Significant Pattern Identification Engine - SPIE

Case Studies

Case Study 1

QUANT WEST 1 - SPIE PATTERN - IDENTIFYING SIGNIFCANT PULL BACK ENTRY ZONES

The recent low of the S&P 500 Index on 27th October ’23 coincided with west side of the BCP’s

Case Study 1: The recent low on the S&P 500 Index on 27th October ’23 coincided with west side of the 12m daily BCP’s

This is the most traded area of the last 12 months by time. A very common pattern.

           Pattern Entry / Exit Duration (Days)     Pattern Entry / Exit Period    

Performance summary

Pattern ID Count PnL  Idx.Pnl Rel. PnL Avg. ABS PnL Avg. REL PnL Avg. Days Winning Count (ABS) Avg Winning Pnl (ABS) Winning Count (REL) Avg Winning Pnl (REL) Avg. Entry Efficiency Avg. Exit Efficiency
2 (QW1) 75 9,309,834 7,780,934 1,528,903 124,131 20,385 61 62 (83%) 159,700 34 (45%) 126,208 78 72
  * Investment per trade $1M,   ** Values are net profit ($)   *** The benchmark is the S&P 500 index

Statistics

Absolute, Relative PnL and Sector

SectorCountPnLPnL (IDX)Rel. PnL (IDX)Avg. PnL (ABS)Avg. PnL (REL)AvgDays
Energy15-450,7321,326,064-1,776,795-30,049-118,45361.5
Materials2297,769222,00875,760148,88437,88060
Industrials4408,363349,16059,203102,09114,80161
Consumer Discretionary82,028,348901,8151,126,534253,544140,81761.4
Consumer Staples5338,075477,460-139,38567,615-27,87760.8
Health Care101,203,462884,005319,457120,34631,94661.2
Financials91,639,6481,083,130556,518182,18361,83561
Technology152,753,1081,812,167940,940183,54162,72960.4
Communications1153,865159,660-5,795153,865-5,79560
Utilities1105,769130,915-25,145105,769-25,14563
Real Estate5832,159434,550397,609166,43279,52260.8
11759,309,8347,780,9341,528,901103,74620,385 
© Quantlogic 2024 All rights reserved.
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Performance Graphs - Absolute and Relative PnL - Sector

0 : £434,550.00 0 : £130,915.00 0 : £159,660.00 0 : £1,812,167.00 0 : £1,083,130.00 0 : £884,005.00 0 : £477,460.00 0 : £901,815.00 0 : £349,160.00 0 : £222,008.00 0 : £1,326,064.00 Real Estate : £832,159.00 Utilities : £105,769.00 Communications : £153,865.00 Technology : £2,753,108.00 Financials : £1,639,648.00 Health Care : £1,203,462.00 Consumer Staples : £338,075.00 Consumer Discretionary : £2,028,348.00 Industrials : £408,363.00 Materials : £297,769.00 Energy : -£450,732.00 Real Estate : £397,609.00 Utilities : -£25,145.00 Communications : -£5,795.00 Technology : £940,940.00 Financials : £556,518.00 Health Care : £319,457.00 Consumer Staples : -£139,385.00 Consumer Discretionary : £1,126,534.00 Industrials : £59,203.00 Materials : £75,760.00 Energy : -£1,776,795.00
0 : £79,522.00 0 : -£25,145.00 0 : -£5,795.00 0 : £62,729.00 0 : £61,835.00 0 : £31,946.00 0 : -£27,877.00 0 : £140,817.00 0 : £14,801.00 0 : £37,880.00 0 : -£118,453.00 Real Estate : £166,432.00 Utilities : £105,769.00 Communications : £153,865.00 Technology : £183,541.00 Financials : £182,183.00 Health Care : £120,346.00 Consumer Staples : £67,615.00 Consumer Discretionary : £253,544.00 Industrials : £102,091.00 Materials : £148,884.00 Energy : -£30,049.00 Real Estate : £5.00 Utilities : £1.00 Communications : £1.00 Technology : £15.00 Financials : £9.00 Health Care : £10.00 Consumer Staples : £5.00 Consumer Discretionary : £8.00 Industrials : £4.00 Materials : £2.00 Energy : £15.00
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Absolute and Relative PnL - Industry

