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 | default |
| NoOfTrades | 104.00 |
| NoOfWins | 71.00 |
| NoOfLosses | 33.00 |
| SharpRatio | 0.94 |
| SortinoRatio | 1.35 |
| GrossProfit | $254782.33 |
| FirstDate | 2009-01-02 |
| LastDate | 2023-10-10 |
| FirstEquity | $10000.00 |
| FinalEquity | $264782.33 |
| OpenEquity | $0.00 |
| LongEquity | $254782.33 |
| ShortEquity | $0.00 |
| PercentWins | 68.27% |
| AveWin | 9.85% |
| AveLoss | -7.00% |
| AveWinLoss | 1.41 |
| Expectancy | 4.50% |
| AveDrawUp | 50.92% |
| AveDrawDown | -12.20% |
| MaxDrawDown | -20.48% |
| Kelly | 45.71% |
| Thorpe | 64.77 |
| Rachev | 0.74 |
| APR | 24.84% |
| CalmarRatio | 2.04 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| TECL | 2009-01-02 | 2009-01-13 | $0.24 | $0.24 | Long | 34613.0 | -1.48% | 9875.01 | 9875.01 |
| TECL | 2009-01-28 | 2009-02-02 | $0.25 | $0.20 | Long | 35338.0 | -17.50% | 8347.10 | 8347.10 |
| TECL | 2009-02-25 | 2009-03-03 | $0.19 | $0.17 | Long | 38655.0 | -9.10% | 7688.92 | 7688.92 |
| TECL | 2009-04-06 | 2009-04-21 | $0.28 | $0.27 | Long | 22023.0 | -2.24% | 7550.47 | 7550.47 |
| TECL | 2009-07-09 | 2009-07-22 | $0.35 | $0.48 | Long | 17628.0 | 37.11% | 9854.32 | 9854.32 |
| TECL | 2009-07-29 | 2009-08-10 | $0.50 | $0.51 | Long | 16073.0 | 1.96% | 10012.77 | 10012.77 |
| TECL | 2009-11-09 | 2009-11-19 | $0.67 | $0.73 | Long | 12682.0 | 8.71% | 10756.09 | 10756.09 |
| TECL | 2009-11-30 | 2009-12-22 | $0.68 | $0.80 | Long | 13064.0 | 16.70% | 12242.97 | 12242.97 |
| TECL | 2009-12-29 | 2010-01-19 | $0.85 | $0.82 | Long | 11671.0 | -3.64% | 11882.80 | 11882.80 |
| TECL | 2010-01-27 | 2010-02-01 | $0.71 | $0.63 | Long | 13500.0 | -11.41% | 10789.74 | 10789.74 |
| TECL | 2010-02-24 | 2010-03-16 | $0.69 | $0.80 | Long | 12292.0 | 15.39% | 12102.60 | 12102.60 |
| TECL | 2010-07-28 | 2010-08-12 | $0.77 | $0.63 | Long | 12426.0 | -18.19% | 10351.76 | 10351.76 |
| TECL | 2010-08-27 | 2010-09-21 | $0.60 | $0.79 | Long | 13588.0 | 31.14% | 12898.02 | 12898.02 |
| TECL | 2011-03-29 | 2011-04-20 | $1.13 | $1.13 | Long | 8994.0 | 0.37% | 12935.36 | 12935.36 |
| TECL | 2011-04-27 | 2011-05-18 | $1.24 | $1.13 | Long | 8665.0 | -8.58% | 12012.74 | 12012.74 |
| TECL | 2011-05-27 | 2011-06-07 | $1.13 | $1.05 | Long | 8887.0 | -6.37% | 11374.67 | 11374.67 |
| TECL | 2011-06-28 | 2011-07-20 | $0.99 | $1.21 | Long | 9789.0 | 21.84% | 13497.51 | 13497.51 |
| TECL | 2011-07-27 | 2011-08-03 | $1.19 | $1.02 | Long | 8975.0 | -14.27% | 11967.63 | 11967.63 |
| TECL | 2011-10-04 | 2011-10-20 | $0.68 | $0.94 | Long | 13338.0 | 39.52% | 15527.86 | 15527.86 |
| TECL | 2011-10-27 | 2011-11-02 | $1.06 | $0.97 | Long | 12641.0 | -8.35% | 14410.34 | 14410.34 |
| TECL | 2011-11-28 | 2011-12-16 | $0.84 | $0.87 | Long | 14936.0 | 3.44% | 14840.75 | 14840.75 |
