Description
This strategy looks for correlation of prices to the recent past. Essentially, this is auto-correlation for the recent past prices. Non linear correlation measures are used here,
This uses SOXL for all trades.
Trading happens on the next Open from the signal day.
Details
Metrics
| Metric | Measure |
|---|---|
| AccountName | default |
| NoOfTrades | 104.00 |
| NoOfWins | 65.00 |
| NoOfLosses | 39.00 |
| SharpRatio | 0.93 |
| SortinoRatio | 1.36 |
| GrossProfit | $365822.37 |
| FirstDate | 2010-03-15 |
| LastDate | 2023-10-10 |
| FirstEquity | $10000.00 |
| FinalEquity | $375822.37 |
| OpenEquity | $0.00 |
| LongEquity | $365822.37 |
| ShortEquity | $0.00 |
| PercentWins | 62.50% |
| AveWin | 12.89% |
| AveLoss | -7.48% |
| AveWinLoss | 1.72 |
| Expectancy | 5.25% |
| AveDrawUp | 72.42% |
| AveDrawDown | -17.44% |
| MaxDrawDown | -35.00% |
| Kelly | 40.73% |
| Thorpe | 51.51 |
| Rachev | 0.73 |
| APR | 30.63% |
| CalmarRatio | 1.76 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| SOXL | 2010-03-15 | 2010-03-17 | $0.58 | $0.65 | Long | 13231.0 | 10.91% | 10843.49 | 10843.49 |
| SOXL | 2010-07-20 | 2010-07-21 | $0.50 | $0.55 | Long | 16949.0 | 10.50% | 11733.01 | 11733.01 |
| SOXL | 2010-07-28 | 2010-08-02 | $0.57 | $0.52 | Long | 15855.0 | -8.22% | 10993.91 | 10993.91 |
| SOXL | 2010-08-27 | 2010-09-01 | $0.37 | $0.35 | Long | 22766.0 | -7.03% | 10396.51 | 10396.51 |
| SOXL | 2011-03-29 | 2011-04-14 | $0.88 | $0.81 | Long | 9435.0 | -8.18% | 9717.64 | 9717.64 |
| SOXL | 2011-04-27 | 2011-05-18 | $0.94 | $0.84 | Long | 8622.0 | -11.49% | 8781.76 | 8781.76 |
| SOXL | 2011-05-27 | 2011-06-06 | $0.83 | $0.76 | Long | 8982.0 | -9.08% | 8102.20 | 8102.20 |
| SOXL | 2011-06-28 | 2011-07-13 | $0.64 | $0.64 | Long | 10552.0 | 0.51% | 8136.42 | 8136.42 |
| SOXL | 2011-07-27 | 2011-08-01 | $0.65 | $0.61 | Long | 9798.0 | -7.10% | 7681.05 | 7681.05 |
| SOXL | 2011-10-04 | 2011-10-20 | $0.31 | $0.44 | Long | 17868.0 | 43.84% | 10075.75 | 10075.75 |
| SOXL | 2011-10-27 | 2011-11-02 | $0.52 | $0.48 | Long | 16674.0 | -8.93% | 9298.24 | 9298.24 |
| SOXL | 2011-11-28 | 2011-12-14 | $0.39 | $0.38 | Long | 20916.0 | -2.34% | 9107.72 | 9107.72 |
| SOXL | 2011-12-28 | 2012-01-20 | $0.41 | $0.57 | Long | 17995.0 | 39.20% | 12002.92 | 12002.92 |
| SOXL | 2012-05-02 | 2012-05-07 | $0.56 | $0.49 | Long | 17346.0 | -11.47% | 10896.78 | 10896.78 |
| SOXL | 2012-07-09 | 2012-07-10 | $0.40 | $0.39 | Long | 20570.0 | -4.58% | 10515.66 | 10515.66 |
| SOXL | 2012-07-11 | 2012-07-18 | $0.37 | $0.33 | Long | 22083.0 | -11.47% | 9577.97 | 9577.97 |
| SOXL | 2012-07-27 | 2012-08-17 | $0.41 | $0.51 | Long | 19528.0 | 26.16% | 11652.43 | 11652.43 |
| SOXL | 2012-11-12 | 2012-11-15 | $0.38 | $0.35 | Long | 25565.0 | -8.57% | 10815.61 | 10815.61 |
| SOXL | 2012-12-04 | 2012-12-06 | $0.38 | $0.39 | Long | 22241.0 | 1.09% | 10908.33 | 10908.33 |
