It is alarming to hear politicians claiming that their policies will bring jobs to this country, that their tenure will bring economic prosperity for all. The reasonable person understands that this is not the case. It is not government that creates jobs or growth, it is the American people. It is the people, with their hopes, ambitions, and desires to advance in life that make life better for all, not the hand of the federal government. We should look to the Steve Jobs of the world for hope and change, not the idiots in Washington.
Results when CRM opens at least 2% below prev. close, with prev. close>200 dma (Intraday)
Max close value during the test period | 66.22 | ||
Total net profit | 21.24 | Strategy Preference | LONG |
Gross profit | 31.86 | Gross loss | -10.63 |
Total number of trades | 83 | Percent profitable | 65 |
Number of winning trades | 54 | Number of losing trades | 29 |
Average profit per trade | 0.26 | Average profit per trade % | 1.58 |
Median trade | 0.15 | Median trade % | 1.31 |
Average winning trade | 0.59 | Average losing trade | -0.37 |
Average winning trade % | 3.49 | Average losing trade % | -1.97 |
Largest winning trade | 2.33 | Largest losing trade | -1.45 |
Largest winning trade % | 15.37 | Largest losing trade % | -8.93 |
Ratio avg win/avg loss | 1.61 | Ratio avg win/avg loss % | 1.77 |
Max consecutive winners | 7 | Max consecutive losers | 3 |
Profit factor | 3.00 | Outlier adjusted profit factor | 2.78 |
Max drawdown | -1.70 | Max drawdown % | -2.25 |
Account size required $A | $6,792 | Return on Account | 31.27 |
Number of years analysed | 5 | Pessimistic Rate of Return | -0.18 |
Percentage winning years | 80% | CAGR | 0.05 |
Luck Factor | 4.41 | Recovery Factor | 12.46 |
Sharpe Ratio | 0.65 | Calmar Ratio | -0.02 |
Interest Rate | 0.00 | Sortino Ratio | #DIV/0! |
T-Test | 3.75 | Optimal -F $A | $334 |
Largest single day loss | Fudged Optimal -F $A | $0 |
Results for UPRO When 50 DMA is at least 1% lower than 200 DMA
The results are for t+20 (20 days later):
Strategy Performance Summary Report | |||
Max close value during the test period | 37.38 | ||
Total net profit | 388.86 | Strategy Preference | LONG |
Gross profit | 523.85 | Gross loss | -134.99 |
Total number of trades | 207 | Percent profitable | 75 |
Number of winning trades | 155 | Number of losing trades | 52 |
Average profit per trade | 1.88 | Average profit per trade % | 5.60 |
Median trade | 2.54 | Median trade % | 8.55 |
Average winning trade | 3.38 | Average losing trade | -2.60 |
Average winning trade % | 11.19 | Average losing trade % | -11.07 |
Largest winning trade | 9.99 | Largest losing trade | -9.01 |
Largest winning trade % | 31.26 | Largest losing trade % | -37.95 |
Ratio avg win/avg loss | 1.11 | Ratio avg win/avg loss % | 1.01 |
Max consecutive winners | 55 | Max consecutive losers | 14 |
Profit factor | 3.88 | Outlier adjusted profit factor | 3.81 |
Max drawdown | -37.84 | Max drawdown % | -36.89 |
Account size required $A | $7,522 | Return on Account | 516.96 |
Number of years analysed | 5 | Pessimistic Rate of Return | -1.98 |
Percentage winning years | 60% | CAGR | 0.50 |
Luck Factor | 2.79 | Recovery Factor | 10.28 |
Sharpe Ratio | 0.52 | Calmar Ratio | -0.01 |
Interest Rate | 0.00 | ||
T-Test | 6.84 | ||
What happens when UPRO goes down by 1% or more for 3 days in a row?
This a backtest of the criteria mentioned above, using excel. The results are for T+3/T+3% , or 3 days later.
