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GASX Signals Parameter Surface

GASX Daily (ACS BCS)

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These Direxion Daily Natural Gas Related Bear 3X Shares (GASX) signals traded as directed would have provided returns around 172.0 times better than buy-hold for the period 06-Dec-17 to 06-Dec-19.

GASX Signal Performance

GASX Signals

I was able to optimize this algorithm for around $4m return, but I backed off the optimization a bit to account for lifetime and drawdown factors. The trading signals for Direxion Daily Natural Gas Related Bear 3X Shares (GASX) were selected for their reward/risk, longevity and parameter sensitivity characteristics. Backtests don't always generate reliable signals which can be counted on moving forward but many traders find value in knowing what buy and sell signals would have worked well in the past.

You may think the returns are unrealistically high, but the numbers presented are exactly what the strategy would have returned if followed as described (check the math if you are at all dubious). But as noted above, what the future holds is completely unknown.

Returns for the Direxion Daily Natural Gas Rela (GASX) signals

For the 504 day (2.0 year) period from Dec 6 2017 to Dec 6 2019, these signals for Direxion Daily Natural Gas Related Bear 3X Shares (GASX) traded both long and short would have yielded $2,365,918 in profits from a $10,000 initial investment, an annualized return of 1441.4%. Traded long only (no short selling) the signals would have returned $359,054, an annualized return of 507.5%. 54.9% of time was spent holding stock long. The return would have been $13,758 (an annualized return of 54.1%) if you had bought and held the stock for the same period.

Signals and Trades

We call this a daily strategy as daily OHLC data is used in the numerical analysis leading to at most one buy signal and one sell signal per day. However, not all signals result in trades. If you are already long in a security, buy signals are not acted upon, similarly if you are short you should ignore sell signals. There were 418 buy signals and 355 sell signals for this particular GASX strategy (270 dual signal days) which in turn led to 188 round trip long trades of which 102 were profitable, and 189 short trades of which 104 were profitable.

Drawdown and Reward/Risk

Drawdown (the worst case loss for an single entry and exit into the strategy) was 33% for long-short and 25% for long only. This compares to 63% for buy-hold. The reward/risk for the trading long and short was 38.33 compared to 0.79 for buy-hold, a factor of 48.5 improvement. If traded long only, the reward/risk was 16.90. We use drawdown plus 5% as our risk metric, and annualized return as the reward metric.

The backtests assume a commission per trade of $7. Returns have been adjusted for 6 dividends.

Parameter sensitivity

We look for signals which are not too sensitive to changes in the buy or sell point. Here you see the effect on reward-risk when the buy point or sell point is changed. The surface plot above can also be used for this analysis, here we just show the cross section of the surface at the buy and sell points.

GASX D ACS BCS Scan

Trade List

Click to see trades

Day of signal Buy or Sell Price L&S Value Next Open
12/7/2017 C/B S 29.88 9,875
12/7/2017 S/Sh S 29.55 9,875
12/8/2017 Sht S 28.35 9,976
12/12/2017 RvL S 27.89 10,065
12/18/2017 RvS S 30.36 11,389
12/19/2017 RvL S 28.96 11,409
12/20/2017 RvS S 28.57 11,542
12/21/2017 RvL S 27.72 10,417
12/22/2017 RvS S 24.79 10,370
12/27/2017 RvL S 23.10 11,004
12/28/2017 RvS S 23.15 11,074
12/29/2017 RvL S 22.97 10,901
1/2/2018 RvS S 22.64 11,522
1/3/2018 RvL S 21.32 11,327
1/4/2018 RvS S 20.71 11,202
1/5/2018 RvL S 20.65 11,458
1/8/2018 RvS S 20.90 11,669
1/9/2018 RvL S 20.38 11,477
1/10/2018 RvS S 20.20 11,480
1/12/2018 RvL S 19.44 11,562
1/16/2018 RvS S 18.76 10,884
1/17/2018 RvL S 19.77 10,843
1/22/2018 RvS S 20.53 12,246
1/23/2018 RvL S 18.90 11,802
1/24/2018 RvS S 18.30 11,589
1/25/2018 RvL S 18.57 11,910
1/26/2018 RvS S 19.24 11,426
1/29/2018 RvL S 20.00 11,988
1/31/2018 RvS S 22.28 12,461
2/1/2018 RvL S 22.70 12,502
2/6/2018 RvS S 27.55 15,774
2/7/2018 RvL S 26.46 17,071
2/8/2018 RvS S 28.49 15,019
2/9/2018 RvL S 32.09 14,674
2/12/2018 RvS S 32.00 15,306
2/13/2018 RvL S 30.59 16,382
2/14/2018 RvS S 31.15 16,897
2/15/2018 RvL S 28.67 16,622
2/16/2018 RvS S 28.41 16,205
2/20/2018 RvL S 29.10 15,824
2/21/2018 RvS S 28.44 14,364
2/22/2018 RvL S 31.05 13,756
2/23/2018 RvS S 29.77 14,628
2/27/2018 RvL S 27.85 14,908
2/28/2018 RvS S 28.41 13,358
3/1/2018 RvL S 31.34 13,316
3/2/2018 RvS S 30.02 13,564
3/6/2018 RvL S 26.99 15,157
3/8/2018 RvS S 28.55 14,909
3/12/2018 RvL S 27.50 15,200
3/13/2018 RvS S 26.68 14,699
3/14/2018 RvL S 27.09 14,636
3/15/2018 RvS S 27.05 13,330
3/19/2018 RvL S 28.84 14,161
3/20/2018 RvS S 29.94 14,506
3/22/2018 RvL S 27.82 15,135
3/23/2018 RvS S 27.67 14,628
3/26/2018 RvL S 28.42 14,254
3/29/2018 RvS S 30.27 16,461
4/2/2018 RvL S 28.50 17,532
4/3/2018 RvS S 30.38 16,872
4/4/2018 RvL S 31.50 15,723
4/5/2018 RvS S 29.38 16,501
4/6/2018 RvL S 27.90 17,440
4/9/2018 RvS S 29.51 18,173
4/11/2018 RvL S 26.34 18,012
4/12/2018 RvS S 24.60 17,457
4/13/2018 RvL S 25.34 16,865
4/16/2018 RvS S 24.18 16,849
4/17/2018 RvL S 23.87 16,179
4/18/2018 RvS S 22.94 17,138
4/19/2018 RvL S 21.56 17,553
4/23/2018 RvS S 22.15 17,852
4/24/2018 RvL S 21.81 18,623
4/25/2018 RvS S 22.41 18,814
4/26/2018 RvL S 21.86 18,776
4/30/2018 RvS S 21.81 18,685
5/1/2018 RvL S 21.81 18,568
5/2/2018 RvS S 21.51 18,088
5/3/2018 RvL S 21.87 19,339
5/4/2018 RvS S 23.20 20,528
5/8/2018 RvL S 22.10 18,952
5/9/2018 RvS S 20.67 19,464
5/10/2018 RvL S 19.89 19,313
5/14/2018 RvS S 20.10 20,208
5/15/2018 RvL S 19.52 20,030
5/16/2018 RvS S 19.20 20,330
5/18/2018 RvL S 17.73 21,311
5/21/2018 RvS S 17.70 21,875
5/22/2018 RvL S 17.22 23,346
5/30/2018 RvS S 20.54 28,028
5/31/2018 RvL S 18.99 28,442
6/1/2018 RvS S 19.04 27,922
6/4/2018 RvL S 19.27 30,533
6/5/2018 RvS S 20.81 29,925
6/6/2018 RvL S 20.88 29,233
6/7/2018 RvS S 20.47 30,675
6/8/2018 RvL S 19.45 31,418
6/11/2018 RvS S 19.51 31,551
6/12/2018 RvL S 19.00 30,989
6/13/2018 RvS S 18.57 31,432
6/14/2018 RvL S 18.53 32,659
6/18/2018 RvS S 20.69 34,958
6/19/2018 RvL S 20.39 32,796
6/20/2018 RvS S 19.00 33,291
6/21/2018 RvL S 18.54 32,302
6/22/2018 RvS S 18.00 32,288
6/25/2018 RvL S 18.00 34,229
6/26/2018 RvS S 18.97 36,112
6/27/2018 RvL S 17.79 35,104
6/28/2018 RvS S 17.14 34,379
6/29/2018 RvL S 17.34 34,682
7/3/2018 RvS S 17.50 34,707
7/5/2018 RvL S 17.62 33,677
7/6/2018 RvS S 17.25 35,243
7/10/2018 RvL S 15.62 37,523
7/12/2018 RvS S 16.23 37,486
7/13/2018 RvL S 16.55 38,717
7/17/2018 RvS S 17.08 37,211
7/18/2018 RvL S 17.71 35,874
7/19/2018 RvS S 16.94 36,293
7/20/2018 RvL S 16.59 36,353
7/23/2018 RvS S 16.62 35,117
7/24/2018 RvL S 17.18 34,939
7/25/2018 RvS S 16.87 35,220
7/26/2018 RvL S 16.49 35,312
7/30/2018 RvS S 17.74 38,714
7/31/2018 RvL S 17.34 39,530
8/2/2018 RvS S 17.41 37,649
8/3/2018 RvL S 17.95 37,215
8/6/2018 RvS S 17.75 38,438
8/7/2018 RvL S 17.63 38,759
8/10/2018 RvS S 18.44 39,164
8/13/2018 RvL S 18.44 38,916
8/14/2018 RvS S 18.33 35,825
8/15/2018 RvL S 19.78 36,300
8/16/2018 RvS S 20.05 35,182
8/17/2018 RvL S 20.66 34,587
8/20/2018 RvS S 20.29 35,930
8/23/2018 RvL S 18.43 36,606
8/24/2018 RvS S 17.91 36,428
8/27/2018 RvL S 17.99 36,151
8/28/2018 RvS S 17.86 35,045
8/30/2018 RvL S 18.08 36,720
9/4/2018 RvS S 18.47 33,779
9/5/2018 RvL S 19.83 34,140
9/10/2018 RvS S 20.90 34,831
9/11/2018 RvL S 21.34 32,484
9/12/2018 RvS S 19.91 32,943
9/13/2018 RvL S 19.62 32,811
9/14/2018 RvS S 19.55 32,579
9/17/2018 RvL S 19.68 31,870
9/18/2018 RvS S 19.26 32,088
9/20/2018 RvL S 18.33 34,085
9/21/2018 RvS S 18.23 33,818
9/24/2018 RvL S 18.28 32,331
9/27/2018 RvS S 18.72 33,654
9/28/2018 RvL S 18.89 31,895
10/1/2018 RvS S 17.91 32,522
10/2/2018 RvL S 17.67 32,670
10/3/2018 RvS S 17.78 33,981
10/4/2018 RvL S 16.96 34,948
10/8/2018 RvS S 17.32 34,446
10/9/2018 RvL S 17.44 32,695
10/12/2018 RvS S 18.24 34,893
10/15/2018 RvL S 19.09 33,230
10/16/2018 RvS S 18.20 32,456
10/17/2018 RvL S 18.32 34,665
10/19/2018 RvS S 19.74 34,856
10/22/2018 RvL S 19.80 38,819
10/25/2018 RvS S 26.00 44,120
10/26/2018 RvL S 26.92 44,073
10/29/2018 RvS S 26.90 38,555
10/30/2018 RvL S 30.26 33,854
10/31/2018 RvS S 26.58 34,870
11/1/2018 RvL S 26.63 31,866
11/2/2018 RvS S 25.13 32,106
11/6/2018 RvL S 24.11 31,386
11/7/2018 RvS S 22.84 30,836
11/8/2018 RvL S 23.23 33,171
11/9/2018 RvS S 24.42 32,979
11/12/2018 RvL S 24.48 34,499
11/13/2018 RvS S 26.15 34,841
11/14/2018 RvL S 27.76 34,364
11/15/2018 RvS S 28.64 34,658
11/16/2018 RvL S 28.01 35,817
11/19/2018 RvS S 28.38 33,273
11/20/2018 RvL S 29.39 36,359
11/21/2018 RvS S 32.03 35,505
11/23/2018 RvL S 32.67 34,633
11/26/2018 RvS S 31.88 34,350
11/27/2018 RvL S 32.13 35,802
11/28/2018 RvS S 33.23 37,398
11/29/2018 RvL S 31.79 38,564
12/3/2018 RvS S 30.77 37,466
12/4/2018 RvL S 29.35 42,442
12/7/2018 RvS S 33.59 40,387
12/10/2018 RvL S 35.52 40,884
12/11/2018 RvS S 35.97 41,052
12/13/2018 RvL S 36.75 41,301
12/17/2018 RvS S 41.52 39,523
12/18/2018 RvL S 46.69 41,599
12/19/2018 RvS S 48.59 37,268
12/20/2018 RvL S 53.12 39,743
12/21/2018 RvS S 55.93 35,048
12/24/2018 RvL S 61.86 38,874
12/26/2018 RvS S 68.06 46,269
12/27/2018 RvL S 54.40 41,511
12/28/2018 RvS S 48.86 38,397
12/31/2018 RvL S 53.10 40,702
1/2/2019 RvS S 52.69 41,445
1/3/2019 RvL S 47.64 39,613
1/4/2019 RvS S 45.84 45,361
1/10/2019 RvL S 33.43 50,019
1/14/2019 RvS S 32.84 49,710
1/16/2019 RvL S 31.19 53,052
1/17/2019 RvS S 30.96 51,933
1/18/2019 RvL S 30.69 51,614
1/23/2019 RvS S 31.65 49,385
1/24/2019 RvL S 34.10 46,765
1/25/2019 RvS S 32.30 46,245
1/28/2019 RvL S 32.65 45,848
1/29/2019 RvS S 32.38 47,788
1/30/2019 RvL S 31.63 43,937
2/1/2019 RvS S 31.73 45,823
2/4/2019 RvL S 32.53 44,331
2/11/2019 RvS S 39.83 61,476
2/14/2019 RvL S 34.07 61,692
2/15/2019 RvS S 32.75 63,656
2/19/2019 RvL S 31.70 62,277
2/20/2019 RvS S 30.46 62,069
2/21/2019 RvL S 30.00 64,103
2/22/2019 RvS S 30.99 63,014
2/25/2019 RvL S 31.51 61,320
2/26/2019 RvS S 30.62 59,250
2/27/2019 RvL S 32.14 57,831
2/28/2019 RvS S 31.96 57,654
3/4/2019 RvL S 30.78 58,694
3/7/2019 RvS S 32.60 57,357
3/8/2019 RvL S 35.74 59,140
3/11/2019 RvS S 36.55 61,501
3/14/2019 RvL S 31.20 68,576
3/18/2019 RvS S 31.70 74,075
3/19/2019 RvL S 29.43 75,217
3/20/2019 RvS S 30.01 79,271
3/21/2019 RvL S 28.02 78,917
3/25/2019 RvS S 30.10 87,473
3/27/2019 RvL S 28.52 92,533
3/28/2019 RvS S 28.83 93,843
3/29/2019 RvL S 28.01 92,064
4/1/2019 RvS S 27.71 93,591
4/2/2019 RvL S 27.25 95,618
4/3/2019 RvS S 27.81 87,529
4/4/2019 RvL S 30.18 83,739
4/5/2019 RvS S 28.93 89,976
4/8/2019 RvL S 26.77 89,323
4/10/2019 RvS S 27.40 89,209
4/11/2019 RvL S 28.25 81,365
4/12/2019 RvS S 25.77 81,287
4/15/2019 RvL S 25.79 81,904
4/16/2019 RvS S 25.96 82,489
4/17/2019 RvL S 25.74 84,301
4/22/2019 RvS S 26.64 89,638
4/23/2019 RvL S 25.30 88,384
4/29/2019 RvS S 28.24 100,384
4/30/2019 RvL S 28.44 105,174
5/3/2019 RvS S 34.74 122,455
5/6/2019 RvL S 34.41 120,164
5/8/2019 RvS S 33.01 117,199
5/9/2019 RvL S 33.08 115,803
5/10/2019 RvS S 32.29 114,950
5/13/2019 RvL S 32.12 119,874
5/14/2019 RvS S 33.50 120,969
5/15/2019 RvL S 33.19 110,168
5/16/2019 RvS S 30.23 107,166
5/17/2019 RvL S 31.05 113,536
5/21/2019 RvS S 33.12 118,042
5/22/2019 RvL S 32.03 136,048
5/24/2019 RvS S 39.88 146,809
5/28/2019 RvL S 39.99 159,833
6/3/2019 RvS S 46.23 176,494
6/5/2019 RvL S 42.44 202,429
6/6/2019 RvS S 46.65 203,968
6/7/2019 RvL S 46.08 202,803
6/10/2019 RvS S 45.82 197,567
6/11/2019 RvL S 47.85 203,310
6/13/2019 RvS S 49.60 204,430
6/14/2019 RvL S 48.77 224,931
6/17/2019 RvS S 52.06 230,895
6/19/2019 RvL S 47.22 229,330
6/20/2019 RvS S 45.46 234,309
6/21/2019 RvL S 44.66 232,615
6/24/2019 RvS S 44.53 217,296
6/25/2019 RvL S 47.46 210,395
6/26/2019 RvS S 46.08 221,703
6/27/2019 RvL S 43.60 215,740
6/28/2019 RvS S 42.43 234,233
7/1/2019 RvL S 41.42 222,484
7/3/2019 RvS S 45.65 243,570
7/5/2019 RvL S 45.63 232,827
7/8/2019 RvS S 43.24 217,267
7/9/2019 RvL S 45.78 212,792
7/10/2019 RvS S 44.84 225,353
7/11/2019 RvL S 42.27 239,663
7/12/2019 RvS S 44.72 240,566
7/15/2019 RvL S 44.29 260,723
7/19/2019 RvS S 56.81 314,251
7/22/2019 RvL S 55.70 311,416
7/23/2019 RvS S 54.74 311,924
7/24/2019 RvL S 54.18 310,845
7/30/2019 RvS S 68.53 474,578
7/31/2019 RvL S 55.76 481,036
8/2/2019 RvS S 63.74 482,535
8/5/2019 RvL S 69.99 503,203
8/6/2019 RvS S 72.99 438,041
8/7/2019 RvL S 82.44 404,235
8/8/2019 RvS S 76.08 427,173
8/9/2019 RvL S 73.52 433,702
8/13/2019 RvS S 77.81 413,011
8/14/2019 RvL S 82.95 456,462
8/16/2019 RvS S 89.10 506,185
8/20/2019 RvL S 72.87 511,944
8/21/2019 RvS S 71.14 494,587
8/22/2019 RvL S 74.65 541,109
8/26/2019 RvS S 86.93 577,277
8/27/2019 RvL S 87.78 567,311
8/28/2019 RvS S 88.74 640,622
8/30/2019 RvL S 71.54 774,836
9/4/2019 RvS S 77.10 786,938
9/6/2019 RvL S 69.36 774,975
9/9/2019 RvS S 66.93 902,326
9/10/2019 RvL S 57.69 868,043
9/11/2019 RvS S 56.79 818,964
9/12/2019 RvL S 60.00 778,685
9/13/2019 RvS S 57.05 962,113
9/17/2019 RvL S 38.64 1,199,991
9/19/2019 RvS S 44.05 1,086,429
9/20/2019 RvL S 47.81 1,098,911
9/27/2019 RvS S 57.66 1,224,695
9/30/2019 RvL S 60.85 1,217,234
10/1/2019 RvS S 60.06 1,011,179
10/2/2019 RvL S 69.88 1,085,107
10/3/2019 RvS S 72.28 1,110,493
10/4/2019 RvL S 68.41 1,129,288
10/9/2019 RvS S 78.37 1,212,377
10/10/2019 RvL S 81.46 1,159,231
10/11/2019 RvS S 77.89 1,148,054
10/14/2019 RvL S 78.64 1,160,011
10/15/2019 RvS S 78.02 1,150,920
10/16/2019 RvL S 77.20 1,188,027
10/17/2019 RvS S 79.22 1,184,850
10/18/2019 RvL S 78.96 1,332,190
10/21/2019 RvS S 85.77 1,316,822
10/22/2019 RvL S 83.97 1,261,667
10/23/2019 RvS S 80.11 1,372,977
10/24/2019 RvL S 74.87 1,378,959
10/25/2019 RvS S 75.84 1,480,745
10/28/2019 RvL S 70.02 1,529,387
10/29/2019 RvS S 73.50 1,719,349
10/30/2019 RvL S 67.00 1,858,833
10/31/2019 RvS S 74.55 1,848,061
11/5/2019 RvL S 55.62 2,317,776
11/6/2019 RvS S 55.09 2,291,816
11/8/2019 RvL S 59.00 2,133,689
11/12/2019 RvS S 59.51 2,029,346
11/13/2019 RvL S 63.00 2,036,741
11/14/2019 RvS S 63.23 1,951,689
11/15/2019 RvL S 65.87 1,884,120
11/20/2019 RvS S 76.23 2,330,321
11/21/2019 RvL S 74.74 2,202,410
11/22/2019 RvS S 71.36 2,166,071
11/25/2019 RvL S 72.41 2,023,069
11/27/2019 RvS S 73.10 2,172,669
11/29/2019 RvL S 73.57 2,173,245
12/2/2019 RvS S 73.59 1,983,934
12/3/2019 RvL S 80.00 1,937,794
12/4/2019 RvS S 78.14 2,132,202
12/5/2019 RvL S 71.24 2,175,949
12/6/2019 RvS S 73.39 2,375,918
12/9/2019 Last 66.51 2,375,918

Split adjusted prices used throughout.
Key:

RvL S: Reverse Long at signal price (go from a short position to a long position by covering and buying)
RvS S: Reverse Short at signal price (go from a long position to a short position by selling then shorting)
Cov S: Cover at the signal price
Buy S: Buy at the signal price
Sht S: Short at the signal price
Sell S: Sell at the signal price
C/B S: Cover or buy at the signal price (not clear which signal came first)
S/Sh S: Sell or short at the signal price (not clear which signal came first)
Cov o: Cover a short position at the subsequent weekly open
Sell o: Close a long position at the subsequent weekly open

Update 1/9/20

Click to see trades

Showing trades from 12/4 as this was the last clear signal before publication.

