Description
This uses a simple Bayes model for investing. It gathers a probability profile based on several metrics. The graph above represents buying SPY when in RiskOn mode.
This is only evaluated at the end of each month.
When in RiskOff mode extra caution should be taken in the markets.
Details
Metrics
| Metric | Measure |
|---|---|
| AccountName | default |
| NoOfTrades | 429.00 |
| NoOfWins | 265.00 |
| NoOfLosses | 164.00 |
| SharpRatio | 0.71 |
| SortinoRatio | 0.88 |
| GrossProfit | $91114.97 |
| FirstDate | 1993-08-05 |
| LastDate | 2022-09-12 |
| FirstEquity | $10000.00 |
| FinalEquity | $101114.97 |
| OpenEquity | $0.00 |
| LongEquity | $91114.97 |
| ShortEquity | $0.00 |
| PercentWins | 61.77% |
| AveWin | 2.18% |
| AveLoss | -1.60% |
| AveWinLoss | 1.36 |
| Expectancy | 0.73% |
| AveDrawUp | 22.42% |
| AveDrawDown | -9.04% |
| MaxDrawDown | -27.69% |
| Kelly | 33.67% |
| Thrope | 101.63 |
| APR | 8.27% |
| CalmarRatio | 0.92 |
Trades
| Symbol | Open | Close | Open Price | Close Price | Type | Size | Profit | Balance | Equity |
|---|---|---|---|---|---|---|---|---|---|
| SPY | 1993-08-05 | 1993-08-06 | $26.19 | $26.23 | Long | 309.0 | 0.14% | 10011.26 | 10011.26 |
| SPY | 1993-08-12 | 1993-08-13 | $26.28 | $26.32 | Long | 308.0 | 0.14% | 10022.49 | 10022.49 |
| SPY | 1993-08-16 | 1993-08-17 | $26.46 | $26.56 | Long | 306.0 | 0.34% | 10050.37 | 10050.37 |
| SPY | 1993-08-18 | 1993-08-31 | $26.70 | $27.16 | Long | 304.0 | 1.71% | 10188.90 | 10188.90 |
| SPY | 1993-09-01 | 1993-09-27 | $27.12 | $27.16 | Long | 304.0 | 0.15% | 10201.36 | 10201.36 |
| SPY | 1993-09-28 | 1993-10-12 | $27.11 | $27.13 | Long | 304.0 | 0.07% | 10206.93 | 10206.93 |
| SPY | 1993-10-15 | 1993-10-22 | $27.62 | $27.22 | Long | 299.0 | -1.46% | 10086.29 | 10086.29 |
| SPY | 1993-10-25 | 1993-11-15 | $27.29 | $27.33 | Long | 299.0 | 0.13% | 10097.26 | 10097.26 |
| SPY | 1993-11-16 | 1993-11-24 | $27.46 | $27.27 | Long | 297.0 | -0.67% | 10042.79 | 10042.79 |
| SPY | 1993-11-26 | 1993-12-22 | $27.29 | $27.62 | Long | 298.0 | 1.23% | 10142.44 | 10142.44 |
| SPY | 1993-12-23 | 1993-12-28 | $27.61 | $27.81 | Long | 297.0 | 0.74% | 10202.72 | 10202.72 |
| SPY | 1993-12-29 | 1994-02-22 | $27.77 | $27.96 | Long | 297.0 | 0.66% | 10257.52 | 10257.52 |
| SPY | 1994-02-24 | 1994-03-07 | $27.51 | $27.72 | Long | 301.0 | 0.74% | 10318.63 | 10318.63 |
| SPY | 1994-03-08 | 1994-03-09 | $27.61 | $27.74 | Long | 302.0 | 0.47% | 10357.63 | 10357.63 |
| SPY | 1994-03-10 | 1994-03-15 | $27.51 | $27.68 | Long | 304.0 | 0.60% | 10408.13 | 10408.13 |
| SPY | 1994-03-21 | 1994-03-22 | $27.82 | $27.90 | Long | 303.0 | 0.27% | 10430.62 | 10430.62 |
| SPY | 1994-03-24 | 1994-03-28 | $27.54 | $27.32 | Long | 306.0 | -0.81% | 10362.47 | 10362.47 |
| SPY | 1994-05-23 | 1994-05-24 | $27.01 | $27.13 | Long | 310.0 | 0.41% | 10396.99 | 10396.99 |
| SPY | 1994-06-02 | 1994-06-08 | $27.30 | $27.19 | Long | 308.0 | -0.41% | 10362.69 | 10362.69 |
| SPY | 1994-06-09 | 1994-06-14 | $27.34 | $27.64 | Long | 307.0 | 1.09% | 10453.86 | 10453.86 |
| SPY | 1994-06-15 | 1994-06-20 | $27.52 | $27.19 | Long | 307.0 | -1.20% | 10352.30 | 10352.30 |
| SPY | 1994-08-08 | 1994-08-09 | $27.44 | $27.48 | Long | 305.0 | 0.17% | 10366.54 | 10366.54 |
| SPY | 1994-08-17 | 1994-08-18 | $27.87 | $27.77 | Long | 301.0 | -0.34% | 10338.43 | 10338.43 |
| SPY | 1994-08-23 | 1994-08-24 | $27.88 | $28.18 | Long | 300.0 | 1.07% | 10428.11 | 10428.11 |
| SPY | 1994-08-25 | 1994-09-30 | $28.11 | $27.77 | Long | 300.0 | -1.19% | 10327.53 | 10327.53 |
| SPY | 1994-10-03 | 1994-10-11 | $27.71 | $28.05 | Long | 301.0 | 1.22% | 10429.37 | 10429.37 |
| SPY | 1994-10-12 | 1994-10-13 | $28.08 | $28.18 | Long | 300.0 | 0.33% | 10457.56 | 10457.56 |
| SPY | 1994-10-17 | 1994-10-19 | $28.24 | $28.31 | Long | 299.0 | 0.23% | 10477.24 | 10477.24 |
| SPY | 1994-10-20 | 1994-10-24 | $28.12 | $27.77 | Long | 301.0 | -1.24% | 10372.55 | 10372.55 |
| SPY | 1994-10-27 | 1994-10-28 | $28.07 | $28.67 | Long | 299.0 | 2.11% | 10549.60 | 10549.60 |
| SPY | 1994-10-31 | 1994-11-01 | $28.56 | $28.24 | Long | 299.0 | -1.12% | 10454.06 | 10454.06 |
| SPY | 1994-11-02 | 1994-11-14 | $28.08 | $28.18 | Long | 301.0 | 0.33% | 10482.34 | 10482.34 |
| SPY | 1994-11-15 | 1994-11-16 | $28.08 | $28.18 | Long | 302.0 | 0.33% | 10510.71 | 10510.71 |
| SPY | 1994-11-17 | 1994-12-13 | $27.99 | $27.38 | Long | 304.0 | -2.18% | 10325.00 | 10325.00 |
| SPY | 1994-12-14 | 1994-12-16 | $27.52 | $27.74 | Long | 303.0 | 0.79% | 10391.11 | 10391.11 |
| SPY | 1994-12-22 | 1994-12-30 | $27.90 | $27.62 | Long | 301.0 | -0.98% | 10308.42 | 10308.42 |
| SPY | 1995-01-03 | 1995-01-04 | $27.76 | $27.89 | Long | 300.0 | 0.48% | 10348.22 | 10348.22 |
| SPY | 1995-01-10 | 1995-01-11 | $27.97 | $27.99 | Long | 299.0 | 0.07% | 10353.87 | 10353.87 |
| SPY | 1995-01-12 | 1995-01-16 | $28.00 | $28.51 | Long | 299.0 | 1.79% | 10503.99 | 10503.99 |
| SPY | 1995-01-17 | 1995-01-18 | $28.51 | $28.49 | Long | 298.0 | -0.10% | 10495.52 | 10495.52 |
| SPY | 1995-01-19 | 1995-01-23 | $28.33 | $28.31 | Long | 300.0 | -0.07% | 10489.85 | 10489.85 |
| SPY | 1995-01-26 | 1995-01-30 | $28.45 | $28.44 | Long | 298.0 | -0.03% | 10487.03 | 10487.03 |
| SPY | 1995-02-01 | 1995-02-02 | $28.54 | $28.71 | Long | 297.0 | 0.60% | 10537.66 | 10537.66 |
| SPY | 1995-02-03 | 1995-02-22 | $29.12 | $29.59 | Long | 293.0 | 1.59% | 10673.67 | 10673.67 |
