Strategy - CtiTMF


CTI with TMF

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 TMF for all trades.

Trading happens on the next Open from the signal day.

Details

Metrics

Metric Measure
AccountName default
NoOfTrades 73.00
NoOfWins 46.00
NoOfLosses 27.00
SharpRatio 0.57
SortinoRatio 0.75
GrossProfit $64238.98
FirstDate 2009-05-05
LastDate 2021-03-01
FirstEquity $10000.00
FinalEquity $74238.98
OpenEquity $55339.14
LongEquity $64238.98
ShortEquity $0.00
PercentWins 63.01%
AveWin $2131.13
AveLoss $-1251.59
AveWinLoss 1.70
Expectancy 3.62%
AveDrawUp 64.32%
AveDrawDown -22.81%
MaxDrawDown -40.36%
Kelly 41.29%
Thrope 30.61
APR 18.48%
CalmarRatio 0.81

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
TMF 2009-05-05 2009-05-07 $9.51 $8.91 Long 817.0 -6.22% 9517.25 9517.25
TMF 2009-05-29 2009-06-01 $7.51 $7.66 Long 965.0 1.91% 9655.54 9655.54
TMF 2009-07-16 2009-08-11 $7.68 $7.55 Long 968.0 -1.59% 9537.54 9537.54
TMF 2009-08-12 2009-08-17 $7.64 $7.90 Long 965.0 3.42% 9789.89 9789.89
TMF 2009-09-09 2009-11-16 $7.89 $8.14 Long 922.0 3.17% 10020.36 10020.36
TMF 2009-12-08 2010-01-06 $8.00 $7.01 Long 984.0 -12.38% 9045.08 9045.08
TMF 2010-02-04 2010-02-08 $7.21 $7.41 Long 964.0 2.84% 9242.20 9242.20
TMF 2010-02-11 2010-03-17 $6.99 $7.28 Long 975.0 4.16% 9526.08 9526.08
TMF 2010-03-26 2010-04-09 $6.59 $6.67 Long 1084.0 1.22% 9613.24 9613.24
TMF 2010-05-13 2010-11-05 $7.80 $9.19 Long 945.0 17.84% 10928.15 10928.15
TMF 2010-11-08 2010-11-09 $9.25 $9.22 Long 909.0 -0.34% 10899.51 10899.51
TMF 2010-11-12 2010-11-18 $8.57 $8.41 Long 963.0 -1.86% 10745.65 10745.65
TMF 2010-12-13 2010-12-20 $7.76 $7.91 Long 1050.0 2.00% 10908.68 10908.68
TMF 2011-02-07 2011-02-15 $6.77 $6.95 Long 1198.0 2.62% 11121.68 11121.68
TMF 2011-03-09 2011-11-15 $7.12 $15.40 Long 1192.0 116.19% 20987.55 20987.55
TMF 2011-12-02 2012-02-09 $15.03 $14.70 Long 1077.0 -2.19% 20632.35 20632.35
TMF 2012-02-10 2012-02-16 $15.04 $15.21 Long 1073.0 1.13% 20814.41 20814.41
TMF 2012-03-12 2012-03-26 $14.91 $13.54 Long 1091.0 -9.19% 19320.31 19320.31
TMF 2012-05-02 2012-08-24 $15.28 $18.65 Long 961.0 22.09% 22563.90 22563.90
TMF 2012-09-14 2012-09-24 $16.26 $17.21 Long 994.0 5.89% 23515.76 23515.76
TMF 2012-10-09 2012-10-17 $16.97 $16.83 Long 1047.0 -0.82% 23370.06 23370.06
TMF 2012-10-23 2012-10-31 $17.20 $17.41 Long 1055.0 1.22% 23591.52 23591.52
TMF 2012-11-23 2012-12-28 $18.18 $17.84 Long 996.0 -1.87% 23252.97 23252.97
TMF 2013-02-04 2013-02-07 $15.13 $15.21 Long 1140.0 0.50% 23339.10 23339.10
TMF 2013-03-11 2013-03-20 $14.60 $15.17 Long 1230.0 3.87% 24033.45 24033.45
TMF 2013-04-17 2013-06-04 $17.52 $14.24 Long 1059.0 -18.76% 20552.51 20552.51
TMF 2013-08-05 2013-08-08 $11.45 $11.71 Long 1379.0 2.23% 20905.15 20905.15
TMF 2013-08-20 2013-08-26 $10.41 $10.89 Long 1534.0 4.62% 21642.49 21642.49
TMF 2013-09-11 2013-09-13 $10.45 $10.62 Long 1590.0 1.61% 21909.79 21909.79
TMF 2013-10-07 2013-11-20 $11.54 $11.00 Long 1474.0 -4.73% 21105.67 21105.67
TMF 2013-12-10 2013-12-11 $10.87 $10.79 Long 1521.0 -0.70% 20990.23 20990.23
TMF 2014-02-06 2015-03-06 $12.03 $19.67 Long 1309.0 63.53% 30990.77 30990.77
TMF 2015-03-10 2015-03-12 $20.25 $21.32 Long 1206.0 5.28% 32280.85 32280.85
