SOXL Trading Strategy using SignalSolver Sentiment

SOXL trading strategy using SignalSolver Sentiment

Another Sentiment driven trading strategy

Showing the equity curve for constant threshold

Showing the equity curve for constant threshold

Methodology

In the same vein as the previous few posts, this is another SOXL trading strategy using SignalSolver sentiment, this time we use a threshold of 70%. For a full explanation of the SignalSolver sentiment methodology and how to interpret the simulation results, please click here.

The 70% threshold showed up as the optimum mid May 2021, (below) so we will start our paper trading with that value. The constant threshold result is shown above, but this is a backtest not a walk-forward test as shown below. The equity curve is currently showing a good deal of drawdown at 21%. However let's see what happens with SOXL since it shows nice structure on the threshold surface. Is it breaking down? or will it pick up and perform well like it has in the past.

The equity curve for simulation using adaptive thresholds

SOXL trading equity curve for simulation using adaptive thresholds

Performance

Performance of the simulation

Performance of the simulation

Trading on sentiment (L&S column above) performed around 2 times better in this simulation than buy-hold in terms of reward/risk, with annualized return (CAGR) being around  1.6 times better for Long/Short trading of the signals and trading long only being, unsurprisingly, most of the gain. In all cases, drawdown was lower for the sentiment trading than for buy-hold. Its easy to forget that what you really want from a trading strategy is not necessarily to beat both long-hold and short-hold, which is quite hard to do for something with a high annualized return,  but simply keeping on the right side of profitability has a lot of merit. This strategy exceeded that goal so far.

Below is the threshold surface for the entire window of 7/16/20 through 8/12/21, showing a good structure, but with somewhat of a offset. Ideally I would like to see the structure centered on 50% which would mean that the backtests are more neutral in their sentiment reading, but this may correct in the future.

Partial threshold surface for the simulation, equal buy and sell thresholds

Partial threshold surface for the simulation--equal buy and sell thresholds

Click here to see the SignalSolver settings for this strategy: SOXL Sentiment Settings

We now move into the paper-trading phase for this project. Updates will be shown below.

Updates

Updates to this strategy and current sentiment can be found here.

TQQQ Trading strategy using SignalSolver Sentiment

TQQQ trading using SignalSolver Sentiment

Using multiple algorithms to drive trading strategy

Original Post July 25 2021

Equity curve for the TQQQ SignalSolver Sentiment trading simulation.

Equity curve for the TQQQ SignalSolver Sentiment trading simulation

Sentiment

Sentiment usually refers to an analyst opinion on whether a financial instrument will increase in value (bullish sentiment), or decrease (bearish sentiment). However, in this TQQQ trading strategy using SignalSolver sentiment we are combining the opinion of multiple backtest algorithms to derive sentiment.

Methodology

Shown above is the simulated result of trading TQQQ using SignalSolver Sentiment. The sentiment is shown as a blue area chart in the background. The equity curve for the strategy is shown in yellow, buy-hold equity in white. Sentiment is calculated each day after the close of business by assessing what percentage of the top 50 SignalSolver backtest algorithms are bullish. The buy and sell thresholds are fixed at 42% (red line) with bullish being above the threshold. A trade is executed at the next open whenever a change in sentiment is indicated, so the trade price is always out-of-sample from the backtest period which is fixed at 200 trading days. The simulation then walks forward to the next day, repetitively. Algorithms are re-parametrized every 4 calendar weeks and flushed and refreshed every 30 calendar weeks.

Performance of the TQQQ strategy compared to buy-hold

Performance of the TQQQ strategy compared to buy-hold

Performance

Trading on sentiment (L&S column above) performed around eight times better in this simulation than buy-hold in terms of reward/risk, with final equity being around seven times better for Long/Short trading of the signals and trading long only being about three times as good. In all cases, drawdown was lower for the sentiment trading than for buy-hold.

Below is shown the threshold surface for the equal buy/sell thresholds showing that annualized return (CAGR) is sensitive to threshold changes. A 43% optimum threshold was established in April 2020, switching to 42% in April 2021. Optimizing the threshold every 5 trading days would have yielded a return of $65,651 (See Settings .pdf). A 50% threshold would have yielded $35,747. All thresholds between 15% and 50% would have beaten buy-hold. We will continue with the 42% threshold for now even though we may be over-optimized at this value.

Threshold surface for the TQQQ strategy, for equal buy and sell thresholds.

Threshold surface for the TQQQ strategy, for equal buy and sell thresholds.

Click here to see the SignalSolver settings for this strategy: TQQQ Sentiment Settings

We now move into the paper-trading phase for this project. Updates will be shown below.

Updates

Updates to this strategy and current sentiment can be found here.

Bitcoin (BTC-USD) Signals-Weekly (ACS AAO)

Original Post Nov 2019:

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

Updates

Dec 02 2019

No signal last week (7857.354). The sell signal (above 7284.448) arrived at this weeks open, but this algorithm sells at the next open, so the sell time is next week's open 12:00am GMT on Dec 9th 2019.

 

Update 1/9/20

Doing a bit better than the last update on 12/13/19.

 

Date Transaction Buy/Cover Sell/Short  Asset Value
 $           10,000
23-Oct-2019 Buy 8374.000  $           10,000
4-Nov-2019 Sell 9235.607  $           11,029
4-Nov-2019 Short 9235.607  $           11,029
4-Nov-2019 Cover 9406.209  $           10,825
4-Nov-2019 Buy 9406.209  $           10,825
9-Dec-2019 Sell 7561.795  $             8,703
9-Dec-2019 Short 7561.795  $             8,703
19-Dec-2019 Cover 7284.619  $             9,022
19-Dec-2019 Buy 7284.619  $             9,022
30-Dec-2019 Sell 7420.273  $             9,190
30-Dec-2019 Short 7420.273  $             9,190
6-Jan-2020 Cover 7548.427  $             9,031
6-Jan-2020 Buy 7548.427  $             9,031
9-Jan-2020 Last 7885.000  $             9,433

Update June 22 2021

Bitcoin algorithm performance

Since Dec 2019 to July 2021, this algorithm has performed better than bitcoin with higher gain, lower drawdown and significantly better reward-risk.

Bitcoin algorithm performs better than underlying security

Ford (F) Monthly Trading Strategy

Update May 12 2021

Thought I'd look at how this algorithm has done since publication in 2016. Annualized return was 12.4% compared with buy-hold annualized return of 3.9%.

You would probably have re-parameterized or seeked for a new algorithm over that timeframe, but its nice to know the original did OK.

Update 8/13/2017

This algorithm continues to perform well, outperforming buy-hold by 30.4% annualized over the last 10 months:

Ford Motor Company MAYC MALO algorithm update

Ford monthly MAYC MALO update Aug 2017

Notice this had a very low drawdown (1.2%).

This strategy has given about 1000x better return than buy-hold over the last 41.6 years.

f-m-tablef-m-equity

GASX Signals Parameter Surface

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

GASX Daily (ACS BOS OO)

Trade List

Click to see trades

Split adjusted prices used throughout.
Key:
Cov o: Cover at subsequent open
Sell o: Sell at subsequent open
Sht S: Short at the signal price
Buy S: Buy at the signal price
C/B S: Cover or buy at the signal price
S/Sh S: Sell or short at the signal price

Note: Since we can't tell which C/B or S/Sh signal came first, we average the result of both the Sh then Cov and Buy then Sell, which may lead to a small error. Trades assume $0 commission.

