Strategy - AutoSOXL


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 53aad492-154e-4541-9845-00c3d9ada58d
NoOfTrades 105.00
NoOfWins 67.00
NoOfLosses 38.00
SharpRatio 0.97
SortinoRatio 1.42
GrossProfit $430213.94
FirstDate 2010-03-12
LastDate 2023-10-10
FirstEquity $10000.00
FinalEquity $440213.94
OpenEquity $0.00
LongEquity $430213.94
ShortEquity $0.00
PercentWins 63.81%
AveWin 12.59%
AveLoss -7.39%
AveWinLoss 1.70
Expectancy 5.36%
MedianDrawUp 73.85%
MednDrawDown -22.34%
MaxDrawDown -32.11%
Kelly 42.57%
Thorpe 3.36
Rachev 1.39
PAPR 13.68%
APR 32.14%
CalmarRatio 1.80

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
SOXL 2010-03-12 2010-03-17 $0.61 $0.65 Long 13652 5.90% 10491.66 10491.66
SOXL 2010-07-20 2010-07-21 $0.50 $0.55 Long 16448 10.50% 11352.35 11352.35
SOXL 2010-07-28 2010-08-02 $0.57 $0.52 Long 15386 -8.22% 10637.21 10637.21
SOXL 2010-08-27 2010-09-01 $0.37 $0.35 Long 22092 -7.03% 10059.20 10059.20
SOXL 2011-03-29 2011-04-14 $0.88 $0.81 Long 9156 -8.18% 9402.34 9402.34
SOXL 2011-04-27 2011-05-18 $0.94 $0.83 Long 8367 -11.49% 8496.79 8496.79
SOXL 2011-05-26 2011-06-06 $0.79 $0.76 Long 8984 -4.35% 8188.36 8188.36
SOXL 2011-06-28 2011-07-13 $0.64 $0.64 Long 10695 0.51% 8222.94 8222.94
SOXL 2011-07-27 2011-08-01 $0.65 $0.61 Long 9932 -7.10% 7762.69 7762.69
SOXL 2011-10-04 2011-10-20 $0.30 $0.44 Long 18112 43.84% 10183.00 10183.00
SOXL 2011-10-27 2011-11-02 $0.52 $0.47 Long 16901 -8.93% 9397.20 9397.20
SOXL 2011-11-28 2011-12-14 $0.39 $0.38 Long 21201 -2.34% 9204.61 9204.61
SOXL 2011-12-28 2012-01-20 $0.41 $0.57 Long 18240 39.20% 12130.62 12130.62
SOXL 2012-05-02 2012-05-07 $0.55 $0.49 Long 17582 -11.47% 11012.72 11012.72
SOXL 2012-05-29 2012-05-30 $0.42 $0.42 Long 22802 -0.07% 11005.70 11005.70
SOXL 2012-07-09 2012-07-10 $0.40 $0.38 Long 20836 -4.58% 10620.77 10620.77
SOXL 2012-07-11 2012-07-18 $0.37 $0.33 Long 22369 -11.47% 9673.76 9673.76
SOXL 2012-07-27 2012-08-17 $0.40 $0.51 Long 19781 26.16% 11768.94 11768.94
SOXL 2012-11-12 2012-11-15 $0.38 $0.35 Long 25897 -8.57% 10923.72 10923.72
SOXL 2012-12-04 2012-12-06 $0.38 $0.39 Long 22530 1.09% 11017.37 11017.37
SOXL 2012-12-17 2012-12-19 $0.41 $0.43 Long 21767 5.84% 11536.78 11536.78
SOXL 2012-12-27 2013-01-22 $0.41 $0.50 Long 22381 23.96% 13710.94 13710.94
SOXL 2013-04-26 2013-04-29 $0.59 $0.59 Long 18781 -0.11% 13699.37 13699.37
SOXL 2013-06-26 2013-07-22 $0.71 $0.81 Long 16707 13.61% 15324.92 15324.92
SOXL 2013-07-29 2013-08-08 $0.74 $0.76 Long 16328 2.48% 15624.07 15624.07
SOXL 2013-08-19 2013-08-21 $0.68 $0.69 Long 18452 0.34% 15666.69 15666.69
SOXL 2013-08-28 2013-09-17 $0.65 $0.83 Long 18949 27.25% 19018.58 19018.58
SOXL 2013-09-26 2013-10-22 $0.86 $0.92 Long 18173 6.94% 20098.51 20098.51
SOXL 2013-10-29 2013-10-31 $0.87 $0.89 Long 19296 2.11% 20452.03 20452.03
SOXL 2014-02-04 2014-02-19 $0.95 $1.21 Long 16326 26.43% 24566.48 24566.48
