88 Long 1868.0 -6.40% 20798.23 20798.23
SPXL 2013-04-25 2013-05-28 $9.38 $11.00 Long 1811.0 17.19% 23719.72 23719.72
SPXL 2013-07-11 2013-08-16 $11.04 $10.79 Long 1806.0 -2.30% 23261.05 23261.05
SPXL 2013-09-12 2013-10-07 $11.40 $11.14 Long 1673.0 -2.23% 22836.15 22836.15
SPXL 2013-10-21 2013-12-16 $12.56 $13.47 Long 1486.0 7.23% 24185.02 24185.02
SPXL 2013-12-23 2014-01-08 $14.49 $14.71 Long 1392.0 1.53% 24492.72 24492.72
SPXL 2014-01-09 2014-01-27 $14.85 $13.63 Long 1348.0 -8.26% 22838.00 22838.00
SPXL 2014-02-19 2014-03-21 $14.63 $15.74 Long 1255.0 7.58% 24230.99 24230.99
SPXL 2014-04-03 2014-04-10 $16.10 $15.53 Long 1232.0 -3.52% 23532.78 23532.78
SPXL 2014-04-25 2014-06-27 $15.50 $17.67 Long 1205.0 13.99% 26145.42 26145.42
SPXL 2014-07-01 2014-07-21 $18.01 $18.20 Long 1184.0 1.03% 26365.38 26365.38
SPXL 2014-07-22 2014-08-01 $18.48 $16.94 Long 1173.0 -8.32% 24561.37 24561.37
SPXL 2014-08-22 2014-09-10 $18.74 $18.72 Long 1064.0 -0.11% 24538.85 24538.85
SPXL 2014-09-11 2014-09-18 $18.69 $19.29 Long 1061.0 3.20% 25172.59 25172.59
SPXL 2014-09-19 2014-09-26 $19.59 $18.18 Long 1057.0 -7.19% 23683.70 23683.70
SPXL 2014-10-30 2014-11-04 $18.22 $19.26 Long 1036.0 5.69% 24758.08 24758.08
SPXL 2014-11-14 2014-12-10 $20.06 $20.55 Long 998.0 2.45% 25248.58 25248.58
SPXL 2014-12-30 2015-01-06 $21.46 $19.62 Long 952.0 -8.57% 23497.91 23497.91
SPXL 2015-01-13 2015-01-15 $20.16 $19.41 Long 940.0 -3.70% 22797.18 22797.18
SPXL 2015-02-04 2015-03-12 $19.95 $20.25 Long 936.0 1.53% 23083.32 23083.32
SPXL 2015-04-06 2015-05-04 $20.46 $22.18 Long 910.0 8.45% 24656.19 24656.19
SPXL 2015-05-05 2015-05-06 $22.12 $21.65 Long 900.0 -2.09% 24239.25 24239.25
SPXL 2015-05-08 2015-05-11 $22.03 $22.22 Long 928.0 0.88% 24418.19 24418.19
SPXL 2015-05-12 2015-06-09 $21.63 $21.24 Long 890.0 -1.84% 24064.49 24064.49
SPXL 2015-06-24 2015-07-01 $22.51 $21.25 Long 859.0 -5.61% 22979.74 22979.74
SPXL 2015-07-21 2015-08-10 $22.60 $21.58 Long 819.0 -4.53% 22141.95 22141.95
SPXL 2015-09-21 2015-09-25 $17.58 $17.08 Long 1032.0 -2.86% 21622.61 21622.61
SPXL 2015-10-09 2015-11-17 $18.78 $19.97 Long 966.0 6.35% 22774.33 22774.33
SPXL 2015-12-03 2015-12-07 $20.77 $20.83 Long 865.0 0.26% 22821.11 22821.11
SPXL 2016-02-23 2016-03-07 $16.38 $17.71 Long 1129.0 8.13% 24323.81 24323.81
SPXL 2016-03-10 2016-04-07 $17.88 $19.52 Long 1112.0 9.19% 26151.68 26151.68
SPXL 2016-04-18 2016-05-04 $20.06 $19.37 Long 1042.0 -3.44% 25433.72 25433.72
SPXL 2016-05-05 2016-05-09 $19.59 $19.57 Long 1063.0 -0.10% 25413.72 25413.72
