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Started: 10/2012
Futures
Last trade: 341 days ago
Followers: 0

Subscription terms. There is a free trial period of 7 days. After that, subscriptions cost $117.00 per month.

Try AutoTrade for free. We'll give you $100,000 in a Simulated Broker Account to AutoTrade QI Portfolio I.

Free AutoTrade
-8.5%
Annual Return (Compounded)
40.4%
Max Drawdown
99
Num Trades
46.5%
Win Trades
1.0 : 1
Profit Factor
29.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                               +22.6%+8.0%+0.1%+32.5%
2013(10.4%)+11.5%(12.1%)+3.0%(10.8%)(5.5%)(11.7%)(4.6%)+6.0%(0.6%)(0.7%)(0.7%)(33.1%)
2014(0.7%)+1.2%(0.7%)(0.6%)(0.9%)(0.6%)(1%)(0.9%)(0.9%)                  (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.

Closed Trades

CSV
Show More detailsShow fewer details
Opened ETB/S#Symbol PriceClosedPriceDDP/L
10/10/13 18:00 SELL 1 @ESZ3 E-MINI S&P 500 1683.50 10/11 8:41 1683.50 1.32%
Trade id #83440739
Max drawdown($275)
Time10/10/13 23:02
Quant open-1
Worst price1689.00
Drawdown as % of equity-1.32%
($14)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
10/8/13 12:02 BUY 1 BDZ3 EUREX BUND 140.25 10/11 8:29 139.71 3.77%
Trade id #83363474
Max drawdown($780)
Time10/11/13 6:01
Quant open1
Worst price139.47
Drawdown as % of equity-3.77%
($714)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
10/9/13 18:00 BUY 1 @ESZ3 E-MINI S&P 500 1648.50 10/10 18:00 1683.50 0.13%
Trade id #83412598
Max drawdown($25)
Time10/9/13 18:02
Quant open1
Worst price1648.00
Drawdown as % of equity-0.13%
$1,736
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
10/7/13 18:00 BUY 1 @ESZ3 E-MINI S&P 500 1667.25 10/8 12:31 1653.75 3.29%
Trade id #83342261
Max drawdown($675)
Time10/8/13 12:31
Quant open0
Worst price1653.75
Drawdown as % of equity-3.29%
($689)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
9/27/13 5:03 BUY 1 BDZ3 EUREX BUND 139.91 10/8 10:02 140.18 0.79%
Trade id #83193634
Max drawdown($160)
Time10/3/13 5:39
Quant open1
Worst price139.75
Drawdown as % of equity-0.79%
$336
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
10/3/13 18:00 BUY 1 @ESZ3 E-MINI S&P 500 1668.50 10/6 18:02 1674.50 0.25%
Trade id #83292972
Max drawdown($50)
Time10/3/13 20:51
Quant open1
Worst price1667.50
Drawdown as % of equity-0.25%
$286
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
9/29/13 18:03 BUY 1 @ESZ3 E-MINI S&P 500 1674.50 9/30 18:01 1677.75 1.92%
Trade id #83210059
Max drawdown($387)
Time9/30/13 9:31
Quant open1
Worst price1666.75
Drawdown as % of equity-1.92%
$149
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
9/16/13 15:06 BUY 1 BDZ3 EUREX BUND 138.18 9/26 5:52 140.04 3.43%
Trade id #82996841
Max drawdown($590)
Time9/18/13 10:26
Quant open1
Worst price137.59
Drawdown as % of equity-3.43%
$2,396
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
9/10/13 5:05 BUY 1 BDZ3 EUREX BUND 137.15 9/13 5:05 137.52 3.19%
Trade id #82911731
Max drawdown($550)
Time9/10/13 11:01
Quant open1
Worst price136.60
Drawdown as % of equity-3.19%
$465
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
9/10/13 18:00 SELL 1 @ESU3 E-MINI S&P 500 1682.00 9/11 18:00 1690.00 2.47%
Trade id #82924272
Max drawdown($425)
Time9/11/13 17:08
Quant open-1
Worst price1690.50
Drawdown as % of equity-2.47%
($414)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
9/4/13 18:00 BUY 1 @ESU3 E-MINI S&P 500 1654.75 9/5 18:00 1652.25 1.23%
Trade id #82844710
Max drawdown($212)
Time9/5/13 5:44
Quant open1
Worst price1650.50
Drawdown as % of equity-1.23%
($139)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
8/28/13 5:05 BUY 1 BDU3 EUREX BUND 140.80 9/5 2:07 139.40 10.56%
Trade id #82738430
Max drawdown($1,844)
Time9/5/13 2:07
Quant open0
Worst price139.40
Drawdown as % of equity-10.56%
($1,828)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
9/2/13 18:00 BUY 1 @ESU3 E-MINI S&P 500 1647.25 9/3 12:53 1634.75 3.62%
Trade id #82804111
Max drawdown($675)
Time9/3/13 12:49
Quant open1
Worst price1633.75
Drawdown as % of equity-3.62%
($639)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
9/1/13 18:04 SELL 1 @ESU3 E-MINI S&P 500 1640.00 9/2 18:00 1647.25 2.3%
