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Started: 07/2012
Futures
Last trade: 11 days ago
Followers: 0

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Free AutoTrade
-1.7%
Annual Return (Compounded)
36.2%
Max Drawdown
62
Num Trades
48.4%
Win Trades
1.0 : 1
Profit Factor
40.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                          (2%)+12.0%+5.0%  -  (4.4%)(6.4%)+3.2%
2013(4.1%)(21.1%)+10.8%(3.4%)(5.9%)+6.1%+17.4%(1.4%)+2.9%(4.1%)(4%)+8.2%(4.1%)
2014(6.8%)+11.0%(8.5%)+2.5%+8.1%(11.9%)(0.9%)+6.2%  -                    (2.8%)

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
8/22/14 6:45 BUY 1 @NQU4 E-MINI NASDAQ 100 4040.75 9/7 19:16 4086.00 0.15%
Trade id #89226339
Max drawdown($30)
Time8/22/14 9:46
Quant open1
Worst price4039.25
Drawdown as % of equity-0.15%
$891
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
7/31/14 5:30 BUY 2 @NQU4 E-MINI NASDAQ 100 3910.62 8/11 12:15 3895.75 19.45%
Trade id #88850444
Max drawdown($3,365)
Time8/8/14 3:41
Quant open2
Worst price3826.50
Drawdown as % of equity-19.45%
($623)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92
7/2/14 2:00 BUY 4 @NQU4 E-MINI NASDAQ 100 3892.69 7/21 18:41 3921.81 13.12%
Trade id #88390856
Max drawdown($2,170)
Time7/10/14 9:31
Quant open2
Worst price3831.50
Drawdown as % of equity-13.12%
$2,274
Includes Typical Broker Commission and AutoTrade Fees trade costs of $55.84
7/1/14 12:46 BUY 1 @NQU4 E-MINI NASDAQ 100 3886.75 7/1 16:00 3883.50 0.36%
Trade id #88379518
Max drawdown($65)
Time7/1/14 16:00
Quant open0
Worst price3883.50
Drawdown as % of equity-0.36%
($79)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
6/25/14 0:02 SELL 2 @NQU4 E-MINI NASDAQ 100 3786.75 7/1 12:46 3884.50 20.94%
Trade id #88268180
Max drawdown($3,910)
Time7/1/14 12:46
Quant open1
Worst price3888.00
Drawdown as % of equity-20.94%
($3,938)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92
6/12/14 6:50 BUY 1 @NQU4 E-MINI NASDAQ 100 3792.50 6/25 0:02 3786.75 4.51%
Trade id #88070965
Max drawdown($955)
Time6/12/14 15:40
Quant open1
Worst price3744.75
Drawdown as % of equity-4.51%
($129)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
6/2/14 10:30 BUY 1 @NQM4 E-MINI NASDAQ 100 3719.25 6/4 1:54 3725.25 0.48%
Trade id #87874706
Max drawdown($105)
Time6/3/14 9:37
Quant open1
Worst price3714.00
Drawdown as % of equity-0.48%
$106
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
5/15/14 10:45 BUY 2 @NQM4 E-MINI NASDAQ 100 3577.88 5/19 14:45 3611.12 2.45%
Trade id #87586473
Max drawdown($505)
Time5/15/14 11:57
Quant open1
Worst price3540.25
Drawdown as % of equity-2.45%
$1,302
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92
5/6/14 18:41 BUY 1 @NQM4 E-MINI NASDAQ 100 3550.75 5/8 10:45 3564.50 5.2%
Trade id #87423790
Max drawdown($1,065)
Time5/7/14 10:16
Quant open1
Worst price3497.50
Drawdown as % of equity-5.20%
$261
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
4/4/14 13:00 SELL 1 @NQM4 E-MINI NASDAQ 100 3542.00 4/7 6:26 3510.50 1.13%
Trade id #86871635
Max drawdown($225)
Time4/4/14 13:19
Quant open-1
Worst price3553.25
Drawdown as % of equity-1.13%
$616
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