Day of signal Buy or Sell Price L&S Value Next Open
12/4/2019 Sht S 78.14 10,996
12/5/2019 RvL S 71.24 11,207
12/6/2019 RvS S 73.39 11,873
12/9/2019 RvL S 68.80 10,595
12/10/2019 RvS S 61.17 10,732
12/11/2019 RvL S 60.00 10,807
12/12/2019 RvS S 60.28 12,017
12/13/2019 RvL S 53.24 12,365
12/16/2019 RvS S 54.87 12,979
12/17/2019 RvL S 52.08 12,315
12/18/2019 RvS S 47.84 12,355
12/19/2019 RvL S 46.00 11,604
12/20/2019 RvS S 43.25 10,997
12/23/2019 RvL S 45.46 9,858
12/24/2019 RvS S 40.70 9,851
12/27/2019 RvL S 40.41 10,503
12/30/2019 RvS S 42.96 10,192
12/31/2019 RvL S 44.10 9,349
1/2/2020 RvS S 40.51 9,453
1/6/2020 RvL S 39.87 9,140
1/7/2020 RvS S 38.48 9,335
1/8/2020 RvL S 37.60 10,392

GASX Daily (ACS BOS OO)

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Trade List

Click to see trades

Split adjusted prices used throughout.
Key:
Cov o: Cover at subsequent open
Sell o: Sell at subsequent open
Sht S: Short at the signal price
Buy S: Buy at the signal price
C/B S: Cover or buy at the signal price
S/Sh S: Sell or short at the signal price

Note: Since we can't tell which C/B or S/Sh signal came first, we average the result of both the Sh then Cov and Buy then Sell, which may lead to a small error. Trades assume $0 commission.