TMF 2015-04-06 2015-05-18 $23.05 $17.58 Long 1058.0 -23.74% 26489.04 26489.04
TMF 2015-06-10 2015-06-12 $15.73 $16.43 Long 1249.0 4.42% 27357.04 27357.04
TMF 2015-08-07 2015-09-23 $18.88 $18.01 Long 1143.0 -4.61% 26362.09 26362.09
TMF 2015-10-13 2015-10-15 $18.96 $19.29 Long 1075.0 1.75% 26719.05 26719.05
TMF 2015-10-26 2015-11-18 $19.07 $17.23 Long 1090.0 -9.67% 24707.65 24707.65
TMF 2015-12-24 2016-06-02 $18.18 $22.80 Long 1052.0 25.41% 29568.34 29568.34
TMF 2016-06-21 2016-08-24 $24.58 $27.68 Long 923.0 12.61% 32429.69 32429.69
TMF 2016-09-09 2016-09-22 $25.51 $25.78 Long 913.0 1.04% 32672.23 32672.23
TMF 2016-10-10 2016-10-20 $23.73 $24.13 Long 1027.0 1.68% 33081.46 33081.46
TMF 2016-11-02 2016-11-07 $23.00 $22.73 Long 1129.0 -1.16% 32781.54 32781.54
TMF 2016-11-15 2016-11-18 $18.36 $18.11 Long 1396.0 -1.34% 32437.18 32437.18
TMF 2017-01-20 2017-03-06 $17.40 $17.14 Long 1405.0 -1.47% 32077.27 32077.27
TMF 2017-03-07 2017-03-20 $16.87 $16.88 Long 1431.0 0.06% 32090.85 32090.85
TMF 2017-04-25 2017-07-31 $18.50 $19.19 Long 1316.0 3.73% 32998.29 32998.29
TMF 2017-08-01 2017-08-03 $19.04 $20.12 Long 1315.0 5.69% 34421.75 34421.75
TMF 2017-08-31 2017-10-12 $21.21 $19.81 Long 1241.0 -6.62% 32677.75 32677.75
TMF 2017-10-27 2017-10-31 $19.00 $19.72 Long 1311.0 3.80% 33623.83 33623.83
TMF 2017-11-16 2018-01-24 $20.56 $19.05 Long 1251.0 -7.36% 31731.96 31731.96
TMF 2018-02-07 2018-02-14 $17.84 $17.09 Long 1347.0 -4.22% 30718.12 30718.12
TMF 2018-04-06 2018-05-16 $18.16 $16.72 Long 1312.0 -7.93% 28827.49 28827.49
TMF 2018-05-18 2018-05-22 $16.32 $16.63 Long 1345.0 1.93% 29251.06 29251.06
TMF 2018-06-11 2018-08-31 $17.44 $18.73 Long 1264.0 7.43% 30887.74 30887.74
TMF 2018-09-04 2018-10-01 $17.96 $16.55 Long 1261.0 -7.87% 29105.34 29105.34
TMF 2018-11-08 2018-11-12 $14.98 $15.37 Long 1475.0 2.63% 29687.54 29687.54
TMF 2018-12-04 2019-10-14 $16.63 $28.93 Long 1442.0 73.98% 47423.96 47423.96
TMF 2019-10-15 2019-11-01 $28.50 $28.49 Long 1254.0 -0.03% 47411.72 47411.72
TMF 2019-11-12 2019-11-15 $25.20 $26.43 Long 1434.0 4.88% 49174.45 49174.45
TMF 2019-12-09 2020-01-03 $27.27 $26.80 Long 1406.0 -1.71% 48518.64 48518.64
TMF 2020-02-06 2020-05-21 $29.02 $40.66 Long 1274.0 40.12% 63350.83 63350.83
TMF 2020-05-28 2020-06-02 $38.58 $38.54 Long 1236.0 -0.10% 63302.39 63302.39
TMF 2020-06-04 2020-06-11 $36.48 $39.45 Long 1295.0 8.14% 67147.02 67147.02
TMF 2020-07-23 2020-08-28 $43.57 $38.15 Long 1192.0 -12.44% 60688.34 60688.34
TMF 2020-08-31 2020-09-03 $37.99 $41.10 Long 1216.0 8.20% 64477.15 64477.15
TMF 2020-10-06 2020-10-15 $36.48 $39.02 Long 1311.0 6.96% 67804.09 67804.09
TMF 2020-10-26 2020-10-28 $36.19 $37.76 Long 1495.0 4.33% 70147.80 70147.80
TMF 2020-12-03 2020-12-11 $34.56 $35.62 Long 1552.0 3.06% 71791.18 71791.18
TMF 2020-12-28 2020-12-30 $34.21 $34.51 Long 1589.0 0.88% 72267.31 72267.31
TMF 2021-01-07 2021-01-20 $31.20 $31.25 Long 1702.0 0.16% 72352.30 72352.30
TMF 2021-02-09 2021-02-11 $29.62 $29.88 Long 1903.0 0.88% 72846.48 72846.48
TMF 2021-02-24 2021-03-01 $24.06 $24.69 Long 2213.0 2.62% 74238.98 74238.98

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick
CtiTMF 0.90 0.75 TMF 2021-04-28 Hold Long 29.44% EOD
cti  TMF