Day of signal Buy or Sell Price L&S Value Next Open
12/7/2017 Sht S 29.83 10,480
12/7/2017 Cov o 28.35 10,480
12/8/2017 Sht S 28.30 10,561
12/8/2017 Cov o 28.04 10,561
12/11/2017 Sht S 27.99 10,584
12/11/2017 Cov o 27.89 10,584
12/12/2017 C/B S 27.89 10,551
12/12/2017 S/Sh S 27.84 10,551
12/13/2017 C/B S 28.03 10,521
12/13/2017 S/Sh S 27.99 10,521
12/14/2017 C/B S 28.75 10,496
12/14/2017 S/Sh S 28.72 10,496
12/15/2017 Buy S 29.26 10,874
12/15/2017 Sell o 30.36 10,874
12/18/2017 Sht S 30.33 11,350
12/18/2017 Cov o 28.96 11,350
12/19/2017 Sht S 28.93 11,290
12/19/2017 Cov o 29.05 11,290
12/20/2017 C/B S 29.05 11,263
12/20/2017 S/Sh S 29.01 11,263
12/21/2017 C/B S 27.72 11,238
12/21/2017 S/Sh S 27.69 11,238
12/22/2017 Sht S 25.01 11,404
12/22/2017 Cov o 24.61 11,404
12/26/2017 Sht S 24.55 12,063
12/26/2017 Cov o 23.10 12,063
12/27/2017 Buy S 23.52 11,856
12/27/2017 Sell o 23.15 11,856
12/28/2017 Sht S 23.07 11,892
12/28/2017 Cov o 22.97 11,892
12/29/2017 C/B S 23.07 11,789
12/29/2017 S/Sh S 22.89 11,789
1/2/2018 Sht S 22.58 12,431
1/2/2018 Cov o 21.32 12,431
1/3/2018 Sht S 21.27 12,585
1/3/2018 Cov o 20.99 12,585
1/4/2018 C/B S 21.03 12,520
1/4/2018 S/Sh S 20.94 12,520
1/5/2018 Buy S 20.65 12,809
1/5/2018 Sell o 21.15 12,809
1/8/2018 C/B S 21.21 12,737
1/8/2018 S/Sh S 21.11 12,737
1/9/2018 Sht S 20.21 12,727
1/9/2018 Cov o 20.20 12,727
1/10/2018 C/B S 20.58 12,454
1/10/2018 S/Sh S 20.17 12,454
1/11/2018 Sht S 20.15 12,879
1/11/2018 Cov o 19.44 12,879
1/12/2018 C/B S 19.44 12,853
1/12/2018 S/Sh S 19.42 12,853
1/16/2018 C/B S 19.00 12,768
1/16/2018 S/Sh S 18.90 12,768
1/17/2018 C/B S 20.00 12,542
1/17/2018 S/Sh S 19.66 12,542
1/18/2018 Buy S 19.82 13,021
1/18/2018 Sell o 20.60 13,021
1/19/2018 C/B S 20.60 12,997
1/19/2018 S/Sh S 20.58 12,997
1/22/2018 Sht S 20.58 14,207
1/22/2018 Cov o 18.64 14,207
1/23/2018 C/B S 19.09 13,839
1/23/2018 S/Sh S 18.62 13,839
1/24/2018 C/B S 18.53 13,750
1/24/2018 S/Sh S 18.43 13,750
1/25/2018 Buy S 18.79 14,067
1/25/2018 Sell o 19.24 14,067
1/26/2018 Sht S 19.21 13,477
1/26/2018 Cov o 20.00 13,477
1/29/2018 C/B S 20.00 13,445
1/29/2018 S/Sh S 19.97 13,445
1/30/2018 Buy S 21.01 14,307
1/30/2018 Sell o 22.38 14,307
1/31/2018 C/B S 22.59 14,133
1/31/2018 S/Sh S 22.34 14,133
2/1/2018 C/B S 22.95 13,933
2/1/2018 S/Sh S 22.65 13,933
2/2/2018 Buy S 22.80 15,874
2/2/2018 Sell o 26.00 15,874
2/5/2018 C/B S 26.00 15,821
2/5/2018 S/Sh S 25.94 15,821
2/6/2018 C/B S 28.75 15,762
2/6/2018 S/Sh S 28.67 15,762
2/7/2018 C/B S 26.95 15,309
2/7/2018 S/Sh S 26.21 15,309
2/8/2018 C/B S 29.01 15,150
2/8/2018 S/Sh S 28.74 15,150
2/9/2018 C/B S 32.63 14,604
2/9/2018 S/Sh S 31.50 14,604
2/12/2018 Sht S 31.88 15,179
2/12/2018 Cov o 30.59 15,179
2/13/2018 Buy S 30.59 16,246
2/13/2018 Sell o 32.77 16,246
2/14/2018 C/B S 32.77 16,189
2/14/2018 S/Sh S 32.68 16,189
2/15/2018 C/B S 29.12 15,762
2/15/2018 S/Sh S 28.39 15,762
2/16/2018 C/B S 29.02 15,375
2/16/2018 S/Sh S 28.34 15,375
2/20/2018 Sht S 29.04 15,680
2/20/2018 Cov o 28.44 15,680
2/21/2018 Buy S 29.16 16,678
2/21/2018 Sell o 31.04 16,678
2/22/2018 C/B S 31.39 16,457
2/22/2018 S/Sh S 31.00 16,457
2/23/2018 Sht S 29.73 17,484
2/23/2018 Cov o 27.85 17,484
2/26/2018 Sht S 27.82 17,451
2/26/2018 Cov o 27.85 17,451
2/27/2018 C/B S 27.99 17,331
2/27/2018 S/Sh S 27.82 17,331
2/28/2018 Buy S 29.34 18,497
2/28/2018 Sell o 31.34 18,497
3/1/2018 C/B S 31.34 18,464
3/1/2018 S/Sh S 31.31 18,464
3/2/2018 C/B S 31.27 18,428
3/2/2018 S/Sh S 31.24 18,428
3/5/2018 Sht S 28.10 19,275
3/5/2018 Cov o 26.79 19,275
3/6/2018 C/B S 27.30 18,866
3/6/2018 S/Sh S 26.75 18,866
3/7/2018 C/B S 29.13 18,823
3/7/2018 S/Sh S 29.09 18,823
3/8/2018 Buy S 29.06 18,394
3/8/2018 Sell o 28.42 18,394
3/9/2018 Sht S 28.38 18,949
3/9/2018 Cov o 27.50 18,949
3/12/2018 Sht S 27.46 19,121
3/12/2018 Cov o 27.19 19,121
3/13/2018 C/B S 27.19 19,081
3/13/2018 S/Sh S 27.15 19,081
3/14/2018 Buy S 27.37 18,842
3/14/2018 Sell o 27.05 18,842
3/15/2018 C/B S 27.79 18,296
3/15/2018 S/Sh S 27.02 18,296
3/16/2018 Sht S 29.41 18,638
3/16/2018 Cov o 28.84 18,638
3/19/2018 Buy S 28.84 19,335
3/19/2018 Sell o 29.94 19,335
3/21/2018 Sht S 29.13 20,193
3/21/2018 Cov o 27.82 20,193
3/22/2018 C/B S 27.82 20,148
3/22/2018 S/Sh S 27.78 20,148
3/23/2018 C/B S 28.03 19,950
3/23/2018 S/Sh S 27.78 19,950
3/26/2018 C/B S 28.61 19,774
3/26/2018 S/Sh S 28.38 19,774
3/27/2018 C/B S 27.72 19,732
3/27/2018 S/Sh S 27.68 19,732
3/28/2018 C/B S 29.58 19,692
3/28/2018 S/Sh S 29.54 19,692
3/29/2018 Sht S 30.23 20,805
3/29/2018 Cov o 28.50 20,805
4/2/2018 Buy S 28.50 22,163
4/2/2018 Sell o 30.38 22,163
4/3/2018 Sht S 30.34 21,301
4/3/2018 Cov o 31.50 21,301
4/4/2018 C/B S 31.50 21,259
4/4/2018 S/Sh S 31.46 21,259
4/5/2018 Sht S 29.34 22,292
4/5/2018 Cov o 27.90 22,292
4/6/2018 Buy S 27.90 23,567
4/6/2018 Sell o 29.51 23,567
4/9/2018 Sht S 29.48 24,538
4/9/2018 Cov o 28.25 24,538
4/10/2018 Sht S 28.22 26,157
4/10/2018 Cov o 26.34 26,157
4/11/2018 Sht S 26.29 27,825
4/11/2018 Cov o 24.60 27,825
4/12/2018 Buy S 25.04 28,148
4/12/2018 Sell o 25.34 28,148
4/13/2018 Sht S 25.27 28,993
4/13/2018 Cov o 24.50 28,993
4/16/2018 C/B S 24.61 28,771
4/16/2018 S/Sh S 24.43 28,771
4/17/2018 Sht S 23.80 29,795
4/17/2018 Cov o 22.94 29,795
4/18/2018 Sht S 22.88 31,497
4/18/2018 Cov o 21.56 31,497
4/19/2018 C/B S 21.75 31,135
4/19/2018 S/Sh S 21.51 31,135
4/20/2018 Buy S 22.10 32,177
4/20/2018 Sell o 22.85 32,177
4/23/2018 C/B S 22.85 32,098
4/23/2018 S/Sh S 22.80 32,098
4/24/2018 C/B S 21.82 32,009
4/24/2018 S/Sh S 21.77 32,009
4/25/2018 C/B S 22.77 31,952
4/25/2018 S/Sh S 22.74 31,952
4/26/2018 Sht S 21.78 31,774
4/26/2018 Cov o 21.89 31,774
4/27/2018 C/B S 21.89 31,738
4/27/2018 S/Sh S 21.87 31,738
4/30/2018 Sht S 21.99 31,990
4/30/2018 Cov o 21.81 31,990
5/1/2018 C/B S 21.81 31,952
5/1/2018 S/Sh S 21.79 31,952
5/2/2018 C/B S 21.74 31,841
5/2/2018 S/Sh S 21.67 31,841
5/3/2018 Buy S 21.96 33,915
5/3/2018 Sell o 23.40 33,915
5/4/2018 C/B S 23.46 33,787
5/4/2018 S/Sh S 23.38 33,787
5/7/2018 Sht S 21.53 32,877
5/7/2018 Cov o 22.10 32,877
5/8/2018 C/B S 22.10 32,828
5/8/2018 S/Sh S 22.08 32,828
5/9/2018 Sht S 20.86 34,335
5/9/2018 Cov o 19.89 34,335
5/10/2018 C/B S 20.02 34,034
5/10/2018 S/Sh S 19.85 34,034
5/11/2018 C/B S 19.77 33,906
5/11/2018 S/Sh S 19.71 33,906
5/14/2018 Sht S 20.05 34,794
5/14/2018 Cov o 19.52 34,794
5/15/2018 C/B S 19.67 34,441
5/15/2018 S/Sh S 19.48 34,441
5/16/2018 C/B S 19.47 34,187
5/16/2018 S/Sh S 19.33 34,187
5/17/2018 Sht S 18.70 35,940
5/17/2018 Cov o 17.73 35,940
5/18/2018 Buy S 17.76 35,809
5/18/2018 Sell o 17.70 35,809
5/21/2018 Sht S 17.67 36,713
5/21/2018 Cov o 17.22 36,713
5/22/2018 C/B S 17.40 36,258
5/22/2018 S/Sh S 17.19 36,258
5/23/2018 C/B S 18.39 36,181
5/23/2018 S/Sh S 18.36 36,181
5/24/2018 C/B S 19.27 36,115
5/24/2018 S/Sh S 19.24 36,115
5/25/2018 Buy S 20.23 38,689
5/25/2018 Sell o 21.68 38,689
5/29/2018 C/B S 21.68 38,602
5/29/2018 S/Sh S 21.64 38,602
5/30/2018 Sht S 20.49 41,412
5/30/2018 Cov o 18.99 41,412
5/31/2018 C/B S 18.99 41,291
5/31/2018 S/Sh S 18.94 41,291
6/1/2018 C/B S 19.35 41,033
6/1/2018 S/Sh S 19.24 41,033
6/4/2018 C/B S 19.52 40,145
6/4/2018 S/Sh S 19.11 40,145
6/5/2018 C/B S 21.23 40,071
6/5/2018 S/Sh S 21.20 40,071
6/6/2018 Sht S 20.78 40,647
6/6/2018 Cov o 20.47 40,647
6/7/2018 Sht S 20.44 42,597
6/7/2018 Cov o 19.45 42,597
6/8/2018 C/B S 19.45 42,520
6/8/2018 S/Sh S 19.42 42,520
6/11/2018 C/B S 19.93 42,446
6/11/2018 S/Sh S 19.90 42,446
6/12/2018 C/B S 19.07 42,222
6/12/2018 S/Sh S 18.98 42,222
6/13/2018 C/B S 18.82 41,802
6/13/2018 S/Sh S 18.64 41,802
6/14/2018 C/B S 18.77 40,433
6/14/2018 S/Sh S 18.17 40,433
6/15/2018 Buy S 19.61 43,017
