DRIP Signal Equity

DRIP Signals Weekly (BYS BHS OO)

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 (BTC-USD) Signals-Weekly (ACS AAO)

While shorting Bitcoin might be tricky, with this algorithm it would have paid off. Traded as directed these signals would have performed around 103.1 times better than buy-hold for the period 09-Nov-15 to 01-Nov-19.

The trading signals for Bitcoin USD (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.

Bitcoin Signals (BTC-USD)

The trading signals for Bitcoin USD (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, these signals for Bitcoin USD (BTC-USD) traded both long and short would have yielded $24,314,581 in profits from a $10,000 initial investment, an annualized return of 612.9%. Traded long only (no short selling) the signals would have returned $3,629,957, an annualized return of 341.8%. 42.5% of time was spent holding the currency long. The return would have been $235,929 (an annualized return of 124.1%) if you had bought and held Bitcoin for the same period. Minimum annual return for the four years in the analysis was 258.89%

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 145 buy signals and 170 sell signals for this particular BTC-USD strategy which in turn led to 80 round trip long trades of which 56 were profitable, and 80 short trades of which 22 were profitable. There were only 15 clear buy signals and 40 clear sell signals, the remaining 130 signals were dual signals (buy and sell signals in the same week), which leads to a lot of reversals. Despite all the signal noise, drawdown was fairly constrained.

Drawdown and Reward/Risk

Drawdown (the worst case loss for an single entry and exit into the strategy) was 26% for long-short and 25% for long only. This compares to 83% for buy-hold. The reward/risk for the trading long and short was 19.70 compared to 1.41 for buy-hold, a factor of 14.0 improvement. If traded long only, the reward/risk was 11.50. 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 price (initiated by a stop-buy order)
"RvS O" -- reversal to short at open (market sell and short orders)
"RvL S" -- reversal to long at the signal (stop-cover and stop-buy orders)