4/4/14 9:45 SELL 1 @NQM4 E-MINI NASDAQ 100 3619.50 4/4 10:16 3626.25 1.46%
Trade id #86865343
Max drawdown($290)
Time4/4/14 10:12
Quant open-1
Worst price3634.00
Drawdown as % of equity-1.46%
($149)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
3/26/14 14:30 BUY 2 @NQM4 E-MINI NASDAQ 100 3577.25 3/28 10:30 3579.12 6.01%
Trade id #86697828
Max drawdown($1,165)
Time3/27/14 9:43
Quant open1
Worst price3535.25
Drawdown as % of equity-6.01%
$47
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92
3/21/14 10:45 BUY 1 @NQM4 E-MINI NASDAQ 100 3668.50 3/25 10:30 3638.25 9.3%
Trade id #86608719
Max drawdown($1,860)
Time3/24/14 11:13
Quant open1
Worst price3575.50
Drawdown as % of equity-9.30%
($619)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
3/13/14 19:13 BUY 1 @NQM4 E-MINI NASDAQ 100 3649.25 3/17 10:30 3662.50 4.84%
Trade id #86466186
Max drawdown($945)
Time3/16/14 18:48
Quant open1
Worst price3602.00
Drawdown as % of equity-4.84%
$251
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
3/5/14 9:48 BUY 1 @NQH4 E-MINI NASDAQ 100 3722.00 3/13 19:13 3655.50 8.34%
Trade id #86299190
Max drawdown($1,715)
Time3/13/14 15:20
Quant open1
Worst price3636.25
Drawdown as % of equity-8.34%
($1,344)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
2/13/14 9:19 BUY 1 @NQH4 E-MINI NASDAQ 100 3599.75 3/4 1:30 3696.50 0.26%
Trade id #85772863
Max drawdown($50)
Time2/13/14 9:28
Quant open1
Worst price3597.25
Drawdown as % of equity-0.26%
$1,921
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
2/3/14 10:45 BUY 1 @NQH4 E-MINI NASDAQ 100 3488.25 2/6 11:30 3491.00 8.19%
Trade id #85548184
Max drawdown($1,525)
Time2/5/14 10:26
Quant open1
Worst price3412.00
Drawdown as % of equity-8.19%
$41
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
1/27/14 22:08 BUY 1 @NQH4 E-MINI NASDAQ 100 3482.75 1/30 13:30 3530.75 3.06%
Trade id #85408943
Max drawdown($570)
Time1/29/14 15:15
Quant open1
Worst price3454.25
Drawdown as % of equity-3.06%
$946
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
1/13/14 16:00 SELL 1 @NQH4 E-MINI NASDAQ 100 3506.25 1/23 10:46 3589.75 14.56%
Trade id #85141390
Max drawdown($2,580)
Time1/22/14 18:58
Quant open-1
Worst price3635.25
Drawdown as % of equity-14.56%
($1,684)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
1/10/14 6:30 SELL 1 @NQH4 E-MINI NASDAQ 100 3565.00 1/10 10:31 3549.25 0.71%
Trade id #85098740
Max drawdown($140)
Time1/10/14 8:08
Quant open-1
Worst price3572.00
Drawdown as % of equity-0.71%
$301
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
12/19/13 13:00 BUY 1 @NQH4 E-MINI NASDAQ 100 3491.75 1/7/14 11:30 3547.25 0.26%
Trade id #84729593
Max drawdown($50)
Time12/19/13 15:28
Quant open1
Worst price3489.25
Drawdown as % of equity-0.26%
$1,096
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
12/18/13 16:00 SELL 1 @NQZ3 E-MINI NASDAQ 100 3509.50 12/20 17:25 3503.00 0.78%
Trade id #84705461
Max drawdown($145)
Time12/18/13 18:57
Quant open-1
Worst price3516.75
Drawdown as % of equity-0.78%
$116
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
11/28/13 0:48 BUY 1 @NQZ3 E-MINI NASDAQ 100 3476.00 12/4 14:00 3461.00 2.41%
Trade id #84319971
