Strategy - AutoTECL


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 TECL for all trades.

Trading happens on the next Open from the signal day.

Details

Metrics

Metric Measure
AccountName 634bf17b-5bf0-415e-b741-20872e4b2fe8
NoOfTrades 104.00
NoOfWins 70.00
NoOfLosses 34.00
SharpRatio 0.93
SortinoRatio 1.33
GrossProfit $230643.04
FirstDate 2008-12-31
LastDate 2023-10-10
FirstEquity $10000.00
FinalEquity $240643.04
OpenEquity $0.00
LongEquity $230643.04
ShortEquity $0.00
PercentWins 67.31%
AveWin 10.01%
AveLoss -7.21%
AveWinLoss 1.39
Expectancy 4.38%
MedianDrawUp 50.43%
MednDrawDown -15.49%
MaxDrawDown -20.50%
Kelly 43.75%
Thorpe 3.98
Rachev 1.35
PAPR 10.51%
APR 24.02%
CalmarRatio 1.83

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
TECL 2008-12-31 2009-01-13 $0.23 $0.24 Long 35980 2.40% 10201.56 10201.56
TECL 2009-01-28 2009-02-02 $0.25 $0.20 Long 36597 -17.50% 8623.13 8623.13
TECL 2009-02-25 2009-03-03 $0.19 $0.17 Long 40032 -9.10% 7943.19 7943.19
TECL 2009-04-06 2009-04-21 $0.28 $0.27 Long 22808 -2.24% 7800.16 7800.16
TECL 2009-07-09 2009-07-22 $0.35 $0.48 Long 18256 37.11% 10180.19 10180.19
TECL 2009-07-29 2009-08-10 $0.50 $0.51 Long 16646 1.96% 10343.87 10343.87
TECL 2009-11-09 2009-11-18 $0.67 $0.75 Long 13134 12.10% 11409.80 11409.80
TECL 2009-11-25 2009-11-27 $0.72 $0.67 Long 12755 -7.65% 10707.04 10707.04
TECL 2009-11-30 2009-12-21 $0.68 $0.77 Long 13037 12.73% 11834.83 11834.83
TECL 2009-12-29 2010-01-19 $0.85 $0.81 Long 11310 -3.64% 11486.68 11486.68
TECL 2010-01-27 2010-02-01 $0.71 $0.63 Long 13082 -11.41% 10430.07 10430.07
TECL 2010-02-24 2010-03-16 $0.69 $0.80 Long 11912 15.39% 11699.20 11699.20
TECL 2010-07-28 2010-08-12 $0.77 $0.63 Long 12042 -18.19% 10006.65 10006.65
TECL 2010-08-27 2010-09-21 $0.60 $0.79 Long 13168 31.14% 12468.10 12468.10
TECL 2011-03-29 2011-04-19 $1.13 $1.06 Long 8716 -5.68% 11909.68 11909.68
TECL 2011-04-27 2011-05-18 $1.24 $1.13 Long 7998 -8.58% 11060.19 11060.19
TECL 2011-05-26 2011-06-07 $1.09 $1.05 Long 8322 -3.64% 10729.74 10729.74
TECL 2011-06-28 2011-07-20 $0.99 $1.21 Long 9257 21.84% 12732.25 12732.25
TECL 2011-07-27 2011-08-03 $1.19 $1.02 Long 8487 -14.27% 11289.14 11289.14
TECL 2011-10-04 2011-10-20 $0.67 $0.94 Long 12613 39.52% 14647.52 14647.52
TECL 2011-10-27 2011-11-02 $1.06 $0.97 Long 11954 -8.35% 13593.34 13593.34
TECL 2011-11-28 2011-12-16 $0.84 $0.86 Long 14124 3.44% 13999.35 13999.35
TECL 2011-12-28 2012-01-20 $0.90 $1.06 Long 12638 17.12% 15957.42 15957.42
TECL 2012-05-07 2012-05-18 $1.31 $1.14 Long 9229 -13.17% 14367.91 14367.91
TECL 2012-07-12 2012-07-13 $1.08 $1.08 Long 10399 0.00% 14367.91 14367.91
TECL 2012-07-17 2012-07-20 $1.13 $1.21 Long 10444 6.63% 15154.08 15154.08
TECL 2012-07-27 2012-08-15 $1.16 $1.34 Long 10780 15.82% 17134.15 17134.15
TECL 2012-11-12 2012-11-16 $1.11 $1.03 Long 12883 -7.25% 16098.49 16098.49