Date Trade Type Price Equity Value (at open)
10,000
11/16/2015 Buy S 326.09 9,940
11/23/2015 RvS O 371.44 11,369
11/30/2015 RvL S 378.16 11,497
12/7/2015 RvS O 433.27 12,760
12/14/2015 RvL S 441.78 12,525
12/21/2015 RvS O 423.34 11,960
12/28/2015 RvL S 430.65 11,723
1/4/2016 RvS O 448.70 12,217
1/18/2016 RvL S 389.37 14,278
2/1/2016 RvS O 376.76 13,357
2/8/2016 RvL S 383.59 13,920
2/15/2016 RvS O 438.99 14,979
3/7/2016 RvL S 415.25 15,735
3/14/2016 RvS O 413.42 15,692
3/21/2016 RvL S 421.41 15,562
3/28/2016 RvS O 421.30 15,356
4/11/2016 RvL S 429.36 14,987
4/18/2016 RvS O 459.12 16,077
4/25/2016 RvL S 467.04 15,275
5/2/2016 RvS O 458.21 15,473
5/23/2016 RvL S 447.45 18,688
5/30/2016 RvS O 574.60 20,305
6/6/2016 RvL S 585.61 22,826
6/13/2016 RvS O 763.93 25,948
6/27/2016 RvL S 641.01 30,944
7/4/2016 RvS O 648.48 30,446
7/11/2016 RvL S 661.37 30,658
7/18/2016 RvS O 661.26 29,808
8/15/2016 RvL S 581.03 33,427
8/22/2016 RvS O 574.07 32,996
8/29/2016 RvL S 584.53 33,736
9/5/2016 RvS O 607.01 33,612
9/26/2016 RvL S 611.94 33,272
10/3/2016 RvS O 616.82 33,577
10/10/2016 RvL S 628.16 33,662
10/17/2016 RvS O 657.16 34,452
10/24/2016 RvL S 669.23 35,494
10/31/2016 RvS O 710.74 35,889
11/7/2016 RvL S 724.69 34,069
11/14/2016 RvS O 731.27 35,476
11/21/2016 RvL S 744.55 34,253
11/28/2016 RvS O 773.39 36,152
12/12/2016 RvL S 783.97 35,949
12/19/2016 RvS O 896.91 40,764
12/26/2016 RvL S 912.76 43,795
1/3/2017 RvS O 913.24 40,037
1/17/2017 RvL S 837.00 47,950
1/23/2017 RvS O 920.15 47,659
1/30/2017 RvL S 936.51 51,390
2/6/2017 RvS O 998.89 49,901
2/13/2017 RvL S 1,017.67 50,441
2/21/2017 RvS O 1,163.78 55,963
2/27/2017 RvL S 1,186.76 58,574
3/6/2017 RvS O 1,221.78 56,448
3/13/2017 RvL S 1,243.98 46,201
3/20/2017 RvS O 972.05 43,283
3/27/2017 RvL S 984.61 47,844
4/3/2017 RvS O 1,187.30 51,488
4/17/2017 RvL S 1,204.82 50,917
4/24/2017 RvS O 1,348.30 56,740
5/1/2017 RvL S 1,372.83 64,785
5/8/2017 RvS O 1,808.44 73,352
5/15/2017 RvL S 1,842.37 79,805
5/22/2017 RvS O 2,159.43 84,331
5/30/2017 RvL S 2,195.68 94,860
6/5/2017 RvS O 2,953.22 111,490
6/19/2017 RvL S 2,595.43 124,749
7/3/2017 RvS O 2,525.25 121,589
7/17/2017 RvL S 1,965.52 206,498
7/24/2017 RvS O 2,763.24 208,792
7/31/2017 RvL S 2,808.19 234,972
8/7/2017 RvS O 4,066.10 297,367
8/14/2017 RvL S 4,148.62 287,236
8/21/2017 RvS O 4,384.45 307,865
8/28/2017 RvL S 4,463.96 310,912
9/5/2017 RvS O 4,122.47 279,130
9/11/2017 RvL S 4,199.21 234,251
9/18/2017 RvS O 3,681.58 240,140
9/25/2017 RvL S 3,750.97 276,102
10/2/2017 RvS O 4,614.52 289,825
10/9/2017 RvL S 4,695.77 344,841
10/16/2017 RvS O 6,006.00 364,134
10/23/2017 RvL S 6,119.58 356,958
10/30/2017 RvS O 7,403.22 432,153
11/6/2017 RvL S 7,544.45 333,649
11/13/2017 RvS O 8,039.07 451,673
11/20/2017 RvL S 8,185.17 506,705
11/27/2017 RvS O 11,315.40 613,024
12/4/2017 RvL S 11,532.68 804,284
12/11/2017 RvS O 19,106.40 996,069
12/26/2017 RvL S 14,183.43 1,246,412
1/2/2018 RvS O 16,476.20 1,455,190
1/16/2018 RvL S 14,026.78 1,386,266
1/22/2018 RvS O 11,755.50 1,400,838
2/5/2018 RvL S 8,430.13 1,735,545
2/12/2018 RvS O 10,552.60 2,249,531
2/20/2018 RvL S 10,747.01 1,986,676
2/26/2018 RvS O 11,532.40 2,369,426
3/12/2018 RvL S 9,755.83 2,338,739
3/19/2018 RvS O 8,498.47 2,381,987
4/2/2018 RvL S 6,970.85 2,839,760
4/9/2018 RvS O 8,337.57 3,361,090
4/16/2018 RvL S 8,483.20 3,423,511
4/23/2018 RvS O 9,426.11 3,669,416
4/30/2018 RvL S 9,593.33 3,623,968
5/7/2018 RvS O 8,713.10 3,273,579
5/29/2018 RvL S 7,504.53 3,835,916
6/4/2018 RvS O 6,799.29 3,377,313
6/18/2018 RvL S 6,619.51 3,232,228
6/25/2018 RvS O 6,380.38 3,341,357
7/2/2018 RvL S 6,503.96 3,413,215
7/9/2018 RvS O 6,357.01 3,202,581
7/16/2018 RvL S 6,477.29 3,596,687
7/23/2018 RvS O 8,221.58 3,988,065
8/13/2018 RvL S 6,439.66 4,898,264
8/20/2018 RvS O 6,710.80 5,056,708
8/27/2018 RvL S 6,831.34 5,291,294
9/4/2018 RvS O 6,301.57 4,580,742
9/10/2018 RvL S 6,417.43 4,564,219
9/17/2018 RvS O 6,704.77 4,697,830
10/15/2018 RvL S 6,407.31 4,966,527
11/5/2018 RvS O 6,411.76 4,909,627
11/26/2018 RvL S 4,084.15 6,795,416
12/3/2018 RvS O 3,612.05 5,918,347
12/17/2018 RvL S 3,313.02 7,737,752
12/24/2018 RvS O 3,866.84 7,479,526
12/31/2018 RvL S 3,937.47 7,606,043
1/7/2019 RvS O 3,557.31 6,633,920
1/14/2019 RvL S 3,618.68 6,486,468
2/4/2019 RvS O 3,695.61 6,658,040
2/19/2019 RvL S 3,741.80 6,689,376
3/4/2019 RvS O 3,953.74 6,947,199
3/11/2019 RvL S 4,024.70 6,831,415
3/18/2019 RvS O 4,024.11 6,821,475
3/25/2019 RvL S 4,096.58 6,712,984
4/1/2019 RvS O 5,199.84 8,502,625
4/8/2019 RvL S 5,295.08 8,145,490
4/15/2019 RvS O 5,312.49 8,374,318
4/22/2019 RvL S 5,412.85 8,021,833
4/29/2019 RvS O 5,791.69 8,791,138
5/6/2019 RvL S 5,902.93 10,182,649
5/13/2019 RvS O 8,196.92 11,973,055
5/20/2019 RvL S 8,349.35 12,207,401
5/28/2019 RvS O 8,741.75 12,302,629
6/10/2019 RvL S 7,830.31 15,595,486
6/17/2019 RvS O 10,853.74 18,830,874
6/24/2019 RvL S 11,056.20 18,046,272
7/8/2019 RvS O 10,257.84 17,145,206
7/15/2019 RvL S 10,445.80 17,074,584
7/22/2019 RvS O 9,548.18 15,384,715
7/29/2019 RvL S 9,729.59 17,002,139
8/5/2019 RvS O 11,528.19 17,882,352
8/19/2019 RvL S 10,537.21 18,662,251
8/26/2019 RvS O 9,757.47 17,982,509
9/3/2019 RvL S 9,938.49 18,545,200
9/9/2019 RvS O 10,347.22 18,374,698
9/30/2019 RvL S 8,254.11 21,382,412
10/7/2019 RvS O 8,320.83 22,270,204
10/21/2019 RvL S 8,374.19 25,274,184
10/28/2019 RvS O 9,205.73 24,324,581
11/4/2019 Last 9,205.73 24,324,581

