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

Bitcoin Signals (BTC-USD 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

Gush signals parameter surface

GUSH Signals Weekly (BCS BOS OO)

These Direxion Daily S&P Oil & Gas Ex (GUSH) signals traded as directed would have performed around 27.7 times better than short-hold with an ROI of 2639% for the period 02-Nov-15 to 25-Oct-19

GUSH Signals Performance

GUSH Signals

The trading signals for Direxion Daily S&P Oil & Gas Ex (GUSH) 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 Direxion Daily S&P Oil & Gas Ex (GUSH) signals

For the 208 week (4.0 year) period from Nov 2 2015 to Oct 25 2019, these signals for Direxion Daily S&P Oil & Gas Ex (GUSH) traded both long and short would have yielded $263,892 in profits from a $10,000 initial investment, an annualized return of 130.2%. 73% of the weeks was spent in the market. The return would have been $9,524 (an annualized return of 18.4%) if you had shorted the stock 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 and one sell signal per week. Each week there can be zero, one or two signals and all open positions are closed at the subsequent weekly open.  There were 123 buy signals and 147 sell signals for this particular GUSH strategy which in turn led to 152 trades of which 115 were profitable.

Drawdown and Reward/Risk

Drawdown (the worst case loss for an single entry and exit into the strategy) was 22%. This compares to 43% for short-hold. The reward/risk for the trading long and short was 4.89 compared to 0.38 for short-hold, a factor of 12.8 improvement.  We use drawdown plus 5% as our risk metric, and annualized return as the reward metric. Note that the strategy was chosen for peak reward/risk rather than peak annualized return (which was 204% for $817,831 return over the period for buy-point 7.47% and sell-point 0.57%).

The backtests assume a commission per trade of $7. Returns have been adjusted for the worst case effects of 6 dividends.

Trade List

Click to see trades

Week of signal Buy or Sell Price L&S Value Next Open
11/9/2015 C/B S 71.80 10,601
11/9/2015 S/Sh S 76.36 10,601
11/16/2015 Sht S 62.52 10,702
11/16/2015 Cov o 61.85 10,702
11/30/2015 C/B S 59.91 11,144
11/30/2015 S/Sh S 62.52 11,144
12/7/2015 C/B S 47.40 10,646
12/7/2015 S/Sh S 45.39 10,646
12/14/2015 C/B S 35.67 10,717
12/14/2015 S/Sh S 35.95 10,717
12/21/2015 C/B S 28.01 10,953
12/21/2015 S/Sh S 28.68 10,953
12/28/2015 C/B S 33.45 10,834
12/28/2015 S/Sh S 33.13 10,834
1/4/2016 C/B S 30.67 11,353
1/4/2016 S/Sh S 32.22 11,353
1/11/2016 C/B S 22.86 11,859
1/11/2016 S/Sh S 23.94 11,859
1/18/2016 C/B S 17.07 12,474
1/18/2016 S/Sh S 18.00 12,474
1/25/2016 C/B S 18.85 11,918
1/25/2016 S/Sh S 18.05 11,918
2/1/2016 C/B S 23.00 11,387
2/1/2016 S/Sh S 22.02 11,387
2/8/2016 C/B S 17.86 11,126
2/8/2016 S/Sh S 17.47 11,126
2/15/2016 C/B S 14.30 12,157
2/15/2016 S/Sh S 15.70 12,157
2/22/2016 C/B S 13.05 13,634
2/22/2016 S/Sh S 14.75 13,634
2/29/2016 C/B S 14.11 14,396
2/29/2016 S/Sh S 14.94 14,396
3/7/2016 C/B S 22.25 15,023
3/7/2016 S/Sh S 23.27 15,023
3/14/2016 C/B S 23.30 14,356
3/14/2016 S/Sh S 22.31 14,356
3/21/2016 C/B S 26.09 14,577
3/21/2016 S/Sh S 26.52 14,577
3/28/2016 C/B S 23.24 15,067
3/28/2016 S/Sh S 24.06 15,067
4/4/2016 C/B S 23.31 15,269
4/4/2016 S/Sh S 23.65 15,269
4/18/2016 Buy S 28.01 22,216
4/18/2016 Sell o 40.78 22,216
4/25/2016 C/B S 37.76 22,951
4/25/2016 S/Sh S 39.05 22,951
5/2/2016 C/B S 38.54 23,358
5/2/2016 S/Sh S 39.26 23,358
5/9/2016 C/B S 31.00 23,331
5/9/2016 S/Sh S 30.98 23,331
5/16/2016 Sht S 35.03 23,384
5/16/2016 Cov o 34.93 23,384
6/6/2016 Sht S 39.92 25,117
6/6/2016 Cov o 36.94 25,117
6/13/2016 C/B S 35.54 24,978
6/13/2016 S/Sh S 35.37 24,978
6/20/2016 Sht S 38.33 27,006
6/20/2016 Cov o 35.20 27,006
6/27/2016 C/B S 33.38 27,249
6/27/2016 S/Sh S 33.70 27,249
7/4/2016 C/B S 35.22 26,266
7/4/2016 S/Sh S 33.99 26,266
7/18/2016 C/B S 32.89 26,374
7/18/2016 S/Sh S 33.04 26,374
7/25/2016 C/B S 30.97 26,360
7/25/2016 S/Sh S 30.97 26,360
8/1/2016 C/B S 30.95 26,350
8/1/2016 S/Sh S 30.95 26,350
8/8/2016 Sht S 35.32 23,254
8/8/2016 Cov o 39.46 23,254
8/22/2016 Buy S 40.26 24,028
8/22/2016 Sell o 41.62 24,028
8/29/2016 C/B S 38.93 24,575
8/29/2016 S/Sh S 39.85 24,575
9/12/2016 C/B S 40.43 24,473
9/12/2016 S/Sh S 40.28 24,473
9/19/2016 Sht S 37.68 23,762
9/19/2016 Cov o 38.75 23,762
9/26/2016 C/B S 34.96 25,164
9/26/2016 S/Sh S 37.10 25,164
10/3/2016 Sht S 43.23 23,562
10/3/2016 Cov o 45.96 23,562
10/10/2016 Sht S 44.01 24,708
10/10/2016 Cov o 41.84 24,708
10/24/2016 C/B S 39.45 25,545
10/24/2016 S/Sh S 40.83 25,545
10/31/2016 C/B S 34.22 25,969
10/31/2016 S/Sh S 34.81 25,969
11/28/2016 C/B S 44.05 27,509
11/28/2016 S/Sh S 46.76 27,509
12/5/2016 Sht S 55.09 21,552
12/5/2016 Cov o 67.00 21,552
12/12/2016 C/B S 54.90 24,906
12/12/2016 S/Sh S 64.15 24,906
12/26/2016 Sht S 52.43 24,670
12/26/2016 Cov o 52.90 24,670
1/3/2017 Sht S 50.65 24,674
1/3/2017 Cov o 50.62 24,674
1/9/2017 C/B S 47.92 24,938
1/9/2017 S/Sh S 48.46 24,938
1/30/2017 C/B S 46.08 25,299
1/30/2017 S/Sh S 46.78 25,299
2/6/2017 C/B S 43.81 25,960
2/6/2017 S/Sh S 44.99 25,960
2/13/2017 C/B S 42.62 26,365
2/13/2017 S/Sh S 43.32 26,365
2/21/2017 C/B S 39.35 28,138
2/21/2017 S/Sh S 42.11 28,138
3/6/2017 C/B S 34.65 29,015
3/6/2017 S/Sh S 35.77 29,015
3/13/2017 C/B S 29.88 29,926
3/13/2017 S/Sh S 30.85 29,926
3/20/2017 C/B S 30.81 30,092
3/20/2017 S/Sh S 31.00 30,092
4/3/2017 Sht S 34.23 28,677
4/3/2017 Cov o 35.83 28,677
4/10/2017 C/B S 32.51 30,206
4/10/2017 S/Sh S 34.30 30,206
4/17/2017 C/B S 30.07 31,512
4/17/2017 S/Sh S 31.41 31,512
4/24/2017 Sht S 29.04 31,950
4/24/2017 Cov o 28.62 31,950
5/1/2017 C/B S 26.69 32,784
5/1/2017 S/Sh S 27.40 32,784
5/15/2017 C/B S 27.04 36,361
5/15/2017 S/Sh S 30.16 36,361
5/22/2017 C/B S 27.46 38,259
5/22/2017 S/Sh S 28.95 38,259
5/30/2017 C/B S 23.92 38,534
5/30/2017 S/Sh S 24.10 38,534
6/5/2017 C/B S 20.52 39,137
6/5/2017 S/Sh S 20.85 39,137
6/12/2017 C/B S 20.77 41,884
6/12/2017 S/Sh S 22.29 41,884
6/19/2017 C/B S 18.92 43,751
6/19/2017 S/Sh S 19.79 43,751
7/3/2017 C/B S 19.27 46,314
7/3/2017 S/Sh S 20.44 46,314
7/17/2017 Sht S 19.56 44,245
7/17/2017 Cov o 20.43 44,245
7/31/2017 C/B S 20.56 45,304
7/31/2017 S/Sh S 21.07 45,304
8/7/2017 C/B S 17.65 45,903
8/7/2017 S/Sh S 17.89 45,903
8/14/2017 C/B S 16.26 47,668
8/14/2017 S/Sh S 16.90 47,668
8/28/2017 C/B S 15.10 49,721
8/28/2017 S/Sh S 15.77 49,721
9/5/2017 C/B S 16.40 52,711
9/5/2017 S/Sh S 17.42 52,711
10/2/2017 Buy S 22.50 54,633
10/2/2017 Sell o 23.33 54,633
10/9/2017 Sht S 22.34 51,486
10/9/2017 Cov o 23.62 51,486
10/16/2017 Sht S 22.62 51,463
10/16/2017 Cov o 22.62 51,463
10/23/2017 C/B S 20.87 53,346
10/23/2017 S/Sh S 21.66 53,346
10/30/2017 Buy S 20.22 71,402
10/30/2017 Sell o 27.07 71,402
11/13/2017 C/B S 27.02 73,708
11/13/2017 S/Sh S 27.91 73,708
11/20/2017 Sht S 23.87 67,274
11/20/2017 Cov o 25.95 67,274
11/27/2017 C/B S 24.30 68,762
11/27/2017 S/Sh S 24.85 68,762
12/4/2017 C/B S 26.53 70,280
12/4/2017 S/Sh S 27.13 70,280
12/11/2017 C/B S 23.91 72,833
12/11/2017 S/Sh S 24.80 72,833
1/16/2018 C/B S 33.83 75,669
1/16/2018 S/Sh S 35.18 75,669
1/29/2018 C/B S 31.86 76,171
1/29/2018 S/Sh S 32.08 76,171
2/5/2018 C/B S 23.76 76,168
2/5/2018 S/Sh S 23.77 76,168
2/20/2018 C/B S 20.26 79,142
2/20/2018 S/Sh S 21.07 79,142
2/26/2018 C/B S 21.46 82,380
2/26/2018 S/Sh S 22.36 82,380
3/12/2018 C/B S 21.49 83,969
3/12/2018 S/Sh S 21.91 83,969
3/19/2018 C/B S 20.90 85,478
3/19/2018 S/Sh S 21.29 85,478
3/26/2018 Sht S 22.54 82,732
3/26/2018 Cov o 23.26 82,732
4/2/2018 C/B S 22.06 83,511
4/2/2018 S/Sh S 22.27 83,511
5/7/2018 Sht S 32.56 70,069
5/7/2018 Cov o 37.79 70,069
5/21/2018 C/B S 39.30 73,971
5/21/2018 S/Sh S 41.56 73,971
6/4/2018 C/B S 36.06 77,413
6/4/2018 S/Sh S 37.78 77,413
6/11/2018 C/B S 35.56 78,603
6/11/2018 S/Sh S 36.12 78,603
6/25/2018 C/B S 36.64 80,840
6/25/2018 S/Sh S 37.71 80,840
7/2/2018 C/B S 37.58 81,576
7/2/2018 S/Sh S 37.93 81,576
7/9/2018 Sht S 40.75 85,308
7/9/2018 Cov o 38.88 85,308
7/16/2018 C/B S 37.63 84,372
7/16/2018 S/Sh S 37.23 84,372
7/30/2018 Sht S 37.66 83,996
7/30/2018 Cov o 37.82 83,996
8/6/2018 Sht S 36.21 84,939
8/6/2018 Cov o 35.80 84,939
8/13/2018 C/B S 33.54 86,770
8/13/2018 S/Sh S 34.28 86,770
8/27/2018 Sht S 35.43 80,211
8/27/2018 Cov o 38.10 80,211
9/4/2018 C/B S 34.59 84,473
9/4/2018 S/Sh S 36.48 84,473
10/8/2018 C/B S 37.35 85,100
10/8/2018 S/Sh S 37.63 85,100
10/15/2018 C/B S 31.03 89,032
10/15/2018 S/Sh S 32.51 89,032
10/22/2018 C/B S 28.36 91,773
10/22/2018 S/Sh S 29.25 91,773
10/29/2018 C/B S 20.10 96,242
10/29/2018 S/Sh S 21.10 96,242
11/5/2018 C/B S 20.31 104,025
11/5/2018 S/Sh S 22.02 104,025
11/12/2018 C/B S 20.59 110,660
11/12/2018 S/Sh S 21.95 110,660
11/19/2018 C/B S 17.72 110,730
11/19/2018 S/Sh S 17.73 110,730
11/26/2018 Sht S 15.40 97,890
11/26/2018 Cov o 17.18 97,890
12/3/2018 C/B S 14.60 109,573
12/3/2018 S/Sh S 16.45 109,573
12/10/2018 C/B S 12.86 109,047
12/10/2018 S/Sh S 12.80 109,047
12/17/2018 C/B S 9.93 112,152
12/17/2018 S/Sh S 10.22 112,152
12/24/2018 C/B S 6.53 111,767
12/24/2018 S/Sh S 6.51 111,767
12/31/2018 C/B S 7.09 119,876
12/31/2018 S/Sh S 7.62 119,876
1/22/2019 C/B S 11.92 119,314
1/22/2019 S/Sh S 11.86 119,314
1/28/2019 Buy S 10.68 127,255
1/28/2019 Sell o 11.39 127,255
2/4/2019 C/B S 10.78 128,722
2/4/2019 S/Sh S 10.91 128,722
2/19/2019 C/B S 10.94 130,137
2/19/2019 S/Sh S 11.06 130,137
2/25/2019 C/B S 10.49 131,439
2/25/2019 S/Sh S 10.60 131,439
3/4/2019 C/B S 10.22 139,678
3/4/2019 S/Sh S 10.89 139,678
4/1/2019 C/B S 10.28 149,268
4/1/2019 S/Sh S 11.01 149,268
4/8/2019 Sht S 11.86 138,980
4/8/2019 Cov o 12.68 138,980
4/15/2019 Sht S 12.14 131,997
4/15/2019 Cov o 12.75 131,997
4/22/2019 C/B S 11.20 143,418
4/22/2019 S/Sh S 12.21 143,418
4/29/2019 C/B S 10.59 148,186
4/29/2019 S/Sh S 10.95 148,186
5/13/2019 C/B S 9.01 150,011
5/13/2019 S/Sh S 9.12 150,011
5/20/2019 C/B S 8.66 154,325
5/20/2019 S/Sh S 8.91 154,325
5/28/2019 C/B S 6.60 162,169
5/28/2019 S/Sh S 6.94 162,169
6/3/2019 Sht S 5.89 153,856
6/3/2019 Cov o 6.19 153,856
6/10/2019 C/B S 5.64 161,361
6/10/2019 S/Sh S 5.93 161,361
6/24/2019 C/B S 6.16 168,075
6/24/2019 S/Sh S 6.42 168,075
7/1/2019 C/B S 6.51 185,821
7/1/2019 S/Sh S 7.24 185,821
7/8/2019 C/B S 5.94 190,126
7/8/2019 S/Sh S 6.08 190,126
7/15/2019 C/B S 6.02 198,941
7/15/2019 S/Sh S 6.31 198,941
7/22/2019 C/B S 4.79 208,026
7/22/2019 S/Sh S 5.02 208,026
7/29/2019 C/B S 4.44 215,995
7/29/2019 S/Sh S 4.62 215,995
8/5/2019 C/B S 3.83 206,598
8/5/2019 S/Sh S 3.67 206,598
8/12/2019 C/B S 3.35 212,507
8/12/2019 S/Sh S 3.45 212,507
8/19/2019 C/B S 2.96 230,784
8/19/2019 S/Sh S 3.23 230,784
8/26/2019 Sht S 2.90 230,072
8/26/2019 Cov o 2.91 230,072
9/3/2019 C/B S 2.91 220,063
9/3/2019 S/Sh S 2.79 220,063
9/16/2019 Sht S 4.79 258,085
9/16/2019 Cov o 3.96 258,085
9/23/2019 C/B S 3.69 264,952
9/23/2019 S/Sh S 3.79 264,952
9/30/2019 C/B S 3.12 268,440
9/30/2019 S/Sh S 3.16 268,440
10/7/2019 C/B S 2.61 278,561
10/7/2019 S/Sh S 2.71 278,561
10/14/2019 C/B S 2.61 273,892
10/14/2019 S/Sh S 2.57 273,892
10/28/2019 C/B S 2.80 273,892
10/28/2019 S/Sh S 2.96 273,892