TECL 2012-12-05 2012-12-07 $1.18 $1.19 Long 10971 1.08% 16237.47 16237.47
TECL 2012-12-17 2012-12-19 $1.15 $1.24 Long 11419 8.35% 17330.69 17330.69
TECL 2012-12-27 2013-01-22 $1.16 $1.24 Long 11896 6.85% 18275.42 18275.42
TECL 2013-06-26 2013-07-22 $1.41 $1.52 Long 10785 7.93% 19478.73 19478.73
TECL 2013-07-29 2013-08-07 $1.53 $1.58 Long 10427 3.42% 20024.86 20024.86
TECL 2013-08-28 2013-09-19 $1.48 $1.71 Long 10672 15.44% 22458.26 22458.26
TECL 2013-09-26 2013-10-22 $1.66 $1.83 Long 11017 10.17% 24318.15 24318.15
TECL 2013-10-29 2013-10-31 $1.86 $1.84 Long 10778 -0.99% 24118.60 24118.60
TECL 2014-02-04 2014-02-19 $1.93 $2.25 Long 9646 16.66% 27218.04 27218.04
TECL 2014-02-26 2014-03-10 $2.25 $2.32 Long 9722 2.93% 27859.63 27859.63
TECL 2014-04-14 2014-04-21 $2.15 $2.25 Long 10596 5.06% 29010.87 29010.87
TECL 2014-04-28 2014-05-20 $2.24 $2.42 Long 10450 8.26% 30940.52 30940.52
TECL 2014-05-28 2014-06-17 $2.57 $2.66 Long 9920 3.42% 31810.49 31810.49
TECL 2014-10-13 2014-10-15 $2.65 $2.47 Long 9117 -6.64% 30206.95 30206.95
TECL 2014-10-29 2014-11-14 $3.00 $3.39 Long 8308 12.84% 33408.74 33408.74
TECL 2015-01-28 2015-02-18 $3.15 $3.66 Long 8535 16.20% 37766.27 37766.27
TECL 2015-02-25 2015-03-05 $3.82 $3.78 Long 8042 -1.05% 37444.98 37444.98
TECL 2015-03-10 2015-03-13 $3.56 $3.41 Long 8407 -4.10% 36220.27 36220.27
TECL 2015-03-16 2015-03-20 $3.38 $3.66 Long 8602 8.27% 38623.83 38623.83
TECL 2015-03-27 2015-04-21 $3.34 $3.60 Long 9465 7.55% 41012.58 41012.58
TECL 2015-04-28 2015-05-19 $3.84 $3.88 Long 8685 0.93% 41323.60 41323.60
TECL 2015-05-27 2015-06-19 $3.78 $3.74 Long 8700 -0.95% 41009.93 41009.93
TECL 2015-06-26 2015-07-09 $3.68 $3.36 Long 8875 -8.73% 38156.07 38156.07
TECL 2015-07-29 2015-08-20 $3.57 $3.41 Long 8747 -4.32% 36809.38 36809.38
TECL 2015-08-27 2015-09-21 $2.97 $3.00 Long 11014 1.02% 37142.08 37142.08
TECL 2015-09-28 2015-10-02 $2.83 $2.79 Long 10209 -1.72% 36644.69 36644.69
TECL 2015-12-29 2016-01-05 $3.71 $3.43 Long 8201 -7.36% 34407.13 34407.13
TECL 2016-03-07 2016-03-21 $3.26 $3.64 Long 8471 11.50% 37585.07 37585.07
TECL 2016-05-26 2016-06-21 $3.65 $3.57 Long 8416 -2.19% 36912.61 36912.61
TECL 2016-06-28 2016-07-20 $3.21 $4.09 Long 9219 27.37% 45006.53 45006.53
TECL 2016-07-27 2016-08-02 $4.31 $4.34 Long 8739 0.59% 45227.94 45227.94
TECL 2016-09-28 2016-10-20 $4.72 $4.64 Long 8005 -1.77% 44557.11 44557.11
TECL 2016-10-27 2016-11-15 $4.71 $4.27 Long 7721 -9.32% 41163.98 41163.98
TECL 2016-11-28 2016-12-13 $4.72 $4.92 Long 7058 4.13% 42539.48 42539.48
TECL 2017-05-04 2017-05-19 $7.05 $7.20 Long 4909 2.20% 43300.06 43300.06
TECL 2017-05-26 2017-06-09 $7.66 $8.11 Long 4631 5.89% 45389.38 45389.38
TECL 2017-07-19 2017-07-20 $7.96 $8.13 Long 4705 2.04% 46155.03 46155.03
TECL 2017-08-14 2017-08-22 $8.12 $7.96 Long 4825 -1.94% 45393.36 45393.36
TECL 2017-08-29 2017-09-20 $7.99 $8.72 Long 4507 9.10% 48669.61 48669.61
