Strategy - CtiTMF


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 179.00
NoOfWins 101.00
NoOfLosses 78.00
SharpRatio 0.51
SortinoRatio 0.68
GrossProfit $40957.66
FirstDate 2009-10-14
LastDate 2022-04-22
FirstEquity $10000.00
FinalEquity $50957.66
OpenEquity $0.00
LongEquity $40957.66
ShortEquity $0.00
PercentWins 56.42%
AveWin $1203.15
AveLoss $-1032.83
AveWinLoss 1.16
Expectancy 1.18%
AveDrawUp 49.36%
AveDrawDown -18.65%
MaxDrawDown -34.14%
Kelly 19.02%
Thrope 31.62
APR 13.89%
CalmarRatio 0.74

Trades

Symbol Open Close Open Price Close Price Type Size Profit Balance Equity
TMF 2009-10-14 2009-10-27 $8.34 $7.92 Long 880.0 -5.01% 2465.12 9903.00
TMF 2009-10-27 2009-11-16 $7.92 $8.13 Long 905.0 2.70% 9826.01 9826.01
TMF 2009-12-08 2009-12-11 $7.99 $7.37 Long 966.0 -7.87% 2346.07 9281.68
TMF 2009-12-11 2009-12-28 $7.37 $6.76 Long 933.0 -8.18% 2210.82 8662.07
TMF 2009-12-28 2010-01-06 $6.76 $7.00 Long 953.0 3.58% 8886.35 8886.35
TMF 2010-02-04 2010-02-08 $7.20 $7.40 Long 948.0 2.84% 9079.99 9079.99
TMF 2010-02-11 2010-02-26 $6.98 $7.27 Long 959.0 4.13% 9356.78 9356.78
TMF 2010-03-10 2010-03-17 $6.84 $7.28 Long 1031.0 6.43% 9810.03 9810.03
TMF 2010-03-26 2010-04-09 $6.58 $6.66 Long 1117.0 1.22% 9899.75 9899.75
TMF 2010-05-13 2010-06-01 $7.79 $8.98 Long 974.0 15.20% 2444.10 10897.43
TMF 2010-06-01 2010-06-04 $8.98 $8.80 Long 959.0 -2.01% 2452.90 11134.65
TMF 2010-06-04 2010-07-30 $8.80 $9.71 Long 958.0 10.35% 2443.19 11830.23
TMF 2010-07-30 2010-08-11 $9.71 $9.77 Long 959.0 0.67% 11815.17 11815.17
TMF 2010-08-31 2010-09-02 $12.26 $11.20 Long 783.0 -8.60% 2913.49 10920.19
TMF 2010-09-02 2010-09-10 $11.20 $10.17 Long 721.0 -9.17% 2679.49 10280.77
TMF 2010-09-10 2010-10-18 $10.17 $9.96 Long 744.0 -2.12% 2390.70 10085.07
TMF 2010-10-18 2010-10-28 $9.96 $9.48 Long 773.0 -4.83% 2362.26 9674.82
TMF 2010-10-28 2010-11-05 $9.48 $9.18 Long 776.0 -3.11% 9488.17 9488.17
TMF 2010-11-08 2010-11-09 $9.24 $9.21 Long 790.0 -0.34% 9463.31 9463.31
TMF 2010-11-12 2010-11-16 $8.56 $8.21 Long 837.0 -4.12% 2429.75 9420.75
TMF 2010-11-16 2010-11-18 $8.21 $8.40 Long 821.0 2.36% 9326.62 9326.62
TMF 2010-12-13 2010-12-16 $7.75 $7.25 Long 913.0 -6.43% 2339.09 8986.62
TMF 2010-12-16 2010-12-20 $7.25 $7.90 Long 901.0 9.01% 9460.40 9460.40
TMF 2011-02-07 2011-02-15 $6.77 $6.95 Long 1040.0 2.62% 9645.10 9645.10