Day of signal Buy or Sell Price L&S Value Next Open
12/7/2017 Sht S 29.83 10,480
12/7/2017 Cov o 28.35 10,480
12/8/2017 Sht S 28.30 10,561
12/8/2017 Cov o 28.04 10,561
12/11/2017 Sht S 27.99 10,584
12/11/2017 Cov o 27.89 10,584
12/12/2017 C/B S 27.89 10,551
12/12/2017 S/Sh S 27.84 10,551
12/13/2017 C/B S 28.03 10,521
12/13/2017 S/Sh S 27.99 10,521
12/14/2017 C/B S 28.75 10,496
12/14/2017 S/Sh S 28.72 10,496
12/15/2017 Buy S 29.26 10,874
12/15/2017 Sell o 30.36 10,874
12/18/2017 Sht S 30.33 11,350
12/18/2017 Cov o 28.96 11,350
12/19/2017 Sht S 28.93 11,290
12/19/2017 Cov o 29.05 11,290
12/20/2017 C/B S 29.05 11,263
12/20/2017 S/Sh S 29.01 11,263
12/21/2017 C/B S 27.72 11,238
12/21/2017 S/Sh S 27.69 11,238
12/22/2017 Sht S 25.01 11,404
12/22/2017 Cov o 24.61 11,404
12/26/2017 Sht S 24.55 12,063
12/26/2017 Cov o 23.10 12,063
12/27/2017 Buy S 23.52 11,856
12/27/2017 Sell o 23.15 11,856
12/28/2017 Sht S 23.07 11,892
12/28/2017 Cov o 22.97 11,892
12/29/2017 C/B S 23.07 11,789
12/29/2017 S/Sh S 22.89 11,789
1/2/2018 Sht S 22.58 12,431
1/2/2018 Cov o 21.32 12,431
1/3/2018 Sht S 21.27 12,585
1/3/2018 Cov o 20.99 12,585
1/4/2018 C/B S 21.03 12,520
1/4/2018 S/Sh S 20.94 12,520
1/5/2018 Buy S 20.65 12,809
1/5/2018 Sell o 21.15 12,809
1/8/2018 C/B S 21.21 12,737
1/8/2018 S/Sh S 21.11 12,737
1/9/2018 Sht S 20.21 12,727
1/9/2018 Cov o 20.20 12,727
1/10/2018 C/B S 20.58 12,454
1/10/2018 S/Sh S 20.17 12,454
1/11/2018 Sht S 20.15 12,879
1/11/2018 Cov o 19.44 12,879
1/12/2018 C/B S 19.44 12,853
1/12/2018 S/Sh S 19.42 12,853
1/16/2018 C/B S 19.00 12,768
1/16/2018 S/Sh S 18.90 12,768
1/17/2018 C/B S 20.00 12,542
1/17/2018 S/Sh S 19.66 12,542
1/18/2018 Buy S 19.82 13,021
1/18/2018 Sell o 20.60 13,021
1/19/2018 C/B S 20.60 12,997
1/19/2018 S/Sh S 20.58 12,997
1/22/2018 Sht S 20.58 14,207
1/22/2018 Cov o 18.64 14,207
1/23/2018 C/B S 19.09 13,839
1/23/2018 S/Sh S 18.62 13,839
1/24/2018 C/B S 18.53 13,750
1/24/2018 S/Sh S 18.43 13,750
1/25/2018 Buy S 18.79 14,067
1/25/2018 Sell o 19.24 14,067
1/26/2018 Sht S 19.21 13,477
1/26/2018 Cov o 20.00 13,477
1/29/2018 C/B S 20.00 13,445
1/29/2018 S/Sh S 19.97 13,445
1/30/2018 Buy S 21.01 14,307
1/30/2018 Sell o 22.38 14,307
1/31/2018 C/B S 22.59 14,133
1/31/2018 S/Sh S 22.34 14,133
2/1/2018 C/B S 22.95 13,933
2/1/2018 S/Sh S 22.65 13,933
2/2/2018 Buy S 22.80 15,874
2/2/2018 Sell o 26.00 15,874
2/5/2018 C/B S 26.00 15,821
2/5/2018 S/Sh S 25.94 15,821
2/6/2018 C/B S 28.75 15,762
2/6/2018 S/Sh S 28.67 15,762
2/7/2018 C/B S 26.95 15,309
2/7/2018 S/Sh S 26.21 15,309
2/8/2018 C/B S 29.01 15,150
2/8/2018 S/Sh S 28.74 15,150
2/9/2018 C/B S 32.63 14,604
2/9/2018 S/Sh S 31.50 14,604
2/12/2018 Sht S 31.88 15,179
2/12/2018 Cov o 30.59 15,179
2/13/2018 Buy S 30.59 16,246
2/13/2018 Sell o 32.77 16,246
2/14/2018 C/B S 32.77 16,189
2/14/2018 S/Sh S 32.68 16,189
2/15/2018 C/B S 29.12 15,762
2/15/2018 S/Sh S 28.39 15,762
2/16/2018 C/B S 29.02 15,375
2/16/2018 S/Sh S 28.34 15,375
2/20/2018 Sht S 29.04 15,680
2/20/2018 Cov o 28.44 15,680
2/21/2018 Buy S 29.16 16,678
2/21/2018 Sell o 31.04 16,678
2/22/2018 C/B S 31.39 16,457
2/22/2018 S/Sh S 31.00 16,457
2/23/2018 Sht S 29.73 17,484
2/23/2018 Cov o 27.85 17,484
2/26/2018 Sht S 27.82 17,451
2/26/2018 Cov o 27.85 17,451
2/27/2018 C/B S 27.99 17,331
2/27/2018 S/Sh S 27.82 17,331
2/28/2018 Buy S 29.34 18,497
2/28/2018 Sell o 31.34 18,497
3/1/2018 C/B S 31.34 18,464
3/1/2018 S/Sh S 31.31 18,464
3/2/2018 C/B S 31.27 18,428
3/2/2018 S/Sh S 31.24 18,428
3/5/2018 Sht S 28.10 19,275
3/5/2018 Cov o 26.79 19,275
3/6/2018 C/B S 27.30 18,866
3/6/2018 S/Sh S 26.75 18,866
3/7/2018 C/B S 29.13 18,823
3/7/2018 S/Sh S 29.09 18,823
3/8/2018 Buy S 29.06 18,394
3/8/2018 Sell o 28.42 18,394
3/9/2018 Sht S 28.38 18,949
3/9/2018 Cov o 27.50 18,949
3/12/2018 Sht S 27.46 19,121
3/12/2018 Cov o 27.19 19,121
3/13/2018 C/B S 27.19 19,081
3/13/2018 S/Sh S 27.15 19,081
3/14/2018 Buy S 27.37 18,842
3/14/2018 Sell o 27.05 18,842
3/15/2018 C/B S 27.79 18,296
3/15/2018 S/Sh S 27.02 18,296
3/16/2018 Sht S 29.41 18,638
3/16/2018 Cov o 28.84 18,638
3/19/2018 Buy S 28.84 19,335
3/19/2018 Sell o 29.94 19,335
3/21/2018 Sht S 29.13 20,193
3/21/2018 Cov o 27.82 20,193
3/22/2018 C/B S 27.82 20,148
3/22/2018 S/Sh S 27.78 20,148
3/23/2018 C/B S 28.03 19,950
3/23/2018 S/Sh S 27.78 19,950
3/26/2018 C/B S 28.61 19,774
3/26/2018 S/Sh S 28.38 19,774
3/27/2018 C/B S 27.72 19,732
3/27/2018 S/Sh S 27.68 19,732
3/28/2018 C/B S 29.58 19,692
3/28/2018 S/Sh S 29.54 19,692
3/29/2018 Sht S 30.23 20,805
3/29/2018 Cov o 28.50 20,805
4/2/2018 Buy S 28.50 22,163
4/2/2018 Sell o 30.38 22,163
4/3/2018 Sht S 30.34 21,301
4/3/2018 Cov o 31.50 21,301
4/4/2018 C/B S 31.50 21,259
4/4/2018 S/Sh S 31.46 21,259
4/5/2018 Sht S 29.34 22,292
4/5/2018 Cov o 27.90 22,292
4/6/2018 Buy S 27.90 23,567
4/6/2018 Sell o 29.51 23,567
4/9/2018 Sht S 29.48 24,538
4/9/2018 Cov o 28.25 24,538
4/10/2018 Sht S 28.22 26,157
4/10/2018 Cov o 26.34 26,157
4/11/2018 Sht S 26.29 27,825
4/11/2018 Cov o 24.60 27,825
4/12/2018 Buy S 25.04 28,148
4/12/2018 Sell o 25.34 28,148
4/13/2018 Sht S 25.27 28,993
4/13/2018 Cov o 24.50 28,993
4/16/2018 C/B S 24.61 28,771
4/16/2018 S/Sh S 24.43 28,771
4/17/2018 Sht S 23.80 29,795
4/17/2018 Cov o 22.94 29,795
4/18/2018 Sht S 22.88 31,497
4/18/2018 Cov o 21.56 31,497
4/19/2018 C/B S 21.75 31,135
4/19/2018 S/Sh S 21.51 31,135
4/20/2018 Buy S 22.10 32,177
4/20/2018 Sell o 22.85 32,177
4/23/2018 C/B S 22.85 32,098
4/23/2018 S/Sh S 22.80 32,098
4/24/2018 C/B S 21.82 32,009
4/24/2018 S/Sh S 21.77 32,009
4/25/2018 C/B S 22.77 31,952
4/25/2018 S/Sh S 22.74 31,952
4/26/2018 Sht S 21.78 31,774
4/26/2018 Cov o 21.89 31,774
4/27/2018 C/B S 21.89 31,738
4/27/2018 S/Sh S 21.87 31,738
4/30/2018 Sht S 21.99 31,990
4/30/2018 Cov o 21.81 31,990
5/1/2018 C/B S 21.81 31,952
5/1/2018 S/Sh S 21.79 31,952
5/2/2018 C/B S 21.74 31,841
5/2/2018 S/Sh S 21.67 31,841
5/3/2018 Buy S 21.96 33,915
5/3/2018 Sell o 23.40 33,915
5/4/2018 C/B S 23.46 33,787
5/4/2018 S/Sh S 23.38 33,787
5/7/2018 Sht S 21.53 32,877
5/7/2018 Cov o 22.10 32,877
5/8/2018 C/B S 22.10 32,828
5/8/2018 S/Sh S 22.08 32,828
5/9/2018 Sht S 20.86 34,335
5/9/2018 Cov o 19.89 34,335
5/10/2018 C/B S 20.02 34,034
5/10/2018 S/Sh S 19.85 34,034
5/11/2018 C/B S 19.77 33,906
5/11/2018 S/Sh S 19.71 33,906
5/14/2018 Sht S 20.05 34,794
5/14/2018 Cov o 19.52 34,794
5/15/2018 C/B S 19.67 34,441
5/15/2018 S/Sh S 19.48 34,441
5/16/2018 C/B S 19.47 34,187
5/16/2018 S/Sh S 19.33 34,187
5/17/2018 Sht S 18.70 35,940
5/17/2018 Cov o 17.73 35,940
5/18/2018 Buy S 17.76 35,809
5/18/2018 Sell o 17.70 35,809
5/21/2018 Sht S 17.67 36,713
5/21/2018 Cov o 17.22 36,713
5/22/2018 C/B S 17.40 36,258
5/22/2018 S/Sh S 17.19 36,258
5/23/2018 C/B S 18.39 36,181
5/23/2018 S/Sh S 18.36 36,181
5/24/2018 C/B S 19.27 36,115
5/24/2018 S/Sh S 19.24 36,115
5/25/2018 Buy S 20.23 38,689
5/25/2018 Sell o 21.68 38,689
5/29/2018 C/B S 21.68 38,602
5/29/2018 S/Sh S 21.64 38,602
5/30/2018 Sht S 20.49 41,412
5/30/2018 Cov o 18.99 41,412
5/31/2018 C/B S 18.99 41,291
5/31/2018 S/Sh S 18.94 41,291
6/1/2018 C/B S 19.35 41,033
6/1/2018 S/Sh S 19.24 41,033
6/4/2018 C/B S 19.52 40,145
6/4/2018 S/Sh S 19.11 40,145
6/5/2018 C/B S 21.23 40,071
6/5/2018 S/Sh S 21.20 40,071
6/6/2018 Sht S 20.78 40,647
6/6/2018 Cov o 20.47 40,647
6/7/2018 Sht S 20.44 42,597
6/7/2018 Cov o 19.45 42,597
6/8/2018 C/B S 19.45 42,520
6/8/2018 S/Sh S 19.42 42,520
6/11/2018 C/B S 19.93 42,446
6/11/2018 S/Sh S 19.90 42,446
6/12/2018 C/B S 19.07 42,222
6/12/2018 S/Sh S 18.98 42,222
6/13/2018 C/B S 18.82 41,802
6/13/2018 S/Sh S 18.64 41,802
6/14/2018 C/B S 18.77 40,433
6/14/2018 S/Sh S 18.17 40,433
6/15/2018 Buy S 19.61 43,017
6/15/2018 Sell o 20.87 43,017
6/18/2018 Sht S 20.85 43,948
6/18/2018 Cov o 20.39 43,948
6/19/2018 C/B S 20.39 43,886
6/19/2018 S/Sh S 20.37 43,886
6/20/2018 Sht S 19.14 45,234
6/20/2018 Cov o 18.54 45,234
6/21/2018 C/B S 18.54 45,161
6/21/2018 S/Sh S 18.52 45,161
6/22/2018 Sht S 17.98 45,088
6/22/2018 Cov o 18.00 45,088
6/25/2018 C/B S 18.11 44,732
6/25/2018 S/Sh S 17.97 44,732
6/26/2018 Sht S 19.06 47,695
6/26/2018 Cov o 17.79 47,695
6/27/2018 Sht S 17.76 48,923
6/27/2018 Cov o 17.30 48,923
6/28/2018 C/B S 17.39 48,573
6/28/2018 S/Sh S 17.27 48,573
6/29/2018 C/B S 17.38 48,388
6/29/2018 S/Sh S 17.32 48,388
7/2/2018 Buy S 17.50 48,374
7/2/2018 Sell o 17.50 48,374
7/3/2018 Sht S 17.48 48,357
7/3/2018 Cov o 17.48 48,357
7/5/2018 Sht S 17.46 48,919
7/5/2018 Cov o 17.25 48,919
7/6/2018 Sht S 17.23 51,155
7/6/2018 Cov o 16.44 51,155
7/9/2018 Sht S 16.43 54,465
7/9/2018 Cov o 15.36 54,465
7/10/2018 Sht S 15.34 52,391
7/10/2018 Cov o 15.92 52,391
7/11/2018 C/B S 15.92 52,278
7/11/2018 S/Sh S 15.89 52,278
7/12/2018 Buy S 16.71 51,753
7/12/2018 Sell o 16.55 51,753
7/13/2018 Sht S 16.52 49,936
7/13/2018 Cov o 17.10 49,936
7/16/2018 Buy S 17.10 51,178
7/16/2018 Sell o 17.53 51,178
7/17/2018 C/B S 17.53 51,096
7/17/2018 S/Sh S 17.51 51,096
7/18/2018 C/B S 17.71 51,008
7/18/2018 S/Sh S 17.68 51,008
7/19/2018 Sht S 17.05 52,387
7/19/2018 Cov o 16.59 52,387
7/20/2018 Buy S 16.59 52,481
7/20/2018 Sell o 16.62 52,481
7/23/2018 C/B S 16.98 51,284
7/23/2018 S/Sh S 16.61 51,284
7/24/2018 Sht S 17.17 51,464
7/24/2018 Cov o 17.10 51,464
7/25/2018 C/B S 17.10 51,415
7/25/2018 S/Sh S 17.09 51,415
7/26/2018 C/B S 16.55 51,197
7/26/2018 S/Sh S 16.48 51,197
7/27/2018 Buy S 16.57 54,790
7/27/2018 Sell o 17.74 54,790
7/30/2018 Sht S 17.73 55,984
7/30/2018 Cov o 17.34 55,984
7/31/2018 C/B S 17.38 55,810
7/31/2018 S/Sh S 17.33 55,810
8/1/2018 C/B S 17.71 55,754
8/1/2018 S/Sh S 17.70 55,754
8/2/2018 C/B S 17.95 55,685
8/2/2018 S/Sh S 17.93 55,685
8/3/2018 C/B S 17.95 55,615
8/3/2018 S/Sh S 17.93 55,615
8/6/2018 Sht S 17.73 57,397
8/6/2018 Cov o 17.16 57,397
8/7/2018 Buy S 17.78 58,906
8/7/2018 Sell o 18.25 58,906
8/8/2018 Buy S 18.25 60,538
8/8/2018 Sell o 18.76 60,538
8/9/2018 C/B S 18.76 60,481
8/9/2018 S/Sh S 18.75 60,481
8/10/2018 C/B S 18.75 60,417
8/10/2018 S/Sh S 18.73 60,417
8/13/2018 C/B S 18.44 60,349
8/13/2018 S/Sh S 18.42 60,349
8/15/2018 Buy S 19.78 61,159
8/15/2018 Sell o 20.05 61,159
8/17/2018 Sht S 20.63 62,057
8/17/2018 Cov o 20.32 62,057
8/20/2018 Sht S 20.28 64,564
8/20/2018 Cov o 19.46 64,564
8/21/2018 Sht S 19.43 66,634
8/21/2018 Cov o 18.80 66,634
8/22/2018 Sht S 18.77 67,831
8/22/2018 Cov o 18.43 67,831
8/23/2018 Buy S 18.43 65,903
8/23/2018 Sell o 17.91 65,903
8/24/2018 Sht S 17.88 65,469
8/24/2018 Cov o 17.99 65,469
8/27/2018 Sht S 17.95 65,799
8/27/2018 Cov o 17.86 65,799
8/28/2018 Buy S 18.20 66,523
8/28/2018 Sell o 18.40 66,523
8/29/2018 Sht S 18.37 67,608
8/29/2018 Cov o 18.07 67,608
8/30/2018 Buy S 18.25 68,904
8/30/2018 Sell o 18.60 68,904
8/31/2018 C/B S 18.60 68,859
8/31/2018 S/Sh S 18.59 68,859
9/4/2018 C/B S 18.66 68,612
9/4/2018 S/Sh S 18.60 68,612
9/5/2018 C/B S 19.83 68,553
9/5/2018 S/Sh S 19.82 68,553
9/6/2018 C/B S 20.05 68,455
9/6/2018 S/Sh S 20.03 68,455
9/7/2018 Buy S 21.02 68,057
9/7/2018 Sell o 20.90 68,057
9/10/2018 Sht S 20.86 66,477
9/10/2018 Cov o 21.34 66,477
9/11/2018 C/B S 21.49 65,872
9/11/2018 S/Sh S 21.30 65,872
9/12/2018 Sht S 19.87 66,701
9/12/2018 Cov o 19.62 66,701
9/13/2018 Buy S 19.62 66,449
9/13/2018 Sell o 19.55 66,449
9/14/2018 Sht S 19.53 65,914
9/14/2018 Cov o 19.68 65,914
9/17/2018 C/B S 19.84 65,291
9/17/2018 S/Sh S 19.65 65,291
9/18/2018 Sht S 19.23 65,664
9/18/2018 Cov o 19.12 65,664
9/19/2018 Sht S 19.10 69,151
9/19/2018 Cov o 18.08 69,151
9/20/2018 C/B S 18.53 67,357
9/20/2018 S/Sh S 18.06 67,357
9/21/2018 C/B S 18.72 67,268
9/21/2018 S/Sh S 18.70 67,268
9/24/2018 Sht S 17.85 67,164
9/24/2018 Cov o 17.87 67,164
9/25/2018 C/B S 18.00 66,547
9/25/2018 S/Sh S 17.84 66,547
9/26/2018 Buy S 18.60 66,951
9/26/2018 Sell o 18.72 66,951
9/27/2018 Sht S 18.70 66,249
9/27/2018 Cov o 18.89 66,249
9/28/2018 C/B S 18.89 66,187
9/28/2018 S/Sh S 18.88 66,187
10/1/2018 Sht S 17.90 67,457
10/1/2018 Cov o 17.55 67,457
10/2/2018 Buy S 17.84 67,571
10/2/2018 Sell o 17.87 67,571
10/3/2018 Sht S 17.86 70,957
10/3/2018 Cov o 16.96 70,957
10/4/2018 C/B S 16.96 70,865
10/4/2018 S/Sh S 16.94 70,865
10/5/2018 C/B S 17.47 70,659
10/5/2018 S/Sh S 17.43 70,659
10/8/2018 C/B S 17.98 70,568
10/8/2018 S/Sh S 17.96 70,568
10/9/2018 C/B S 17.44 70,496
10/9/2018 S/Sh S 17.43 70,496
10/10/2018 Buy S 16.56 79,633
10/10/2018 Sell o 18.71 79,633
10/11/2018 C/B S 18.71 79,567
10/11/2018 S/Sh S 18.70 79,567
10/12/2018 Buy S 19.60 76,293
10/12/2018 Sell o 18.80 76,293
10/15/2018 Sht S 18.77 77,368
10/15/2018 Cov o 18.50 77,368
10/16/2018 C/B S 18.50 77,219
10/16/2018 S/Sh S 18.47 77,219
10/17/2018 Buy S 18.32 82,496
10/17/2018 Sell o 19.57 82,496
10/18/2018 C/B S 19.57 82,353
10/18/2018 S/Sh S 19.54 82,353
10/19/2018 C/B S 19.99 81,603
10/19/2018 S/Sh S 19.82 81,603
10/22/2018 Buy S 19.99 90,046
10/22/2018 Sell o 22.06 90,046
10/23/2018 Buy S 22.06 93,126
10/23/2018 Sell o 22.82 93,126
10/24/2018 Buy S 23.10 104,821
10/24/2018 Sell o 26.00 104,821
10/25/2018 C/B S 26.64 101,964
10/25/2018 S/Sh S 25.92 101,964
10/26/2018 C/B S 26.92 101,593
10/26/2018 S/Sh S 26.83 101,593
10/29/2018 C/B S 27.52 98,859
10/29/2018 S/Sh S 26.80 98,859
10/30/2018 Sht S 30.15 110,544
10/30/2018 Cov o 26.58 110,544
10/31/2018 Sht S 26.48 113,476
10/31/2018 Cov o 25.77 113,476
11/1/2018 Sht S 25.70 115,974
11/1/2018 Cov o 25.13 115,974
11/2/2018 Buy S 25.57 113,064
11/2/2018 Sell o 24.93 113,064
11/5/2018 Sht S 24.89 116,579
11/5/2018 Cov o 24.11 116,579
11/6/2018 C/B S 24.40 114,928
11/6/2018 S/Sh S 24.06 114,928
11/7/2018 Sht S 22.78 112,649
11/7/2018 Cov o 23.23 112,649
11/8/2018 C/B S 23.23 112,316
11/8/2018 S/Sh S 23.16 112,316
11/9/2018 C/B S 25.00 112,100
11/9/2018 S/Sh S 24.96 112,100
11/12/2018 Buy S 24.79 118,219
11/12/2018 Sell o 26.15 118,219
11/13/2018 C/B S 27.13 113,660
11/13/2018 S/Sh S 26.11 113,660
11/14/2018 Buy S 28.10 119,258
11/14/2018 Sell o 29.49 119,258
11/15/2018 C/B S 29.49 119,007
11/15/2018 S/Sh S 29.43 119,007
11/16/2018 Buy S 28.46 123,133
11/16/2018 Sell o 29.45 123,133
11/19/2018 C/B S 29.45 122,856
11/19/2018 S/Sh S 29.39 122,856
11/20/2018 Buy S 29.39 134,295
11/20/2018 Sell o 32.13 134,295
11/21/2018 Sht S 32.07 131,777
11/21/2018 Cov o 32.67 131,777
11/23/2018 C/B S 32.67 131,561
11/23/2018 S/Sh S 32.62 131,561
11/26/2018 Sht S 31.82 130,287
11/26/2018 Cov o 32.13 130,287
11/27/2018 Buy S 32.22 135,464
11/27/2018 Sell o 33.50 135,464
11/28/2018 C/B S 33.72 134,324
11/28/2018 S/Sh S 33.44 134,324
11/29/2018 Sht S 31.40 126,936
11/29/2018 Cov o 33.12 126,936
11/30/2018 C/B S 33.12 126,788
11/30/2018 S/Sh S 33.09 126,788
12/3/2018 Sht S 30.74 132,489
12/3/2018 Cov o 29.35 132,489
12/4/2018 Buy S 29.56 149,039
12/4/2018 Sell o 33.26 149,039
12/6/2018 Buy S 33.26 150,504
12/6/2018 Sell o 33.59 150,504
12/7/2018 Sht S 33.52 141,495
12/7/2018 Cov o 35.52 141,495
12/10/2018 C/B S 35.52 141,192
12/10/2018 S/Sh S 35.45 141,192
12/11/2018 Sht S 35.88 141,450
12/11/2018 Cov o 35.81 141,450
12/12/2018 Sht S 35.71 137,875
12/12/2018 Cov o 36.61 137,875
12/13/2018 Buy S 37.35 140,146
12/13/2018 Sell o 37.97 140,146
12/14/2018 Buy S 37.97 156,814
12/14/2018 Sell o 42.49 156,814
12/17/2018 C/B S 42.49 156,531
12/17/2018 S/Sh S 42.42 156,531
12/18/2018 C/B S 46.69 156,134
12/18/2018 S/Sh S 46.58 156,134
12/19/2018 C/B S 49.51 154,516
12/19/2018 S/Sh S 49.01 154,516
12/20/2018 C/B S 53.12 153,975
12/20/2018 S/Sh S 52.94 153,975
12/21/2018 C/B S 57.12 152,164
12/21/2018 S/Sh S 56.46 152,164
12/24/2018 Buy S 61.86 168,826
12/24/2018 Sell o 68.64 168,826
12/26/2018 C/B S 69.79 165,185
12/26/2018 S/Sh S 68.30 165,185
12/27/2018 C/B S 54.40 164,235
12/27/2018 S/Sh S 54.09 164,235
12/28/2018 Buy S 51.87 166,236
12/28/2018 Sell o 52.51 166,236
12/31/2018 C/B S 54.29 159,894
12/31/2018 S/Sh S 52.26 159,894
1/2/2019 C/B S 57.04 159,251
1/2/2019 S/Sh S 56.82 159,251
1/3/2019 C/B S 48.74 153,621
1/3/2019 S/Sh S 47.05 153,621
1/4/2019 Sht S 45.59 175,226
1/4/2019 Cov o 39.17 175,226
1/7/2019 Sht S 38.99 197,628
1/7/2019 Cov o 34.00 197,628
1/9/2019 Sht S 33.58 198,513
1/9/2019 Cov o 33.43 198,513
1/10/2019 C/B S 33.83 194,528
1/10/2019 S/Sh S 33.16 194,528
1/11/2019 C/B S 33.63 190,769
1/11/2019 S/Sh S 32.99 190,769
1/14/2019 C/B S 34.32 189,706
1/14/2019 S/Sh S 34.13 189,706
1/15/2019 Sht S 32.52 198,745
1/15/2019 Cov o 30.97 198,745
1/16/2019 Sht S 30.91 192,461
1/16/2019 Cov o 31.89 192,461
1/17/2019 C/B S 31.89 192,182
1/17/2019 S/Sh S 31.85 192,182
1/18/2019 Sht S 30.65 193,043
1/18/2019 Cov o 30.51 193,043
1/22/2019 Buy S 30.51 200,242
1/22/2019 Sell o 31.65 200,242
1/23/2019 Buy S 32.80 208,185
1/23/2019 Sell o 34.10 208,185
1/24/2019 C/B S 34.45 205,791
1/24/2019 S/Sh S 34.06 205,791
1/25/2019 Sht S 32.25 203,246
1/25/2019 Cov o 32.65 203,246
1/28/2019 C/B S 32.65 202,941
1/28/2019 S/Sh S 32.60 202,941
1/29/2019 Sht S 32.33 211,296
1/29/2019 Cov o 31.00 211,296
1/30/2019 Sht S 30.95 220,251
1/30/2019 Cov o 29.64 220,251
1/31/2019 Buy S 29.73 235,579
1/31/2019 Sell o 31.80 235,579
2/1/2019 C/B S 32.14 232,728
2/1/2019 S/Sh S 31.76 232,728
2/4/2019 C/B S 32.53 232,417
2/4/2019 S/Sh S 32.49 232,417
2/5/2019 C/B S 31.48 232,209
2/5/2019 S/Sh S 31.45 232,209
2/6/2019 C/B S 33.01 232,010
2/6/2019 S/Sh S 32.98 232,010
2/7/2019 Buy S 34.16 266,277
2/7/2019 Sell o 39.21 266,277
2/8/2019 C/B S 39.21 265,807
2/8/2019 S/Sh S 39.14 265,807
2/11/2019 C/B S 41.16 265,063
2/11/2019 S/Sh S 41.05 265,063
2/12/2019 Sht S 35.88 266,575
2/12/2019 Cov o 35.67 266,575
2/13/2019 Sht S 35.56 277,718
2/13/2019 Cov o 34.07 277,718
2/14/2019 Sht S 33.97 287,665
2/14/2019 Cov o 32.75 287,665
2/15/2019 Sht S 32.66 296,096
2/15/2019 Cov o 31.70 296,096
2/19/2019 C/B S 31.70 295,117
2/19/2019 S/Sh S 31.60 295,117
2/20/2019 Sht S 30.90 303,693
2/20/2019 Cov o 30.00 303,693
2/21/2019 C/B S 30.12 301,411
2/21/2019 S/Sh S 29.89 301,411
2/22/2019 Sht S 30.92 295,634
2/22/2019 Cov o 31.51 295,634
2/25/2019 C/B S 31.53 294,898
2/25/2019 S/Sh S 31.46 294,898
2/26/2019 C/B S 31.00 291,328
2/26/2019 S/Sh S 30.63 291,328
2/27/2019 C/B S 32.42 283,727
2/27/2019 S/Sh S 31.58 283,727
2/28/2019 Buy S 32.52 279,598
2/28/2019 Sell o 32.05 279,598
3/1/2019 Sht S 32.02 296,968
3/1/2019 Cov o 30.03 296,968
3/4/2019 C/B S 31.07 286,610
3/4/2019 S/Sh S 30.01 286,610
3/5/2019 C/B S 30.22 285,591
3/5/2019 S/Sh S 30.12 285,591
3/6/2019 Buy S 31.59 294,707
3/6/2019 Sell o 32.60 294,707
3/7/2019 Buy S 33.09 318,310
3/7/2019 Sell o 35.74 318,310
3/8/2019 Buy S 35.74 328,271
3/8/2019 Sell o 36.86 328,271
3/11/2019 Sht S 36.79 346,383
3/11/2019 Cov o 34.76 346,383
3/12/2019 Sht S 34.68 373,931
3/12/2019 Cov o 31.92 373,931
3/13/2019 Sht S 31.84 381,459
3/13/2019 Cov o 31.20 381,459
3/14/2019 Sht S 31.13 372,700
3/14/2019 Cov o 31.84 372,700
3/15/2019 Buy S 31.84 371,047
3/15/2019 Sell o 31.70 371,047
3/18/2019 Sht S 31.63 401,878
3/18/2019 Cov o 29.00 401,878
3/19/2019 C/B S 29.90 388,474
3/19/2019 S/Sh S 28.92 388,474
3/20/2019 Sht S 30.28 417,439
3/20/2019 Cov o 28.02 417,439
3/21/2019 C/B S 28.02 416,579
3/21/2019 S/Sh S 27.96 416,579
3/22/2019 Buy S 27.90 461,805
3/22/2019 Sell o 30.93 461,805
3/25/2019 C/B S 30.93 460,989
3/25/2019 S/Sh S 30.88 460,989
3/26/2019 Sht S 29.23 475,131
3/26/2019 Cov o 28.33 475,131
3/27/2019 Buy S 28.86 485,033
3/27/2019 Sell o 29.46 485,033
3/28/2019 C/B S 29.46 484,434
3/28/2019 S/Sh S 29.42 484,434
3/29/2019 Sht S 27.74 484,862
3/29/2019 Cov o 27.71 484,862
4/1/2019 Sht S 27.67 492,305
4/1/2019 Cov o 27.25 492,305
4/2/2019 C/B S 27.52 486,583
4/2/2019 S/Sh S 27.21 486,583
4/3/2019 C/B S 28.19 479,750
4/3/2019 S/Sh S 27.80 479,750
4/4/2019 C/B S 30.48 473,840
4/4/2019 S/Sh S 30.11 473,840
4/5/2019 Sht S 28.89 508,667
4/5/2019 Cov o 26.77 508,667
4/8/2019 Sht S 26.73 511,602
4/8/2019 Cov o 26.58 511,602
4/9/2019 Buy S 26.60 526,965
4/9/2019 Sell o 27.40 526,965
4/10/2019 Sht S 27.36 509,768
4/10/2019 Cov o 28.25 509,768
4/11/2019 C/B S 28.25 509,007
4/11/2019 S/Sh S 28.21 509,007
4/12/2019 Sht S 25.73 507,793
4/12/2019 Cov o 25.79 507,793
4/15/2019 C/B S 25.79 506,829
4/15/2019 S/Sh S 25.74 506,829
4/16/2019 C/B S 26.30 500,094
4/16/2019 S/Sh S 25.95 500,094
4/17/2019 C/B S 25.94 495,518
4/17/2019 S/Sh S 25.71 495,518
4/18/2019 Buy S 26.65 495,406
4/18/2019 Sell o 26.64 495,406
4/22/2019 Sht S 26.61 519,726
4/22/2019 Cov o 25.30 519,726
4/23/2019 C/B S 25.40 516,983
4/23/2019 S/Sh S 25.27 516,983
4/24/2019 Buy S 25.22 535,751
4/24/2019 Sell o 26.14 535,751
4/25/2019 Buy S 26.32 570,330
4/25/2019 Sell o 28.02 570,330
4/26/2019 C/B S 28.02 569,847
4/26/2019 S/Sh S 28.00 569,847
4/29/2019 C/B S 28.60 566,403
4/29/2019 S/Sh S 28.43 566,403
4/30/2019 C/B S 28.78 552,708
4/30/2019 S/Sh S 28.10 552,708
5/1/2019 C/B S 30.29 548,382
5/1/2019 S/Sh S 30.06 548,382
5/2/2019 Buy S 33.42 574,293
5/2/2019 Sell o 35.00 574,293
5/3/2019 Sht S 34.90 582,366
5/3/2019 Cov o 34.41 582,366
5/6/2019 C/B S 34.41 580,694
5/6/2019 S/Sh S 34.31 580,694
5/7/2019 C/B S 33.77 579,123
5/7/2019 S/Sh S 33.68 579,123
5/8/2019 C/B S 33.57 573,994
5/8/2019 S/Sh S 33.28 573,994
5/9/2019 C/B S 33.08 572,854
5/9/2019 S/Sh S 33.02 572,854
5/10/2019 C/B S 32.69 572,192
5/10/2019 S/Sh S 32.65 572,192
5/13/2019 Buy S 32.12 596,761
5/13/2019 Sell o 33.50 596,761
5/14/2019 Sht S 33.48 601,943
5/14/2019 Cov o 33.19 601,943
5/15/2019 C/B S 33.19 601,561
5/15/2019 S/Sh S 33.17 601,561
5/16/2019 Sht S 30.21 584,795
5/16/2019 Cov o 31.05 584,795
5/17/2019 Buy S 31.05 619,623
5/17/2019 Sell o 32.90 619,623
5/20/2019 C/B S 33.01 616,929
5/20/2019 S/Sh S 32.87 616,929
5/21/2019 Sht S 33.09 636,634
5/21/2019 Cov o 32.03 636,634
5/22/2019 Buy S 32.03 733,814
5/22/2019 Sell o 36.92 733,814
5/23/2019 Buy S 36.92 794,222
5/23/2019 Sell o 39.96 794,222
5/24/2019 C/B S 40.52 781,452
5/24/2019 S/Sh S 39.87 781,452
5/28/2019 Buy S 40.66 838,127
5/28/2019 Sell o 43.61 838,127
5/29/2019 C/B S 43.61 835,659
5/29/2019 S/Sh S 43.48 835,659
5/30/2019 Buy S 42.17 944,933
5/30/2019 Sell o 47.69 944,933
5/31/2019 C/B S 47.69 942,035
5/31/2019 S/Sh S 47.54 942,035
6/3/2019 C/B S 47.23 918,983
6/3/2019 S/Sh S 46.09 918,983
6/4/2019 Sht S 44.20 955,548
6/4/2019 Cov o 42.44 955,548
6/5/2019 Buy S 42.54 1,052,825
6/5/2019 Sell o 46.87 1,052,825
6/6/2019 C/B S 47.27 1,042,387
6/6/2019 S/Sh S 46.80 1,042,387
6/7/2019 C/B S 46.25 1,037,370
6/7/2019 S/Sh S 46.03 1,037,370
6/10/2019 C/B S 46.79 1,014,519
6/10/2019 S/Sh S 45.77 1,014,519
6/11/2019 C/B S 48.31 985,835
6/11/2019 S/Sh S 46.96 985,835
6/12/2019 Buy S 50.21 973,844
6/12/2019 Sell o 49.60 973,844
6/13/2019 Sht S 49.52 989,707
6/13/2019 Cov o 48.71 989,707
6/14/2019 Buy S 49.36 1,077,030
6/14/2019 Sell o 53.72 1,077,030
6/17/2019 C/B S 53.72 1,075,488
6/17/2019 S/Sh S 53.64 1,075,488
6/18/2019 Sht S 48.89 1,112,154
6/18/2019 Cov o 47.22 1,112,154
6/19/2019 C/B S 47.70 1,099,093
6/19/2019 S/Sh S 47.14 1,099,093
6/20/2019 Sht S 45.39 1,121,407
6/20/2019 Cov o 44.47 1,121,407
6/21/2019 C/B S 45.29 1,098,579
6/21/2019 S/Sh S 44.38 1,098,579
6/24/2019 Buy S 45.70 1,140,962
6/24/2019 Sell o 47.46 1,140,962
6/25/2019 C/B S 47.46 1,138,544
6/25/2019 S/Sh S 47.36 1,138,544
6/26/2019 Sht S 45.99 1,197,738
6/26/2019 Cov o 43.60 1,197,738
6/27/2019 C/B S 43.69 1,193,861
6/27/2019 S/Sh S 43.55 1,193,861
6/28/2019 Sht S 42.38 1,294,863
6/28/2019 Cov o 38.79 1,294,863
7/1/2019 Buy S 41.87 1,290,364
7/1/2019 Sell o 41.72 1,290,364
7/2/2019 Buy S 41.94 1,409,554
7/2/2019 Sell o 45.81 1,409,554
7/3/2019 C/B S 46.28 1,393,250
7/3/2019 S/Sh S 45.75 1,393,250
7/5/2019 Sht S 45.56 1,452,516
7/5/2019 Cov o 43.62 1,452,516
7/8/2019 C/B S 43.80 1,444,674
7/8/2019 S/Sh S 43.56 1,444,674
7/9/2019 C/B S 45.78 1,442,917
7/9/2019 S/Sh S 45.72 1,442,917
7/10/2019 Sht S 44.77 1,526,126
7/10/2019 Cov o 42.19 1,526,126
7/11/2019 C/B S 42.78 1,502,635
7/11/2019 S/Sh S 42.13 1,502,635
7/12/2019 Sht S 44.99 1,527,663
7/12/2019 Cov o 44.24 1,527,663
7/15/2019 Buy S 44.72 1,641,274
7/15/2019 Sell o 48.05 1,641,274
7/16/2019 Buy S 48.26 1,750,839
7/16/2019 Sell o 51.48 1,750,839
7/17/2019 Buy S 51.75 1,898,622
7/17/2019 Sell o 56.12 1,898,622
7/18/2019 Buy S 56.49 1,954,560
7/18/2019 Sell o 58.15 1,954,560
7/19/2019 C/B S 58.15 1,948,499
7/19/2019 S/Sh S 57.97 1,948,499
7/22/2019 C/B S 56.57 1,911,688
7/22/2019 S/Sh S 55.51 1,911,688
7/23/2019 C/B S 55.78 1,885,707
7/23/2019 S/Sh S 55.03 1,885,707
7/24/2019 Sht S 54.05 1,887,447
7/24/2019 Cov o 53.99 1,887,447
7/25/2019 Buy S 54.55 2,127,934
7/25/2019 Sell o 61.50 2,127,934
7/26/2019 Buy S 61.50 2,240,025
7/26/2019 Sell o 64.74 2,240,025
7/29/2019 Buy S 65.45 2,357,410
7/29/2019 Sell o 68.88 2,357,410
7/30/2019 Sht S 68.71 2,840,707
7/30/2019 Cov o 54.62 2,840,707
7/31/2019 C/B S 56.74 2,723,251
7/31/2019 S/Sh S 54.44 2,723,251
8/1/2019 C/B S 57.31 2,714,473
8/1/2019 S/Sh S 57.13 2,714,473
8/2/2019 C/B S 65.14 2,647,720
8/2/2019 S/Sh S 63.56 2,647,720
8/5/2019 Buy S 69.99 2,761,195
8/5/2019 Sell o 72.99 2,761,195
8/6/2019 Buy S 74.57 3,052,633
8/6/2019 Sell o 82.44 3,052,633
8/7/2019 C/B S 82.44 3,043,065
8/7/2019 S/Sh S 82.18 3,043,065
8/8/2019 Sht S 75.75 3,203,390
8/8/2019 Cov o 71.76 3,203,390
8/9/2019 C/B S 75.15 3,040,541
8/9/2019 S/Sh S 71.43 3,040,541
8/12/2019 Buy S 76.88 3,192,712
8/12/2019 Sell o 80.73 3,192,712
8/13/2019 C/B S 80.73 3,185,274
8/13/2019 S/Sh S 80.54 3,185,274
8/14/2019 C/B S 82.95 3,181,493
8/14/2019 S/Sh S 82.85 3,181,493
8/15/2019 C/B S 91.68 3,176,520
8/15/2019 S/Sh S 91.54 3,176,520
8/16/2019 Sht S 88.89 3,618,109
8/16/2019 Cov o 76.53 3,618,109
8/19/2019 Sht S 76.31 3,781,206
8/19/2019 Cov o 72.87 3,781,206
8/20/2019 C/B S 72.89 3,768,023
8/20/2019 S/Sh S 72.64 3,768,023
8/21/2019 C/B S 74.80 3,566,448
8/21/2019 S/Sh S 70.91 3,566,448
8/22/2019 C/B S 76.02 3,436,178
8/22/2019 S/Sh S 73.30 3,436,178
8/23/2019 C/B S 83.00 3,425,601
8/23/2019 S/Sh S 82.75 3,425,601
8/26/2019 Sht S 86.68 3,479,674
8/26/2019 Cov o 85.31 3,479,674
8/27/2019 Buy S 89.09 3,466,019
8/27/2019 Sell o 88.74 3,466,019
8/28/2019 Sht S 88.51 3,906,095
8/28/2019 Cov o 77.27 3,906,095
8/29/2019 Sht S 77.05 4,215,363
8/29/2019 Cov o 70.95 4,215,363
8/30/2019 Buy S 72.77 4,741,196
8/30/2019 Sell o 81.85 4,741,196
9/3/2019 C/B S 81.85 4,729,332
9/3/2019 S/Sh S 81.65 4,729,332
9/4/2019 Sht S 76.91 5,088,470
9/4/2019 Cov o 71.07 5,088,470
9/5/2019 Sht S 70.87 5,196,743
9/5/2019 Cov o 69.36 5,196,743
9/6/2019 Buy S 69.36 5,014,663
9/6/2019 Sell o 66.93 5,014,663
9/9/2019 Sht S 66.74 5,826,923
9/9/2019 Cov o 55.93 5,826,923
9/10/2019 Sht S 55.72 5,714,724
9/10/2019 Cov o 56.79 5,714,724
9/11/2019 C/B S 58.85 5,480,121
9/11/2019 S/Sh S 56.49 5,480,121
9/12/2019 C/B S 60.00 5,448,723
9/12/2019 S/Sh S 59.66 5,448,723
9/13/2019 Sht S 56.79 6,713,446
9/13/2019 Cov o 43.61 6,713,446
9/16/2019 Sht S 43.40 7,449,263
9/16/2019 Cov o 38.64 7,449,263
9/17/2019 Buy S 39.16 8,563,705
9/17/2019 Sell o 45.02 8,563,705
9/18/2019 C/B S 45.02 8,509,359
9/18/2019 S/Sh S 44.74 8,509,359
9/19/2019 C/B S 46.51 7,994,603
9/19/2019 S/Sh S 43.79 7,994,603
9/20/2019 C/B S 49.03 7,670,414
9/20/2019 S/Sh S 47.08 7,670,414
9/23/2019 C/B S 48.93 7,631,544
9/23/2019 S/Sh S 48.68 7,631,544
9/24/2019 Buy S 49.12 8,588,579
9/24/2019 Sell o 55.28 8,588,579
9/25/2019 C/B S 55.28 8,569,086
9/25/2019 S/Sh S 55.15 8,569,086
9/26/2019 Buy S 55.59 9,358,309
9/26/2019 Sell o 60.71 9,358,309
9/27/2019 C/B S 60.71 9,334,375
9/27/2019 S/Sh S 60.56 9,334,375
9/30/2019 C/B S 60.85 9,308,097
9/30/2019 S/Sh S 60.68 9,308,097
10/1/2019 C/B S 61.16 9,177,926
10/1/2019 S/Sh S 60.31 9,177,926
10/2/2019 C/B S 69.88 9,155,819
10/2/2019 S/Sh S 69.71 9,155,819
10/3/2019 C/B S 74.99 9,132,498
10/3/2019 S/Sh S 74.80 9,132,498
10/4/2019 C/B S 69.61 8,864,689
10/4/2019 S/Sh S 67.60 8,864,689
10/7/2019 C/B S 70.14 8,837,197
10/7/2019 S/Sh S 69.92 8,837,197
10/8/2019 Buy S 75.13 9,218,289
10/8/2019 Sell o 78.37 9,218,289
10/9/2019 C/B S 81.46 8,838,392
10/9/2019 S/Sh S 78.17 8,838,392
10/10/2019 C/B S 82.33 8,724,250
10/10/2019 S/Sh S 81.27 8,724,250
10/11/2019 Sht S 77.73 8,622,246
10/11/2019 Cov o 78.64 8,622,246
10/14/2019 C/B S 78.64 8,607,044
10/14/2019 S/Sh S 78.50 8,607,044
10/15/2019 C/B S 79.46 8,591,326
10/15/2019 S/Sh S 79.32 8,591,326
10/16/2019 C/B S 77.99 8,491,428
10/16/2019 S/Sh S 77.09 8,491,428
10/17/2019 C/B S 80.12 8,438,902
10/17/2019 S/Sh S 79.62 8,438,902
10/18/2019 C/B S 79.66 8,357,244
10/18/2019 S/Sh S 78.89 8,357,244
10/21/2019 C/B S 88.78 8,349,615
10/21/2019 S/Sh S 88.70 8,349,615
10/22/2019 C/B S 84.95 8,222,185
10/22/2019 S/Sh S 83.67 8,222,185
10/23/2019 C/B S 81.14 8,157,109
10/23/2019 S/Sh S 80.51 8,157,109
10/24/2019 Buy S 75.75 8,322,253
10/24/2019 Sell o 77.28 8,322,253
10/25/2019 C/B S 77.28 8,309,745
10/25/2019 S/Sh S 77.16 8,309,745
10/28/2019 C/B S 70.97 8,022,095
10/28/2019 S/Sh S 68.55 8,022,095
10/29/2019 C/B S 75.04 7,835,907
10/29/2019 S/Sh S 73.32 7,835,907
10/30/2019 Buy S 68.13 8,604,777
10/30/2019 Sell o 74.82 8,604,777
10/31/2019 C/B S 75.72 8,483,936
10/31/2019 S/Sh S 74.66 8,483,936
11/1/2019 Sht S 74.59 9,625,972
11/1/2019 Cov o 64.55 9,625,972
11/4/2019 Sht S 64.45 11,206,432
11/4/2019 Cov o 53.87 11,206,432
11/5/2019 Sht S 53.69 10,826,532
11/5/2019 Cov o 55.51 10,826,532
11/6/2019 C/B S 56.48 10,584,722
11/6/2019 S/Sh S 55.24 10,584,722
11/7/2019 Sht S 55.00 9,814,654
11/7/2019 Cov o 59.00 9,814,654
11/8/2019 C/B S 59.00 9,762,369
11/8/2019 S/Sh S 58.69 9,762,369
11/11/2019 C/B S 58.90 9,712,055
11/11/2019 S/Sh S 58.60 9,712,055
11/12/2019 C/B S 61.06 9,430,725
11/12/2019 S/Sh S 59.31 9,430,725
11/13/2019 C/B S 63.00 9,417,559
11/13/2019 S/Sh S 62.91 9,417,559
11/14/2019 C/B S 64.71 9,183,252
11/14/2019 S/Sh S 63.12 9,183,252
11/15/2019 Sht S 65.75 9,485,082
11/15/2019 Cov o 63.59 9,485,082
11/18/2019 Buy S 63.59 10,724,586
11/18/2019 Sell o 71.90 10,724,586
11/19/2019 Buy S 71.90 11,370,434
11/19/2019 Sell o 76.23 11,370,434
11/20/2019 C/B S 77.53 11,152,007
11/20/2019 S/Sh S 76.05 11,152,007
11/21/2019 C/B S 75.91 10,809,632
11/21/2019 S/Sh S 73.62 10,809,632
11/22/2019 C/B S 72.59 10,614,835
11/22/2019 S/Sh S 71.29 10,614,835
11/25/2019 C/B S 72.41 10,590,641
11/25/2019 S/Sh S 72.25 10,590,641
11/26/2019 Buy S 67.71 11,496,914
11/26/2019 Sell o 73.50 11,496,914
11/27/2019 C/B S 74.05 11,395,772
11/27/2019 S/Sh S 73.40 11,395,772
11/29/2019 C/B S 73.57 11,384,635
11/29/2019 S/Sh S 73.50 11,384,635
12/2/2019 C/B S 76.21 10,974,799
12/2/2019 S/Sh S 73.52 10,974,799
12/3/2019 C/B S 80.00 10,965,070
12/3/2019 S/Sh S 79.93 10,965,070
12/4/2019 Sht S 78.02 12,050,581
12/4/2019 Cov o 70.30 12,050,581
12/5/2019 C/B S 72.10 11,726,912
12/5/2019 S/Sh S 70.19 11,726,912
12/6/2019 Sht S 73.41 12,829,137
12/6/2019 Cov o 66.51 12,829,137

