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Steady Profits

Created by:
Dusan Kova?evi?
Dusan Kova?evi?
Started: 05/2011
Stocks
Last trade: 630 days ago
Followers: 0

Subscription terms. Subscriptions to this system cost $15.00 per month.

-16.5%
Annual Return (Compounded)
71.9%
Max Drawdown
1072
Num Trades
44.5%
Win Trades
1.0 : 1
Profit Factor
39.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                            +9.9%(10.9%)+5.2%+16.4%(3%)+25.6%+8.2%(2.4%)+54.2%
2012(19.4%)+12.9%+9.3%(4%)+7.3%+6.8%+14.3%+41.7%+6.2%(14.8%)(0.7%)(1%)+57.9%
2013(10.5%)(10.5%)(3.8%)(14.7%)(11%)(13%)+2.6%+8.4%(13.2%)(2.9%)(9.3%)(47.5%)(77.3%)
2014+90.3%(47.5%)(0.1%)+90.4%(47.6%)  -  (0.1%)(0.1%)  -                    (0.5%)

Model Account Details

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

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Closed Trades

CSV
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Opened ETB/S#Symbol PriceClosedPriceDDP/L
12/7/12 9:44 BUY 2,400 FAS DIREXION DF BULL 3X 37.25 12/11 9:30 37.53 1.07%
Trade id #78042690
Max drawdown($1,512)
Time12/7/12 11:02
Quant open800
Worst price109.86
Drawdown as % of equity-1.07%
$634
Includes Typical Broker Commission and AutoTrade Fees trade costs of $48.00
12/7/12 9:33 SELL 1,500 FAZ DIREXION DF BEAR 3X 65.80 12/11 9:30 65.28 1.18%
Trade id #78042335
Max drawdown($1,680)
Time12/7/12 11:02
Quant open-6,000
Worst price16.73
Drawdown as % of equity-1.18%
$750
Includes Typical Broker Commission and AutoTrade Fees trade costs of $30.00
12/5/12 11:55 SELL 1,950 FAZ DIREXION DF BEAR 3X 67.96 12/5 13:27 67.60 0.06%
Trade id #77998087
Max drawdown($78)
Time12/5/12 11:58
Quant open-7,800
Worst price17.00
Drawdown as % of equity-0.06%
$663
Includes Typical Broker Commission and AutoTrade Fees trade costs of $39.00
12/5/12 11:55 BUY 2,400 FAS DIREXION DF BULL 3X 36.06 12/5 13:27 36.27 n/a $446
Includes Typical Broker Commission and AutoTrade Fees trade costs of $48.00
12/5/12 9:30 BUY 2,000 EEM ISHARES MSCI EMERGING MARKET 42.31 12/5 12:22 42.49 0.16%
Trade id #77993264
Max drawdown($220)
Time12/5/12 10:56
Quant open2,000
Worst price42.20
Drawdown as % of equity-0.16%
$320
Includes Typical Broker Commission and AutoTrade Fees trade costs of $40.00
12/5/12 9:30 BUY 3,636 EDC DIREXION EMR MKT BULL 3X 30.91 12/5 11:31 31.01 0.56%
Trade id #77993366
Max drawdown($780)
Time12/5/12 10:56
Quant open1,200
Worst price93.01
Drawdown as % of equity-0.56%
$309
Includes Typical Broker Commission and AutoTrade Fees trade costs of $72.72
11/23/12 8:52 BUY 20 @CTZ2 COTTON - #2 7155 11/29 11:41 7120 14.31%
Trade id #77804101
Max drawdown($20,500)
Time11/23/12 11:30
Quant open20
Worst price6950
Drawdown as % of equity-14.31%
($3,729)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $279.20
11/20/12 10:00 BUY 1 APIT ASPIRE INTERNATIONAL 0.04 11/20 10:01 0.04 n/a ($2)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
11/20/12 9:59 BUY 1 APPY ASPENBIO PHARMA INC 2.08 11/20 9:59 2.06 n/a ($2)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
11/19/12 9:30 BUY 750 AGQ PROSHARES ULTRA SILVER 210.60 11/19 13:23 212.80 1.37%
Trade id #77720574
Max drawdown($1,920)
Time11/19/12 10:11
Quant open3,000
Worst price52.01
Drawdown as % of equity-1.37%
$1,635
Includes Typical Broker Commission and AutoTrade Fees trade costs of $15.00
11/19/12 9:30 SELL 2,800 ZSL PROSHARES ULTRSHT SILVER 43.02 11/19 13:22 42.61 1.16%
Trade id #77720605
Max drawdown($1,624)
Time11/19/12 10:11
Quant open-2,800
Worst price43.60
Drawdown as % of equity-1.16%
$1,092
Includes Typical Broker Commission and AutoTrade Fees trade costs of $56.00
11/19/12 9:30 BUY 2,000 SLV ISHARES SILVER TRUST 31.94 11/19 9:52 31.91 0.16%
Trade id #77720511
Max drawdown($220)
Time11/19/12 9:34
Quant open2,000
Worst price31.83
Drawdown as % of equity-0.16%
($100)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $40.00
11/16/12 13:44 BUY 1 ABCO ADVISORY BOARD 44.12 11/16 13:44 44.03 n/a ($2)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