Max drawdown($455)
Time12/4/13 13:32
Quant open1
Worst price3453.25
Drawdown as % of equity-2.41%
($314)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
11/18/13 18:30 SELL 2 @NQZ3 E-MINI NASDAQ 100 3383.38 11/27 10:00 3420.88 8.79%
Trade id #84145937
Max drawdown($1,682)
Time11/27/13 9:56
Quant open-1
Worst price3467.50
Drawdown as % of equity-8.79%
($1,528)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92
11/8/13 3:41 BUY 1 @NQZ3 E-MINI NASDAQ 100 3327.75 11/13 13:45 3384.50 1.84%
Trade id #83965104
Max drawdown($355)
Time11/8/13 8:34
Quant open1
Worst price3310.00
Drawdown as % of equity-1.84%
$1,121
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
10/23/13 11:00 BUY 1 @NQZ3 E-MINI NASDAQ 100 3327.50 11/7 11:15 3340.50 0.45%
Trade id #83665130
Max drawdown($85)
Time10/23/13 11:19
Quant open1
Worst price3323.25
Drawdown as % of equity-0.45%
$246
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
10/8/13 18:54 BUY 1 @NQZ3 E-MINI NASDAQ 100 3154.50 10/9 11:00 3126.50 3.01%
Trade id #83373381
Max drawdown($590)
Time10/9/13 10:14
Quant open1
Worst price3125.00
Drawdown as % of equity-3.01%
($574)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
10/7/13 0:12 BUY 1 @NQZ3 E-MINI NASDAQ 100 3219.75 10/8 15:15 3147.75 7.24%
Trade id #83320340
Max drawdown($1,510)
Time10/8/13 14:22
Quant open1
Worst price3144.25
Drawdown as % of equity-7.24%
($1,454)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
9/17/13 13:00 BUY 3 @NQZ3 E-MINI NASDAQ 100 3196.75 10/4 15:30 3215.33 1.82%
Trade id #83011473
Max drawdown($370)
Time9/30/13 9:31
Quant open1
Worst price3178.25
Drawdown as % of equity-1.82%
$1,073
Includes Typical Broker Commission and AutoTrade Fees trade costs of $41.88
9/9/13 19:06 BUY 1 @NQU3 E-MINI NASDAQ 100 3170.25 9/17 19:02 3192.50 1.05%
Trade id #82905254
Max drawdown($205)
Time9/11/13 10:29
Quant open1
Worst price3160.00
Drawdown as % of equity-1.05%
$431
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96

Statistics

  • Strategy began
    7/22/2012
  • Age
    26 months ago
  • What it trades
    Futures
  • # Trades
    62
  • # Profitable
    30
  • % Profitable
    48.40%
  • Avg trade duration
    7.4 days
  • Max peak-to-valley drawdown
    36.23%
  • drawdown period
    Nov 07, 2012 - June 24, 2013
  • Annual Return (Compounded)
    -1.7%
  • Avg win
    $841.00
  • Avg loss
    $770.78
  • W:L ratio
    1.02:1
  • GENERAL STATISTICS
  • Age
    791
  • # Trades
    62
  • Avg Trade Length
    7.4
  • PROFIT
  • Profit Factor
    1.0
  • SORTINO STATISTICS
  • Sortino Ratio
    0.014
  • CALMAR STATISTICS
  • Calmar Ratio
    0.038
  • Ann Return (w trading costs)
    -1.7%
  • SHARPE STATISTICS
  • Sharpe Ratio
    0.010
  • Ann Return (Compnd, No Fees)
    1.3%
  • Chance of 10% account loss
    85.50%
  • Chance of 20% account loss
    64.00%
  • Chance of 30% account loss
    32.00%
  • Chance of 40% account loss
    10.00%
  • Chance of 50% account loss
    1.00%
  • PROFIT STATISTICS
  • APD
    0.01
  • DRAW DOWN STATISTICS
  • Max Drawdown
    36.2%
  • POPULARITY STATISTICS
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • TOS STATISTICS
  • Trades Own System?