SOXL 2014-02-26 2014-03-11 $1.22 $1.31 Long 16219 7.22% 25997.22 25997.22
SOXL 2014-03-19 2014-03-20 $1.32 $1.30 Long 16426 -1.97% 25569.85 25569.85
SOXL 2014-04-02 2014-04-04 $1.46 $1.49 Long 14647 1.74% 25941.92 25941.92
SOXL 2014-04-14 2014-04-21 $1.22 $1.32 Long 17277 7.77% 27583.02 27583.02
SOXL 2014-04-28 2014-05-02 $1.27 $1.27 Long 16365 -0.68% 27441.94 27441.94
SOXL 2014-05-05 2014-05-20 $1.27 $1.33 Long 17566 4.93% 28542.59 28542.59
SOXL 2014-05-28 2014-06-19 $1.45 $1.74 Long 16193 19.40% 33112.14 33112.14
SOXL 2014-10-13 2014-10-22 $1.16 $1.47 Long 19965 26.15% 39188.73 39188.73
SOXL 2014-10-29 2014-11-14 $1.56 $1.68 Long 20877 7.93% 41772.82 41772.82
SOXL 2015-01-16 2015-01-21 $1.78 $1.90 Long 18005 6.80% 43954.38 43954.38
SOXL 2015-01-28 2015-02-02 $1.97 $1.78 Long 18353 -9.44% 40541.07 40541.07
SOXL 2015-02-25 2015-03-12 $2.32 $2.13 Long 14765 -8.27% 37706.41 37706.41
SOXL 2015-03-27 2015-04-21 $1.91 $2.21 Long 16063 15.63% 42511.48 42511.48
SOXL 2015-04-28 2015-05-19 $2.07 $2.29 Long 16622 10.63% 46170.96 46170.96
SOXL 2015-05-27 2015-06-10 $2.27 $2.27 Long 16368 -0.24% 46080.25 46080.25
SOXL 2015-06-26 2015-06-30 $2.20 $1.97 Long 16236 -10.67% 42270.78 42270.78
SOXL 2015-07-29 2015-08-13 $1.67 $1.60 Long 21417 -4.42% 40688.07 40688.07
SOXL 2015-08-27 2015-09-21 $1.27 $1.35 Long 28496 6.28% 42969.40 42969.40
SOXL 2015-09-28 2015-10-05 $1.19 $1.34 Long 27854 12.50% 47120.48 47120.48
SOXL 2015-10-19 2015-10-21 $1.58 $1.64 Long 23837 4.26% 48720.54 48720.54
SOXL 2015-10-29 2015-11-04 $1.67 $1.73 Long 22960 3.88% 50205.18 50205.18
SOXL 2015-12-29 2016-01-05 $1.75 $1.61 Long 23753 -7.72% 47001.71 47001.71
SOXL 2016-03-01 2016-03-02 $1.35 $1.41 Long 28620 4.60% 48781.81 48781.81
SOXL 2016-03-03 2016-03-21 $1.43 $1.63 Long 27945 13.73% 54288.82 54288.82
SOXL 2016-05-26 2016-06-21 $1.75 $1.82 Long 25411 3.62% 55900.64 55900.64
SOXL 2016-06-28 2016-07-20 $1.49 $2.04 Long 29096 37.18% 72009.09 72009.09
SOXL 2016-07-27 2016-08-02 $2.45 $2.31 Long 26500 -5.85% 68206.66 68206.66
SOXL 2016-08-03 2016-08-05 $2.17 $2.33 Long 23910 7.14% 71917.23 71917.23
SOXL 2016-09-28 2016-10-14 $2.73 $2.72 Long 22684 -0.38% 71679.75 71679.75
SOXL 2016-10-27 2016-11-07 $2.95 $2.77 Long 20562 -6.06% 68007.58 68007.58
SOXL 2016-11-28 2016-12-02 $3.53 $2.91 Long 15465 -17.41% 58512.35 58512.35
SOXL 2017-05-04 2017-05-19 $4.98 $5.70 Long 9780 14.36% 65508.11 65508.11
SOXL 2017-05-26 2017-06-12 $6.05 $5.92 Long 8795 -2.05% 64419.91 64419.91
SOXL 2017-07-14 2017-07-20 $6.19 $6.51 Long 8438 5.21% 67138.74 67138.74
SOXL 2017-08-14 2017-08-15 $5.88 $6.17 Long 9851 5.03% 70052.59 70052.59
SOXL 2017-08-16 2017-08-22 $6.21 $5.76 Long 9192 -7.28% 65894.24 65894.24
SOXL 2017-08-29 2017-09-20 $5.69 $7.36 Long 9061 29.16% 80941.72 80941.72
SOXL 2017-09-27 2017-10-05 $6.83 $7.77 Long 9577 13.68% 89890.64 89890.64
SOXL 2018-03-02 2018-03-20 $9.92 $11.67 Long 6670 17.63% 101561.64 101561.64
