Strategy - CtiSOXL


CTI with SOXL

Description

This strategy looks at John Ehlers’s Correlation Trend Indicator (CTI) for advancing price formations that have shown decent results in the past. The strategy uses wide stops, discretion is up to the practitioner themselves.

This uses SOXL for all trades.

Trading happens on the next Open from the signal day.

Details

Metrics

Metric Measure
AccountName default
NoOfTrades 116.00
NoOfWins 64.00
NoOfLosses 52.00
SharpRatio 0.67
SortinoRatio 0.87
GrossProfit $386697.75
FirstDate 2010-03-29
LastDate 2021-08-24
FirstEquity $10000.00
FinalEquity $396697.75
OpenEquity $311493.95
LongEquity $386697.75
ShortEquity $0.00
PercentWins 55.17%
AveWin $11734.30
AveLoss $-7005.71
AveWinLoss 1.67
Expectancy 5.63%
AveDrawUp 132.44%
AveDrawDown -31.21%
MaxDrawDown -52.21%
Kelly 28.41%
Thrope 22.17
APR 38.08%
CalmarRatio 1.22

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
SOXL 2010-03-29 2010-05-12 $0.67 $0.64 Long 11367.0 -4.42% 9665.62 9665.62
SOXL 2010-05-25 2010-05-28 $0.46 $0.60 Long 13993.0 29.60% 11588.03 11588.03
SOXL 2010-06-09 2010-06-16 $0.48 $0.61 Long 18815.0 28.47% 14137.60 14137.60
SOXL 2010-06-25 2010-07-07 $0.54 $0.44 Long 18931.0 -18.33% 12274.39 12274.39
SOXL 2010-07-21 2010-08-12 $0.56 $0.40 Long 18538.0 -29.30% 9234.43 9234.43
SOXL 2010-08-17 2010-08-20 $0.42 $0.41 Long 17986.0 -0.98% 9161.25 9161.25
SOXL 2010-08-31 2010-09-03 $0.36 $0.41 Long 18266.0 14.32% 10098.71 10098.71
SOXL 2010-09-17 2010-12-28 $0.44 $0.78 Long 18666.0 78.88% 16540.26 16540.26
SOXL 2011-01-05 2011-03-07 $0.79 $1.06 Long 15673.0 34.03% 20759.65 20759.65
SOXL 2011-03-11 2011-03-21 $0.81 $0.82 Long 18796.0 1.88% 21045.01 21045.01
SOXL 2011-04-04 2011-04-15 $0.87 $0.83 Long 17519.0 -4.58% 20345.79 20345.79
SOXL 2011-04-20 2011-04-25 $0.89 $0.92 Long 19361.0 2.95% 20854.89 20854.89
SOXL 2011-05-04 2011-05-13 $0.92 $0.94 Long 17276.0 2.07% 21184.79 21184.79
SOXL 2011-05-20 2011-05-27 $0.87 $0.84 Long 18526.0 -2.40% 20799.45 20799.45
SOXL 2011-06-10 2011-06-20 $0.71 $0.61 Long 22075.0 -14.68% 18491.40 18491.40
SOXL 2011-07-08 2011-07-22 $0.74 $0.66 Long 18963.0 -11.31% 16906.43 16906.43
SOXL 2011-08-02 2011-08-11 $0.58 $0.40 Long 20967.0 -30.09% 13263.71 13263.71
SOXL 2011-08-25 2011-08-30 $0.39 $0.43 Long 25532.0 9.58% 14218.81 14218.81
SOXL 2011-09-08 2011-10-05 $0.41 $0.36 Long 27632.0 -11.74% 12891.04 12891.04
SOXL 2011-10-20 2011-11-25 $0.45 $0.37 Long 20148.0 -18.12% 11263.79 11263.79
SOXL 2011-11-28 2011-12-01 $0.39 $0.45 Long 23607.0 13.34% 12505.28 12505.28