NUGT Signals Weekly (BYS BAS OO)

These Direxion Daily Gold Miners Inde (NUGT) signals traded as directed would have performed only around 0.7 times as well as buy-hold with an ROI of 56% for the period 22-Oct-18 to 18-Oct-19. However the reward/risk was twice as good as buy-hold because drawdown was only 8% compared with 34% for buy-hold. Furthermore the capital was in the market for about a third of the time of buy-hold so efficiency (=return/%time in mkt) was around 159% for the year, meaning that return would have been 159% if the capital could have been invested for the whole period at the same rate.

The trading signals for Direxion Daily Gold Miners Inde (NUGT) 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 Direxion Daily Gold Miners Inde (NUGT) signals

For the 52 week (1.0 year) period from Oct 22 2018 to Oct 18 2019, these signals for Direxion Daily Gold Miners Inde (NUGT) traded both long and short would have yielded $5,649 in profits from a $10,000 initial investment, an annualized return of 58.1%. Traded long only (no short selling)  the signals would have returned $4,169, an annualized return of 42.8%. 10.6% of time was spent holding stock long. The return would have been $8,360 (an annualized return of 86.1%)  if you had bought and held the stock 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 and one sell signal per week. The strategy detailed has cover/buy and sell/short signals, which often result in a buy and sell each week or short and cover, but any open positions must be closed out at the following open. For the 52 week period here, positions were only held for 37% of the weeks, leaving capital free to be used for other purposes for the remainder.

Drawdown and Reward/Risk

Drawdown (the worst case loss for an single entry and exit into the strategy) was 8%. This compares to 35% for buy-hold. The reward/risk for the trading long and short was 4.42 compared to 2.17 for buy-hold, a factor of  2.0 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 $7. Returns have been adjusted for the worst case effects of 3 dividends.