SPXL 2016-05-27 2016-06-23 $20.64 $20.97 Long 997.0 1.58% 25739.61 25739.61
SPXL 2016-07-11 2016-09-06 $21.82 $23.43 Long 985.0 7.37% 27323.97 27323.97
SPXL 2016-09-07 2016-09-12 $23.46 $21.40 Long 944.0 -8.76% 25383.78 25383.78
SPXL 2016-10-06 2016-10-17 $22.52 $21.78 Long 912.0 -3.31% 24703.93 24703.93
SPXL 2016-11-15 2016-12-16 $22.90 $26.20 Long 873.0 14.43% 27588.31 27588.31
SPXL 2016-12-20 2017-01-04 $26.27 $26.01 Long 860.0 -1.00% 27361.80 27361.80
SPXL 2017-01-05 2017-03-24 $26.25 $29.27 Long 852.0 11.48% 29930.36 29930.36
SPXL 2017-04-25 2017-05-22 $30.45 $30.67 Long 803.0 0.73% 30109.75 30109.75
SPXL 2017-05-24 2017-06-30 $31.24 $32.30 Long 784.0 3.40% 30943.08 30943.08
SPXL 2017-07-05 2017-07-07 $32.43 $31.85 Long 770.0 -1.80% 30494.02 30494.02
SPXL 2017-07-17 2017-08-15 $33.51 $33.96 Long 746.0 1.32% 30823.83 30823.83
SPXL 2017-09-07 2017-11-17 $33.95 $38.83 Long 739.0 14.38% 34431.55 34431.55
SPXL 2017-11-21 2017-12-04 $39.26 $42.51 Long 719.0 8.27% 36764.85 36764.85
SPXL 2017-12-08 2018-02-01 $41.86 $50.14 Long 727.0 19.79% 42788.02 42788.02
SPXL 2018-02-02 2018-02-05 $49.62 $46.05 Long 691.0 -7.19% 40322.26 40322.26
SPXL 2018-02-06 2018-02-07 $39.36 $43.38 Long 709.0 10.21% 43171.10 43171.10
SPXL 2018-03-08 2018-03-23 $45.19 $40.98 Long 801.0 -9.30% 39803.81 39803.81
SPXL 2018-04-19 2018-05-08 $42.82 $41.16 Long 742.0 -3.88% 38570.61 38570.61
SPXL 2018-05-11 2018-06-28 $43.75 $42.51 Long 727.0 -2.83% 37669.98 37669.98
SPXL 2018-07-13 2018-08-16 $47.22 $49.05 Long 652.0 3.87% 38862.31 38862.31
SPXL 2018-08-20 2018-10-09 $50.17 $51.40 Long 639.0 2.46% 39649.36 39649.36
SPXL 2018-11-15 2018-11-16 $41.02 $42.38 Long 737.0 3.32% 40653.27 40653.27
SPXL 2018-11-19 2018-11-21 $42.95 $39.57 Long 776.0 -7.87% 38029.69 38029.69
SPXL 2018-11-23 2018-11-26 $38.32 $39.49 Long 778.0 3.07% 38944.59 38944.59
SPXL 2019-01-15 2019-01-22 $35.28 $38.11 Long 904.0 8.02% 41503.51 41503.51
SPXL 2019-01-28 2019-03-12 $37.45 $44.04 Long 875.0 17.59% 47268.39 47268.39
SPXL 2019-03-14 2019-03-22 $45.14 $46.51 Long 855.0 3.04% 48440.55 48440.55
SPXL 2019-03-29 2019-05-03 $46.03 $50.90 Long 871.0 10.58% 52684.31 52684.31
SPXL 2019-06-13 2019-08-05 $48.48 $47.90 Long 887.0 -1.20% 52170.22 52170.22
SPXL 2019-09-03 2019-09-30 $48.27 $51.43 Long 843.0 6.54% 54829.68 54829.68
SPXL 2019-10-01 2019-10-03 $52.35 $47.22 Long 863.0 -9.80% 50403.39 50403.39
SPXL 2019-10-21 2019-12-06 $52.90 $60.52 Long 777.0 14.40% 56323.37 56323.37
SPXL 2019-12-10 2019-12-17 $60.35 $63.83 Long 751.0 5.77% 58938.46 58938.46