11/16/12 13:43 BUY 1 ABCO ADVISORY BOARD 44.04 11/16 13:44 44.06 n/a ($2)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
11/16/12 13:42 BUY 1 ABCO ADVISORY BOARD 44.00 11/16 13:42 43.97 n/a ($2)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
11/16/12 13:40 BUY 1 ABCO ADVISORY BOARD 44.00 11/16 13:41 43.97 n/a ($2)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
11/14/12 7:25 BUY 10 @CTZ2 COTTON - #2 7100 11/14 13:22 7150 1.1%
Trade id #77643151
Max drawdown($1,500)
Time11/14/12 8:43
Quant open10
Worst price7070
Drawdown as % of equity-1.10%
$2,360
Includes Typical Broker Commission and AutoTrade Fees trade costs of $139.60
11/13/12 11:07 SELL 2,800 ZSL PROSHARES ULTRSHT SILVER 43.52 11/14 9:30 44.09 2.17%
Trade id #77617283
Max drawdown($2,996)
Time11/13/12 16:00
Quant open-2,800
Worst price44.59
Drawdown as % of equity-2.17%
($1,652)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $56.00
11/13/12 11:07 BUY 750 AGQ PROSHARES ULTRA SILVER 208.80 11/13 13:52 204.24 2.65%
Trade id #77617290
Max drawdown($3,660)
Time11/13/12 13:31
Quant open3,000
Worst price50.98
Drawdown as % of equity-2.65%
($3,435)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $15.00
11/13/12 11:07 BUY 2,000 SLV ISHARES SILVER TRUST 31.78 11/13 11:38 31.61 0.25%
Trade id #77617273
Max drawdown($360)
Time11/13/12 11:25
Quant open2,000
Worst price31.60
Drawdown as % of equity-0.25%
($380)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $40.00
11/6/12 11:58 SELL 1,950 FAZ DIREXION DF BEAR 3X 65.80 11/6 15:59 66.08 0.81%
Trade id #77497184
Max drawdown($1,170)
Time11/6/12 15:38
Quant open-7,800
Worst price16.60
Drawdown as % of equity-0.81%
($585)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $39.00
11/6/12 11:58 BUY 3,300 FAS DIREXION DF BULL 3X 38.10 11/6 15:59 37.95 0.69%
Trade id #77497187
Max drawdown($990)
Time11/6/12 15:44
Quant open1,100
Worst price113.40
Drawdown as % of equity-0.69%
($548)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $66.00
11/6/12 12:06 BUY 2,000 SLV ISHARES SILVER TRUST 30.50 11/6 12:36 31.10 0.06%
Trade id #77497474
Max drawdown($80)
Time11/6/12 12:08
Quant open2,000
Worst price30.46
Drawdown as % of equity-0.06%
$1,160
Includes Typical Broker Commission and AutoTrade Fees trade costs of $40.00
11/1/12 11:20 BUY 3,300 FAS DIREXION DF BULL 3X 36.57 11/1 12:29 37.66 n/a $3,531
Includes Typical Broker Commission and AutoTrade Fees trade costs of $66.00
10/25/12 9:30 BUY 4,545 EDC DIREXION EMR MKT BULL 3X 29.84 10/25 15:59 29.41 2.53%
Trade id #77325489
Max drawdown($3,630)
Time10/25/12 11:51
Quant open1,500
Worst price88.01
Drawdown as % of equity-2.53%
($2,073)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $90.90
10/25/12 9:30 BUY 3,100 EEM ISHARES MSCI EMERGING MARKET 41.69 10/25 15:59 41.48 0.83%
Trade id #77325495
Max drawdown($1,193)
Time10/25/12 11:52
Quant open3,100
Worst price41.30
Drawdown as % of equity-0.83%
($713)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $62.00
10/25/12 9:30 BUY 625 AGQ PROSHARES ULTRA SILVER 201.68 10/25 9:52 201.32 0.43%
Trade id #77325503
Max drawdown($620)
Time10/25/12 9:41
Quant open2,500
Worst price50.17
Drawdown as % of equity-0.43%
($238)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $12.50
10/24/12 9:59 BUY 5,000 EEV PROSHRS ULT SHT MSCI ETF 25.05 10/25 9:30 24.61 1.53%
Trade id #77303840
Max drawdown($2,200)
Time10/25/12 9:30
Quant open0
Worst price24.61
Drawdown as % of equity-1.53%
($2,300)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $100.00
10/24/12 11:33 BUY 2,400 DGP DB GOLD DBSH ETN 38 53.95 10/25 9:30 54.93 0.25%
Trade id #77306665
Max drawdown($360)
Time10/24/12 11:49
Quant open2,400
Worst price53.80
Drawdown as % of equity-0.25%
$2,304
Includes Typical Broker Commission and AutoTrade Fees trade costs of $48.00
10/22/12 9:46 BUY 800 ROST ROSS STORES INC 61.24 10/23 9:30 59.69 0.86%
Trade id #77257326
Max drawdown($1,240)
Time10/23/12 9:30
Quant open0
Worst price59.69
Drawdown as % of equity-0.86%
($1,256)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $16.00