Update 1/9/20

Trades since first publication. Note that some days there was 2 signals and 2 trades, but because we use daily OHLC prices the backtester can't tell if the buy or sell signal came first. In this case we average the profits from the buy-sell and short-cover transactions. These transactions show up as S/Sh and C/B below. Here we show the value at the next open.

 

Date Type Price Value NOpen
Initial 10,000
12/4/2019 Sht S 78.02 10,975
12/4/2019 Cov o 70.30 10,975
12/5/2019 C/B S 72.10 10,667
12/5/2019 S/Sh S 70.19 10,667
12/6/2019 Sht S 73.41 11,322
12/6/2019 Cov o 68.80 11,322
12/9/2019 C/B S 68.80 11,291
12/9/2019 S/Sh S 68.69 11,291
12/10/2019 Sht S 61.31 11,518
12/10/2019 Cov o 60.00 11,518
12/11/2019 C/B S 60.65 11,337
12/11/2019 S/Sh S 59.78 11,337
12/12/2019 Sht S 60.25 12,649
12/12/2019 Cov o 53.20 12,649
12/13/2019 C/B S 54.35 12,313
12/13/2019 S/Sh S 52.98 12,313
12/16/2019 Sht S 54.66 12,879
12/16/2019 Cov o 52.08 12,879
12/17/2019 Sht S 51.88 13,464
12/17/2019 Cov o 49.47 13,464
12/18/2019 C/B S 49.47 13,405
12/18/2019 S/Sh S 49.30 13,405
12/19/2019 Sht S 45.83 14,147
12/19/2019 Cov o 43.25 14,147
12/20/2019 Buy S 44.57 14,415
12/20/2019 Sell o 45.46 14,415
12/23/2019 Sht S 45.30 15,819
12/23/2019 Cov o 40.84 15,819
12/24/2019 C/B S 41.54 15,480
12/24/2019 S/Sh S 40.69 15,480
12/26/2019 Sht S 40.38 15,456
12/26/2019 Cov o 40.41 15,456
12/27/2019 Buy S 41.01 16,204
12/27/2019 Sell o 43.03 16,204
12/30/2019 C/B S 43.61 15,942
12/30/2019 S/Sh S 42.94 15,942
12/31/2019 C/B S 44.10 15,905
12/31/2019 S/Sh S 44.04 15,905
1/2/2020 C/B S 41.60 15,448
1/2/2020 S/Sh S 40.46 15,448
1/3/2020 Sht S 39.96 15,770
1/3/2020 Cov o 39.09 15,770
1/6/2020 Sht S 39.05 15,986
1/6/2020 Cov o 38.48 15,986
1/7/2020 C/B S 39.12 15,688
1/7/2020 S/Sh S 38.43 15,688
1/8/2020 C/B S 37.60 15,649
1/8/2020 S/Sh S 37.54 15,649
1/9/2020 C/B S 41.92 15,649
ROKU Algorithm

ROKU Signals Daily (MBCYI MBHOI)

Posted on by

Its not often that I run into algorithms with a Reward/Risk in excess of 28, but here's one. Its kind of obscure, but it shows what SignalSolver is capable of digging up. These Roku, Inc. (ROKU) signals traded as directed would have performed around 18.5 times better than buy-hold with an ROI of 13223% for the period 30-Oct-17 to 04-Dec-19. It has several earmarks of a "good" trading system, very high returns (quarterly returns range from 497% to 1708% annualized) a relatively low drawdown (less than half of ROKU buy-hold), 15 of 16 trades were good on the long side, low trading frequency and smooth parameter sensitivity (especially on the long trade side).

On the negative side, this algorithm is definitely out there. Reading through the strategy there's no obvious logic to it. For one thing it uses the EMA band, a price series derived by taking the exponential moving average of the last 10 median daily prices (H+L)/2 . All buy and sell percentages are relative to this series. Secondly, the parameter for high performance are restricted to quite a narrow range suggesting over-optimization. However, the values are sufficiently close to zero to may be OK. Thirdly, the signals look "confused". The short side did catch the major pullbacks but personally I wouldn't feel very comfortable playing the short side of this one. Regardless, I'll post it because its unusual and I'm curious to see how it does. My expectation is it will nosedive, but you never really know for sure. Check in from time to time--I'm not going to track this on a daily basis.

Incidentally, ROKU is a fertile territory for finding high performance algorithms, most of them "spinners" with high trading frequencies

ROKU Daily MBCYI MBHOI

ROKU Signals

About the ROKU Signals

The trading signals for Roku, Inc. (ROKU) were selected for their reward/risk, longevity and parameter sensitivity characteristics. Backtests don't always generate reliable signals which can be counted on moving forward but many traders find value in knowing what buy and sell signals would have worked well in the past.

Returns for the Roku, Inc. (ROKU) signals

For the 528 day (2.1 year) period from Oct 30 2017 to Dec 4 2019, these signals for Roku, Inc. (ROKU) traded both long and short would have yielded $1,322,301 in profits from a $10,000 initial investment, an annualized return of 933.7%. Traded long only (no short selling) the signals would have returned $395,437, an annualized return of 485.7%. 75.6% of time was spent holding stock long. The return would have been $71,448 (an annualized return of 172.2%) if you had bought and held the stock for the same period.

Signals and Trades

We call this a daily strategy as daily OHLC data is used in the numerical analysis leading to at most one buy signal and one sell signal per day. However, not all signals result in trades. If you are already long in a security, buy signals are not acted upon, similarly if you are short you should ignore sell signals. There were 131 buy signals and 72 sell signals for this particular ROKU strategy which in turn led to 16 round trip long trades of which 15 were profitable, and 15 short trades of which 10 were profitable.

Drawdown and Reward/Risk

Drawdown (the worst case loss for an single entry and exit into the strategy) was 28% for long-short and 26% for long only. This compares to 65% for buy-hold. The reward/risk for the trading long and short was 28.62 compared to 2.48 for buy-hold, a factor of 11.6 improvement. If traded long only, the reward/risk was 15.69. We use drawdown plus 5% as our risk metric, and annualized return as the reward metric.

The backtests assume a commission per trade of $0.

Parameter sensitivity

We look for signals which are not too sensitive to changes in the buy or sell point. Here you see the effect on returns when the buy point or sell point is changed for the Long side of the algorithm. On the short side, the algorithm led to a complete loss for sell points above 2.5%. The surface plot above can also be used for this analysis, here we just show the cross section of the surface at the buy and sell points.

ROKU Parameter Sensitivity

Trade List

Click to see trades

Split adjusted prices used throughout.
Key:
Buy C: Buy at close
RvS O: Reverse to Short at next day open (or sell if using Long style)
RvL C: Reverse to Long at current day close (or buy if using Long style)

Day of signal Buy or Sell Price L&S Value Next Open
10/31/2017 Buy C 20.38 10,029
11/27/2017 RvS O 49.40 24,239
11/28/2017 RvL C 46.43 24,634
1/3/2018 RvS O 51.56 28,536
1/11/2018 RvL C 43.87 33,263
2/16/2018 RvS O 50.45 37,710
2/23/2018 RvL C 41.52 44,706
3/26/2018 RvS O 33.55 35,865
4/5/2018 RvL C 31.76 36,946
5/9/2018 RvS O 38.30 45,558
5/10/2018 RvL C 35.46 46,591
8/24/2018 RvS O 64.00 88,323
8/30/2018 RvL C 60.68 92,430
9/4/2018 RvS O 63.06 96,549
9/7/2018 RvL C 65.23 95,042
9/26/2018 RvS O 73.75 105,403
11/30/2018 RvL C 40.75 162,376
12/3/2018 RvS O 41.59 155,712
12/26/2018 RvL C 30.35 198,837
1/31/2019 RvS O 45.02 293,400
2/1/2019 RvL C 45.21 292,355
2/4/2019 RvS O 48.50 313,423
2/5/2019 RvL C 48.16 314,768
5/3/2019 RvS O 63.05 413,202
5/7/2019 RvL C 64.41 401,716
5/21/2019 RvS O 87.79 551,041
6/6/2019 RvL C 100.25 475,238
6/7/2019 RvS O 102.38 482,878
6/13/2019 RvL C 104.97 467,793
8/29/2019 RvS O 150.98 676,961
10/1/2019 RvL C 102.40 881,764
12/5/2019 Last 152.47 1,332,301

Update 1/9/20

No signals since 10/1/19 for this algorithm.

 

Date Transaction Buy/Cover Sell/Short  Asset Value
4-Dec-2019 Initial Buy 149.915  $           10,000
9-Jan-2020 last 133.170  $             8,883
DRIP Signal Equity

DRIP Signals Weekly (BYS BHS OO)

Posted on by

These Direxion Daily S&P Oil & Gas Ex (DRIP) signals would have performed around 15.8 times better than shorting the stock (buy-hold had negative returns over the period) with an ROI of 1153% for the period 30-Nov-15 to 22-Nov-19

DRIP Signals

DRIP Signals

The trading signals for Direxion Daily S&P Oil & Gas Ex (DRIP) were selected for their reward/risk and parameter sensitivity characteristics. Backtests don't always generate reliable signals which can be counted on moving forward but many traders find value in knowing what buy and sell signals would have worked well in the past.

Note that if shorting DRIP is problematic, an alternative is to buy GUSH, the inverse stock which fairly closely tracks the effect of shorting DRIP, in the short term.

Returns for the Direxion Daily S&P Oil & Gas Ex (DRIP) signals

For the 208 week (4.0 year) period from Nov 30 2015 to Nov 22 2019, these signals for Direxion Daily S&P Oil & Gas Ex (DRIP) traded both long and short would have yielded $115,281 in profits from a $10,000 initial investment, an annualized return of 89.1%. The return would have been $7,319 (an annualized return of 14.9%) if you had shorted the stock for the same period.

Signals and Trades

Weekly OHLC data was used in the numerical analysis leading to at most one buy signal and one sell signal per week. There were 147 buy signals and 165 sell signals for this particular DRIP strategy which in turn led to 99 round trip long trades of which 66 were profitable.

Drawdown and Reward/Risk

Drawdown (the worst case loss for an single entry and exit into the strategy) was 21%. This compares to 97% for buy-hold and 157% for short-hold. The reward/risk was 3.48 compared to 0.09 for buy-hold, a factor of 38.1 improvement. We use drawdown plus 5% as our risk metric, and annualized return as the reward metric.

The backtests assume a commission per trade of $0. Returns have been adjusted for the worst case effects of 6 dividends.

Parameter sensitivity

We look for signals which are not too sensitive to changes in the buy or sell point. Here you see the effect on returns when the buy point or sell point is changed. The surface plot above can also be used for this analysis, here we just show the cross section of the surface at the buy and sell points.

