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Started: 11/2011
Stocks
Last trade: 413 days ago
Followers: 0

Subscription terms. Subscriptions to this system cost $50.00 per quarter. You will be charged at the end of the term, but only if the Model Account on this web page has been profitable for the preceding quarter.

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Free AutoTrade
-25.3%
Annual Return (Compounded)
34.9%
Max Drawdown
431
Num Trades
88.2%
Win Trades
1.0 : 1
Profit Factor
29.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                                                                      (0.5%)+1.5%+1.0%
2012+3.1%(3.5%)+6.5%+3.7%  -  +3.2%+2.7%+1.2%(7.9%)+12.2%+8.6%(1.6%)+30.2%
2013(3.6%)(5.1%)(9.5%)+0.9%(26.4%)(26%)(25.1%)  -    -    -    -    -  (65.9%)
2014  -    -    -    -    -    -    -    -                          0.0

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.

Closed Trades

CSV
Show More detailsShow fewer details
Opened ETB/S#Symbol PriceClosedPriceDDP/L
5/1/13 13:48 BUY 180,000 KIDSQ PARENT CO 0.00 7/15 14:24 0.00 n/a ($3,582)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $3,600.00
5/1/13 13:06 BUY 1,000,000 MYRX MYRIAD PHARMACEUTICALS 0.09 7/5 15:04 0.07 15.65%
Trade id #80629637
Max drawdown($16,000)
Time6/24/13 11:08
Quant open1,000,000
Worst price0.07
Drawdown as % of equity-15.65%
($33,900)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $20,000.00
6/7/13 14:14 BUY 30,000 LMRMF LOMIKO METALS INC 0.07 7/5 9:30 0.07 0.42%
Trade id #81371603
Max drawdown($429)
Time6/21/13 14:39
Quant open30,000
Worst price0.06
Drawdown as % of equity-0.42%
($687)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $600.00
5/1/13 13:03 BUY 10,000 SAPX SEVEN ARTS PICTURES 0.57 7/5 9:30 0.00 5.55%
Trade id #80629574
Max drawdown($5,659)
Time7/2/13 13:18
Quant open10,000
Worst price0.00
Drawdown as % of equity-5.55%
($5,858)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $200.00
5/1/13 13:49 BUY 1,000,000 AMEL AMERILITHIUM 0.01 6/10 12:10 0.00 4.02%
Trade id #80630677
Max drawdown($4,300)
Time6/10/13 9:31
Quant open1,000,000
Worst price0.00
Drawdown as % of equity-4.02%
($23,400)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $20,000.00
5/24/13 12:44 BUY 10,000 CNYC CANYON COPPER 0.03 5/30 9:59 0.06 n/a $150
Includes Typical Broker Commission and AutoTrade Fees trade costs of $200.00
4/2/13 13:34 BUY 625 UIS UNISYS CORP. 18.91 5/30 9:58 20.18 0.03%
Trade id #80010651
Max drawdown($32)
Time5/13/13 9:52
Quant open25
Worst price18.11
Drawdown as % of equity-0.03%
$780
Includes Typical Broker Commission and AutoTrade Fees trade costs of $15.25
5/1/13 13:43 BUY 6,000 ENVI ENVIVIO INC. COMMON STOCK 1.58 5/22 11:49 1.67 0.51%
Trade id #80630487
Max drawdown($600)
Time5/3/13 12:28
Quant open6,000
Worst price1.48
Drawdown as % of equity-0.51%
$420
Includes Typical Broker Commission and AutoTrade Fees trade costs of $120.00
5/1/13 13:42 BUY 1,000 MAKO MAKO SURGICAL 10.45 5/22 11:49 11.60 0.32%
Trade id #80630465
Max drawdown($430)
Time5/8/13 9:33
Quant open1,000
Worst price10.02
Drawdown as % of equity-0.32%
$1,130
Includes Typical Broker Commission and AutoTrade Fees trade costs of $20.00
3/12/13 12:46 BUY 2,500 MTW MANITOWOC CO INC 18.56 4/30 14:47 18.85 1.28%
Trade id #79667035
Max drawdown($1,444)
Time4/17/13 9:41
Quant open625
Worst price16.71
Drawdown as % of equity-1.28%
$664
Includes Typical Broker Commission and AutoTrade Fees trade costs of $53.75
4/3/13 14:35 BUY 1 FB FACEBOOK INC 26.17 4/29 12:20 27.10 -0%
Trade id #80037871
Max drawdown($1)
Time4/18/13 14:13
Quant open1
Worst price25.15
Drawdown as % of equity-0.00%
