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 | default |
| NoOfTrades | 105.00 |
| NoOfWins | 74.00 |
| NoOfLosses | 31.00 |
| SharpRatio | 1.02 |
| SortinoRatio | 1.43 |
| GrossProfit | $198935.06 |
| FirstDate | 2008-12-02 |
| LastDate | 2023-10-10 |
| FirstEquity | $10000.00 |
| FinalEquity | $208935.06 |
| OpenEquity | $0.00 |
| LongEquity | $198935.06 |
| ShortEquity | $0.00 |
| PercentWins | 70.48% |
| AveWin | 8.50% |
| AveLoss | -6.36% |
| AveWinLoss | 1.34 |
| Expectancy | 4.11% |
| AveDrawUp | 45.42% |
| AveDrawDown | -10.60% |
| MaxDrawDown | -20.40% |
| Kelly | 48.38% |
| Thorpe | 82.11 |
| Rachev | 0.72 |
| APR | 22.71% |
| CalmarRatio | 2.14 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| SPXL | 2008-12-02 | 2008-12-15 | $1.91 | $2.29 | Long | 3575.0 | 19.81% | 11353.47 | 11353.47 |
| SPXL | 2008-12-29 | 2009-01-09 | $2.20 | $2.51 | Long | 4197.0 | 13.93% | 12641.27 | 12641.27 |
| SPXL | 2009-01-28 | 2009-02-02 | $2.07 | $1.73 | Long | 5354.0 | -16.69% | 10786.94 | 10786.94 |
| SPXL | 2009-02-25 | 2009-03-02 | $1.42 | $1.18 | Long | 6562.0 | -17.20% | 9179.63 | 9179.63 |
| SPXL | 2009-04-06 | 2009-04-21 | $1.73 | $1.67 | Long | 4304.0 | -3.41% | 8926.53 | 8926.53 |
| SPXL | 2009-07-09 | 2009-07-22 | $1.99 | $2.44 | Long | 3627.0 | 22.48% | 10552.38 | 10552.38 |
| SPXL | 2009-07-29 | 2009-08-10 | $2.65 | $2.94 | Long | 3201.0 | 10.84% | 11471.47 | 11471.47 |
| SPXL | 2009-11-09 | 2009-11-19 | $3.54 | $3.78 | Long | 2754.0 | 6.73% | 12128.49 | 12128.49 |
| SPXL | 2009-11-30 | 2009-12-22 | $3.66 | $3.98 | Long | 2766.0 | 8.72% | 13011.76 | 13011.76 |
| SPXL | 2009-12-29 | 2010-01-19 | $4.15 | $4.19 | Long | 2547.0 | 1.06% | 13123.21 | 13123.21 |
| SPXL | 2010-01-27 | 2010-02-08 | $3.72 | $3.43 | Long | 2847.0 | -7.76% | 12300.60 | 12300.60 |
| SPXL | 2010-02-24 | 2010-03-16 | $3.78 | $4.41 | Long | 2576.0 | 16.53% | 13911.65 | 13911.65 |
| SPXL | 2010-07-28 | 2010-08-13 | $3.76 | $3.44 | Long | 2916.0 | -8.74% | 12951.71 | 12951.71 |
| SPXL | 2010-08-27 | 2010-09-21 | $3.21 | $4.10 | Long | 3209.0 | 27.51% | 15788.60 | 15788.60 |
| SPXL | 2011-03-29 | 2011-04-20 | $6.22 | $6.50 | Long | 2020.0 | 4.48% | 16351.66 | 16351.66 |
| SPXL | 2011-04-27 | 2011-05-20 | $6.85 | $6.71 | Long | 1976.0 | -2.01% | 16079.32 | 16079.32 |
| SPXL | 2011-05-27 | 2011-06-07 | $6.57 | $6.01 | Long | 2046.0 | -8.52% | 14933.94 | 14933.94 |
| SPXL | 2011-06-28 | 2011-07-20 | $5.89 | $6.51 | Long | 2124.0 | 10.53% | 16251.27 | 16251.27 |
| SPXL | 2011-07-27 | 2011-08-03 | $6.42 | $5.42 | Long | 1995.0 | -15.58% | 14253.95 | 14253.95 |
| SPXL | 2011-10-04 | 2011-10-20 | $3.13 | $4.37 | Long | 3276.0 | 39.41% | 18297.27 | 18297.27 |
| SPXL | 2011-10-27 | 2011-11-02 | $5.08 | $4.60 | Long | 3139.0 | -9.48% | 16785.49 | 16785.49 |
| SPXL | 2011-11-28 | 2011-12-15 | $4.07 | $4.36 | Long | 3626.0 | 7.05% | 17827.10 | 17827.10 |
