Strategy - AutoSPXL


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 SPXL for all trades.

Trading happens on the next Open from the signal day.

Details

Metrics

Metric Measure
AccountName 1525b73c-8017-45ae-b378-460b4249cef3
NoOfTrades 105.00
NoOfWins 73.00
NoOfLosses 32.00
SharpRatio 1.02
SortinoRatio 1.42
GrossProfit $194548.47
FirstDate 2008-12-02
LastDate 2023-10-10
FirstEquity $10000.00
FinalEquity $204548.47
OpenEquity $0.00
LongEquity $194548.47
ShortEquity $0.00
PercentWins 69.52%
AveWin 8.66%
AveLoss -6.33%
AveWinLoss 1.37
Expectancy 4.09%
MedianDrawUp 39.55%
MednDrawDown -10.57%
MaxDrawDown -21.53%
Kelly 47.27%
Thorpe 5.12
Rachev 1.39
PAPR 10.65%
APR 22.53%
CalmarRatio 2.03

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
SPXL 2008-12-02 2008-12-15 $1.90 $2.28 Long 3596 19.81% 11353.26 11353.26
SPXL 2008-12-29 2009-01-09 $2.19 $2.49 Long 4223 13.93% 12641.27 12641.27
SPXL 2009-01-28 2009-02-02 $2.06 $1.72 Long 5387 -16.69% 10786.70 10786.70
SPXL 2009-02-25 2009-03-02 $1.42 $1.17 Long 6602 -17.20% 9179.29 9179.29
SPXL 2009-04-06 2009-04-21 $1.72 $1.66 Long 4330 -3.41% 8926.19 8926.19
SPXL 2009-07-09 2009-07-22 $1.98 $2.43 Long 3649 22.48% 10552.09 10552.09
SPXL 2009-07-29 2009-08-10 $2.63 $2.92 Long 3220 10.84% 11471.10 11471.10
SPXL 2009-11-09 2009-11-18 $3.52 $3.85 Long 2771 9.21% 12369.82 12369.82
SPXL 2009-11-25 2009-11-27 $3.82 $3.53 Long 2640 -7.51% 11612.73 11612.73
SPXL 2009-11-30 2009-12-21 $3.64 $3.87 Long 2664 6.25% 12219.13 12219.13
SPXL 2009-12-29 2010-01-19 $4.12 $4.17 Long 2406 1.06% 12323.77 12323.77
SPXL 2010-01-27 2010-02-08 $3.70 $3.41 Long 2690 -7.76% 11551.18 11551.18
SPXL 2010-02-24 2010-03-16 $3.76 $4.38 Long 2434 16.53% 13064.30 13064.30
SPXL 2010-07-28 2010-08-13 $3.74 $3.42 Long 2755 -8.74% 12162.80 12162.80
SPXL 2010-08-27 2010-09-21 $3.19 $4.07 Long 3032 27.51% 14827.14 14827.14
SPXL 2011-03-29 2011-04-19 $6.19 $6.18 Long 1908 -0.17% 14806.59 14806.59
SPXL 2011-04-27 2011-05-19 $6.81 $6.74 Long 1800 -1.02% 14681.90 14681.90
SPXL 2011-05-26 2011-06-07 $6.33 $5.97 Long 1907 -5.56% 14011.15 14011.15
SPXL 2011-06-28 2011-07-20 $5.85 $6.47 Long 2005 10.53% 15247.22 15247.22
SPXL 2011-07-27 2011-08-03 $6.39 $5.39 Long 1883 -15.58% 13373.33 13373.33
SPXL 2011-10-04 2011-10-20 $3.11 $4.34 Long 3092 39.41% 17166.67 17166.67
SPXL 2011-10-27 2011-11-02 $5.05 $4.57 Long 2963 -9.48% 15748.22 15748.22
SPXL 2011-11-28 2011-12-15 $4.05 $4.33 Long 3422 7.05% 16725.33 16725.33
SPXL 2011-12-28 2012-01-20 $4.79 $5.35 Long 2857 11.85% 18345.92 18345.92
SPXL 2012-05-07 2012-05-18 $6.00 $5.33 Long 2365 -11.24% 16751.40 16751.40
SPXL 2012-07-12 2012-07-13 $5.51 $5.57 Long 2416 1.08% 16894.58 16894.58
SPXL 2012-07-17 2012-07-20 $5.83 $5.95 Long 2377 2.10% 17185.46 17185.46
SPXL 2012-07-27 2012-08-15 $5.93 $6.41 Long 2396 8.12% 18339.86 18339.86
SPXL 2012-11-12 2012-11-16 $6.14 $5.79 Long 2470 -5.84% 17453.97 17453.97