    0
  • TOS percent
    n/a
  • BILLING STATISTICS
  • Subscription Price
    $75
  • Billing Period (days)
    30
  • Trial Days
    0
  • WIN STATISTICS
  • Avg Loss
    $771
  • Avg Win
    $841
  • # Winners
    30
  • # Losers
    32
  • % Winners
    48.4%
  • TIME STATISTICS
  • Avg Position Time (mins)
    10682.00
  • Avg Position Time (hrs)
    178.03
  • OWNER STATISTICS
  • Developer
    -
  • POPULARITY STATISTICS
  • C2 Score
    14.6
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02539
  • SD
    0.25174
  • Sharpe ratio (Glass type estimate)
    0.10084
  • Sharpe ratio (Hedges UMVUE)
    0.09778
  • df
    25.00000
  • t
    0.14844
  • p
    0.44160
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.23196
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.43169
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.23403
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.42959
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.18120
  • Upside Potential Ratio
    2.39123
  • Upside part of mean
    0.33500
  • Downside part of mean
    -0.30961
  • Upside SD
    0.20337
  • Downside SD
    0.14009
  • N nonnegative terms
    9.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.17263
  • Mean of criterion
    0.02539
  • SD of predictor
    0.09937
  • SD of criterion
    0.25174
  • Covariance
    0.00540
  • r
    0.21585
  • b (slope, estimate of beta)
    0.54678
  • a (intercept, estimate of alpha)
    -0.06900
  • Mean Square Error
    0.06294
  • DF error
    24.00000
  • t(b)
    1.08295
  • p(b)
    0.14480
  • t(a)
    -0.36047
  • p(a)
    0.63918
  • Lowerbound of 95% confidence interval for beta
    -0.49528
  • Upperbound of 95% confidence interval for beta
    1.58884
  • Lowerbound of 95% confidence interval for alpha
    -0.46409
  • Upperbound of 95% confidence interval for alpha
    0.32608
  • Treynor index (mean / b)
    0.04643
  • Jensen alpha (a)
    -0.06900
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00367
  • SD
    0.24312
  • Sharpe ratio (Glass type estimate)
    -0.01510
  • Sharpe ratio (Hedges UMVUE)
    -0.01464
  • df
    25.00000
  • t
    -0.02222
  • p
    0.50878
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.34651
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.31657
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.34618
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.31690
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.02524
  • Upside Potential Ratio
    2.17273
  • Upside part of mean
    0.31599
  • Downside part of mean
    -0.31966
  • Upside SD
    0.18890
  • Downside SD
    0.14544
  • N nonnegative terms
    9.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.16657
  • Mean of criterion
    -0.00367
  • SD of predictor
    0.09916
  • SD of criterion
    0.24312
  • Covariance
    0.00510
  • r
    0.21144
  • b (slope, estimate of beta)
    0.51840
  • a (intercept, estimate of alpha)
    -0.09002
  • Mean Square Error
    0.05882
  • DF error
    24.00000
  • t(b)
    1.05979
  • p(b)
    0.14990
  • t(a)
    -0.48975
  • p(a)
    0.68562
  • Lowerbound of 95% confidence interval for beta
    -0.49117
  • Upperbound of 95% confidence interval for beta
    1.52797
  • Lowerbound of 95% confidence interval for alpha
    -0.46938
  • Upperbound of 95% confidence interval for alpha
    0.28934
  • Treynor index (mean / b)
    -0.00708
  • Jensen alpha (a)
    -0.09002
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10930
  • Expected Shortfall on VaR
    0.13475
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06888
  • Expected Shortfall on VaR
    0.10749
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    26.00000
  • Minimum
    0.90716
  • Quartile 1
    0.96167
  • Median
    0.99255
  • Quartile 3
    1.04232
  • Maximum
    1.21555
  • Mean of quarter 1
    0.92993
  • Mean of quarter 2
    0.97401
  • Mean of quarter 3
    1.00513
  • Mean of quarter 4
    1.09889
  • Inter Quartile Range
    0.08065
  • 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
    0.03846
  • Mean of outliers high
    1.21555
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.11536
  • VaR(95%) (moments method)
    0.07174
  • Expected Shortfall (moments method)
    0.07195
  • Extreme Value Index (regression method)
    -2.02987
  • VaR(95%) (regression method)
    0.07794
  • Expected Shortfall (regression method)
    0.07888
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.29854
  • Quartile 1
    0.29854
  • Median
    0.29854
  • Quartile 3
    0.29854
  • Maximum
    0.29854
  • 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)
    0.00632
  • Compounded annual return (geometric extrapolation)
    0.00630
  • Calmar ratio (compounded annual return / max draw down)
    0.02110
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.04675
  • 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
    0.03370
  • SD
    0.24934
  • Sharpe ratio (Glass type estimate)