| SPXL | 2011-12-28 | 2012-01-20 | $4.82 | $5.39 | Long | 3027.0 | 11.85% | 19554.48 | 19554.48 |
| SPXL | 2012-05-07 | 2012-05-18 | $6.04 | $5.36 | Long | 2505.0 | -11.24% | 17855.38 | 17855.38 |
| SPXL | 2012-07-12 | 2012-07-13 | $5.54 | $5.60 | Long | 2560.0 | 1.08% | 18008.01 | 18008.01 |
| SPXL | 2012-07-17 | 2012-07-20 | $5.87 | $5.99 | Long | 2518.0 | 2.10% | 18318.01 | 18318.01 |
| SPXL | 2012-07-27 | 2012-08-15 | $5.97 | $6.45 | Long | 2538.0 | 8.12% | 19548.20 | 19548.20 |
| SPXL | 2012-11-12 | 2012-11-16 | $6.18 | $5.82 | Long | 2617.0 | -5.84% | 18603.93 | 18603.93 |
| SPXL | 2012-12-05 | 2012-12-07 | $6.53 | $6.69 | Long | 2303.0 | 2.42% | 18967.70 | 18967.70 |
| SPXL | 2012-12-17 | 2012-12-20 | $6.68 | $6.95 | Long | 2308.0 | 3.98% | 19580.66 | 19580.66 |
| SPXL | 2012-12-27 | 2013-01-23 | $6.71 | $7.77 | Long | 2320.0 | 15.74% | 22032.70 | 22032.70 |
| SPXL | 2013-06-26 | 2013-07-22 | $9.57 | $11.35 | Long | 1913.0 | 18.60% | 25436.55 | 25436.55 |
| SPXL | 2013-07-29 | 2013-08-07 | $11.20 | $11.29 | Long | 1854.0 | 0.83% | 25608.82 | 25608.82 |
| SPXL | 2013-08-28 | 2013-09-19 | $10.11 | $12.10 | Long | 2011.0 | 19.66% | 29607.47 | 29607.47 |
| SPXL | 2013-09-26 | 2013-10-22 | $11.41 | $12.50 | Long | 2090.0 | 9.54% | 31884.38 | 31884.38 |
| SPXL | 2013-10-29 | 2013-10-31 | $12.86 | $12.76 | Long | 2032.0 | -0.74% | 31690.86 | 31690.86 |
| SPXL | 2014-02-04 | 2014-02-19 | $12.51 | $14.46 | Long | 1947.0 | 15.58% | 35485.36 | 35485.36 |
| SPXL | 2014-02-26 | 2014-03-10 | $14.77 | $15.43 | Long | 1948.0 | 4.45% | 36765.93 | 36765.93 |
| SPXL | 2014-04-14 | 2014-04-22 | $14.32 | $15.33 | Long | 2105.0 | 7.02% | 38883.16 | 38883.16 |
| SPXL | 2014-04-28 | 2014-05-21 | $15.28 | $15.49 | Long | 2056.0 | 1.40% | 39322.54 | 39322.54 |
| SPXL | 2014-05-28 | 2014-06-17 | $16.34 | $16.98 | Long | 1961.0 | 3.88% | 40566.10 | 40566.10 |
| SPXL | 2014-10-13 | 2014-10-15 | $16.23 | $14.87 | Long | 1955.0 | -8.43% | 37891.31 | 37891.31 |
| SPXL | 2014-10-29 | 2014-11-14 | $18.28 | $19.82 | Long | 1721.0 | 8.41% | 40537.78 | 40537.78 |
| SPXL | 2015-01-28 | 2015-02-18 | $19.85 | $21.40 | Long | 1682.0 | 7.79% | 43139.90 | 43139.90 |
| SPXL | 2015-02-25 | 2015-03-05 | $22.00 | $21.67 | Long | 1599.0 | -1.48% | 42619.90 | 42619.90 |
| SPXL | 2015-03-10 | 2015-03-13 | $20.45 | $20.44 | Long | 1662.0 | -0.03% | 42608.32 | 42608.32 |
| SPXL | 2015-03-16 | 2015-03-20 | $20.43 | $21.58 | Long | 1688.0 | 5.65% | 44557.07 | 44557.07 |
| SPXL | 2015-03-27 | 2015-04-21 | $20.17 | $21.77 | Long | 1792.0 | 7.90% | 47412.62 | 47412.62 |
| SPXL | 2015-04-28 | 2015-05-20 | $21.80 | $22.48 | Long | 1722.0 | 3.13% | 48588.62 | 48588.62 |
| SPXL | 2015-05-27 | 2015-06-19 | $21.87 | $22.18 | Long | 1770.0 | 1.43% | 49143.67 | 49143.67 |