| TECL | 2011-12-28 | 2012-01-20 | $0.91 | $1.06 | Long | 13365.0 | 17.12% | 16916.58 | 16916.58 |
| TECL | 2012-05-07 | 2012-05-18 | $1.31 | $1.14 | Long | 9759.0 | -13.17% | 15231.62 | 15231.62 |
| TECL | 2012-07-12 | 2012-07-13 | $1.08 | $1.08 | Long | 10996.0 | 0.00% | 15231.62 | 15231.62 |
| TECL | 2012-07-17 | 2012-07-20 | $1.14 | $1.21 | Long | 11045.0 | 6.63% | 16065.09 | 16065.09 |
| TECL | 2012-07-27 | 2012-08-15 | $1.16 | $1.35 | Long | 11400.0 | 15.82% | 18164.24 | 18164.24 |
| TECL | 2012-11-12 | 2012-11-16 | $1.11 | $1.03 | Long | 13624.0 | -7.25% | 17066.29 | 17066.29 |
| TECL | 2012-12-05 | 2012-12-07 | $1.18 | $1.19 | Long | 11601.0 | 1.08% | 17213.61 | 17213.61 |
| TECL | 2012-12-17 | 2012-12-20 | $1.15 | $1.22 | Long | 12075.0 | 6.54% | 18121.85 | 18121.85 |
| TECL | 2012-12-27 | 2013-01-23 | $1.16 | $1.28 | Long | 12408.0 | 9.89% | 19549.07 | 19549.07 |
| TECL | 2013-06-26 | 2013-07-22 | $1.41 | $1.52 | Long | 11508.0 | 7.93% | 20836.23 | 20836.23 |
| TECL | 2013-07-29 | 2013-08-07 | $1.54 | $1.59 | Long | 11126.0 | 3.42% | 21420.41 | 21420.41 |
| TECL | 2013-08-28 | 2013-09-19 | $1.48 | $1.71 | Long | 11387.0 | 15.44% | 24023.27 | 24023.27 |
| TECL | 2013-09-26 | 2013-10-22 | $1.66 | $1.83 | Long | 11755.0 | 10.17% | 26012.68 | 26012.68 |
| TECL | 2013-10-29 | 2013-10-31 | $1.87 | $1.85 | Long | 11500.0 | -0.99% | 25799.24 | 25799.24 |
| TECL | 2014-02-04 | 2014-02-19 | $1.93 | $2.26 | Long | 10293.0 | 16.66% | 29114.78 | 29114.78 |
| TECL | 2014-02-26 | 2014-03-10 | $2.26 | $2.33 | Long | 10374.0 | 2.93% | 29801.09 | 29801.09 |
| TECL | 2014-04-14 | 2014-04-22 | $2.15 | $2.29 | Long | 11306.0 | 6.61% | 31408.03 | 31408.03 |
| TECL | 2014-04-28 | 2014-05-21 | $2.24 | $2.40 | Long | 11286.0 | 7.16% | 33218.84 | 33218.84 |
| TECL | 2014-05-28 | 2014-06-17 | $2.57 | $2.66 | Long | 10624.0 | 3.42% | 34152.87 | 34152.87 |
| TECL | 2014-10-13 | 2014-10-15 | $2.65 | $2.48 | Long | 9764.0 | -6.64% | 32431.27 | 32431.27 |
| TECL | 2014-10-29 | 2014-11-14 | $3.01 | $3.39 | Long | 8897.0 | 12.84% | 35868.56 | 35868.56 |
| TECL | 2015-01-28 | 2015-02-18 | $3.16 | $3.67 | Long | 9141.0 | 16.20% | 40547.07 | 40547.07 |
| TECL | 2015-02-25 | 2015-03-05 | $3.83 | $3.79 | Long | 8613.0 | -1.05% | 40202.12 | 40202.12 |
| TECL | 2015-03-10 | 2015-03-13 | $3.57 | $3.42 | Long | 9004.0 | -4.10% | 38887.18 | 38887.18 |
| TECL | 2015-03-16 | 2015-03-20 | $3.39 | $3.67 | Long | 9212.0 | 8.27% | 41467.57 | 41467.57 |
| TECL | 2015-03-27 | 2015-04-21 | $3.35 | $3.61 | Long | 10137.0 | 7.55% | 44032.26 | 44032.26 |
| TECL | 2015-04-28 | 2015-05-20 | $3.85 | $3.87 | Long | 9302.0 | 0.58% | 44238.98 | 44238.98 |
| TECL | 2015-05-27 | 2015-06-19 | $3.79 | $3.75 | Long | 9291.0 | -0.95% | 43903.17 | 43903.17 |
| TECL | 2015-06-26 | 2015-07-09 | $3.69 | $3.37 | Long | 9477.0 | -8.73% | 40848.16 | 40848.16 |