Industry Sector Count PnL PnL (IDX) Rel. PnL (IDX) Avg. PnL (ABS) Avg. PnL (REL) Days
Energy Equipment & ServicesEnergy1-71,95687,969-159,924-71,956-159,92462
Oil, Gas & Consumable FuelsEnergy14-378,7761,238,095-1,616,871-27,055-115,49161.5
ChemicalsMaterials1215,123144,71770,406215,12370,40660
Metals & MiningMaterials182,64677,2915,35582,6465,35560
Aerospace & DefenseIndustrials134,67386,876-52,20334,673-52,20361
Construction & EngineeringIndustrials1181,76475,873105,891181,764105,89160
Commercial Services & SuppliesIndustrials176,27398,442-22,16976,273-22,16961
Professional ServicesIndustrials1115,65387,96927,684115,65327,68462
Auto ComponentsConsumer Discretionary1166,370159,6606,710166,3706,71060
Household DurablesConsumer Discretionary1123,570130,915-7,345123,570-7,34563
Textiles, Apparel & Luxury GoodsConsumer Discretionary1262,52175,873186,648262,521186,64860
Hotels, Restaurants & LeisureConsumer Discretionary41,344,693448,491896,202336,173224,05161.8
Diversified Consumer ServicesConsumer Discretionary1131,19586,87644,318131,19544,31861
Food & Staples RetailingConsumer Staples3135,208230,924-95,71645,069-31,90561
Household ProductsConsumer Staples1211,799159,66052,139211,79952,13960
Personal ProductsConsumer Staples1-8,93286,876-95,809-8,932-95,80961
Health Care Providers & ServicesHealth Care3105,455275,011-169,55635,152-56,51961.7
BiotechnologyHealth Care3599,587208,527391,060199,862130,35361
PharmaceuticalsHealth Care4498,420400,46897,953124,60524,48861
Commercial BanksFinancials1139,24186,87652,364139,24152,36461
Diversified Financial ServicesFinancials2140,306186,410-46,10470,153-23,05261.5
Capital MarketsFinancials2645,356290,575354,781322,678177,39061.5
InsuranceFinancials4714,746519,268195,477178,68648,86960.5
IT ServicesInformation Technology5530,857625,138-94,282106,171-18,85660.6
SoftwareInformation Technology3604,555328,671275,885201,51891,96260
Communications EquipmentInformation Technology153,09257,171-4,07953,092-4,07961
Electronic Equipment, Instruments & ComponentsInformation Technology2362,597278,81783,780181,29841,89061
Semiconductors & Semiconductor EquipmentInformation Technology41,202,007522,371679,636300,502169,90960
MediaCommunication Services1153,865159,660-5,795153,865-5,79560
Electric UtilitiesUtilities1105,769130,915-25,145105,769-25,14563
Equity Real Estate, Investment Trusts (REITs)Real Estate5832,159434,550397,609166,43279,52260.8
 31759,309,8367,780,9351,528,900103,74620,385 
© Quantlogic 2024 All rights reserved.
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Performance Graphs, Absolute and Relative PnL - Industry