Trade List

Click to see trades

Week of signal Buy or Sell Price L&S Value Next Open
10/29/2018 Buy 13.08 10,353
10/29/2018 Sell 13.57 10,353
11/12/2018 Buy 11.80 11,122
11/12/2018 Sell 12.73 11,122
11/26/2018 Buy 13.91 10,215
11/26/2018 Sell 12.88 10,215
1/14/2019 Buy 15.55 10,388
1/14/2019 Sell 15.84 10,388
2/25/2019 Buy 18.10 11,559
2/25/2019 Sell 20.43 11,559
3/4/2019 Buy 18.10 11,545
3/4/2019 Sell 18.10 11,545
4/1/2019 Buy 20.52 10,688
4/1/2019 Sell 19.12 10,688
4/15/2019 Buy 16.90 11,429
4/15/2019 Sell 18.14 11,429
4/22/2019 Buy 16.51 11,248
4/22/2019 Sell 16.27 11,248
4/29/2019 Buy 14.06 11,761
4/29/2019 Sell 14.74 11,761
7/1/2019 Buy 26.74 10,984
7/1/2019 Sell 25.11 10,984
7/29/2019 Buy 29.17 11,748
7/29/2019 Sell 31.31 11,748
8/12/2019 Buy 33.02 12,450
8/12/2019 Sell 35.16 12,450
8/19/2019 Buy 33.02 12,436
8/19/2019 Sell 33.02 12,436
9/3/2019 Buy 35.30 13,284
9/3/2019 Sell 37.93 13,284
9/9/2019 Buy 34.80 13,459
9/9/2019 Sell 35.30 13,459
9/16/2019 Buy 29.08 16,347
9/16/2019 Sell 35.35 16,347
9/30/2019 Buy 28.60 16,333
9/30/2019 Sell 28.60 16,333
10/14/2019 Buy 29.00 15,649
10/14/2019 Sell 27.86 15,649

8 year performance

For completeness, below is the 8 year performance for the same algorithm. This would have averaged 60% annualized return a year which translates to $412,966 for a $10,000 outlay. Short-hold would have returned $9,977 (9.1% annualized return) over the period with a drawdown of 17.9% and efficiency 122% (weeks in mkt=49%).

 

Update Oct 28th 2019

TQQQ Signals Weekly (ASS BAS OO)

These ProShares UltraPro QQQ (TQQQ) signals traded as directed would have performed around 2.8 times better than buy-hold with an ROI of 549% for the period 24-Oct-16 to 18-Oct-19 with relatively low drawdown.

The algorithm is a little unusual, the buy point is usually above the sell point, which means that they act as defensive stops for each other, however hitting both buy and sell point in the same week only happened 20 times in the last 3 years and generally the position has been closed out at the following week open, at a profit.

"The trading signals for ProShares UltraPro QQQ (TQQQ) 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 ProShares UltraPro QQQ (TQQQ) signals

For the 156 week (3.0 year) period from Oct 24 2016 to Oct 18 2019, these signals for ProShares UltraPro QQQ (TQQQ) traded both long and short would have yielded $54,918 in profits from a $10,000 initial investment, an annualized return of 87.6%. Traded long only (no short selling) the signals would have returned $46,325, an annualized return of 78.9%. 67.9% of time was spent holding stock long. The return would have been $19,792 (an annualized return of 44.4%) if you had bought and held the stock 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 and one sell signal per week. For this algorithm, all open positions must be exited at the start of the week. There were 116 buy signals and 47 sell signals for this particular TQQQ strategy which in turn led to 96 round trip long trades of which 72 were profitable, and 27 short trades of which 19 were profitable.

Drawdown and Reward/Risk

Drawdown (the worst case loss for an single entry and exit into the strategy) was 17% for long-short and 9% for long only. This compares to 56% for buy-hold. The reward/risk for the trading long and short was 4.02 compared to 0.73 for buy-hold, a factor of 5.5 improvement. If traded long only, the reward/risk was 5.56. 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 the worst case effects of 2 dividends. "