($1)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
4/3/13 14:32 BUY 1 DNDN DENDREON CORP 4.65 4/29 12:20 4.50 -0%
Trade id #80037721
Max drawdown($0)
Time4/18/13 14:54
Quant open1
Worst price4.30
Drawdown as % of equity-0.00%
($2)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
3/12/13 12:39 BUY 27,000 CVGI COMMERCIAL VEHICLE GROUP 7.34 4/29 11:55 7.36 20.71%
Trade id #79666819
Max drawdown($21,266)
Time4/25/13 9:33
Quant open27,000
Worst price6.55
Drawdown as % of equity-20.71%
$33
Includes Typical Broker Commission and AutoTrade Fees trade costs of $542.75
3/28/13 14:02 BUY 125 DAN DANA HOLDING CORP 16.42 4/23 11:36 16.59 0.1%
Trade id #79947596
Max drawdown($113)
Time4/18/13 15:05
Quant open125
Worst price15.51
Drawdown as % of equity-0.10%
$16
Includes Typical Broker Commission and AutoTrade Fees trade costs of $5.25
3/28/13 14:00 BUY 25 SCSS SELECT COMFORT CORP 18.65 4/23 11:36 19.62 0.04%
Trade id #79947519
Max drawdown($47)
Time4/18/13 9:43
Quant open25
Worst price16.74
Drawdown as % of equity-0.04%
$20
Includes Typical Broker Commission and AutoTrade Fees trade costs of $4.00
4/3/13 14:33 BUY 5 GBX GREENBRIER COMPANIES INC 21.41 4/12 11:00 22.93 -0%
Trade id #80037785
Max drawdown($1)
Time4/4/13 10:22
Quant open1
Worst price20.05
Drawdown as % of equity-0.00%
$5
Includes Typical Broker Commission and AutoTrade Fees trade costs of $3.00
4/2/13 13:33 BUY 25 MGM MGM MIRAGE INC 12.20 4/12 11:00 12.81 0.01%
Trade id #80010628
Max drawdown($12)
Time4/5/13 10:13
Quant open25
Worst price11.72
Drawdown as % of equity-0.01%
$11
Includes Typical Broker Commission and AutoTrade Fees trade costs of $4.00
3/28/13 13:59 BUY 25 ACCO ACCO BRANDS CORP 6.16 4/12 10:59 6.60 -0%
Trade id #79947474
Max drawdown($3)
Time4/5/13 9:31
Quant open25
Worst price6.00
Drawdown as % of equity-0.00%
$7
Includes Typical Broker Commission and AutoTrade Fees trade costs of $4.00
3/27/13 13:12 BUY 125 LVS LAS VEGAS SANDS CORP 53.87 4/12 10:59 54.94 0.31%
Trade id #79923354
Max drawdown($363)
Time4/5/13 10:43
Quant open125
Worst price50.96
Drawdown as % of equity-0.31%
$129
Includes Typical Broker Commission and AutoTrade Fees trade costs of $5.25
3/28/13 14:02 BUY 25 CAR AVIS BUDGET GROUP INC 27.06 4/8 14:44 27.49 0.03%
Trade id #79947569
Max drawdown($33)
Time4/5/13 9:36
Quant open25
Worst price25.74
Drawdown as % of equity-0.03%
$7
Includes Typical Broker Commission and AutoTrade Fees trade costs of $4.00
3/27/13 13:13 BUY 5 AIG AMERICAN INTL GROUP INC 38.18 4/8 14:44 39.47 0.01%
Trade id #79923398
Max drawdown($6)
Time4/5/13 9:32
Quant open5
Worst price36.90
Drawdown as % of equity-0.01%
$3
Includes Typical Broker Commission and AutoTrade Fees trade costs of $3.00
3/28/13 13:59 BUY 25 BONT BON-TON STORES INC 12.68 4/5 15:12 13.29 -0%
Trade id #79947479
Max drawdown($1)
Time4/4/13 13:30
Quant open5
Worst price12.53
Drawdown as % of equity-0.00%
$11
Includes Typical Broker Commission and AutoTrade Fees trade costs of $4.00
3/25/13 13:23 BUY 125 PIR PIER 1 IMPORTS INC 21.66 4/5 15:12 21.71 -0%
Trade id #79873550
Max drawdown($5)
Time4/3/13 13:40
Quant open5
Worst price21.20
Drawdown as % of equity-0.00%
$1
Includes Typical Broker Commission and AutoTrade Fees trade costs of $5.25
3/22/13 12:18 BUY 125 CHMT CHEMTURA CORP 20.87 4/4 13:57 21.03 0.02%
Trade id #79847398
Max drawdown($21)
Time4/3/13 11:10
Quant open25
Worst price20.48
Drawdown as % of equity-0.02%
$15
Includes Typical Broker Commission and AutoTrade Fees trade costs of $5.25
2/7/13 11:50 BUY 25 FB FACEBOOK INC 25.78 4/3 14:29 26.07 0.01%
Trade id #79091572
Max drawdown($7)
Time3/27/13 9:38
Quant open5
Worst price24.72
Drawdown as % of equity-0.01%
$2