DRIP Signals Parameter Sensitivity

Trade List

Click to see trades

Split adjusted prices used throughout.
Key:
Cov S: Cover at the signal price
Buy S: Buy at the signal price
Sht S: Short at the signal price
Sell S: Sell at the signal price
C/B S: Cover or buy at the signal price (not clear which signal came first)
S/Sh S: Sell or short at the signal price (not clear which signal came first)
Cov o: Cover a short position at the subsequent weekly open
Sell o: Close a long position at the subsequent weekly open

 

Week of signal Buy or Sell Price L&S Value Next Open
11/30/2015 10,000
12/21/2015 Cov S 509.99 11,273
12/21/2015 Sht S 584.40 11,273
1/4/2016 Cov S 523.33 11,338
1/4/2016 Sht S 526.36 11,338
1/18/2016 Cov S 645.41 13,991
1/18/2016 Sht S 842.56 13,991
2/15/2016 C/B S 653.26 14,852
2/15/2016 S/Sh S 694.69 14,852
2/22/2016 C/B S 676.76 15,707
2/22/2016 S/Sh S 716.88 15,707
3/28/2016 Sht S 334.50 15,860
3/28/2016 Cov o 331.25 15,860
4/4/2016 C/B S 325.87 16,120
4/4/2016 S/Sh S 331.25 16,120
4/18/2016 Buy S 262.55 15,787
4/18/2016 Sell S 257.13 15,787
5/9/2016 Sht S 206.26 17,032
5/9/2016 Cov o 190.00 17,032
5/23/2016 Cov S 185.10 17,629
5/23/2016 Sht S 191.82 17,629
6/27/2016 Cov S 152.71 18,233
6/27/2016 Sht S 158.13 18,233
7/11/2016 C/B S 161.23 18,264
7/11/2016 S/Sh S 161.50 18,264
7/18/2016 Buy S 157.33 18,037
7/18/2016 Sell S 155.38 18,037
8/1/2016 C/B S 166.83 18,109
8/1/2016 S/Sh S 167.50 18,109
8/22/2016 C/B S 123.50 17,740
8/22/2016 S/Sh S 121.00 17,740
8/29/2016 Buy S 120.31 17,199
8/29/2016 Sell S 116.65 17,199
9/12/2016 Buy S 114.86 16,390
9/12/2016 Sell S 109.45 16,390
9/19/2016 Cov S 113.10 17,518
9/19/2016 Sht S 121.46 17,518
9/26/2016 Cov S 118.56 17,898
9/26/2016 Sht S 121.19 17,898
10/10/2016 C/B S 95.90 17,820
10/10/2016 S/Sh S 95.48 17,820
10/24/2016 Buy S 102.24 20,741
10/24/2016 Sell o 119.00 20,741
11/7/2016 C/B S 115.93 21,995
11/7/2016 S/Sh S 123.15 21,995
11/28/2016 C/B S 82.25 21,618
11/28/2016 S/Sh S 80.85 21,618
12/19/2016 Sht S 62.22 22,320
12/19/2016 Cov o 60.20 22,320
12/26/2016 Buy S 60.20 23,432
12/26/2016 Sell o 63.20 23,432
1/3/2017 Sht S 60.41 21,458
1/3/2017 Cov o 65.50 21,458
1/23/2017 Buy S 65.27 20,614
1/23/2017 Sell S 62.70 20,614
1/30/2017 Buy S 66.10 21,081
1/30/2017 Sell o 67.60 21,081
2/6/2017 Sht S 67.60 20,348
2/6/2017 Cov o 69.95 20,348
2/13/2017 Sht S 69.95 20,101
2/13/2017 Cov o 70.80 20,101
2/27/2017 Sht S 75.90 18,606
2/27/2017 Cov o 81.55 18,606
3/6/2017 Buy S 78.96 21,914
3/6/2017 Sell o 93.00 21,914
3/13/2017 Sht S 90.80 21,805
3/13/2017 Cov o 91.25 21,805
3/20/2017 C/B S 90.60 21,961
3/20/2017 S/Sh S 91.25 21,961
3/27/2017 Cov S 88.90 22,465
3/27/2017 Sht S 90.98 22,465
4/10/2017 C/B S 79.10 22,255
4/10/2017 S/Sh S 78.36 22,255
4/24/2017 Cov S 83.44 23,970
4/24/2017 Sht S 90.41 23,970
5/8/2017 C/B S 95.13 24,176
5/8/2017 S/Sh S 95.95 24,176
5/22/2017 Sht S 87.60 19,443
5/22/2017 Cov o 104.75 19,443
6/5/2017 Sht S 110.00 19,974
6/5/2017 Cov o 107.00 19,974
6/26/2017 C/B S 114.18 21,430
6/26/2017 S/Sh S 122.80 21,430
7/10/2017 Sht S 124.21 23,657
7/10/2017 Cov o 111.30 23,657
7/24/2017 Cov S 108.43 23,671
7/24/2017 Sht S 108.49 23,671
8/21/2017 Sht S 131.68 23,722
8/21/2017 Cov o 131.40 23,722
9/11/2017 Cov S 114.22 25,245
9/11/2017 Sht S 122.06 25,245
10/2/2017 Buy S 88.26 23,899
10/2/2017 Sell S 83.56 23,899
10/9/2017 Buy S 86.90 23,583
10/9/2017 Sell o 85.75 23,583
10/16/2017 Buy S 85.39 24,732
10/16/2017 Sell o 89.55 24,732
10/30/2017 C/B S 87.24 25,115
10/30/2017 S/Sh S 88.60 25,115
11/20/2017 Sht S 75.81 25,947
11/20/2017 Cov o 73.30 25,947
12/11/2017 Sht S 70.82 23,717
12/11/2017 Cov o 76.90 23,717
12/18/2017 Cov S 69.12 24,726
12/18/2017 Sht S 72.19 24,726
1/2/2018 C/B S 57.75 24,129
1/2/2018 S/Sh S 56.37 24,129
1/8/2018 C/B S 53.40 24,128
1/8/2018 S/Sh S 53.40 24,128
1/22/2018 Cov S 47.30 25,030
1/22/2018 Sht S 49.14 25,030
1/29/2018 Buy S 50.95 33,652
1/29/2018 Sell o 68.50 33,652
2/12/2018 Sht S 81.95 37,532
2/12/2018 Cov o 72.50 37,532
3/5/2018 C/B S 66.05 40,458
3/5/2018 S/Sh S 71.40 40,458
3/19/2018 Cov S 64.64 40,905
3/19/2018 Sht S 65.36 40,905
4/2/2018 Cov S 60.89 41,619
4/2/2018 Sht S 61.97 41,619
4/30/2018 Buy S 43.55 40,126
4/30/2018 Sell S 41.98 40,126
5/29/2018 Sht S 35.06 43,289
5/29/2018 Cov o 32.30 43,289
6/11/2018 C/B S 31.47 45,937
6/11/2018 S/Sh S 33.45 45,937
6/18/2018 Cov S 32.59 47,566
6/18/2018 Sht S 33.78 47,566
7/2/2018 C/B S 30.10 47,719
7/2/2018 S/Sh S 30.20 47,719
7/23/2018 C/B S 29.52 48,252
7/23/2018 S/Sh S 29.85 48,252
7/30/2018 Buy S 29.08 50,775
7/30/2018 Sell o 30.60 50,775
8/6/2018 Sht S 29.29 45,554
8/6/2018 Cov o 32.30 45,554
8/20/2018 Cov S 31.47 50,755
8/20/2018 Sht S 35.52 50,755
9/4/2018 Buy S 29.10 60,173
9/4/2018 Sell o 34.50 60,173
9/10/2018 Sht S 33.41 63,710
9/10/2018 Cov o 31.45 63,710
10/1/2018 C/B S 26.65 61,714
10/1/2018 S/Sh S 25.83 61,714
10/8/2018 Buy S 25.96 59,923
10/8/2018 Sell S 25.21 59,923
10/15/2018 Sht S 30.16 53,286
10/15/2018 Cov o 33.50 53,286
10/29/2018 Sht S 43.77 56,417
10/29/2018 Cov o 41.20 56,417
11/26/2018 Sht S 52.44 59,683
11/26/2018 Cov o 49.40 59,683
12/24/2018 Sht S 103.36 69,677
12/24/2018 Cov o 86.05 69,677
1/28/2019 Cov S 50.51 76,517
1/28/2019 Sht S 56.01 76,517
2/11/2019 Cov S 53.09 90,301
2/11/2019 Sht S 64.76 90,301
3/11/2019 Sht S 62.66 102,345
3/11/2019 Cov o 54.30 102,345
3/25/2019 Buy S 52.90 96,482
3/25/2019 Sell S 49.87 96,482
4/22/2019 Buy S 40.04 95,205
4/22/2019 Sell S 39.51 95,205
5/6/2019 Sht S 51.43 93,959
5/6/2019 Cov o 52.10 93,959
5/13/2019 C/B S 52.10 90,533
5/13/2019 S/Sh S 50.24 90,533
5/20/2019 Cov S 50.76 92,582
5/20/2019 Sht S 51.93 92,582
6/3/2019 Sht S 71.14 91,067
6/3/2019 Cov o 72.30 91,067
6/10/2019 Buy S 72.24 90,026
6/10/2019 Sell S 71.41 90,026
6/17/2019 Cov S 70.43 95,927
6/17/2019 Sht S 75.38 95,927
7/8/2019 Sht S 62.45 96,181
7/8/2019 Cov o 62.28 96,181
7/22/2019 Sht S 75.27 87,735
7/22/2019 Cov o 81.88 87,735
7/29/2019 Cov S 74.04 91,311
7/29/2019 Sht S 77.19 91,311
8/12/2019 C/B S 93.43 97,918
8/12/2019 S/Sh S 100.43 97,918
8/19/2019 C/B S 97.84 102,305
8/19/2019 S/Sh S 102.32 102,305
8/26/2019 Cov S 99.68 109,232
8/26/2019 Sht S 106.92 109,232
9/3/2019 C/B S 106.19 113,898
9/3/2019 S/Sh S 110.82 113,898
10/7/2019 Sht S 89.96 110,302
10/7/2019 Cov o 92.80 110,302
10/14/2019 C/B S 87.64 116,617
10/14/2019 S/Sh S 92.80 116,617
10/21/2019 Cov S 90.41 117,146
10/21/2019 Sht S 90.82 117,146
11/11/2019 Buy S 72.00 125,281
11/11/2019 Sell o 77.00 125,281
11/25/2019 S/Sh S 86.70 125,281

Update 1/9/20

Some weeks there was both a buy and sell signal at the open (no trade).

This algorithm has not done a very good job at exploiting the huge downward swing (50%) of the underlying stock.

 

Date Transaction Buy/Cover Sell/Short  Asset Value
24-Nov-2019  $           10,000
25-Nov-2019 Short 86.700  $           10,000
2-Dec-2019 Cover 91.290  $             9,471
4-Dec-2019 Short 86.105  $             9,471
6-Dec-2019 Cover 84.463  $             9,651
30-Dec-2019 Buy 57.110  $             9,651
31-Dec-2019 Sell 55.122  $             9,315

Bitcoin Signals (BTC-USD ACS AAC OO Weekly)

Posted on by

This simple strategy requires no shorting and that positions are closed at the weekly open (which is midnight GMT on Sunday). Traded as directed, the Bitcoin signals would have performed around 15.5 times better than buy-hold for the period 09-Nov-15 to 01-Nov-19. Note that it uses the same buy signal as this other strategy.

Bitcoin signals performance

Bitcoin Signals (BTC-USD)

The Bitcoin signals (BTC-USD) were selected for their reward/risk, longevity and parameter sensitivity characteristics. Backtests don't always generate reliable signals which can be counted on moving forward but many traders find value in knowing what buy and sell signals would have worked well in the past.

Returns for the Bitcoin USD (BTC-USD) signals

For the 208 week (4.0 year) period from Nov 9 2015 to Nov 1 2019, the Bitcoin signals (BTC-USD) traded both long and short would have yielded $3,672,070 in profits from a $10,000 initial investment, an annualized return of 343.1%. 69.7% of time was spent holding the currency long. The return would have been $236,728 (an annualized return of 124.3%) if you had bought and held the currency for the same period.

Signals and Trades

We call this a weekly strategy as weekly OHLC data is used in the numerical analysis leading to at most one buy signal. There were 145 buy signals and each purchase was sold at the subsequent weekly open (Sunday night midnight GMT). For this particular BTC-USD strategy this led to 145 round trip long trades of which 101 were profitable, and no short trades.

Drawdown and Reward/Risk

Drawdown (the worst case loss for an single entry and exit into the strategy) was 23%. This compares to 83% for buy-hold. The reward/risk for the trading long and short was 12.12 compared to 1.41 for buy-hold, a factor of 8.6 improvement. If traded long only, the reward/risk was 12.12. We use drawdown plus 5% as our risk metric, and annualized return as the reward metric.

The backtests assume a commission per trade of $7.

Trade List

Click to see trades

Trade Types:

Buy S=Buy at signal (using stop-buy order)
Sell o=Sell at open (at midnight GMT Sunday night)

 

Date Trade Type Price Equity value at open
10,000
11/16/2015 Buy S 326.09 9,933
11/16/2015 Sell o 324.35 9,933
11/23/2015 Buy S 330.54 11,147
11/23/2015 Sell o 371.44 11,147
11/30/2015 Buy S 378.16 11,481
11/30/2015 Sell o 389.98 11,481
12/7/2015 Buy S 395.98 12,548
12/7/2015 Sell o 433.27 12,548
12/14/2015 Buy S 441.78 12,564
12/14/2015 Sell o 442.84 12,564
12/21/2015 Buy S 450.87 11,783
12/21/2015 Sell o 423.34 11,783
12/28/2015 Buy S 430.65 11,753
12/28/2015 Sell o 430.06 11,753
1/4/2016 Buy S 437.97 12,027
1/4/2016 Sell o 448.70 12,027
1/18/2016 Buy S 389.37 12,412
1/18/2016 Sell o 402.32 12,412
2/1/2016 Buy S 375.59 12,437
2/1/2016 Sell o 376.76 12,437
2/8/2016 Buy S 383.59 13,200
2/8/2016 Sell o 407.57 13,200
2/15/2016 Buy S 414.76 13,957
2/15/2016 Sell o 438.99 13,957
3/7/2016 Buy S 415.25 13,907
3/7/2016 Sell o 414.20 13,907
3/21/2016 Buy S 421.41 14,063
3/21/2016 Sell o 426.55 14,063
4/11/2016 Buy S 429.36 13,991
4/11/2016 Sell o 427.61 13,991
4/18/2016 Buy S 435.31 14,743
4/18/2016 Sell o 459.12 14,743
4/25/2016 Buy S 467.04 14,252
4/25/2016 Sell o 451.93 14,252
5/2/2016 Buy S 460.23 14,175
5/2/2016 Sell o 458.21 14,175
5/23/2016 Buy S 447.45 16,727
5/23/2016 Sell o 528.47 16,727
5/30/2016 Buy S 535.97 17,918
5/30/2016 Sell o 574.60 17,918
6/6/2016 Buy S 585.61 20,535
6/6/2016 Sell o 671.65 20,535
6/13/2016 Buy S 685.23 22,879
6/13/2016 Sell o 763.93 22,879
6/27/2016 Buy S 641.01 23,500
6/27/2016 Sell o 658.80 23,500
7/4/2016 Buy S 670.85 22,703
7/4/2016 Sell o 648.48 22,703
7/11/2016 Buy S 661.37 23,321
7/11/2016 Sell o 679.81 23,321
8/15/2016 Buy S 581.03 23,319
8/15/2016 Sell o 581.31 23,319
8/29/2016 Buy S 584.53 24,280
8/29/2016 Sell o 608.99 24,280
9/5/2016 Buy S 619.89 23,761
9/5/2016 Sell o 607.01 23,761
9/26/2016 Buy S 611.94 23,710
9/26/2016 Sell o 610.97 23,710
10/10/2016 Buy S 628.16 24,211
10/10/2016 Sell o 641.82 24,211
10/17/2016 Buy S 653.50 24,332
10/17/2016 Sell o 657.16 24,332
10/24/2016 Buy S 669.23 25,533
10/24/2016 Sell o 702.64 25,533
10/31/2016 Buy S 714.85 25,372
10/31/2016 Sell o 710.74 25,372
11/7/2016 Buy S 724.69 24,564
11/7/2016 Sell o 702.00 24,564
11/14/2016 Buy S 715.02 25,108
11/14/2016 Sell o 731.27 25,108
11/21/2016 Buy S 744.55 24,687
11/21/2016 Sell o 732.48 24,687
11/28/2016 Buy S 745.58 25,594
11/28/2016 Sell o 773.39 25,594
12/12/2016 Buy S 783.97 25,799
12/12/2016 Sell o 790.69 25,799
12/19/2016 Buy S 805.15 28,725
12/19/2016 Sell o 896.91 28,725
12/26/2016 Buy S 912.76 31,412
12/26/2016 Sell o 998.62 31,412
1/3/2017 Buy S 1,016.79 28,199
1/3/2017 Sell o 913.24 28,199
1/17/2017 Buy S 837.00 31,166
1/17/2017 Sell o 925.50 31,166
1/30/2017 Buy S 936.51 34,210
1/30/2017 Sell o 1,028.40 34,210
2/6/2017 Buy S 1,046.35 32,644
2/6/2017 Sell o 998.89 32,644
2/13/2017 Buy S 1,017.67 33,625
2/13/2017 Sell o 1,048.69 33,625
2/21/2017 Buy S 1,067.26 36,652
2/21/2017 Sell o 1,163.78 36,652
2/27/2017 Buy S 1,186.76 39,130
2/27/2017 Sell o 1,267.47 39,130
3/13/2017 Buy S 1,243.98 32,614
3/13/2017 Sell o 1,037.24 32,614
3/20/2017 Buy S 1,055.92 30,011
3/20/2017 Sell o 972.05 30,011
3/27/2017 Buy S 984.61 33,603
3/27/2017 Sell o 1,102.95 33,603
4/3/2017 Buy S 1,122.56 35,526
4/3/2017 Sell o 1,187.30 35,526
4/17/2017 Buy S 1,204.82 35,654
4/17/2017 Sell o 1,209.63 35,654
4/24/2017 Buy S 1,229.54 39,083
4/24/2017 Sell o 1,348.30 39,083
5/1/2017 Buy S 1,372.83 45,447
5/1/2017 Sell o 1,596.92 45,447
5/8/2017 Buy S 1,626.25 50,524
5/8/2017 Sell o 1,808.44 50,524
5/15/2017 Buy S 1,842.37 56,016
5/15/2017 Sell o 2,043.19 56,016
5/22/2017 Buy S 2,078.96 58,170
5/22/2017 Sell o 2,159.43 58,170
5/30/2017 Buy S 2,195.68 66,546
5/30/2017 Sell o 2,512.40 66,546
6/5/2017 Buy S 2,558.28 76,804
6/5/2017 Sell o 2,953.22 76,804
6/19/2017 Buy S 2,595.43 76,646
6/19/2017 Sell o 2,590.57 76,646
7/3/2017 Buy S 2,552.84 75,804
7/3/2017 Sell o 2,525.25 75,804
7/17/2017 Buy S 1,965.52 105,375
7/17/2017 Sell o 2,732.70 105,375
7/24/2017 Buy S 2,780.91 104,691
7/24/2017 Sell o 2,763.24 104,691
7/31/2017 Buy S 2,808.19 119,760
7/31/2017 Sell o 3,212.78 119,760
8/7/2017 Buy S 3,273.40 148,746
8/7/2017 Sell o 4,066.10 148,746
8/14/2017 Buy S 4,148.62 146,647
8/14/2017 Sell o 4,090.48 146,647
8/21/2017 Buy S 4,163.28 154,424
8/21/2017 Sell o 4,384.45 154,424
8/28/2017 Buy S 4,463.96 158,826
8/28/2017 Sell o 4,591.63 158,826
9/11/2017 Buy S 4,199.21 135,812
9/11/2017 Sell o 3,591.09 135,812
9/18/2017 Buy S 3,649.16 137,004
9/18/2017 Sell o 3,681.58 137,004
9/25/2017 Buy S 3,750.97 160,542
9/25/2017 Sell o 4,395.81 160,542
10/2/2017 Buy S 4,485.21 165,156
10/2/2017 Sell o 4,614.52 165,156
10/9/2017 Buy S 4,695.77 200,023
10/9/2017 Sell o 5,687.57 200,023
10/16/2017 Buy S 5,783.24 207,714
10/16/2017 Sell o 6,006.00 207,714
10/23/2017 Buy S 6,119.58 207,539
10/23/2017 Sell o 6,114.85 207,539
10/30/2017 Buy S 6,267.70 245,124
10/30/2017 Sell o 7,403.22 245,124
11/6/2017 Buy S 7,544.45 192,925
11/6/2017 Sell o 5,938.25 192,925
11/13/2017 Buy S 6,060.15 255,908
11/13/2017 Sell o 8,039.07 255,908
11/20/2017 Buy S 8,185.17 292,396
11/20/2017 Sell o 9,352.72 292,396
11/27/2017 Buy S 9,503.17 348,141
11/27/2017 Sell o 11,315.40 348,141
12/4/2017 Buy S 11,532.68 465,695
12/4/2017 Sell o 15,427.40 465,695
12/11/2017 Buy S 15,741.33 565,233
12/11/2017 Sell o 19,106.40 565,233
12/26/2017 Buy S 14,183.43 562,381
12/26/2017 Sell o 14,112.20 562,381
1/2/2018 Buy S 14,418.29 642,633
1/2/2018 Sell o 16,476.20 642,633
1/16/2018 Buy S 14,026.78 532,955
1/16/2018 Sell o 11,633.10 532,955
1/22/2018 Buy S 11,814.70 530,270
1/22/2018 Sell o 11,755.50 530,270
2/5/2018 Buy S 8,430.13 512,096
2/5/2018 Sell o 8,141.43 512,096
2/12/2018 Buy S 8,280.38 652,605
2/12/2018 Sell o 10,552.60 652,605
2/20/2018 Buy S 10,747.01 587,157
2/20/2018 Sell o 9,669.43 587,157
2/26/2018 Buy S 9,843.53 687,881
2/26/2018 Sell o 11,532.40 687,881
3/12/2018 Buy S 9,755.83 588,329
3/12/2018 Sell o 8,344.12 588,329
3/19/2018 Buy S 8,375.82 596,930
3/19/2018 Sell o 8,498.47 596,930
4/2/2018 Buy S 6,970.85 603,207
4/2/2018 Sell o 7,044.32 603,207
4/9/2018 Buy S 7,153.46 703,041
4/9/2018 Sell o 8,337.57 703,041
4/16/2018 Buy S 8,483.20 728,817
4/16/2018 Sell o 8,794.39 728,817
4/23/2018 Buy S 8,965.31 766,263
4/23/2018 Sell o 9,426.11 766,263
4/30/2018 Buy S 9,593.33 770,429
4/30/2018 Sell o 9,645.67 770,429
5/29/2018 Buy S 7,504.53 792,795
5/29/2018 Sell o 7,722.53 792,795
6/18/2018 Buy S 6,619.51 739,181
6/18/2018 Sell o 6,171.97 739,181
6/25/2018 Buy S 6,287.43 750,094
6/25/2018 Sell o 6,380.38 750,094
7/2/2018 Buy S 6,503.96 781,348
7/2/2018 Sell o 6,775.08 781,348
7/16/2018 Buy S 6,477.29 894,413
7/16/2018 Sell o 7,414.71 894,413
7/23/2018 Buy S 7,555.73 973,218
7/23/2018 Sell o 8,221.58 973,218
8/13/2018 Buy S 6,439.66 982,400
8/13/2018 Sell o 6,500.51 982,400
8/20/2018 Buy S 6,626.43 994,894
8/20/2018 Sell o 6,710.80 994,894
8/27/2018 Buy S 6,831.34 1,060,079
8/27/2018 Sell o 7,279.03 1,060,079
9/10/2018 Buy S 6,417.43 1,076,028
9/10/2018 Sell o 6,514.06 1,076,028
9/17/2018 Buy S 6,637.75 1,086,878
9/17/2018 Sell o 6,704.77 1,086,878
10/15/2018 Buy S 6,407.31 1,100,221
10/15/2018 Sell o 6,486.05 1,100,221
11/5/2018 Buy S 6,494.09 1,086,259
11/5/2018 Sell o 6,411.76 1,086,259
11/26/2018 Buy S 4,084.15 1,103,046
11/26/2018 Sell o 4,147.32 1,103,046
12/17/2018 Buy S 3,313.02 1,331,867
12/17/2018 Sell o 4,000.33 1,331,867
12/24/2018 Buy S 4,072.96 1,264,451
12/24/2018 Sell o 3,866.84 1,264,451
12/31/2018 Buy S 3,937.47 1,309,753
12/31/2018 Sell o 4,078.58 1,309,753
1/14/2019 Buy S 3,618.68 1,303,111
1/14/2019 Sell o 3,600.37 1,303,111
2/4/2019 Buy S 3,528.10 1,364,969
2/4/2019 Sell o 3,695.61 1,364,969
2/19/2019 Buy S 3,741.80 1,388,740
2/19/2019 Sell o 3,807.00 1,388,740
2/25/2019 Buy S 3,880.92 1,375,905
2/25/2019 Sell o 3,845.09 1,375,905
3/4/2019 Buy S 3,918.35 1,388,318
3/4/2019 Sell o 3,953.74 1,388,318
3/11/2019 Buy S 4,024.70 1,390,120
3/11/2019 Sell o 4,029.97 1,390,120
3/25/2019 Buy S 4,096.58 1,393,087
3/25/2019 Sell o 4,105.36 1,393,087
4/1/2019 Buy S 4,181.35 1,732,395
4/1/2019 Sell o 5,199.84 1,732,395
4/8/2019 Buy S 5,295.08 1,690,583
4/8/2019 Sell o 5,167.32 1,690,583
4/15/2019 Buy S 5,263.33 1,706,363
4/15/2019 Sell o 5,312.49 1,706,363
4/22/2019 Buy S 5,412.85 1,666,000
4/22/2019 Sell o 5,284.86 1,666,000
4/29/2019 Buy S 5,382.91 1,792,502
4/29/2019 Sell o 5,791.69 1,792,502
5/6/2019 Buy S 5,902.93 2,116,875
5/6/2019 Sell o 6,971.18 2,116,875
5/13/2019 Buy S 7,101.36 2,443,441
5/13/2019 Sell o 8,196.92 2,443,441
5/20/2019 Buy S 8,349.35 2,538,457
5/20/2019 Sell o 8,674.07 2,538,457
5/28/2019 Buy S 8,833.67 2,512,028
5/28/2019 Sell o 8,741.75 2,512,028
6/10/2019 Buy S 7,830.31 2,883,707
6/10/2019 Sell o 8,988.92 2,883,707
6/17/2019 Buy S 9,160.89 3,416,578
6/17/2019 Sell o 10,853.74 3,416,578
6/24/2019 Buy S 11,056.20 3,336,446
6/24/2019 Sell o 10,796.93 3,336,446
7/1/2019 Buy S 11,017.27 3,466,448
7/1/2019 Sell o 11,446.60 3,466,448
7/8/2019 Buy S 11,662.69 3,048,878
7/8/2019 Sell o 10,257.84 3,048,878
7/15/2019 Buy S 10,445.80 3,092,981
7/15/2019 Sell o 10,596.95 3,092,981
7/29/2019 Buy S 9,729.59 3,484,341
7/29/2019 Sell o 10,960.74 3,484,341
8/5/2019 Buy S 11,173.13 3,595,051
8/5/2019 Sell o 11,528.19 3,595,051
8/19/2019 Buy S 10,537.21 3,454,845
8/19/2019 Sell o 10,126.30 3,454,845
8/26/2019 Buy S 10,326.08 3,264,590
8/26/2019 Sell o 9,757.47 3,264,590
9/3/2019 Buy S 9,938.49 3,430,371
9/3/2019 Sell o 10,443.23 3,430,371
9/30/2019 Buy S 8,254.11 3,320,228
9/30/2019 Sell o 7,989.12 3,320,228
10/7/2019 Buy S 8,135.94 3,395,668
10/7/2019 Sell o 8,320.83 3,395,668
10/21/2019 Buy S 8,374.19 3,878,560
10/21/2019 Sell o 9,565.10 3,878,560
10/28/2019 Buy S 9,728.42 3,682,070
10/28/2019 Sell o 9,235.61 3,682,070
11/4/2019 Buy S 9,406.21 3,682,070