| SPY | 1995-02-27 | 1995-02-28 | $29.47 | $29.72 | Long | 293.0 | 0.84% | 10745.84 | 10745.84 |
| SPY | 1995-03-01 | 1996-04-25 | $29.53 | $40.67 | Long | 294.0 | 37.74% | 14022.35 | 14022.35 |
| SPY | 1996-04-26 | 1996-07-10 | $40.76 | $41.23 | Long | 278.0 | 1.15% | 14152.58 | 14152.58 |
| SPY | 1996-07-11 | 1996-07-12 | $40.40 | $40.43 | Long | 283.0 | 0.07% | 14160.89 | 14160.89 |
| SPY | 1996-07-15 | 1996-07-17 | $39.23 | $39.80 | Long | 292.0 | 1.45% | 14326.60 | 14326.60 |
| SPY | 1996-07-18 | 1996-07-19 | $40.35 | $40.06 | Long | 287.0 | -0.73% | 14242.35 | 14242.35 |
| SPY | 1996-07-25 | 1996-07-29 | $39.68 | $39.46 | Long | 290.0 | -0.57% | 14177.09 | 14177.09 |
| SPY | 1996-08-01 | 1996-08-02 | $40.80 | $41.68 | Long | 281.0 | 2.16% | 14424.53 | 14424.53 |
| SPY | 1996-08-08 | 1996-08-09 | $41.60 | $41.46 | Long | 280.0 | -0.33% | 14386.17 | 14386.17 |
| SPY | 1996-08-12 | 1996-08-14 | $41.77 | $41.58 | Long | 278.0 | -0.45% | 14334.49 | 14334.49 |
| SPY | 1996-08-16 | 1996-08-19 | $41.86 | $41.87 | Long | 277.0 | 0.05% | 14339.92 | 14339.92 |
| SPY | 1996-08-20 | 1996-08-22 | $41.85 | $42.09 | Long | 277.0 | 0.58% | 14407.66 | 14407.66 |
| SPY | 1996-08-26 | 1996-09-13 | $41.66 | $42.93 | Long | 280.0 | 3.05% | 14763.81 | 14763.81 |
| SPY | 1996-09-17 | 1996-10-01 | $42.99 | $43.43 | Long | 278.0 | 1.02% | 14885.24 | 14885.24 |
| SPY | 1996-10-03 | 1997-04-21 | $43.68 | $48.32 | Long | 276.0 | 10.61% | 16163.99 | 16163.99 |
| SPY | 1997-04-22 | 1997-05-15 | $49.38 | $53.60 | Long | 265.0 | 8.54% | 17281.83 | 17281.83 |
| SPY | 1997-05-16 | 1997-05-23 | $52.86 | $53.85 | Long | 264.0 | 1.88% | 17543.86 | 17543.86 |
| SPY | 1997-05-28 | 1997-05-30 | $54.06 | $54.09 | Long | 262.0 | 0.06% | 17551.66 | 17551.66 |
| SPY | 1997-06-02 | 1997-08-13 | $53.85 | $58.85 | Long | 263.0 | 9.27% | 18864.85 | 18864.85 |
| SPY | 1997-08-14 | 1997-11-25 | $59.07 | $60.96 | Long | 258.0 | 3.21% | 19354.17 | 19354.17 |
| SPY | 1997-11-26 | 1997-12-01 | $61.14 | $62.78 | Long | 256.0 | 2.68% | 19774.04 | 19774.04 |
| SPY | 1997-12-03 | 1997-12-30 | $62.58 | $62.41 | Long | 255.0 | -0.27% | 19730.41 | 19730.41 |
| SPY | 1998-01-02 | 1998-01-13 | $62.69 | $61.25 | Long | 254.0 | -2.31% | 19363.17 | 19363.17 |
| SPY | 1998-01-15 | 1998-01-16 | $61.02 | $61.89 | Long | 257.0 | 1.43% | 19587.67 | 19587.67 |
| SPY | 1998-01-22 | 1998-01-27 | $61.74 | $62.23 | Long | 256.0 | 0.80% | 19713.61 | 19713.61 |
| SPY | 1998-01-28 | 1998-01-30 | $62.79 | $63.18 | Long | 254.0 | 0.61% | 19810.53 | 19810.53 |
| SPY | 1998-02-05 | 1998-02-06 | $64.58 | $65.30 | Long | 248.0 | 1.12% | 19989.81 | 19989.81 |
| SPY | 1998-02-09 | 1998-02-10 | $65.08 | $65.71 | Long | 248.0 | 0.96% | 20144.21 | 20144.21 |
| SPY | 1998-02-11 | 1998-03-19 | $65.65 | $70.20 | Long | 248.0 | 6.94% | 21274.70 | 21274.70 |
| SPY | 1998-03-20 | 1998-06-22 | $70.81 | $71.50 | Long | 243.0 | 0.98% | 21442.63 | 21442.63 |
| SPY | 1998-06-23 | 1998-08-18 | $72.35 | $71.36 | Long | 240.0 | -1.37% | 21205.06 | 21205.06 |
| SPY | 1998-08-19 | 1998-08-20 | $71.17 | $70.75 | Long | 241.0 | -0.60% | 21102.82 | 21102.82 |
| SPY | 1998-08-21 | 1998-08-25 | $70.18 | $70.79 | Long | 243.0 | 0.86% | 21250.10 | 21250.10 |
| SPY | 1998-08-31 | 1998-09-02 | $62.06 | $64.22 | Long | 277.0 | 3.48% | 21848.88 | 21848.88 |
| SPY | 1998-10-21 | 1998-10-23 | $69.17 | $69.32 | Long | 255.0 | 0.21% | 21885.06 | 21885.06 |
| SPY | 1998-10-28 | 1998-10-30 | $69.30 | $71.36 | Long | 255.0 | 2.98% | 22412.38 | 22412.38 |
| SPY | 1998-11-02 | 1998-11-05 | $72.58 | $73.82 | Long | 250.0 | 1.70% | 22721.54 | 22721.54 |
| SPY | 1998-11-10 | 1998-11-24 | $73.31 | $76.96 | Long | 251.0 | 4.98% | 23637.51 | 23637.51 |
| SPY | 1998-11-25 | 1998-12-15 | $76.96 | $75.70 | Long | 248.0 | -1.63% | 23325.78 | 23325.78 |
| SPY | 1998-12-16 | 1998-12-23 | $75.60 | $80.20 | Long | 249.0 | 6.09% | 24471.90 | 24471.90 |
| SPY | 1998-12-24 | 1999-06-16 | $79.86 | $86.99 | Long | 248.0 | 8.93% | 26240.11 | 26240.11 |
| SPY | 1999-06-17 | 1999-07-07 | $87.80 | $91.34 | Long | 242.0 | 4.03% | 27096.10 | 27096.10 |
| SPY | 1999-07-12 | 1999-07-15 | $91.55 | $92.31 | Long | 239.0 | 0.84% | 27279.39 | 27279.39 |
| SPY | 1999-07-19 | 1999-08-16 | $92.20 | $87.54 | Long | 239.0 | -5.06% | 26164.90 | 26164.90 |
| SPY | 1999-08-17 | 1999-08-23 | $88.11 | $89.32 | Long | 240.0 | 1.37% | 26454.50 | 26454.50 |
| SPY | 1999-08-24 | 1999-09-07 | $89.64 | $88.66 | Long | 239.0 | -1.10% | 26219.87 | 26219.87 |
| SPY | 1999-09-08 | 1999-10-04 | $88.23 | $85.81 | Long | 240.0 | -2.74% | 25638.91 | 25638.91 |
| SPY | 1999-10-05 | 1999-10-06 | $85.73 | $87.04 | Long | 242.0 | 1.53% | 25956.55 | 25956.55 |
| SPY | 1999-10-14 | 1999-10-15 | $84.11 | $81.96 | Long | 249.0 | -2.56% | 25420.35 | 25420.35 |
| SPY | 1999-10-21 | 1999-10-22 | $84.66 | $85.38 | Long | 243.0 | 0.85% | 25594.77 | 25594.77 |
| SPY | 1999-10-25 | 1999-10-26 | $84.95 | $83.88 | Long | 244.0 | -1.26% | 25334.55 | 25334.55 |
| SPY | 1999-10-27 | 1999-10-29 | $85.40 | $89.91 | Long | 240.0 | 5.28% | 26417.44 | 26417.44 |
| SPY | 1999-11-02 | 1999-11-04 | $88.33 | $89.61 | Long | 242.0 | 1.44% | 26725.16 | 26725.16 |
| SPY | 1999-11-12 | 1999-11-15 | $91.72 | $91.93 | Long | 236.0 | 0.23% | 26775.98 | 26775.98 |
| SPY | 1999-11-18 | 1999-11-19 | $93.60 | $93.52 | Long | 231.0 | -0.09% | 26757.03 | 26757.03 |
| SPY | 1999-11-23 | 1999-11-24 | $92.68 | $93.17 | Long | 233.0 | 0.53% | 26871.72 | 26871.72 |