Statistics

  • Strategy began
    5/17/2011
  • Age
    40 months ago
  • What it trades
    Stocks
  • # Trades
    1072
  • # Profitable
    477
  • % Profitable
    44.50%
  • Avg trade duration
    1.0 days
  • Max peak-to-valley drawdown
    71.89%
  • drawdown period
    Sept 14, 2012 - Dec 07, 2013
  • Annual Return (Compounded)
    -16.5%
  • Avg win
    $567.44
  • Avg loss
    $463.04
  • W:L ratio
    0.98:1
  • Open PL
    ($98,100)
  • Open PL (start day)
    ($98,100)
  • Open PL Change $
    ($0.45)
  • Open PL Change %
    n/a
  • Close PL
    $93,262
  • Closed PL (start day)
    $93,262
  • Closed PL Change $
    $0.24
  • Closed PL Change %
    n/a
  • Equity
    $45,161
  • Equity (start day)
    $45,162
  • Equity Change $
    ($0.21)
  • Equity Change %
    n/a
  • GENERAL STATISTICS
  • Age
    1204
  • # Trades
    1074
  • Avg Trade Length
    1.0
  • PROFIT
  • Profit Factor
    1.0
  • SORTINO STATISTICS
  • Sortino Ratio
    -0.072
  • CALMAR STATISTICS
  • Calmar Ratio
    -0.055
  • Ann Return (w trading costs)
    -16.5%
  • SHARPE STATISTICS
  • Sharpe Ratio
    -0.051
  • Ann Return (Compnd, No Fees)
    -3.0%
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 50% account loss
    100.00%
  • PROFIT STATISTICS
  • APD
    -0.20
  • DRAW DOWN STATISTICS
  • Max Drawdown
    71.9%
  • POPULARITY STATISTICS
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    508
  • TOS STATISTICS
  • Trades Own System?
    0
  • TOS percent
    n/a
  • BILLING STATISTICS
  • Subscription Price
    $15
  • Billing Period (days)
    30
  • Trial Days
    0
  • WIN STATISTICS
  • Avg Loss
    $463
  • Avg Win
    $567
  • # Winners
    477
  • # Losers
    595
  • % Winners
    44.5%
  • TIME STATISTICS
  • Avg Position Time (mins)
    1459.92
  • Avg Position Time (hrs)
    24.33
  • OWNER STATISTICS
  • Developer
    -
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08173
  • SD
    0.54711
  • Sharpe ratio (Glass type estimate)
    0.14939
  • Sharpe ratio (Hedges UMVUE)
    0.14549
  • df
    29.00000
  • t
    0.23620
  • p
    0.40747
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.09204
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.38833
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.09467
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.38564
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.26968
  • Upside Potential Ratio
    2.33383
  • Upside part of mean
    0.70730
  • Downside part of mean
    -0.62557
  • Upside SD
    0.44504
  • Downside SD
    0.30306
  • N nonnegative terms
    12.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.16124
  • Mean of criterion
    0.08173
  • SD of predictor
    0.13731
  • SD of criterion
    0.54711
  • Covariance
    -0.01720
  • r
    -0.22897
  • b (slope, estimate of beta)
    -0.91235
  • a (intercept, estimate of alpha)
    0.22884
  • Mean Square Error
    0.29377
  • DF error
    28.00000
  • t(b)
    -1.24467
  • p(b)
    0.88821
  • t(a)
    0.63111
  • p(a)
    0.26654
  • Lowerbound of 95% confidence interval for beta
    -2.41384
  • Upperbound of 95% confidence interval for beta
    0.58914
  • Lowerbound of 95% confidence interval for alpha
    -0.51391
  • Upperbound of 95% confidence interval for alpha
    0.97158
  • Treynor index (mean / b)
    -0.08958
  • Jensen alpha (a)
    0.22884
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.05066
  • SD
    0.51427
  • Sharpe ratio (Glass type estimate)
    -0.09850
  • Sharpe ratio (Hedges UMVUE)
    -0.09593
  • df
    29.00000
  • t
    -0.15575
  • p
    0.56134
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.33751
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.14216
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.33576
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.14391
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.15205
  • Upside Potential Ratio
    1.88034
  • Upside part of mean
    0.62645
  • Downside part of mean
    -0.67711
  • Upside SD
    0.38063
  • Downside SD