Updates to BTC-USD ACS AAC OO

Date Type Buy Sell  Asset Value
 $           10,000
4-Nov-2019 Buy 9406.000  $             9,818
4-Nov-2019 Sell 9056.920  $             9,629
25-Nov-2019 Buy 7178.303  $             9,629
2-Dec-2019 Sell 7428.015  $             9,964
5-Dec-2019 Buy 7561.642  $             9,963
9-Dec-2019 Sell 7561.795  $             9,964
16-Dec-2019 Buy 7284.619  $             9,964
23-Dec-2019 Sell 7508.902  $           10,271
Buy 7650.553  $           10,271
13-Dec-2019 Sell 7420.273  $             9,962
6-Jan-2020 Buy 7548.426  $             9,962
9-Jan-2020 Last 7883.000  $           10,403
Gush signals parameter surface

GUSH Signals Weekly (BCS BOS OO)

Posted on by

These Direxion Daily S&P Oil & Gas Ex (GUSH) signals traded as directed would have performed around 27.7 times better than short-hold with an ROI of 2639% for the period 02-Nov-15 to 25-Oct-19

GUSH Signals Performance

GUSH Signals

The trading signals for Direxion Daily S&P Oil & Gas Ex (GUSH) were selected for their reward/risk, longevity and parameter sensitivity characteristics. Backtests don't always generate reliable signals which can be counted on moving forward but many traders find value in knowing what buy and sell signals would have worked well in the past.

Returns for the Direxion Daily S&P Oil & Gas Ex (GUSH) signals

For the 208 week (4.0 year) period from Nov 2 2015 to Oct 25 2019, these signals for Direxion Daily S&P Oil & Gas Ex (GUSH) traded both long and short would have yielded $263,892 in profits from a $10,000 initial investment, an annualized return of 130.2%. 73% of the weeks was spent in the market. The return would have been $9,524 (an annualized return of 18.4%) if you had shorted the stock for the same period.

Signals and Trades

We call this a weekly strategy as weekly OHLC data is used in the numerical analysis leading to at most one buy signal and one sell signal per week. Each week there can be zero, one or two signals and all open positions are closed at the subsequent weekly open.  There were 123 buy signals and 147 sell signals for this particular GUSH strategy which in turn led to 152 trades of which 115 were profitable.

Drawdown and Reward/Risk

Drawdown (the worst case loss for an single entry and exit into the strategy) was 22%. This compares to 43% for short-hold. The reward/risk for the trading long and short was 4.89 compared to 0.38 for short-hold, a factor of 12.8 improvement.  We use drawdown plus 5% as our risk metric, and annualized return as the reward metric. Note that the strategy was chosen for peak reward/risk rather than peak annualized return (which was 204% for $817,831 return over the period for buy-point 7.47% and sell-point 0.57%).

The backtests assume a commission per trade of $0. Returns have been adjusted for the worst case effects of 6 dividends.

Trade List

Click to see trades

Week of signal Buy or Sell Price L&S Value Next Open
11/9/2015 C/B S 71.80 10,601
11/9/2015 S/Sh S 76.36 10,601
11/16/2015 Sht S 62.52 10,702
11/16/2015 Cov o 61.85 10,702
11/30/2015 C/B S 59.91 11,144
11/30/2015 S/Sh S 62.52 11,144
12/7/2015 C/B S 47.40 10,646
12/7/2015 S/Sh S 45.39 10,646
12/14/2015 C/B S 35.67 10,717
12/14/2015 S/Sh S 35.95 10,717
12/21/2015 C/B S 28.01 10,953
12/21/2015 S/Sh S 28.68 10,953
12/28/2015 C/B S 33.45 10,834
12/28/2015 S/Sh S 33.13 10,834
1/4/2016 C/B S 30.67 11,353
1/4/2016 S/Sh S 32.22 11,353
1/11/2016 C/B S 22.86 11,859
1/11/2016 S/Sh S 23.94 11,859
1/18/2016 C/B S 17.07 12,474
1/18/2016 S/Sh S 18.00 12,474
1/25/2016 C/B S 18.85 11,918
1/25/2016 S/Sh S 18.05 11,918
2/1/2016 C/B S 23.00 11,387
2/1/2016 S/Sh S 22.02 11,387
2/8/2016 C/B S 17.86 11,126
2/8/2016 S/Sh S 17.47 11,126
2/15/2016 C/B S 14.30 12,157
2/15/2016 S/Sh S 15.70 12,157
2/22/2016 C/B S 13.05 13,634
2/22/2016 S/Sh S 14.75 13,634
2/29/2016 C/B S 14.11 14,396
2/29/2016 S/Sh S 14.94 14,396
3/7/2016 C/B S 22.25 15,023
3/7/2016 S/Sh S 23.27 15,023
3/14/2016 C/B S 23.30 14,356
3/14/2016 S/Sh S 22.31 14,356
3/21/2016 C/B S 26.09 14,577
3/21/2016 S/Sh S 26.52 14,577
3/28/2016 C/B S 23.24 15,067
3/28/2016 S/Sh S 24.06 15,067
4/4/2016 C/B S 23.31 15,269
4/4/2016 S/Sh S 23.65 15,269
4/18/2016 Buy S 28.01 22,216
4/18/2016 Sell o 40.78 22,216
4/25/2016 C/B S 37.76 22,951
4/25/2016 S/Sh S 39.05 22,951
5/2/2016 C/B S 38.54 23,358
5/2/2016 S/Sh S 39.26 23,358
5/9/2016 C/B S 31.00 23,331
5/9/2016 S/Sh S 30.98 23,331
5/16/2016 Sht S 35.03 23,384
5/16/2016 Cov o 34.93 23,384
6/6/2016 Sht S 39.92 25,117
6/6/2016 Cov o 36.94 25,117
6/13/2016 C/B S 35.54 24,978
6/13/2016 S/Sh S 35.37 24,978
6/20/2016 Sht S 38.33 27,006
6/20/2016 Cov o 35.20 27,006
6/27/2016 C/B S 33.38 27,249
6/27/2016 S/Sh S 33.70 27,249
7/4/2016 C/B S 35.22 26,266
7/4/2016 S/Sh S 33.99 26,266
7/18/2016 C/B S 32.89 26,374
7/18/2016 S/Sh S 33.04 26,374
7/25/2016 C/B S 30.97 26,360
7/25/2016 S/Sh S 30.97 26,360
8/1/2016 C/B S 30.95 26,350
8/1/2016 S/Sh S 30.95 26,350
8/8/2016 Sht S 35.32 23,254
8/8/2016 Cov o 39.46 23,254
8/22/2016 Buy S 40.26 24,028
8/22/2016 Sell o 41.62 24,028
8/29/2016 C/B S 38.93 24,575
8/29/2016 S/Sh S 39.85 24,575
9/12/2016 C/B S 40.43 24,473
9/12/2016 S/Sh S 40.28 24,473
9/19/2016 Sht S 37.68 23,762
9/19/2016 Cov o 38.75 23,762
9/26/2016 C/B S 34.96 25,164
9/26/2016 S/Sh S 37.10 25,164
10/3/2016 Sht S 43.23 23,562
10/3/2016 Cov o 45.96 23,562
10/10/2016 Sht S 44.01 24,708
10/10/2016 Cov o 41.84 24,708
10/24/2016 C/B S 39.45 25,545
10/24/2016 S/Sh S 40.83 25,545
10/31/2016 C/B S 34.22 25,969
10/31/2016 S/Sh S 34.81 25,969
11/28/2016 C/B S 44.05 27,509
11/28/2016 S/Sh S 46.76 27,509
12/5/2016 Sht S 55.09 21,552
12/5/2016 Cov o 67.00 21,552
12/12/2016 C/B S 54.90 24,906
12/12/2016 S/Sh S 64.15 24,906
12/26/2016 Sht S 52.43 24,670
12/26/2016 Cov o 52.90 24,670
1/3/2017 Sht S 50.65 24,674
1/3/2017 Cov o 50.62 24,674
1/9/2017 C/B S 47.92 24,938
1/9/2017 S/Sh S 48.46 24,938
1/30/2017 C/B S 46.08 25,299
1/30/2017 S/Sh S 46.78 25,299
2/6/2017 C/B S 43.81 25,960
2/6/2017 S/Sh S 44.99 25,960
2/13/2017 C/B S 42.62 26,365
2/13/2017 S/Sh S 43.32 26,365
2/21/2017 C/B S 39.35 28,138
2/21/2017 S/Sh S 42.11 28,138
3/6/2017 C/B S 34.65 29,015
3/6/2017 S/Sh S 35.77 29,015
3/13/2017 C/B S 29.88 29,926
3/13/2017 S/Sh S 30.85 29,926
3/20/2017 C/B S 30.81 30,092
3/20/2017 S/Sh S 31.00 30,092
4/3/2017 Sht S 34.23 28,677
4/3/2017 Cov o 35.83 28,677
4/10/2017 C/B S 32.51 30,206
4/10/2017 S/Sh S 34.30 30,206
4/17/2017 C/B S 30.07 31,512
4/17/2017 S/Sh S 31.41 31,512
4/24/2017 Sht S 29.04 31,950
4/24/2017 Cov o 28.62 31,950
5/1/2017 C/B S 26.69 32,784
5/1/2017 S/Sh S 27.40 32,784
5/15/2017 C/B S 27.04 36,361
5/15/2017 S/Sh S 30.16 36,361
5/22/2017 C/B S 27.46 38,259
5/22/2017 S/Sh S 28.95 38,259
5/30/2017 C/B S 23.92 38,534
5/30/2017 S/Sh S 24.10 38,534
6/5/2017 C/B S 20.52 39,137
6/5/2017 S/Sh S 20.85 39,137
6/12/2017 C/B S 20.77 41,884
6/12/2017 S/Sh S 22.29 41,884
6/19/2017 C/B S 18.92 43,751
6/19/2017 S/Sh S 19.79 43,751
7/3/2017 C/B S 19.27 46,314
7/3/2017 S/Sh S 20.44 46,314
7/17/2017 Sht S 19.56 44,245
7/17/2017 Cov o 20.43 44,245
7/31/2017 C/B S 20.56 45,304
7/31/2017 S/Sh S 21.07 45,304
8/7/2017 C/B S 17.65 45,903
8/7/2017 S/Sh S 17.89 45,903
8/14/2017 C/B S 16.26 47,668
8/14/2017 S/Sh S 16.90 47,668
8/28/2017 C/B S 15.10 49,721
8/28/2017 S/Sh S 15.77 49,721
9/5/2017 C/B S 16.40 52,711
9/5/2017 S/Sh S 17.42 52,711
10/2/2017 Buy S 22.50 54,633
10/2/2017 Sell o 23.33 54,633
10/9/2017 Sht S 22.34 51,486
10/9/2017 Cov o 23.62 51,486
10/16/2017 Sht S 22.62 51,463
10/16/2017 Cov o 22.62 51,463
10/23/2017 C/B S 20.87 53,346
10/23/2017 S/Sh S 21.66 53,346
10/30/2017 Buy S 20.22 71,402
10/30/2017 Sell o 27.07 71,402
11/13/2017 C/B S 27.02 73,708
11/13/2017 S/Sh S 27.91 73,708
11/20/2017 Sht S 23.87 67,274
11/20/2017 Cov o 25.95 67,274
11/27/2017 C/B S 24.30 68,762
11/27/2017 S/Sh S 24.85 68,762
12/4/2017 C/B S 26.53 70,280
12/4/2017 S/Sh S 27.13 70,280
12/11/2017 C/B S 23.91 72,833
12/11/2017 S/Sh S 24.80 72,833
1/16/2018 C/B S 33.83 75,669
1/16/2018 S/Sh S 35.18 75,669
1/29/2018 C/B S 31.86 76,171
1/29/2018 S/Sh S 32.08 76,171
2/5/2018 C/B S 23.76 76,168
2/5/2018 S/Sh S 23.77 76,168
2/20/2018 C/B S 20.26 79,142
2/20/2018 S/Sh S 21.07 79,142
2/26/2018 C/B S 21.46 82,380
2/26/2018 S/Sh S 22.36 82,380
3/12/2018 C/B S 21.49 83,969
3/12/2018 S/Sh S 21.91 83,969
3/19/2018 C/B S 20.90 85,478
3/19/2018 S/Sh S 21.29 85,478
3/26/2018 Sht S 22.54 82,732
3/26/2018 Cov o 23.26 82,732
4/2/2018 C/B S 22.06 83,511
4/2/2018 S/Sh S 22.27 83,511
5/7/2018 Sht S 32.56 70,069
5/7/2018 Cov o 37.79 70,069
5/21/2018 C/B S 39.30 73,971
5/21/2018 S/Sh S 41.56 73,971
6/4/2018 C/B S 36.06 77,413
6/4/2018 S/Sh S 37.78 77,413
6/11/2018 C/B S 35.56 78,603
6/11/2018 S/Sh S 36.12 78,603
6/25/2018 C/B S 36.64 80,840
6/25/2018 S/Sh S 37.71 80,840
7/2/2018 C/B S 37.58 81,576
7/2/2018 S/Sh S 37.93 81,576
7/9/2018 Sht S 40.75 85,308
7/9/2018 Cov o 38.88 85,308
7/16/2018 C/B S 37.63 84,372
7/16/2018 S/Sh S 37.23 84,372
7/30/2018 Sht S 37.66 83,996
7/30/2018 Cov o 37.82 83,996
8/6/2018 Sht S 36.21 84,939
8/6/2018 Cov o 35.80 84,939
8/13/2018 C/B S 33.54 86,770
8/13/2018 S/Sh S 34.28 86,770
8/27/2018 Sht S 35.43 80,211
8/27/2018 Cov o 38.10 80,211
9/4/2018 C/B S 34.59 84,473
9/4/2018 S/Sh S 36.48 84,473
10/8/2018 C/B S 37.35 85,100
10/8/2018 S/Sh S 37.63 85,100
10/15/2018 C/B S 31.03 89,032
10/15/2018 S/Sh S 32.51 89,032
10/22/2018 C/B S 28.36 91,773
10/22/2018 S/Sh S 29.25 91,773
10/29/2018 C/B S 20.10 96,242
10/29/2018 S/Sh S 21.10 96,242
11/5/2018 C/B S 20.31 104,025
11/5/2018 S/Sh S 22.02 104,025
11/12/2018 C/B S 20.59 110,660
11/12/2018 S/Sh S 21.95 110,660
11/19/2018 C/B S 17.72 110,730
11/19/2018 S/Sh S 17.73 110,730
11/26/2018 Sht S 15.40 97,890
11/26/2018 Cov o 17.18 97,890
12/3/2018 C/B S 14.60 109,573
12/3/2018 S/Sh S 16.45 109,573
12/10/2018 C/B S 12.86 109,047
12/10/2018 S/Sh S 12.80 109,047
12/17/2018 C/B S 9.93 112,152
12/17/2018 S/Sh S 10.22 112,152
12/24/2018 C/B S 6.53 111,767
12/24/2018 S/Sh S 6.51 111,767
12/31/2018 C/B S 7.09 119,876
12/31/2018 S/Sh S 7.62 119,876
1/22/2019 C/B S 11.92 119,314
1/22/2019 S/Sh S 11.86 119,314
1/28/2019 Buy S 10.68 127,255
1/28/2019 Sell o 11.39 127,255
2/4/2019 C/B S 10.78 128,722
2/4/2019 S/Sh S 10.91 128,722
2/19/2019 C/B S 10.94 130,137
2/19/2019 S/Sh S 11.06 130,137
2/25/2019 C/B S 10.49 131,439
2/25/2019 S/Sh S 10.60 131,439
3/4/2019 C/B S 10.22 139,678
3/4/2019 S/Sh S 10.89 139,678
4/1/2019 C/B S 10.28 149,268
4/1/2019 S/Sh S 11.01 149,268
4/8/2019 Sht S 11.86 138,980
4/8/2019 Cov o 12.68 138,980
4/15/2019 Sht S 12.14 131,997
4/15/2019 Cov o 12.75 131,997
4/22/2019 C/B S 11.20 143,418
4/22/2019 S/Sh S 12.21 143,418
4/29/2019 C/B S 10.59 148,186
4/29/2019 S/Sh S 10.95 148,186
5/13/2019 C/B S 9.01 150,011
5/13/2019 S/Sh S 9.12 150,011
5/20/2019 C/B S 8.66 154,325
5/20/2019 S/Sh S 8.91 154,325
5/28/2019 C/B S 6.60 162,169
5/28/2019 S/Sh S 6.94 162,169
6/3/2019 Sht S 5.89 153,856
6/3/2019 Cov o 6.19 153,856
6/10/2019 C/B S 5.64 161,361
6/10/2019 S/Sh S 5.93 161,361
6/24/2019 C/B S 6.16 168,075
6/24/2019 S/Sh S 6.42 168,075
7/1/2019 C/B S 6.51 185,821
7/1/2019 S/Sh S 7.24 185,821
7/8/2019 C/B S 5.94 190,126
7/8/2019 S/Sh S 6.08 190,126
7/15/2019 C/B S 6.02 198,941
7/15/2019 S/Sh S 6.31 198,941
7/22/2019 C/B S 4.79 208,026
7/22/2019 S/Sh S 5.02 208,026
7/29/2019 C/B S 4.44 215,995
7/29/2019 S/Sh S 4.62 215,995
8/5/2019 C/B S 3.83 206,598
8/5/2019 S/Sh S 3.67 206,598
8/12/2019 C/B S 3.35 212,507
8/12/2019 S/Sh S 3.45 212,507
8/19/2019 C/B S 2.96 230,784
8/19/2019 S/Sh S 3.23 230,784
8/26/2019 Sht S 2.90 230,072
8/26/2019 Cov o 2.91 230,072
9/3/2019 C/B S 2.91 220,063
9/3/2019 S/Sh S 2.79 220,063
9/16/2019 Sht S 4.79 258,085
9/16/2019 Cov o 3.96 258,085
9/23/2019 C/B S 3.69 264,952
9/23/2019 S/Sh S 3.79 264,952
9/30/2019 C/B S 3.12 268,440
9/30/2019 S/Sh S 3.16 268,440
10/7/2019 C/B S 2.61 278,561
10/7/2019 S/Sh S 2.71 278,561
10/14/2019 C/B S 2.61 273,892
10/14/2019 S/Sh S 2.57 273,892
10/28/2019 C/B S 2.80 273,892
10/28/2019 S/Sh S 2.96 273,892

