Strategy - AutoTQQQ


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 ee41ab3b-96f3-497b-a093-75d5c702f4b0
NoOfTrades 101.00
NoOfWins 74.00
NoOfLosses 27.00
SharpRatio 1.29
SortinoRatio 1.93
GrossProfit $432593.84
FirstDate 2010-02-12
LastDate 2023-10-10
FirstEquity $10000.00
FinalEquity $442593.84
OpenEquity $0.00
LongEquity $432593.84
ShortEquity $0.00
PercentWins 73.27%
AveWin 9.64%
AveLoss -6.97%
AveWinLoss 1.38
Expectancy 5.20%
MedianDrawUp 44.92%
MednDrawDown -14.69%
MaxDrawDown -20.46%
Kelly 53.93%
Thorpe 6.01
Rachev 1.53
PAPR 17.25%
APR 31.99%
CalmarRatio 2.55

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
TQQQ 2010-02-12 2010-02-17 $0.41 $0.44 Long 20492 8.65% 10724.76 10724.76
TQQQ 2010-02-24 2010-03-16 $0.44 $0.54 Long 19369 21.34% 12547.62 12547.62
TQQQ 2010-07-28 2010-08-13 $0.47 $0.43 Long 21179 -9.78% 11570.29 11570.29
TQQQ 2010-08-27 2010-09-21 $0.40 $0.55 Long 23043 38.18% 15047.11 15047.11
TQQQ 2011-03-29 2011-04-19 $0.82 $0.81 Long 14387 -0.42% 14997.60 14997.60
TQQQ 2011-04-27 2011-05-18 $0.93 $0.86 Long 13293 -7.33% 14094.97 14094.97
TQQQ 2011-05-26 2011-06-08 $0.82 $0.77 Long 14048 -5.22% 13495.05 13495.05
TQQQ 2011-06-28 2011-07-20 $0.76 $0.93 Long 15054 21.25% 15937.08 15937.08
TQQQ 2011-07-27 2011-08-03 $0.93 $0.79 Long 13789 -14.35% 14102.14 14102.14
TQQQ 2011-10-04 2011-10-20 $0.53 $0.75 Long 19623 39.75% 18274.24 18274.24
TQQQ 2011-10-27 2011-11-02 $0.82 $0.75 Long 18996 -8.57% 16942.07 16942.07
TQQQ 2011-11-28 2011-12-15 $0.63 $0.67 Long 23023 5.96% 17808.77 17808.77
TQQQ 2011-12-28 2012-01-20 $0.70 $0.83 Long 20755 18.96% 20568.61 20568.61
TQQQ 2012-05-04 2012-05-16 $1.11 $1.00 Long 14156 -9.62% 19063.00 19063.00
TQQQ 2012-07-11 2012-07-20 $0.97 $1.05 Long 15140 8.51% 20313.22 20313.22
TQQQ 2012-07-27 2012-08-15 $0.99 $1.14 Long 16911 15.25% 22866.52 22866.52
TQQQ 2012-11-12 2012-11-15 $0.98 $0.91 Long 19500 -7.09% 21516.75 21516.75
TQQQ 2012-12-17 2012-12-19 $1.01 $1.11 Long 17045 9.42% 23145.06 23145.06
TQQQ 2012-12-27 2013-01-22 $1.02 $1.14 Long 17913 12.02% 25342.09 25342.09
TQQQ 2013-06-26 2013-07-22 $1.32 $1.56 Long 15787 17.76% 29054.88 29054.88
TQQQ 2013-07-29 2013-08-06 $1.58 $1.69 Long 15232 6.80% 30691.88 30691.88
TQQQ 2013-08-28 2013-09-09 $1.56 $1.70 Long 15440 8.69% 32788.71 32788.71
TQQQ 2013-09-10 2013-09-17 $1.77 $1.75 Long 15634 -1.14% 32472.27 32472.27
TQQQ 2013-09-26 2013-10-22 $1.82 $2.08 Long 14434 14.04% 36167.77 36167.77
TQQQ 2013-10-29 2013-10-30 $2.12 $2.13 Long 13948 0.60% 36345.62 36345.62
TQQQ 2014-02-04 2014-02-19 $2.22 $2.67 Long 12585 19.92% 41918.71 41918.71
TQQQ 2014-02-26 2014-03-10 $2.71 $2.73 Long 12551 0.81% 42193.05 42193.05
TQQQ 2014-03-19 2014-03-20 $2.73 $2.66 Long 12931 -2.65% 41256.11 41256.11
TQQQ 2014-04-14 2014-04-21 $2.24 $2.36 Long 15200 5.58% 43151.15 43151.15