6/15/2018 Sell o 20.87 43,017
6/18/2018 Sht S 20.85 43,948
6/18/2018 Cov o 20.39 43,948
6/19/2018 C/B S 20.39 43,886
6/19/2018 S/Sh S 20.37 43,886
6/20/2018 Sht S 19.14 45,234
6/20/2018 Cov o 18.54 45,234
6/21/2018 C/B S 18.54 45,161
6/21/2018 S/Sh S 18.52 45,161
6/22/2018 Sht S 17.98 45,088
6/22/2018 Cov o 18.00 45,088
6/25/2018 C/B S 18.11 44,732
6/25/2018 S/Sh S 17.97 44,732
6/26/2018 Sht S 19.06 47,695
6/26/2018 Cov o 17.79 47,695
6/27/2018 Sht S 17.76 48,923
6/27/2018 Cov o 17.30 48,923
6/28/2018 C/B S 17.39 48,573
6/28/2018 S/Sh S 17.27 48,573
6/29/2018 C/B S 17.38 48,388
6/29/2018 S/Sh S 17.32 48,388
7/2/2018 Buy S 17.50 48,374
7/2/2018 Sell o 17.50 48,374
7/3/2018 Sht S 17.48 48,357
7/3/2018 Cov o 17.48 48,357
7/5/2018 Sht S 17.46 48,919
7/5/2018 Cov o 17.25 48,919
7/6/2018 Sht S 17.23 51,155
7/6/2018 Cov o 16.44 51,155
7/9/2018 Sht S 16.43 54,465
7/9/2018 Cov o 15.36 54,465
7/10/2018 Sht S 15.34 52,391
7/10/2018 Cov o 15.92 52,391
7/11/2018 C/B S 15.92 52,278
7/11/2018 S/Sh S 15.89 52,278
7/12/2018 Buy S 16.71 51,753
7/12/2018 Sell o 16.55 51,753
7/13/2018 Sht S 16.52 49,936
7/13/2018 Cov o 17.10 49,936
7/16/2018 Buy S 17.10 51,178
7/16/2018 Sell o 17.53 51,178
7/17/2018 C/B S 17.53 51,096
7/17/2018 S/Sh S 17.51 51,096
7/18/2018 C/B S 17.71 51,008
7/18/2018 S/Sh S 17.68 51,008
7/19/2018 Sht S 17.05 52,387
7/19/2018 Cov o 16.59 52,387
7/20/2018 Buy S 16.59 52,481
7/20/2018 Sell o 16.62 52,481
7/23/2018 C/B S 16.98 51,284
7/23/2018 S/Sh S 16.61 51,284
7/24/2018 Sht S 17.17 51,464
7/24/2018 Cov o 17.10 51,464
7/25/2018 C/B S 17.10 51,415
7/25/2018 S/Sh S 17.09 51,415
7/26/2018 C/B S 16.55 51,197
7/26/2018 S/Sh S 16.48 51,197
7/27/2018 Buy S 16.57 54,790
7/27/2018 Sell o 17.74 54,790
7/30/2018 Sht S 17.73 55,984
7/30/2018 Cov o 17.34 55,984
7/31/2018 C/B S 17.38 55,810
7/31/2018 S/Sh S 17.33 55,810
8/1/2018 C/B S 17.71 55,754
8/1/2018 S/Sh S 17.70 55,754
8/2/2018 C/B S 17.95 55,685
8/2/2018 S/Sh S 17.93 55,685
8/3/2018 C/B S 17.95 55,615
8/3/2018 S/Sh S 17.93 55,615
8/6/2018 Sht S 17.73 57,397
8/6/2018 Cov o 17.16 57,397
8/7/2018 Buy S 17.78 58,906
8/7/2018 Sell o 18.25 58,906
8/8/2018 Buy S 18.25 60,538
8/8/2018 Sell o 18.76 60,538
8/9/2018 C/B S 18.76 60,481
8/9/2018 S/Sh S 18.75 60,481
8/10/2018 C/B S 18.75 60,417
8/10/2018 S/Sh S 18.73 60,417
8/13/2018 C/B S 18.44 60,349
8/13/2018 S/Sh S 18.42 60,349
8/15/2018 Buy S 19.78 61,159
8/15/2018 Sell o 20.05 61,159
8/17/2018 Sht S 20.63 62,057
8/17/2018 Cov o 20.32 62,057
8/20/2018 Sht S 20.28 64,564
8/20/2018 Cov o 19.46 64,564
8/21/2018 Sht S 19.43 66,634
8/21/2018 Cov o 18.80 66,634
8/22/2018 Sht S 18.77 67,831
8/22/2018 Cov o 18.43 67,831
8/23/2018 Buy S 18.43 65,903
8/23/2018 Sell o 17.91 65,903
8/24/2018 Sht S 17.88 65,469
8/24/2018 Cov o 17.99 65,469
8/27/2018 Sht S 17.95 65,799
8/27/2018 Cov o 17.86 65,799
8/28/2018 Buy S 18.20 66,523
8/28/2018 Sell o 18.40 66,523
8/29/2018 Sht S 18.37 67,608
8/29/2018 Cov o 18.07 67,608
8/30/2018 Buy S 18.25 68,904
8/30/2018 Sell o 18.60 68,904
8/31/2018 C/B S 18.60 68,859
8/31/2018 S/Sh S 18.59 68,859
9/4/2018 C/B S 18.66 68,612
9/4/2018 S/Sh S 18.60 68,612
9/5/2018 C/B S 19.83 68,553
9/5/2018 S/Sh S 19.82 68,553
9/6/2018 C/B S 20.05 68,455
9/6/2018 S/Sh S 20.03 68,455
9/7/2018 Buy S 21.02 68,057
9/7/2018 Sell o 20.90 68,057
9/10/2018 Sht S 20.86 66,477
9/10/2018 Cov o 21.34 66,477
9/11/2018 C/B S 21.49 65,872
9/11/2018 S/Sh S 21.30 65,872
9/12/2018 Sht S 19.87 66,701
9/12/2018 Cov o 19.62 66,701
9/13/2018 Buy S 19.62 66,449
9/13/2018 Sell o 19.55 66,449
9/14/2018 Sht S 19.53 65,914
9/14/2018 Cov o 19.68 65,914
9/17/2018 C/B S 19.84 65,291
9/17/2018 S/Sh S 19.65 65,291
9/18/2018 Sht S 19.23 65,664
9/18/2018 Cov o 19.12 65,664
9/19/2018 Sht S 19.10 69,151
9/19/2018 Cov o 18.08 69,151
9/20/2018 C/B S 18.53 67,357
9/20/2018 S/Sh S 18.06 67,357
9/21/2018 C/B S 18.72 67,268
9/21/2018 S/Sh S 18.70 67,268
9/24/2018 Sht S 17.85 67,164
9/24/2018 Cov o 17.87 67,164
9/25/2018 C/B S 18.00 66,547
9/25/2018 S/Sh S 17.84 66,547
9/26/2018 Buy S 18.60 66,951
9/26/2018 Sell o 18.72 66,951
9/27/2018 Sht S 18.70 66,249
9/27/2018 Cov o 18.89 66,249
9/28/2018 C/B S 18.89 66,187
9/28/2018 S/Sh S 18.88 66,187
10/1/2018 Sht S 17.90 67,457
10/1/2018 Cov o 17.55 67,457
10/2/2018 Buy S 17.84 67,571
10/2/2018 Sell o 17.87 67,571
10/3/2018 Sht S 17.86 70,957
10/3/2018 Cov o 16.96 70,957
10/4/2018 C/B S 16.96 70,865
10/4/2018 S/Sh S 16.94 70,865
10/5/2018 C/B S 17.47 70,659
10/5/2018 S/Sh S 17.43 70,659
10/8/2018 C/B S 17.98 70,568
10/8/2018 S/Sh S 17.96 70,568
10/9/2018 C/B S 17.44 70,496
10/9/2018 S/Sh S 17.43 70,496
10/10/2018 Buy S 16.56 79,633
10/10/2018 Sell o 18.71 79,633
10/11/2018 C/B S 18.71 79,567
10/11/2018 S/Sh S 18.70 79,567
10/12/2018 Buy S 19.60 76,293
10/12/2018 Sell o 18.80 76,293
10/15/2018 Sht S 18.77 77,368
10/15/2018 Cov o 18.50 77,368
10/16/2018 C/B S 18.50 77,219
10/16/2018 S/Sh S 18.47 77,219
10/17/2018 Buy S 18.32 82,496
10/17/2018 Sell o 19.57 82,496
10/18/2018 C/B S 19.57 82,353
10/18/2018 S/Sh S 19.54 82,353
10/19/2018 C/B S 19.99 81,603
10/19/2018 S/Sh S 19.82 81,603
10/22/2018 Buy S 19.99 90,046
10/22/2018 Sell o 22.06 90,046
10/23/2018 Buy S 22.06 93,126
10/23/2018 Sell o 22.82 93,126
10/24/2018 Buy S 23.10 104,821
10/24/2018 Sell o 26.00 104,821
10/25/2018 C/B S 26.64 101,964
10/25/2018 S/Sh S 25.92 101,964
10/26/2018 C/B S 26.92 101,593
10/26/2018 S/Sh S 26.83 101,593
10/29/2018 C/B S 27.52 98,859
10/29/2018 S/Sh S 26.80 98,859
10/30/2018 Sht S 30.15 110,544
10/30/2018 Cov o 26.58 110,544
10/31/2018 Sht S 26.48 113,476
10/31/2018 Cov o 25.77 113,476
11/1/2018 Sht S 25.70 115,974
11/1/2018 Cov o 25.13 115,974
11/2/2018 Buy S 25.57 113,064
11/2/2018 Sell o 24.93 113,064
11/5/2018 Sht S 24.89 116,579
11/5/2018 Cov o 24.11 116,579
11/6/2018 C/B S 24.40 114,928
11/6/2018 S/Sh S 24.06 114,928
11/7/2018 Sht S 22.78 112,649
11/7/2018 Cov o 23.23 112,649
11/8/2018 C/B S 23.23 112,316
11/8/2018 S/Sh S 23.16 112,316
11/9/2018 C/B S 25.00 112,100
11/9/2018 S/Sh S 24.96 112,100
11/12/2018 Buy S 24.79 118,219
11/12/2018 Sell o 26.15 118,219
11/13/2018 C/B S 27.13 113,660
11/13/2018 S/Sh S 26.11 113,660
11/14/2018 Buy S 28.10 119,258
11/14/2018 Sell o 29.49 119,258
11/15/2018 C/B S 29.49 119,007
11/15/2018 S/Sh S 29.43 119,007
11/16/2018 Buy S 28.46 123,133
11/16/2018 Sell o 29.45 123,133
11/19/2018 C/B S 29.45 122,856
11/19/2018 S/Sh S 29.39 122,856
11/20/2018 Buy S 29.39 134,295
11/20/2018 Sell o 32.13 134,295
11/21/2018 Sht S 32.07 131,777
11/21/2018 Cov o 32.67 131,777
11/23/2018 C/B S 32.67 131,561
11/23/2018 S/Sh S 32.62 131,561
11/26/2018 Sht S 31.82 130,287
11/26/2018 Cov o 32.13 130,287
11/27/2018 Buy S 32.22 135,464
11/27/2018 Sell o 33.50 135,464
11/28/2018 C/B S 33.72 134,324
11/28/2018 S/Sh S 33.44 134,324
11/29/2018 Sht S 31.40 126,936
11/29/2018 Cov o 33.12 126,936
11/30/2018 C/B S 33.12 126,788
11/30/2018 S/Sh S 33.09 126,788
12/3/2018 Sht S 30.74 132,489
12/3/2018 Cov o 29.35 132,489
12/4/2018 Buy S 29.56 149,039
12/4/2018 Sell o 33.26 149,039
12/6/2018 Buy S 33.26 150,504
12/6/2018 Sell o 33.59 150,504
12/7/2018 Sht S 33.52 141,495
12/7/2018 Cov o 35.52 141,495
12/10/2018 C/B S 35.52 141,192
12/10/2018 S/Sh S 35.45 141,192
12/11/2018 Sht S 35.88 141,450
12/11/2018 Cov o 35.81 141,450
12/12/2018 Sht S 35.71 137,875
12/12/2018 Cov o 36.61 137,875
12/13/2018 Buy S 37.35 140,146
12/13/2018 Sell o 37.97 140,146
12/14/2018 Buy S 37.97 156,814
12/14/2018 Sell o 42.49 156,814
12/17/2018 C/B S 42.49 156,531
12/17/2018 S/Sh S 42.42 156,531
12/18/2018 C/B S 46.69 156,134
12/18/2018 S/Sh S 46.58 156,134
12/19/2018 C/B S 49.51 154,516
12/19/2018 S/Sh S 49.01 154,516
