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 TQQQ for all trades.
Trading happens on the next Open from the signal day.
Details
Metrics
| Metric | Measure |
|---|---|
| AccountName | default |
| NoOfTrades | 101.00 |
| NoOfWins | 76.00 |
| NoOfLosses | 25.00 |
| SharpRatio | 1.31 |
| SortinoRatio | 1.96 |
| GrossProfit | $456754.04 |
| FirstDate | 2010-02-16 |
| LastDate | 2023-10-10 |
| FirstEquity | $10000.00 |
| FinalEquity | $466754.04 |
| OpenEquity | $0.00 |
| LongEquity | $456754.04 |
| ShortEquity | $0.00 |
| PercentWins | 75.25% |
| AveWin | 9.35% |
| AveLoss | -7.15% |
| AveWinLoss | 1.31 |
| Expectancy | 5.27% |
| AveDrawUp | 54.35% |
| AveDrawDown | -11.88% |
| MaxDrawDown | -20.46% |
| Kelly | 56.31% |
| Thorpe | 96.47 |
| Rachev | 0.65 |
| APR | 32.53% |
| CalmarRatio | 2.74 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| TQQQ | 2010-02-16 | 2010-02-17 | $0.44 | $0.45 | Long | 19655.0 | 2.85% | 10243.62 | 10243.62 |
| TQQQ | 2010-02-24 | 2010-03-16 | $0.44 | $0.54 | Long | 18351.0 | 21.34% | 11984.67 | 11984.67 |
| TQQQ | 2010-07-28 | 2010-08-13 | $0.48 | $0.43 | Long | 20066.0 | -9.78% | 11051.20 | 11051.20 |
| TQQQ | 2010-08-27 | 2010-09-21 | $0.40 | $0.55 | Long | 21832.0 | 38.18% | 14372.00 | 14372.00 |
| TQQQ | 2011-03-29 | 2011-04-20 | $0.82 | $0.87 | Long | 13631.0 | 6.06% | 15052.00 | 15052.00 |
| TQQQ | 2011-04-27 | 2011-05-18 | $0.93 | $0.86 | Long | 13234.0 | -7.33% | 14146.09 | 14146.09 |
| TQQQ | 2011-05-27 | 2011-06-08 | $0.85 | $0.78 | Long | 13900.0 | -8.33% | 13159.15 | 13159.15 |
| TQQQ | 2011-06-28 | 2011-07-20 | $0.77 | $0.93 | Long | 14561.0 | 21.25% | 15540.36 | 15540.36 |
| TQQQ | 2011-07-27 | 2011-08-03 | $0.93 | $0.80 | Long | 13337.0 | -14.35% | 13751.17 | 13751.17 |
| TQQQ | 2011-10-04 | 2011-10-20 | $0.54 | $0.75 | Long | 18981.0 | 39.75% | 17819.50 | 17819.50 |
| TQQQ | 2011-10-27 | 2011-11-02 | $0.82 | $0.75 | Long | 18374.0 | -8.57% | 16520.50 | 16520.50 |
| TQQQ | 2011-11-28 | 2011-12-15 | $0.64 | $0.68 | Long | 22270.0 | 5.96% | 17365.64 | 17365.64 |
| TQQQ | 2011-12-28 | 2012-01-20 | $0.71 | $0.84 | Long | 20075.0 | 18.96% | 20056.70 | 20056.70 |
| TQQQ | 2012-05-04 | 2012-05-16 | $1.11 | $1.01 | Long | 13692.0 | -9.62% | 18588.65 | 18588.65 |
| TQQQ | 2012-07-11 | 2012-07-20 | $0.98 | $1.06 | Long | 14644.0 | 8.51% | 19807.71 | 19807.71 |
| TQQQ | 2012-07-27 | 2012-08-15 | $1.00 | $1.15 | Long | 16358.0 | 15.25% | 22297.54 | 22297.54 |
| TQQQ | 2012-11-12 | 2012-11-15 | $0.98 | $0.92 | Long | 18862.0 | -7.09% | 20981.37 | 20981.37 |
| TQQQ | 2012-12-17 | 2012-12-20 | $1.02 | $1.10 | Long | 16487.0 | 7.66% | 22273.11 | 22273.11 |
| TQQQ | 2012-12-27 | 2013-01-23 | $1.03 | $1.17 | Long | 17099.0 | 13.99% | 24732.70 | 24732.70 |