Trade List

Click to see trades

Week of signal Buy or Sell Price Long Value Next Open Short Value Next Open L&S Value Next Open
10/31/2016 Buy 19.63 10,000 10,203 10,203
10/31/2016 Sell 20.07 10,000 10,203 10,203
11/7/2016 Buy 20.28 9,740 10,203 9,938
11/7/2016 Sell 19.78 9,740 10,203 9,938
11/14/2016 Buy 19.99 9,496 9,935 9,428
11/14/2016 Sell 19.02 9,496 9,935 9,428
11/21/2016 Buy 20.65 9,724 9,935 9,655
11/21/2016 Sell 21.18 9,724 9,935 9,655
11/28/2016 Buy 21.40 9,404 9,586 8,997
11/28/2016 Sell 20.02 9,404 9,586 8,997
12/5/2016 Buy 20.23 9,878 9,586 9,450
12/5/2016 Sell 21.29 9,878 9,586 9,450
12/12/2016 Buy 21.51 10,046 9,586 9,610
12/12/2016 Sell 21.91 10,046 9,586 9,610
12/19/2016 Buy 22.14 10,089 9,586 9,651
12/19/2016 Sell 22.27 10,089 9,586 9,651
12/26/2016 Buy 22.50 9,756 9,247 8,990
12/26/2016 Sell 21.04 9,756 9,247 8,990
1/3/2017 Buy 21.60 10,421 9,247 9,602
1/3/2017 Sell 23.11 10,421 9,247 9,602
1/9/2017 Buy 23.35 10,488 9,247 9,662
1/9/2017 Sell 23.53 10,488 9,247 9,662
1/17/2017 Buy 23.78 10,437 9,247 9,615
1/17/2017 Sell 23.70 10,437 9,247 9,615
1/23/2017 Buy 23.95 10,876 9,247 10,017
1/23/2017 Sell 24.99 10,876 9,247 10,017
2/6/2017 Buy 25.25 11,369 9,247 10,471
2/6/2017 Sell 26.43 11,369 9,247 10,471
2/13/2017 Buy 26.71 11,848 9,247 10,911
2/13/2017 Sell 27.87 11,848 9,247 10,911
2/21/2017 Buy 28.17 11,689 9,247 10,763
2/21/2017 Sell 27.82 11,689 9,247 10,763
2/27/2017 Buy 28.12 11,676 9,247 10,750
2/27/2017 Sell 28.12 11,676 9,247 10,750
3/6/2017 Buy 28.42 11,738 9,247 10,806
3/6/2017 Sell 28.60 11,738 9,247 10,806
3/13/2017 Buy 28.91 11,760 9,247 10,825
3/13/2017 Sell 29.00 11,760 9,247 10,825
3/20/2017 Buy 29.30 11,096 9,247 10,213
3/20/2017 Sell 27.68 11,096 9,247 10,213
3/27/2017 Buy 27.98 11,682 9,247 10,751
3/27/2017 Sell 29.49 11,682 9,247 10,751
4/3/2017 Buy 29.80 11,442 9,247 10,530
4/3/2017 Sell 29.23 11,442 9,247 10,530
4/17/2017 Buy 29.54 11,769 9,247 10,829
4/17/2017 Sell 30.42 11,769 9,247 10,829
4/24/2017 Buy 30.74 12,264 9,247 11,284
4/24/2017 Sell 32.07 12,264 9,247 11,284
5/1/2017 Buy 32.41 12,429 9,247 11,434
5/1/2017 Sell 32.88 12,429 9,247 11,434
5/8/2017 Buy 33.23 12,559 9,247 11,553
5/8/2017 Sell 33.62 12,559 9,247 11,553
5/15/2017 Buy 33.97 12,242 9,247 11,260
5/15/2017 Sell 33.15 12,242 9,247 11,260
5/22/2017 Buy 33.50 12,882 9,247 11,847
5/22/2017 Sell 35.29 12,882 9,247 11,847
5/30/2017 Buy 35.67 13,358 9,247 12,284
5/30/2017 Sell 37.03 13,358 9,247 12,284
6/5/2017 Buy 33.47 13,358 9,427 12,528
6/5/2017 Sell 34.19 13,358 9,427 12,528
6/12/2017 Buy 34.55 13,126 9,255 12,084
6/12/2017 Sell 33.38 13,126 9,255 12,084
6/19/2017 Buy 34.19 13,810 9,255 12,713
6/19/2017 Sell 36.01 13,810 9,255 12,713
6/26/2017 Buy 33.13 13,810 9,223 12,674
6/26/2017 Sell 33.07 13,810 9,223 12,674
7/3/2017 Buy 32.78 13,810 9,058 12,453
7/3/2017 Sell 32.25 13,810 9,058 12,453
7/10/2017 Buy 32.78 15,144 9,058 13,654
7/10/2017 Sell 35.98 15,144 9,058 13,654
7/17/2017 Buy 36.36 15,537 9,058 14,007
7/17/2017 Sell 37.34 15,537 9,058 14,007
7/24/2017 Buy 37.74 15,396 9,058 13,878
7/24/2017 Sell 37.43 15,396 9,058 13,878
8/7/2017 Buy 37.83 14,823 8,692 12,803
8/7/2017 Sell 35.04 14,823 8,692 12,803
8/14/2017 Buy 36.48 14,460 8,466 12,159
8/14/2017 Sell 34.73 14,460 8,466 12,159
8/21/2017 Buy 35.10 14,301 8,368 11,886
8/21/2017 Sell 34.36 14,301 8,368 11,886
8/28/2017 Buy 35.73 15,232 8,368 12,658
8/28/2017 Sell 38.10 15,232 8,368 12,658
9/11/2017 Buy 38.50 15,232 8,368 12,655
9/11/2017 Sell 38.54 15,232 8,368 12,655
9/25/2017 Buy 38.28 15,232 7,830 11,850
9/25/2017 Sell 36.03 15,232 7,830 11,850
10/2/2017 Buy 38.28 15,889 7,830 12,358
10/2/2017 Sell 39.97 15,889 7,830 12,358
10/9/2017 Buy 40.39 15,976 7,830 12,422
10/9/2017 Sell 40.65 15,976 7,830 12,422
10/23/2017 Buy 41.08 16,497 7,830 12,824
10/23/2017 Sell 42.45 16,497 7,830 12,824
10/30/2017 Buy 42.90 16,967 7,830 13,186
10/30/2017 Sell 44.16 16,967 7,830 13,186
11/6/2017 Buy 44.63 16,756 7,830 13,019
11/6/2017 Sell 44.11 16,756 7,830 13,019
11/13/2017 Buy 44.58 16,829 7,830 13,073
11/13/2017 Sell 44.81 16,829 7,830 13,073
11/20/2017 Buy 45.29 17,334 7,830 13,461
11/20/2017 Sell 46.68 17,334 7,830 13,461
11/27/2017 Buy 45.97 17,334 7,342 12,632
11/27/2017 Sell 43.34 17,334 7,342 12,632
12/4/2017 Buy 45.97 17,055 7,342 12,424
12/4/2017 Sell 45.27 17,055 7,342 12,424
12/11/2017 Buy 45.75 18,129 7,342 13,203
12/11/2017 Sell 48.67 18,129 7,342 13,203
1/2/2018 Buy 49.19 19,094 7,342 13,902
1/2/2018 Sell 51.84 19,094 7,342 13,902
1/8/2018 Buy 52.39 20,161 7,342 14,675
1/8/2018 Sell 55.36 20,161 7,342 14,675
1/16/2018 Buy 55.95 20,163 7,342 14,673
1/16/2018 Sell 55.99 20,163 7,342 14,673
1/22/2018 Buy 56.59 21,473 7,342 15,622
1/22/2018 Sell 60.30 21,473 7,342 15,622
1/29/2018 Buy 52.58 21,473 7,695 16,390
1/29/2018 Sell 55.36 21,473 7,695 16,390
2/5/2018 Buy 46.93 21,473 8,508 18,139
2/5/2018 Sell 52.58 21,473 8,508 18,139
2/12/2018 Buy 53.14 21,324 8,508 18,011
2/12/2018 Sell 52.81 21,324 8,508 18,011
2/20/2018 Buy 53.37 22,870 8,508 19,314
2/20/2018 Sell 57.27 22,870 8,508 19,314
2/26/2018 Buy 57.88 21,676 8,009 17,180
2/26/2018 Sell 51.87 21,676 8,009 17,180
3/5/2018 Buy 53.43 25,070 8,009 19,867
3/5/2018 Sell 61.83 25,070 8,009 19,867
3/12/2018 Buy 62.49 23,054 8,009 18,266
3/12/2018 Sell 57.50 23,054 8,009 18,266
3/19/2018 Buy 49.67 23,054 9,085 20,739
3/19/2018 Sell 57.50 23,054 9,085 20,739
3/26/2018 Buy 46.84 23,054 9,568 21,860
3/26/2018 Sell 49.55 23,054 9,568 21,860
4/2/2018 Buy 45.65 23,054 9,706 22,194
4/2/2018 Sell 46.38 23,054 9,706 22,194
4/9/2018 Buy 46.88 24,317 9,706 23,409
4/9/2018 Sell 49.47 24,317 9,706 23,409
4/16/2018 Buy 50.00 24,233 9,706 23,328
4/16/2018 Sell 49.85 24,233 9,706 23,328
4/23/2018 Buy 50.38 23,792 9,519 22,462
4/23/2018 Sell 48.58 23,792 9,519 22,462
4/30/2018 Buy 49.14 25,141 9,519 23,735
4/30/2018 Sell 51.95 25,141 9,519 23,735
5/7/2018 Buy 52.50 26,729 9,519 25,233
5/7/2018 Sell 55.85 26,729 9,519 25,233
5/14/2018 Buy 56.44 25,877 9,519 24,429
5/14/2018 Sell 54.67 25,877 9,519 24,429
5/21/2018 Buy 55.25 25,647 9,519 24,210
5/21/2018 Sell 54.79 25,647 9,519 24,210
5/29/2018 Buy 55.37 27,267 9,519 25,739
5/29/2018 Sell 58.90 27,267 9,519 25,739
6/4/2018 Buy 59.52 27,466 9,519 25,926
6/4/2018 Sell 59.99 27,466 9,519 25,926
6/11/2018 Buy 60.63 27,848 9,519 26,286
6/11/2018 Sell 61.50 27,848 9,519 26,286
6/18/2018 Buy 62.15 26,700 9,519 25,202
6/18/2018 Sell 59.62 26,700 9,519 25,202
6/25/2018 Buy 55.66 26,700 10,012 26,530
6/25/2018 Sell 58.79 26,700 10,012 26,530
7/2/2018 Buy 59.42 27,882 10,012 27,705
7/2/2018 Sell 62.08 27,882 10,012 27,705
7/9/2018 Buy 62.74 29,011 10,012 28,827
7/9/2018 Sell 65.31 29,011 10,012 28,827
7/16/2018 Buy 66.00 28,104 10,012 27,925
7/16/2018 Sell 63.97 28,104 10,012 27,925
7/23/2018 Buy 64.65 27,352 10,012 27,178
7/23/2018 Sell 62.95 27,352 10,012 27,178
7/30/2018 Buy 63.62 27,007 9,878 26,483
7/30/2018 Sell 62.04 27,007 9,878 26,483
8/6/2018 Buy 65.25 27,340 9,878 26,810
8/6/2018 Sell 66.09 27,340 9,878 26,810
8/13/2018 Buy 66.79 26,605 9,593 25,327
8/13/2018 Sell 63.23 26,605 9,593 25,327
8/20/2018 Buy 65.37 27,983 9,593 26,638
8/20/2018 Sell 68.79 27,983 9,593 26,638
8/27/2018 Buy 69.52 28,834 9,593 27,448
8/27/2018 Sell 71.67 28,834 9,593 27,448
9/4/2018 Buy 67.09 28,834 9,617 27,544
9/4/2018 Sell 67.36 28,834 9,617 27,544
9/10/2018 Buy 68.07 29,051 9,617 27,751
9/10/2018 Sell 68.62 29,051 9,617 27,751
9/17/2018 Buy 69.35 28,100 9,617 26,842
9/17/2018 Sell 67.11 28,100 9,617 26,842
9/24/2018 Buy 67.82 30,024 9,617 28,679
9/24/2018 Sell 72.50 30,024 9,617 28,679
10/1/2018 Buy 63.84 30,024 9,871 29,463
10/1/2018 Sell 65.67 30,024 9,871 29,463
10/8/2018 Buy 57.46 30,024 10,843 32,393
10/8/2018 Sell 63.84 30,024 10,843 32,393
10/15/2018 Buy 57.41 30,024 10,514 31,439
10/15/2018 Sell 55.79 30,024 10,514 31,439
10/22/2018 Buy 57.41 29,544 10,336 30,419
10/22/2018 Sell 55.60 29,544 10,336 30,419
10/29/2018 Buy 52.08 29,544 9,976 29,384
10/29/2018 Sell 50.39 29,544 9,976 29,384
11/5/2018 Buy 52.08 29,769 9,976 29,607
11/5/2018 Sell 52.50 29,769 9,976 29,607
11/12/2018 Buy 48.92 29,769 10,366 30,793
11/12/2018 Sell 50.99 29,769 10,366 30,793
11/19/2018 Buy 44.18 29,769 10,981 32,648
11/19/2018 Sell 47.03 29,769 10,981 32,648
11/26/2018 Buy 47.53 33,853 10,981 37,130
11/26/2018 Sell 54.08 33,853 10,981 37,130
12/3/2018 Buy 43.16 33,853 11,387 38,537
12/3/2018 Sell 44.88 33,853 11,387 38,537
12/10/2018 Buy 45.35 33,028 11,091 36,612
12/10/2018 Sell 43.16 33,028 11,091 36,612
12/17/2018 Buy 32.00 33,028 13,809 45,622
12/17/2018 Sell 42.47 33,028 13,809 45,622
12/24/2018 Buy 37.36 33,028 11,483 37,967
12/24/2018 Sell 32.00 33,028 11,483 37,967
12/31/2018 Buy 37.36 33,995 11,483 39,081
12/31/2018 Sell 38.47 33,995 11,483 39,081
1/7/2019 Buy 38.88 35,338 11,483 40,627
1/7/2019 Sell 40.43 35,338 11,483 40,627
1/14/2019 Buy 40.86 38,049 11,483 43,746
1/14/2019 Sell 44.01 38,049 11,483 43,746
1/22/2019 Buy 44.48 36,781 11,483 42,290
1/22/2019 Sell 43.01 36,781 11,483 42,290
1/28/2019 Buy 43.47 39,308 11,483 45,198
1/28/2019 Sell 46.47 39,308 11,483 45,198
2/4/2019 Buy 46.96 39,970 11,483 45,961
2/4/2019 Sell 47.77 39,970 11,483 45,961
2/11/2019 Buy 48.28 41,019 11,483 47,169
2/11/2019 Sell 49.56 41,019 11,483 47,169
2/19/2019 Buy 50.09 42,581 11,483 48,968
2/19/2019 Sell 52.01 42,581 11,483 48,968
3/4/2019 Buy 52.97 40,794 10,953 44,673
3/4/2019 Sell 48.54 40,794 10,953 44,673
3/11/2019 Buy 49.73 45,405 10,953 49,725
3/11/2019 Sell 55.37 45,405 10,953 49,725
3/18/2019 Buy 55.96 44,664 10,953 48,914
3/18/2019 Sell 55.06 44,664 10,953 48,914
3/25/2019 Buy 55.64 44,241 10,842 47,981
3/25/2019 Sell 54.61 44,241 10,842 47,981
4/1/2019 Buy 58.30 46,336 10,842 50,255
4/1/2019 Sell 61.08 46,336 10,842 50,255
4/8/2019 Buy 61.73 46,880 10,842 50,845
4/8/2019 Sell 62.47 46,880 10,842 50,845
4/15/2019 Buy 63.13 46,879 10,842 50,845
4/15/2019 Sell 63.15 46,879 10,842 50,845
4/22/2019 Buy 63.82 49,392 10,842 53,572
4/22/2019 Sell 67.26 49,392 10,842 53,572
5/6/2019 Buy 56.48 49,392 11,847 58,595
5/6/2019 Sell 62.34 49,392 11,847 58,595
5/13/2019 Buy 56.38 49,392 11,854 58,685
5/13/2019 Sell 56.48 49,392 11,854 58,685
5/20/2019 Buy 57.08 48,553 11,640 56,658
5/20/2019 Sell 55.15 48,553 11,640 56,658
5/28/2019 Buy 49.82 48,553 12,284 59,849
5/28/2019 Sell 52.81 48,553 12,284 59,849
6/3/2019 Buy 53.37 46,932 11,840 55,716
6/3/2019 Sell 49.82 46,932 11,840 55,716
6/10/2019 Buy 57.36 47,434 11,840 56,314
6/10/2019 Sell 57.99 47,434 11,840 56,314
6/17/2019 Buy 58.60 51,535 11,840 61,186
6/17/2019 Sell 63.69 51,535 11,840 61,186
7/1/2019 Buy 65.30 51,118 11,840 60,694
7/1/2019 Sell 64.79 51,118 11,840 60,694
7/8/2019 Buy 65.48 53,824 11,840 63,908
7/8/2019 Sell 68.96 53,824 11,840 63,908
7/22/2019 Buy 69.69 54,017 11,840 64,141
7/22/2019 Sell 69.96 54,017 11,840 64,141
7/29/2019 Buy 57.94 54,017 13,096 71,008
7/29/2019 Sell 64.90 54,017 13,096 71,008
8/5/2019 Buy 59.28 54,017 12,779 69,352
8/5/2019 Sell 57.94 54,017 12,779 69,352
8/12/2019 Buy 59.28 55,999 12,779 71,900
8/12/2019 Sell 61.47 55,999 12,779 71,900
8/19/2019 Buy 62.12 53,359 12,109 64,775
8/19/2019 Sell 56.28 53,359 12,109 64,775
8/26/2019 Buy 57.49 55,016 12,109 66,789
8/26/2019 Sell 59.29 55,016 12,109 66,789
9/3/2019 Buy 59.92 59,639 12,109 72,405
9/3/2019 Sell 64.97 59,639 12,109 72,405
9/9/2019 Buy 65.66 58,110 12,109 70,551
9/9/2019 Sell 63.99 58,110 12,109 70,551
9/16/2019 Buy 64.67 56,848 12,109 69,022
9/16/2019 Sell 63.28 56,848 12,109 69,022
9/23/2019 Buy 63.95 55,749 11,860 66,302
9/23/2019 Sell 61.49 55,749 11,860 66,302
9/30/2019 Buy 62.14 54,165 11,498 62,424
9/30/2019 Sell 58.63 54,165 11,498 62,424
10/7/2019 Buy 60.86 56,277 11,498 64,861
10/7/2019 Sell 63.25 56,277 11,498 64,861
10/14/2019 Buy 63.92 56,325 11,498 64,918
10/14/2019 Sell 63.99 56,325 11,498 64,918