| SPY | 1999-11-30 | 1999-12-01 | $91.41 | $92.15 | Long | 238.0 | 0.81% | 27047.44 | 27047.44 |
| SPY | 1999-12-02 | 1999-12-06 | $92.70 | $93.71 | Long | 236.0 | 1.08% | 27284.60 | 27284.60 |
| SPY | 1999-12-07 | 1999-12-21 | $92.95 | $94.61 | Long | 237.0 | 1.79% | 27679.34 | 27679.34 |
| SPY | 1999-12-22 | 1999-12-29 | $94.86 | $96.59 | Long | 236.0 | 1.82% | 28086.91 | 28086.91 |
| SPY | 1999-12-30 | 1999-12-31 | $96.47 | $96.63 | Long | 235.0 | 0.16% | 28123.15 | 28123.15 |
| SPY | 2000-01-03 | 2000-01-28 | $95.68 | $89.39 | Long | 238.0 | -6.57% | 26625.86 | 26625.86 |
| SPY | 2000-02-01 | 2000-02-18 | $92.72 | $89.02 | Long | 232.0 | -3.99% | 25767.30 | 25767.30 |
| SPY | 2000-02-23 | 2000-02-24 | $89.84 | $88.03 | Long | 232.0 | -2.01% | 25347.56 | 25347.56 |
| SPY | 2000-02-28 | 2000-02-29 | $89.56 | $90.42 | Long | 229.0 | 0.96% | 25545.30 | 25545.30 |
| SPY | 2000-03-01 | 2000-03-08 | $91.08 | $90.05 | Long | 227.0 | -1.13% | 25311.95 | 25311.95 |
| SPY | 2000-03-09 | 2000-03-24 | $92.68 | $101.28 | Long | 221.0 | 9.28% | 27213.00 | 27213.00 |
| SPY | 2000-03-27 | 2000-04-25 | $100.21 | $97.72 | Long | 219.0 | -2.49% | 26666.82 | 26666.82 |
| SPY | 2000-04-27 | 2000-04-28 | $96.30 | $95.70 | Long | 224.0 | -0.62% | 26532.92 | 26532.92 |
| SPY | 2000-05-03 | 2000-05-05 | $92.83 | $94.67 | Long | 231.0 | 1.98% | 26956.66 | 26956.66 |
| SPY | 2000-05-09 | 2000-05-11 | $93.20 | $93.18 | Long | 234.0 | -0.02% | 26951.83 | 26951.83 |
| SPY | 2000-05-12 | 2000-05-15 | $94.19 | $95.82 | Long | 231.0 | 1.73% | 27327.96 | 27327.96 |
| SPY | 2000-05-18 | 2000-05-22 | $94.56 | $92.38 | Long | 234.0 | -2.31% | 26816.72 | 26816.72 |
| SPY | 2000-05-23 | 2000-05-24 | $91.02 | $92.50 | Long | 238.0 | 1.63% | 27169.91 | 27169.91 |
| SPY | 2000-06-20 | 2000-07-03 | $97.81 | $97.37 | Long | 225.0 | -0.44% | 27072.29 | 27072.29 |
| SPY | 2000-07-05 | 2000-07-07 | $95.62 | $97.91 | Long | 229.0 | 2.40% | 27597.44 | 27597.44 |
| SPY | 2000-07-19 | 2000-08-07 | $98.22 | $97.93 | Long | 227.0 | -0.29% | 27531.78 | 27531.78 |
| SPY | 2000-08-09 | 2000-08-14 | $97.47 | $98.69 | Long | 228.0 | 1.25% | 27809.69 | 27809.69 |
| SPY | 2000-08-18 | 2000-08-21 | $98.96 | $99.50 | Long | 227.0 | 0.54% | 27931.63 | 27931.63 |
| SPY | 2000-08-24 | 2000-08-25 | $100.04 | $100.00 | Long | 226.0 | -0.04% | 27922.29 | 27922.29 |
| SPY | 2000-08-30 | 2000-08-31 | $99.40 | $100.72 | Long | 227.0 | 1.33% | 28222.44 | 28222.44 |
| SPY | 2000-09-05 | 2000-09-07 | $100.02 | $99.73 | Long | 228.0 | -0.29% | 28156.50 | 28156.50 |
| SPY | 2000-09-08 | 2000-09-25 | $99.04 | $95.61 | Long | 230.0 | -3.47% | 27367.06 | 27367.06 |
| SPY | 2000-09-26 | 2000-10-05 | $94.39 | $95.57 | Long | 234.0 | 1.25% | 27643.34 | 27643.34 |
| SPY | 2000-10-06 | 2000-10-18 | $93.50 | $88.98 | Long | 239.0 | -4.83% | 26564.13 | 26564.13 |
| SPY | 2000-10-19 | 2000-10-20 | $92.34 | $92.73 | Long | 233.0 | 0.43% | 26655.82 | 26655.82 |
| SPY | 2000-10-24 | 2000-10-25 | $92.53 | $90.35 | Long | 233.0 | -2.35% | 26149.08 | 26149.08 |
| SPY | 2000-10-27 | 2000-10-30 | $92.32 | $93.15 | Long | 229.0 | 0.90% | 26338.81 | 26338.81 |
| SPY | 2000-11-07 | 2000-11-09 | $95.28 | $92.82 | Long | 223.0 | -2.59% | 25789.14 | 25789.14 |
| SPY | 2000-11-14 | 2000-11-17 | $92.22 | $90.57 | Long | 226.0 | -1.79% | 25416.98 | 25416.98 |
| SPY | 2000-11-22 | 2000-11-27 | $87.59 | $90.16 | Long | 235.0 | 2.94% | 26023.00 | 26023.00 |
| SPY | 2000-12-19 | 2000-12-20 | $86.45 | $83.94 | Long | 243.0 | -2.90% | 25414.58 | 25414.58 |
| SPY | 2001-05-15 | 2001-05-21 | $83.99 | $87.78 | Long | 245.0 | 4.50% | 26340.77 | 26340.77 |
| SPY | 2001-05-23 | 2001-05-29 | $86.17 | $84.73 | Long | 247.0 | -1.68% | 25983.41 | 25983.41 |
| SPY | 2001-05-30 | 2001-05-31 | $83.54 | $83.97 | Long | 251.0 | 0.52% | 26092.18 | 26092.18 |
| SPY | 2001-06-11 | 2001-06-12 | $84.07 | $83.93 | Long | 251.0 | -0.17% | 26055.37 | 26055.37 |
| SPY | 2001-06-15 | 2001-06-18 | $81.47 | $81.08 | Long | 259.0 | -0.48% | 25953.19 | 25953.19 |
| SPY | 2001-07-19 | 2001-07-20 | $81.62 | $81.13 | Long | 257.0 | -0.60% | 25827.75 | 25827.75 |
| SPY | 2001-08-15 | 2001-08-16 | $79.06 | $79.33 | Long | 264.0 | 0.35% | 25900.12 | 25900.12 |
| SPY | 2001-08-27 | 2001-08-28 | $79.11 | $77.95 | Long | 265.0 | -1.46% | 25593.59 | 25593.59 |
| SPY | 2001-11-16 | 2001-11-19 | $76.75 | $77.70 | Long | 270.0 | 1.23% | 25849.10 | 25849.10 |
| SPY | 2001-11-26 | 2001-11-28 | $77.81 | $76.07 | Long | 269.0 | -2.23% | 25381.50 | 25381.50 |
| SPY | 2001-11-29 | 2001-12-03 | $77.10 | $76.09 | Long | 266.0 | -1.31% | 25113.70 | 25113.70 |
| SPY | 2001-12-04 | 2001-12-10 | $77.38 | $76.77 | Long | 262.0 | -0.79% | 24953.69 | 24953.69 |
| SPY | 2001-12-13 | 2001-12-14 | $75.21 | $75.93 | Long | 268.0 | 0.95% | 25146.15 | 25146.15 |
| SPY | 2001-12-18 | 2001-12-24 | $77.17 | $77.27 | Long | 263.0 | 0.12% | 25171.22 | 25171.22 |
| SPY | 2001-12-26 | 2002-01-10 | $77.69 | $78.17 | Long | 262.0 | 0.62% | 25298.26 | 25298.26 |
| SPY | 2002-01-11 | 2002-01-14 | $77.41 | $76.92 | Long | 264.0 | -0.63% | 25170.25 | 25170.25 |
| SPY | 2002-01-16 | 2002-01-17 | $75.98 | $76.55 | Long | 268.0 | 0.75% | 25323.66 | 25323.66 |
| SPY | 2002-01-22 | 2002-01-23 | $75.68 | $76.26 | Long | 271.0 | 0.77% | 25480.62 | 25480.62 |
| SPY | 2002-02-01 | 2002-02-05 | $75.86 | $73.52 | Long | 272.0 | -3.09% | 24843.15 | 24843.15 |
| SPY | 2002-02-08 | 2002-02-11 | $74.14 | $75.05 | Long | 271.0 | 1.23% | 25089.53 | 25089.53 |