12/20/2018 C/B S 53.12 153,975
12/20/2018 S/Sh S 52.94 153,975
12/21/2018 C/B S 57.12 152,164
12/21/2018 S/Sh S 56.46 152,164
12/24/2018 Buy S 61.86 168,826
12/24/2018 Sell o 68.64 168,826
12/26/2018 C/B S 69.79 165,185
12/26/2018 S/Sh S 68.30 165,185
12/27/2018 C/B S 54.40 164,235
12/27/2018 S/Sh S 54.09 164,235
12/28/2018 Buy S 51.87 166,236
12/28/2018 Sell o 52.51 166,236
12/31/2018 C/B S 54.29 159,894
12/31/2018 S/Sh S 52.26 159,894
1/2/2019 C/B S 57.04 159,251
1/2/2019 S/Sh S 56.82 159,251
1/3/2019 C/B S 48.74 153,621
1/3/2019 S/Sh S 47.05 153,621
1/4/2019 Sht S 45.59 175,226
1/4/2019 Cov o 39.17 175,226
1/7/2019 Sht S 38.99 197,628
1/7/2019 Cov o 34.00 197,628
1/9/2019 Sht S 33.58 198,513
1/9/2019 Cov o 33.43 198,513
1/10/2019 C/B S 33.83 194,528
1/10/2019 S/Sh S 33.16 194,528
1/11/2019 C/B S 33.63 190,769
1/11/2019 S/Sh S 32.99 190,769
1/14/2019 C/B S 34.32 189,706
1/14/2019 S/Sh S 34.13 189,706
1/15/2019 Sht S 32.52 198,745
1/15/2019 Cov o 30.97 198,745
1/16/2019 Sht S 30.91 192,461
1/16/2019 Cov o 31.89 192,461
1/17/2019 C/B S 31.89 192,182
1/17/2019 S/Sh S 31.85 192,182
1/18/2019 Sht S 30.65 193,043
1/18/2019 Cov o 30.51 193,043
1/22/2019 Buy S 30.51 200,242
1/22/2019 Sell o 31.65 200,242
1/23/2019 Buy S 32.80 208,185
1/23/2019 Sell o 34.10 208,185
1/24/2019 C/B S 34.45 205,791
1/24/2019 S/Sh S 34.06 205,791
1/25/2019 Sht S 32.25 203,246
1/25/2019 Cov o 32.65 203,246
1/28/2019 C/B S 32.65 202,941
1/28/2019 S/Sh S 32.60 202,941
1/29/2019 Sht S 32.33 211,296
1/29/2019 Cov o 31.00 211,296
1/30/2019 Sht S 30.95 220,251
1/30/2019 Cov o 29.64 220,251
1/31/2019 Buy S 29.73 235,579
1/31/2019 Sell o 31.80 235,579
2/1/2019 C/B S 32.14 232,728
2/1/2019 S/Sh S 31.76 232,728
2/4/2019 C/B S 32.53 232,417
2/4/2019 S/Sh S 32.49 232,417
2/5/2019 C/B S 31.48 232,209
2/5/2019 S/Sh S 31.45 232,209
2/6/2019 C/B S 33.01 232,010
2/6/2019 S/Sh S 32.98 232,010
2/7/2019 Buy S 34.16 266,277
2/7/2019 Sell o 39.21 266,277
2/8/2019 C/B S 39.21 265,807
2/8/2019 S/Sh S 39.14 265,807
2/11/2019 C/B S 41.16 265,063
2/11/2019 S/Sh S 41.05 265,063
2/12/2019 Sht S 35.88 266,575
2/12/2019 Cov o 35.67 266,575
2/13/2019 Sht S 35.56 277,718
2/13/2019 Cov o 34.07 277,718
2/14/2019 Sht S 33.97 287,665
2/14/2019 Cov o 32.75 287,665
2/15/2019 Sht S 32.66 296,096
2/15/2019 Cov o 31.70 296,096
2/19/2019 C/B S 31.70 295,117
2/19/2019 S/Sh S 31.60 295,117
2/20/2019 Sht S 30.90 303,693
2/20/2019 Cov o 30.00 303,693
2/21/2019 C/B S 30.12 301,411
2/21/2019 S/Sh S 29.89 301,411
2/22/2019 Sht S 30.92 295,634
2/22/2019 Cov o 31.51 295,634
2/25/2019 C/B S 31.53 294,898
2/25/2019 S/Sh S 31.46 294,898
2/26/2019 C/B S 31.00 291,328
2/26/2019 S/Sh S 30.63 291,328
2/27/2019 C/B S 32.42 283,727
2/27/2019 S/Sh S 31.58 283,727
2/28/2019 Buy S 32.52 279,598
2/28/2019 Sell o 32.05 279,598
3/1/2019 Sht S 32.02 296,968
3/1/2019 Cov o 30.03 296,968
3/4/2019 C/B S 31.07 286,610
3/4/2019 S/Sh S 30.01 286,610
3/5/2019 C/B S 30.22 285,591
3/5/2019 S/Sh S 30.12 285,591
3/6/2019 Buy S 31.59 294,707
3/6/2019 Sell o 32.60 294,707
3/7/2019 Buy S 33.09 318,310
3/7/2019 Sell o 35.74 318,310
3/8/2019 Buy S 35.74 328,271
3/8/2019 Sell o 36.86 328,271
3/11/2019 Sht S 36.79 346,383
3/11/2019 Cov o 34.76 346,383
3/12/2019 Sht S 34.68 373,931
3/12/2019 Cov o 31.92 373,931
3/13/2019 Sht S 31.84 381,459
3/13/2019 Cov o 31.20 381,459
3/14/2019 Sht S 31.13 372,700
3/14/2019 Cov o 31.84 372,700
3/15/2019 Buy S 31.84 371,047
3/15/2019 Sell o 31.70 371,047
3/18/2019 Sht S 31.63 401,878
3/18/2019 Cov o 29.00 401,878
3/19/2019 C/B S 29.90 388,474
3/19/2019 S/Sh S 28.92 388,474
3/20/2019 Sht S 30.28 417,439
3/20/2019 Cov o 28.02 417,439
3/21/2019 C/B S 28.02 416,579
3/21/2019 S/Sh S 27.96 416,579
3/22/2019 Buy S 27.90 461,805
3/22/2019 Sell o 30.93 461,805
3/25/2019 C/B S 30.93 460,989
3/25/2019 S/Sh S 30.88 460,989
3/26/2019 Sht S 29.23 475,131
3/26/2019 Cov o 28.33 475,131
3/27/2019 Buy S 28.86 485,033
3/27/2019 Sell o 29.46 485,033
3/28/2019 C/B S 29.46 484,434
3/28/2019 S/Sh S 29.42 484,434
3/29/2019 Sht S 27.74 484,862
3/29/2019 Cov o 27.71 484,862
4/1/2019 Sht S 27.67 492,305
4/1/2019 Cov o 27.25 492,305
4/2/2019 C/B S 27.52 486,583
4/2/2019 S/Sh S 27.21 486,583
4/3/2019 C/B S 28.19 479,750
4/3/2019 S/Sh S 27.80 479,750
4/4/2019 C/B S 30.48 473,840
4/4/2019 S/Sh S 30.11 473,840
4/5/2019 Sht S 28.89 508,667
4/5/2019 Cov o 26.77 508,667
4/8/2019 Sht S 26.73 511,602
4/8/2019 Cov o 26.58 511,602
4/9/2019 Buy S 26.60 526,965
4/9/2019 Sell o 27.40 526,965
4/10/2019 Sht S 27.36 509,768
4/10/2019 Cov o 28.25 509,768
4/11/2019 C/B S 28.25 509,007
4/11/2019 S/Sh S 28.21 509,007
4/12/2019 Sht S 25.73 507,793
4/12/2019 Cov o 25.79 507,793
4/15/2019 C/B S 25.79 506,829
4/15/2019 S/Sh S 25.74 506,829
4/16/2019 C/B S 26.30 500,094
4/16/2019 S/Sh S 25.95 500,094
4/17/2019 C/B S 25.94 495,518
4/17/2019 S/Sh S 25.71 495,518
4/18/2019 Buy S 26.65 495,406
4/18/2019 Sell o 26.64 495,406
4/22/2019 Sht S 26.61 519,726
4/22/2019 Cov o 25.30 519,726
4/23/2019 C/B S 25.40 516,983
4/23/2019 S/Sh S 25.27 516,983
4/24/2019 Buy S 25.22 535,751
4/24/2019 Sell o 26.14 535,751
4/25/2019 Buy S 26.32 570,330
4/25/2019 Sell o 28.02 570,330
4/26/2019 C/B S 28.02 569,847
4/26/2019 S/Sh S 28.00 569,847
4/29/2019 C/B S 28.60 566,403
4/29/2019 S/Sh S 28.43 566,403
4/30/2019 C/B S 28.78 552,708
4/30/2019 S/Sh S 28.10 552,708
5/1/2019 C/B S 30.29 548,382
5/1/2019 S/Sh S 30.06 548,382
5/2/2019 Buy S 33.42 574,293
5/2/2019 Sell o 35.00 574,293
5/3/2019 Sht S 34.90 582,366
5/3/2019 Cov o 34.41 582,366
5/6/2019 C/B S 34.41 580,694
5/6/2019 S/Sh S 34.31 580,694
5/7/2019 C/B S 33.77 579,123
5/7/2019 S/Sh S 33.68 579,123
5/8/2019 C/B S 33.57 573,994
5/8/2019 S/Sh S 33.28 573,994
5/9/2019 C/B S 33.08 572,854
5/9/2019 S/Sh S 33.02 572,854
5/10/2019 C/B S 32.69 572,192
5/10/2019 S/Sh S 32.65 572,192
5/13/2019 Buy S 32.12 596,761
5/13/2019 Sell o 33.50 596,761
5/14/2019 Sht S 33.48 601,943
5/14/2019 Cov o 33.19 601,943
5/15/2019 C/B S 33.19 601,561
5/15/2019 S/Sh S 33.17 601,561
5/16/2019 Sht S 30.21 584,795
5/16/2019 Cov o 31.05 584,795
5/17/2019 Buy S 31.05 619,623
5/17/2019 Sell o 32.90 619,623
5/20/2019 C/B S 33.01 616,929
5/20/2019 S/Sh S 32.87 616,929
5/21/2019 Sht S 33.09 636,634
5/21/2019 Cov o 32.03 636,634
5/22/2019 Buy S 32.03 733,814
5/22/2019 Sell o 36.92 733,814
5/23/2019 Buy S 36.92 794,222
5/23/2019 Sell o 39.96 794,222
5/24/2019 C/B S 40.52 781,452
5/24/2019 S/Sh S 39.87 781,452
5/28/2019 Buy S 40.66 838,127
5/28/2019 Sell o 43.61 838,127
5/29/2019 C/B S 43.61 835,659
5/29/2019 S/Sh S 43.48 835,659
5/30/2019 Buy S 42.17 944,933
5/30/2019 Sell o 47.69 944,933
5/31/2019 C/B S 47.69 942,035
5/31/2019 S/Sh S 47.54 942,035
6/3/2019 C/B S 47.23 918,983
6/3/2019 S/Sh S 46.09 918,983
6/4/2019 Sht S 44.20 955,548
6/4/2019 Cov o 42.44 955,548
6/5/2019 Buy S 42.54 1,052,825
6/5/2019 Sell o 46.87 1,052,825
6/6/2019 C/B S 47.27 1,042,387
6/6/2019 S/Sh S 46.80 1,042,387
6/7/2019 C/B S 46.25 1,037,370
6/7/2019 S/Sh S 46.03 1,037,370
6/10/2019 C/B S 46.79 1,014,519
6/10/2019 S/Sh S 45.77 1,014,519
6/11/2019 C/B S 48.31 985,835
6/11/2019 S/Sh S 46.96 985,835
6/12/2019 Buy S 50.21 973,844
6/12/2019 Sell o 49.60 973,844
6/13/2019 Sht S 49.52 989,707
6/13/2019 Cov o 48.71 989,707
6/14/2019 Buy S 49.36 1,077,030
6/14/2019 Sell o 53.72 1,077,030
6/17/2019 C/B S 53.72 1,075,488
6/17/2019 S/Sh S 53.64 1,075,488
6/18/2019 Sht S 48.89 1,112,154
6/18/2019 Cov o 47.22 1,112,154
6/19/2019 C/B S 47.70 1,099,093
6/19/2019 S/Sh S 47.14 1,099,093
6/20/2019 Sht S 45.39 1,121,407
6/20/2019 Cov o 44.47 1,121,407
6/21/2019 C/B S 45.29 1,098,579
6/21/2019 S/Sh S 44.38 1,098,579
6/24/2019 Buy S 45.70 1,140,962