Update Oct 28th 2019

Update Nov 5th 2019

Amazon AMZN Signals Daily

Amazon (AMZN) Signals-Daily

These Amazon.com, Inc. (AMZN) signals traded as directed would have performed around 3.6 times better than buy-hold with an ROI of 391% for the period 02-Nov-16 to 07-Dec-18. This is a symmetrical algorithm with no buy or sell bias.

AMZN Daily Signals

"The trading signals for Amazon.com, Inc. (AMZN) 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 Amazon.com, Inc. (AMZN) signals

For the 528 day (2.1 year) period from Nov 2 2016 to Dec 7 2018, these signals for Amazon.com, Inc. (AMZN) traded both long and short would have yielded $39,084 in profits from a $10,000 initial investment, an annualized return of 113.5%. Traded long only (no short selling) the signals would have returned $23,562, an annualized return of 78.1%. 47.8% of time was spent holding stock long. The return would have been $10,782 (an annualized return of 41.7%) 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 259 buy signals and 290 sell signals for this particular AMZN strategy which in turn led to 128 round trip long trades of which 81 were profitable, and 128 short trades of which 64 were profitable.

Drawdown and Reward/Risk

Drawdown (the worst case loss for an single entry and exit into the strategy) was 13% for long-short and 8% for long only. This compares to 29% for buy-hold. The reward/risk for the trading long and short was 6.31 compared to 1.21 for buy-hold, a factor of 5.2 improvement. If traded long only, the reward/risk was 5.91. We use drawdown plus 5% as our risk metric, and annualized return as the reward metric.

The algorithm uses Bollinger bands with an SD (Excel STDEVPA) of the trailing 50 (H+L)/2 prices, scaled by a factor of 10.

The backtests assume a commission per trade of $7. "

NVDA Signals Weekly Equity

NVIDIA (NVDA) Signals-Weekly

The NVIDIA (NVDA) signals presented here would have performed around 41.0 times better than buy-hold with an ROI of 100,721% for the period 11-Aug-08 to 21-Sep-18

NVDA Signals Weekly

The trading signals for NVIDIA (NVDA) 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 NVIDIA (NVDA) signals

For the 528 week (10.1 year) period from Aug 11 2008 to Sep 21 2018, these signals for NVIDIA (NVDA) traded both long and short would have yielded $10,072,063 in profits from a $10,000 initial investment, an annualized return of 98.3%. Traded long only (no short selling) the signals would have returned $1,789,777, an annualized return of 67.2%. 81.9% of time was spent holding stock long. The return would have been $245,766 (an annualized return of 37.8%) if you had bought and held the stock 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 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 144 buy signals and 106 sell signals for this particular NVDA strategy which in turn led to 34 round trip long trades of which 21 were profitable, and 34 short trades of which 28 were profitable.

Drawdown and Reward/Risk

Drawdown (the worst case loss for an single entry and exit into the strategy) was 47% for long-short and 37% for long only. This compares to 54% for buy-hold. The reward/risk for the trading long and short was 1.89 compared to 0.64 for buy-hold, a factor of 3.0 improvement. If traded long only, the reward/risk was 1.60. 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 the worst case effects of 24 dividends.

Click here to see the list of Trades

These are the trades which would have occurred had you used the signals as directed. They are the results of a simulation, not actual trades.

Week of signal Buy or Sell Price L&S Value Next Open
8/25/2008 Sell 12.85 9,993
9/1/2008 Buy 11.67 10,999
9/15/2008 Sell 11.32 10,556
10/6/2008 Buy 6.81 16,003
10/13/2008 Sell 7.91 17,115
11/17/2008 Buy 6.38 21,660
12/8/2008 Sell 8.65 27,661
12/22/2008 Buy 7.51 31,709
12/29/2008 Sell 8.61 35,862
1/12/2009 Buy 7.99 38,334
1/19/2009 Sell 7.75 37,262
2/16/2009 Buy 7.61 38,568
2/23/2009 Sell 8.08 40,249
5/11/2009 Buy 8.74 37,877
6/22/2009 Sell 11.60 49,023
7/6/2009 Buy 10.37 55,305
8/10/2009 Sell 13.01 67,994
9/21/2009 Buy 14.50 60,400
10/12/2009 Sell 13.33 55,322
10/26/2009 Buy 11.96 60,891
11/16/2009 Sell 13.09 66,742
11/23/2009 Buy 12.79 68,524
2/15/2010 Sell 16.65 88,844
2/22/2010 Buy 16.20 91,287
5/10/2010 Sell 12.98 73,083
5/17/2010 Buy 12.73 74,243
5/24/2010 Sell 12.96 75,809
6/7/2010 Buy 11.61 84,917
6/21/2010 Sell 11.16 80,433
6/28/2010 Buy 10.25 86,639
8/9/2010 Sell 9.26 78,563
8/30/2010 Buy 9.90 72,898
9/27/2010 Sell 11.24 83,002
10/4/2010 Buy 10.86 86,189
1/17/2011 Sell 23.24 183,583
2/28/2011 Buy 20.76 204,627
5/2/2011 Sell 19.38 189,641
5/16/2011 Buy 18.09 199,343
5/30/2011 Sell 18.43 206,037
6/6/2011 Buy 17.12 220,668
7/25/2011 Sell 14.15 182,372
8/15/2011 Buy 11.73 219,556
9/19/2011 Sell 13.96 254,132
9/26/2011 Buy 12.51 276,927
10/3/2011 Sell 14.39 322,656
10/31/2011 Buy 14.82 310,678
11/14/2011 Sell 13.71 289,543
12/12/2011 Buy 13.51 295,058
2/13/2012 Sell 15.84 344,401
2/27/2012 Buy 15.38 351,854
5/14/2012 Sell 12.10 278,797
5/21/2012 Buy 12.40 276,255
1/7/2013 Sell 12.29 271,140
1/14/2013 Buy 12.17 273,548
12/8/2014 Sell 19.86 464,732
12/29/2014 Buy 20.13 458,400
1/4/2016 Sell 29.66 686,944
1/11/2016 Buy 27.11 761,399
2/1/2016 Sell 26.03 716,257
2/8/2016 Buy 25.73 734,916
12/26/2016 Sell 104.40 2,967,333
1/3/2017 Buy 103.10 3,015,924
2/21/2017 Sell 102.20 2,982,109
4/10/2017 Buy 95.49 3,194,654
7/24/2017 Sell 164.94 5,493,806
9/5/2017 Buy 163.69 5,593,296
3/26/2018 Sell 228.74 7,738,713
4/2/2018 Buy 214.25 8,326,864
9/24/2018 Last 262.20 10,082,063

TSLA Signals Daily Equity

Tesla (TSLA) Signals-Daily

These Tesla (TSLA) signals would have performed around 29 times better than buy-hold with an ROI of 1,043% for the period 24-Aug-16 to 27-Sep-18

TSLA Signals Daily

The trading signals for Tesla (TSLA) were 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 Tesla (TSLA) signals

For the 528 day (2.1 year) period from Aug 24 2016 to Sep 27 2018, these signals for Tesla (TSLA) traded both long and short would have yielded $104,289 in profits from a $10,000 initial investment, an annualized return of 220.5%. Traded long only (no short selling) the signals would have returned $33,530, an annualized return of 102.0%. 54.8% of time was spent holding stock long. The return would have been $3,606 (an annualized return of 15.9%) 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 194 buy signals and 205 sell signals for this particular TSLA strategy. These led to 77 round trip long trades of which 42 were profitable, and 77 short trades of which 34 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 16% for long-short and 16% for long only. This compares to 35% for buy-hold. The reward/risk for the trading long and short was 10.38 compared to 0.40 for buy-hold, a factor of 25.9 improvement. If traded long only, the reward/risk was 4.92. 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

These are the trades which would have occurred had you used the signals as directed. They are the results of a simulation, not actual trades.