TMF 2011-03-09 2011-03-16 $7.12 $7.91 Long 1035.0 11.13% 10465.03 10465.03
TMF 2011-03-25 2011-04-07 $7.77 $7.28 Long 1032.0 -6.32% 2642.86 9921.01
TMF 2011-04-07 2011-04-20 $7.28 $7.90 Long 1005.0 8.54% 10583.30 10583.30
TMF 2011-05-16 2011-07-21 $8.48 $8.63 Long 966.0 1.74% 10725.51 10725.51
TMF 2011-07-25 2011-08-01 $8.52 $9.27 Long 940.0 8.86% 11435.03 11435.03
TMF 2011-08-16 2011-08-26 $11.21 $12.46 Long 774.0 11.18% 2650.05 12344.13
TMF 2011-08-26 2011-09-28 $12.46 $15.29 Long 783.0 22.77% 3368.90 14677.44
TMF 2011-09-28 2011-10-10 $15.29 $15.32 Long 736.0 0.18% 3399.55 14536.70
TMF 2011-10-10 2011-10-13 $15.32 $14.58 Long 734.0 -4.87% 3341.24 14232.11
TMF 2011-10-13 2011-10-24 $14.58 $14.13 Long 738.0 -3.08% 3383.62 13580.97
TMF 2011-10-24 2011-10-28 $14.13 $12.86 Long 735.0 -9.01% 3640.72 13015.89
TMF 2011-10-28 2011-11-02 $12.86 $15.01 Long 715.0 16.74% 14370.96 14370.96
TMF 2011-12-02 2011-12-20 $15.01 $17.36 Long 738.0 15.63% 16103.17 16103.17
TMF 2011-12-22 2012-01-20 $16.21 $15.37 Long 747.0 -5.21% 15471.86 15471.86
TMF 2012-01-24 2012-02-02 $14.96 $15.91 Long 802.0 6.34% 16232.72 16232.72
TMF 2012-02-10 2012-02-16 $15.03 $15.20 Long 845.0 1.13% 16375.95 16375.95
TMF 2012-03-12 2012-03-14 $14.89 $13.53 Long 859.0 -9.14% 4057.28 14712.49
TMF 2012-03-14 2012-03-20 $13.53 $12.68 Long 824.0 -6.28% 3765.60 14550.74
TMF 2012-03-20 2012-03-26 $12.68 $13.52 Long 847.0 6.64% 15220.46 15220.46
TMF 2012-05-02 2012-06-08 $15.26 $19.21 Long 758.0 25.84% 3977.75 17705.55
TMF 2012-06-08 2012-07-12 $19.21 $20.31 Long 741.0 5.75% 19028.92 19028.92
TMF 2012-07-30 2012-08-08 $19.94 $19.01 Long 704.0 -4.67% 4345.05 18057.27
TMF 2012-08-08 2012-08-15 $19.01 $17.60 Long 738.0 -7.42% 4186.67 17031.23
TMF 2012-08-15 2012-08-24 $17.60 $18.63 Long 747.0 5.89% 18106.59 18106.59
TMF 2012-09-14 2012-09-24 $16.24 $17.19 Long 798.0 5.89% 18869.94 18869.94
TMF 2012-10-09 2012-10-17 $16.95 $16.82 Long 841.0 -0.82% 18753.03 18753.03
TMF 2012-10-23 2012-10-31 $17.18 $17.39 Long 848.0 1.22% 18930.85 18930.85
TMF 2012-11-23 2012-12-18 $18.16 $16.99 Long 800.0 -6.44% 4830.60 17708.06
TMF 2012-12-18 2012-12-28 $16.99 $17.82 Long 775.0 4.89% 18638.46 18638.46
TMF 2013-02-04 2013-02-07 $15.11 $15.19 Long 915.0 0.50% 18707.52 18707.52
TMF 2013-03-11 2013-03-20 $14.59 $15.15 Long 987.0 3.87% 19264.09 19264.09
TMF 2013-04-17 2013-05-10 $17.51 $16.47 Long 850.0 -5.92% 4532.62 18019.98