0 : £434,550.00 0 : £130,915.00 0 : £159,660.00 0 : £522,371.00 0 : £278,817.00 0 : £57,171.00 0 : £328,671.00 0 : £625,138.00 0 : £519,268.00 0 : £290,575.00 0 : £186,410.00 0 : £86,876.00 0 : £400,468.00 0 : £208,527.00 0 : £275,011.00 0 : £86,876.00 0 : £159,660.00 0 : £230,924.00 0 : £86,876.00 0 : £448,491.00 0 : £75,873.00 0 : £130,915.00 0 : £159,660.00 0 : £87,969.00 0 : £98,442.00 0 : £75,873.00 0 : £86,876.00 0 : £77,291.00 0 : £144,717.00 0 : £1,238,095.00 0 : £87,969.00 Equity Real Estate, Investment Trusts (REITs) : £832,159.00 Electric Utilities : £105,769.00 Media : £153,865.00 Semiconductors & Semiconductor Equipment : £1,202,007.00 Electronic Equipment, Instruments & Components : £362,597.00 Communications Equipment : £53,092.00 Software : £604,555.00 IT Services : £530,857.00 Insurance : £714,746.00 Capital Markets : £645,356.00 Diversified Financial Services : £140,306.00 Commercial Banks : £139,241.00 Pharmaceuticals : £498,420.00 Biotechnology : £599,587.00 Health Care Providers & Services : £105,455.00 Personal Products : -£8,932.00 Household Products : £211,799.00 Food & Staples Retailing : £135,208.00 Diversified Consumer Services : £131,195.00 Hotels, Restaurants & Leisure : £1,344,693.00 Textiles, Apparel & Luxury Goods : £262,521.00 Household Durables : £123,570.00 Auto Components : £166,370.00 Professional Services : £115,653.00 Commercial Services & Supplies : £76,273.00 Construction & Engineering : £181,764.00 Aerospace & Defense : £34,673.00 Metals & Mining : £82,646.00 Chemicals : £215,123.00 Oil, Gas & Consumable Fuels : -£378,776.00 Energy Equipment & Services : -£71,956.00
Equity Real Estate, Investment Trusts (REITs) : £397,609.00 Electric Utilities : -£25,145.00 Media : -£5,795.00 Semiconductors & Semiconductor Equipment : £679,636.00 Electronic Equipment, Instruments & Components : £83,780.00 Communications Equipment : -£4,079.00 Software : £275,885.00 IT Services : -£94,282.00 Insurance : £195,477.00 Capital Markets : £354,781.00 Diversified Financial Services : -£46,104.00 Commercial Banks : £52,364.00 Pharmaceuticals : £97,953.00 Biotechnology : £391,060.00 Health Care Providers & Services : -£169,556.00 Personal Products : -£95,809.00 Household Products : £52,139.00 Food & Staples Retailing : -£95,716.00 Diversified Consumer Services : £44,318.00 Hotels, Restaurants & Leisure : £896,202.00 Textiles, Apparel & Luxury Goods : £186,648.00 Household Durables : -£7,345.00 Auto Components : £6,710.00 Professional Services : £27,684.00 Commercial Services & Supplies : -£22,169.00 Construction & Engineering : £105,891.00 Aerospace & Defense : -£52,203.00 Metals & Mining : £5,355.00 Chemicals : £70,406.00 Oil, Gas & Consumable Fuels : -£1,616,871.00 Energy Equipment & Services : -£159,924.00
0 : £79,522.00 0 : -£25,145.00 0 : -£5,795.00 0 : £169,909.00 0 : £41,890.00 0 : -£4,079.00 0 : £91,962.00 0 : -£18,856.00 0 : £48,869.00 0 : £177,390.00 0 : -£23,052.00 0 : £52,364.00 0 : £24,488.00 0 : £130,353.00 0 : -£56,519.00 0 : -£95,809.00 0 : £52,139.00 0 : -£31,905.00 0 : £44,318.00 0 : £224,051.00 0 : £186,648.00 0 : -£7,345.00 0 : £6,710.00 0 : £27,684.00 0 : -£22,169.00 0 : £105,891.00 0 : -£52,203.00 0 : £5,355.00 0 : £70,406.00 0 : -£115,491.00 0 : -£159,924.00 Equity Real Estate, Investment Trusts (REITs) : £166,432.00 Electric Utilities : £105,769.00 Media : £153,865.00 Semiconductors & Semiconductor Equipment : £300,502.00 Electronic Equipment, Instruments & Components : £181,298.00 Communications Equipment : £53,092.00 Software : £201,518.00 IT Services : £106,171.00 Insurance : £178,686.00 Capital Markets : £322,678.00 Diversified Financial Services : £70,153.00 Commercial Banks : £139,241.00 Pharmaceuticals : £124,605.00 Biotechnology : £199,862.00 Health Care Providers & Services : £35,152.00 Personal Products : -£8,932.00 Household Products : £211,799.00 Food & Staples Retailing : £45,069.00 Diversified Consumer Services : £131,195.00 Hotels, Restaurants & Leisure : £336,173.00 Textiles, Apparel & Luxury Goods : £262,521.00 Household Durables : £123,570.00 Auto Components : £166,370.00 Professional Services : £115,653.00 Commercial Services & Supplies : £76,273.00 Construction & Engineering : £181,764.00 Aerospace & Defense : £34,673.00 Metals & Mining : £82,646.00 Chemicals : £215,123.00 Oil, Gas & Consumable Fuels : -£27,055.00 Energy Equipment & Services : -£71,956.00
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Performance Details