Day of signal Buy or Sell Price L&S Value Next Open
8/29/2016 Sell 216.11 9,993
9/6/2016 Buy 202.24 10,791
9/8/2016 Sell 199.09 10,441
9/12/2016 Buy 198.16 10,417
9/13/2016 Sell 195.75 10,334
9/15/2016 Buy 199.67 10,151
9/21/2016 Sell 206.40 10,440
9/23/2016 Buy 209.33 10,139
9/27/2016 Sell 207.51 10,174
10/18/2016 Buy 199.17 10,600
10/20/2016 Sell 198.60 10,526
11/4/2016 Buy 192.06 10,944
11/9/2016 Sell 191.05 10,787
11/11/2016 Buy 187.22 11,034
11/14/2016 Sell 182.78 10,714
11/15/2016 Buy 185.74 10,351
11/21/2016 Sell 185.84 10,518
11/22/2016 Buy 188.85 10,430
11/29/2016 Sell 191.00 10,437
12/5/2016 Buy 185.47 10,729
12/29/2016 Sell 216.30 12,495
1/3/2017 Buy 218.34 12,159
1/30/2017 Sell 249.24 14,098
1/31/2017 Buy 253.28 13,843
2/15/2017 Sell 277.60 15,173
2/17/2017 Buy 270.11 15,876
2/22/2017 Sell 264.00 15,202
2/24/2017 Buy 256.75 15,084
2/27/2017 Sell 244.19 14,828
2/28/2017 Buy 248.15 14,928
3/8/2017 Sell 247.63 14,529
3/14/2017 Buy 250.10 14,767
3/21/2017 Sell 251.56 14,441
3/24/2017 Buy 259.84 13,992
4/5/2017 Sell 296.88 15,926
4/6/2017 Buy 301.69 15,437
4/11/2017 Sell 306.34 15,881
4/13/2017 Buy 301.51 16,182
5/2/2017 Sell 317.67 16,968
5/5/2017 Buy 302.83 18,220
5/15/2017 Sell 317.59 18,598
5/18/2017 Buy 311.97 19,126
5/22/2017 Sell 310.46 18,807
5/25/2017 Buy 316.06 18,525
6/9/2017 Sell 357.99 20,888
6/12/2017 Buy 363.79 20,752
6/15/2017 Sell 377.98 21,323
6/22/2017 Buy 384.11 20,872
6/26/2017 Sell 376.40 20,528
7/11/2017 Buy 321.12 24,209
7/13/2017 Sell 323.19 23,666
7/18/2017 Buy 322.64 24,103
7/27/2017 Sell 336.89 24,724
7/31/2017 Buy 340.94 23,129
8/1/2017 Sell 318.94 22,825
8/2/2017 Buy 324.11 23,910
8/10/2017 Sell 356.97 24,702
8/23/2017 Buy 344.48 26,149
8/25/2017 Sell 347.28 25,746
8/29/2017 Buy 344.98 26,255
9/5/2017 Sell 349.50 26,228
9/7/2017 Buy 351.58 25,865
9/8/2017 Sell 351.35 26,026
9/11/2017 Buy 357.04 26,124
9/19/2017 Sell 373.00 26,720
10/3/2017 Buy 341.34 29,815
10/9/2017 Sell 346.80 29,423
10/10/2017 Buy 352.42 29,054
10/16/2017 Sell 350.91 28,795
10/18/2017 Buy 361.74 27,416
10/19/2017 Sell 352.69 27,181
10/31/2017 Buy 325.42 29,883
11/1/2017 Sell 300.13 26,980
11/2/2017 Buy 304.99 26,052
11/3/2017 Sell 307.00 26,690
11/7/2017 Buy 305.90 26,737
11/9/2017 Sell 302.50 26,461
11/10/2017 Buy 307.40 25,403
11/15/2017 Sell 313.99 26,562
11/21/2017 Buy 315.90 26,459
11/29/2017 Sell 308.56 25,760
12/5/2017 Buy 306.89 25,312
12/15/2017 Sell 344.90 29,077
1/2/2018 Buy 317.05 31,801
1/4/2018 Sell 316.62 31,353
1/8/2018 Buy 321.12 32,244
1/24/2018 Sell 348.27 33,492
1/29/2018 Buy 345.36 33,737
2/2/2018 Sell 337.97 33,022
2/5/2018 Buy 343.45 30,749
2/6/2018 Sell 338.99 32,038
2/7/2018 Buy 344.48 31,398
2/8/2018 Sell 319.93 29,245
2/13/2018 Buy 320.12 29,279
2/27/2018 Sell 352.57 32,161
3/2/2018 Buy 332.28 34,009
3/6/2018 Sell 325.44 33,284
3/7/2018 Buy 330.71 32,944
3/9/2018 Sell 328.61 32,509
3/12/2018 Buy 333.93 31,459
3/13/2018 Sell 336.76 32,225
3/21/2018 Buy 315.28 34,116
3/22/2018 Sell 311.25 33,815
3/29/2018 Buy 260.65 38,638
4/2/2018 Sell 269.82 40,668
4/4/2018 Buy 256.88 47,990
4/9/2018 Sell 298.97 49,573
4/10/2018 Buy 303.81 48,263
4/12/2018 Sell 303.60 48,708
4/18/2018 Buy 295.80 49,150
4/20/2018 Sell 291.29 49,171
4/26/2018 Buy 283.27 50,887
5/3/2018 Sell 283.00 50,451
5/4/2018 Buy 287.58 51,330
5/11/2018 Sell 303.32 52,320
5/16/2018 Buy 288.43 54,394
5/18/2018 Sell 281.33 53,511
5/21/2018 Buy 285.89 52,974
5/22/2018 Sell 277.76 51,119
5/29/2018 Buy 283.02 50,185
5/31/2018 Sell 285.86 50,626
6/1/2018 Buy 290.49 50,451
6/5/2018 Sell 300.50 51,493
6/6/2018 Buy 305.37 52,433
6/13/2018 Sell 347.63 57,640
6/14/2018 Buy 353.26 56,785
6/19/2018 Sell 358.04 57,445
6/20/2018 Buy 363.84 56,215
6/21/2018 Sell 351.54 54,577
6/25/2018 Buy 335.47 57,157
6/26/2018 Sell 345.00 58,665
6/27/2018 Buy 350.59 57,383
6/29/2018 Sell 360.07 59,247
7/6/2018 Buy 309.89 67,947
7/11/2018 Sell 321.43 69,989
7/17/2018 Buy 313.81 74,187
7/19/2018 Sell 321.23 73,313
7/25/2018 Buy 301.55 78,643
7/27/2018 Sell 295.90 76,320
7/31/2018 Buy 296.98 76,284
8/6/2018 Sell 343.84 88,007
8/7/2018 Buy 349.41 91,443
8/9/2018 Sell 354.00 87,691
8/10/2018 Buy 359.73 86,590
8/13/2018 Sell 358.45 85,934
8/20/2018 Buy 296.43 105,612
8/27/2018 Sell 318.41 108,251
9/6/2018 Buy 289.41 106,133
9/7/2018 Sell 273.26 111,489
9/10/2018 Buy 277.69 110,373
9/11/2018 Sell 281.44 111,137
9/12/2018 Buy 286.00 110,095
9/18/2018 Sell 280.51 107,210
9/19/2018 Buy 285.05 112,306
9/28/2018 Last 308.92 114,289

TSLA Signals Equity

Tesla (TSLA) Signals-Weekly

These Tesla (TSLA) signals would have performed around 36.7 times better than buy-hold with an ROI of 54,010% for the period 28-Jun-10 to 21-Sep-18

TSLA Signals Weekly

The trading signals for Tesla (TSLA) 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 Tesla (TSLA) signals

For the 430 week (8.2 year) period from Jun 28 2010 to Sep 21 2018, these signals for Tesla (TSLA) traded both long and short would have yielded $5,400,966 in profits from a $10,000 initial investment, an annualized return of 115.0%. Traded long only (no short selling) the signals would have returned $1,231,823, an annualized return of 79.8%. 62.6% of time was spent holding stock long. The return would have been $147,095 (an annualized return of 39.8%) 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 375 buy signals and 275 sell signals for this particular TSLA strategy .These led to 142 round trip long trades of which 84 were profitable, and 143 short trades of which 83 were profitable. This is a weekly strategy; 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 37% for long-short and 32% for long only. This compares to 44% for buy-hold. The reward/risk for trading long and short was 2.71 compared to 0.82 for buy-hold, a factor of 3.3 improvement. If traded long only, the reward/risk was 2.13. 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