| TECL | 2015-07-29 | 2015-08-20 | $3.57 | $3.42 | Long | 9341.0 | -4.32% | 39406.45 | 39406.45 |
| TECL | 2015-08-27 | 2015-09-21 | $2.98 | $3.01 | Long | 11762.0 | 1.02% | 39762.63 | 39762.63 |
| TECL | 2015-09-28 | 2015-10-02 | $2.84 | $2.79 | Long | 10903.0 | -1.72% | 39230.09 | 39230.09 |
| TECL | 2015-12-21 | 2015-12-22 | $3.49 | $3.56 | Long | 8946.0 | 2.24% | 39929.21 | 39929.21 |
| TECL | 2015-12-29 | 2016-01-05 | $3.71 | $3.44 | Long | 8914.0 | -7.36% | 37491.07 | 37491.07 |
| TECL | 2016-03-07 | 2016-03-21 | $3.27 | $3.65 | Long | 9208.0 | 11.50% | 40954.08 | 40954.08 |
| TECL | 2016-05-27 | 2016-06-21 | $3.67 | $3.58 | Long | 9065.0 | -2.48% | 40130.55 | 40130.55 |
| TECL | 2016-06-28 | 2016-07-20 | $3.22 | $4.10 | Long | 9998.0 | 27.37% | 48930.20 | 48930.20 |
| TECL | 2016-07-27 | 2016-08-02 | $4.33 | $4.35 | Long | 9477.0 | 0.59% | 49170.90 | 49170.90 |
| TECL | 2016-09-28 | 2016-10-20 | $4.74 | $4.65 | Long | 8682.0 | -1.77% | 48441.53 | 48441.53 |
| TECL | 2016-10-27 | 2016-11-15 | $4.73 | $4.28 | Long | 8373.0 | -9.32% | 44752.73 | 44752.73 |
| TECL | 2016-11-28 | 2016-12-13 | $4.73 | $4.93 | Long | 7654.0 | 4.13% | 46248.08 | 46248.08 |
| TECL | 2017-05-04 | 2017-05-22 | $7.06 | $7.24 | Long | 5323.0 | 2.57% | 47215.24 | 47215.24 |
| TECL | 2017-05-30 | 2017-06-09 | $7.63 | $8.13 | Long | 4979.0 | 6.59% | 49720.06 | 49720.06 |
| TECL | 2017-07-19 | 2017-07-20 | $7.98 | $8.15 | Long | 5141.0 | 2.04% | 50558.73 | 50558.73 |
| TECL | 2017-08-14 | 2017-08-22 | $8.14 | $7.98 | Long | 5272.0 | -1.94% | 49724.44 | 49724.44 |
| TECL | 2017-08-29 | 2017-09-20 | $8.01 | $8.74 | Long | 4925.0 | 9.10% | 53313.43 | 53313.43 |
| TECL | 2017-09-27 | 2017-10-04 | $8.40 | $8.79 | Long | 5177.0 | 4.62% | 55321.12 | 55321.12 |
| TECL | 2018-03-02 | 2018-03-21 | $11.76 | $12.77 | Long | 3471.0 | 8.55% | 58813.43 | 58813.43 |
| TECL | 2018-03-28 | 2018-04-12 | $10.70 | $11.49 | Long | 3910.0 | 7.40% | 61910.17 | 61910.17 |
| TECL | 2018-04-13 | 2018-04-19 | $11.87 | $12.15 | Long | 4364.0 | 2.36% | 63130.55 | 63130.55 |
| TECL | 2018-04-26 | 2018-05-22 | $11.12 | $13.28 | Long | 4739.0 | 19.48% | 73394.23 | 73394.23 |
| TECL | 2018-05-30 | 2018-06-18 | $13.19 | $14.18 | Long | 4556.0 | 7.54% | 77924.75 | 77924.75 |
| TECL | 2019-06-06 | 2019-06-19 | $13.27 | $15.27 | Long | 4789.0 | 15.12% | 87528.08 | 87528.08 |
| TECL | 2019-08-28 | 2019-09-19 | $14.78 | $16.95 | Long | 4599.0 | 14.65% | 97487.64 | 97487.64 |
| TECL | 2019-09-26 | 2019-10-22 | $16.52 | $17.12 | Long | 4960.0 | 3.61% | 100449.89 | 100449.89 |
| TECL | 2019-10-29 | 2019-11-01 | $18.32 | $18.40 | Long | 4487.0 | 0.42% | 100794.24 | 100794.24 |
| TECL | 2020-10-06 | 2020-10-21 | $30.40 | $31.66 | Long | 2780.0 | 4.14% | 104295.11 | 104295.11 |