TMF 2013-05-10 2013-05-15 $16.47 $15.53 Long 841.0 -5.70% 4656.86 17532.21
TMF 2013-05-15 2013-05-29 $15.53 $14.34 Long 833.0 -7.63% 4585.14 16760.37
TMF 2013-05-29 2013-06-04 $14.34 $14.22 Long 838.0 -0.86% 16503.22 16503.22
TMF 2013-08-05 2013-08-08 $11.44 $11.69 Long 1109.0 2.23% 16786.51 16786.51
TMF 2013-08-20 2013-08-26 $10.40 $10.88 Long 1233.0 4.62% 17378.53 17378.53
TMF 2013-09-11 2013-09-13 $10.44 $10.61 Long 1278.0 1.61% 17593.14 17593.14
TMF 2013-10-07 2013-10-23 $11.53 $12.13 Long 1185.0 5.16% 18297.86 18297.86
TMF 2013-10-31 2013-11-06 $12.06 $11.17 Long 1158.0 -7.39% 4391.10 17329.07
TMF 2013-11-06 2013-11-12 $11.17 $10.60 Long 1153.0 -5.09% 4062.57 16708.78
TMF 2013-11-12 2013-11-20 $10.60 $10.99 Long 1184.0 3.67% 17070.67 17070.67
TMF 2013-12-10 2013-12-11 $10.85 $10.78 Long 1231.0 -0.70% 16977.33 16977.33
TMF 2014-02-06 2014-03-19 $12.01 $12.34 Long 1060.0 2.76% 17328.94 17328.94
TMF 2014-04-03 2014-04-21 $12.28 $13.26 Long 1083.0 8.01% 18393.82 18393.82
TMF 2014-04-22 2014-07-07 $13.02 $13.79 Long 1061.0 5.91% 19210.82 19210.82
TMF 2014-07-08 2014-07-16 $14.17 $14.44 Long 1065.0 1.86% 19490.91 19490.91
TMF 2014-07-31 2014-09-15 $14.62 $14.87 Long 977.0 1.65% 4728.08 19602.71
TMF 2014-09-15 2014-10-24 $14.87 $17.41 Long 1009.0 17.09% 5424.29 22177.31
TMF 2014-10-24 2014-11-24 $17.41 $17.37 Long 969.0 -0.20% 22255.37 22255.37
TMF 2014-12-22 2015-01-09 $20.05 $21.94 Long 867.0 9.42% 23892.57 23892.57
TMF 2015-01-13 2015-02-09 $23.06 $23.31 Long 799.0 1.08% 6049.84 23610.87
TMF 2015-02-09 2015-02-11 $23.31 $22.08 Long 774.0 -5.29% 5630.37 23257.99
TMF 2015-02-11 2015-02-18 $22.08 $20.64 Long 793.0 -6.49% 5712.94 22055.23
TMF 2015-02-18 2015-02-27 $20.64 $21.68 Long 789.0 5.04% 22821.68 22821.68
TMF 2015-03-10 2015-03-12 $20.22 $21.29 Long 889.0 5.28% 23771.64 23771.64
TMF 2015-04-06 2015-04-23 $23.03 $21.11 Long 780.0 -8.34% 5913.89 22432.60
TMF 2015-04-23 2015-05-04 $21.11 $19.48 Long 775.0 -7.73% 5193.28 20469.00
TMF 2015-05-04 2015-05-07 $19.48 $18.16 Long 812.0 -6.75% 5175.12 20188.42
TMF 2015-05-07 2015-05-14 $18.16 $17.00 Long 813.0 -6.41% 5124.13 19086.93
TMF 2015-05-14 2015-05-18 $17.00 $17.56 Long 816.0 3.32% 19454.27 19454.27
TMF 2015-06-10 2015-06-12 $15.71 $16.41 Long 918.0 4.42% 20091.56 20091.56
TMF 2015-08-07 2015-08-27 $18.86 $18.11 Long 840.0 -4.01% 5005.88 19534.20