Trade id #82790058
Max drawdown($425)
Time9/2/13 7:41
Quant open-1
Worst price1648.50
Drawdown as % of equity-2.30%
($377)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
8/28/13 18:00 BUY 1 @ESU3 E-MINI S&P 500 1630.75 8/29 18:00 1638.75 0.4%
Trade id #82751044
Max drawdown($75)
Time8/28/13 19:37
Quant open1
Worst price1629.25
Drawdown as % of equity-0.40%
$386
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
8/25/13 18:05 BUY 1 @ESU3 E-MINI S&P 500 1662.25 8/26 18:00 1654.50 2.28%
Trade id #82690028
Max drawdown($450)
Time8/26/13 16:04
Quant open1
Worst price1653.25
Drawdown as % of equity-2.28%
($402)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
8/21/13 18:00 BUY 1 @ESU3 E-MINI S&P 500 1635.25 8/22 18:00 1654.75 0.98%
Trade id #82644450
Max drawdown($187)
Time8/21/13 20:11
Quant open1
Worst price1631.50
Drawdown as % of equity-0.98%
$961
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
8/19/13 18:00 BUY 1 @ESU3 E-MINI S&P 500 1644.75 8/20 18:00 1650.75 1%
Trade id #82600976
Max drawdown($187)
Time8/20/13 2:06
Quant open1
Worst price1641.00
Drawdown as % of equity-1.00%
$286
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
8/14/13 18:00 BUY 1 @ESU3 E-MINI S&P 500 1680.50 8/15 8:39 1668.75 3.76%
Trade id #82531750
Max drawdown($712)
Time8/15/13 8:34
Quant open1
Worst price1666.25
Drawdown as % of equity-3.76%
($602)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
8/13/13 18:00 SELL 1 @ESU3 E-MINI S&P 500 1691.50 8/14 18:00 1680.50 0.46%
Trade id #82509249
Max drawdown($87)
Time8/14/13 9:33
Quant open-1
Worst price1693.25
Drawdown as % of equity-0.46%
$536
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
8/12/13 18:11 BUY 1 @ESU3 E-MINI S&P 500 1688.25 8/13 18:00 1691.50 2.45%
Trade id #82481087
Max drawdown($450)
Time8/13/13 10:17
Quant open1
Worst price1679.25
Drawdown as % of equity-2.45%
$149
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
8/2/13 9:03 BUY 1 BDU3 EUREX BUND 142.38 8/13 10:12 141.03 9.73%
Trade id #82330640
Max drawdown($1,788)
Time8/13/13 10:12
Quant open0
Worst price141.03
Drawdown as % of equity-9.73%
($1,763)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
8/7/13 18:00 BUY 1 @ESU3 E-MINI S&P 500 1688.50 8/8 18:00 1694.00 0.96%
Trade id #82412401
Max drawdown($200)
Time8/8/13 10:46
Quant open1
Worst price1684.50
Drawdown as % of equity-0.96%
$261
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
8/1/13 18:00 BUY 1 @ESU3 E-MINI S&P 500 1702.00 8/4 18:00 1702.25 1.56%
Trade id #82319867
Max drawdown($312)
Time8/2/13 9:50
Quant open1
Worst price1695.75
Drawdown as % of equity-1.56%
($1)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
7/30/13 18:00 BUY 1 @ESU3 E-MINI S&P 500 1684.00 7/31 18:00 1685.50 0.93%
Trade id #82266678
Max drawdown($187)
Time7/31/13 15:56
Quant open1
Worst price1680.25
Drawdown as % of equity-0.93%
$61
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
7/25/13 18:00 BUY 1 @ESU3 E-MINI S&P 500 1685.75 7/26 10:54 1671.75 3.1%
Trade id #82196194
Max drawdown($700)
Time7/26/13 10:52
Quant open1
Worst price1671.75
Drawdown as % of equity-3.10%
($714)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
7/23/13 18:00 SELL 1 @ESU3 E-MINI S&P 500 1689.50 7/25 18:00 1686.00 1.27%
Trade id #82151080
Max drawdown($287)
Time7/24/13 7:34
Quant open-1
Worst price1695.25
Drawdown as % of equity-1.27%
$161
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
7/19/13 15:03 BUY 1 BDU3 EUREX BUND 144.17 7/24 11:19 142.68 8.74%
Trade id #82083604
Max drawdown($1,971)
Time7/24/13 11:19
Quant open0
Worst price142.68
Drawdown as % of equity-8.74%
($1,944)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
7/19/13 14:02 SELL 1 BDU3 EUREX BUND 144.14 7/19 15:03 144.17 0.17%
Trade id #82082548
Max drawdown($39)
Time7/19/13 15:03
Quant open0
Worst price144.17
Drawdown as % of equity-0.17%
($53)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
7/18/13 13:03 BUY 1 BDU3 EUREX BUND 144.16 7/19 14:01 144.14 0.74%
Trade id #82062500
Max drawdown($170)
Time7/19/13 7:40
Quant open1
Worst price143.99
Drawdown as % of equity-0.74%
($40)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96