| TECL | 2020-10-28 | 2020-11-11 | $27.90 | $31.47 | Long | 2855.0 | 12.81% | 114495.48 | 114495.48 |
| TECL | 2020-11-27 | 2020-12-02 | $33.76 | $35.30 | Long | 2794.0 | 4.56% | 118799.25 | 118799.25 |
| TECL | 2021-03-04 | 2021-03-22 | $38.13 | $38.68 | Long | 2347.0 | 1.43% | 120079.03 | 120079.03 |
| TECL | 2021-03-29 | 2021-04-21 | $40.63 | $48.20 | Long | 2561.0 | 18.64% | 139477.27 | 139477.27 |
| TECL | 2021-06-28 | 2021-07-16 | $53.08 | $60.16 | Long | 2138.0 | 13.34% | 154611.68 | 154611.68 |
| TECL | 2021-09-28 | 2021-10-05 | $60.77 | $54.77 | Long | 1974.0 | -9.89% | 142751.83 | 142751.83 |
| TECL | 2021-10-27 | 2021-11-05 | $68.10 | $78.41 | Long | 1687.0 | 15.14% | 160146.17 | 160146.17 |
| TECL | 2022-01-05 | 2022-01-07 | $84.30 | $76.17 | Long | 1461.0 | -9.65% | 148258.00 | 148258.00 |
| TECL | 2022-01-27 | 2022-02-15 | $59.72 | $61.17 | Long | 1971.0 | 2.42% | 151100.93 | 151100.93 |
| TECL | 2022-02-24 | 2022-03-03 | $44.71 | $58.43 | Long | 2206.0 | 30.68% | 181361.79 | 181361.79 |
| TECL | 2022-04-01 | 2022-04-07 | $61.08 | $54.37 | Long | 2308.0 | -10.97% | 165892.22 | 165892.22 |
| TECL | 2022-04-27 | 2022-05-09 | $41.94 | $37.94 | Long | 3017.0 | -9.54% | 153827.62 | 153827.62 |
| TECL | 2022-07-19 | 2022-07-20 | $31.46 | $33.16 | Long | 3868.0 | 5.41% | 160407.13 | 160407.13 |
| TECL | 2022-07-27 | 2022-08-17 | $33.91 | $44.37 | Long | 3828.0 | 30.83% | 200427.96 | 200427.96 |
| TECL | 2022-11-14 | 2022-11-18 | $27.32 | $28.02 | Long | 6135.0 | 2.59% | 204760.92 | 204760.92 |
| TECL | 2022-11-28 | 2022-12-08 | $27.14 | $25.74 | Long | 5887.0 | -5.13% | 196562.43 | 196562.43 |
| TECL | 2022-12-28 | 2023-01-20 | $21.49 | $24.01 | Long | 7194.0 | 11.73% | 214706.40 | 214706.40 |
| TECL | 2023-01-27 | 2023-02-17 | $27.72 | $30.51 | Long | 6226.0 | 10.07% | 232084.75 | 232084.75 |
| TECL | 2023-02-24 | 2023-03-14 | $27.83 | $28.75 | Long | 6375.0 | 3.30% | 237931.43 | 237931.43 |
| TECL | 2023-03-21 | 2023-03-22 | $32.74 | $32.90 | Long | 6073.0 | 0.49% | 238914.47 | 238914.47 |
| TECL | 2023-03-29 | 2023-04-19 | $33.56 | $34.97 | Long | 5911.0 | 4.20% | 247242.33 | 247242.33 |
| TECL | 2023-05-09 | 2023-05-10 | $35.91 | $36.57 | Long | 5510.0 | 1.84% | 250876.04 | 250876.04 |
| TECL | 2023-05-11 | 2023-05-22 | $36.74 | $40.53 | Long | 5556.0 | 10.31% | 271916.47 | 271916.47 |
| TECL | 2023-05-30 | 2023-06-08 | $48.63 | $45.32 | Long | 5096.0 | -6.80% | 255062.17 | 255062.17 |
| TECL | 2023-08-31 | 2023-09-14 | $53.16 | $49.96 | Long | 4001.0 | -6.02% | 242258.97 | 242258.97 |
| TECL | 2023-09-27 | 2023-10-10 | $42.17 | $47.13 | Long | 4541.0 | 11.76% | 264782.33 | 264782.33 |
Signals
| Strategy | Size | Ticker | Date | State | Type | Profit | TimeFrame |
|---|---|---|---|---|---|---|---|
| AutoTECL | 0.00 | Out | EOD |