SPXL 2019-12-19 2020-01-07 $63.73 $66.48 Long 747.0 4.32% 60995.62 60995.62
SPXL 2020-01-10 2020-01-29 $69.09 $69.44 Long 722.0 0.50% 61247.32 61247.32
SPXL 2020-02-10 2020-02-25 $70.98 $66.05 Long 688.0 -6.95% 57855.29 57855.29
SPXL 2020-05-05 2020-05-15 $34.17 $32.52 Long 1461.0 -4.84% 55439.70 55439.70
SPXL 2020-05-20 2020-06-01 $37.24 $40.16 Long 1221.0 7.84% 59002.97 59002.97
SPXL 2020-06-15 2020-06-16 $37.28 $44.21 Long 1157.0 18.59% 67023.59 67023.59
SPXL 2020-06-19 2020-06-26 $44.24 $40.85 Long 1293.0 -7.67% 62635.89 62635.89
SPXL 2020-07-09 2020-07-15 $45.03 $47.39 Long 1150.0 5.25% 65353.38 65353.38
SPXL 2020-07-16 2020-09-03 $46.20 $63.25 Long 1117.0 36.90% 84397.90 84397.90
SPXL 2020-09-04 2020-09-08 $57.91 $53.21 Long 1080.0 -8.11% 79326.06 79326.06
SPXL 2020-10-08 2020-10-14 $56.12 $59.98 Long 1192.0 6.88% 83925.53 83925.53
SPXL 2020-10-20 2020-10-29 $56.28 $48.26 Long 1154.0 -14.25% 17246.11 76238.89
SPXL 2020-10-29 2020-10-30 $48.26 $48.80 Long 1190.0 1.12% 75313.41 75313.41
SPXL 2020-11-12 2020-11-16 $61.72 $64.52 Long 981.0 4.54% 78061.92 78061.92
SPXL 2020-11-24 2021-01-07 $63.99 $73.38 Long 1012.0 14.67% 87559.88 87559.88
SPXL 2021-01-12 2021-01-29 $74.94 $72.65 Long 954.0 -3.05% 85377.97 85377.97
SPXL 2021-02-05 2021-02-26 $79.94 $77.36 Long 900.0 -3.22% 83058.90 83058.90
SPXL 2021-03-17 2021-04-19 $83.08 $98.05 Long 793.0 18.02% 94930.98 94930.98
SPXL 2021-04-20 2021-04-26 $96.36 $98.74 Long 784.0 2.47% 96794.55 96794.55
SPXL 2021-04-28 2021-05-11 $98.96 $95.41 Long 791.0 -3.58% 93990.04 93990.04
SPXL 2021-06-01 2021-06-22 $101.69 $101.24 Long 756.0 -0.44% 93650.65 93650.65
SPXL 2021-06-23 2021-07-12 $102.88 $111.87 Long 749.0 8.74% 100385.84 100385.84
SPXL 2021-07-13 2021-07-21 $112.50 $109.27 Long 726.0 -2.88% 98035.63 98035.63
SPXL 2021-07-23 2021-08-20 $113.18 $114.95 Long 715.0 1.56% 99300.09 99300.09
SPXL 2021-08-25 2021-09-14 $121.25 $120.96 Long 664.0 -0.24% 99107.69 99107.69
SPXL 2021-10-18 2021-12-01 $117.77 $131.45 Long 677.0 11.61% 108367.84 108367.84
SPXL 2021-12-23 2022-01-14 $138.01 $130.87 Long 660.0 -5.17% 103655.44 103655.44
SPXL 2022-01-18 2022-01-19 $129.59 $128.06 Long 641.0 -1.18% 102674.71 102674.71
SPXL 2022-02-16 2022-02-23 $115.06 $106.26 Long 723.0 -7.65% 96312.31 96312.31
SPXL 2022-03-22 2022-03-25 $115.62 $119.50 Long 680.0 3.36% 98952.14 98952.14
SPXL 2022-04-06 2022-04-18 $115.83 $107.86 Long 654.0 -6.88% 93739.76 93739.76

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick
AtrSPXL 0.90 0.00 Out EOD