| TQQQ | 2013-06-26 | 2013-07-22 | $1.34 | $1.57 | Long | 15284.0 | 17.76% | 28356.34 | 28356.34 |
| TQQQ | 2013-07-29 | 2013-08-06 | $1.59 | $1.70 | Long | 14746.0 | 6.80% | 29953.93 | 29953.93 |
| TQQQ | 2013-08-28 | 2013-09-09 | $1.58 | $1.71 | Long | 14948.0 | 8.69% | 32000.41 | 32000.41 |
| TQQQ | 2013-09-10 | 2013-09-17 | $1.78 | $1.76 | Long | 15136.0 | -1.14% | 31691.57 | 31691.57 |
| TQQQ | 2013-09-26 | 2013-10-22 | $1.84 | $2.10 | Long | 13974.0 | 14.04% | 35298.29 | 35298.29 |
| TQQQ | 2013-10-29 | 2013-10-30 | $2.14 | $2.15 | Long | 13504.0 | 0.60% | 35471.87 | 35471.87 |
| TQQQ | 2014-02-04 | 2014-02-19 | $2.24 | $2.69 | Long | 12183.0 | 19.92% | 40910.66 | 40910.66 |
| TQQQ | 2014-02-26 | 2014-03-10 | $2.73 | $2.75 | Long | 12151.0 | 0.81% | 41178.41 | 41178.41 |
| TQQQ | 2014-03-19 | 2014-03-20 | $2.75 | $2.68 | Long | 12519.0 | -2.65% | 40263.97 | 40263.97 |
| TQQQ | 2014-04-14 | 2014-04-22 | $2.25 | $2.44 | Long | 14716.0 | 8.13% | 42960.27 | 42960.27 |
| TQQQ | 2014-04-28 | 2014-05-02 | $2.39 | $2.50 | Long | 14315.0 | 4.68% | 44560.83 | 44560.83 |
| TQQQ | 2014-05-05 | 2014-05-21 | $2.42 | $2.51 | Long | 14436.0 | 3.81% | 45892.16 | 45892.16 |
| TQQQ | 2014-05-28 | 2014-06-17 | $2.76 | $2.88 | Long | 13775.0 | 4.47% | 47589.75 | 47589.75 |
| TQQQ | 2014-10-13 | 2014-10-17 | $3.05 | $2.92 | Long | 11856.0 | -4.16% | 46084.88 | 46084.88 |
| TQQQ | 2014-10-29 | 2014-11-14 | $3.60 | $3.93 | Long | 10598.0 | 9.18% | 49584.12 | 49584.12 |
| TQQQ | 2015-01-16 | 2015-01-21 | $3.55 | $3.74 | Long | 10701.0 | 5.41% | 51637.15 | 51637.15 |
| TQQQ | 2015-01-28 | 2015-02-18 | $3.92 | $4.36 | Long | 10814.0 | 11.25% | 56404.56 | 56404.56 |
| TQQQ | 2015-02-25 | 2015-03-06 | $4.55 | $4.55 | Long | 10057.0 | 0.15% | 56474.36 | 56474.36 |
| TQQQ | 2015-03-09 | 2015-03-11 | $4.44 | $4.22 | Long | 10043.0 | -5.05% | 54223.71 | 54223.71 |
| TQQQ | 2015-03-12 | 2015-03-13 | $4.12 | $4.20 | Long | 10412.0 | 1.94% | 55056.74 | 55056.74 |
| TQQQ | 2015-03-16 | 2015-03-20 | $4.20 | $4.59 | Long | 10616.0 | 9.29% | 59203.85 | 59203.85 |
| TQQQ | 2015-03-27 | 2015-04-21 | $4.14 | $4.51 | Long | 11741.0 | 8.83% | 63493.76 | 63493.76 |
| TQQQ | 2015-04-28 | 2015-05-20 | $4.77 | $4.70 | Long | 10604.0 | -1.38% | 62796.79 | 62796.79 |
| TQQQ | 2015-05-27 | 2015-06-19 | $4.64 | $4.77 | Long | 10757.0 | 2.94% | 64263.54 | 64263.54 |
| TQQQ | 2015-06-26 | 2015-07-09 | $4.70 | $4.38 | Long | 10863.0 | -6.86% | 60760.09 | 60760.09 |
| TQQQ | 2015-07-29 | 2015-08-20 | $4.84 | $4.54 | Long | 10341.0 | -6.28% | 57614.97 | 57614.97 |
| TQQQ | 2015-08-27 | 2015-09-21 | $3.91 | $4.04 | Long | 13171.0 | 3.38% | 59357.11 | 59357.11 |
| TQQQ | 2015-09-28 | 2015-10-02 | $3.66 | $3.46 | Long | 12234.0 | -5.27% | 56999.73 | 56999.73 |