| SOXL | 2012-12-17 | 2012-12-20 | $0.41 | $0.43 | Long | 21488.0 | 6.06% | 11442.50 | 11442.50 |
| SOXL | 2012-12-27 | 2013-01-23 | $0.41 | $0.51 | Long | 22133.0 | 24.34% | 13633.07 | 13633.07 |
| SOXL | 2013-04-26 | 2013-04-29 | $0.59 | $0.59 | Long | 18619.0 | -0.11% | 13621.56 | 13621.56 |
| SOXL | 2013-06-26 | 2013-07-22 | $0.72 | $0.81 | Long | 16564.0 | 13.61% | 15237.95 | 15237.95 |
| SOXL | 2013-07-29 | 2013-08-08 | $0.74 | $0.76 | Long | 16188.0 | 2.48% | 15535.38 | 15535.38 |
| SOXL | 2013-08-19 | 2013-08-21 | $0.69 | $0.69 | Long | 18293.0 | 0.34% | 15577.75 | 15577.75 |
| SOXL | 2013-08-28 | 2013-09-17 | $0.65 | $0.83 | Long | 18786.0 | 27.25% | 18910.58 | 18910.58 |
| SOXL | 2013-09-26 | 2013-10-22 | $0.86 | $0.92 | Long | 18017.0 | 6.94% | 19984.39 | 19984.39 |
| SOXL | 2013-10-29 | 2013-10-31 | $0.87 | $0.89 | Long | 19130.0 | 2.11% | 20335.88 | 20335.88 |
| SOXL | 2014-02-04 | 2014-02-19 | $0.96 | $1.21 | Long | 16185.0 | 26.43% | 24426.80 | 24426.80 |
| SOXL | 2014-02-26 | 2014-03-11 | $1.23 | $1.31 | Long | 16080.0 | 7.22% | 25849.45 | 25849.45 |
| SOXL | 2014-03-19 | 2014-03-20 | $1.33 | $1.30 | Long | 16285.0 | -1.97% | 25424.51 | 25424.51 |
| SOXL | 2014-04-02 | 2014-04-04 | $1.47 | $1.49 | Long | 14521.0 | 1.74% | 25794.46 | 25794.46 |
| SOXL | 2014-04-14 | 2014-04-22 | $1.23 | $1.36 | Long | 17128.0 | 10.87% | 28076.78 | 28076.78 |
| SOXL | 2014-04-28 | 2014-05-02 | $1.28 | $1.27 | Long | 16609.0 | -0.68% | 27933.17 | 27933.17 |
| SOXL | 2014-05-05 | 2014-05-21 | $1.28 | $1.33 | Long | 17828.0 | 4.38% | 28929.64 | 28929.64 |
| SOXL | 2014-05-28 | 2014-06-19 | $1.46 | $1.74 | Long | 16364.0 | 19.40% | 33561.03 | 33561.03 |
| SOXL | 2014-10-13 | 2014-10-22 | $1.17 | $1.47 | Long | 20176.0 | 26.15% | 39719.90 | 39719.90 |
| SOXL | 2014-10-29 | 2014-11-14 | $1.57 | $1.69 | Long | 21098.0 | 7.93% | 42339.02 | 42339.02 |
| SOXL | 2015-01-16 | 2015-01-21 | $1.79 | $1.91 | Long | 18196.0 | 6.80% | 44550.22 | 44550.22 |
| SOXL | 2015-01-28 | 2015-02-02 | $1.98 | $1.79 | Long | 18547.0 | -9.44% | 41090.70 | 41090.70 |
| SOXL | 2015-02-25 | 2015-03-12 | $2.33 | $2.14 | Long | 14922.0 | -8.27% | 38217.49 | 38217.49 |
| SOXL | 2015-03-27 | 2015-04-21 | $1.92 | $2.22 | Long | 16233.0 | 15.63% | 43087.70 | 43087.70 |
| SOXL | 2015-04-28 | 2015-05-20 | $2.08 | $2.27 | Long | 16798.0 | 9.49% | 46399.96 | 46399.96 |
| SOXL | 2015-05-27 | 2015-06-10 | $2.28 | $2.28 | Long | 16401.0 | -0.24% | 46308.79 | 46308.79 |
| SOXL | 2015-06-26 | 2015-06-30 | $2.21 | $1.97 | Long | 16268.0 | -10.67% | 42480.57 | 42480.57 |
| SOXL | 2015-07-29 | 2015-08-13 | $1.68 | $1.60 | Long | 21460.0 | -4.42% | 40890.02 | 40890.02 |
| SOXL | 2015-08-27 | 2015-09-21 | $1.28 | $1.36 | Long | 28554.0 | 6.28% | 43182.70 | 43182.70 |
| SOXL | 2015-09-28 | 2015-10-05 | $1.20 | $1.35 | Long | 27911.0 | 12.50% | 47354.53 | 47354.53 |