Includes Typical Broker Commission and AutoTrade Fees trade costs of $5.00
3/18/13 13:24 BUY 3,125 UIS UNISYS CORP. 22.65 4/1 9:31 22.75 0.07%
Trade id #79758870
Max drawdown($79)
Time3/27/13 10:15
Quant open125
Worst price22.35
Drawdown as % of equity-0.07%
$241
Includes Typical Broker Commission and AutoTrade Fees trade costs of $65.25
3/19/13 11:23 BUY 125 MGM MGM MIRAGE INC 13.08 3/28 13:54 13.16 -0%
Trade id #79777684
Max drawdown($0)
Time3/19/13 13:26
Quant open1
Worst price12.64
Drawdown as % of equity-0.00%
$5
Includes Typical Broker Commission and AutoTrade Fees trade costs of $5.25
3/12/13 12:46 BUY 25 GBX GREENBRIER COMPANIES INC 21.20 3/28 13:53 22.60 0.01%
Trade id #79667029
Max drawdown($10)
Time3/27/13 11:29
Quant open25
Worst price20.80
Drawdown as % of equity-0.01%
$31
Includes Typical Broker Commission and AutoTrade Fees trade costs of $4.00
3/18/13 13:16 BUY 25 SCSS SELECT COMFORT CORP 19.01 3/27 13:11 19.83 -0%
Trade id #79758676
Max drawdown($1)
Time3/21/13 14:08
Quant open1
Worst price18.46
Drawdown as % of equity-0.00%
$17
Includes Typical Broker Commission and AutoTrade Fees trade costs of $4.00
3/12/13 12:45 BUY 625 BONT BON-TON STORES INC 12.96 3/27 13:11 13.15 -0%
Trade id #79667000
Max drawdown($0)
Time3/13/13 9:31
Quant open1
Worst price12.47
Drawdown as % of equity-0.00%
$104
Includes Typical Broker Commission and AutoTrade Fees trade costs of $15.25

Statistics

  • Strategy began
    11/22/2011
  • Age
    33 months ago
  • What it trades
    Stocks
  • # Trades
    431
  • # Profitable
    380
  • % Profitable
    88.20%
  • Avg trade duration
    15.4 days
  • Max peak-to-valley drawdown
    34.88%
  • drawdown period
    Dec 15, 2012 - May 21, 2013
  • Annual Return (Compounded)
    -25.3%
  • Avg win
    $167.38
  • Avg loss
    $1,262
  • W:L ratio
    0.99:1
  • Open PL
    $0.00
  • Open PL (start day)
    $0.00
  • Open PL Change $
    $0.00
  • Open PL Change %
    n/a
  • Close PL
    $99,232
  • Closed PL (start day)
    ($768)
  • Closed PL Change $
    $100,000
  • Closed PL Change %
    -13020.83%
  • Equity
    $99,232
  • Equity (start day)
    $99,232
  • Equity Change $
    $0.00
  • Equity Change %
    n/a
  • GENERAL STATISTICS
  • Age
    1002
  • # Trades
    434
  • Avg Trade Length
    15.4
  • PROFIT
  • Profit Factor
    1.0
  • SORTINO STATISTICS
  • Sortino Ratio
    -0.078
  • CALMAR STATISTICS
  • Calmar Ratio
    -0.011
  • Ann Return (w trading costs)
    -25.3%
  • SHARPE STATISTICS
  • Sharpe Ratio
    -0.052
  • Ann Return (Compnd, No Fees)
    -0.3%
  • Chance of 10% account loss
    89.00%
  • Chance of 20% account loss
    63.50%
  • Chance of 30% account loss
    27.00%
  • Chance of 40% account loss
    9.00%
  • Chance of 50% account loss
    1.50%
  • PROFIT STATISTICS
  • APD
    -0.01
  • DRAW DOWN STATISTICS
  • Max Drawdown
    34.9%
  • POPULARITY STATISTICS
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • TOS STATISTICS
  • Trades Own System?
    0
  • TOS percent
    n/a
  • BILLING STATISTICS
  • Subscription Price
    $50
  • Billing Period (days)
    90
  • Trial Days
    0
  • WIN STATISTICS
  • Avg Loss
    $1,262
  • Avg Win
    $167
  • # Winners
    380
  • # Losers
    51
  • % Winners
    88.2%
  • TIME STATISTICS
  • Avg Position Time (mins)
    22191.70
  • Avg Position Time (hrs)
    369.86
  • OWNER STATISTICS
  • Developer
    -
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00031
  • SD
    0.16804
  • Sharpe ratio (Glass type estimate)
    0.00184
  • Sharpe ratio (Hedges UMVUE)
    0.00178
  • df
    23.00000
  • t
    0.00260
  • p
    0.49898
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.38407