SOXL 2011-12-13 2011-12-22 $0.42 $0.38 Long 22495.0 -9.25% 11625.05 11625.05
SOXL 2012-01-05 2012-03-08 $0.42 $0.59 Long 21224.0 41.84% 15348.97 15348.97
SOXL 2012-03-23 2012-04-16 $0.68 $0.60 Long 17527.0 -11.00% 14045.89 14045.89
SOXL 2012-04-26 2012-04-30 $0.55 $0.58 Long 20203.0 5.74% 14678.32 14678.32
SOXL 2012-05-10 2012-05-17 $0.50 $0.45 Long 23802.0 -10.86% 13385.59 13385.59
SOXL 2012-06-08 2012-06-11 $0.38 $0.43 Long 24203.0 10.74% 14385.71 14385.71
SOXL 2012-06-21 2012-07-12 $0.46 $0.35 Long 24396.0 -22.97% 11819.71 11819.71
SOXL 2012-07-13 2012-07-20 $0.35 $0.39 Long 25629.0 13.32% 13003.08 13003.08
SOXL 2012-08-01 2012-09-06 $0.44 $0.47 Long 22811.0 6.16% 13620.75 13620.75
SOXL 2012-09-20 2012-10-03 $0.48 $0.43 Long 21208.0 -9.35% 12678.04 12678.04
SOXL 2012-10-12 2012-10-18 $0.38 $0.41 Long 24845.0 7.54% 13385.80 13385.80
SOXL 2012-10-31 2012-11-05 $0.38 $0.39 Long 27958.0 2.71% 13670.24 13670.24
SOXL 2012-11-13 2012-11-23 $0.37 $0.36 Long 27006.0 -2.11% 13458.89 13458.89
SOXL 2012-12-06 2013-03-05 $0.39 $0.58 Long 26396.0 46.75% 18305.15 18305.15
SOXL 2013-03-14 2013-03-28 $0.63 $0.61 Long 22765.0 -3.61% 17788.47 17788.47
SOXL 2013-04-08 2013-04-11 $0.53 $0.60 Long 26306.0 13.38% 19653.67 19653.67
SOXL 2013-04-22 2013-06-18 $0.53 $0.77 Long 29091.0 46.50% 26788.71 26788.71
SOXL 2013-06-25 2013-06-26 $0.68 $0.73 Long 30413.0 7.63% 28354.82 28354.82
SOXL 2013-06-28 2013-08-01 $0.73 $0.80 Long 29486.0 10.47% 30597.79 30597.79
SOXL 2013-08-13 2013-08-21 $0.77 $0.70 Long 31677.0 -8.92% 28436.09 28436.09
SOXL 2013-09-17 2013-10-09 $0.84 $0.82 Long 25450.0 -2.52% 27898.33 27898.33
SOXL 2013-10-10 2013-11-21 $0.83 $0.87 Long 26071.0 4.08% 28783.81 28783.81
SOXL 2013-11-25 2014-02-05 $0.91 $0.96 Long 24492.0 6.18% 30160.04 30160.04
SOXL 2014-02-25 2014-04-21 $1.25 $1.34 Long 18368.0 7.34% 31841.89 31841.89
SOXL 2014-05-01 2014-05-09 $1.31 $1.32 Long 19149.0 0.64% 32003.73 32003.73
SOXL 2014-05-16 2014-07-24 $1.27 $1.75 Long 18688.0 37.55% 40936.80 40936.80
SOXL 2014-07-28 2014-08-01 $1.61 $1.52 Long 18716.0 -5.64% 39237.75 39237.75
SOXL 2014-08-04 2014-08-05 $1.56 $1.55 Long 19770.0 -1.06% 38909.74 38909.74
SOXL 2014-08-27 2014-09-24 $1.78 $1.81 Long 16813.0 1.69% 39414.99 39414.99
SOXL 2014-10-01 2014-10-07 $1.77 $1.59 Long 16497.0 -10.16% 36445.58 36445.58
SOXL 2014-10-13 2014-10-15 $1.18 $1.10 Long 20413.0 -6.84% 34793.74 34793.74
SOXL 2014-10-31 2014-12-23 $1.67 $2.25 Long 16734.0 34.90% 44551.67 44551.67