TECL 2017-09-27 2017-10-04 $8.38 $8.77 Long 4737 4.62% 50502.12 50502.12
TECL 2018-03-02 2018-03-20 $11.73 $12.77 Long 3177 8.81% 53786.77 53786.77
TECL 2018-03-27 2018-03-28 $12.15 $10.67 Long 3840 -12.18% 48101.26 48101.26
TECL 2018-04-13 2018-04-19 $11.84 $12.12 Long 3399 2.36% 49049.43 49049.43
TECL 2018-04-26 2018-05-21 $11.09 $13.09 Long 3691 18.05% 56436.76 56436.76
TECL 2018-05-29 2018-06-18 $13.02 $14.15 Long 3457 8.69% 60344.72 60344.72
TECL 2019-06-06 2019-06-19 $13.23 $15.23 Long 3718 15.12% 67781.92 67781.92
TECL 2019-08-28 2019-09-19 $14.75 $16.91 Long 3570 14.65% 75493.95 75493.95
TECL 2019-09-26 2019-10-22 $16.48 $17.08 Long 3851 3.61% 77788.17 77788.17
TECL 2019-10-29 2019-11-01 $18.27 $18.35 Long 3483 0.42% 78054.81 78054.81
TECL 2020-10-06 2020-10-21 $30.32 $31.58 Long 2158 4.14% 80765.67 80765.67
TECL 2020-10-28 2020-11-11 $27.83 $31.39 Long 2216 12.81% 88663.41 88663.41
TECL 2020-11-25 2020-12-02 $33.10 $35.21 Long 2251 6.37% 93413.12 93413.12
TECL 2021-03-04 2021-03-22 $38.04 $38.58 Long 1850 1.43% 94419.40 94419.40
TECL 2021-03-29 2021-04-21 $40.53 $48.08 Long 2019 18.64% 109674.41 109674.41
TECL 2021-06-28 2021-07-16 $52.95 $60.01 Long 1685 13.34% 121572.60 121572.60
TECL 2021-09-28 2021-10-05 $60.62 $54.63 Long 1556 -9.89% 112247.25 112247.25
TECL 2021-10-27 2021-11-05 $67.93 $78.22 Long 1330 15.14% 125926.68 125926.68
TECL 2022-01-05 2022-01-07 $84.10 $75.98 Long 1152 -9.65% 116576.06 116576.06
TECL 2022-01-27 2022-02-15 $59.58 $61.02 Long 1554 2.42% 118811.96 118811.96
TECL 2022-02-24 2022-03-03 $44.60 $58.29 Long 1739 30.68% 142607.67 142607.67
TECL 2022-04-01 2022-04-07 $60.93 $54.24 Long 1819 -10.97% 130445.85 130445.85
TECL 2022-04-27 2022-05-09 $41.83 $37.85 Long 2378 -9.54% 120960.08 120960.08
TECL 2022-07-19 2022-07-20 $31.39 $33.08 Long 3049 5.41% 126133.63 126133.63
TECL 2022-07-27 2022-08-17 $33.83 $44.26 Long 3017 30.83% 157597.55 157597.55
TECL 2022-11-14 2022-11-18 $27.25 $27.95 Long 4836 2.59% 161004.61 161004.61
TECL 2022-11-28 2022-12-08 $27.07 $25.68 Long 4640 -5.13% 154558.75 154558.75
TECL 2022-12-28 2023-01-20 $21.44 $23.96 Long 5671 11.73% 168826.14 168826.14
TECL 2023-01-27 2023-02-16 $27.65 $31.51 Long 4907 13.95% 187758.84 187758.84
TECL 2023-02-24 2023-03-14 $27.76 $28.68 Long 5170 3.30% 192488.64 192488.64
TECL 2023-03-21 2023-03-22 $32.66 $32.82 Long 4925 0.49% 193283.88 193283.88
TECL 2023-03-29 2023-04-19 $33.48 $34.89 Long 4794 4.20% 200021.31 200021.31
TECL 2023-05-09 2023-05-10 $35.82 $36.48 Long 4469 1.84% 202961.19 202961.19
TECL 2023-05-11 2023-05-19 $36.65 $41.03 Long 4506 11.94% 222677.80 222677.80
TECL 2023-05-26 2023-06-08 $43.11 $45.21 Long 4342 4.88% 231809.45 231809.45
TECL 2023-08-31 2023-09-14 $53.03 $49.84 Long 3645 -6.02% 220174.33 220174.33
TECL 2023-09-27 2023-10-10 $42.07 $47.01 Long 4137 11.76% 240643.04 240643.04

Signals

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