Update 1/9/20

This algorithm not doing well, especially when compared to the underlying stock which has increased 20% or more.

 

Date Trade Buy/Cov Sell/Sht  Asset Value
27-Oct-2019  $           10,000
28-Oct-2019 Short 29.590  $             9,861
29-Oct-2019 Cover 28.040  $           10,524
6-Nov-2019 Short 30.540  $             9,642
11-Nov-2019 Cover 31.700  $           10,124
12-Nov-2019 Buy 31.090  $           10,124
12-Nov-2019 Sell 30.350  $             9,883
18-Nov-2019 Short 28.050  $             9,883
18-Nov-2019 Cover 27.570  $           10,052
18-Nov-2019 Short 28.055  $           10,052
18-Nov-2019 Cover 27.574  $           10,225
26-Nov-2019 Short 24.569  $           10,225
26-Nov-2019 Cover 24.030  $           10,449
3-Dec-2019 Short 22.980  $           10,449
9-Dec-2019 Cover 25.540  $             9,285
31-Dec-2019 Short 34.403  $             9,285
6-Jan-2020 Cover 39.180  $             7,996
8-Jan-2020 Short 37.515  $             7,996
8-Jan-2020 Cover 35.013  $             8,529

NUGT Signals Weekly (BYS BAS OO)

Posted on by

These Direxion Daily Gold Miners Inde (NUGT) signals traded as directed would have performed only around 0.7 times as well as buy-hold with an ROI of 56% for the period 22-Oct-18 to 18-Oct-19. However the reward/risk was twice as good as buy-hold because drawdown was only 8% compared with 34% for buy-hold. Furthermore the capital was in the market for about a third of the time of buy-hold so efficiency (=return/%time in mkt) was around 159% for the year, meaning that return would have been 159% if the capital could have been invested for the whole period at the same rate.

The trading signals for Direxion Daily Gold Miners Inde (NUGT) were selected for their reward/risk, longevity and parameter sensitivity characteristics. Backtests don't always generate reliable signals which can be counted on moving forward but many traders find value in knowing what buy and sell signals would have worked well in the past.

Returns for the Direxion Daily Gold Miners Inde (NUGT) signals

For the 52 week (1.0 year) period from Oct 22 2018 to Oct 18 2019, these signals for Direxion Daily Gold Miners Inde (NUGT) traded both long and short would have yielded $5,649 in profits from a $10,000 initial investment, an annualized return of 58.1%. Traded long only (no short selling)  the signals would have returned $4,169, an annualized return of 42.8%. 10.6% of time was spent holding stock long. The return would have been $8,360 (an annualized return of 86.1%)  if you had bought and held the stock for the same period.

Signals and Trades

We call this a weekly strategy as weekly OHLC data is used in the numerical analysis leading to at most one buy signal and one sell signal per week. The strategy detailed has cover/buy and sell/short signals, which often result in a buy and sell each week or short and cover, but any open positions must be closed out at the following open. For the 52 week period here, positions were only held for 37% of the weeks, leaving capital free to be used for other purposes for the remainder.

Drawdown and Reward/Risk

Drawdown (the worst case loss for an single entry and exit into the strategy) was 8%. This compares to 35% for buy-hold. The reward/risk for the trading long and short was 4.42 compared to 2.17 for buy-hold, a factor of  2.0 improvement. We use drawdown plus 5% as our risk metric, and annualized return as the reward metric.

The backtests assume a commission per trade of $7. Returns have been adjusted for the worst case effects of 3 dividends.

Trade List

Click to see trades

Week of signal Buy or Sell Price L&S Value Next Open
10/29/2018 Buy 13.08 10,353
10/29/2018 Sell 13.57 10,353
11/12/2018 Buy 11.80 11,122
11/12/2018 Sell 12.73 11,122
11/26/2018 Buy 13.91 10,215
11/26/2018 Sell 12.88 10,215
1/14/2019 Buy 15.55 10,388
1/14/2019 Sell 15.84 10,388
2/25/2019 Buy 18.10 11,559
2/25/2019 Sell 20.43 11,559
3/4/2019 Buy 18.10 11,545
3/4/2019 Sell 18.10 11,545
4/1/2019 Buy 20.52 10,688
4/1/2019 Sell 19.12 10,688
4/15/2019 Buy 16.90 11,429
4/15/2019 Sell 18.14 11,429
4/22/2019 Buy 16.51 11,248
4/22/2019 Sell 16.27 11,248
4/29/2019 Buy 14.06 11,761
4/29/2019 Sell 14.74 11,761
7/1/2019 Buy 26.74 10,984
7/1/2019 Sell 25.11 10,984
7/29/2019 Buy 29.17 11,748
7/29/2019 Sell 31.31 11,748
8/12/2019 Buy 33.02 12,450
8/12/2019 Sell 35.16 12,450
8/19/2019 Buy 33.02 12,436
8/19/2019 Sell 33.02 12,436
9/3/2019 Buy 35.30 13,284
9/3/2019 Sell 37.93 13,284
9/9/2019 Buy 34.80 13,459
9/9/2019 Sell 35.30 13,459
9/16/2019 Buy 29.08 16,347
9/16/2019 Sell 35.35 16,347
9/30/2019 Buy 28.60 16,333
9/30/2019 Sell 28.60 16,333
10/14/2019 Buy 29.00 15,649
10/14/2019 Sell 27.86 15,649

8 year performance

For completeness, below is the 8 year performance for the same algorithm. This would have averaged 60% annualized return a year which translates to $412,966 for a $10,000 outlay. Short-hold would have returned $9,977 (9.1% annualized return) over the period with a drawdown of 17.9% and efficiency 122% (weeks in mkt=49%).

 

Update Jan 9th 2020

Algorithm didn't trade in Dec 2019, but yesterday shorted at 31.98. Performance is pretty flat right now for the algorithm and the underlying.

Trades since inception as of 1/9/20

Date Type Buy/Cov Sell/Sht  Asset Value
23-Oct-2019  $           10,000
7-Nov-2019 Short 26.743  $           10,278
11-Nov-2019 Cover 25.560  $           10,442
11-Nov-2019 Short 25.501  $           10,442
11-Nov-2019 Cover 25.329  $           10,513
25-Nov-2019 Short 25.183  $           10,513
27-Nov-2019 Cover 27.130  $             9,700
8-Jan-2020 Short 31.980  $             9,700
9-Jan-2020 Last 31.380  $             9,882

TQQQ Signals Weekly (ASS BAS OO)

Posted on by

Author's Note Dec 4th 2021

We tracked this algorithm from Oct 2019 through to Dec 2021. The optimum time to exit the algorithm would have been in April 2020 when the equity was about 3 times the underlying stock. But algorithms don't typically perform forever. We keep the original posts as an illustration of the value of SignalSolver in finding useful trading algorithms but do not advise trading this algorithm at the present time as the optimum parameters have changed.

Original Post Oct 2019:

These ProShares UltraPro QQQ (TQQQ) signals traded as directed would have performed around 2.8 times better than buy-hold with an ROI of 549% for the period 24-Oct-16 to 18-Oct-19 with relatively low drawdown.

The algorithm is a little unusual, the buy point is usually above the sell point, which means that they act as defensive stops for each other, however hitting both buy and sell point in the same week only happened 20 times in the last 3 years and generally the position has been closed out at the following week open, at a profit.

"The trading signals for ProShares UltraPro QQQ (TQQQ) were selected for their reward/risk, longevity and parameter sensitivity characteristics. Backtests don't always generate reliable signals which can be counted on moving forward but many traders find value in knowing what buy and sell signals would have worked well in the past.

Returns for the ProShares UltraPro QQQ (TQQQ) signals

For the 156 week (3.0 year) period from Oct 24 2016 to Oct 18 2019, these signals for ProShares UltraPro QQQ (TQQQ) traded both long and short would have yielded $54,918 in profits from a $10,000 initial investment, an annualized return of 87.6%. Traded long only (no short selling) the signals would have returned $46,325, an annualized return of 78.9%. 67.9% of time was spent holding stock long. The return would have been $19,792 (an annualized return of 44.4%) if you had bought and held the stock for the same period.

Signals and Trades

We call this a weekly strategy as weekly OHLC data is used in the numerical analysis leading to at most one buy signal and one sell signal per week. For this algorithm, all open positions must be exited at the start of the week. There were 116 buy signals and 47 sell signals for this particular TQQQ strategy which in turn led to 96 round trip long trades of which 72 were profitable, and 27 short trades of which 19 were profitable.

Drawdown and Reward/Risk

Drawdown (the worst case loss for an single entry and exit into the strategy) was 17% for long-short and 9% for long only. This compares to 56% for buy-hold. The reward/risk for the trading long and short was 4.02 compared to 0.73 for buy-hold, a factor of 5.5 improvement. If traded long only, the reward/risk was 5.56. We use drawdown plus 5% as our risk metric, and annualized return as the reward metric.

The backtests assume a commission per trade of $7. Returns have been adjusted for the worst case effects of 2 dividends. "