TQQQ 2014-04-28 2014-05-02 $2.37 $2.48 Long 14495 4.68% 44758.81 44758.81
TQQQ 2014-05-05 2014-05-20 $2.40 $2.50 Long 14618 4.35% 46285.42 46285.42
TQQQ 2014-05-28 2014-06-17 $2.74 $2.86 Long 14005 4.47% 47997.48 47997.48
TQQQ 2014-10-13 2014-10-17 $3.02 $2.90 Long 12055 -4.16% 46479.65 46479.65
TQQQ 2014-10-29 2014-11-14 $3.57 $3.90 Long 10775 9.18% 50008.72 50008.72
TQQQ 2015-01-16 2015-01-21 $3.52 $3.71 Long 10880 5.41% 52079.30 52079.30
TQQQ 2015-01-28 2015-02-18 $3.89 $4.32 Long 10995 11.25% 56887.54 56887.54
TQQQ 2015-02-25 2015-03-06 $4.51 $4.52 Long 10226 0.15% 56957.93 56957.93
TQQQ 2015-03-09 2015-03-11 $4.41 $4.18 Long 10211 -5.05% 54688.04 54688.04
TQQQ 2015-03-12 2015-03-13 $4.09 $4.17 Long 10587 1.94% 55528.26 55528.26
TQQQ 2015-03-16 2015-03-20 $4.17 $4.56 Long 10793 9.29% 59710.62 59710.62
TQQQ 2015-03-27 2015-04-21 $4.11 $4.47 Long 11938 8.83% 64037.42 64037.42
TQQQ 2015-04-28 2015-05-19 $4.73 $4.69 Long 10781 -0.93% 63561.54 63561.54
TQQQ 2015-05-27 2015-06-19 $4.60 $4.74 Long 10976 2.94% 65046.12 65046.12
TQQQ 2015-06-26 2015-07-09 $4.67 $4.35 Long 11085 -6.86% 61499.82 61499.82
TQQQ 2015-07-29 2015-08-20 $4.80 $4.50 Long 10552 -6.28% 58316.32 58316.32
TQQQ 2015-08-27 2015-09-21 $3.88 $4.01 Long 13439 3.38% 60079.61 60079.61
TQQQ 2015-09-28 2015-10-02 $3.63 $3.44 Long 12483 -5.27% 57693.60 57693.60
TQQQ 2015-10-29 2015-10-30 $4.87 $4.92 Long 9653 1.07% 58197.87 58197.87
TQQQ 2015-12-29 2016-01-05 $4.80 $4.39 Long 10066 -8.40% 54141.92 54141.92
TQQQ 2016-03-03 2016-03-21 $3.75 $3.93 Long 11720 4.89% 56291.92 56291.92
TQQQ 2016-05-26 2016-06-21 $4.12 $3.92 Long 11204 -4.95% 54005.18 54005.18
TQQQ 2016-06-28 2016-07-20 $3.47 $4.48 Long 12521 29.09% 66640.91 66640.91
TQQQ 2016-07-27 2016-08-01 $4.72 $4.79 Long 11767 1.50% 67474.82 67474.82
TQQQ 2016-08-04 2016-08-05 $4.79 $4.91 Long 11545 2.55% 68886.75 68886.75
TQQQ 2016-09-28 2016-10-20 $5.20 $5.07 Long 11079 -2.65% 67361.31 67361.31
TQQQ 2016-10-27 2016-11-04 $5.22 $4.56 Long 10584 -12.63% 60383.53 60383.53
TQQQ 2016-11-28 2016-12-13 $5.15 $5.23 Long 9507 1.58% 61157.38 61157.38
TQQQ 2017-05-04 2017-05-19 $7.89 $7.98 Long 6259 1.18% 61740.35 61740.35
TQQQ 2017-05-26 2017-06-09 $8.55 $9.05 Long 5930 5.79% 64674.88 64674.88
TQQQ 2017-07-14 2017-07-19 $8.62 $8.97 Long 6168 4.12% 66862.96 66862.96
TQQQ 2017-08-14 2017-08-15 $8.86 $9.05 Long 6363 2.09% 68043.11 68043.11
TQQQ 2017-08-16 2017-08-22 $9.08 $8.59 Long 6090 -5.44% 65034.33 65034.33
TQQQ 2017-08-29 2017-09-20 $8.46 $9.34 Long 6067 10.39% 70365.80 70365.80
TQQQ 2017-09-27 2017-10-05 $8.98 $9.47 Long 6401 5.49% 73523.05 73523.05
TQQQ 2018-03-02 2018-03-20 $12.37 $13.45 Long 4413 8.75% 78298.16 78298.16
TQQQ 2018-03-27 2018-03-28 $12.95 $11.24 Long 5255 -13.21% 69309.19 69309.19