I have also included results for all trades during the same time frame for comparison:
Test Criteria Results:
Strategy Performance Summary Report | 10/13/2014 | -2.00 | -2.03 | |||
Max close value during the test period | 124.63 | 1/27/2014 | 1.77 | 2.02 | ||
Total net profit | 20.4 | Strategy Preference | LONG | 12/26/2012 | 0.68 | 1.54 |
Gross profit | 30.55 | Gross loss | -10.15 | 10/10/2012 | 0.69 | 1.53 |
Total number of trades | 23 | Percent profitable | 70 | 7/24/2012 | 3.91 | 9.77 |
Number of winning trades | 16 | Number of losing trades | 7 | 5/18/2012 | 1.91 | 5.50 |
Average profit per trade | 0.89 | Average profit per trade % | 2.73 | 5/17/2012 | 0.93 | 2.69 |
Median trade | 0.69 | Median trade % | 2.02 | 5/16/2012 | -0.75 | -2.17 |
Average winning trade | 1.91 | Average losing trade | -1.45 | 12/14/2011 | -0.45 | -1.70 |
Average winning trade % | 5.76 | Average losing trade % | -4.21 | 11/25/2011 | 5.58 | 19.03 |
Largest winning trade | 5.58 | Largest losing trade | -4.43 | 11/23/2011 | 2.09 | 8.01 |
Largest winning trade % | 19.03 | Largest losing trade % | -15.31 | 9/6/2011 | -0.79 | -3.22 |
Ratio avg win/avg loss | 1.26 | Ratio avg win/avg loss % | 1.37 | 8/2/2011 | -4.43 | -15.31 |
Max consecutive winners | 6 | Max consecutive losers | 3 | 7/27/2011 | -1.63 | -4.52 |
Profit factor | 3.01 | Outlier adjusted profit factor | 2.46 | 7/12/2011 | 0.16 | 0.41 |
Max drawdown | -6.85 | Max drawdown % | -4.74 | 5/5/2011 | 2.04 | 4.79 |
Account size required $A | $13,148 | Return on Account | 15.52 | 3/16/2011 | 3.34 | 8.98 |
Number of years analysed | 4 | Pessimistic Rate of Return | -0.10 | 8/13/2010 | 0.90 | 4.00 |
Percentage winning years | 75% | CAGR | 0.03 | 8/12/2010 | 0.50 | 2.24 |
Luck Factor | 3.30 | Recovery Factor | 2.98 | 6/30/2010 | -0.10 | -0.53 |
Sharpe Ratio | 0.53 | Calmar Ratio | -0.01 | 5/20/2010 | 0.16 | 0.73 |
Interest Rate | 0.00 | Sortino Ratio | #DIV/0! | 5/7/2010 | 4.09 | 14.35 |
T-Test | 1.94 | Optimal -F $A | $976 | 5/6/2010 | 1.80 | 6.58 |
Results for all days:
Strategy Performance Summary Report | |||
Max close value during the test period | 124.63 | ||
Total net profit | 278.59 | Strategy Preference | LONG |
Gross profit | 1007.86 | Gross loss | -729.27 |
Total number of trades | 977 | Percent profitable | 59 |
Number of winning trades | 576 | Number of losing trades | 400 |
Average profit per trade | 0.29 | Average profit per trade % | 0.32 |
Median trade | 0.48 | Median trade % | 0.79 |
Average winning trade | 1.75 | Average losing trade | -1.82 |
Average winning trade % | 3.31 | Average losing trade % | -4.00 |
Largest winning trade | 7.02 | Largest losing trade | -10.63 |
Largest winning trade % | 19.03 | Largest losing trade % | -45.78 |
Ratio avg win/avg loss | 0.66 | Ratio avg win/avg loss % | 0.83 |
Max consecutive winners | 19 | Max consecutive losers | 14 |
Profit factor | 1.38 | Outlier adjusted profit factor | 1.37 |
Max drawdown | -50.25 | Max drawdown % | -29.38 |
Account size required $A | $17,488 | Return on Account | 157.76 |
Number of years analysed | 4 | Pessimistic Rate of Return | -4.32 |
Percentage winning years | 50% | CAGR | 0.27 |
Luck Factor | 5.74 | Recovery Factor | 5.54 |
Sharpe Ratio | 0.09 | Calmar Ratio | -0.01 |
Interest Rate | 0.00 | Sortino Ratio | 4.34 |
T-Test | 1.91 | Optimal -F $A | $33,274 |
(Political) Gridlock is Good!
It seems that there is always much dialogue about how lack of action on the part of congress is to blame for the economic problems of the USA; if only this or that politician was elected, then America would rise back to prosperity and everything would be peaches and cream again. Many people believe that the government can/should do the following:
-make people’s lives better
-“create jobs”
-stimulate economic growth
-decide moral values of the people
These are ideas that go against everything this country was founded on. Do you think the Founding Fathers of the US would have identified as either “Republican” or “Democrat”? I would strongly disagree. Read the constitution: I think you’ll find it basically says “live and let live” and “people need to be protected FROM the government, not BY the government”.
The preceding paragraph aside, let’s think for a moment about the idea that the government has the ability to stimulate growth. Really? Think about who is in congress/the white house/local governments. These people are generally not brilliant scientists, innovators, or business owners; those who add to society and ultimately stimulate economic growth. The less time that politicians spend decision-making lowers the chance that they’ll make stupid policy choices (which is quite frequent).
That’s all I’ve got.
Discounted Cash Flow Tutorial Part Two
Discounted Cash Flow Tutorial Part One
(Days Sales Outstanding) and its Importance in Credit Analysis
DSO: = (A/R/Credit Sales)*#of days since credit was issued
Where A/R=accounts receivable (the money owed to the borrower by its respective customers) and Credit Sales (what you, creditor, are owed by borrower). This formula is a gauge of the average collection period as it tells you how efficient a company is at turning sales into cash. If they are efficient, it means they more likely to be able to repay their creditors.
So: Low DSO=Healthier company=Happy creditors
That’s all I got.
38 Secrets To Financial Success
38 Secrets To Financial Success
This is an article with some useful tips. Enjoy!
Backtesting Stocks using Microsoft Excel
Backtesting Stocks using Microsoft Excel
This is a series of articles that give a good primer on how to test trading strategies using odds ratios and statistics.