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.38774
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.38413
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.38768
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00228
  • Upside Potential Ratio
    1.49609
  • Upside part of mean
    0.20293
  • Downside part of mean
    -0.20262
  • Upside SD
    0.09308
  • Downside SD
    0.13564
  • N nonnegative terms
    14.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.24999
  • Mean of criterion
    0.00031
  • SD of predictor
    0.11261
  • SD of criterion
    0.16804
  • Covariance
    -0.00261
  • r
    -0.13791
  • b (slope, estimate of beta)
    -0.20580
  • a (intercept, estimate of alpha)
    0.05176
  • Mean Square Error
    0.02896
  • DF error
    22.00000
  • t(b)
    -0.65308
  • p(b)
    0.73976
  • t(a)
    0.35984
  • p(a)
    0.36120
  • Lowerbound of 95% confidence interval for beta
    -0.85932
  • Upperbound of 95% confidence interval for beta
    0.44772
  • Lowerbound of 95% confidence interval for alpha
    -0.24652
  • Upperbound of 95% confidence interval for alpha
    0.35003
  • Treynor index (mean / b)
    -0.00150
  • Jensen alpha (a)
    0.05176
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01381
  • SD
    0.17357
  • Sharpe ratio (Glass type estimate)
    -0.07954
  • Sharpe ratio (Hedges UMVUE)
    -0.07691
  • df
    23.00000
  • t
    -0.11248
  • p
    0.54429
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.46479
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.30740
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.46299
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.30917
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.09601
  • Upside Potential Ratio
    1.38106
  • Upside part of mean
    0.19858
  • Downside part of mean
    -0.21239
  • Upside SD
    0.09061
  • Downside SD
    0.14379
  • N nonnegative terms
    14.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.24141
  • Mean of criterion
    -0.01381
  • SD of predictor
    0.11005
  • SD of criterion
    0.17357
  • Covariance
    -0.00248
  • r
    -0.13003
  • b (slope, estimate of beta)
    -0.20508
  • a (intercept, estimate of alpha)
    0.03570
  • Mean Square Error
    0.03096
  • DF error
    22.00000
  • t(b)
    -0.61511
  • p(b)
    0.72760
  • t(a)
    0.24093
  • p(a)
    0.40592
  • Lowerbound of 95% confidence interval for beta
    -0.89653
  • Upperbound of 95% confidence interval for beta
    0.48637
  • Lowerbound of 95% confidence interval for alpha
    -0.27162
  • Upperbound of 95% confidence interval for alpha
    0.34302
  • Treynor index (mean / b)
    0.06731
  • Jensen alpha (a)
    0.03570
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08017
  • Expected Shortfall on VaR
    0.09907
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03403
  • Expected Shortfall on VaR
    0.07229
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    24.00000
  • Minimum
    0.86950
  • Quartile 1
    0.98775
  • Median
    1.01118
  • Quartile 3
    1.02786
  • Maximum
    1.07762
  • Mean of quarter 1
    0.93523
  • Mean of quarter 2
    1.00069
  • Mean of quarter 3
    1.01947
  • Mean of quarter 4
    1.04803
  • Inter Quartile Range
    0.04011
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.08333
  • Mean of outliers low
    0.87669
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.29130
  • VaR(95%) (moments method)
    0.06351
  • Expected Shortfall (moments method)
    0.11115
  • Extreme Value Index (regression method)
    -0.08542
  • VaR(95%) (regression method)
    0.08022