TQQQ 2018-04-26 2018-05-21 $11.56 $13.28 Long 5034 14.87% 77964.98 77964.98
TQQQ 2018-05-29 2018-06-18 $13.31 $14.94 Long 4688 12.25% 85608.17 85608.17
TQQQ 2019-06-06 2019-06-19 $12.70 $14.97 Long 5449 17.87% 97979.35 97979.35
TQQQ 2019-08-28 2019-09-19 $13.90 $15.95 Long 5504 14.74% 109256.60 109256.60
TQQQ 2019-09-26 2019-10-22 $15.26 $16.15 Long 5985 5.79% 114543.28 114543.28
TQQQ 2019-10-29 2019-11-04 $16.92 $17.67 Long 5537 4.40% 118666.24 118666.24
TQQQ 2020-10-05 2020-10-21 $31.27 $33.86 Long 3081 8.27% 126631.26 126631.26
TQQQ 2020-10-28 2020-11-11 $31.50 $33.61 Long 3138 6.68% 133238.81 133238.81
TQQQ 2020-11-25 2020-12-02 $36.93 $39.49 Long 3040 6.91% 141001.63 141001.63
TQQQ 2021-03-04 2021-03-22 $40.88 $42.98 Long 2567 5.14% 146400.61 146400.61
TQQQ 2021-03-29 2021-04-20 $42.96 $52.60 Long 2875 22.45% 174128.95 174128.95
TQQQ 2021-06-28 2021-07-16 $57.82 $63.12 Long 2444 9.16% 187080.78 187080.78
TQQQ 2021-09-28 2021-10-05 $64.82 $58.41 Long 2252 -9.89% 172641.16 172641.16
TQQQ 2021-10-27 2021-11-05 $71.84 $83.96 Long 1936 16.87% 196110.79 196110.79
TQQQ 2022-01-05 2022-01-10 $79.06 $67.36 Long 1898 -14.80% 173905.74 173905.74
TQQQ 2022-01-27 2022-02-07 $53.94 $57.52 Long 2538 6.62% 182975.37 182975.37
TQQQ 2022-02-24 2022-03-02 $39.69 $49.34 Long 3029 24.31% 212203.75 212203.75
TQQQ 2022-03-31 2022-04-07 $59.05 $51.83 Long 2861 -12.22% 191560.98 191560.98
TQQQ 2022-04-27 2022-05-03 $37.17 $37.19 Long 3774 0.05% 191634.48 191634.48
TQQQ 2022-07-18 2022-07-20 $26.88 $27.91 Long 6068 3.80% 197838.41 197838.41
TQQQ 2022-07-27 2022-08-17 $27.85 $36.52 Long 5776 31.15% 247949.84 247949.84
TQQQ 2022-11-11 2022-11-18 $20.87 $21.97 Long 10236 5.27% 259212.49 259212.49
TQQQ 2022-11-28 2022-12-08 $21.23 $20.32 Long 9652 -4.27% 250472.07 250472.07
TQQQ 2022-12-28 2023-01-20 $16.40 $18.78 Long 11867 14.48% 278649.56 278649.56
TQQQ 2023-01-27 2023-02-16 $21.89 $24.31 Long 10374 11.05% 303739.10 303739.10
TQQQ 2023-02-24 2023-03-14 $21.30 $21.66 Long 10837 1.70% 307665.18 307665.18
TQQQ 2023-03-20 2023-03-22 $23.92 $25.33 Long 10209 5.88% 322020.16 322020.16
TQQQ 2023-03-29 2023-04-19 $25.38 $26.47 Long 10534 4.31% 333538.61 333538.61
TQQQ 2023-05-09 2023-05-10 $27.57 $28.09 Long 9759 1.91% 338681.85 338681.85
TQQQ 2023-05-11 2023-05-19 $28.47 $31.55 Long 9764 10.81% 368739.54 368739.54
TQQQ 2023-05-26 2023-06-07 $32.32 $36.39 Long 9369 12.59% 406856.73 406856.73
TQQQ 2023-06-12 2023-06-13 $36.60 $38.78 Long 9120 5.98% 426801.34 426801.34
TQQQ 2023-06-14 2023-06-15 $38.76 $39.15 Long 8913 0.99% 430225.60 430225.60
TQQQ 2023-08-31 2023-09-20 $41.55 $39.45 Long 8510 -5.05% 412361.85 412361.85
TQQQ 2023-09-27 2023-10-10 $34.53 $37.70 Long 9536 9.18% 442593.84 442593.84

Signals

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