No PID Sym Company Pattern-Time S1 Low-Time Low-Price High-Time High-Price Entry Time Entry Price Exit Time Exit Price Runnup DD PnL IDX. PnL Rel. PnL Days Entry Effi. Exit Effi.
12ADPAutomatic Data Proc27-Oct-23 10:30 AM215.64501-Nov-23 01:30 PM205.5314-Dec-23 10:30 AM240.2227-Oct-23 04:00 PM214.8226-Dec-23 04:00 PM232.58118,239 (48)43,246 (5)82,674159,660-76,986607378
22BXThe Blackstone Group27-Oct-23 10:30 AM91.17527-Oct-23 04:00 PM88.7422-Dec-23 10:30 AM132.0827-Oct-23 04:00 PM89.6326-Dec-23 04:00 PM131.36473,614 (56)9,930 (0)465,581159,660305,921609898
32COPConocoPhillips27-Oct-23 10:30 AM116.6612-Dec-23 10:30 AM109.702-Nov-23 02:30 PM123.2527-Oct-23 04:00 PM117.8126-Dec-23 04:00 PM119.0446,176 (6)68,840 (46)10,441159,660-149,220604069
42GSKGlaxoSmithKline plc27-Oct-23 10:30 AM35.18502-Nov-23 10:30 AM33.6714-Dec-23 12:30 PM37.3927-Oct-23 04:00 PM34.5626-Dec-23 04:00 PM37.0181,887 (48)25,752 (6)70,891159,660-88,769607690
52LRLCYL Oreal S.A. ADR27-Oct-23 01:30 PM82.2427-Oct-23 04:00 PM81.8419-Dec-23 04:00 PM99.2527-Oct-23 04:00 PM81.8726-Dec-23 04:00 PM99.21212,288 (53)366 (0)211,799159,66052,13960100100
62NYTThe New York Times C27-Oct-23 01:30 PM39.830-Oct-23 11:30 AM39.7904-Dec-23 10:30 AM48.8827-Oct-23 04:00 PM39.9726-Dec-23 04:00 PM46.12222,917 (38)4,503 (3)153,865159,660-5,795609870
72VVisa Inc27-Oct-23 01:30 PM228.91527-Oct-23 04:00 PM228.3514-Dec-23 10:30 AM263.2527-Oct-23 04:00 PM229.3626-Dec-23 04:00 PM259.2147,759 (48)4,404 (0)130,101159,660-29,559609788
82APH_OAmphenol Corp A27-Oct-23 02:30 PM79.0327-Oct-23 04:00 PM78.9715-Dec-23 11:30 AM99.9327-Oct-23 04:00 PM79.326-Dec-23 04:00 PM99.51260,151 (49)4,161 (0)254,855159,66095,195609898
92LNCLincoln Natl Corp27-Oct-23 02:30 PM21.22502-Nov-23 10:30 AM20.8515-Dec-23 01:30 PM28.2127-Oct-23 04:00 PM21.3226-Dec-23 04:00 PM27.3323,171 (49)22,045 (6)280,488159,660120,828609488
102GNTXGentex Corporation27-Oct-23 04:00 PM28.2230-Oct-23 10:30 AM27.8626-Dec-23 03:30 PM32.9227-Oct-23 04:00 PM28.1326-Dec-23 04:00 PM32.81170,281 (60)9,598 (3)166,370159,6606,710609598
112CHKPCheck Point Software30-Oct-23 10:30 AM126.7430-Oct-23 04:00 PM128.7927-Dec-23 10:30 AM154.1230-Oct-23 04:00 PM129.4529-Dec-23 04:00 PM152.76190,576 (58)5,098 (0)180,070144,71735,352609795
122CNACNA Financial Corpor30-Oct-23 10:30 AM39.0110-Nov-23 11:30 AM38.3205-Dec-23 03:30 PM43.5830-Oct-23 04:00 PM39.229-Dec-23 04:00 PM42.31111,735 (36)22,449 (11)79,337144,717-65,380608376
132ONON Semiconductor Cor30-Oct-23 10:30 AM78.46501-Nov-23 10:30 AM61.4715-Dec-23 12:30 PM86.7730-Oct-23 04:00 PM65.3229-Dec-23 04:00 PM83.56328,383 (46)58,941 (2)279,241144,717134,524608587
142WLKWestlake Chemical Co30-Oct-23 10:30 AM113.61501-Nov-23 01:30 PM113.9526-Dec-23 03:30 PM143.6130-Oct-23 04:00 PM115.1929-Dec-23 04:00 PM139.97246,723 (57)10,765 (2)215,123144,71770,406609688
152ASXASE Technology Holdi30-Oct-23 12:30 PM7.38531-Oct-23 10:30 AM7.3428-Dec-23 10:30 AM9.5530-Oct-23 04:00 PM7.3729-Dec-23 04:00 PM9.4295,794 (59)4,071 (1)275,441144,717130,724609993
162OLEDUniversal Display Co30-Oct-23 01:30 PM138.5801-Nov-23 03:30 PM133.6719-Dec-23 10:30 AM194.8430-Oct-23 04:00 PM138.8429-Dec-23 04:00 PM191.42403,342 (50)37,237 (2)378,709144,717233,992609294
172CCLCarnival Corp31-Oct-23 10:30 AM11.16501-Nov-23 03:30 PM11.1122-Dec-23 10:30 AM19.7431-Oct-23 04:00 PM11.4502-Jan-24 04:00 PM17.29724,017 (52)29,694 (1)510,044130,915379,129639672
182CLPHYCLP Holdings Limited31-Oct-23 10:30 AM7.33501-Nov-23 10:30 AM7.0802-Jan-24 11:30 AM8.4531-Oct-23 04:00 PM7.2802-Jan-24 04:00 PM8.05160,714 (63)27,473 (1)105,769130,915-25,145638571