| SPXL | 2015-06-26 | 2015-07-22 | $21.80 | $21.84 | Long | 1805.0 | 0.17% | 49210.76 | 49210.76 |
| SPXL | 2015-07-29 | 2015-08-20 | $21.38 | $20.41 | Long | 1907.0 | -4.53% | 47363.56 | 47363.56 |
| SPXL | 2015-08-27 | 2015-09-21 | $17.47 | $17.37 | Long | 2364.0 | -0.56% | 47132.92 | 47132.92 |
| SPXL | 2015-09-28 | 2015-10-02 | $16.12 | $15.55 | Long | 2262.0 | -3.53% | 45845.60 | 45845.60 |
| SPXL | 2015-12-21 | 2015-12-22 | $18.61 | $18.95 | Long | 1955.0 | 1.81% | 46504.08 | 46504.08 |
| SPXL | 2015-12-29 | 2016-01-07 | $20.00 | $16.86 | Long | 1927.0 | -15.68% | 40461.22 | 40461.22 |
| SPXL | 2016-03-07 | 2016-03-21 | $17.49 | $19.05 | Long | 1854.0 | 8.87% | 43338.04 | 43338.04 |
| SPXL | 2016-05-27 | 2016-06-21 | $20.39 | $20.39 | Long | 1722.0 | -0.02% | 43330.04 | 43330.04 |
| SPXL | 2016-06-28 | 2016-07-20 | $18.26 | $22.60 | Long | 1916.0 | 23.77% | 51648.29 | 51648.29 |
| SPXL | 2016-07-27 | 2016-08-02 | $22.74 | $22.55 | Long | 1856.0 | -0.84% | 51294.77 | 51294.77 |
| SPXL | 2016-09-28 | 2016-10-20 | $22.44 | $21.74 | Long | 1898.0 | -3.09% | 49980.94 | 49980.94 |
| SPXL | 2016-10-27 | 2016-11-21 | $21.95 | $23.28 | Long | 1879.0 | 6.05% | 52477.54 | 52477.54 |
| SPXL | 2016-11-28 | 2016-12-13 | $23.90 | $25.79 | Long | 1779.0 | 7.91% | 55841.32 | 55841.32 |
| SPXL | 2017-05-04 | 2017-05-22 | $30.39 | $30.30 | Long | 1498.0 | -0.31% | 55702.14 | 55702.14 |
| SPXL | 2017-05-30 | 2017-06-09 | $31.25 | $32.28 | Long | 1439.0 | 3.30% | 57186.26 | 57186.26 |
| SPXL | 2017-07-19 | 2017-07-20 | $33.30 | $33.84 | Long | 1406.0 | 1.62% | 57943.97 | 57943.97 |
| SPXL | 2017-08-14 | 2017-08-22 | $33.03 | $32.14 | Long | 1447.0 | -2.70% | 56653.26 | 56653.26 |
| SPXL | 2017-08-29 | 2017-09-20 | $31.89 | $35.13 | Long | 1402.0 | 10.17% | 61199.59 | 61199.59 |
| SPXL | 2017-09-27 | 2017-10-04 | $35.02 | $36.19 | Long | 1423.0 | 3.34% | 62865.55 | 62865.55 |
| SPXL | 2018-03-02 | 2018-03-21 | $40.97 | $43.70 | Long | 1164.0 | 6.65% | 66035.46 | 66035.46 |
| SPXL | 2018-03-28 | 2018-04-12 | $38.69 | $40.37 | Long | 1298.0 | 4.34% | 68216.53 | 68216.53 |
| SPXL | 2018-04-13 | 2018-04-19 | $41.31 | $42.30 | Long | 1368.0 | 2.38% | 69564.04 | 69564.04 |
| SPXL | 2018-04-26 | 2018-05-22 | $40.02 | $44.04 | Long | 1437.0 | 10.04% | 75336.97 | 75336.97 |
| SPXL | 2018-05-30 | 2018-06-18 | $42.32 | $45.10 | Long | 1444.0 | 6.57% | 79353.08 | 79353.08 |
| SPXL | 2019-06-06 | 2019-06-19 | $44.99 | $49.39 | Long | 1443.0 | 9.79% | 85707.50 | 85707.50 |
| SPXL | 2019-08-28 | 2019-09-19 | $45.59 | $53.10 | Long | 1468.0 | 16.49% | 96741.30 | 96741.30 |
| SPXL | 2019-09-26 | 2019-10-22 | $51.70 | $52.85 | Long | 1540.0 | 2.22% | 98506.98 | 98506.98 |
| SPXL | 2019-10-29 | 2019-11-01 | $54.04 | $55.00 | Long | 1477.0 | 1.78% | 99925.41 | 99925.41 |
| SPXL | 2020-10-06 | 2020-10-21 | $54.15 | $55.51 | Long | 1545.0 | 2.51% | 102025.29 | 102025.29 |