6/24/2019 Sell o 47.46 1,140,962
6/25/2019 C/B S 47.46 1,138,544
6/25/2019 S/Sh S 47.36 1,138,544
6/26/2019 Sht S 45.99 1,197,738
6/26/2019 Cov o 43.60 1,197,738
6/27/2019 C/B S 43.69 1,193,861
6/27/2019 S/Sh S 43.55 1,193,861
6/28/2019 Sht S 42.38 1,294,863
6/28/2019 Cov o 38.79 1,294,863
7/1/2019 Buy S 41.87 1,290,364
7/1/2019 Sell o 41.72 1,290,364
7/2/2019 Buy S 41.94 1,409,554
7/2/2019 Sell o 45.81 1,409,554
7/3/2019 C/B S 46.28 1,393,250
7/3/2019 S/Sh S 45.75 1,393,250
7/5/2019 Sht S 45.56 1,452,516
7/5/2019 Cov o 43.62 1,452,516
7/8/2019 C/B S 43.80 1,444,674
7/8/2019 S/Sh S 43.56 1,444,674
7/9/2019 C/B S 45.78 1,442,917
7/9/2019 S/Sh S 45.72 1,442,917
7/10/2019 Sht S 44.77 1,526,126
7/10/2019 Cov o 42.19 1,526,126
7/11/2019 C/B S 42.78 1,502,635
7/11/2019 S/Sh S 42.13 1,502,635
7/12/2019 Sht S 44.99 1,527,663
7/12/2019 Cov o 44.24 1,527,663
7/15/2019 Buy S 44.72 1,641,274
7/15/2019 Sell o 48.05 1,641,274
7/16/2019 Buy S 48.26 1,750,839
7/16/2019 Sell o 51.48 1,750,839
7/17/2019 Buy S 51.75 1,898,622
7/17/2019 Sell o 56.12 1,898,622
7/18/2019 Buy S 56.49 1,954,560
7/18/2019 Sell o 58.15 1,954,560
7/19/2019 C/B S 58.15 1,948,499
7/19/2019 S/Sh S 57.97 1,948,499
7/22/2019 C/B S 56.57 1,911,688
7/22/2019 S/Sh S 55.51 1,911,688
7/23/2019 C/B S 55.78 1,885,707
7/23/2019 S/Sh S 55.03 1,885,707
7/24/2019 Sht S 54.05 1,887,447
7/24/2019 Cov o 53.99 1,887,447
7/25/2019 Buy S 54.55 2,127,934
7/25/2019 Sell o 61.50 2,127,934
7/26/2019 Buy S 61.50 2,240,025
7/26/2019 Sell o 64.74 2,240,025
7/29/2019 Buy S 65.45 2,357,410
7/29/2019 Sell o 68.88 2,357,410
7/30/2019 Sht S 68.71 2,840,707
7/30/2019 Cov o 54.62 2,840,707
7/31/2019 C/B S 56.74 2,723,251
7/31/2019 S/Sh S 54.44 2,723,251
8/1/2019 C/B S 57.31 2,714,473
8/1/2019 S/Sh S 57.13 2,714,473
8/2/2019 C/B S 65.14 2,647,720
8/2/2019 S/Sh S 63.56 2,647,720
8/5/2019 Buy S 69.99 2,761,195
8/5/2019 Sell o 72.99 2,761,195
8/6/2019 Buy S 74.57 3,052,633
8/6/2019 Sell o 82.44 3,052,633
8/7/2019 C/B S 82.44 3,043,065
8/7/2019 S/Sh S 82.18 3,043,065
8/8/2019 Sht S 75.75 3,203,390
8/8/2019 Cov o 71.76 3,203,390
8/9/2019 C/B S 75.15 3,040,541
8/9/2019 S/Sh S 71.43 3,040,541
8/12/2019 Buy S 76.88 3,192,712
8/12/2019 Sell o 80.73 3,192,712
8/13/2019 C/B S 80.73 3,185,274
8/13/2019 S/Sh S 80.54 3,185,274
8/14/2019 C/B S 82.95 3,181,493
8/14/2019 S/Sh S 82.85 3,181,493
8/15/2019 C/B S 91.68 3,176,520
8/15/2019 S/Sh S 91.54 3,176,520
8/16/2019 Sht S 88.89 3,618,109
8/16/2019 Cov o 76.53 3,618,109
8/19/2019 Sht S 76.31 3,781,206
8/19/2019 Cov o 72.87 3,781,206
8/20/2019 C/B S 72.89 3,768,023
8/20/2019 S/Sh S 72.64 3,768,023
8/21/2019 C/B S 74.80 3,566,448
8/21/2019 S/Sh S 70.91 3,566,448
8/22/2019 C/B S 76.02 3,436,178
8/22/2019 S/Sh S 73.30 3,436,178
8/23/2019 C/B S 83.00 3,425,601
8/23/2019 S/Sh S 82.75 3,425,601
8/26/2019 Sht S 86.68 3,479,674
8/26/2019 Cov o 85.31 3,479,674
8/27/2019 Buy S 89.09 3,466,019
8/27/2019 Sell o 88.74 3,466,019
8/28/2019 Sht S 88.51 3,906,095
8/28/2019 Cov o 77.27 3,906,095
8/29/2019 Sht S 77.05 4,215,363
8/29/2019 Cov o 70.95 4,215,363
8/30/2019 Buy S 72.77 4,741,196
8/30/2019 Sell o 81.85 4,741,196
9/3/2019 C/B S 81.85 4,729,332
9/3/2019 S/Sh S 81.65 4,729,332
9/4/2019 Sht S 76.91 5,088,470
9/4/2019 Cov o 71.07 5,088,470
9/5/2019 Sht S 70.87 5,196,743
9/5/2019 Cov o 69.36 5,196,743
9/6/2019 Buy S 69.36 5,014,663
9/6/2019 Sell o 66.93 5,014,663
9/9/2019 Sht S 66.74 5,826,923
9/9/2019 Cov o 55.93 5,826,923
9/10/2019 Sht S 55.72 5,714,724
9/10/2019 Cov o 56.79 5,714,724
9/11/2019 C/B S 58.85 5,480,121
9/11/2019 S/Sh S 56.49 5,480,121
9/12/2019 C/B S 60.00 5,448,723
9/12/2019 S/Sh S 59.66 5,448,723
9/13/2019 Sht S 56.79 6,713,446
9/13/2019 Cov o 43.61 6,713,446
9/16/2019 Sht S 43.40 7,449,263
9/16/2019 Cov o 38.64 7,449,263
9/17/2019 Buy S 39.16 8,563,705
9/17/2019 Sell o 45.02 8,563,705
9/18/2019 C/B S 45.02 8,509,359
9/18/2019 S/Sh S 44.74 8,509,359
9/19/2019 C/B S 46.51 7,994,603
9/19/2019 S/Sh S 43.79 7,994,603
9/20/2019 C/B S 49.03 7,670,414
9/20/2019 S/Sh S 47.08 7,670,414
9/23/2019 C/B S 48.93 7,631,544
9/23/2019 S/Sh S 48.68 7,631,544
9/24/2019 Buy S 49.12 8,588,579
9/24/2019 Sell o 55.28 8,588,579
9/25/2019 C/B S 55.28 8,569,086
9/25/2019 S/Sh S 55.15 8,569,086
9/26/2019 Buy S 55.59 9,358,309
9/26/2019 Sell o 60.71 9,358,309
9/27/2019 C/B S 60.71 9,334,375
9/27/2019 S/Sh S 60.56 9,334,375
9/30/2019 C/B S 60.85 9,308,097
9/30/2019 S/Sh S 60.68 9,308,097
10/1/2019 C/B S 61.16 9,177,926
10/1/2019 S/Sh S 60.31 9,177,926
10/2/2019 C/B S 69.88 9,155,819
10/2/2019 S/Sh S 69.71 9,155,819
10/3/2019 C/B S 74.99 9,132,498
10/3/2019 S/Sh S 74.80 9,132,498
10/4/2019 C/B S 69.61 8,864,689
10/4/2019 S/Sh S 67.60 8,864,689
10/7/2019 C/B S 70.14 8,837,197
10/7/2019 S/Sh S 69.92 8,837,197
10/8/2019 Buy S 75.13 9,218,289
10/8/2019 Sell o 78.37 9,218,289
10/9/2019 C/B S 81.46 8,838,392
10/9/2019 S/Sh S 78.17 8,838,392
10/10/2019 C/B S 82.33 8,724,250
10/10/2019 S/Sh S 81.27 8,724,250
10/11/2019 Sht S 77.73 8,622,246
10/11/2019 Cov o 78.64 8,622,246
10/14/2019 C/B S 78.64 8,607,044
10/14/2019 S/Sh S 78.50 8,607,044
10/15/2019 C/B S 79.46 8,591,326
10/15/2019 S/Sh S 79.32 8,591,326
10/16/2019 C/B S 77.99 8,491,428
10/16/2019 S/Sh S 77.09 8,491,428
10/17/2019 C/B S 80.12 8,438,902
10/17/2019 S/Sh S 79.62 8,438,902
10/18/2019 C/B S 79.66 8,357,244
10/18/2019 S/Sh S 78.89 8,357,244
10/21/2019 C/B S 88.78 8,349,615
10/21/2019 S/Sh S 88.70 8,349,615
10/22/2019 C/B S 84.95 8,222,185
10/22/2019 S/Sh S 83.67 8,222,185
10/23/2019 C/B S 81.14 8,157,109
10/23/2019 S/Sh S 80.51 8,157,109
10/24/2019 Buy S 75.75 8,322,253
10/24/2019 Sell o 77.28 8,322,253
10/25/2019 C/B S 77.28 8,309,745
10/25/2019 S/Sh S 77.16 8,309,745
10/28/2019 C/B S 70.97 8,022,095
10/28/2019 S/Sh S 68.55 8,022,095
10/29/2019 C/B S 75.04 7,835,907
10/29/2019 S/Sh S 73.32 7,835,907
10/30/2019 Buy S 68.13 8,604,777
10/30/2019 Sell o 74.82 8,604,777
10/31/2019 C/B S 75.72 8,483,936
10/31/2019 S/Sh S 74.66 8,483,936
11/1/2019 Sht S 74.59 9,625,972
11/1/2019 Cov o 64.55 9,625,972
11/4/2019 Sht S 64.45 11,206,432
11/4/2019 Cov o 53.87 11,206,432
11/5/2019 Sht S 53.69 10,826,532
11/5/2019 Cov o 55.51 10,826,532
11/6/2019 C/B S 56.48 10,584,722
11/6/2019 S/Sh S 55.24 10,584,722
11/7/2019 Sht S 55.00 9,814,654
11/7/2019 Cov o 59.00 9,814,654
11/8/2019 C/B S 59.00 9,762,369
11/8/2019 S/Sh S 58.69 9,762,369
11/11/2019 C/B S 58.90 9,712,055
11/11/2019 S/Sh S 58.60 9,712,055
11/12/2019 C/B S 61.06 9,430,725
11/12/2019 S/Sh S 59.31 9,430,725
11/13/2019 C/B S 63.00 9,417,559
11/13/2019 S/Sh S 62.91 9,417,559
11/14/2019 C/B S 64.71 9,183,252
11/14/2019 S/Sh S 63.12 9,183,252
11/15/2019 Sht S 65.75 9,485,082
11/15/2019 Cov o 63.59 9,485,082
11/18/2019 Buy S 63.59 10,724,586
11/18/2019 Sell o 71.90 10,724,586
11/19/2019 Buy S 71.90 11,370,434
11/19/2019 Sell o 76.23 11,370,434
11/20/2019 C/B S 77.53 11,152,007
11/20/2019 S/Sh S 76.05 11,152,007
11/21/2019 C/B S 75.91 10,809,632
11/21/2019 S/Sh S 73.62 10,809,632
11/22/2019 C/B S 72.59 10,614,835
11/22/2019 S/Sh S 71.29 10,614,835
11/25/2019 C/B S 72.41 10,590,641
11/25/2019 S/Sh S 72.25 10,590,641
11/26/2019 Buy S 67.71 11,496,914
11/26/2019 Sell o 73.50 11,496,914
11/27/2019 C/B S 74.05 11,395,772
11/27/2019 S/Sh S 73.40 11,395,772
11/29/2019 C/B S 73.57 11,384,635
11/29/2019 S/Sh S 73.50 11,384,635
12/2/2019 C/B S 76.21 10,974,799
12/2/2019 S/Sh S 73.52 10,974,799
12/3/2019 C/B S 80.00 10,965,070
12/3/2019 S/Sh S 79.93 10,965,070
12/4/2019 Sht S 78.02 12,050,581
12/4/2019 Cov o 70.30 12,050,581
12/5/2019 C/B S 72.10 11,726,912
12/5/2019 S/Sh S 70.19 11,726,912
12/6/2019 Sht S 73.41 12,829,137
12/6/2019 Cov o 66.51 12,829,137