192CUKCarnival Corporation31-Oct-23 10:30 AM10.0501-Nov-23 03:30 PM10.0722-Dec-23 10:30 AM17.9531-Oct-23 04:00 PM10.3702-Jan-24 04:00 PM15.77730,955 (52)28,930 (1)520,733130,915389,818639672
202EPDEnterprise Products 31-Oct-23 10:30 AM25.9801-Nov-23 10:30 AM25.8101-Dec-23 04:00 PM2731-Oct-23 04:00 PM26.0402-Jan-24 04:00 PM26.6436,866 (31)8,833 (1)23,041130,915-107,873638170
212MSCIMSCI Inc31-Oct-23 10:30 AM471.6701-Nov-23 10:30 AM458.9929-Dec-23 10:30 AM573.3231-Oct-23 04:00 PM471.202-Jan-24 04:00 PM555.91216,723 (59)25,913 (1)179,775130,91548,860638985
222PCRFYPanasonic Corporatio31-Oct-23 10:30 AM8.8202-Nov-23 10:30 AM8.7222-Nov-23 12:30 PM10.8331-Oct-23 04:00 PM8.7402-Jan-24 04:00 PM9.82239,130 (22)2,288 (2)123,570130,915-7,345639952
232CDWCDW Corp01-Nov-23 10:30 AM189.50501-Nov-23 04:00 PM198.2727-Dec-23 10:30 AM229.4201-Nov-23 04:00 PM199.1802-Jan-24 04:00 PM220.64151,822 (56)4,569 (0)107,742119,157-11,415629772
242GSKGlaxoSmithKline plc01-Nov-23 10:30 AM35.18502-Nov-23 10:30 AM33.6702-Jan-24 01:30 PM37.5801-Nov-23 04:00 PM34.5902-Jan-24 04:00 PM37.5386,441 (62)26,597 (1)84,996119,157-34,161627699
252HUMHumana Inc01-Nov-23 10:30 AM493.30527-Dec-23 04:00 PM448.9127-Nov-23 10:30 AM527.1801-Nov-23 04:00 PM488.9602-Jan-24 04:00 PM470.3978,166 (26)81,909 (56)-37,979119,157-157,135624927
262LNCLincoln Natl Corp01-Nov-23 10:30 AM21.22502-Nov-23 10:30 AM20.8515-Dec-23 01:30 PM28.2101-Nov-23 04:00 PM21.4602-Jan-24 04:00 PM27.32314,539 (44)28,425 (1)273,066119,157153,909629288
272PAYXPaychex Inc01-Nov-23 10:30 AM109.26503-Nov-23 10:30 AM108.5820-Dec-23 01:30 PM129.6601-Nov-23 04:00 PM108.8302-Jan-24 04:00 PM117.87191,399 (49)2,297 (2)83,065119,157-36,092629944
282ELSEquity LifeStyle Pro01-Nov-23 02:30 PM65.3209-Nov-23 03:30 PM64.6114-Dec-23 10:30 AM74.0401-Nov-23 04:00 PM65.9902-Jan-24 04:00 PM71.13121,988 (43)20,912 (8)77,891119,157-41,266628569
292CTSHCognizant Technology02-Nov-23 10:30 AM62.58502-Nov-23 04:00 PM63.2118-Dec-23 10:30 AM76.8502-Nov-23 04:00 PM63.6702-Jan-24 04:00 PM74.35207,005 (46)7,225 (0)167,74098,44269,298619782
302HLTHilton Worldwide Hld02-Nov-23 10:30 AM148.64502-Nov-23 04:00 PM152.1529-Dec-23 10:30 AM183.5102-Nov-23 04:00 PM152.6202-Jan-24 04:00 PM180.11202,398 (57)3,080 (0)180,12198,44281,679619989
312IXORIX Corporation02-Nov-23 10:30 AM89.4608-Nov-23 03:30 PM86.0511-Dec-23 10:30 AM94.8802-Nov-23 04:00 PM88.9502-Jan-24 04:00 PM92.6566,667 (39)32,603 (6)41,59698,442-56,845616775
322MROMarathon Oil Corp02-Nov-23 10:30 AM26.17512-Dec-23 02:30 PM23.1403-Nov-23 10:30 AM28.1302-Nov-23 04:00 PM28.0202-Jan-24 04:00 PM24.423,926 (1)174,161 (40)-128,48098,442-226,92161226
332WMWaste Mgt Inc02-Nov-23 10:30 AM162.602-Nov-23 04:00 PM166.6902-Jan-24 10:30 AM180.7102-Nov-23 04:00 PM166.902-Jan-24 04:00 PM179.6382,744 (61)1,258 (0)76,27398,442-22,169619992
342WMBWilliams Companies02-Nov-23 10:30 AM34.1513-Dec-23 01:30 PM34.0101-Dec-23 01:30 PM37.4502-Nov-23 04:00 PM35.802-Jan-24 04:00 PM35.5246,089 (29)50,000 (41)-7,82198,442-106,263614844
352BPBP p.l.c.03-Nov-23 10:30 AM36.0613-Dec-23 10:30 AM34.2530-Nov-23 10:30 AM36.8103-Nov-23 04:00 PM36.202-Jan-24 04:00 PM35.5116,851 (27)53,867 (40)-19,06188,219-107,280602449
362OLEDUniversal Display Co03-Nov-23 10:30 AM138.60506-Nov-23 11:30 AM144.8519-Dec-23 10:30 AM194.8403-Nov-23 04:00 PM147.0502-Jan-24 04:00 PM186.55324,991 (46)14,961 (3)268,61688,219180,397609683
372PAYXPaychex Inc03-Nov-23 10:30 AM109.26506-Nov-23 10:30 AM109.9820-Dec-23 01:30 PM129.6603-Nov-23 04:00 PM110.4402-Jan-24 04:00 PM117.87174,031 (47)4,165 (3)67,27688,219-20,943609840