TMF 2015-08-27 2015-09-16 $18.11 $16.94 Long 798.0 -6.48% 4972.01 18444.95
TMF 2015-09-16 2015-09-23 $16.94 $18.00 Long 800.0 6.25% 19368.04 19368.04
TMF 2015-10-13 2015-10-15 $18.94 $19.27 Long 791.0 1.75% 19630.42 19630.42
TMF 2015-10-26 2015-11-04 $19.05 $17.92 Long 801.0 -5.93% 4636.92 18717.71
TMF 2015-11-04 2015-11-09 $17.92 $16.61 Long 786.0 -7.34% 4404.40 17774.98
TMF 2015-11-09 2015-11-18 $16.61 $17.21 Long 800.0 3.62% 18173.03 18173.03
TMF 2015-12-24 2016-01-19 $18.16 $19.73 Long 775.0 8.65% 19390.45 19390.45
TMF 2016-01-28 2016-02-10 $19.93 $23.03 Long 740.0 15.59% 21689.03 21689.03
TMF 2016-02-17 2016-03-24 $21.94 $22.43 Long 738.0 2.24% 22050.98 22050.98
TMF 2016-04-15 2016-04-22 $22.85 $21.57 Long 744.0 -5.61% 4835.06 20922.24
TMF 2016-04-22 2016-05-05 $21.57 $22.28 Long 754.0 3.31% 21635.05 21635.05
TMF 2016-05-19 2016-06-02 $22.04 $22.78 Long 732.0 3.35% 22176.16 22176.16
TMF 2016-06-21 2016-07-06 $24.56 $29.49 Long 693.0 20.11% 25597.97 25597.97
TMF 2016-07-13 2016-07-18 $28.50 $27.11 Long 699.0 -4.88% 5891.27 24311.46
TMF 2016-07-18 2016-08-01 $27.11 $27.63 Long 691.0 1.90% 24981.08 24981.08
TMF 2016-08-03 2016-08-22 $26.92 $27.47 Long 721.0 2.07% 25382.53 25382.53
TMF 2016-09-09 2016-09-16 $25.48 $24.62 Long 716.0 -3.38% 5707.56 24823.71
TMF 2016-09-16 2016-09-22 $24.62 $25.75 Long 774.0 4.58% 25637.94 25637.94
TMF 2016-10-10 2016-10-20 $23.70 $24.10 Long 806.0 1.68% 25958.77 25958.77
TMF 2016-11-02 2016-11-07 $22.97 $22.71 Long 887.0 -1.16% 25723.39 25723.39
TMF 2016-11-15 2016-11-18 $18.34 $18.09 Long 1096.0 -1.34% 25453.32 25453.32
TMF 2017-01-20 2017-02-09 $17.38 $18.11 Long 1104.0 4.20% 26258.97 26258.97
TMF 2017-02-15 2017-03-06 $16.95 $17.13 Long 1142.0 1.06% 26464.61 26464.61
TMF 2017-03-07 2017-03-14 $16.85 $16.12 Long 1182.0 -4.33% 6176.35 25750.50
TMF 2017-03-14 2017-03-20 $16.12 $16.86 Long 1205.0 4.59% 26492.81 26492.81
TMF 2017-04-25 2017-05-22 $18.48 $19.09 Long 1088.0 3.28% 27152.74 27152.74
TMF 2017-06-13 2017-07-07 $19.44 $18.90 Long 1066.0 -2.75% 6394.06 26573.37
TMF 2017-07-07 2017-07-20 $18.90 $20.13 Long 1068.0 6.47% 27890.29 27890.29
TMF 2017-08-01 2017-08-03 $19.02 $20.10 Long 1113.0 5.69% 29093.79 29093.79
TMF 2017-08-31 2017-09-28 $21.19 $19.51 Long 1050.0 -7.92% 6493.20 27493.05
TMF 2017-09-28 2017-10-12 $19.51 $19.79 Long 1068.0 1.41% 27624.75 27624.75