Update 1/9/20

Trades since first publication. Note that some days there was 2 signals and 2 trades, but because we use daily OHLC prices the backtester can't tell if the buy or sell signal came first. In this case we average the profits from the buy-sell and short-cover transactions. These transactions show up as S/Sh and C/B below. Here we show the value at the next open.

 

Date Type Price Value NOpen
Initial 10,000
12/4/2019 Sht S 78.02 10,975
12/4/2019 Cov o 70.30 10,975
12/5/2019 C/B S 72.10 10,667
12/5/2019 S/Sh S 70.19 10,667
12/6/2019 Sht S 73.41 11,322
12/6/2019 Cov o 68.80 11,322
12/9/2019 C/B S 68.80 11,291
12/9/2019 S/Sh S 68.69 11,291
12/10/2019 Sht S 61.31 11,518
12/10/2019 Cov o 60.00 11,518
12/11/2019 C/B S 60.65 11,337
12/11/2019 S/Sh S 59.78 11,337
12/12/2019 Sht S 60.25 12,649
12/12/2019 Cov o 53.20 12,649
12/13/2019 C/B S 54.35 12,313
12/13/2019 S/Sh S 52.98 12,313
12/16/2019 Sht S 54.66 12,879
12/16/2019 Cov o 52.08 12,879
12/17/2019 Sht S 51.88 13,464
12/17/2019 Cov o 49.47 13,464
12/18/2019 C/B S 49.47 13,405
12/18/2019 S/Sh S 49.30 13,405
12/19/2019 Sht S 45.83 14,147
12/19/2019 Cov o 43.25 14,147
12/20/2019 Buy S 44.57 14,415
12/20/2019 Sell o 45.46 14,415
12/23/2019 Sht S 45.30 15,819
12/23/2019 Cov o 40.84 15,819
12/24/2019 C/B S 41.54 15,480
12/24/2019 S/Sh S 40.69 15,480
12/26/2019 Sht S 40.38 15,456
12/26/2019 Cov o 40.41 15,456
12/27/2019 Buy S 41.01 16,204
12/27/2019 Sell o 43.03 16,204
12/30/2019 C/B S 43.61 15,942
12/30/2019 S/Sh S 42.94 15,942
12/31/2019 C/B S 44.10 15,905
12/31/2019 S/Sh S 44.04 15,905
1/2/2020 C/B S 41.60 15,448
1/2/2020 S/Sh S 40.46 15,448
1/3/2020 Sht S 39.96 15,770
1/3/2020 Cov o 39.09 15,770
1/6/2020 Sht S 39.05 15,986
1/6/2020 Cov o 38.48 15,986
1/7/2020 C/B S 39.12 15,688
1/7/2020 S/Sh S 38.43 15,688
1/8/2020 C/B S 37.60 15,649
1/8/2020 S/Sh S 37.54 15,649
1/9/2020 C/B S 41.92 15,649
ROKU Algorithm

ROKU Signals Daily (MBCYI MBHOI)

Its not often that I run into algorithms with a Reward/Risk in excess of 28, but here's one. Its kind of obscure, but it shows what SignalSolver is capable of digging up. These Roku, Inc. (ROKU) signals traded as directed would have performed around 18.5 times better than buy-hold with an ROI of 13223% for the period 30-Oct-17 to 04-Dec-19. It has several earmarks of a "good" trading system, very high returns (quarterly returns range from 497% to 1708% annualized) a relatively low drawdown (less than half of ROKU buy-hold), 15 of 16 trades were good on the long side, low trading frequency and smooth parameter sensitivity (especially on the long trade side).