    0.13515
  • Sharpe ratio (Hedges UMVUE)
    0.13502
  • df
    767.00000
  • t
    0.20194
  • p
    0.42001
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.17660
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.44691
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.17673
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.44677
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.18789
  • Upside Potential Ratio
    7.44630
  • Upside part of mean
    1.33551
  • Downside part of mean
    -1.30181
  • Upside SD
    0.17299
  • Downside SD
    0.17935
  • N nonnegative terms
    248.00000
  • N negative terms
    520.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    768.00000
  • Mean of predictor
    0.16995
  • Mean of criterion
    0.03370
  • SD of predictor
    0.10839
  • SD of criterion
    0.24934
  • Covariance
    0.00467
  • r
    0.17283
  • b (slope, estimate of beta)
    0.39758
  • a (intercept, estimate of alpha)
    -0.03387
  • Mean Square Error
    0.06039
  • DF error
    766.00000
  • t(b)
    4.85655
  • p(b)
    0.00000
  • t(a)
    -0.20521
  • p(a)
    0.58127
  • Lowerbound of 95% confidence interval for beta
    0.23687
  • Upperbound of 95% confidence interval for beta
    0.55829
  • Lowerbound of 95% confidence interval for alpha
    -0.35789
  • Upperbound of 95% confidence interval for alpha
    0.29015
  • Treynor index (mean / b)
    0.08476
  • Jensen alpha (a)
    -0.03387
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00253
  • SD
    0.25013
  • Sharpe ratio (Glass type estimate)
    0.01011
  • Sharpe ratio (Hedges UMVUE)
    0.01010
  • df
    767.00000
  • t
    0.01510
  • p
    0.49398
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.30163
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.32184
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.30164
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.32183
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.01382
  • Upside Potential Ratio
    7.21900
  • Upside part of mean
    1.32082
  • Downside part of mean
    -1.31829
  • Upside SD
    0.17032
  • Downside SD
    0.18296
  • N nonnegative terms
    248.00000
  • N negative terms
    520.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    768.00000
  • Mean of predictor
    0.16404
  • Mean of criterion
    0.00253
  • SD of predictor
    0.10841
  • SD of criterion
    0.25013
  • Covariance
    0.00466
  • r
    0.17184
  • b (slope, estimate of beta)
    0.39647
  • a (intercept, estimate of alpha)
    -0.06251
  • Mean Square Error
    0.06080
  • DF error
    766.00000
  • t(b)
    4.82773
  • p(b)
    0.00000
  • t(a)
    -0.37754
  • p(a)
    0.64706
  • Lowerbound of 95% confidence interval for beta
    0.23526
  • Upperbound of 95% confidence interval for beta
    0.55768
  • Lowerbound of 95% confidence interval for alpha
    -0.38754
  • Upperbound of 95% confidence interval for alpha
    0.26252
  • Treynor index (mean / b)
    0.00638
  • Jensen alpha (a)
    -0.06251
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02193
  • Expected Shortfall on VaR
    0.02742
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01041
  • Expected Shortfall on VaR
    0.02141
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    768.00000
  • Minimum
    0.90769
  • Quartile 1
    0.99762
  • Median
    1.00000
  • Quartile 3
    1.00349
  • Maximum
    1.05940
  • Mean of quarter 1
    0.98524
  • Mean of quarter 2
    0.99970
  • Mean of quarter 3
    1.00049
  • Mean of quarter 4
    1.01508
  • Inter Quartile Range
    0.00587
  • Number outliers low
    95.00000
  • Percentage of outliers low
    0.12370
  • Mean of outliers low
    0.97679
  • Number of outliers high
    98.00000
  • Percentage of outliers high
    0.12760
  • Mean of outliers high
    1.02265
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00492
  • VaR(95%) (moments method)
    0.00834
  • Expected Shortfall (moments method)
    0.01207
  • Extreme Value Index (regression method)
    0.07533
  • VaR(95%) (regression method)
    0.01287
  • Expected Shortfall (regression method)
    0.02034
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00113
  • Quartile 1
    0.00971
  • Median
    0.01420
  • Quartile 3
    0.03636
  • Maximum
    0.33182
  • Mean of quarter 1
    0.00358
  • Mean of quarter 2
    0.01134
  • Mean of quarter 3
    0.02491
  • Mean of quarter 4
    0.18888
  • Inter Quartile Range
    0.02666
  • 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
    0.12500
  • Mean of outliers high
    0.33182
  • 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)
    0.01265
  • Compounded annual return (geometric extrapolation)
    0.01256
  • Calmar ratio (compounded annual return / max draw down)
    0.03784
  • Compounded annual return / average of 25% largest draw downs
    0.06648
  • Compounded annual return / Expected Shortfall lognormal
    0.45800
  • 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