  • Expected Shortfall (regression method)
    0.11102
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02409
  • Quartile 1
    0.09089
  • Median
    0.15768
  • Quartile 3
    0.22448
  • Maximum
    0.29127
  • Mean of quarter 1
    0.02409
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.29127
  • Inter Quartile Range
    0.13359
  • 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)
    -0.00384
  • Compounded annual return (geometric extrapolation)
    -0.00385
  • Calmar ratio (compounded annual return / max draw down)
    -0.01321
  • Compounded annual return / average of 25% largest draw downs
    -0.01321
  • Compounded annual return / Expected Shortfall lognormal
    -0.03883
  • 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
    0.02045
  • SD
    0.26300
  • Sharpe ratio (Glass type estimate)
    0.07776
  • Sharpe ratio (Hedges UMVUE)
    0.07768
  • df
    712.00000
  • t
    0.11195
  • p
    0.45544
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.28363
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.43916
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.28371
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.43908
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.11920
  • Upside Potential Ratio
    5.82392
  • Upside part of mean
    0.99925
  • Downside part of mean
    -0.97880
  • Upside SD
    0.19908
  • Downside SD
    0.17158
  • N nonnegative terms
    247.00000
  • N negative terms
    466.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    713.00000
  • Mean of predictor
    0.24818
  • Mean of criterion
    0.02045
  • SD of predictor
    0.14088
  • SD of criterion
    0.26300
  • Covariance
    -0.00024
  • r
    -0.00657
  • b (slope, estimate of beta)
    -0.01226
  • a (intercept, estimate of alpha)
    0.02350
  • Mean Square Error
    0.06926
  • DF error
    711.00000
  • t(b)
    -0.17519
  • p(b)
    0.56951
  • t(a)
    0.12795
  • p(a)
    0.44911
  • Lowerbound of 95% confidence interval for beta
    -0.14972
  • Upperbound of 95% confidence interval for beta
    0.12519
  • Lowerbound of 95% confidence interval for alpha
    -0.33702
  • Upperbound of 95% confidence interval for alpha
    0.38401
  • Treynor index (mean / b)
    -1.66750
  • Jensen alpha (a)
    0.02350
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01367
  • SD
    0.26071
  • Sharpe ratio (Glass type estimate)
    -0.05243
  • Sharpe ratio (Hedges UMVUE)
    -0.05238
  • df
    712.00000
  • t
    -0.07549
  • p
    0.53008
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.41383
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.30896
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.41377
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.30901
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.07790
  • Upside Potential Ratio
    5.58648
  • Upside part of mean
    0.98027
  • Downside part of mean
    -0.99394
  • Upside SD
    0.19258
  • Downside SD
    0.17547
  • N nonnegative terms
    247.00000
  • N negative terms
    466.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    713.00000
  • Mean of predictor
    0.23821
  • Mean of criterion
    -0.01367
  • SD of predictor
    0.14052
  • SD of criterion
    0.26071
  • Covariance
    -0.00030
  • r
    -0.00813
  • b (slope, estimate of beta)
    -0.01508
  • a (intercept, estimate of alpha)
    -0.01008
  • Mean Square Error
    0.06806
  • DF error
    711.00000
  • t(b)
    -0.21675
  • p(b)
    0.58577
  • t(a)
    -0.05538
  • p(a)
    0.52207
  • Lowerbound of 95% confidence interval for beta
    -0.15169
  • Upperbound of 95% confidence interval for beta