382QSRRestaurant Brands In03-Nov-23 10:30 AM66.6406-Nov-23 10:30 AM65.7527-Dec-23 10:30 AM78.503-Nov-23 04:00 PM67.7902-Jan-24 04:00 PM76.86157,988 (54)30,093 (3)133,79688,21945,576608487
392TEAMAtlassian Corporatio03-Nov-23 10:30 AM176.13510-Nov-23 10:30 AM169.5122-Dec-23 10:30 AM24803-Nov-23 04:00 PM176.8902-Jan-24 04:00 PM226.68402,001 (49)41,721 (7)281,47488,219193,255609173
402PWRQuanta Svcs06-Nov-23 10:30 AM166.67507-Nov-23 01:30 PM163.9320-Dec-23 11:30 AM219.1706-Nov-23 04:00 PM168.4605-Jan-24 04:00 PM199.08301,021 (44)26,891 (1)181,76475,873105,891609264
412ESSEssex Ppty Trust06-Nov-23 02:30 PM210.77513-Nov-23 03:30 PM204.6428-Dec-23 04:00 PM252.8506-Nov-23 04:00 PM212.1505-Jan-24 04:00 PM243.69191,845 (52)35,399 (7)148,66875,87372,795608481
422RLRalph Lauren Corp.06-Nov-23 04:00 PM112.4407-Nov-23 04:00 PM111.9421-Dec-23 02:30 PM148.0406-Nov-23 04:00 PM113.2105-Jan-24 04:00 PM142.93307,658 (45)11,218 (1)262,52175,873186,648609686
432BPBP p.l.c.07-Nov-23 10:30 AM36.0613-Dec-23 10:30 AM34.2530-Nov-23 10:30 AM36.8107-Nov-23 04:00 PM35.4808-Jan-24 04:00 PM35.4437,486 (23)34,667 (36)-1,12787,969-89,096625246
442COPConocoPhillips07-Nov-23 10:30 AM116.6612-Dec-23 10:30 AM109.704-Jan-24 10:30 AM121.2407-Nov-23 04:00 PM115.2508-Jan-24 04:00 PM114.4751,974 (58)48,156 (35)-6,76887,969-94,737625241
452HALHalliburton Co07-Nov-23 10:30 AM38.52512-Dec-23 10:30 AM33.7914-Nov-23 03:30 PM39.407-Nov-23 04:00 PM37.9408-Jan-24 04:00 PM35.2138,482 (7)109,383 (35)-71,95687,969-159,924622625
462IXORIX Corporation07-Nov-23 10:30 AM89.4608-Nov-23 03:30 PM86.0505-Jan-24 12:30 PM97.8107-Nov-23 04:00 PM88.3408-Jan-24 04:00 PM97.06107,199 (59)25,923 (1)98,71087,96910,741628194
472MROMarathon Oil Corp07-Nov-23 10:30 AM26.17512-Dec-23 02:30 PM23.1430-Nov-23 10:30 AM26.2507-Nov-23 04:00 PM25.5408-Jan-24 04:00 PM23.7427,800 (23)93,970 (35)-70,47887,969-158,446622319
482RHIRobert Half Intl07-Nov-23 10:30 AM74.0508-Nov-23 10:30 AM74.1329-Dec-23 10:30 AM88.3907-Nov-23 04:00 PM74.6208-Jan-24 04:00 PM83.25184,535 (52)6,567 (1)115,65387,96927,684629764
492ELSEquity LifeStyle Pro07-Nov-23 02:30 PM65.3209-Nov-23 03:30 PM64.6114-Dec-23 10:30 AM74.0407-Nov-23 04:00 PM65.6908-Jan-24 04:00 PM69.92127,112 (37)16,441 (2)64,39387,969-23,575628956
502ADRNYKoninklijke Ahold De08-Nov-23 10:30 AM29.513-Dec-23 01:30 PM28.204-Jan-24 10:30 AM29.8608-Nov-23 04:00 PM28.3208-Jan-24 04:00 PM29.7554,379 (57)4,237 (35)50,49486,876-36,382619393
512GILDGilead Sciences08-Nov-23 10:30 AM77.9516-Nov-23 02:30 PM73.9904-Jan-24 03:30 PM84.9508-Nov-23 04:00 PM77.908-Jan-24 04:00 PM83.9990,501 (57)50,193 (8)78,17786,876-8,699616491
522HRBBlock (H&R)08-Nov-23 10:30 AM39.3308-Nov-23 04:00 PM41.5503-Jan-24 10:30 AM49.1408-Nov-23 04:00 PM41.7708-Jan-24 04:00 PM47.25176,442 (56)5,267 (0)131,19586,87644,318619775
532KRKroger Co08-Nov-23 10:30 AM44.4217-Nov-23 10:30 AM42.103-Jan-24 10:30 AM46.9908-Nov-23 04:00 PM43.8708-Jan-24 04:00 PM45.9771,119 (56)40,346 (9)47,86986,876-39,008616479
542MFGMizuho Financial Gro08-Nov-23 10:30 AM3.208-Nov-23 04:00 PM3.1505-Jan-24 10:30 AM3.608-Nov-23 04:00 PM3.1608-Jan-24 04:00 PM3.6139,241 (58)3,165 (0)139,24186,87652,3646198100
552PGProcter & Gamble08-Nov-23 12:30 PM149.8515-Dec-23 10:30 AM142.5630-Nov-23 04:00 PM153.6308-Nov-23 04:00 PM150.0208-Jan-24 04:00 PM148.6824,063 (22)49,727 (37)-8,93286,876-95,809613355
562TXTTextron Inc08-Nov-23 12:30 PM75.8429-Nov-23 03:30 PM74.1302-Jan-24 01:30 PM81.5908-Nov-23 04:00 PM76.1408-Jan-24 04:00 PM78.7871,579 (55)26,399 (21)34,67386,876-52,203617362