    0.33316
  • N nonnegative terms
    12.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.15113
  • Mean of criterion
    -0.05066
  • SD of predictor
    0.13590
  • SD of criterion
    0.51427
  • Covariance
    -0.01742
  • r
    -0.24930
  • b (slope, estimate of beta)
    -0.94340
  • a (intercept, estimate of alpha)
    0.09192
  • Mean Square Error
    0.25689
  • DF error
    28.00000
  • t(b)
    -1.36220
  • p(b)
    0.90800
  • t(a)
    0.27259
  • p(a)
    0.39359
  • Lowerbound of 95% confidence interval for beta
    -2.36204
  • Upperbound of 95% confidence interval for beta
    0.47524
  • Lowerbound of 95% confidence interval for alpha
    -0.59883
  • Upperbound of 95% confidence interval for alpha
    0.78267
  • Treynor index (mean / b)
    0.05370
  • Jensen alpha (a)
    0.09192
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.21996
  • Expected Shortfall on VaR
    0.26579
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.13451
  • Expected Shortfall on VaR
    0.22563
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    30.00000
  • Minimum
    0.78340
  • Quartile 1
    0.90646
  • Median
    0.98841
  • Quartile 3
    1.05413
  • Maximum
    1.46485
  • Mean of quarter 1
    0.84476
  • Mean of quarter 2
    0.95689
  • Mean of quarter 3
    1.02082
  • Mean of quarter 4
    1.20340
  • Inter Quartile Range
    0.14768
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.06667
  • Mean of outliers high
    1.42610
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.16074
  • VaR(95%) (moments method)
    0.17062
  • Expected Shortfall (moments method)
    0.20567
  • Extreme Value Index (regression method)
    -0.51397
  • VaR(95%) (regression method)
    0.15117
  • Expected Shortfall (regression method)
    0.16441
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.04846
  • Quartile 1
    0.05406
  • Median
    0.06054
  • Quartile 3
    0.22198
  • Maximum
    0.71610
  • Mean of quarter 1
    0.05126
  • Mean of quarter 2
    0.06054
  • Mean of quarter 3
    0.22198
  • Mean of quarter 4
    0.71610
  • Inter Quartile Range
    0.16791
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.71610
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.03870
  • Compounded annual return (geometric extrapolation)
    -0.03989
  • Calmar ratio (compounded annual return / max draw down)
    -0.05570
  • Compounded annual return / average of 25% largest draw downs
    -0.05570
  • Compounded annual return / Expected Shortfall lognormal
    -0.15008
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42869
  • SD
    1.00327
  • Sharpe ratio (Glass type estimate)
    0.42730
  • Sharpe ratio (Hedges UMVUE)
    0.42693
  • df
    865.00000
  • t
    0.67797
  • p
    0.24899
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.80824
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.66267
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80852
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66238
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.71622
  • Upside Potential Ratio
    4.97687
  • Upside part of mean
    2.97893
  • Downside part of mean
    -2.55023
  • Upside SD
    0.80477
  • Downside SD
    0.59855
  • N nonnegative terms
    281.00000
  • N negative terms
    585.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    866.00000
  • Mean of predictor
    0.17021
  • Mean of criterion
    0.42869
  • SD of predictor
    0.18519
  • SD of criterion
    1.00327
  • Covariance
    0.00262
  • r
    0.01409
  • b (slope, estimate of beta)
    0.07634
  • a (intercept, estimate of alpha)
    0.41570
  • Mean Square Error
    1.00751
  • DF error
    864.00000
  • t(b)
    0.41425
  • p(b)
    0.33940
  • t(a)
    0.65630
  • p(a)
    0.25590
  • Lowerbound of 95% confidence interval for beta
    -0.28537
  • Upperbound of 95% confidence interval for beta
    0.43805
  • Lowerbound of 95% confidence interval for alpha
    -0.82749
  • Upperbound of 95% confidence interval for alpha
    1.65889
  • Treynor index (mean / b)