SOXL 2018-03-27 2018-03-28 $11.45 $9.76 Long 7743 -14.76% 88472.58 88472.58
SOXL 2018-04-26 2018-05-21 $8.19 $10.32 Long 8976 26.10% 107652.05 107652.05
SOXL 2018-05-29 2018-06-19 $10.69 $10.79 Long 8218 0.96% 108493.41 108493.41
SOXL 2019-01-09 2019-01-10 $5.54 $5.62 Long 15594 1.46% 109751.23 109751.23
SOXL 2019-06-06 2019-06-17 $7.70 $7.85 Long 10952 1.98% 111421.12 111421.12
SOXL 2019-08-28 2019-09-19 $9.00 $12.21 Long 9528 35.64% 141987.48 141987.48
SOXL 2019-09-26 2019-10-03 $11.61 $10.33 Long 10596 -11.01% 128444.23 128444.23
SOXL 2019-10-29 2019-11-04 $13.63 $14.38 Long 7916 5.52% 134395.89 134395.89
SOXL 2020-10-05 2020-10-21 $16.51 $19.81 Long 6642 20.04% 156364.30 156364.30
SOXL 2020-10-28 2020-11-11 $16.78 $21.16 Long 6958 26.10% 186842.35 186842.35
SOXL 2020-11-25 2020-12-02 $24.94 $27.74 Long 6029 11.24% 203744.91 203744.91
SOXL 2021-03-04 2021-03-05 $34.24 $31.68 Long 4315 -7.49% 192672.82 192672.82
SOXL 2021-03-29 2021-04-20 $35.79 $38.37 Long 4835 7.22% 205161.67 205161.67
SOXL 2021-06-28 2021-07-09 $40.82 $39.52 Long 4103 -3.18% 199834.58 199834.58
SOXL 2021-09-28 2021-09-30 $44.16 $40.39 Long 3537 -8.55% 186475.36 186475.36
SOXL 2021-10-27 2021-11-05 $43.50 $59.05 Long 3336 35.74% 238352.10 238352.10
SOXL 2022-01-05 2022-01-10 $68.46 $56.41 Long 2703 -17.60% 205782.48 205782.48
SOXL 2022-01-27 2022-01-28 $42.70 $35.78 Long 3869 -16.20% 179023.70 179023.70
SOXL 2022-02-24 2022-03-04 $31.30 $36.04 Long 3678 15.15% 196464.68 196464.68
SOXL 2022-03-30 2022-04-01 $43.99 $38.44 Long 3606 -12.61% 176452.45 176452.45
SOXL 2022-04-27 2022-05-09 $21.27 $21.47 Long 5878 0.93% 177609.23 177609.23
SOXL 2022-07-18 2022-07-20 $15.60 $16.58 Long 9899 6.32% 187362.57 187362.57
SOXL 2022-07-27 2022-08-10 $17.07 $18.80 Long 9100 10.16% 203142.89 203142.89
SOXL 2022-11-11 2022-11-18 $12.14 $12.84 Long 15410 5.78% 213959.75 213959.75
SOXL 2022-11-28 2022-12-05 $12.22 $12.65 Long 13350 3.56% 219767.05 219767.05
SOXL 2022-12-28 2023-01-20 $9.03 $12.02 Long 18726 33.08% 275695.08 275695.08
SOXL 2023-01-27 2023-02-16 $14.39 $16.52 Long 14988 14.83% 307669.33 307669.33
SOXL 2023-02-24 2023-03-14 $14.18 $14.65 Long 16600 3.29% 315410.80 315410.80
SOXL 2023-03-20 2023-03-22 $16.01 $16.58 Long 15614 3.50% 324164.67 324164.67
SOXL 2023-03-29 2023-04-10 $16.24 $15.12 Long 16649 -6.85% 305634.68 305634.68
SOXL 2023-05-08 2023-05-19 $14.37 $17.48 Long 18291 21.65% 362526.64 362526.64
SOXL 2023-05-26 2023-06-01 $19.92 $21.35 Long 16271 7.13% 385648.33 385648.33
SOXL 2023-06-12 2023-06-13 $23.05 $25.63 Long 13649 11.16% 420777.65 420777.65
SOXL 2023-06-14 2023-06-15 $25.15 $25.59 Long 13298 1.74% 426592.09 426592.09
SOXL 2023-08-31 2023-09-08 $23.06 $21.62 Long 15145 -6.26% 404733.04 404733.04
SOXL 2023-09-27 2023-10-10 $17.59 $19.50 Long 18534 10.88% 440213.94 440213.94

Signals

Strategy Size Ticker Date State Type Profit TimeFrame
AutoSOXL 0.00 Out EndOfDay