572EPDEnterprise Products 08-Nov-23 04:00 PM25.9809-Nov-23 02:30 PM25.8804-Jan-24 10:30 AM27.2108-Nov-23 04:00 PM25.9408-Jan-24 04:00 PM26.7548,959 (57)2,313 (1)31,22686,876-55,650619565
582CICigna Corp09-Nov-23 10:30 AM290.4308-Dec-23 12:30 PM253.9508-Jan-24 10:30 AM314.909-Nov-23 04:00 PM289.0508-Jan-24 04:00 PM313.6689,431 (60)121,432 (29)85,14195,734-10,593604298
592VEEVVeeva Systems Inc.09-Nov-23 10:30 AM178.30510-Nov-23 10:30 AM162.7229-Dec-23 10:30 AM196.2609-Nov-23 04:00 PM166.6308-Jan-24 04:00 PM190.46177,819 (50)23,465 (1)143,01195,73447,277608883
602CNACNA Financial Corpor09-Nov-23 11:30 AM39.0110-Nov-23 11:30 AM38.3205-Jan-24 11:30 AM43.7109-Nov-23 04:00 PM39.4608-Jan-24 04:00 PM42.69107,704 (57)28,890 (1)81,85595,734-13,879607981
612BXPBoston Properties09-Nov-23 01:30 PM52.9713-Nov-23 10:30 AM50.6414-Dec-23 01:30 PM73.9709-Nov-23 04:00 PM52.1808-Jan-24 04:00 PM71.07417,593 (35)29,513 (4)362,01695,734266,282609388
622RIORio Tinto Group10-Nov-23 10:30 AM64.2413-Nov-23 10:30 AM65.2828-Dec-23 10:30 AM75.0910-Nov-23 04:00 PM65.4609-Jan-24 04:00 PM70.87147,113 (48)2,750 (3)82,64677,2915,355609857
632CICigna Corp14-Nov-23 10:30 AM290.4308-Dec-23 12:30 PM253.9508-Jan-24 10:30 AM314.914-Nov-23 04:00 PM290.0916-Jan-24 04:00 PM30785,525 (55)124,582 (24)58,29260,120-1,827634187
642BPBP p.l.c.15-Nov-23 03:30 PM35.70516-Jan-24 02:30 PM34.0830-Nov-23 10:30 AM36.8115-Nov-23 04:00 PM35.616-Jan-24 04:00 PM34.2733,989 (15)42,697 (62)-37,36058,429-95,78962447
652PXDPioneer Natural Res15-Nov-23 03:30 PM235.20516-Jan-24 04:00 PM218.0420-Nov-23 10:30 AM24015-Nov-23 04:00 PM235.2816-Jan-24 04:00 PM218.1520,061 (5)73,274 (62)-72,80758,429-131,23662211
662CSCOCisco Systems16-Nov-23 10:30 AM48.87516-Nov-23 04:00 PM47.2702-Jan-24 11:30 AM50.8616-Nov-23 04:00 PM48.0316-Jan-24 04:00 PM50.5858,922 (47)15,823 (0)53,09257,171-4,079617992
672NBIXNeurocrine Bioscienc16-Nov-23 10:30 AM109.1816-Nov-23 04:00 PM108.0209-Jan-24 12:30 PM134.9316-Nov-23 04:00 PM108.8116-Jan-24 04:00 PM132.7240,051 (54)7,260 (0)219,55757,171162,386619792
682VRTXVertex Pharmaceutica16-Nov-23 10:30 AM347.57516-Nov-23 04:00 PM341.916-Jan-24 04:00 PM438.0316-Nov-23 04:00 PM343.0116-Jan-24 04:00 PM437.49277,018 (61)3,236 (0)275,44457,171218,273619999
692WMT_OWal-Mart Stores16-Nov-23 10:30 AM160.4111-Dec-23 01:30 PM149.5416-Jan-24 10:30 AM162.416-Nov-23 04:00 PM156.0616-Jan-24 04:00 PM161.8140,625 (61)41,779 (25)36,84557,171-20,326614995
702EPDEnterprise Products 16-Nov-23 02:30 PM25.9816-Nov-23 04:00 PM25.9504-Jan-24 10:30 AM27.2116-Nov-23 04:00 PM25.9916-Jan-24 04:00 PM26.7546,941 (49)1,539 (0)29,24257,171-27,929619763
712ESSEssex Ppty Trust17-Nov-23 10:30 AM210.77520-Nov-23 10:30 AM209.1728-Dec-23 04:00 PM252.8517-Nov-23 04:00 PM211.0616-Jan-24 04:00 PM248.88198,001 (41)8,955 (3)179,19155,817123,374609691
722BPBP p.l.c.21-Nov-23 10:30 AM35.70517-Jan-24 10:30 AM33.5230-Nov-23 10:30 AM36.8121-Nov-23 04:00 PM35.7622-Jan-24 04:00 PM34.2529,362 (9)62,640 (57)-42,22668,803-111,029623222
732PXDPioneer Natural Res21-Nov-23 10:30 AM235.20522-Jan-24 10:30 AM214.2324-Nov-23 10:30 AM239.5421-Nov-23 04:00 PM237.0722-Jan-24 04:00 PM216.5410,419 (3)96,343 (62)-86,59968,803-155,40262109
742GSKGlaxoSmithKline plc22-Nov-23 10:30 AM35.18522-Nov-23 04:00 PM35.1912-Jan-24 10:30 AM40.3422-Nov-23 04:00 PM35.2122-Jan-24 04:00 PM39.54145,697 (51)568 (0)122,97664,48058,4976110084
752VRTXVertex Pharmaceutica22-Nov-23 11:30 AM350.37528-Nov-23 03:30 PM346.2922-Jan-24 02:30 PM443.8222-Nov-23 04:00 PM353.2622-Jan-24 04:00 PM440.15256,355 (61)19,731 (6)245,96664,480181,486619396
75              9,309,8347,780,9341,528,903 7872
* PID - Pattern Id, ** S1 - 12M BCP Support