| TQQQ | 2015-10-29 | 2015-10-30 | $4.91 | $4.96 | Long | 9460.0 | 1.07% | 57497.93 | 57497.93 |
| TQQQ | 2015-12-29 | 2016-01-05 | $4.84 | $4.43 | Long | 9865.0 | -8.40% | 53490.74 | 53490.74 |
| TQQQ | 2016-03-03 | 2016-03-22 | $3.78 | $3.96 | Long | 11486.0 | 4.87% | 55605.52 | 55605.52 |
| TQQQ | 2016-05-27 | 2016-06-21 | $4.18 | $3.95 | Long | 10834.0 | -5.58% | 53075.62 | 53075.62 |
| TQQQ | 2016-06-28 | 2016-07-20 | $3.50 | $4.51 | Long | 12206.0 | 29.09% | 65493.31 | 65493.31 |
| TQQQ | 2016-07-27 | 2016-08-01 | $4.76 | $4.83 | Long | 11472.0 | 1.50% | 66312.89 | 66312.89 |
| TQQQ | 2016-08-04 | 2016-08-05 | $4.83 | $4.95 | Long | 11255.0 | 2.55% | 67700.52 | 67700.52 |
| TQQQ | 2016-09-28 | 2016-10-20 | $5.25 | $5.11 | Long | 10801.0 | -2.65% | 66201.31 | 66201.31 |
| TQQQ | 2016-10-27 | 2016-11-04 | $5.26 | $4.60 | Long | 10318.0 | -12.63% | 59343.75 | 59343.75 |
| TQQQ | 2016-11-28 | 2016-12-13 | $5.19 | $5.27 | Long | 9269.0 | 1.58% | 60104.34 | 60104.34 |
| TQQQ | 2017-05-04 | 2017-05-22 | $7.95 | $8.12 | Long | 6102.0 | 2.13% | 61135.66 | 61135.66 |
| TQQQ | 2017-05-30 | 2017-06-09 | $8.64 | $9.12 | Long | 5742.0 | 5.52% | 63873.60 | 63873.60 |
| TQQQ | 2017-07-14 | 2017-07-19 | $8.68 | $9.04 | Long | 6043.0 | 4.12% | 66034.71 | 66034.71 |
| TQQQ | 2017-08-14 | 2017-08-15 | $8.94 | $9.12 | Long | 6234.0 | 2.09% | 67200.31 | 67200.31 |
| TQQQ | 2017-08-16 | 2017-08-22 | $9.15 | $8.65 | Long | 5966.0 | -5.44% | 64228.90 | 64228.90 |
| TQQQ | 2017-08-29 | 2017-09-20 | $8.52 | $9.41 | Long | 5943.0 | 10.39% | 69493.74 | 69493.74 |
| TQQQ | 2017-09-27 | 2017-10-05 | $9.05 | $9.55 | Long | 6270.0 | 5.49% | 72611.44 | 72611.44 |
| TQQQ | 2018-03-02 | 2018-03-21 | $12.47 | $13.55 | Long | 4323.0 | 8.72% | 77312.97 | 77312.97 |
| TQQQ | 2018-03-28 | 2018-04-19 | $11.33 | $12.82 | Long | 4796.0 | 13.12% | 84439.86 | 84439.86 |
| TQQQ | 2018-04-26 | 2018-05-22 | $11.66 | $13.49 | Long | 6084.0 | 15.72% | 95586.94 | 95586.94 |
| TQQQ | 2018-05-30 | 2018-06-18 | $13.57 | $15.06 | Long | 5769.0 | 11.01% | 104206.83 | 104206.83 |
| TQQQ | 2019-06-06 | 2019-06-19 | $12.81 | $15.09 | Long | 6580.0 | 17.87% | 119266.88 | 119266.88 |
| TQQQ | 2019-08-28 | 2019-09-19 | $14.01 | $16.08 | Long | 6646.0 | 14.74% | 132994.38 | 132994.38 |
| TQQQ | 2019-09-26 | 2019-10-22 | $15.39 | $16.28 | Long | 7227.0 | 5.79% | 139429.90 | 139429.90 |
| TQQQ | 2019-10-29 | 2019-11-04 | $17.06 | $17.81 | Long | 6685.0 | 4.40% | 144448.03 | 144448.03 |
| TQQQ | 2020-10-05 | 2020-10-21 | $31.53 | $34.13 | Long | 3721.0 | 8.27% | 154145.56 | 154145.56 |
| TQQQ | 2020-10-28 | 2020-11-11 | $31.76 | $33.88 | Long | 3789.0 | 6.68% | 162188.56 | 162188.56 |
| TQQQ | 2020-11-27 | 2020-12-02 | $38.29 | $39.81 | Long | 3528.0 | 3.95% | 167530.40 | 167530.40 |