TMF 2017-10-27 2017-10-31 $18.98 $19.70 Long 1110.0 3.80% 28424.92 28424.92
TMF 2017-11-16 2017-11-24 $20.54 $20.97 Long 1058.0 2.12% 28886.54 28886.54
TMF 2017-11-30 2018-01-04 $20.13 $20.40 Long 1090.0 1.38% 29188.68 29188.68
TMF 2018-01-10 2018-01-24 $19.03 $19.02 Long 1117.0 -0.05% 29178.05 29178.05
TMF 2018-02-07 2018-02-12 $17.83 $17.13 Long 1240.0 -3.90% 6663.16 28304.53
TMF 2018-02-12 2018-02-14 $17.13 $17.07 Long 1264.0 -0.33% 28244.38 28244.38
TMF 2018-04-06 2018-04-23 $18.14 $17.05 Long 1208.0 -5.99% 6551.48 27022.71
TMF 2018-04-23 2018-05-04 $17.05 $17.50 Long 1195.0 2.63% 27466.99 27466.99
TMF 2018-05-18 2018-05-22 $16.30 $16.62 Long 1282.0 1.93% 27870.30 27870.30
TMF 2018-06-11 2018-08-02 $17.42 $17.32 Long 1206.0 -0.55% 6380.76 27765.87
TMF 2018-08-02 2018-08-10 $17.32 $18.08 Long 1234.0 4.37% 28688.45 28688.45
TMF 2018-09-04 2018-09-19 $17.94 $16.63 Long 1172.0 -7.32% 6794.07 26926.52
TMF 2018-09-19 2018-10-01 $16.63 $16.53 Long 1224.0 -0.59% 27028.50 27028.50
TMF 2018-11-08 2018-11-12 $14.96 $15.36 Long 1372.0 2.63% 27569.47 27569.47
TMF 2018-12-04 2019-04-30 $16.61 $19.30 Long 1341.0 16.18% 31172.71 31172.71
TMF 2019-06-07 2019-07-25 $23.82 $23.42 Long 1018.0 -1.65% 30771.95 30771.95
TMF 2019-08-22 2019-09-11 $30.75 $28.44 Long 753.0 -7.50% 7875.70 29065.03
TMF 2019-09-11 2019-09-16 $28.44 $26.88 Long 744.0 -5.51% 7203.81 28028.04
TMF 2019-09-16 2019-09-30 $26.88 $29.13 Long 769.0 8.38% 29603.89 29603.89
TMF 2019-10-15 2019-10-29 $28.47 $26.56 Long 783.0 -6.71% 6677.54 27974.59
TMF 2019-10-29 2019-11-01 $26.56 $28.46 Long 807.0 7.16% 29641.86 29641.86
TMF 2019-11-12 2019-11-15 $25.17 $26.40 Long 897.0 4.88% 30743.30 30743.30
TMF 2019-12-09 2019-12-19 $27.24 $25.56 Long 880.0 -6.15% 7336.02 29519.09
TMF 2019-12-19 2020-01-03 $25.56 $26.77 Long 858.0 4.73% 30306.66 30306.66
TMF 2020-02-06 2020-03-11 $28.99 $44.43 Long 796.0 53.25% 13851.02 38165.81
TMF 2020-03-11 2020-03-13 $44.43 $36.57 Long 647.0 -17.69% 10487.01 37133.62
TMF 2020-03-13 2020-03-18 $36.57 $33.58 Long 739.0 -8.17% 13341.11 31839.95
TMF 2020-03-18 2020-03-20 $33.58 $33.56 Long 654.0 -0.06% 6092.55 38583.99
TMF 2020-03-20 2020-04-01 $33.56 $43.87 Long 870.0 30.72% 44257.56 44257.56
TMF 2020-04-09 2020-05-06 $40.55 $39.66 Long 819.0 -2.20% 10373.03 43667.20
TMF 2020-05-06 2020-05-20 $39.66 $39.41 Long 836.0 -0.62% 9545.33 43927.47