Updates

Dec 02 2019

No signal last week (7857.354). The sell signal (above 7284.448) arrived at this weeks open, but this algorithm sells at the next open, so the sell time is next week's open 12:00am GMT on Dec 9th 2019.

 

Update 1/9/20

Doing a bit better than the last update on 12/13/19.

 

Date Transaction Buy/Cover Sell/Short  Asset Value
 $           10,000
23-Oct-2019 Buy 8374.000  $           10,000
4-Nov-2019 Sell 9235.607  $           11,029
4-Nov-2019 Short 9235.607  $           11,029
4-Nov-2019 Cover 9406.209  $           10,825
4-Nov-2019 Buy 9406.209  $           10,825
9-Dec-2019 Sell 7561.795  $             8,703
9-Dec-2019 Short 7561.795  $             8,703
19-Dec-2019 Cover 7284.619  $             9,022
19-Dec-2019 Buy 7284.619  $             9,022
30-Dec-2019 Sell 7420.273  $             9,190
30-Dec-2019 Short 7420.273  $             9,190
6-Jan-2020 Cover 7548.427  $             9,031
6-Jan-2020 Buy 7548.427  $             9,031
9-Jan-2020 Last 7885.000  $             9,433

Bitcoin Signals (BTC-USD ACS AAC OO Weekly)

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