GASX Daily (ACS BCS)

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

Posted in Daily Signals.

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