    5.61535
  • Jensen alpha (a)
    0.41570
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.05038
  • SD
    0.97796
  • Sharpe ratio (Glass type estimate)
    -0.05151
  • Sharpe ratio (Hedges UMVUE)
    -0.05147
  • df
    865.00000
  • t
    -0.08173
  • p
    0.53256
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.28680
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.18378
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.28676
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.18382
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.07155
  • Upside Potential Ratio
    3.86566
  • Upside part of mean
    2.72176
  • Downside part of mean
    -2.77214
  • Upside SD
    0.67791
  • Downside SD
    0.70409
  • N nonnegative terms
    281.00000
  • N negative terms
    585.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    866.00000
  • Mean of predictor
    0.15300
  • Mean of criterion
    -0.05038
  • SD of predictor
    0.18556
  • SD of criterion
    0.97796
  • Covariance
    0.00215
  • r
    0.01186
  • b (slope, estimate of beta)
    0.06253
  • a (intercept, estimate of alpha)
    -0.05994
  • Mean Square Error
    0.95737
  • DF error
    864.00000
  • t(b)
    0.34875
  • p(b)
    0.36368
  • t(a)
    -0.09710
  • p(a)
    0.53867
  • Lowerbound of 95% confidence interval for beta
    -0.28937
  • Upperbound of 95% confidence interval for beta
    0.41442
  • Lowerbound of 95% confidence interval for alpha
    -1.27151
  • Upperbound of 95% confidence interval for alpha
    1.15162
  • Treynor index (mean / b)
    -0.80565
  • Jensen alpha (a)
    -0.05994
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08321
  • Expected Shortfall on VaR
    0.10302
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02005
  • Expected Shortfall on VaR
    0.04539
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    866.00000
  • Minimum
    0.64391
  • Quartile 1
    0.99754
  • Median
    1.00000
  • Quartile 3
    1.00279
  • Maximum
    1.55302
  • Mean of quarter 1
    0.97076
  • Mean of quarter 2
    0.99974
  • Mean of quarter 3
    1.00034
  • Mean of quarter 4
    1.03426
  • Inter Quartile Range
    0.00525
  • Number outliers low
    118.00000
  • Percentage of outliers low
    0.13626
  • Mean of outliers low
    0.95107
  • Number of outliers high
    110.00000
  • Percentage of outliers high
    0.12702
  • Mean of outliers high
    1.06158
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.98850
  • VaR(95%) (moments method)
    0.01908
  • Expected Shortfall (moments method)
    1.81267
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00608
  • Median
    0.01552
  • Quartile 3
    0.10899
  • Maximum
    0.71885
  • Mean of quarter 1
    0.00093
  • Mean of quarter 2
    0.01223
  • Mean of quarter 3
    0.06962
  • Mean of quarter 4
    0.31042
  • Inter Quartile Range
    0.10291
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.06667
  • Mean of outliers high
    0.71885
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.54893
  • VaR(95%) (moments method)
    0.35329
  • Expected Shortfall (moments method)
    0.85993
  • Extreme Value Index (regression method)
    1.92412
  • VaR(95%) (regression method)
    0.53524
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.03844
  • Compounded annual return (geometric extrapolation)
    -0.03962
  • Calmar ratio (compounded annual return / max draw down)
    -0.05511
  • Compounded annual return / average of 25% largest draw downs
    -0.12763
  • Compounded annual return / Expected Shortfall lognormal
    -0.38458
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.83362
  • SD
    2.15585
  • Sharpe ratio (Glass type estimate)
    0.38668
  • Sharpe ratio (Hedges UMVUE)
    0.38498
  • df
    171.00000
  • t
    0.27342
  • p
    0.48669
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.38596
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.15826
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.38713
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.15708