| TQQQ | 2021-03-04 | 2021-03-22 | $41.21 | $43.33 | Long | 3025.0 | 5.14% | 173944.22 | 173944.22 |
| TQQQ | 2021-03-29 | 2021-04-20 | $43.31 | $53.03 | Long | 3388.0 | 22.45% | 206885.15 | 206885.15 |
| TQQQ | 2021-06-28 | 2021-07-16 | $58.29 | $63.64 | Long | 2881.0 | 9.16% | 222276.60 | 222276.60 |
| TQQQ | 2021-09-28 | 2021-10-05 | $65.35 | $58.88 | Long | 2654.0 | -9.89% | 205121.45 | 205121.45 |
| TQQQ | 2021-10-27 | 2021-11-05 | $72.42 | $84.64 | Long | 2282.0 | 16.87% | 233009.80 | 233009.80 |
| TQQQ | 2022-01-05 | 2022-01-10 | $79.70 | $67.90 | Long | 2237.0 | -14.80% | 206626.57 | 206626.57 |
| TQQQ | 2022-01-27 | 2022-02-07 | $54.38 | $57.98 | Long | 2991.0 | 6.62% | 217401.66 | 217401.66 |
| TQQQ | 2022-02-24 | 2022-03-02 | $40.01 | $49.74 | Long | 3570.0 | 24.31% | 252129.68 | 252129.68 |
| TQQQ | 2022-03-31 | 2022-04-07 | $59.52 | $52.25 | Long | 3373.0 | -12.22% | 227595.44 | 227595.44 |
| TQQQ | 2022-04-27 | 2022-05-03 | $37.47 | $37.49 | Long | 4448.0 | 0.05% | 227682.76 | 227682.76 |
| TQQQ | 2022-07-18 | 2022-07-20 | $27.10 | $28.13 | Long | 7151.0 | 3.80% | 235053.21 | 235053.21 |
| TQQQ | 2022-07-27 | 2022-08-17 | $28.07 | $36.82 | Long | 6808.0 | 31.15% | 294596.86 | 294596.86 |
| TQQQ | 2022-11-11 | 2022-11-18 | $21.04 | $22.15 | Long | 12064.0 | 5.27% | 307978.47 | 307978.47 |
| TQQQ | 2022-11-28 | 2022-12-08 | $21.40 | $20.49 | Long | 11375.0 | -4.27% | 297594.29 | 297594.29 |
| TQQQ | 2022-12-28 | 2023-01-20 | $16.53 | $18.93 | Long | 13986.0 | 14.48% | 331072.42 | 331072.42 |
| TQQQ | 2023-01-27 | 2023-02-17 | $22.07 | $23.72 | Long | 12226.0 | 7.47% | 351226.23 | 351226.23 |
| TQQQ | 2023-02-24 | 2023-03-14 | $21.47 | $21.83 | Long | 12431.0 | 1.70% | 355766.30 | 355766.30 |
| TQQQ | 2023-03-20 | 2023-03-22 | $24.11 | $25.53 | Long | 11710.0 | 5.88% | 372365.33 | 372365.33 |
| TQQQ | 2023-03-29 | 2023-04-19 | $25.58 | $26.68 | Long | 12083.0 | 4.31% | 385684.64 | 385684.64 |
| TQQQ | 2023-05-09 | 2023-05-10 | $27.79 | $28.32 | Long | 11195.0 | 1.91% | 391632.51 | 391632.51 |
| TQQQ | 2023-05-11 | 2023-05-22 | $28.70 | $31.46 | Long | 11200.0 | 9.60% | 422497.42 | 422497.42 |
| TQQQ | 2023-05-30 | 2023-06-07 | $36.06 | $36.68 | Long | 10503.0 | 1.74% | 429068.52 | 429068.52 |
| TQQQ | 2023-06-12 | 2023-06-13 | $36.89 | $39.10 | Long | 9541.0 | 5.98% | 450102.95 | 450102.95 |
| TQQQ | 2023-06-14 | 2023-06-15 | $39.08 | $39.46 | Long | 9324.0 | 0.99% | 453714.15 | 453714.15 |
| TQQQ | 2023-08-31 | 2023-09-20 | $41.89 | $39.77 | Long | 8903.0 | -5.05% | 434873.94 | 434873.94 |
| TQQQ | 2023-09-27 | 2023-10-10 | $34.81 | $38.01 | Long | 9975.0 | 9.18% | 466754.04 | 466754.04 |
Signals
| Strategy | Size | Ticker | Date | State | Type | Profit | TimeFrame |
|---|---|---|---|---|---|---|---|
| AutoTQQQ | 0.00 | Out | EOD |