SOXL 2015-01-02 2015-01-13 $2.15 $2.01 Long 15790.0 -6.57% 42324.82 42324.82
SOXL 2015-02-03 2015-02-09 $1.84 $1.92 Long 17844.0 4.51% 43805.14 43805.14
SOXL 2015-02-20 2015-03-19 $2.26 $2.38 Long 14968.0 5.25% 45578.70 45578.70
SOXL 2015-03-27 2015-04-07 $1.95 $2.11 Long 18037.0 8.58% 48591.09 48591.09
SOXL 2015-04-21 2015-05-04 $2.25 $2.21 Long 17212.0 -1.80% 47893.32 47893.32
SOXL 2015-05-05 2015-05-08 $2.17 $2.16 Long 16578.0 -0.30% 47784.32 47784.32
SOXL 2015-05-18 2015-06-17 $2.23 $2.30 Long 16218.0 2.96% 48855.58 48855.58
SOXL 2015-06-29 2015-07-10 $2.03 $1.75 Long 16711.0 -13.85% 44147.33 44147.33
SOXL 2015-07-27 2015-07-31 $1.61 $1.73 Long 18980.0 7.22% 46357.64 46357.64
SOXL 2015-08-12 2015-08-17 $1.55 $1.52 Long 21119.0 -1.66% 45815.50 45815.50
SOXL 2015-08-21 2015-08-28 $1.24 $1.34 Long 24769.0 7.81% 48219.23 48219.23
SOXL 2015-09-11 2015-10-01 $1.35 $1.29 Long 26902.0 -4.68% 46518.05 46518.05
SOXL 2015-10-14 2015-11-11 $1.44 $1.65 Long 24744.0 14.91% 51831.90 51831.90
SOXL 2015-11-16 2015-11-20 $1.54 $1.71 Long 25061.0 11.22% 56162.54 56162.54
SOXL 2015-12-03 2015-12-22 $1.91 $1.72 Long 22858.0 -9.81% 51883.43 51883.43
SOXL 2016-01-05 2016-01-15 $1.64 $1.08 Long 25116.0 -33.91% 37935.21 37935.21
SOXL 2016-02-05 2016-02-18 $1.23 $1.25 Long 24395.0 1.48% 38378.15 38378.15
SOXL 2016-03-01 2016-04-20 $1.37 $1.59 Long 21709.0 15.49% 42999.46 42999.46
SOXL 2016-04-25 2016-05-02 $1.61 $1.46 Long 20324.0 -9.17% 40009.10 40009.10
SOXL 2016-05-05 2016-05-11 $1.42 $1.44 Long 21921.0 0.92% 40297.32 40297.32
SOXL 2016-06-03 2016-06-23 $1.92 $1.91 Long 16622.0 -0.65% 40089.18 40089.18
SOXL 2016-07-18 2016-09-19 $2.05 $2.74 Long 15369.0 33.56% 50654.75 50654.75
SOXL 2016-09-29 2016-10-21 $2.78 $2.73 Long 13964.0 -1.69% 49999.03 49999.03
SOXL 2016-11-01 2016-11-10 $2.89 $2.93 Long 13292.0 1.45% 50556.61 50556.61
SOXL 2016-11-22 2017-01-12 $3.53 $3.96 Long 11311.0 11.95% 55332.86 55332.86
SOXL 2017-01-24 2017-04-19 $3.98 $4.71 Long 10694.0 18.28% 63117.03 63117.03
SOXL 2017-05-03 2017-06-23 $4.93 $6.14 Long 9448.0 24.61% 74574.91 74574.91
SOXL 2017-07-03 2017-07-10 $5.44 $5.69 Long 10420.0 4.63% 77196.45 77196.45
SOXL 2017-07-21 2017-08-08 $6.50 $6.32 Long 8925.0 -2.80% 75570.86 75570.86
SOXL 2017-08-21 2017-08-24 $5.86 $6.16 Long 9793.0 5.03% 78458.12 78458.12
SOXL 2017-08-29 2017-12-12 $5.79 $8.84 Long 10022.0 52.77% 109076.20 109076.20
SOXL 2017-12-26 2018-02-08 $9.11 $9.34 Long 8954.0 2.53% 111137.03 111137.03
SOXL 2018-02-09 2018-02-14 $8.61 $8.98 Long 9098.0 4.29% 114501.71 114501.71