| SPXL | 2020-10-28 | 2020-11-19 | $50.13 | $60.82 | Long | 1538.0 | 21.32% | 118460.39 | 118460.39 |
| SPXL | 2020-11-27 | 2020-12-02 | $65.08 | $65.56 | Long | 1482.0 | 0.74% | 119175.45 | 119175.45 |
| SPXL | 2021-03-04 | 2021-03-22 | $74.31 | $79.97 | Long | 1252.0 | 7.62% | 126265.25 | 126265.25 |
| SPXL | 2021-03-29 | 2021-04-21 | $82.59 | $93.51 | Long | 1270.0 | 13.22% | 140135.01 | 140135.01 |
| SPXL | 2021-06-28 | 2021-07-16 | $104.48 | $110.84 | Long | 1095.0 | 6.09% | 147105.53 | 147105.53 |
| SPXL | 2021-09-28 | 2021-10-20 | $113.63 | $122.03 | Long | 1026.0 | 7.39% | 155722.77 | 155722.77 |
| SPXL | 2021-10-27 | 2021-11-05 | $126.33 | $137.21 | Long | 993.0 | 8.62% | 166532.53 | 166532.53 |
| SPXL | 2022-01-05 | 2022-01-18 | $143.66 | $128.01 | Long | 927.0 | -10.90% | 152018.95 | 152018.95 |
| SPXL | 2022-01-27 | 2022-02-15 | $110.45 | $113.61 | Long | 1095.0 | 2.86% | 155480.17 | 155480.17 |
| SPXL | 2022-02-24 | 2022-03-03 | $89.64 | $110.18 | Long | 1199.0 | 22.91% | 180103.07 | 180103.07 |
| SPXL | 2022-04-01 | 2022-04-14 | $119.53 | $111.61 | Long | 1182.0 | -6.63% | 170739.16 | 170739.16 |
| SPXL | 2022-04-27 | 2022-05-10 | $92.13 | $82.48 | Long | 1406.0 | -10.47% | 157170.23 | 157170.23 |
| SPXL | 2022-07-19 | 2022-07-20 | $69.17 | $72.52 | Long | 1807.0 | 4.85% | 163228.46 | 163228.46 |
| SPXL | 2022-07-27 | 2022-08-17 | $73.45 | $91.68 | Long | 1805.0 | 24.81% | 196128.04 | 196128.04 |
| SPXL | 2022-11-14 | 2022-11-21 | $69.57 | $68.38 | Long | 2299.0 | -1.72% | 193376.91 | 193376.91 |
| SPXL | 2022-11-28 | 2022-12-08 | $70.51 | $67.89 | Long | 2174.0 | -3.71% | 187686.17 | 187686.17 |
| SPXL | 2022-12-28 | 2023-01-20 | $61.21 | $64.74 | Long | 2454.0 | 5.76% | 196343.47 | 196343.47 |
| SPXL | 2023-01-27 | 2023-02-17 | $71.44 | $71.96 | Long | 2233.0 | 0.74% | 197516.27 | 197516.27 |
| SPXL | 2023-02-24 | 2023-03-13 | $66.13 | $59.07 | Long | 2306.0 | -10.67% | 181245.91 | 181245.91 |
| SPXL | 2023-03-21 | 2023-03-22 | $66.94 | $67.64 | Long | 2302.0 | 1.06% | 182871.79 | 182871.79 |
| SPXL | 2023-03-29 | 2023-04-19 | $68.02 | $73.88 | Long | 2245.0 | 8.61% | 196025.76 | 196025.76 |
| SPXL | 2023-05-09 | 2023-05-10 | $72.50 | $73.96 | Long | 2160.0 | 2.02% | 199184.37 | 199184.37 |
| SPXL | 2023-05-11 | 2023-05-22 | $72.90 | $76.16 | Long | 2181.0 | 4.48% | 206300.68 | 206300.68 |
| SPXL | 2023-05-30 | 2023-06-08 | $77.72 | $79.96 | Long | 2253.0 | 2.88% | 211343.44 | 211343.44 |
| SPXL | 2023-08-31 | 2023-09-20 | $92.50 | $88.13 | Long | 1874.0 | -4.73% | 203145.81 | 203145.81 |
| SPXL | 2023-09-27 | 2023-10-10 | $78.12 | $80.91 | Long | 2075.0 | 3.57% | 208935.06 | 208935.06 |
Signals
| Strategy | Size | Ticker | Date | State | Type | Profit | TimeFrame |
|---|---|---|---|---|---|---|---|
| AutoSPXL | 0.00 | Out | EOD |