| SOXL | 2015-10-19 | 2015-10-21 | $1.58 | $1.65 | Long | 23885.0 | 4.26% | 48962.54 | 48962.54 |
| SOXL | 2015-10-29 | 2015-11-04 | $1.67 | $1.74 | Long | 23006.0 | 3.88% | 50454.53 | 50454.53 |
| SOXL | 2015-12-29 | 2016-01-05 | $1.75 | $1.62 | Long | 23801.0 | -7.72% | 47235.13 | 47235.13 |
| SOXL | 2016-03-01 | 2016-03-02 | $1.36 | $1.42 | Long | 28678.0 | 4.60% | 49024.12 | 49024.12 |
| SOXL | 2016-03-03 | 2016-03-22 | $1.44 | $1.64 | Long | 28001.0 | 14.29% | 54783.20 | 54783.20 |
| SOXL | 2016-05-27 | 2016-06-21 | $1.76 | $1.82 | Long | 25226.0 | 3.76% | 56450.34 | 56450.34 |
| SOXL | 2016-06-28 | 2016-07-20 | $1.49 | $2.05 | Long | 29296.0 | 37.18% | 72717.21 | 72717.21 |
| SOXL | 2016-07-27 | 2016-08-02 | $2.46 | $2.32 | Long | 26682.0 | -5.85% | 68877.40 | 68877.40 |
| SOXL | 2016-08-03 | 2016-08-05 | $2.18 | $2.34 | Long | 24074.0 | 7.14% | 72624.42 | 72624.42 |
| SOXL | 2016-09-28 | 2016-10-14 | $2.74 | $2.73 | Long | 22839.0 | -0.38% | 72384.63 | 72384.63 |
| SOXL | 2016-10-27 | 2016-11-07 | $2.96 | $2.78 | Long | 20704.0 | -6.06% | 68676.22 | 68676.22 |
| SOXL | 2016-11-28 | 2016-12-02 | $3.54 | $2.92 | Long | 15571.0 | -17.41% | 59087.78 | 59087.78 |
| SOXL | 2017-05-04 | 2017-05-22 | $5.00 | $5.82 | Long | 9847.0 | 16.58% | 67246.86 | 67246.86 |
| SOXL | 2017-05-30 | 2017-06-12 | $6.14 | $5.94 | Long | 8980.0 | -3.17% | 65499.86 | 65499.86 |
| SOXL | 2017-07-14 | 2017-07-20 | $6.20 | $6.53 | Long | 8554.0 | 5.21% | 68264.18 | 68264.18 |
| SOXL | 2017-08-14 | 2017-08-15 | $5.89 | $6.19 | Long | 9987.0 | 5.03% | 71226.94 | 71226.94 |
| SOXL | 2017-08-16 | 2017-08-22 | $6.23 | $5.78 | Long | 9318.0 | -7.28% | 66999.19 | 66999.19 |
| SOXL | 2017-08-29 | 2017-09-20 | $5.71 | $7.38 | Long | 9186.0 | 29.16% | 82299.14 | 82299.14 |
| SOXL | 2017-09-27 | 2017-10-05 | $6.85 | $7.79 | Long | 9709.0 | 13.68% | 91398.10 | 91398.10 |
| SOXL | 2018-03-02 | 2018-03-21 | $9.95 | $11.83 | Long | 6762.0 | 18.89% | 104113.44 | 104113.44 |
| SOXL | 2018-03-28 | 2018-04-03 | $9.79 | $9.11 | Long | 7340.0 | -6.94% | 99128.12 | 99128.12 |
| SOXL | 2018-04-26 | 2018-05-22 | $8.21 | $10.48 | Long | 10028.0 | 27.69% | 121922.31 | 121922.31 |
| SOXL | 2018-05-30 | 2018-06-19 | $10.86 | $10.82 | Long | 9210.0 | -0.33% | 121593.10 | 121593.10 |
| SOXL | 2019-01-09 | 2019-01-10 | $5.56 | $5.64 | Long | 17426.0 | 1.46% | 123002.83 | 123002.83 |
| SOXL | 2019-06-06 | 2019-06-17 | $7.72 | $7.87 | Long | 12238.0 | 1.98% | 124874.29 | 124874.29 |
| SOXL | 2019-08-28 | 2019-09-19 | $9.03 | $12.24 | Long | 10647.0 | 35.64% | 159130.94 | 159130.94 |
| SOXL | 2019-09-26 | 2019-10-03 | $11.64 | $10.36 | Long | 11841.0 | -11.01% | 143951.88 | 143951.88 |
| SOXL | 2019-10-29 | 2019-11-04 | $13.67 | $14.42 | Long | 8846.0 | 5.52% | 150622.33 | 150622.33 |
| SOXL | 2020-10-05 | 2020-10-21 | $16.55 | $19.87 | Long | 7422.0 | 20.04% | 175242.81 | 175242.81 |