| SPY | 2002-02-21 | 2002-02-22 | $72.94 | $73.84 | Long | 278.0 | 1.24% | 25340.41 | 25340.41 |
| SPY | 2002-03-04 | 2002-04-16 | $77.95 | $76.45 | Long | 263.0 | -1.93% | 24945.64 | 24945.64 |
| SPY | 2002-04-23 | 2002-04-24 | $74.64 | $73.89 | Long | 270.0 | -1.00% | 24743.24 | 24743.24 |
| SPY | 2002-04-26 | 2002-04-29 | $72.53 | $72.17 | Long | 276.0 | -0.49% | 24644.45 | 24644.45 |
| SPY | 2002-05-02 | 2002-05-03 | $73.45 | $72.66 | Long | 271.0 | -1.08% | 24428.48 | 24428.48 |
| SPY | 2002-11-18 | 2002-11-26 | $61.60 | $62.43 | Long | 321.0 | 1.35% | 24695.09 | 24695.09 |
| SPY | 2002-11-27 | 2002-12-03 | $64.19 | $63.23 | Long | 311.0 | -1.50% | 24396.55 | 24396.55 |
| SPY | 2002-12-04 | 2002-12-06 | $62.94 | $62.65 | Long | 313.0 | -0.45% | 24307.05 | 24307.05 |
| SPY | 2002-12-09 | 2002-12-10 | $60.93 | $61.75 | Long | 323.0 | 1.34% | 24570.93 | 24570.93 |
| SPY | 2002-12-11 | 2002-12-12 | $61.80 | $61.80 | Long | 322.0 | -0.01% | 24568.74 | 24568.74 |
| SPY | 2002-12-13 | 2002-12-20 | $60.82 | $61.56 | Long | 327.0 | 1.22% | 24810.48 | 24810.48 |
| SPY | 2002-12-23 | 2002-12-27 | $61.58 | $59.78 | Long | 326.0 | -2.93% | 24221.71 | 24221.71 |
| SPY | 2002-12-31 | 2003-01-03 | $60.36 | $62.49 | Long | 325.0 | 3.54% | 24915.39 | 24915.39 |
| SPY | 2003-01-07 | 2003-01-27 | $63.44 | $58.29 | Long | 318.0 | -8.12% | 23277.27 | 23277.27 |
| SPY | 2003-02-21 | 2003-02-24 | $58.27 | $57.33 | Long | 323.0 | -1.62% | 22972.34 | 22972.34 |
| SPY | 2003-03-04 | 2003-03-05 | $56.61 | $57.09 | Long | 328.0 | 0.85% | 23129.41 | 23129.41 |
| SPY | 2003-03-06 | 2003-03-07 | $56.61 | $57.00 | Long | 330.0 | 0.69% | 23258.09 | 23258.09 |
| SPY | 2003-03-17 | 2003-03-21 | $59.37 | $61.59 | Long | 317.0 | 3.74% | 23961.67 | 23961.67 |
| SPY | 2003-03-24 | 2003-03-28 | $59.54 | $59.55 | Long | 325.0 | 0.02% | 23966.13 | 23966.13 |
| SPY | 2003-03-31 | 2003-04-02 | $58.20 | $60.52 | Long | 333.0 | 3.99% | 24739.16 | 24739.16 |
| SPY | 2003-04-09 | 2003-04-10 | $59.77 | $60.10 | Long | 335.0 | 0.55% | 24849.60 | 24849.60 |
| SPY | 2003-04-11 | 2003-04-14 | $59.86 | $61.09 | Long | 336.0 | 2.07% | 25264.99 | 25264.99 |
| SPY | 2003-04-22 | 2003-04-23 | $62.73 | $63.31 | Long | 326.0 | 0.92% | 25453.06 | 25453.06 |
| SPY | 2003-04-25 | 2003-04-28 | $61.97 | $63.04 | Long | 332.0 | 1.73% | 25808.77 | 25808.77 |
| SPY | 2003-04-29 | 2003-05-02 | $63.26 | $64.02 | Long | 330.0 | 1.19% | 26058.09 | 26058.09 |
| SPY | 2003-05-06 | 2003-05-08 | $64.50 | $63.50 | Long | 327.0 | -1.55% | 25730.19 | 25730.19 |
| SPY | 2003-05-09 | 2003-12-01 | $64.37 | $74.45 | Long | 323.0 | 15.66% | 28986.02 | 28986.02 |
| SPY | 2003-12-02 | 2004-05-24 | $74.27 | $76.94 | Long | 316.0 | 3.59% | 29829.14 | 29829.14 |
| SPY | 2004-06-02 | 2004-06-15 | $78.93 | $79.55 | Long | 306.0 | 0.79% | 30019.16 | 30019.16 |
| SPY | 2004-06-16 | 2004-06-17 | $79.54 | $79.42 | Long | 305.0 | -0.15% | 29982.98 | 29982.98 |
| SPY | 2004-06-18 | 2004-06-22 | $79.57 | $79.67 | Long | 305.0 | 0.12% | 30012.88 | 30012.88 |
| SPY | 2004-06-25 | 2004-06-28 | $79.72 | $79.44 | Long | 304.0 | -0.34% | 29929.86 | 29929.86 |
| SPY | 2004-06-29 | 2004-07-27 | $79.77 | $76.87 | Long | 303.0 | -3.64% | 29049.34 | 29049.34 |
| SPY | 2004-08-05 | 2004-08-09 | $75.91 | $74.93 | Long | 309.0 | -1.29% | 28746.41 | 28746.41 |
| SPY | 2004-09-02 | 2004-09-07 | $78.83 | $79.03 | Long | 295.0 | 0.25% | 28804.25 | 28804.25 |
| SPY | 2004-09-08 | 2004-09-09 | $78.83 | $78.76 | Long | 295.0 | -0.09% | 28783.59 | 28783.59 |
| SPY | 2004-09-13 | 2004-09-14 | $79.43 | $79.59 | Long | 293.0 | 0.20% | 28830.78 | 28830.78 |
| SPY | 2004-09-20 | 2004-09-21 | $79.08 | $79.43 | Long | 295.0 | 0.44% | 28932.42 | 28932.42 |
| SPY | 2004-09-22 | 2004-09-23 | $78.44 | $78.01 | Long | 298.0 | -0.54% | 28806.70 | 28806.70 |
| SPY | 2004-09-24 | 2004-09-29 | $78.37 | $78.64 | Long | 297.0 | 0.34% | 28886.06 | 28886.06 |
| SPY | 2004-09-30 | 2004-10-01 | $78.58 | $79.91 | Long | 297.0 | 1.69% | 29280.75 | 29280.75 |
| SPY | 2004-10-05 | 2004-10-07 | $80.09 | $79.77 | Long | 296.0 | -0.40% | 29187.09 | 29187.09 |
| SPY | 2004-10-08 | 2004-10-15 | $79.11 | $78.23 | Long | 298.0 | -1.11% | 28925.17 | 28925.17 |
| SPY | 2004-10-18 | 2004-10-25 | $78.53 | $77.25 | Long | 298.0 | -1.63% | 28543.81 | 28543.81 |
| SPY | 2004-10-28 | 2004-10-29 | $79.61 | $79.60 | Long | 290.0 | -0.02% | 28539.73 | 28539.73 |
| SPY | 2004-11-02 | 2004-11-03 | $79.84 | $80.85 | Long | 289.0 | 1.26% | 28830.32 | 28830.32 |
| SPY | 2004-11-04 | 2004-12-01 | $81.95 | $84.08 | Long | 284.0 | 2.60% | 29435.89 | 29435.89 |
| SPY | 2004-12-03 | 2004-12-10 | $84.10 | $84.15 | Long | 283.0 | 0.07% | 29451.86 | 29451.86 |
| SPY | 2004-12-13 | 2005-02-15 | $84.89 | $85.83 | Long | 281.0 | 1.11% | 29716.60 | 29716.60 |
| SPY | 2005-02-16 | 2005-04-06 | $85.89 | $84.37 | Long | 280.0 | -1.77% | 29291.49 | 29291.49 |
| SPY | 2005-04-07 | 2005-04-21 | $84.82 | $82.53 | Long | 279.0 | -2.71% | 28650.42 | 28650.42 |
| SPY | 2005-04-27 | 2005-04-28 | $82.27 | $81.24 | Long | 282.0 | -1.25% | 28359.54 | 28359.54 |
| SPY | 2005-06-07 | 2005-06-08 | $85.46 | $85.30 | Long | 268.0 | -0.18% | 28317.60 | 28317.60 |
| SPY | 2005-06-10 | 2005-06-13 | $85.51 | $85.78 | Long | 268.0 | 0.32% | 28390.05 | 28390.05 |
| SPY | 2005-06-15 | 2005-06-16 | $86.14 | $86.36 | Long | 266.0 | 0.26% | 28448.71 | 28448.71 |