    0.12153
  • Lowerbound of 95% confidence interval for alpha
    -0.36734
  • Upperbound of 95% confidence interval for alpha
    0.34718
  • Treynor index (mean / b)
    0.90640
  • Jensen alpha (a)
    -0.01008
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02289
  • Expected Shortfall on VaR
    0.02860
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00758
  • Expected Shortfall on VaR
    0.01658
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    713.00000
  • Minimum
    0.92890
  • Quartile 1
    0.99976
  • Median
    1.00000
  • Quartile 3
    1.00051
  • Maximum
    1.11119
  • Mean of quarter 1
    0.98876
  • Mean of quarter 2
    0.99998
  • Mean of quarter 3
    1.00008
  • Mean of quarter 4
    1.01160
  • Inter Quartile Range
    0.00075
  • Number outliers low
    129.00000
  • Percentage of outliers low
    0.18093
  • Mean of outliers low
    0.98467
  • Number of outliers high
    142.00000
  • Percentage of outliers high
    0.19916
  • Mean of outliers high
    1.01430
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.68040
  • VaR(95%) (moments method)
    0.00550
  • Expected Shortfall (moments method)
    0.02171
  • Extreme Value Index (regression method)
    0.19027
  • VaR(95%) (regression method)
    0.01074
  • Expected Shortfall (regression method)
    0.02094
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    37.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00037
  • Median
    0.00189
  • Quartile 3
    0.00945
  • Maximum
    0.33093
  • Mean of quarter 1
    0.00013
  • Mean of quarter 2
    0.00091
  • Mean of quarter 3
    0.00570
  • Mean of quarter 4
    0.07296
  • Inter Quartile Range
    0.00909
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.16216
  • Mean of outliers high
    0.10113
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.76793
  • VaR(95%) (moments method)
    0.05341
  • Expected Shortfall (moments method)
    0.26021
  • Extreme Value Index (regression method)
    0.44472
  • VaR(95%) (regression method)
    0.06456
  • Expected Shortfall (regression method)
    0.14909
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.00371
  • Compounded annual return (geometric extrapolation)
    -0.00371
  • Calmar ratio (compounded annual return / max draw down)
    -0.01122
  • Compounded annual return / average of 25% largest draw downs
    -0.05089
  • Compounded annual return / Expected Shortfall lognormal
    -0.12980
  • 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
    -0.24134
  • SD
    0.20516
  • Sharpe ratio (Glass type estimate)
    -1.17633
  • Sharpe ratio (Hedges UMVUE)
    -1.17116
  • df
    171.00000
  • t
    -0.83179
  • p
    0.54039
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.94925
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.59997
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.94575
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.60342
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.63643
  • Upside Potential Ratio
    2.90062
  • Upside part of mean
    0.42778
  • Downside part of mean
    -0.66912
  • Upside SD
    0.14236
  • Downside SD
    0.14748
  • N nonnegative terms
    13.00000
  • N negative terms
    159.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.39883
  • Mean of criterion
    -0.24134
  • SD of predictor
    0.16624
  • SD of criterion
    0.20516
  • Covariance
    -0.00050
  • r
    -0.01467
  • b (slope, estimate of beta)
    -0.01811
  • a (intercept, estimate of alpha)
    -0.23412
  • Mean Square Error
    0.04233
  • DF error
    170.00000
  • t(b)
    -0.19134
  • p(b)