| SOXL | 2020-10-28 | 2020-11-11 | $16.83 | $21.23 | Long | 7775.0 | 26.10% | 209399.77 | 209399.77 |
| SOXL | 2020-11-27 | 2020-12-02 | $25.36 | $27.82 | Long | 6782.0 | 9.71% | 226097.89 | 226097.89 |
| SOXL | 2021-03-04 | 2021-03-05 | $34.34 | $31.77 | Long | 4774.0 | -7.49% | 213812.00 | 213812.00 |
| SOXL | 2021-03-29 | 2021-04-20 | $35.89 | $38.48 | Long | 5350.0 | 7.22% | 227671.76 | 227671.76 |
| SOXL | 2021-06-28 | 2021-07-09 | $40.94 | $39.64 | Long | 4540.0 | -3.18% | 221759.95 | 221759.95 |
| SOXL | 2021-09-28 | 2021-09-30 | $44.29 | $40.51 | Long | 3914.0 | -8.55% | 206933.31 | 206933.31 |
| SOXL | 2021-10-27 | 2021-11-05 | $43.63 | $59.23 | Long | 3692.0 | 35.74% | 264514.96 | 264514.96 |
| SOXL | 2022-01-05 | 2022-01-10 | $68.66 | $56.58 | Long | 2991.0 | -17.60% | 228369.08 | 228369.08 |
| SOXL | 2022-01-27 | 2022-01-28 | $42.82 | $35.89 | Long | 4282.0 | -16.20% | 198666.79 | 198666.79 |
| SOXL | 2022-02-24 | 2022-03-04 | $31.39 | $36.14 | Long | 4070.0 | 15.15% | 218023.40 | 218023.40 |
| SOXL | 2022-03-30 | 2022-04-01 | $44.12 | $38.56 | Long | 3990.0 | -12.61% | 195814.94 | 195814.94 |
| SOXL | 2022-04-27 | 2022-05-09 | $21.34 | $21.53 | Long | 6504.0 | 0.93% | 197098.68 | 197098.68 |
| SOXL | 2022-07-18 | 2022-07-20 | $15.64 | $16.63 | Long | 10953.0 | 6.32% | 207922.26 | 207922.26 |
| SOXL | 2022-07-27 | 2022-08-10 | $17.12 | $18.85 | Long | 10069.0 | 10.16% | 225434.30 | 225434.30 |
| SOXL | 2022-11-11 | 2022-11-18 | $12.18 | $12.88 | Long | 17051.0 | 5.78% | 237438.24 | 237438.24 |
| SOXL | 2022-11-28 | 2022-12-05 | $12.26 | $12.69 | Long | 14772.0 | 3.56% | 243883.01 | 243883.01 |
| SOXL | 2022-12-28 | 2023-01-20 | $9.06 | $12.05 | Long | 20720.0 | 33.08% | 305948.49 | 305948.49 |
| SOXL | 2023-01-27 | 2023-02-17 | $14.43 | $15.90 | Long | 16584.0 | 10.21% | 330374.06 | 330374.06 |
| SOXL | 2023-02-24 | 2023-03-14 | $14.22 | $14.69 | Long | 17772.0 | 3.29% | 338686.49 | 338686.49 |
| SOXL | 2023-03-20 | 2023-03-22 | $16.06 | $16.62 | Long | 16717.0 | 3.50% | 348086.31 | 348086.31 |
| SOXL | 2023-03-29 | 2023-04-10 | $16.29 | $15.17 | Long | 17825.0 | -6.85% | 328189.08 | 328189.08 |
| SOXL | 2023-05-08 | 2023-05-22 | $14.41 | $16.86 | Long | 19583.0 | 17.01% | 376202.13 | 376202.13 |
| SOXL | 2023-05-30 | 2023-06-01 | $24.49 | $21.41 | Long | 15249.0 | -12.58% | 329240.34 | 329240.34 |
| SOXL | 2023-06-12 | 2023-06-13 | $23.12 | $25.70 | Long | 11618.0 | 11.16% | 359230.31 | 359230.31 |
| SOXL | 2023-06-14 | 2023-06-15 | $25.23 | $25.66 | Long | 11320.0 | 1.74% | 364194.45 | 364194.45 |
| SOXL | 2023-08-31 | 2023-09-08 | $23.13 | $21.68 | Long | 12892.0 | -6.26% | 345532.45 | 345532.45 |
| SOXL | 2023-09-27 | 2023-10-10 | $17.64 | $19.56 | Long | 15776.0 | 10.88% | 375822.37 | 375822.37 |
Signals
| Strategy | Size | Ticker | Date | State | Type | Profit | TimeFrame |
|---|---|---|---|---|---|---|---|
| AutoSOXL | 0.00 | Out | EOD |