The Direxion Daily FTSE China Bull (YINN) signals (weekly) shown above 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 Direxion Daily FTSE China Bull (YINN) signals

For the 459 week (8.8 year) period from Nov 30 2009 to Sep 14 2018, these signals for Direxion Daily FTSE China Bull (YINN) traded both long and short would have yielded $25,438,510 in profits from a $10,000 initial investment, an annualized return of 144.3%. Traded long only (no short selling) the signals would have returned $575,345, an annualized return of 59.0%. 61.8% of time was spent holding stock long. The return would have been $4,539 (an annualized return of 4.4%) if you had short sold 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 81 buy signals and 55 sell signals for this particular YINN strategy. These led to 44 round trip long trades of which 31 were profitable, and 44 short trades of which 38 were profitable. This is a weekly strategy where weekly OHLC data is used to derive all signals and there is at most one buy and sell signal and one trade per week.

Drawdown and Reward/Risk

Drawdown (the worst case loss for an single entry and exit into the strategy) was 76% for long-short and 76% for long only. This compares to 86% for buy-hold. The reward/risk for the trading long and short was 1.78 compared to 0.05 for short-hold, a factor of 35.6 improvement. If traded long only, the reward/risk was 0.73. 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.