| SPY | 2005-06-21 | 2005-06-29 | $86.76 | $85.59 | Long | 265.0 | -1.35% | 28138.30 | 28138.30 |
| SPY | 2005-07-05 | 2005-07-06 | $86.06 | $85.34 | Long | 264.0 | -0.84% | 27947.86 | 27947.86 |
| SPY | 2005-07-14 | 2005-08-17 | $87.79 | $87.28 | Long | 257.0 | -0.58% | 27817.54 | 27817.54 |
| SPY | 2005-08-19 | 2005-08-23 | $87.47 | $87.31 | Long | 257.0 | -0.19% | 27775.32 | 27775.32 |
| SPY | 2005-08-25 | 2005-08-26 | $86.84 | $86.25 | Long | 259.0 | -0.68% | 27621.78 | 27621.78 |
| SPY | 2005-08-29 | 2005-08-31 | $86.91 | $87.55 | Long | 257.0 | 0.73% | 27785.15 | 27785.15 |
| SPY | 2005-09-01 | 2005-09-02 | $87.49 | $87.33 | Long | 257.0 | -0.18% | 27744.76 | 27744.76 |
| SPY | 2005-09-07 | 2005-10-24 | $88.50 | $86.04 | Long | 253.0 | -2.78% | 27122.56 | 27122.56 |
| SPY | 2005-10-25 | 2005-10-26 | $85.87 | $85.62 | Long | 255.0 | -0.29% | 27058.55 | 27058.55 |
| SPY | 2005-10-28 | 2005-10-31 | $85.93 | $86.16 | Long | 255.0 | 0.28% | 27118.91 | 27118.91 |
| SPY | 2005-11-01 | 2005-11-02 | $86.42 | $87.32 | Long | 254.0 | 1.05% | 27348.45 | 27348.45 |
| SPY | 2005-11-03 | 2005-11-04 | $87.70 | $87.58 | Long | 252.0 | -0.13% | 27319.54 | 27319.54 |
| SPY | 2005-11-07 | 2005-11-08 | $87.67 | $87.67 | Long | 252.0 | 0.00% | 27319.54 | 27319.54 |
| SPY | 2005-11-09 | 2005-11-10 | $87.78 | $88.47 | Long | 252.0 | 0.78% | 27491.24 | 27491.24 |
| SPY | 2005-11-11 | 2005-11-17 | $88.77 | $89.40 | Long | 250.0 | 0.71% | 27649.04 | 27649.04 |
| SPY | 2005-11-18 | 2005-11-21 | $89.75 | $90.20 | Long | 249.0 | 0.50% | 27761.55 | 27761.55 |
| SPY | 2005-11-23 | 2005-11-25 | $91.11 | $91.18 | Long | 246.0 | 0.08% | 27779.20 | 27779.20 |
| SPY | 2005-11-28 | 2005-12-29 | $90.54 | $90.27 | Long | 248.0 | -0.30% | 27712.57 | 27712.57 |
| SPY | 2005-12-30 | 2006-02-27 | $89.78 | $93.35 | Long | 250.0 | 3.98% | 28604.88 | 28604.88 |
| SPY | 2006-02-28 | 2006-03-14 | $92.46 | $93.87 | Long | 250.0 | 1.52% | 28956.40 | 28956.40 |
| SPY | 2006-03-17 | 2006-06-27 | $94.56 | $90.10 | Long | 248.0 | -4.71% | 27850.86 | 27850.86 |
| SPY | 2006-06-28 | 2006-06-29 | $90.71 | $92.54 | Long | 248.0 | 2.02% | 28305.30 | 28305.30 |
| SPY | 2006-06-30 | 2006-07-03 | $92.55 | $92.93 | Long | 247.0 | 0.41% | 28398.70 | 28398.70 |
| SPY | 2006-07-05 | 2006-07-06 | $92.40 | $92.67 | Long | 248.0 | 0.29% | 28465.42 | 28465.42 |
| SPY | 2006-07-07 | 2006-07-10 | $92.06 | $92.24 | Long | 250.0 | 0.19% | 28509.05 | 28509.05 |
| SPY | 2006-07-11 | 2006-07-24 | $92.65 | $91.77 | Long | 249.0 | -0.94% | 28291.78 | 28291.78 |
| SPY | 2006-07-25 | 2006-10-12 | $92.10 | $99.53 | Long | 248.0 | 8.07% | 30134.48 | 30134.48 |
| SPY | 2006-10-17 | 2007-07-06 | $99.63 | $113.28 | Long | 245.0 | 13.71% | 33479.76 | 33479.76 |
| SPY | 2007-07-09 | 2007-08-22 | $113.37 | $108.59 | Long | 239.0 | -4.21% | 32338.25 | 32338.25 |
| SPY | 2007-08-24 | 2007-08-27 | $109.84 | $108.82 | Long | 238.0 | -0.93% | 32095.04 | 32095.04 |
| SPY | 2007-08-28 | 2007-09-24 | $106.42 | $112.86 | Long | 244.0 | 6.04% | 33664.68 | 33664.68 |
| SPY | 2007-09-25 | 2007-10-15 | $112.63 | $115.33 | Long | 242.0 | 2.39% | 34316.45 | 34316.45 |
| SPY | 2007-10-16 | 2007-10-25 | $114.41 | $112.97 | Long | 242.0 | -1.26% | 33967.16 | 33967.16 |
| SPY | 2007-10-26 | 2007-10-31 | $114.29 | $115.06 | Long | 240.0 | 0.67% | 34151.07 | 34151.07 |
| SPY | 2007-11-01 | 2007-11-13 | $112.37 | $110.17 | Long | 246.0 | -1.95% | 33611.16 | 33611.16 |
| SPY | 2007-11-14 | 2007-11-21 | $109.87 | $105.41 | Long | 247.0 | -4.06% | 32510.39 | 32510.39 |
| SPY | 2007-12-14 | 2007-12-18 | $109.49 | $108.53 | Long | 240.0 | -0.88% | 32280.05 | 32280.05 |
| SPY | 2007-12-21 | 2007-12-24 | $110.78 | $111.61 | Long | 236.0 | 0.74% | 32474.20 | 32474.20 |
| SPY | 2007-12-26 | 2008-01-03 | $111.85 | $108.34 | Long | 235.0 | -3.14% | 31649.92 | 31649.92 |
| SPY | 2008-01-04 | 2008-01-07 | $105.68 | $105.59 | Long | 242.0 | -0.08% | 31628.20 | 31628.20 |
| SPY | 2008-02-29 | 2008-03-05 | $100.08 | $100.09 | Long | 255.0 | 0.01% | 31630.11 | 31630.11 |
| SPY | 2008-05-05 | 2008-05-07 | $105.84 | $104.85 | Long | 242.0 | -0.93% | 31391.86 | 31391.86 |
| SPY | 2008-05-13 | 2008-05-22 | $105.57 | $104.85 | Long | 240.0 | -0.69% | 31216.90 | 31216.90 |
| SPY | 2008-05-23 | 2008-05-28 | $103.44 | $104.69 | Long | 244.0 | 1.21% | 31521.30 | 31521.30 |
| SPY | 2008-06-03 | 2008-06-05 | $103.78 | $105.80 | Long | 246.0 | 1.95% | 32018.62 | 32018.62 |
| SPY | 2008-06-09 | 2008-06-11 | $102.67 | $100.66 | Long | 252.0 | -1.96% | 31511.07 | 31511.07 |
| SPY | 2008-06-17 | 2008-06-20 | $101.88 | $99.39 | Long | 250.0 | -2.45% | 30887.16 | 30887.16 |
| SPY | 2008-06-23 | 2008-06-24 | $99.29 | $99.09 | Long | 251.0 | -0.20% | 30837.86 | 30837.86 |
| SPY | 2008-06-27 | 2008-07-01 | $96.33 | $96.97 | Long | 259.0 | 0.67% | 31004.15 | 31004.15 |
| SPY | 2008-07-03 | 2008-07-07 | $95.41 | $94.43 | Long | 263.0 | -1.02% | 30747.89 | 30747.89 |
| SPY | 2008-07-18 | 2008-07-21 | $95.16 | $95.21 | Long | 261.0 | 0.06% | 30761.69 | 30761.69 |
| SPY | 2008-08-08 | 2008-08-19 | $97.72 | $95.92 | Long | 254.0 | -1.84% | 30305.07 | 30305.07 |
| SPY | 2008-08-20 | 2008-08-26 | $96.37 | $96.22 | Long | 254.0 | -0.15% | 30268.61 | 30268.61 |
| SPY | 2008-08-27 | 2008-09-03 | $97.16 | $96.59 | Long | 252.0 | -0.58% | 30125.85 | 30125.85 |
| SPY | 2008-09-04 | 2008-09-08 | $93.69 | $95.92 | Long | 260.0 | 2.39% | 30707.17 | 30707.17 |
| SPY | 2008-09-19 | 2008-09-22 | $94.28 | $92.14 | Long | 263.0 | -2.26% | 30145.83 | 30145.83 |
