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.

(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.