SOXL 2018-03-01 2018-04-02 $11.10 $9.72 Long 7547.0 -12.43% 104094.58 104094.58
SOXL 2018-04-23 2018-05-02 $8.67 $8.39 Long 8995.0 -3.22% 101581.95 101581.95
SOXL 2018-05-17 2018-06-25 $10.48 $10.18 Long 7603.0 -2.84% 99314.80 99314.80
SOXL 2018-06-27 2018-07-03 $9.89 $9.56 Long 7758.0 -3.36% 96740.49 96740.49
SOXL 2018-07-17 2018-08-23 $9.55 $9.99 Long 7547.0 4.63% 100077.90 100077.90
SOXL 2018-09-06 2018-09-18 $11.03 $10.13 Long 6813.0 -8.20% 93913.47 93913.47
SOXL 2018-09-28 2018-10-10 $9.94 $8.41 Long 7214.0 -15.40% 82874.49 82874.49
SOXL 2018-10-12 2018-10-17 $7.95 $8.43 Long 8387.0 6.12% 86953.49 86953.49
SOXL 2018-10-29 2018-11-01 $6.20 $6.72 Long 11523.0 8.41% 92960.15 92960.15
SOXL 2018-11-13 2018-11-23 $6.20 $6.00 Long 10649.0 -3.20% 90847.81 90847.81
SOXL 2018-12-11 2018-12-19 $6.20 $5.90 Long 12301.0 -4.77% 87208.01 87208.01
SOXL 2018-12-26 2018-12-31 $4.60 $5.59 Long 14152.0 21.61% 101270.97 101270.97
SOXL 2019-01-11 2019-03-13 $5.97 $8.57 Long 13556.0 43.48% 136458.93 136458.93
SOXL 2019-03-26 2019-05-10 $9.26 $10.41 Long 11487.0 12.45% 149699.89 149699.89
SOXL 2019-05-14 2019-05-21 $9.49 $8.41 Long 11926.0 -11.37% 136821.96 136821.96
SOXL 2019-06-17 2019-08-13 $7.98 $9.28 Long 13277.0 16.19% 153981.98 153981.98
SOXL 2019-08-23 2019-08-29 $10.12 $9.89 Long 11110.0 -2.36% 151328.40 151328.40
SOXL 2019-08-30 2019-10-02 $10.39 $10.68 Long 11710.0 2.76% 154690.62 154690.62
SOXL 2019-10-21 2019-11-29 $12.12 $14.99 Long 9726.0 23.66% 182592.61 182592.61
SOXL 2019-12-11 2020-02-07 $14.98 $19.04 Long 9417.0 27.10% 220815.87 220815.87
SOXL 2020-02-20 2020-03-04 $21.43 $14.28 Long 8063.0 -33.35% 163196.49 163196.49
SOXL 2020-03-16 2020-03-23 $5.97 $4.52 Long 15492.0 -24.26% 140745.62 140745.62
SOXL 2020-04-06 2020-09-18 $6.13 $16.01 Long 18635.0 161.24% 324832.75 324832.75
SOXL 2020-09-28 2020-11-02 $16.03 $17.13 Long 16692.0 6.86% 343194.20 343194.20
SOXL 2020-11-16 2021-02-05 $23.26 $38.32 Long 11593.0 64.75% 517771.59 517771.59
SOXL 2021-02-18 2021-03-05 $42.18 $32.20 Long 8786.0 -23.66% 430099.76 430099.76
SOXL 2021-03-24 2021-04-26 $35.63 $40.09 Long 8804.0 12.52% 469365.60 469365.60
SOXL 2021-05-06 2021-05-14 $34.20 $30.49 Long 10238.0 -10.85% 431382.62 431382.62
SOXL 2021-06-03 2021-07-20 $37.83 $37.24 Long 8623.0 -1.56% 426295.91 426295.91
SOXL 2021-08-05 2021-08-24 $48.17 $43.98 Long 7064.0 -8.70% 396697.75 396697.75

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick
CtiSOXL 0.90 0.79 SOXL 2021-09-03 Hold Long 3.61% EOD
cti  SOXL