| SPY | 2009-04-17 | 2009-04-20 | $67.17 | $64.35 | Long | 363.0 | -4.19% | 29123.83 | 29123.83 |
| SPY | 2009-04-27 | 2009-04-28 | $66.21 | $66.00 | Long | 356.0 | -0.31% | 29049.69 | 29049.69 |
| SPY | 2009-04-30 | 2010-04-06 | $67.43 | $93.66 | Long | 348.0 | 38.90% | 38177.77 | 38177.77 |
| SPY | 2010-04-07 | 2010-04-09 | $93.13 | $94.06 | Long | 332.0 | 1.01% | 38488.62 | 38488.62 |
| SPY | 2010-04-12 | 2010-04-15 | $94.21 | $95.43 | Long | 330.0 | 1.29% | 38891.07 | 38891.07 |
| SPY | 2010-04-16 | 2010-06-11 | $93.91 | $86.30 | Long | 335.0 | -8.11% | 36339.61 | 36339.61 |
| SPY | 2010-06-17 | 2010-06-18 | $88.23 | $88.33 | Long | 333.0 | 0.11% | 36371.39 | 36371.39 |
| SPY | 2010-06-24 | 2010-06-25 | $84.92 | $85.28 | Long | 346.0 | 0.42% | 36494.48 | 36494.48 |
| SPY | 2010-06-30 | 2010-07-01 | $81.60 | $81.24 | Long | 362.0 | -0.45% | 36362.83 | 36362.83 |
| SPY | 2010-07-07 | 2010-07-08 | $83.89 | $84.72 | Long | 351.0 | 0.99% | 36654.19 | 36654.19 |
| SPY | 2010-07-09 | 2010-07-15 | $85.35 | $86.71 | Long | 347.0 | 1.59% | 37126.02 | 37126.02 |
| SPY | 2010-07-16 | 2010-07-19 | $84.32 | $84.82 | Long | 356.0 | 0.59% | 37303.33 | 37303.33 |
| SPY | 2010-07-23 | 2010-08-12 | $87.28 | $85.88 | Long | 346.0 | -1.61% | 36816.44 | 36816.44 |
| SPY | 2010-08-19 | 2010-08-23 | $85.28 | $84.68 | Long | 349.0 | -0.70% | 36606.76 | 36606.76 |
| SPY | 2010-10-14 | 2010-10-15 | $93.35 | $93.55 | Long | 317.0 | 0.20% | 36667.22 | 36667.22 |
| SPY | 2010-10-18 | 2010-11-04 | $94.01 | $97.17 | Long | 315.0 | 3.36% | 37663.64 | 37663.64 |
| SPY | 2010-11-08 | 2011-07-14 | $97.35 | $105.58 | Long | 313.0 | 8.45% | 40238.52 | 40238.52 |
| SPY | 2011-07-15 | 2011-07-21 | $106.19 | $108.45 | Long | 306.0 | 2.13% | 40929.42 | 40929.42 |
| SPY | 2011-07-22 | 2011-08-24 | $108.52 | $95.22 | Long | 305.0 | -12.26% | 36871.33 | 36871.33 |
| SPY | 2011-08-25 | 2011-08-29 | $93.77 | $97.86 | Long | 318.0 | 4.37% | 38173.98 | 38173.98 |
| SPY | 2011-09-12 | 2011-09-13 | $94.08 | $94.94 | Long | 328.0 | 0.92% | 38456.99 | 38456.99 |
| SPY | 2011-09-21 | 2011-09-26 | $94.53 | $94.22 | Long | 329.0 | -0.33% | 38352.99 | 38352.99 |
| SPY | 2011-11-09 | 2011-11-15 | $99.82 | $102.19 | Long | 311.0 | 2.37% | 39089.04 | 39089.04 |
| SPY | 2011-11-16 | 2011-11-29 | $100.57 | $97.30 | Long | 314.0 | -3.25% | 38063.39 | 38063.39 |
| SPY | 2011-12-02 | 2011-12-05 | $101.20 | $102.30 | Long | 304.0 | 1.09% | 38398.49 | 38398.49 |
| SPY | 2011-12-06 | 2011-12-07 | $102.34 | $102.72 | Long | 303.0 | 0.37% | 38513.92 | 38513.92 |
| SPY | 2011-12-23 | 2011-12-27 | $103.09 | $103.17 | Long | 302.0 | 0.08% | 38538.55 | 38538.55 |
| SPY | 2011-12-28 | 2011-12-30 | $101.82 | $102.37 | Long | 306.0 | 0.54% | 38705.78 | 38705.78 |
| SPY | 2012-01-03 | 2012-05-11 | $104.00 | $111.10 | Long | 301.0 | 6.83% | 40842.57 | 40842.57 |
| SPY | 2012-05-14 | 2012-05-15 | $109.87 | $109.24 | Long | 301.0 | -0.57% | 40652.70 | 40652.70 |
| SPY | 2012-05-29 | 2012-05-30 | $109.53 | $107.94 | Long | 300.0 | -1.45% | 40175.91 | 40175.91 |
| SPY | 2012-06-08 | 2012-06-11 | $109.04 | $107.65 | Long | 298.0 | -1.27% | 39763.33 | 39763.33 |
| SPY | 2012-06-13 | 2012-06-21 | $108.20 | $109.06 | Long | 297.0 | 0.79% | 40018.69 | 40018.69 |
| SPY | 2012-06-22 | 2012-06-26 | $109.90 | $108.68 | Long | 294.0 | -1.11% | 39660.40 | 39660.40 |
| SPY | 2012-06-28 | 2012-07-05 | $109.34 | $112.64 | Long | 293.0 | 3.01% | 40625.46 | 40625.46 |
| SPY | 2012-07-06 | 2012-07-09 | $111.57 | $111.43 | Long | 294.0 | -0.13% | 40584.31 | 40584.31 |
| SPY | 2012-07-10 | 2012-07-11 | $110.46 | $110.47 | Long | 297.0 | 0.01% | 40589.20 | 40589.20 |
| SPY | 2012-07-12 | 2012-07-24 | $109.94 | $110.28 | Long | 299.0 | 0.31% | 40692.61 | 40692.61 |
| SPY | 2012-07-26 | 2012-07-27 | $112.13 | $114.19 | Long | 293.0 | 1.84% | 41298.18 | 41298.18 |
| SPY | 2012-07-30 | 2012-08-03 | $114.19 | $114.75 | Long | 292.0 | 0.48% | 41459.28 | 41459.28 |
| SPY | 2012-08-08 | 2012-08-14 | $115.68 | $115.93 | Long | 290.0 | 0.21% | 41530.92 | 41530.92 |
| SPY | 2012-08-16 | 2012-09-06 | $116.92 | $118.38 | Long | 287.0 | 1.25% | 41951.57 | 41951.57 |
| SPY | 2012-09-10 | 2012-09-12 | $118.17 | $118.90 | Long | 287.0 | 0.61% | 42159.54 | 42159.54 |
| SPY | 2012-09-17 | 2013-02-04 | $120.83 | $124.68 | Long | 282.0 | 3.19% | 43245.09 | 43245.09 |
| SPY | 2013-02-05 | 2013-09-09 | $125.94 | $141.13 | Long | 278.0 | 12.06% | 47466.91 | 47466.91 |
| SPY | 2013-09-10 | 2013-09-11 | $142.17 | $142.62 | Long | 270.0 | 0.31% | 47587.38 | 47587.38 |
| SPY | 2013-09-12 | 2013-10-10 | $142.24 | $143.12 | Long | 270.0 | 0.62% | 47826.13 | 47826.13 |
| SPY | 2013-10-11 | 2013-10-14 | $144.04 | $144.62 | Long | 268.0 | 0.40% | 47980.31 | 47980.31 |
| SPY | 2013-10-15 | 2013-10-16 | $143.57 | $145.57 | Long | 270.0 | 1.40% | 48521.68 | 48521.68 |
| SPY | 2013-10-17 | 2013-11-06 | $146.55 | $149.89 | Long | 268.0 | 2.28% | 49417.27 | 49417.27 |
| SPY | 2013-11-07 | 2013-11-08 | $147.99 | $149.99 | Long | 270.0 | 1.35% | 49956.35 | 49956.35 |
| SPY | 2013-11-12 | 2013-11-13 | $149.71 | $150.91 | Long | 270.0 | 0.80% | 50280.72 | 50280.72 |
| SPY | 2013-11-18 | 2013-11-22 | $151.79 | $152.97 | Long | 268.0 | 0.77% | 50595.88 | 50595.88 |
| SPY | 2013-11-25 | 2013-11-27 | $152.82 | $153.23 | Long | 268.0 | 0.27% | 50706.97 | 50706.97 |
| SPY | 2013-11-29 | 2014-03-07 | $153.13 | $160.13 | Long | 268.0 | 4.57% | 52583.51 | 52583.51 |