Week of signal Buy or Sell Price L&S Value Next Open
6/28/2010 Sell 19.00 10,000
7/5/2010 Buy 17.95 10,539
7/12/2010 Sell 21.37 12,533
7/19/2010 Buy 21.50 12,442
7/26/2010 Sell 20.50 11,850
8/2/2010 Buy 19.90 12,182
8/9/2010 Sell 18.45 11,281
8/16/2010 Buy 19.09 10,875
8/23/2010 Sell 19.70 11,209
8/30/2010 Buy 20.61 10,677
9/6/2010 Sell 20.89 10,808
9/13/2010 Buy 20.67 10,908
9/20/2010 Sell 20.40 10,752
9/27/2010 Buy 20.43 10,722
10/4/2010 Sell 20.44 10,713
10/11/2010 Buy 20.52 10,657
10/18/2010 Sell 20.94 10,861
10/25/2010 Buy 21.94 10,329
12/13/2010 Sell 31.64 14,881
12/20/2010 Buy 28.02 16,569
12/27/2010 Sell 26.84 15,858
1/3/2011 Buy 28.17 15,058
1/10/2011 Sell 25.48 13,606
1/17/2011 Buy 23.53 14,633
1/24/2011 Sell 24.05 14,943
1/31/2011 Buy 23.26 15,420
2/7/2011 Sell 23.64 15,657
2/14/2011 Buy 22.88 16,147
2/21/2011 Sell 23.74 16,740
3/7/2011 Buy 23.82 16,669
3/14/2011 Sell 23.05 16,116
3/21/2011 Buy 22.70 16,347
3/28/2011 Sell 26.83 19,307
4/4/2011 Buy 26.47 19,552
4/11/2011 Sell 25.13 18,549
4/18/2011 Buy 26.70 17,376
5/16/2011 Sell 27.62 17,960
5/23/2011 Buy 29.69 16,600
6/6/2011 Sell 28.07 15,681
6/13/2011 Buy 26.29 16,661
6/20/2011 Sell 27.73 17,560
7/4/2011 Buy 28.40 17,121
7/11/2011 Sell 27.34 16,468
7/18/2011 Buy 29.01 15,448
7/25/2011 Sell 28.67 15,253
8/1/2011 Buy 23.10 18,203
8/8/2011 Sell 26.62 20,962
8/15/2011 Buy 23.11 23,712
8/22/2011 Sell 24.22 24,837
8/29/2011 Buy 22.50 26,587
9/5/2011 Sell 22.50 26,573
9/12/2011 Buy 24.95 23,666
9/19/2011 Sell 26.52 25,141
9/26/2011 Buy 24.95 26,615
10/3/2011 Sell 27.31 29,119
10/17/2011 Buy 27.87 28,508
12/5/2011 Sell 30.44 31,122
12/12/2011 Buy 28.09 33,511
12/19/2011 Sell 27.66 32,984
12/26/2011 Buy 28.94 31,444
1/2/2012 Sell 27.00 29,322
1/9/2012 Buy 26.62 29,721
1/16/2012 Sell 26.81 29,919
1/23/2012 Buy 29.49 26,914
4/9/2012 Sell 33.41 30,478
4/16/2012 Buy 32.86 30,965
4/23/2012 Sell 33.27 31,338
4/30/2012 Buy 31.96 32,558
5/7/2012 Sell 31.92 32,503
5/14/2012 Buy 27.58 36,908
5/21/2012 Sell 30.01 40,146
5/28/2012 Buy 28.03 42,781
6/4/2012 Sell 30.31 46,246
6/11/2012 Buy 29.94 46,797
6/18/2012 Sell 33.94 53,035
6/25/2012 Buy 31.35 57,068
7/2/2012 Sell 30.94 56,308
7/9/2012 Buy 34.32 50,143
7/16/2012 Sell 31.05 45,351
7/23/2012 Buy 29.51 47,586
7/30/2012 Sell 27.55 44,412
8/6/2012 Buy 29.69 40,948
8/13/2012 Sell 30.15 41,568
8/20/2012 Buy 29.57 42,354
8/27/2012 Sell 28.52 40,836
9/3/2012 Buy 29.20 39,848
9/10/2012 Sell 32.35 44,133
9/24/2012 Buy 29.50 48,007
10/1/2012 Sell 28.86 46,952
10/8/2012 Buy 28.02 48,304
10/15/2012 Sell 27.99 48,239
10/22/2012 Buy 27.70 48,724
10/29/2012 Sell 29.80 52,404
11/12/2012 Buy 32.07 48,398
1/7/2013 Sell 33.08 49,909
1/14/2013 Buy 34.56 47,662
2/18/2013 Sell 36.15 49,841
2/25/2013 Buy 34.77 51,729
3/4/2013 Sell 38.87 57,815
3/11/2013 Buy 35.30 63,111
3/18/2013 Sell 37.10 66,315
4/8/2013 Buy 43.50 54,861
10/7/2013 Sell 175.00 220,692
10/14/2013 Buy 183.28 210,236
10/21/2013 Sell 170.18 195,196
10/28/2013 Buy 165.00 201,123
11/4/2013 Sell 141.00 171,855
11/11/2013 Buy 135.27 178,825
11/18/2013 Sell 124.50 164,573
11/25/2013 Buy 126.35 162,114
12/2/2013 Sell 137.00 175,764
12/9/2013 Buy 148.48 161,022
12/16/2013 Sell 144.85 157,071
12/23/2013 Buy 151.12 150,258
12/30/2013 Sell 150.00 149,131
1/6/2014 Buy 145.78 153,312
1/13/2014 Sell 171.24 180,074
1/27/2014 Buy 182.89 167,809
3/24/2014 Sell 216.50 198,633
3/31/2014 Buy 205.81 208,427
4/7/2014 Sell 207.60 210,226
4/14/2014 Buy 197.08 220,865
4/21/2014 Sell 200.00 224,123
4/28/2014 Buy 209.48 213,486
5/5/2014 Sell 183.87 187,372
5/12/2014 Buy 190.72 180,377
5/19/2014 Sell 208.52 197,198
6/2/2014 Buy 207.95 197,723
6/9/2014 Sell 206.76 196,578
6/16/2014 Buy 229.51 174,934
7/7/2014 Sell 219.99 167,664
7/14/2014 Buy 217.25 169,738
7/21/2014 Sell 224.25 175,193
7/28/2014 Buy 234.38 167,265
9/15/2014 Sell 255.00 181,967
9/22/2014 Buy 244.00 189,802
9/29/2014 Sell 259.13 201,558
10/6/2014 Buy 238.57 217,536
10/13/2014 Sell 226.72 206,717
10/20/2014 Buy 234.25 199,837
10/27/2014 Sell 243.00 207,287
11/3/2014 Buy 239.11 210,592
11/10/2014 Sell 257.49 226,766
11/17/2014 Buy 245.20 237,575
11/24/2014 Sell 241.16 233,647
12/1/2014 Buy 221.54 252,641
12/8/2014 Sell 209.29 238,658
12/15/2014 Buy 220.00 226,431
12/22/2014 Sell 226.90 233,519
12/29/2014 Buy 214.55 246,215
1/5/2015 Sell 203.05 233,004
1/12/2015 Buy 193.87 243,524
1/19/2015 Sell 201.83 253,509
1/26/2015 Buy 203.97 250,807
2/2/2015 Sell 215.38 264,823
2/9/2015 Buy 205.70 276,711
2/16/2015 Sell 215.66 290,095
2/23/2015 Buy 202.70 307,514
3/2/2015 Sell 194.39 294,893
3/9/2015 Buy 192.00 298,505
3/16/2015 Sell 198.50 308,597
3/23/2015 Buy 185.85 328,249
3/30/2015 Sell 198.00 349,694
4/13/2015 Buy 206.78 334,173
7/27/2015 Sell 266.29 430,333
8/3/2015 Buy 238.15 475,794
8/10/2015 Sell 255.56 510,563
8/17/2015 Buy 202.79 615,974
8/24/2015 Sell 245.62 746,055
9/7/2015 Buy 251.10 729,396
9/14/2015 Sell 263.98 766,796
9/21/2015 Buy 257.35 786,041
9/28/2015 Sell 248.84 760,034
10/5/2015 Buy 222.99 838,974
10/12/2015 Sell 226.50 852,166
10/19/2015 Buy 211.38 909,038
10/26/2015 Sell 208.92 898,445
11/2/2015 Buy 232.99 794,920
11/9/2015 Sell 206.09 703,128
11/16/2015 Buy 217.35 664,697
11/23/2015 Sell 231.79 708,843
12/7/2015 Buy 217.51 752,500
12/14/2015 Sell 231.69 801,543
12/21/2015 Buy 231.49 802,221
12/28/2015 Sell 230.72 799,538
1/4/2016 Buy 214.01 857,431
1/11/2016 Sell 208.71 836,183
1/18/2016 Buy 200.06 870,825
1/25/2016 Sell 188.76 821,624
2/1/2016 Buy 157.10 959,417
2/8/2016 Sell 158.70 969,175
2/15/2016 Buy 170.12 899,419
2/22/2016 Sell 192.40 1,017,199
2/29/2016 Buy 197.68 989,270
5/2/2016 Sell 215.72 1,079,536
5/9/2016 Buy 208.15 1,117,404
5/16/2016 Sell 219.87 1,180,306
5/23/2016 Buy 223.04 1,163,275
5/30/2016 Sell 218.00 1,136,975
6/6/2016 Buy 219.50 1,129,138
6/13/2016 Sell 219.50 1,129,124
6/20/2016 Buy 190.86 1,276,436
6/27/2016 Sell 209.73 1,402,621
7/18/2016 Buy 222.27 1,318,743
8/1/2016 Sell 228.00 1,352,725
8/8/2016 Buy 226.02 1,364,458
8/15/2016 Sell 224.17 1,353,276
8/22/2016 Buy 220.15 1,377,530
8/29/2016 Sell 199.02 1,245,301
9/5/2016 Buy 195.00 1,270,441
9/12/2016 Sell 207.00 1,348,608
9/19/2016 Buy 206.50 1,351,851
9/26/2016 Sell 212.30 1,389,807
10/3/2016 Buy 201.35 1,461,476
10/10/2016 Sell 197.05 1,430,251
10/17/2016 Buy 201.00 1,401,567
10/24/2016 Sell 202.49 1,411,942
10/31/2016 Buy 193.59 1,473,987
11/7/2016 Sell 188.00 1,431,411
11/14/2016 Buy 185.04 1,453,934
11/21/2016 Sell 195.48 1,535,952
11/28/2016 Buy 182.51 1,637,847
12/5/2016 Sell 192.80 1,730,176
12/12/2016 Buy 202.49 1,643,205
2/27/2017 Sell 247.91 2,011,774
3/6/2017 Buy 244.82 2,036,835
3/13/2017 Sell 260.60 2,168,106
3/20/2017 Buy 260.60 2,168,092
7/3/2017 Sell 312.90 2,603,194
7/10/2017 Buy 325.54 2,498,020
7/17/2017 Sell 330.24 2,534,071
7/24/2017 Buy 335.50 2,493,695
7/31/2017 Sell 357.35 2,656,087
8/14/2017 Buy 345.82 2,741,773
8/21/2017 Sell 347.28 2,753,334
8/28/2017 Buy 353.80 2,701,628
9/5/2017 Sell 351.35 2,682,905
9/11/2017 Buy 380.25 2,462,211
9/18/2017 Sell 353.15 2,286,718
9/25/2017 Buy 342.52 2,355,536
10/2/2017 Sell 349.65 2,404,555
10/9/2017 Buy 353.76 2,376,276
10/16/2017 Sell 349.88 2,350,200
10/23/2017 Buy 319.18 2,556,403
10/30/2017 Sell 307.00 2,458,836
11/6/2017 Buy 300.13 2,513,845
11/13/2017 Sell 313.79 2,628,245
11/20/2017 Buy 313.25 2,632,754
11/27/2017 Sell 306.50 2,576,009
12/4/2017 Buy 314.63 2,507,665
12/11/2017 Sell 344.90 2,748,909
12/18/2017 Buy 323.83 2,916,827
12/26/2017 Sell 312.00 2,810,257
1/2/2018 Buy 316.00 2,774,214
1/8/2018 Sell 337.54 2,963,303
1/16/2018 Buy 349.40 2,859,169
2/5/2018 Sell 316.13 2,586,904
2/12/2018 Buy 334.47 2,436,813
2/20/2018 Sell 353.50 2,575,444
2/26/2018 Buy 332.39 2,729,228
3/5/2018 Sell 328.61 2,698,176
3/12/2018 Buy 316.50 2,797,596
3/19/2018 Sell 307.34 2,716,615
3/26/2018 Buy 256.26 3,168,103
4/2/2018 Sell 300.37 3,713,414
4/16/2018 Buy 291.29 3,825,654
4/23/2018 Sell 293.61 3,856,110
4/30/2018 Buy 297.50 3,805,006
5/7/2018 Sell 303.32 3,879,430
5/14/2018 Buy 281.33 4,160,666
5/21/2018 Sell 278.51 4,118,946
5/29/2018 Buy 294.34 3,884,819
6/4/2018 Sell 322.51 4,256,605
6/18/2018 Buy 330.12 4,156,151
7/2/2018 Sell 311.99 3,927,884
7/9/2018 Buy 311.71 3,931,395
7/16/2018 Sell 301.84 3,806,897
7/23/2018 Buy 295.90 3,881,800
7/30/2018 Sell 345.46 4,531,945
8/13/2018 Buy 291.70 5,237,186
8/20/2018 Sell 318.00 5,709,362
8/27/2018 Buy 296.94 6,087,458
9/4/2018 Sell 273.26 5,601,990
9/10/2018 Buy 290.04 5,257,976
9/17/2018 Sell 298.48 5,410,966