    0.50734
  • t(a)
    -0.79793
  • p(a)
    0.53054
  • Lowerbound of 95% confidence interval for beta
    -0.20494
  • Upperbound of 95% confidence interval for beta
    0.16872
  • Lowerbound of 95% confidence interval for alpha
    -0.81330
  • Upperbound of 95% confidence interval for alpha
    0.34507
  • Treynor index (mean / b)
    13.32700
  • Jensen alpha (a)
    -0.23412
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.26225
  • SD
    0.20447
  • Sharpe ratio (Glass type estimate)
    -1.28260
  • Sharpe ratio (Hedges UMVUE)
    -1.27697
  • df
    171.00000
  • t
    -0.90694
  • p
    0.54401
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.05595
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.49433
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.05208
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.49814
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.74186
  • Upside Potential Ratio
    2.77655
  • Upside part of mean
    0.41803
  • Downside part of mean
    -0.68028
  • Upside SD
    0.13819
  • Downside SD
    0.15056
  • N nonnegative terms
    13.00000
  • N negative terms
    159.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.38492
  • Mean of criterion
    -0.26225
  • SD of predictor
    0.16575
  • SD of criterion
    0.20447
  • Covariance
    -0.00048
  • r
    -0.01415
  • b (slope, estimate of beta)
    -0.01746
  • a (intercept, estimate of alpha)
    -0.25553
  • Mean Square Error
    0.04204
  • DF error
    170.00000
  • t(b)
    -0.18457
  • p(b)
    0.50708
  • t(a)
    -0.87433
  • p(a)
    0.53345
  • Lowerbound of 95% confidence interval for beta
    -0.20421
  • Upperbound of 95% confidence interval for beta
    0.16929
  • Lowerbound of 95% confidence interval for alpha
    -0.83245
  • Upperbound of 95% confidence interval for alpha
    0.32139
  • Treynor index (mean / b)
    15.01960
  • Jensen alpha (a)
    -0.25553
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01872
  • Expected Shortfall on VaR
    0.02322
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00645
  • Expected Shortfall on VaR
    0.01407
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.94428
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.07029
  • Mean of quarter 1
    0.99233
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00498
  • Inter Quartile Range
    0.00000
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.11046
  • Mean of outliers low
    0.98263
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.08140
  • Mean of outliers high
    1.01531
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.09577
  • VaR(95%) (moments method)
    0.00323
  • Expected Shortfall (moments method)
    0.00415
  • Extreme Value Index (regression method)
    -0.24971
  • VaR(95%) (regression method)
    0.00914
  • Expected Shortfall (regression method)
    0.02041
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.08895
  • Quartile 1
    0.10957
  • Median
    0.13018
  • Quartile 3
    0.15080
  • Maximum
    0.17142
  • Mean of quarter 1
    0.08895
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.17142
  • Inter Quartile Range
    0.04123
  • 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)
    -0.23703
  • Compounded annual return (geometric extrapolation)
    -0.22299
  • Calmar ratio (compounded annual return / max draw down)
    -1.30085
  • Compounded annual return / average of 25% largest draw downs
    -1.30085
  • Compounded annual return / Expected Shortfall lognormal
    -9.60337

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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