On the negative side, this algorithm is definitely out there. Reading through the strategy there's no obvious logic to it. For one thing it uses the EMA band, a price series derived by taking the exponential moving average of the last 10 median daily prices (H+L)/2 . All buy and sell percentages are relative to this series. Secondly, the parameter for high performance are restricted to quite a narrow range suggesting over-optimization. However, the values are sufficiently close to zero to may be OK. Thirdly, the signals look "confused". The short side did catch the major pullbacks but personally I wouldn't feel very comfortable playing the short side of this one. Regardless, I'll post it because its unusual and I'm curious to see how it does. My expectation is it will nosedive, but you never really know for sure. Check in from time to time--I'm not going to track this on a daily basis.

Incidentally, ROKU is a fertile territory for finding high performance algorithms, most of them "spinners" with high trading frequencies

ROKU Daily MBCYI MBHOI

ROKU Signals

About the ROKU Signals

The trading signals for Roku, Inc. (ROKU) 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 Roku, Inc. (ROKU) signals

For the 528 day (2.1 year) period from Oct 30 2017 to Dec 4 2019, these signals for Roku, Inc. (ROKU) traded both long and short would have yielded $1,322,301 in profits from a $10,000 initial investment, an annualized return of 933.7%. Traded long only (no short selling) the signals would have returned $395,437, an annualized return of 485.7%. 75.6% of time was spent holding stock long. The return would have been $71,448 (an annualized return of 172.2%) 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 131 buy signals and 72 sell signals for this particular ROKU strategy which in turn led to 16 round trip long trades of which 15 were profitable, and 15 short trades of which 10 were profitable.

Drawdown and Reward/Risk

Drawdown (the worst case loss for an single entry and exit into the strategy) was 28% for long-short and 26% for long only. This compares to 65% for buy-hold. The reward/risk for the trading long and short was 28.62 compared to 2.48 for buy-hold, a factor of 11.6 improvement. If traded long only, the reward/risk was 15.69. We use drawdown plus 5% as our risk metric, and annualized return as the reward metric.

The backtests assume a commission per trade of $0.

Parameter sensitivity

We look for signals which are not too sensitive to changes in the buy or sell point. Here you see the effect on returns when the buy point or sell point is changed for the Long side of the algorithm. On the short side, the algorithm led to a complete loss for sell points above 2.5%. 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.

ROKU Parameter Sensitivity

Trade List

Click to see trades

Split adjusted prices used throughout.
Key:
Buy C: Buy at close
RvS O: Reverse to Short at next day open (or sell if using Long style)
RvL C: Reverse to Long at current day close (or buy if using Long style)

Day of signal Buy or Sell Price L&S Value Next Open
10/31/2017 Buy C 20.38 10,029
11/27/2017 RvS O 49.40 24,239
11/28/2017 RvL C 46.43 24,634
1/3/2018 RvS O 51.56 28,536
1/11/2018 RvL C 43.87 33,263
2/16/2018 RvS O 50.45 37,710
2/23/2018 RvL C 41.52 44,706
3/26/2018 RvS O 33.55 35,865
4/5/2018 RvL C 31.76 36,946
5/9/2018 RvS O 38.30 45,558
5/10/2018 RvL C 35.46 46,591
8/24/2018 RvS O 64.00 88,323
8/30/2018 RvL C 60.68 92,430
9/4/2018 RvS O 63.06 96,549
9/7/2018 RvL C 65.23 95,042
9/26/2018 RvS O 73.75 105,403
11/30/2018 RvL C 40.75 162,376
12/3/2018 RvS O 41.59 155,712
12/26/2018 RvL C 30.35 198,837
1/31/2019 RvS O 45.02 293,400
2/1/2019 RvL C 45.21 292,355
2/4/2019 RvS O 48.50 313,423
2/5/2019 RvL C 48.16 314,768
5/3/2019 RvS O 63.05 413,202
5/7/2019 RvL C 64.41 401,716
5/21/2019 RvS O 87.79 551,041
6/6/2019 RvL C 100.25 475,238
6/7/2019 RvS O 102.38 482,878
6/13/2019 RvL C 104.97 467,793
8/29/2019 RvS O 150.98 676,961
10/1/2019 RvL C 102.40 881,764
12/5/2019 Last 152.47 1,332,301

Update 1/9/20

No signals since 10/1/19 for this algorithm.

 

Date Transaction Buy/Cover Sell/Short  Asset Value
4-Dec-2019 Initial Buy 149.915  $           10,000
9-Jan-2020 last 133.170  $             8,883
DRIP Signal Equity

DRIP Signals Weekly (BYS BHS OO)

These Direxion Daily S&P Oil & Gas Ex (DRIP) signals would have performed around 15.8 times better than shorting the stock (buy-hold had negative returns over the period) with an ROI of 1153% for the period 30-Nov-15 to 22-Nov-19

DRIP Signals

DRIP Signals

The trading signals for Direxion Daily S&P Oil & Gas Ex (DRIP) were selected for their reward/risk and parameter sensitivity characteristics. Backtests don't always generate reliable signals which can be counted on moving forward but many traders find value in knowing what buy and sell signals would have worked well in the past.

Note that if shorting DRIP is problematic, an alternative is to buy GUSH, the inverse stock which fairly closely tracks the effect of shorting DRIP, in the short term.

Returns for the Direxion Daily S&P Oil & Gas Ex (DRIP) signals

For the 208 week (4.0 year) period from Nov 30 2015 to Nov 22 2019, these signals for Direxion Daily S&P Oil & Gas Ex (DRIP) traded both long and short would have yielded $115,281 in profits from a $10,000 initial investment, an annualized return of 89.1%. The return would have been $7,319 (an annualized return of 14.9%) if you had shorted the stock for the same period.

Signals and Trades

Weekly OHLC data was used in the numerical analysis leading to at most one buy signal and one sell signal per week. There were 147 buy signals and 165 sell signals for this particular DRIP strategy which in turn led to 99 round trip long trades of which 66 were profitable.

Drawdown and Reward/Risk

Drawdown (the worst case loss for an single entry and exit into the strategy) was 21%. This compares to 97% for buy-hold and 157% for short-hold. The reward/risk was 3.48 compared to 0.09 for buy-hold, a factor of 38.1 improvement. We use drawdown plus 5% as our risk metric, and annualized return as the reward metric.

The backtests assume a commission per trade of $0. Returns have been adjusted for the worst case effects of 6 dividends.

Parameter sensitivity

We look for signals which are not too sensitive to changes in the buy or sell point. Here you see the effect on returns when the buy point or sell point is changed. The surface plot above can also be used for this analysis, here we just show the cross section of the surface at the buy and sell points.

DRIP Signals Parameter Sensitivity

Trade List

Click to see trades

Split adjusted prices used throughout.
Key:
Cov S: Cover at the signal price
Buy S: Buy at the signal price
Sht S: Short at the signal price
Sell S: Sell at the signal price
C/B S: Cover or buy at the signal price (not clear which signal came first)
S/Sh S: Sell or short at the signal price (not clear which signal came first)
Cov o: Cover a short position at the subsequent weekly open
Sell o: Close a long position at the subsequent weekly open

 