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Pattern Performance overview

Comparison of pattern with different exit periods

PIDPeriod (Days)CountPnL (ABS)PnL (IDX)PnL (REL)Avg.PnL (ABS)Avg.PnL (REL)Win.Avg (ABS)Win.Avg (REL)Avg. Entry EfficiencyAvg. Exit EfficiencyWin Cnt/Pct (ABS)Loss Cnt/Pct (ABS)Win Cnt/Pct (REL)Loss Cnt/Pct (REL)AvgDays
QW115753,574,1653,620,707-46,54247,656-62167341.440950.270.570.859 (78.7%)16 (21.3%)36 (48%)39 (52%)15.6
QW130755,717,0945,031,650685,44476,2289,139102199.766643.77473.961 (81.3%)14 (18.7%)39 (52%)36 (48%)30.6
QW145758,988,3237,204,6251,783,699119,84423,783149759.4130607.576.37763 (84%)12 (16%)34 (45.3%)41 (54.7%)46
QW160759,309,8357,780,9341,528,901124,13120,385159700.4126208.377.872.262 (82.7%)13 (17.3%)34 (45.3%)41 (54.7%)61
QW190759,320,38110,839,144-1,518,763124,272-20,250167517.4102031.478.467.561 (81.3%)14 (18.7%)30 (40%)45 (60%)89.9
1. ABS - Absolue, 2. REL - Relative, 3. IDX - Index, 4. Pct - Percentage, 5. Cnt - Count, 6. PnL - Profit and Loss, 7. Avg - Average
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