SPXL 2012-12-05 2012-12-07 $6.49 $6.65 Long 2174 2.42% 17795.31 17795.31
SPXL 2012-12-17 2012-12-19 $6.64 $7.07 Long 2178 6.55% 18742.42 18742.42
SPXL 2012-12-27 2013-01-22 $6.67 $7.60 Long 2234 13.85% 20807.42 20807.42
SPXL 2013-06-26 2013-07-22 $9.51 $11.28 Long 1818 18.60% 24022.85 24022.85
SPXL 2013-07-29 2013-08-07 $11.13 $11.22 Long 1762 0.83% 24185.58 24185.58
SPXL 2013-08-28 2013-09-19 $10.05 $12.03 Long 1911 19.66% 27962.61 27962.61
SPXL 2013-09-26 2013-10-22 $11.35 $12.43 Long 1986 9.54% 30113.25 30113.25
SPXL 2013-10-29 2013-10-31 $12.78 $12.69 Long 1931 -0.74% 29930.45 29930.45
SPXL 2014-02-04 2014-02-19 $12.43 $14.37 Long 1850 15.58% 33514.30 33514.30
SPXL 2014-02-26 2014-03-10 $14.68 $15.34 Long 1851 4.45% 34723.80 34723.80
SPXL 2014-04-14 2014-04-21 $14.23 $15.04 Long 2000 5.68% 36340.07 36340.07
SPXL 2014-04-28 2014-05-20 $15.19 $15.54 Long 1933 2.33% 37022.95 37022.95
SPXL 2014-05-28 2014-06-17 $16.25 $16.88 Long 1858 3.88% 38194.13 38194.13
SPXL 2014-10-13 2014-10-15 $16.14 $14.78 Long 1852 -8.43% 35675.45 35675.45
SPXL 2014-10-29 2014-11-14 $18.17 $19.70 Long 1630 8.41% 38166.96 38166.96
SPXL 2015-01-28 2015-02-18 $19.73 $21.27 Long 1593 7.79% 40616.62 40616.62
SPXL 2015-02-25 2015-03-05 $21.87 $21.54 Long 1515 -1.48% 40126.89 40126.89
SPXL 2015-03-10 2015-03-13 $20.33 $20.32 Long 1575 -0.03% 40115.98 40115.98
SPXL 2015-03-16 2015-03-20 $20.30 $21.45 Long 1599 5.65% 41950.91 41950.91
SPXL 2015-03-27 2015-04-21 $20.05 $21.63 Long 1697 7.90% 44638.86 44638.86
SPXL 2015-04-28 2015-05-19 $21.66 $22.38 Long 1631 3.30% 45806.30 45806.30
SPXL 2015-05-27 2015-06-19 $21.74 $22.05 Long 1679 1.43% 46329.65 46329.65
SPXL 2015-06-26 2015-07-22 $21.67 $21.70 Long 1712 0.17% 46392.90 46392.90
SPXL 2015-07-29 2015-08-20 $21.25 $20.29 Long 1809 -4.53% 44651.13 44651.13
SPXL 2015-08-27 2015-09-21 $17.36 $17.26 Long 2242 -0.56% 44433.71 44433.71
SPXL 2015-09-28 2015-10-02 $16.02 $15.46 Long 2146 -3.53% 43219.73 43219.73
SPXL 2015-12-29 2016-01-07 $19.88 $16.76 Long 1802 -15.68% 37602.74 37602.74
SPXL 2016-03-07 2016-03-21 $17.39 $18.93 Long 1733 8.87% 40275.69 40275.69
SPXL 2016-05-26 2016-06-21 $20.26 $20.26 Long 1629 0.01% 40279.45 40279.45
SPXL 2016-06-28 2016-07-20 $18.15 $22.47 Long 1792 23.77% 48012.71 48012.71
SPXL 2016-07-27 2016-08-02 $22.60 $22.41 Long 1736 -0.84% 47684.03 47684.03
SPXL 2016-09-28 2016-10-20 $22.30 $21.61 Long 1775 -3.09% 46462.71 46462.71
SPXL 2016-10-27 2016-11-18 $21.82 $23.11 Long 1757 5.89% 48722.37 48722.37
SPXL 2016-11-28 2016-12-13 $23.76 $25.64 Long 1661 7.91% 51844.20 51844.20
SPXL 2017-05-04 2017-05-19 $30.21 $29.56 Long 1399 -2.14% 50939.73 50939.73
SPXL 2017-05-26 2017-06-09 $31.16 $32.09 Long 1330 2.96% 52168.10 52168.10
SPXL 2017-07-19 2017-07-20 $33.10 $33.64 Long 1290 1.62% 52859.12 52859.12
SPXL 2017-08-14 2017-08-22 $32.83 $31.95 Long 1328 -2.70% 51681.67 51681.67
SPXL 2017-08-29 2017-09-20 $31.70 $34.92 Long 1287 10.17% 55830.06 55830.06