Week of signal Buy or Sell Price L&S Value Next Open
11/30/2015 10,000
12/21/2015 Cov S 509.99 11,273
12/21/2015 Sht S 584.40 11,273
1/4/2016 Cov S 523.33 11,338
1/4/2016 Sht S 526.36 11,338
1/18/2016 Cov S 645.41 13,991
1/18/2016 Sht S 842.56 13,991
2/15/2016 C/B S 653.26 14,852
2/15/2016 S/Sh S 694.69 14,852
2/22/2016 C/B S 676.76 15,707
2/22/2016 S/Sh S 716.88 15,707
3/28/2016 Sht S 334.50 15,860
3/28/2016 Cov o 331.25 15,860
4/4/2016 C/B S 325.87 16,120
4/4/2016 S/Sh S 331.25 16,120
4/18/2016 Buy S 262.55 15,787
4/18/2016 Sell S 257.13 15,787
5/9/2016 Sht S 206.26 17,032
5/9/2016 Cov o 190.00 17,032
5/23/2016 Cov S 185.10 17,629
5/23/2016 Sht S 191.82 17,629
6/27/2016 Cov S 152.71 18,233
6/27/2016 Sht S 158.13 18,233
7/11/2016 C/B S 161.23 18,264
7/11/2016 S/Sh S 161.50 18,264
7/18/2016 Buy S 157.33 18,037
7/18/2016 Sell S 155.38 18,037
8/1/2016 C/B S 166.83 18,109
8/1/2016 S/Sh S 167.50 18,109
8/22/2016 C/B S 123.50 17,740
8/22/2016 S/Sh S 121.00 17,740
8/29/2016 Buy S 120.31 17,199
8/29/2016 Sell S 116.65 17,199
9/12/2016 Buy S 114.86 16,390
9/12/2016 Sell S 109.45 16,390
9/19/2016 Cov S 113.10 17,518
9/19/2016 Sht S 121.46 17,518
9/26/2016 Cov S 118.56 17,898
9/26/2016 Sht S 121.19 17,898
10/10/2016 C/B S 95.90 17,820
10/10/2016 S/Sh S 95.48 17,820
10/24/2016 Buy S 102.24 20,741
10/24/2016 Sell o 119.00 20,741
11/7/2016 C/B S 115.93 21,995
11/7/2016 S/Sh S 123.15 21,995
11/28/2016 C/B S 82.25 21,618
11/28/2016 S/Sh S 80.85 21,618
12/19/2016 Sht S 62.22 22,320
12/19/2016 Cov o 60.20 22,320
12/26/2016 Buy S 60.20 23,432
12/26/2016 Sell o 63.20 23,432
1/3/2017 Sht S 60.41 21,458
1/3/2017 Cov o 65.50 21,458
1/23/2017 Buy S 65.27 20,614
1/23/2017 Sell S 62.70 20,614
1/30/2017 Buy S 66.10 21,081
1/30/2017 Sell o 67.60 21,081
2/6/2017 Sht S 67.60 20,348
2/6/2017 Cov o 69.95 20,348
2/13/2017 Sht S 69.95 20,101
2/13/2017 Cov o 70.80 20,101
2/27/2017 Sht S 75.90 18,606
2/27/2017 Cov o 81.55 18,606
3/6/2017 Buy S 78.96 21,914
3/6/2017 Sell o 93.00 21,914
3/13/2017 Sht S 90.80 21,805
3/13/2017 Cov o 91.25 21,805
3/20/2017 C/B S 90.60 21,961
3/20/2017 S/Sh S 91.25 21,961
3/27/2017 Cov S 88.90 22,465
3/27/2017 Sht S 90.98 22,465
4/10/2017 C/B S 79.10 22,255
4/10/2017 S/Sh S 78.36 22,255
4/24/2017 Cov S 83.44 23,970
4/24/2017 Sht S 90.41 23,970
5/8/2017 C/B S 95.13 24,176
5/8/2017 S/Sh S 95.95 24,176
5/22/2017 Sht S 87.60 19,443
5/22/2017 Cov o 104.75 19,443
6/5/2017 Sht S 110.00 19,974
6/5/2017 Cov o 107.00 19,974
6/26/2017 C/B S 114.18 21,430
6/26/2017 S/Sh S 122.80 21,430
7/10/2017 Sht S 124.21 23,657
7/10/2017 Cov o 111.30 23,657
7/24/2017 Cov S 108.43 23,671
7/24/2017 Sht S 108.49 23,671
8/21/2017 Sht S 131.68 23,722
8/21/2017 Cov o 131.40 23,722
9/11/2017 Cov S 114.22 25,245
9/11/2017 Sht S 122.06 25,245
10/2/2017 Buy S 88.26 23,899
10/2/2017 Sell S 83.56 23,899
10/9/2017 Buy S 86.90 23,583
10/9/2017 Sell o 85.75 23,583
10/16/2017 Buy S 85.39 24,732
10/16/2017 Sell o 89.55 24,732
10/30/2017 C/B S 87.24 25,115
10/30/2017 S/Sh S 88.60 25,115
11/20/2017 Sht S 75.81 25,947
11/20/2017 Cov o 73.30 25,947
12/11/2017 Sht S 70.82 23,717
12/11/2017 Cov o 76.90 23,717
12/18/2017 Cov S 69.12 24,726
12/18/2017 Sht S 72.19 24,726
1/2/2018 C/B S 57.75 24,129
1/2/2018 S/Sh S 56.37 24,129
1/8/2018 C/B S 53.40 24,128
1/8/2018 S/Sh S 53.40 24,128
1/22/2018 Cov S 47.30 25,030
1/22/2018 Sht S 49.14 25,030
1/29/2018 Buy S 50.95 33,652
1/29/2018 Sell o 68.50 33,652
2/12/2018 Sht S 81.95 37,532
2/12/2018 Cov o 72.50 37,532
3/5/2018 C/B S 66.05 40,458
3/5/2018 S/Sh S 71.40 40,458
3/19/2018 Cov S 64.64 40,905
3/19/2018 Sht S 65.36 40,905
4/2/2018 Cov S 60.89 41,619
4/2/2018 Sht S 61.97 41,619
4/30/2018 Buy S 43.55 40,126
4/30/2018 Sell S 41.98 40,126
5/29/2018 Sht S 35.06 43,289
5/29/2018 Cov o 32.30 43,289
6/11/2018 C/B S 31.47 45,937
6/11/2018 S/Sh S 33.45 45,937
6/18/2018 Cov S 32.59 47,566
6/18/2018 Sht S 33.78 47,566
7/2/2018 C/B S 30.10 47,719
7/2/2018 S/Sh S 30.20 47,719
7/23/2018 C/B S 29.52 48,252
7/23/2018 S/Sh S 29.85 48,252
7/30/2018 Buy S 29.08 50,775
7/30/2018 Sell o 30.60 50,775
8/6/2018 Sht S 29.29 45,554
8/6/2018 Cov o 32.30 45,554
8/20/2018 Cov S 31.47 50,755
8/20/2018 Sht S 35.52 50,755
9/4/2018 Buy S 29.10 60,173
9/4/2018 Sell o 34.50 60,173
9/10/2018 Sht S 33.41 63,710
9/10/2018 Cov o 31.45 63,710
10/1/2018 C/B S 26.65 61,714
10/1/2018 S/Sh S 25.83 61,714
10/8/2018 Buy S 25.96 59,923
10/8/2018 Sell S 25.21 59,923
10/15/2018 Sht S 30.16 53,286
10/15/2018 Cov o 33.50 53,286
10/29/2018 Sht S 43.77 56,417
10/29/2018 Cov o 41.20 56,417
11/26/2018 Sht S 52.44 59,683
11/26/2018 Cov o 49.40 59,683
12/24/2018 Sht S 103.36 69,677
12/24/2018 Cov o 86.05 69,677
1/28/2019 Cov S 50.51 76,517
1/28/2019 Sht S 56.01 76,517
2/11/2019 Cov S 53.09 90,301
2/11/2019 Sht S 64.76 90,301
3/11/2019 Sht S 62.66 102,345
3/11/2019 Cov o 54.30 102,345
3/25/2019 Buy S 52.90 96,482
3/25/2019 Sell S 49.87 96,482
4/22/2019 Buy S 40.04 95,205
4/22/2019 Sell S 39.51 95,205
5/6/2019 Sht S 51.43 93,959
5/6/2019 Cov o 52.10 93,959
5/13/2019 C/B S 52.10 90,533
5/13/2019 S/Sh S 50.24 90,533
5/20/2019 Cov S 50.76 92,582
5/20/2019 Sht S 51.93 92,582
6/3/2019 Sht S 71.14 91,067
6/3/2019 Cov o 72.30 91,067
6/10/2019 Buy S 72.24 90,026
6/10/2019 Sell S 71.41 90,026
6/17/2019 Cov S 70.43 95,927
6/17/2019 Sht S 75.38 95,927
7/8/2019 Sht S 62.45 96,181
7/8/2019 Cov o 62.28 96,181
7/22/2019 Sht S 75.27 87,735
7/22/2019 Cov o 81.88 87,735
7/29/2019 Cov S 74.04 91,311
7/29/2019 Sht S 77.19 91,311
8/12/2019 C/B S 93.43 97,918
8/12/2019 S/Sh S 100.43 97,918
8/19/2019 C/B S 97.84 102,305
8/19/2019 S/Sh S 102.32 102,305
8/26/2019 Cov S 99.68 109,232
8/26/2019 Sht S 106.92 109,232
9/3/2019 C/B S 106.19 113,898
9/3/2019 S/Sh S 110.82 113,898
10/7/2019 Sht S 89.96 110,302
10/7/2019 Cov o 92.80 110,302
10/14/2019 C/B S 87.64 116,617
10/14/2019 S/Sh S 92.80 116,617
10/21/2019 Cov S 90.41 117,146
10/21/2019 Sht S 90.82 117,146
11/11/2019 Buy S 72.00 125,281
11/11/2019 Sell o 77.00 125,281
11/25/2019 S/Sh S 86.70 125,281

Update 1/9/20

Some weeks there was both a buy and sell signal at the open (no trade).

This algorithm has not done a very good job at exploiting the huge downward swing (50%) of the underlying stock.

 

Date Transaction Buy/Cover Sell/Short  Asset Value
24-Nov-2019  $           10,000
25-Nov-2019 Short 86.700  $           10,000
2-Dec-2019 Cover 91.290  $             9,471
4-Dec-2019 Short 86.105  $             9,471
6-Dec-2019 Cover 84.463  $             9,651
30-Dec-2019 Buy 57.110  $             9,651
31-Dec-2019 Sell 55.122  $             9,315

Bitcoin Signals (BTC-USD ACS AAC OO 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

Updates to BTC-USD ACS AAC OO

Date Type Buy Sell  Asset Value
 $           10,000
4-Nov-2019 Buy 9406.000  $             9,818
4-Nov-2019 Sell 9056.920  $             9,629
25-Nov-2019 Buy 7178.303  $             9,629
2-Dec-2019 Sell 7428.015  $             9,964
5-Dec-2019 Buy 7561.642  $             9,963
9-Dec-2019 Sell 7561.795  $             9,964
16-Dec-2019 Buy 7284.619  $             9,964
23-Dec-2019 Sell 7508.902  $           10,271
Buy 7650.553  $           10,271
13-Dec-2019 Sell 7420.273  $             9,962
6-Jan-2020 Buy 7548.426  $             9,962
9-Jan-2020 Last 7883.000  $           10,403
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 $0. 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

Update 1/9/20

This algorithm not doing well, especially when compared to the underlying stock which has increased 20% or more.

 

Date Trade Buy/Cov Sell/Sht  Asset Value
27-Oct-2019  $           10,000
28-Oct-2019 Short 29.590  $             9,861
29-Oct-2019 Cover 28.040  $           10,524
6-Nov-2019 Short 30.540  $             9,642
11-Nov-2019 Cover 31.700  $           10,124
12-Nov-2019 Buy 31.090  $           10,124
12-Nov-2019 Sell 30.350  $             9,883
18-Nov-2019 Short 28.050  $             9,883
18-Nov-2019 Cover 27.570  $           10,052
18-Nov-2019 Short 28.055  $           10,052
18-Nov-2019 Cover 27.574  $           10,225
26-Nov-2019 Short 24.569  $           10,225
26-Nov-2019 Cover 24.030  $           10,449
3-Dec-2019 Short 22.980  $           10,449
9-Dec-2019 Cover 25.540  $             9,285
31-Dec-2019 Short 34.403  $             9,285
6-Jan-2020 Cover 39.180  $             7,996
8-Jan-2020 Short 37.515  $             7,996
8-Jan-2020 Cover 35.013  $             8,529