Square (SQ) Signals-Daily

These Square (SQ) signals traded as directed would have performed around 2.9 times better than buy-hold with an ROI of 2039% for the period 22-Aug-16 to 25-Sep-18

SQ Signals

The trading signals for Square (SQ) 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.

Returns for the Square (SQ) signals

For the 528 day (2.1 year) period from Aug 22 2016 to Sep 25 2018, these signals for Square (SQ) traded both long and short would have yielded $203,931 in profits from a $10,000 initial investment, an annualized return of 332.5%. Traded long only (no short selling) the signals would have returned $124,566, an annualized return of 246.5%. 87.6% of time was spent holding stock long. The return would have been $70,942 (an annualized return of 171.8%) if you had bought and held the stock for the same period.

Signals and Trades

Not all signals are acted upon and signals are often reinforced in this type of strategy. If you are long in the security, buy signals are not acted on, for example. Similarly if you are short you must ignore sell signals. There were 485 buy signals and 57 sell signals for this particular SQ strategy .These led to 43 round trip long trades of which 36 were profitable, and 43 short trades of which 25 were profitable. This is a daily strategy; daily OHLC data is used to derive all signals and there is at most one buy and sell signal and one trade per day.

Drawdown and Reward/Risk

Drawdown (the worst case loss for an single entry and exit into the strategy) was 13% for long-short and 13% for long only. This compares to 30% for buy-hold. The reward/risk for the trading long and short was 18.86 compared to 4.94 for buy-hold, a factor of 3.8 improvement. If traded long only, the reward/risk was 13.98. 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.

Click here to see the list of Trades

Day of signal Buy or Sell Price L&S Value Next Open
8/22/2016 Buy 11.78 10,484
8/23/2016 Sell 12.40 10,512
8/24/2016 Buy 12.16 10,719
11/2/2016 Sell 11.69 10,274
11/3/2016 Buy 11.99 9,971
11/14/2016 Sell 12.32 10,258
11/15/2016 Buy 12.03 10,459
12/7/2016 Sell 14.12 12,293
12/8/2016 Buy 13.94 12,471
2/23/2017 Sell 16.95 15,106
3/1/2017 Buy 17.22 14,835
3/28/2017 Sell 17.22 14,838
3/29/2017 Buy 17.22 14,850
5/4/2017 Sell 19.75 16,988
5/5/2017 Buy 19.78 16,905
5/23/2017 Sell 21.64 18,528
5/24/2017 Buy 21.92 18,316
6/13/2017 Sell 23.59 19,652
6/14/2017 Buy 23.47 19,444
7/11/2017 Sell 25.61 21,524
7/13/2017 Buy 25.98 21,240
9/14/2017 Sell 28.23 23,021
9/15/2017 Buy 28.50 22,859
10/26/2017 Sell 34.69 27,722
10/27/2017 Buy 35.20 27,766
10/31/2017 Sell 37.48 29,055
11/2/2017 Buy 36.07 30,267
11/10/2017 Sell 39.13 32,676
11/14/2017 Buy 39.74 33,293
11/17/2017 Sell 44.99 36,386
11/27/2017 Buy 41.02 38,493
11/28/2017 Sell 43.20 41,673
11/29/2017 Buy 39.13 45,748
11/30/2017 Sell 39.34 45,815
12/1/2017 Buy 38.22 47,340
12/6/2017 Sell 39.33 48,454
12/7/2017 Buy 38.73 50,290
1/3/2018 Sell 38.30 48,613
1/4/2018 Buy 38.10 49,224
1/5/2018 Sell 41.00 52,557
1/10/2018 Buy 40.84 52,994
1/11/2018 Sell 42.37 54,710
1/12/2018 Buy 41.25 56,006
1/22/2018 Sell 45.06 61,314
1/24/2018 Buy 44.32 63,024
1/31/2018 Sell 45.75 64,303
2/1/2018 Buy 44.45 65,298
2/7/2018 Sell 42.85 63,723
2/8/2018 Buy 39.50 69,508
2/12/2018 Sell 39.85 69,285
2/13/2018 Buy 42.11 64,876
2/15/2018 Sell 44.03 68,307
2/16/2018 Buy 44.11 68,864
3/5/2018 Sell 49.55 76,562
3/6/2018 Buy 49.60 75,083
3/7/2018 Sell 50.72 78,183
3/13/2018 Buy 51.83 78,479
3/14/2018 Sell 55.10 81,268
3/15/2018 Buy 54.84 81,161
3/20/2018 Sell 57.81 86,045
3/22/2018 Buy 55.16 88,181
3/27/2018 Sell 50.40 82,197
3/28/2018 Buy 47.39 87,937
3/29/2018 Sell 48.88 89,816
4/2/2018 Buy 47.68 93,975
4/5/2018 Sell 47.50 91,646
4/6/2018 Buy 45.87 95,314
4/18/2018 Sell 51.13 105,631
4/19/2018 Buy 50.63 107,198
4/26/2018 Sell 48.00 101,096
4/27/2018 Buy 47.57 102,266
5/8/2018 Sell 53.15 113,937
5/11/2018 Buy 54.73 111,182
5/21/2018 Sell 56.40 113,895
5/22/2018 Buy 54.63 116,466
6/12/2018 Sell 62.25 133,824
6/13/2018 Buy 62.50 134,765
6/20/2018 Sell 68.78 146,650
6/21/2018 Buy 67.10 152,613
8/2/2018 Sell 72.10 161,397
8/3/2018 Buy 68.36 172,860
8/13/2018 Sell 73.67 182,928
8/14/2018 Buy 74.97 178,535
8/29/2018 Sell 85.72 205,437
9/6/2018 Buy 88.54 196,690
9/25/2018 Sell 95.35 213,931
9/26/2018 Last 95.35 213,931

 

Posted in Daily Signals and tagged , , .

Leave a Reply

Your email address will not be published.

*