NUGT Signals Weekly Equity

Gold Miners Bull 3X (NUGT) Signals-Weekly

These Gold Miners Bull 3X (NUGT) signals traded as directed would have performed around 1913.6 times better than short-hold with an ROI of 190,993% for the period 06-Dec-10 to 21-Sep-18

NUGT Signals Weekly

The trading signals for Gold Miners Bull 3X (NUGT) 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 Gold Miners Bull 3X (NUGT) signals

For the 407 week (7.8 year) period from Dec 6 2010 to Sep 21 2018, these signals for Gold Miners Bull 3X (NUGT) traded both long and short would have yielded $19,099,299 in profits from a $10,000 initial investment, an annualized return of 164.1%. Traded long only (no short selling) the signals would have returned $260,371, an annualized return of 52.8%. 23.2% of time was spent holding stock long. The return would have been $9,981 (an annualized return of 9.3%) if you had shorted 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 68 buy signals and 86 sell signals for this particular NUGT strategy .These led to 39 round trip long trades of which 27 were profitable, and 39 short trades of which 25 were profitable. This is a weekly strategy; 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 47% for long-short and 46% for long only. This compares to 28% for short-hold. The reward/risk for the trading long and short was 3.13 compared to 0.28 for short-hold, a factor of 11.1 improvement. If traded long only, the reward/risk was 1.03. 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 the worst case effects of 2 dividends

Click here to see the list of Trades

Week of signal Buy or Sell Price L&S Value Next Open
2/14/2011 Sell 7,474.00 9,993
8/8/2011 Buy 6,890.00 10,729
8/22/2011 Sell 7,672.00 11,967
10/24/2011 Buy 6,896.00 12,824
11/28/2011 Sell 6,022.00 11,481
1/23/2012 Buy 5,194.00 11,624
2/20/2012 Sell 4,916.00 11,415
5/21/2012 Buy 2,296.00 18,033
5/28/2012 Sell 2,584.00 19,663
8/20/2012 Buy 2,530.00 20,108
9/3/2012 Sell 2,970.00 23,535
9/10/2012 Buy 3,598.00 18,761
9/17/2012 Sell 3,630.00 18,696
4/22/2013 Buy 476.00 36,481
5/27/2013 Sell 460.00 33,738
7/8/2013 Buy 226.40 50,767
7/15/2013 Sell 298.00 66,926
7/22/2013 Buy 314.00 63,964
8/12/2013 Sell 373.20 75,242
9/16/2013 Buy 220.44 102,776
10/21/2013 Sell 226.36 108,860
12/9/2013 Buy 107.44 169,993
12/30/2013 Sell 123.56 190,935
1/13/2014 Buy 144.64 153,092
1/20/2014 Sell 147.84 161,836
2/10/2014 Buy 201.16 105,943
3/10/2014 Sell 225.80 116,112
6/9/2014 Buy 142.20 160,922
6/16/2014 Sell 174.20 194,873
10/6/2014 Buy 81.56 314,011
11/17/2014 Sell 61.16 223,820
12/1/2014 Buy 49.44 277,700
1/5/2015 Sell 63.96 345,008
1/12/2015 Buy 74.72 306,155
1/19/2015 Sell 66.44 255,141
3/16/2015 Buy 45.04 343,896
3/23/2015 Sell 39.48 295,653
4/27/2015 Buy 49.64 229,992
5/11/2015 Sell 53.84 238,116
8/10/2015 Buy 15.36 435,931
8/17/2015 Sell 17.28 459,308
9/14/2015 Buy 14.04 522,106
10/5/2015 Sell 19.74 766,830
11/30/2015 Buy 12.57 1,005,829
1/4/2016 Sell 11.56 961,562
1/25/2016 Buy 10.27 1,101,500
2/1/2016 Sell 18.64 1,940,208
2/8/2016 Buy 22.75 1,289,545
2/22/2016 Sell 21.96 1,459,697
2/29/2016 Buy 24.29 1,353,655
3/14/2016 Sell 26.17 1,405,630
4/4/2016 Buy 28.50 1,370,928
4/11/2016 Sell 32.32 1,451,768
4/18/2016 Buy 32.57 1,471,037
4/25/2016 Sell 49.20 2,175,762
5/30/2016 Buy 39.96 2,561,343
6/6/2016 Sell 45.97 2,972,913
6/20/2016 Buy 45.58 3,083,235
6/27/2016 Sell 60.56 3,983,540
7/25/2016 Buy 64.20 3,703,520
8/1/2016 Sell 61.60 3,592,239
9/19/2016 Buy 40.52 4,914,330
10/17/2016 Sell 29.42 3,500,703
10/31/2016 Buy 29.76 3,132,347
11/14/2016 Sell 35.16 4,088,083
12/26/2016 Buy 30.56 4,756,036
1/3/2017 Sell 39.64 5,996,463
1/30/2017 Buy 47.56 5,040,504
2/6/2017 Sell 50.08 5,052,597
3/13/2017 Buy 35.68 6,571,044
4/10/2017 Sell 44.76 8,160,916
5/8/2017 Buy 34.61 10,561,117
5/15/2017 Sell 36.03 10,422,256
8/28/2017 Buy 40.17 9,495,657
9/5/2017 Sell 40.01 9,187,924
2/12/2018 Buy 26.94 11,714,228
4/9/2018 Sell 27.41 12,433,631
9/17/2018 Buy 13.49 19,109,299
9/24/2018 Last 13.75 19,109,299

Update 10/28/2019

The strategy showed positive returns up until June 2019 when it took a downward turn.

 

Optimum parameters for this period were 11.17% (buy side) and 9.74% (sell side) these would have returned around 78% annualized vs. 129% for buy-hold.