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.64551
  • Upside Potential Ratio
    6.59018
  • Upside part of mean
    8.51062
  • Downside part of mean
    -7.67701
  • Upside SD
    1.71899
  • Downside SD
    1.29141
  • N nonnegative terms
    34.00000
  • N negative terms
    138.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.41865
  • Mean of criterion
    0.83362
  • SD of predictor
    0.15880
  • SD of criterion
    2.15585
  • Covariance
    0.01632
  • r
    0.04768
  • b (slope, estimate of beta)
    0.64726
  • a (intercept, estimate of alpha)
    0.56264
  • Mean Square Error
    4.66439
  • DF error
    170.00000
  • t(b)
    0.62235
  • p(b)
    0.47616
  • t(a)
    0.18237
  • p(a)
    0.49301
  • Lowerbound of 95% confidence interval for beta
    -1.40577
  • Upperbound of 95% confidence interval for beta
    2.70029
  • Lowerbound of 95% confidence interval for alpha
    -5.52756
  • Upperbound of 95% confidence interval for alpha
    6.65285
  • Treynor index (mean / b)
    1.28792
  • Jensen alpha (a)
    0.56264
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.36419
  • SD
    2.09949
  • Sharpe ratio (Glass type estimate)
    -0.64977
  • Sharpe ratio (Hedges UMVUE)
    -0.64692
  • df
    171.00000
  • t
    -0.45946
  • p
    0.52235
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.42149
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.12373
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.41957
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.12573
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.88917
  • Upside Potential Ratio
    4.79731
  • Upside part of mean
    7.36020
  • Downside part of mean
    -8.72439
  • Upside SD
    1.42610
  • Downside SD
    1.53423
  • N nonnegative terms
    34.00000
  • N negative terms
    138.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.40587
  • Mean of criterion
    -1.36419
  • SD of predictor
    0.15869
  • SD of criterion
    2.09949
  • Covariance
    0.01686
  • r
    0.05060
  • b (slope, estimate of beta)
    0.66951
  • a (intercept, estimate of alpha)
    -1.63592
  • Mean Square Error
    4.42243
  • DF error
    170.00000
  • t(b)
    0.66064
  • p(b)
    0.47470
  • t(a)
    -0.54488
  • p(a)
    0.52088
  • Lowerbound of 95% confidence interval for beta
    -1.33101
  • Upperbound of 95% confidence interval for beta
    2.67002
  • Lowerbound of 95% confidence interval for alpha
    -7.56259
  • Upperbound of 95% confidence interval for alpha
    4.29075
  • Treynor index (mean / b)
    -2.03761
  • Jensen alpha (a)
    -1.63592
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.17317
  • Expected Shortfall on VaR
    0.21069
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06790
  • Expected Shortfall on VaR
    0.14416
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.64391
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.55302
  • Mean of quarter 1
    0.91082
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.09898
  • Inter Quartile Range
    0.00000
  • Number outliers low
    42.00000
  • Percentage of outliers low
    0.24419
  • Mean of outliers low
    0.90870
  • Number of outliers high
    35.00000
  • Percentage of outliers high
    0.20349
  • Mean of outliers high
    1.12161
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.49236
  • Quartile 1
    0.49236
  • Median
    0.49236
  • Quartile 3
    0.49236
  • Maximum
    0.49236
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.98384
  • Compounded annual return (geometric extrapolation)
    -0.74186
  • Calmar ratio (compounded annual return / max draw down)
    -1.50673
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -3.52114

Strategy Description

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment. For any trading system on our Web site, we assume you will invest the amount that appears as the starting amount of that system's performance chart.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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