    0.09377
  • SD
    0.24722
  • Sharpe ratio (Glass type estimate)
    0.37929
  • Sharpe ratio (Hedges UMVUE)
    0.37763
  • df
    171.00000
  • t
    0.26820
  • p
    0.48695
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.39333
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.15086
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.39447
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.14972
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.53478
  • Upside Potential Ratio
    7.38901
  • Upside part of mean
    1.29558
  • Downside part of mean
    -1.20182
  • Upside SD
    0.17333
  • Downside SD
    0.17534
  • N nonnegative terms
    54.00000
  • N negative terms
    118.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.15128
  • Mean of criterion
    0.09377
  • SD of predictor
    0.08878
  • SD of criterion
    0.24722
  • Covariance
    0.00302
  • r
    0.13763
  • b (slope, estimate of beta)
    0.38325
  • a (intercept, estimate of alpha)
    0.03579
  • Mean Square Error
    0.06031
  • DF error
    170.00000
  • t(b)
    1.81172
  • p(b)
    0.43118
  • t(a)
    0.10261
  • p(a)
    0.49606
  • Lowerbound of 95% confidence interval for beta
    -0.03433
  • Upperbound of 95% confidence interval for beta
    0.80082
  • Lowerbound of 95% confidence interval for alpha
    -0.65272
  • Upperbound of 95% confidence interval for alpha
    0.72430
  • Treynor index (mean / b)
    0.24467
  • Jensen alpha (a)
    0.03579
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06334
  • SD
    0.24745
  • Sharpe ratio (Glass type estimate)
    0.25598
  • Sharpe ratio (Hedges UMVUE)
    0.25486
  • df
    171.00000
  • t
    0.18101
  • p
    0.49119
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.51628
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.02761
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.51708
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.02679
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.35519
  • Upside Potential Ratio
    7.18227
  • Upside part of mean
    1.28085
  • Downside part of mean
    -1.21750
  • Upside SD
    0.17055
  • Downside SD
    0.17833
  • N nonnegative terms
    54.00000
  • N negative terms
    118.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.14732
  • Mean of criterion
    0.06334
  • SD of predictor
    0.08898
  • SD of criterion
    0.24745
  • Covariance
    0.00308
  • r
    0.13997
  • b (slope, estimate of beta)
    0.38927
  • a (intercept, estimate of alpha)
    0.00600
  • Mean Square Error
    0.06039
  • DF error
    170.00000
  • t(b)
    1.84312
  • p(b)
    0.43002
  • t(a)
    0.01719
  • p(a)
    0.49934
  • Lowerbound of 95% confidence interval for beta
    -0.02765
  • Upperbound of 95% confidence interval for beta
    0.80619
  • Lowerbound of 95% confidence interval for alpha
    -0.68277
  • Upperbound of 95% confidence interval for alpha
    0.69476
  • Treynor index (mean / b)
    0.16272
  • Jensen alpha (a)
    0.00600
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02153
  • Expected Shortfall on VaR
    0.02695
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00967
  • Expected Shortfall on VaR
    0.02019
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.94782
  • Quartile 1
    0.99938
  • Median
    1.00000
  • Quartile 3
    1.00282
  • Maximum
    1.05607
  • Mean of quarter 1
    0.98613
  • Mean of quarter 2
    0.99997
  • Mean of quarter 3
    1.00030
  • Mean of quarter 4
    1.01480
  • Inter Quartile Range
    0.00344
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.15116
  • Mean of outliers low
    0.97889
  • Number of outliers high
    29.00000
  • Percentage of outliers high
    0.16861
  • Mean of outliers high
    1.01939
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.34665
  • VaR(95%) (moments method)
    0.00453
  • Expected Shortfall (moments method)
    0.00930
  • Extreme Value Index (regression method)
    0.17689
  • VaR(95%) (regression method)
    0.01069
  • Expected Shortfall (regression method)
    0.01937
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00495
  • Quartile 1
    0.00760
  • Median
    0.01249
  • Quartile 3
    0.02544
  • Maximum
    0.21596
  • Mean of quarter 1
    0.00588
  • Mean of quarter 2
    0.00997
  • Mean of quarter 3
    0.01501
  • Mean of quarter 4
    0.12244
  • Inter Quartile Range
    0.01784
  • 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
    0.16667
  • Mean of outliers high
    0.21596
  • 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)
    0.07465
  • Compounded annual return (geometric extrapolation)
    0.07605
  • Calmar ratio (compounded annual return / max draw down)
    0.35213
  • Compounded annual return / average of 25% largest draw downs
    0.62109
  • Compounded annual return / Expected Shortfall lognormal
    2.82135

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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