| SPY | 2014-03-10 | 2014-04-24 | $160.05 | $160.47 | Long | 266.0 | 0.27% | 52697.05 | 52697.05 |
| SPY | 2014-04-25 | 2014-10-28 | $159.16 | $171.12 | Long | 268.0 | 7.52% | 55902.90 | 55902.90 |
| SPY | 2014-10-29 | 2014-11-25 | $170.86 | $178.62 | Long | 265.0 | 4.54% | 57959.85 | 57959.85 |
| SPY | 2014-11-26 | 2014-12-26 | $179.08 | $180.76 | Long | 262.0 | 0.94% | 58399.45 | 58399.45 |
| SPY | 2014-12-30 | 2015-01-15 | $180.03 | $172.59 | Long | 262.0 | -4.13% | 56450.04 | 56450.04 |
| SPY | 2015-01-20 | 2015-01-28 | $175.22 | $173.56 | Long | 260.0 | -0.95% | 56017.14 | 56017.14 |
| SPY | 2015-01-29 | 2015-02-02 | $175.16 | $175.10 | Long | 259.0 | -0.03% | 56001.42 | 56001.42 |
| SPY | 2015-02-03 | 2015-02-04 | $177.64 | $176.96 | Long | 255.0 | -0.38% | 55828.93 | 55828.93 |
| SPY | 2015-02-09 | 2015-02-10 | $177.45 | $179.34 | Long | 254.0 | 1.07% | 56309.11 | 56309.11 |
| SPY | 2015-02-12 | 2015-02-20 | $181.17 | $183.19 | Long | 251.0 | 1.11% | 56814.10 | 56814.10 |
| SPY | 2015-02-23 | 2015-02-24 | $183.16 | $183.68 | Long | 251.0 | 0.28% | 56944.69 | 56944.69 |
| SPY | 2015-02-25 | 2015-03-02 | $183.52 | $183.84 | Long | 251.0 | 0.17% | 57023.05 | 57023.05 |
| SPY | 2015-03-03 | 2015-04-07 | $183.08 | $180.55 | Long | 252.0 | -1.38% | 56384.28 | 56384.28 |
| SPY | 2015-04-08 | 2015-04-10 | $181.16 | $182.95 | Long | 252.0 | 0.99% | 56836.44 | 56836.44 |
| SPY | 2015-04-13 | 2015-04-15 | $182.12 | $183.29 | Long | 252.0 | 0.64% | 57130.57 | 57130.57 |
| SPY | 2015-04-16 | 2015-04-22 | $183.24 | $183.46 | Long | 252.0 | 0.12% | 57187.64 | 57187.64 |
| SPY | 2015-04-27 | 2015-05-04 | $183.59 | $184.07 | Long | 252.0 | 0.26% | 57308.37 | 57308.37 |
| SPY | 2015-05-05 | 2015-05-08 | $181.96 | $184.33 | Long | 255.0 | 1.30% | 57912.51 | 57912.51 |
| SPY | 2015-05-11 | 2015-05-14 | $183.45 | $184.84 | Long | 255.0 | 0.76% | 58267.89 | 58267.89 |
| SPY | 2015-05-19 | 2015-05-20 | $185.56 | $185.42 | Long | 254.0 | -0.07% | 58234.71 | 58234.71 |
| SPY | 2015-05-21 | 2015-07-13 | $185.96 | $183.60 | Long | 253.0 | -1.27% | 57636.39 | 57636.39 |
| SPY | 2015-07-14 | 2015-07-16 | $184.44 | $185.80 | Long | 253.0 | 0.74% | 57979.63 | 57979.63 |
| SPY | 2015-07-20 | 2015-07-29 | $186.10 | $184.48 | Long | 252.0 | -0.87% | 57571.57 | 57571.57 |
| SPY | 2015-07-30 | 2015-08-18 | $184.53 | $183.75 | Long | 252.0 | -0.42% | 57375.26 | 57375.26 |
| SPY | 2015-08-19 | 2015-08-21 | $182.30 | $172.98 | Long | 254.0 | -5.11% | 55007.53 | 55007.53 |
| SPY | 2015-08-24 | 2015-08-28 | $165.87 | $174.39 | Long | 268.0 | 5.14% | 57292.31 | 57292.31 |
| SPY | 2015-08-31 | 2015-09-01 | $172.90 | $167.85 | Long | 268.0 | -2.92% | 55938.80 | 55938.80 |
| SPY | 2015-09-09 | 2015-09-10 | $170.47 | $171.42 | Long | 265.0 | 0.56% | 56191.63 | 56191.63 |
| SPY | 2015-11-09 | 2015-11-10 | $183.09 | $183.52 | Long | 248.0 | 0.23% | 56296.37 | 56296.37 |
| SPY | 2015-11-11 | 2015-11-16 | $182.79 | $180.93 | Long | 249.0 | -1.02% | 55831.88 | 55831.88 |
| SPY | 2015-11-18 | 2015-11-20 | $183.66 | $184.17 | Long | 246.0 | 0.28% | 55957.43 | 55957.43 |
| SPY | 2015-11-23 | 2015-11-25 | $183.96 | $184.18 | Long | 246.0 | 0.12% | 56011.54 | 56011.54 |
| SPY | 2015-11-27 | 2015-12-02 | $184.39 | $183.49 | Long | 246.0 | -0.49% | 55788.59 | 55788.59 |
| SPY | 2015-12-03 | 2015-12-04 | $180.92 | $184.45 | Long | 249.0 | 1.95% | 56667.18 | 56667.18 |
| SPY | 2015-12-08 | 2015-12-09 | $182.10 | $180.68 | Long | 252.0 | -0.78% | 56310.18 | 56310.18 |
| SPY | 2015-12-17 | 2015-12-18 | $180.26 | $177.07 | Long | 253.0 | -1.77% | 55502.42 | 55502.42 |
| SPY | 2015-12-24 | 2015-12-30 | $182.08 | $182.30 | Long | 246.0 | 0.12% | 55556.86 | 55556.86 |
| SPY | 2016-01-29 | 2016-02-01 | $171.49 | $171.43 | Long | 262.0 | -0.04% | 55540.62 | 55540.62 |
| SPY | 2016-02-16 | 2016-02-17 | $168.00 | $170.75 | Long | 267.0 | 1.63% | 56273.34 | 56273.34 |
| SPY | 2016-02-18 | 2016-02-19 | $170.05 | $169.97 | Long | 268.0 | -0.05% | 56251.99 | 56251.99 |
| SPY | 2016-02-22 | 2016-03-08 | $172.43 | $175.63 | Long | 264.0 | 1.86% | 57098.00 | 57098.00 |
| SPY | 2016-03-09 | 2016-04-05 | $176.50 | $181.69 | Long | 262.0 | 2.94% | 58456.81 | 58456.81 |
| SPY | 2016-04-06 | 2016-05-03 | $183.67 | $183.44 | Long | 257.0 | -0.13% | 58397.36 | 58397.36 |
| SPY | 2016-05-09 | 2016-05-11 | $183.20 | $183.74 | Long | 258.0 | 0.30% | 58537.40 | 58537.40 |
| SPY | 2016-05-12 | 2016-05-16 | $183.80 | $183.99 | Long | 257.0 | 0.11% | 58587.70 | 58587.70 |
| SPY | 2016-05-19 | 2016-05-24 | $181.70 | $184.96 | Long | 261.0 | 1.80% | 59440.01 | 59440.01 |
| SPY | 2016-05-25 | 2016-10-06 | $186.22 | $193.98 | Long | 258.0 | 4.17% | 61443.38 | 61443.38 |
| SPY | 2016-10-07 | 2016-10-10 | $193.32 | $194.32 | Long | 257.0 | 0.52% | 61702.15 | 61702.15 |
| SPY | 2016-10-11 | 2016-10-24 | $191.87 | $193.18 | Long | 260.0 | 0.68% | 62043.40 | 62043.40 |
| SPY | 2016-10-25 | 2016-10-27 | $192.53 | $191.63 | Long | 261.0 | -0.47% | 61808.77 | 61808.77 |
| SPY | 2016-10-31 | 2016-11-08 | $191.08 | $192.48 | Long | 262.0 | 0.73% | 62176.20 | 62176.20 |
| SPY | 2016-11-10 | 2016-11-21 | $195.01 | $197.91 | Long | 258.0 | 1.49% | 62925.35 | 62925.35 |
| SPY | 2016-11-28 | 2017-01-23 | $198.21 | $204.50 | Long | 257.0 | 3.18% | 64543.86 | 64543.86 |
| SPY | 2017-01-24 | 2017-09-11 | $205.81 | $227.44 | Long | 254.0 | 10.51% | 70037.22 | 70037.22 |
