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 |