SPXL 2017-09-27 2017-10-04 $34.81 $35.97 Long 1306 3.34% 57349.87 57349.87
SPXL 2018-03-02 2018-03-20 $40.73 $43.44 Long 1068 6.65% 60240.91 60240.91
SPXL 2018-03-27 2018-04-05 $40.95 $40.39 Long 1244 -1.36% 59548.31 59548.31
SPXL 2018-04-13 2018-04-19 $41.07 $42.04 Long 1202 2.38% 60725.21 60725.21
SPXL 2018-04-26 2018-05-21 $39.78 $43.31 Long 1262 8.88% 65183.22 65183.22
SPXL 2018-05-29 2018-06-18 $42.01 $44.83 Long 1231 6.72% 68657.30 68657.30
SPXL 2019-06-06 2019-06-19 $44.72 $49.10 Long 1256 9.79% 74155.08 74155.08
SPXL 2019-08-28 2019-09-19 $45.31 $52.79 Long 1278 16.49% 83703.22 83703.22
SPXL 2019-09-26 2019-10-22 $51.39 $52.53 Long 1341 2.22% 85231.51 85231.51
SPXL 2019-10-29 2019-11-01 $53.72 $54.67 Long 1286 1.78% 86459.12 86459.12
SPXL 2020-10-06 2020-10-21 $53.82 $55.18 Long 1345 2.51% 88276.21 88276.21
SPXL 2020-10-28 2020-11-18 $49.83 $63.27 Long 1338 26.97% 106260.70 106260.70
SPXL 2020-11-25 2020-12-02 $64.32 $65.17 Long 1369 1.32% 107426.70 107426.70
SPXL 2021-03-04 2021-03-22 $73.86 $79.49 Long 1136 7.62% 113821.05 113821.05
SPXL 2021-03-29 2021-04-21 $82.10 $92.95 Long 1152 13.22% 126326.69 126326.69
SPXL 2021-06-28 2021-07-16 $103.85 $110.18 Long 993 6.09% 132610.00 132610.00
SPXL 2021-09-28 2021-10-20 $112.95 $121.29 Long 930 7.39% 140374.12 140374.12
SPXL 2021-10-27 2021-11-05 $125.57 $136.39 Long 900 8.62% 150112.75 150112.75
SPXL 2022-01-05 2022-01-18 $142.80 $127.24 Long 841 -10.90% 137024.57 137024.57
SPXL 2022-01-27 2022-02-15 $109.79 $112.93 Long 993 2.86% 140144.56 140144.56
SPXL 2022-02-24 2022-03-03 $89.10 $109.52 Long 1088 22.91% 162353.98 162353.98
SPXL 2022-04-01 2022-04-14 $118.82 $110.94 Long 1072 -6.63% 153912.42 153912.42
SPXL 2022-04-27 2022-05-10 $91.58 $81.99 Long 1275 -10.47% 141681.51 141681.51
SPXL 2022-07-19 2022-07-20 $68.75 $72.09 Long 1639 4.85% 147143.55 147143.55
SPXL 2022-07-27 2022-08-17 $73.01 $91.13 Long 1637 24.81% 176802.12 176802.12
SPXL 2022-11-14 2022-11-18 $69.16 $69.58 Long 2085 0.61% 177683.47 177683.47
SPXL 2022-11-28 2022-12-08 $70.09 $67.49 Long 2010 -3.71% 172453.57 172453.57
SPXL 2022-12-28 2023-01-20 $60.84 $64.35 Long 2268 5.76% 180406.73 180406.73
SPXL 2023-01-27 2023-02-16 $71.01 $73.02 Long 2064 2.83% 184554.22 184554.22
SPXL 2023-02-24 2023-03-13 $65.73 $58.72 Long 2168 -10.67% 169349.26 169349.26
SPXL 2023-03-21 2023-03-22 $66.54 $67.24 Long 2164 1.06% 170868.51 170868.51
SPXL 2023-03-29 2023-04-19 $67.61 $73.44 Long 2110 8.61% 183157.35 183157.35
SPXL 2023-05-09 2023-05-10 $72.06 $73.52 Long 2031 2.02% 186109.52 186109.52
SPXL 2023-05-11 2023-05-19 $72.46 $76.55 Long 2050 5.65% 194501.56 194501.56
SPXL 2023-05-26 2023-06-08 $73.70 $79.48 Long 2145 7.85% 206909.42 206909.42
SPXL 2023-08-31 2023-09-20 $91.95 $87.60 Long 1846 -4.73% 198882.68 198882.68
SPXL 2023-09-27 2023-10-10 $77.65 $80.42 Long 2043 3.57% 204548.47 204548.47

Signals

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