TMF 2020-05-20 2020-05-21 $39.41 $40.62 Long 857.0 3.05% 44355.26 44355.26
TMF 2020-05-28 2020-06-02 $38.53 $38.49 Long 866.0 -0.10% 44321.36 44321.36
TMF 2020-06-04 2020-06-08 $36.44 $33.87 Long 908.0 -7.04% 9066.70 43020.39
TMF 2020-06-08 2020-06-11 $33.87 $39.40 Long 972.0 16.32% 47368.07 47368.07
TMF 2020-07-23 2020-07-30 $43.53 $45.12 Long 842.0 3.67% 48711.37 48711.37
TMF 2020-07-31 2020-08-12 $44.46 $41.04 Long 825.0 -7.70% 11083.95 45802.21
TMF 2020-08-12 2020-08-28 $41.04 $38.11 Long 848.0 -7.13% 43403.56 43403.56
TMF 2020-08-31 2020-09-03 $37.95 $41.06 Long 871.0 8.20% 46114.50 46114.50
TMF 2020-10-06 2020-10-15 $36.44 $38.97 Long 939.0 6.96% 48494.84 48494.84
TMF 2020-10-26 2020-10-28 $36.16 $37.72 Long 1071.0 4.33% 50172.03 50172.03
TMF 2020-12-03 2020-12-11 $34.52 $35.58 Long 1111.0 3.06% 51347.18 51347.18
TMF 2020-12-28 2020-12-30 $34.17 $34.47 Long 1138.0 0.88% 51687.80 51687.80
TMF 2021-01-07 2021-01-20 $31.17 $31.22 Long 1218.0 0.16% 51748.56 51748.56
TMF 2021-02-09 2021-02-11 $29.59 $29.85 Long 1362.0 0.88% 52101.87 52101.87
TMF 2021-02-24 2021-03-01 $24.03 $24.66 Long 1584.0 2.62% 53097.51 53097.51
TMF 2021-04-29 2021-05-25 $22.84 $23.48 Long 1732.0 2.80% 54204.19 54204.19
TMF 2021-06-23 2021-08-12 $25.79 $27.40 Long 1640.0 6.24% 13384.64 57031.86
TMF 2021-08-12 2021-08-23 $27.40 $29.75 Long 1586.0 8.57% 60564.83 60564.83
TMF 2021-08-27 2021-09-15 $28.73 $30.33 Long 1632.0 5.56% 63173.22 63173.22
TMF 2021-09-27 2021-10-08 $27.25 $25.20 Long 1708.0 -7.52% 14521.26 59298.97
TMF 2021-10-08 2021-10-13 $25.20 $26.48 Long 1792.0 5.08% 61966.66 61966.66
TMF 2021-11-17 2021-12-17 $26.34 $29.57 Long 1759.0 12.29% 15226.99 67926.42
TMF 2021-12-17 2021-12-30 $29.57 $27.69 Long 1773.0 -6.38% 15310.05 64969.78
TMF 2021-12-30 2022-01-04 $27.69 $25.60 Long 1770.0 -7.54% 16666.76 60722.18
TMF 2022-01-04 2022-01-19 $25.60 $23.93 Long 1717.0 -6.52% 57754.28 57754.28
TMF 2022-02-11 2022-02-17 $22.08 $21.82 Long 1966.0 -1.18% 57243.55 57243.55
TMF 2022-03-15 2022-03-22 $19.95 $18.21 Long 2195.0 -8.74% 13974.41 53157.35
TMF 2022-03-22 2022-03-24 $18.21 $18.47 Long 2166.0 1.43% 53980.43 53980.43
TMF 2022-04-13 2022-04-18 $15.80 $14.92 Long 2549.0 -5.57% 14213.51 51108.56
TMF 2022-04-18 2022-04-22 $14.92 $14.61 Long 2515.0 -2.08% 50957.66 50957.66

Signals

Strategy Ratio Size Ticker Date State Type Profit Tick
CtiTMF 0.90 0.00 Out EOD