Trade List

Click to see trades

Week of signal Buy or Sell Price Long Value Next Open Short Value Next Open L&S Value Next Open
10/31/2016 Buy 19.63 10,000 10,203 10,203
10/31/2016 Sell 20.07 10,000 10,203 10,203
11/7/2016 Buy 20.28 9,740 10,203 9,938
11/7/2016 Sell 19.78 9,740 10,203 9,938
11/14/2016 Buy 19.99 9,496 9,935 9,428
11/14/2016 Sell 19.02 9,496 9,935 9,428
11/21/2016 Buy 20.65 9,724 9,935 9,655
11/21/2016 Sell 21.18 9,724 9,935 9,655
11/28/2016 Buy 21.40 9,404 9,586 8,997
11/28/2016 Sell 20.02 9,404 9,586 8,997
12/5/2016 Buy 20.23 9,878 9,586 9,450
12/5/2016 Sell 21.29 9,878 9,586 9,450
12/12/2016 Buy 21.51 10,046 9,586 9,610
12/12/2016 Sell 21.91 10,046 9,586 9,610
12/19/2016 Buy 22.14 10,089 9,586 9,651
12/19/2016 Sell 22.27 10,089 9,586 9,651
12/26/2016 Buy 22.50 9,756 9,247 8,990
12/26/2016 Sell 21.04 9,756 9,247 8,990
1/3/2017 Buy 21.60 10,421 9,247 9,602
1/3/2017 Sell 23.11 10,421 9,247 9,602
1/9/2017 Buy 23.35 10,488 9,247 9,662
1/9/2017 Sell 23.53 10,488 9,247 9,662
1/17/2017 Buy 23.78 10,437 9,247 9,615
1/17/2017 Sell 23.70 10,437 9,247 9,615
1/23/2017 Buy 23.95 10,876 9,247 10,017
1/23/2017 Sell 24.99 10,876 9,247 10,017
2/6/2017 Buy 25.25 11,369 9,247 10,471
2/6/2017 Sell 26.43 11,369 9,247 10,471
2/13/2017 Buy 26.71 11,848 9,247 10,911
2/13/2017 Sell 27.87 11,848 9,247 10,911
2/21/2017 Buy 28.17 11,689 9,247 10,763
2/21/2017 Sell 27.82 11,689 9,247 10,763
2/27/2017 Buy 28.12 11,676 9,247 10,750
2/27/2017 Sell 28.12 11,676 9,247 10,750
3/6/2017 Buy 28.42 11,738 9,247 10,806
3/6/2017 Sell 28.60 11,738 9,247 10,806
3/13/2017 Buy 28.91 11,760 9,247 10,825
3/13/2017 Sell 29.00 11,760 9,247 10,825
3/20/2017 Buy 29.30 11,096 9,247 10,213
3/20/2017 Sell 27.68 11,096 9,247 10,213
3/27/2017 Buy 27.98 11,682 9,247 10,751
3/27/2017 Sell 29.49 11,682 9,247 10,751
4/3/2017 Buy 29.80 11,442 9,247 10,530
4/3/2017 Sell 29.23 11,442 9,247 10,530
4/17/2017 Buy 29.54 11,769 9,247 10,829
4/17/2017 Sell 30.42 11,769 9,247 10,829
4/24/2017 Buy 30.74 12,264 9,247 11,284
4/24/2017 Sell 32.07 12,264 9,247 11,284
5/1/2017 Buy 32.41 12,429 9,247 11,434
5/1/2017 Sell 32.88 12,429 9,247 11,434
5/8/2017 Buy 33.23 12,559 9,247 11,553
5/8/2017 Sell 33.62 12,559 9,247 11,553
5/15/2017 Buy 33.97 12,242 9,247 11,260
5/15/2017 Sell 33.15 12,242 9,247 11,260
5/22/2017 Buy 33.50 12,882 9,247 11,847
5/22/2017 Sell 35.29 12,882 9,247 11,847
5/30/2017 Buy 35.67 13,358 9,247 12,284
5/30/2017 Sell 37.03 13,358 9,247 12,284
6/5/2017 Buy 33.47 13,358 9,427 12,528
6/5/2017 Sell 34.19 13,358 9,427 12,528
6/12/2017 Buy 34.55 13,126 9,255 12,084
6/12/2017 Sell 33.38 13,126 9,255 12,084
6/19/2017 Buy 34.19 13,810 9,255 12,713
6/19/2017 Sell 36.01 13,810 9,255 12,713
6/26/2017 Buy 33.13 13,810 9,223 12,674
6/26/2017 Sell 33.07 13,810 9,223 12,674
7/3/2017 Buy 32.78 13,810 9,058 12,453
7/3/2017 Sell 32.25 13,810 9,058 12,453
7/10/2017 Buy 32.78 15,144 9,058 13,654
7/10/2017 Sell 35.98 15,144 9,058 13,654
7/17/2017 Buy 36.36 15,537 9,058 14,007
7/17/2017 Sell 37.34 15,537 9,058 14,007
7/24/2017 Buy 37.74 15,396 9,058 13,878
7/24/2017 Sell 37.43 15,396 9,058 13,878
8/7/2017 Buy 37.83 14,823 8,692 12,803
8/7/2017 Sell 35.04 14,823 8,692 12,803
8/14/2017 Buy 36.48 14,460 8,466 12,159
8/14/2017 Sell 34.73 14,460 8,466 12,159
8/21/2017 Buy 35.10 14,301 8,368 11,886
8/21/2017 Sell 34.36 14,301 8,368 11,886
8/28/2017 Buy 35.73 15,232 8,368 12,658
8/28/2017 Sell 38.10 15,232 8,368 12,658
9/11/2017 Buy 38.50 15,232 8,368 12,655
9/11/2017 Sell 38.54 15,232 8,368 12,655
9/25/2017 Buy 38.28 15,232 7,830 11,850
9/25/2017 Sell 36.03 15,232 7,830 11,850
10/2/2017 Buy 38.28 15,889 7,830 12,358
10/2/2017 Sell 39.97 15,889 7,830 12,358
10/9/2017 Buy 40.39 15,976 7,830 12,422
10/9/2017 Sell 40.65 15,976 7,830 12,422
10/23/2017 Buy 41.08 16,497 7,830 12,824
10/23/2017 Sell 42.45 16,497 7,830 12,824
10/30/2017 Buy 42.90 16,967 7,830 13,186
10/30/2017 Sell 44.16 16,967 7,830 13,186
11/6/2017 Buy 44.63 16,756 7,830 13,019
11/6/2017 Sell 44.11 16,756 7,830 13,019
11/13/2017 Buy 44.58 16,829 7,830 13,073
11/13/2017 Sell 44.81 16,829 7,830 13,073
11/20/2017 Buy 45.29 17,334 7,830 13,461
11/20/2017 Sell 46.68 17,334 7,830 13,461
11/27/2017 Buy 45.97 17,334 7,342 12,632
11/27/2017 Sell 43.34 17,334 7,342 12,632
12/4/2017 Buy 45.97 17,055 7,342 12,424
12/4/2017 Sell 45.27 17,055 7,342 12,424
12/11/2017 Buy 45.75 18,129 7,342 13,203
12/11/2017 Sell 48.67 18,129 7,342 13,203
1/2/2018 Buy 49.19 19,094 7,342 13,902
1/2/2018 Sell 51.84 19,094 7,342 13,902
1/8/2018 Buy 52.39 20,161 7,342 14,675
1/8/2018 Sell 55.36 20,161 7,342 14,675
1/16/2018 Buy 55.95 20,163 7,342 14,673
1/16/2018 Sell 55.99 20,163 7,342 14,673
1/22/2018 Buy 56.59 21,473 7,342 15,622
1/22/2018 Sell 60.30 21,473 7,342 15,622
1/29/2018 Buy 52.58 21,473 7,695 16,390
1/29/2018 Sell 55.36 21,473 7,695 16,390
2/5/2018 Buy 46.93 21,473 8,508 18,139
2/5/2018 Sell 52.58 21,473 8,508 18,139
2/12/2018 Buy 53.14 21,324 8,508 18,011
2/12/2018 Sell 52.81 21,324 8,508 18,011
2/20/2018 Buy 53.37 22,870 8,508 19,314
2/20/2018 Sell 57.27 22,870 8,508 19,314
2/26/2018 Buy 57.88 21,676 8,009 17,180
2/26/2018 Sell 51.87 21,676 8,009 17,180
3/5/2018 Buy 53.43 25,070 8,009 19,867
3/5/2018 Sell 61.83 25,070 8,009 19,867
3/12/2018 Buy 62.49 23,054 8,009 18,266
3/12/2018 Sell 57.50 23,054 8,009 18,266
3/19/2018 Buy 49.67 23,054 9,085 20,739
3/19/2018 Sell 57.50 23,054 9,085 20,739
3/26/2018 Buy 46.84 23,054 9,568 21,860
3/26/2018 Sell 49.55 23,054 9,568 21,860
4/2/2018 Buy 45.65 23,054 9,706 22,194
4/2/2018 Sell 46.38 23,054 9,706 22,194
4/9/2018 Buy 46.88 24,317 9,706 23,409
4/9/2018 Sell 49.47 24,317 9,706 23,409
4/16/2018 Buy 50.00 24,233 9,706 23,328
4/16/2018 Sell 49.85 24,233 9,706 23,328
4/23/2018 Buy 50.38 23,792 9,519 22,462
4/23/2018 Sell 48.58 23,792 9,519 22,462
4/30/2018 Buy 49.14 25,141 9,519 23,735
4/30/2018 Sell 51.95 25,141 9,519 23,735
5/7/2018 Buy 52.50 26,729 9,519 25,233
5/7/2018 Sell 55.85 26,729 9,519 25,233
5/14/2018 Buy 56.44 25,877 9,519 24,429
5/14/2018 Sell 54.67 25,877 9,519 24,429
5/21/2018 Buy 55.25 25,647 9,519 24,210
5/21/2018 Sell 54.79 25,647 9,519 24,210
5/29/2018 Buy 55.37 27,267 9,519 25,739
5/29/2018 Sell 58.90 27,267 9,519 25,739
6/4/2018 Buy 59.52 27,466 9,519 25,926
6/4/2018 Sell 59.99 27,466 9,519 25,926
6/11/2018 Buy 60.63 27,848 9,519 26,286
6/11/2018 Sell 61.50 27,848 9,519 26,286
6/18/2018 Buy 62.15 26,700 9,519 25,202
6/18/2018 Sell 59.62 26,700 9,519 25,202
6/25/2018 Buy 55.66 26,700 10,012 26,530
6/25/2018 Sell 58.79 26,700 10,012 26,530
7/2/2018 Buy 59.42 27,882 10,012 27,705
7/2/2018 Sell 62.08 27,882 10,012 27,705
7/9/2018 Buy 62.74 29,011 10,012 28,827
7/9/2018 Sell 65.31 29,011 10,012 28,827
7/16/2018 Buy 66.00 28,104 10,012 27,925
7/16/2018 Sell 63.97 28,104 10,012 27,925
7/23/2018 Buy 64.65 27,352 10,012 27,178
7/23/2018 Sell 62.95 27,352 10,012 27,178
7/30/2018 Buy 63.62 27,007 9,878 26,483
7/30/2018 Sell 62.04 27,007 9,878 26,483
8/6/2018 Buy 65.25 27,340 9,878 26,810
8/6/2018 Sell 66.09 27,340 9,878 26,810
8/13/2018 Buy 66.79 26,605 9,593 25,327
8/13/2018 Sell 63.23 26,605 9,593 25,327
8/20/2018 Buy 65.37 27,983 9,593 26,638
8/20/2018 Sell 68.79 27,983 9,593 26,638
8/27/2018 Buy 69.52 28,834 9,593 27,448
8/27/2018 Sell 71.67 28,834 9,593 27,448
9/4/2018 Buy 67.09 28,834 9,617 27,544
9/4/2018 Sell 67.36 28,834 9,617 27,544
9/10/2018 Buy 68.07 29,051 9,617 27,751
9/10/2018 Sell 68.62 29,051 9,617 27,751
9/17/2018 Buy 69.35 28,100 9,617 26,842
9/17/2018 Sell 67.11 28,100 9,617 26,842
9/24/2018 Buy 67.82 30,024 9,617 28,679
9/24/2018 Sell 72.50 30,024 9,617 28,679
10/1/2018 Buy 63.84 30,024 9,871 29,463
10/1/2018 Sell 65.67 30,024 9,871 29,463
10/8/2018 Buy 57.46 30,024 10,843 32,393
10/8/2018 Sell 63.84 30,024 10,843 32,393
10/15/2018 Buy 57.41 30,024 10,514 31,439
10/15/2018 Sell 55.79 30,024 10,514 31,439
10/22/2018 Buy 57.41 29,544 10,336 30,419
10/22/2018 Sell 55.60 29,544 10,336 30,419
10/29/2018 Buy 52.08 29,544 9,976 29,384
10/29/2018 Sell 50.39 29,544 9,976 29,384
11/5/2018 Buy 52.08 29,769 9,976 29,607
11/5/2018 Sell 52.50 29,769 9,976 29,607
11/12/2018 Buy 48.92 29,769 10,366 30,793
11/12/2018 Sell 50.99 29,769 10,366 30,793
11/19/2018 Buy 44.18 29,769 10,981 32,648
11/19/2018 Sell 47.03 29,769 10,981 32,648
11/26/2018 Buy 47.53 33,853 10,981 37,130
11/26/2018 Sell 54.08 33,853 10,981 37,130
12/3/2018 Buy 43.16 33,853 11,387 38,537
12/3/2018 Sell 44.88 33,853 11,387 38,537
12/10/2018 Buy 45.35 33,028 11,091 36,612
12/10/2018 Sell 43.16 33,028 11,091 36,612
12/17/2018 Buy 32.00 33,028 13,809 45,622
12/17/2018 Sell 42.47 33,028 13,809 45,622
12/24/2018 Buy 37.36 33,028 11,483 37,967
12/24/2018 Sell 32.00 33,028 11,483 37,967
12/31/2018 Buy 37.36 33,995 11,483 39,081
12/31/2018 Sell 38.47 33,995 11,483 39,081
1/7/2019 Buy 38.88 35,338 11,483 40,627
1/7/2019 Sell 40.43 35,338 11,483 40,627
1/14/2019 Buy 40.86 38,049 11,483 43,746
1/14/2019 Sell 44.01 38,049 11,483 43,746
1/22/2019 Buy 44.48 36,781 11,483 42,290
1/22/2019 Sell 43.01 36,781 11,483 42,290
1/28/2019 Buy 43.47 39,308 11,483 45,198
1/28/2019 Sell 46.47 39,308 11,483 45,198
2/4/2019 Buy 46.96 39,970 11,483 45,961
2/4/2019 Sell 47.77 39,970 11,483 45,961
2/11/2019 Buy 48.28 41,019 11,483 47,169
2/11/2019 Sell 49.56 41,019 11,483 47,169
2/19/2019 Buy 50.09 42,581 11,483 48,968
2/19/2019 Sell 52.01 42,581 11,483 48,968
3/4/2019 Buy 52.97 40,794 10,953 44,673
3/4/2019 Sell 48.54 40,794 10,953 44,673
3/11/2019 Buy 49.73 45,405 10,953 49,725
3/11/2019 Sell 55.37 45,405 10,953 49,725
3/18/2019 Buy 55.96 44,664 10,953 48,914
3/18/2019 Sell 55.06 44,664 10,953 48,914
3/25/2019 Buy 55.64 44,241 10,842 47,981
3/25/2019 Sell 54.61 44,241 10,842 47,981
4/1/2019 Buy 58.30 46,336 10,842 50,255
4/1/2019 Sell 61.08 46,336 10,842 50,255
4/8/2019 Buy 61.73 46,880 10,842 50,845
4/8/2019 Sell 62.47 46,880 10,842 50,845
4/15/2019 Buy 63.13 46,879 10,842 50,845
4/15/2019 Sell 63.15 46,879 10,842 50,845
4/22/2019 Buy 63.82 49,392 10,842 53,572
4/22/2019 Sell 67.26 49,392 10,842 53,572
5/6/2019 Buy 56.48 49,392 11,847 58,595
5/6/2019 Sell 62.34 49,392 11,847 58,595
5/13/2019 Buy 56.38 49,392 11,854 58,685
5/13/2019 Sell 56.48 49,392 11,854 58,685
5/20/2019 Buy 57.08 48,553 11,640 56,658
5/20/2019 Sell 55.15 48,553 11,640 56,658
5/28/2019 Buy 49.82 48,553 12,284 59,849
5/28/2019 Sell 52.81 48,553 12,284 59,849
6/3/2019 Buy 53.37 46,932 11,840 55,716
6/3/2019 Sell 49.82 46,932 11,840 55,716
6/10/2019 Buy 57.36 47,434 11,840 56,314
6/10/2019 Sell 57.99 47,434 11,840 56,314
6/17/2019 Buy 58.60 51,535 11,840 61,186
6/17/2019 Sell 63.69 51,535 11,840 61,186
7/1/2019 Buy 65.30 51,118 11,840 60,694
7/1/2019 Sell 64.79 51,118 11,840 60,694
7/8/2019 Buy 65.48 53,824 11,840 63,908
7/8/2019 Sell 68.96 53,824 11,840 63,908
7/22/2019 Buy 69.69 54,017 11,840 64,141
7/22/2019 Sell 69.96 54,017 11,840 64,141
7/29/2019 Buy 57.94 54,017 13,096 71,008
7/29/2019 Sell 64.90 54,017 13,096 71,008
8/5/2019 Buy 59.28 54,017 12,779 69,352
8/5/2019 Sell 57.94 54,017 12,779 69,352
8/12/2019 Buy 59.28 55,999 12,779 71,900
8/12/2019 Sell 61.47 55,999 12,779 71,900
8/19/2019 Buy 62.12 53,359 12,109 64,775
8/19/2019 Sell 56.28 53,359 12,109 64,775
8/26/2019 Buy 57.49 55,016 12,109 66,789
8/26/2019 Sell 59.29 55,016 12,109 66,789
9/3/2019 Buy 59.92 59,639 12,109 72,405
9/3/2019 Sell 64.97 59,639 12,109 72,405
9/9/2019 Buy 65.66 58,110 12,109 70,551
9/9/2019 Sell 63.99 58,110 12,109 70,551
9/16/2019 Buy 64.67 56,848 12,109 69,022
9/16/2019 Sell 63.28 56,848 12,109 69,022
9/23/2019 Buy 63.95 55,749 11,860 66,302
9/23/2019 Sell 61.49 55,749 11,860 66,302
9/30/2019 Buy 62.14 54,165 11,498 62,424
9/30/2019 Sell 58.63 54,165 11,498 62,424
10/7/2019 Buy 60.86 56,277 11,498 64,861
10/7/2019 Sell 63.25 56,277 11,498 64,861
10/14/2019 Buy 63.92 56,325 11,498 64,918
10/14/2019 Sell 63.99 56,325 11,498 64,918

Update Jan 9th 2020

Please refer to trades below. Algorithm is doing ok with annualized returns running at around 180% since inception. Buy-hold has also been good with this stock around twice the returns of the algorithm. Hard to compete with that.

 

 

Trades

This table shows the trades since publication. Current profit is around 21% (163% annualized), with drawdown around 5.4%. 8 of 12 trades were good.

Date Type Buy Sell  Asset Value
20-Oct-2019  $           10,000
21-Oct-2019 Buy 65.719  $           10,000
28-Oct-2019 Sell 68.860  $           10,478
28-Oct-2019 Buy 69.590  $           10,478
4-Nov-2019 Sell 72.610  $           10,933
7-Nov-2019 Buy 73.380  $           10,933
11-Nov-2019 Sell 72.570  $           10,812
11-Nov-2019 Buy 73.339  $           10,812
15-Nov-2019 Sell 75.110  $           11,073
18-Nov-2019 Buy 75.906  $           11,073
25-Nov-2019 Sell 75.120  $           10,958
25-Nov-2019 Buy 75.916  $           10,958
2-Dec-2019 Sell 77.740  $           11,222
3-Dec-2019 Short 73.120  $           11,222
9-Dec-2019 Cover 77.090  $           10,612
9-Dec-2019 Buy 77.090  $           10,612
16-Dec-2019 Sell 81.420  $           11,209
16-Dec-2019 Buy 82.283  $           11,209
23-Dec-2019 Sell 86.020  $           11,718
26-Dec-2019 Buy 86.932  $           11,718
30-Dec-2019 Sell 87.730  $           11,825
2-Jan-2020 Buy 88.660  $           11,825
6-Jan-2020 Sell 86.270  $           11,506
6-Jan-2020 Buy 87.184  $           11,506
9-Jan-2020 Last 92.100  $           12,155

Final Update and wrap-up Dec 4th 2021

In the interest of completeness, lets take a look at how this algorithm has performed over the longer term. In the graphic, buy-hold is in the white and the algorithm is in yellow. You can see that the algorithm did extremely well until April 13th 2020, while buy-hold had a period of significant drawdown during the early days of the Covid pandemic. After this, the performance of buy-hold was spectacular (shorting would have been a total loss, of course) while the algorithm equity improved only slightly. Nevertheless, the algorithm overall gave a 48% annualized return, which is decent, and you always have to remember that the algorithm makes all the buy/sell decisions for you. Drawdown for the algorithm was much less (37%) than for buy-hold (68%) so reward-risk was 1.45 for buy-hold vs. 1.15 for the algorithm. Had you traded the algorithm long only, drawdown was only 16% and reward-risk was 4.5, but that is academic.

Also worth remembering is that the algorithm was never re-parameterized over the whole period, however if you look at the scans you can see that the parameters are a long way off the optimums:

Had we adjusted the parameters as we went, the performance could have been most likely been much improved, although certainly not to the 241% annualized return suggested by the backtests. The improved parameters were established at least a year ago, and kept the algorithm long for the most part.

Amazon AMZN Signals Daily

Amazon (AMZN) Signals-Daily

Posted on by

These Amazon.com, Inc. (AMZN) signals traded as directed would have performed around 3.6 times better than buy-hold with an ROI of 391% for the period 02-Nov-16 to 07-Dec-18. This is a symmetrical algorithm with no buy or sell bias.

AMZN Daily Signals

"The trading signals for Amazon.com, Inc. (AMZN) were selected for their reward/risk, longevity and parameter sensitivity characteristics. Backtests don't always generate reliable signals which can be counted on moving forward but many traders find value in knowing what buy and sell signals would have worked well in the past.

Returns for the Amazon.com, Inc. (AMZN) signals

For the 528 day (2.1 year) period from Nov 2 2016 to Dec 7 2018, these signals for Amazon.com, Inc. (AMZN) traded both long and short would have yielded $39,084 in profits from a $10,000 initial investment, an annualized return of 113.5%. Traded long only (no short selling) the signals would have returned $23,562, an annualized return of 78.1%. 47.8% of time was spent holding stock long. The return would have been $10,782 (an annualized return of 41.7%) if you had bought and held the stock for the same period.

Signals and Trades

We call this a daily strategy as daily OHLC data is used in the numerical analysis leading to at most one buy signal and one sell signal per day. However, not all signals result in trades. If you are already long in a security, buy signals are not acted upon, similarly if you are short you should ignore sell signals. There were 259 buy signals and 290 sell signals for this particular AMZN strategy which in turn led to 128 round trip long trades of which 81 were profitable, and 128 short trades of which 64 were profitable.

Drawdown and Reward/Risk

Drawdown (the worst case loss for an single entry and exit into the strategy) was 13% for long-short and 8% for long only. This compares to 29% for buy-hold. The reward/risk for the trading long and short was 6.31 compared to 1.21 for buy-hold, a factor of 5.2 improvement. If traded long only, the reward/risk was 5.91. We use drawdown plus 5% as our risk metric, and annualized return as the reward metric.

The algorithm uses Bollinger bands with an SD (Excel STDEVPA) of the trailing 50 (H+L)/2 prices, scaled by a factor of 10.

The backtests assume a commission per trade of $7. "

NVDA Signals Weekly Equity

NVIDIA (NVDA) Signals-Weekly

Posted on by

The NVIDIA (NVDA) signals presented here would have performed around 41.0 times better than buy-hold with an ROI of 100,721% for the period 11-Aug-08 to 21-Sep-18

NVDA Signals Weekly

The trading signals for NVIDIA (NVDA) were selected for their reward/risk, longevity and parameter sensitivity characteristics. Backtests don't always generate reliable signals which can be counted on moving forward but many traders find value in knowing what buy and sell signals would have worked well in the past.

Returns for the NVIDIA (NVDA) signals

For the 528 week (10.1 year) period from Aug 11 2008 to Sep 21 2018, these signals for NVIDIA (NVDA) traded both long and short would have yielded $10,072,063 in profits from a $10,000 initial investment, an annualized return of 98.3%. Traded long only (no short selling) the signals would have returned $1,789,777, an annualized return of 67.2%. 81.9% of time was spent holding stock long. The return would have been $245,766 (an annualized return of 37.8%) if you had bought and held the stock for the same period.

Signals and Trades

We call this a weekly strategy as weekly OHLC data is used in the numerical analysis leading to at most one buy signal and one sell signal per week. However, not all signals result in trades. If you are already long in a security, buy signals are not acted upon, similarly if you are short you should ignore sell signals. There were 144 buy signals and 106 sell signals for this particular NVDA strategy which in turn led to 34 round trip long trades of which 21 were profitable, and 34 short trades of which 28 were profitable.

Drawdown and Reward/Risk

Drawdown (the worst case loss for an single entry and exit into the strategy) was 47% for long-short and 37% for long only. This compares to 54% for buy-hold. The reward/risk for the trading long and short was 1.89 compared to 0.64 for buy-hold, a factor of 3.0 improvement. If traded long only, the reward/risk was 1.60. We use drawdown plus 5% as our risk metric, and annualized return as the reward metric.

The backtests assume a commission per trade of $7. Returns have been adjusted for the worst case effects of 24 dividends.

Click here to see the list of Trades

These are the trades which would have occurred had you used the signals as directed. They are the results of a simulation, not actual trades.

Week of signal Buy or Sell Price L&S Value Next Open
8/25/2008 Sell 12.85 9,993
9/1/2008 Buy 11.67 10,999
9/15/2008 Sell 11.32 10,556
10/6/2008 Buy 6.81 16,003
10/13/2008 Sell 7.91 17,115
11/17/2008 Buy 6.38 21,660
12/8/2008 Sell 8.65 27,661
12/22/2008 Buy 7.51 31,709
12/29/2008 Sell 8.61 35,862
1/12/2009 Buy 7.99 38,334
1/19/2009 Sell 7.75 37,262
2/16/2009 Buy 7.61 38,568
2/23/2009 Sell 8.08 40,249
5/11/2009 Buy 8.74 37,877
6/22/2009 Sell 11.60 49,023
7/6/2009 Buy 10.37 55,305
8/10/2009 Sell 13.01 67,994
9/21/2009 Buy 14.50 60,400
10/12/2009 Sell 13.33 55,322
10/26/2009 Buy 11.96 60,891
11/16/2009 Sell 13.09 66,742
11/23/2009 Buy 12.79 68,524
2/15/2010 Sell 16.65 88,844
2/22/2010 Buy 16.20 91,287
5/10/2010 Sell 12.98 73,083
5/17/2010 Buy 12.73 74,243
5/24/2010 Sell 12.96 75,809
6/7/2010 Buy 11.61 84,917
6/21/2010 Sell 11.16 80,433
6/28/2010 Buy 10.25 86,639
8/9/2010 Sell 9.26 78,563
8/30/2010 Buy 9.90 72,898
9/27/2010 Sell 11.24 83,002
10/4/2010 Buy 10.86 86,189
1/17/2011 Sell 23.24 183,583
2/28/2011 Buy 20.76 204,627
5/2/2011 Sell 19.38 189,641
5/16/2011 Buy 18.09 199,343
5/30/2011 Sell 18.43 206,037
6/6/2011 Buy 17.12 220,668
7/25/2011 Sell 14.15 182,372
8/15/2011 Buy 11.73 219,556
9/19/2011 Sell 13.96 254,132
9/26/2011 Buy 12.51 276,927
10/3/2011 Sell 14.39 322,656
10/31/2011 Buy 14.82 310,678
11/14/2011 Sell 13.71 289,543
12/12/2011 Buy 13.51 295,058
2/13/2012 Sell 15.84 344,401
2/27/2012 Buy 15.38 351,854
5/14/2012 Sell 12.10 278,797
5/21/2012 Buy 12.40 276,255
1/7/2013 Sell 12.29 271,140
1/14/2013 Buy 12.17 273,548
12/8/2014 Sell 19.86 464,732
12/29/2014 Buy 20.13 458,400
1/4/2016 Sell 29.66 686,944
1/11/2016 Buy 27.11 761,399
2/1/2016 Sell 26.03 716,257
2/8/2016 Buy 25.73 734,916
12/26/2016 Sell 104.40 2,967,333
1/3/2017 Buy 103.10 3,015,924
2/21/2017 Sell 102.20 2,982,109
4/10/2017 Buy 95.49 3,194,654
7/24/2017 Sell 164.94 5,493,806
9/5/2017 Buy 163.69 5,593,296
3/26/2018 Sell 228.74 7,738,713
4/2/2018 Buy 214.25 8,326,864
9/24/2018 Last 262.20 10,082,063