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 |