| SPY | 2017-09-14 | 2018-04-06 | $228.25 | $240.37 | Long | 248.0 | 5.31% | 73045.13 | 73045.13 |
| SPY | 2018-04-09 | 2018-04-10 | $241.56 | $245.40 | Long | 244.0 | 1.59% | 73982.30 | 73982.30 |
| SPY | 2018-04-11 | 2018-04-13 | $244.11 | $245.40 | Long | 245.0 | 0.53% | 74297.49 | 74297.49 |
| SPY | 2018-04-16 | 2018-04-19 | $247.42 | $248.86 | Long | 243.0 | 0.58% | 74648.33 | 74648.33 |
| SPY | 2018-04-25 | 2018-04-26 | $243.99 | $246.47 | Long | 247.0 | 1.02% | 75260.98 | 75260.98 |
| SPY | 2018-04-27 | 2018-04-30 | $246.70 | $244.81 | Long | 247.0 | -0.77% | 74792.35 | 74792.35 |
| SPY | 2018-05-01 | 2018-05-04 | $245.24 | $246.20 | Long | 247.0 | 0.39% | 75030.09 | 75030.09 |
| SPY | 2018-05-07 | 2018-05-11 | $247.04 | $252.53 | Long | 246.0 | 2.22% | 76380.21 | 76380.21 |
| SPY | 2018-05-14 | 2018-05-22 | $252.65 | $252.30 | Long | 244.0 | -0.14% | 76296.65 | 76296.65 |
| SPY | 2018-05-23 | 2018-06-05 | $253.00 | $254.61 | Long | 244.0 | 0.64% | 76689.59 | 76689.59 |
| SPY | 2018-06-08 | 2018-06-11 | $257.47 | $257.81 | Long | 241.0 | 0.13% | 76772.12 | 76772.12 |
| SPY | 2018-06-13 | 2018-06-14 | $257.32 | $257.97 | Long | 241.0 | 0.25% | 76928.25 | 76928.25 |
| SPY | 2018-06-18 | 2018-07-05 | $257.11 | $253.90 | Long | 242.0 | -1.25% | 76152.07 | 76152.07 |
| SPY | 2018-07-06 | 2018-07-09 | $256.05 | $258.36 | Long | 240.0 | 0.90% | 76705.41 | 76705.41 |
| SPY | 2018-07-11 | 2018-11-19 | $257.39 | $251.31 | Long | 241.0 | -2.36% | 75239.87 | 75239.87 |
| SPY | 2018-11-27 | 2018-12-10 | $250.65 | $246.61 | Long | 243.0 | -1.61% | 74257.25 | 74257.25 |
| SPY | 2018-12-11 | 2018-12-13 | $246.67 | $247.82 | Long | 243.0 | 0.47% | 74538.65 | 74538.65 |
| SPY | 2018-12-19 | 2018-12-20 | $234.65 | $230.83 | Long | 257.0 | -1.63% | 73557.02 | 73557.02 |
| SPY | 2019-01-24 | 2019-01-25 | $247.59 | $249.69 | Long | 240.0 | 0.85% | 74059.81 | 74059.81 |
| SPY | 2019-02-28 | 2019-03-07 | $261.81 | $258.36 | Long | 229.0 | -1.32% | 73270.27 | 73270.27 |
| SPY | 2019-03-12 | 2019-03-25 | $262.57 | $263.29 | Long | 226.0 | 0.28% | 73434.42 | 73434.42 |
| SPY | 2019-03-26 | 2019-08-29 | $265.26 | $277.41 | Long | 224.0 | 4.58% | 76157.72 | 76157.72 |
| SPY | 2019-08-30 | 2019-09-03 | $277.29 | $275.67 | Long | 222.0 | -0.58% | 75797.78 | 75797.78 |
| SPY | 2019-09-10 | 2019-09-11 | $282.68 | $284.69 | Long | 217.0 | 0.71% | 76233.97 | 76233.97 |
| SPY | 2019-09-16 | 2019-09-18 | $284.60 | $285.49 | Long | 216.0 | 0.31% | 76426.49 | 76426.49 |
| SPY | 2019-09-19 | 2019-10-15 | $285.47 | $284.70 | Long | 216.0 | -0.27% | 76259.86 | 76259.86 |
| SPY | 2019-10-16 | 2019-10-21 | $284.24 | $285.76 | Long | 217.0 | 0.53% | 76588.52 | 76588.52 |
| SPY | 2019-10-22 | 2019-10-28 | $284.83 | $288.91 | Long | 217.0 | 1.43% | 77475.29 | 77475.29 |
| SPY | 2019-10-31 | 2019-11-01 | $288.94 | $291.62 | Long | 217.0 | 0.93% | 78056.14 | 78056.14 |
| SPY | 2019-11-04 | 2020-03-25 | $292.79 | $237.68 | Long | 215.0 | -18.82% | 66208.73 | 66208.73 |
| SPY | 2020-03-26 | 2020-03-31 | $251.56 | $248.24 | Long | 213.0 | -1.32% | 65500.99 | 65500.99 |
| SPY | 2020-04-06 | 2020-05-13 | $255.09 | $271.21 | Long | 207.0 | 6.32% | 68838.32 | 68838.32 |
| SPY | 2020-05-14 | 2020-11-24 | $274.46 | $352.79 | Long | 203.0 | 28.54% | 84740.26 | 84740.26 |
| SPY | 2020-11-25 | 2020-11-27 | $352.25 | $353.23 | Long | 194.0 | 0.28% | 84930.57 | 84930.57 |
| SPY | 2020-11-30 | 2020-12-01 | $351.66 | $355.51 | Long | 195.0 | 1.09% | 85680.60 | 85680.60 |
| SPY | 2020-12-03 | 2020-12-04 | $356.16 | $359.23 | Long | 194.0 | 0.86% | 86276.04 | 86276.04 |
| SPY | 2020-12-07 | 2022-01-31 | $358.49 | $444.77 | Long | 194.0 | 24.07% | 103012.99 | 103012.99 |
| SPY | 2022-02-04 | 2022-02-07 | $443.57 | $442.15 | Long | 188.0 | -0.32% | 102745.37 | 102745.37 |
| SPY | 2022-02-09 | 2022-02-10 | $452.31 | $444.18 | Long | 183.0 | -1.80% | 101258.31 | 101258.31 |
| SPY | 2022-02-11 | 2022-02-15 | $435.42 | $441.00 | Long | 188.0 | 1.28% | 102306.51 | 102306.51 |
| SPY | 2022-02-23 | 2022-02-24 | $417.12 | $423.40 | Long | 198.0 | 1.50% | 103549.43 | 103549.43 |
| SPY | 2022-03-02 | 2022-03-03 | $432.88 | $430.73 | Long | 193.0 | -0.50% | 103133.50 | 103133.50 |
| SPY | 2022-03-04 | 2022-03-07 | $427.23 | $414.63 | Long | 195.0 | -2.95% | 100677.61 | 100677.61 |
| SPY | 2022-04-01 | 2022-04-04 | $449.12 | $452.96 | Long | 181.0 | 0.86% | 101373.99 | 101373.99 |
| SPY | 2022-04-06 | 2022-04-07 | $442.77 | $445.00 | Long | 185.0 | 0.50% | 101786.75 | 101786.75 |
| SPY | 2022-04-08 | 2022-04-11 | $443.81 | $436.23 | Long | 185.0 | -1.71% | 100383.38 | 100383.38 |
| SPY | 2022-04-12 | 2022-04-19 | $434.61 | $441.30 | Long | 187.0 | 1.54% | 101635.03 | 101635.03 |
| SPY | 2022-04-27 | 2022-04-28 | $413.77 | $424.22 | Long | 198.0 | 2.53% | 103704.43 | 103704.43 |
| SPY | 2022-08-09 | 2022-08-10 | $409.65 | $418.26 | Long | 205.0 | 2.10% | 105468.32 | 105468.32 |
| SPY | 2022-08-15 | 2022-08-17 | $427.09 | $424.89 | Long | 200.0 | -0.52% | 105028.15 | 105028.15 |
| SPY | 2022-08-19 | 2022-08-23 | $420.40 | $410.65 | Long | 202.0 | -2.32% | 103058.72 | 103058.72 |
| SPY | 2022-08-25 | 2022-08-26 | $417.78 | $403.64 | Long | 199.0 | -3.38% | 100244.57 | 100244.57 |
| SPY | 2022-09-09 | 2022-09-12 | $404.92 | $409.28 | Long | 200.0 | 1.07% | 101114.97 | 101114.97 |
Signals
| Strategy | Ratio | Size | Ticker | Date | State | Type | Profit | Tick |
|---|---|---|---|---|---|---|---|---|
| SP500Bayes | 0.90 | 0.00 | Out | EOD |