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

Updates

Previous week: Mon 11/25/2019 to Fri 11/29/2019

Sell or Short immediately if price dips below 87.377 any time during the week [Executed Short at 86.700]
Also Buy or Cover immediately if price dips below 75.013 any time during the week [No signal]
Close any open positions at the open on Mon 2-Dec [Executed Cover at 91.290]

Current week: Mon 12/2/2019 to Fri 12/6/2019

Sell or Short immediately if price dips below 86.105 any time during the week [Active stop Order, wait for signal]
Also Buy or Cover immediately if price dips below 84.463 any time during the week [Active Limit Order, wait for signal]
Close any open positions at the open on Mon 9-Dec [Wait for signal]

Trades since inception

 

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
Posted in Weekly Signals.

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