Statistics

  • Strategy began
    10/13/2012
  • Age
    23 months ago
  • What it trades
    Futures
  • # Trades
    99
  • # Profitable
    46
  • % Profitable
    46.50%
  • Avg trade duration
    3.1 days
  • Max peak-to-valley drawdown
    40.39%
  • drawdown period
    Dec 13, 2012 - Sept 13, 2013
  • Annual Return (Compounded)
    -8.5%
  • Avg win
    $764.80
  • Avg loss
    $643.85
  • W:L ratio
    1.03:1
  • Open PL
    $0.00
  • Open PL (start day)
    $0.00
  • Open PL Change $
    $0.00
  • Open PL Change %
    n/a
  • Close PL
    $1,056
  • Closed PL (start day)
    $1,057
  • Closed PL Change $
    ($0.58)
  • Closed PL Change %
    -0.05%
  • Equity
    $21,056
  • Equity (start day)
    $21,057
  • Equity Change $
    ($0.58)
  • Equity Change %
    n/a
  • GENERAL STATISTICS
  • Age
    703
  • # Trades
    99
  • Avg Trade Length
    3.1
  • PROFIT
  • Profit Factor
    1.0
  • SORTINO STATISTICS
  • Sortino Ratio
    0.149
  • CALMAR STATISTICS
  • Calmar Ratio
    0.113
  • Ann Return (w trading costs)
    -8.5%
  • SHARPE STATISTICS
  • Sharpe Ratio
    0.103
  • Ann Return (Compnd, No Fees)
    2.7%
  • 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
    n/a
  • PROFIT STATISTICS
  • APD
    0.02
  • DRAW DOWN STATISTICS
  • Max Drawdown
    40.4%
  • POPULARITY STATISTICS
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • TOS STATISTICS
  • Trades Own System?
    0
  • TOS percent
    n/a
  • BILLING STATISTICS
  • Subscription Price
    $117
  • Billing Period (days)
    30
  • Trial Days
    7
  • WIN STATISTICS
  • Avg Loss
    $644
  • Avg Win
    $765
  • # Winners
    46
  • # Losers
    53
  • % Winners
    46.5%
  • TIME STATISTICS
  • Avg Position Time (mins)
    4405.90
  • Avg Position Time (hrs)
    73.43
  • OWNER STATISTICS
  • Developer
    -
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09460
  • SD
    0.35173
  • Sharpe ratio (Glass type estimate)
    0.26896
  • Sharpe ratio (Hedges UMVUE)
    0.25173
  • df
    12.00000
  • t
    0.27994
  • p
    0.45973
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.62260
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.14956
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.63403
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13749
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.52079
  • Upside Potential Ratio
    2.37557
  • Upside part of mean
    0.43151
  • Downside part of mean
    -0.33691
  • Upside SD
    0.28626
  • Downside SD
    0.18165
  • N nonnegative terms
    5.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.29909
  • Mean of criterion
    0.09460
  • SD of predictor
    0.10668
  • SD of criterion
    0.35173
  • Covariance
    -0.01694
  • r
    -0.45142
  • b (slope, estimate of beta)
    -1.48842
  • a (intercept, estimate of alpha)
    0.53978
  • Mean Square Error
    0.10746
  • DF error
    11.00000
  • t(b)
    -1.67788
  • p(b)
    0.93924
  • t(a)
    1.31074
  • p(a)
    0.10833
  • Lowerbound of 95% confidence interval for beta
    -3.44089
  • Upperbound of 95% confidence interval for beta
    0.46404
  • Lowerbound of 95% confidence interval for alpha
    -0.36661
  • Upperbound of 95% confidence interval for alpha
    1.44616
  • Treynor index (mean / b)
    -0.06356
  • Jensen alpha (a)
    0.53978
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04126
  • SD
    0.33402
  • Sharpe ratio (Glass type estimate)
    0.12354
  • Sharpe ratio (Hedges UMVUE)
    0.11562
  • df
    12.00000
  • t
    0.12858
  • p
    0.48145
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.76266
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.00472
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.76802
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.99926
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.21322
  • Upside Potential Ratio
    2.04538
  • Upside part of mean
    0.39584
  • Downside part of mean
    -0.35457
  • Upside SD
    0.25628
  • Downside SD
    0.19353
  • N nonnegative terms
    5.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.29015
  • Mean of criterion
    0.04126
  • SD of predictor
    0.10462
  • SD of criterion
    0.33402
  • Covariance
    -0.01532
  • r
    -0.43837
  • b (slope, estimate of beta)
    -1.39966
  • a (intercept, estimate of alpha)
    0.44738
  • Mean Square Error
    0.09832
  • DF error
    11.00000
  • t(b)
    -1.61763
  • p(b)
    0.93298
  • t(a)
    1.14080
  • p(a)
    0.13909
  • Lowerbound of 95% confidence interval for beta
    -3.30407
  • Upperbound of 95% confidence interval for beta
    0.50475
  • Lowerbound of 95% confidence interval for alpha
    -0.41576
  • Upperbound of 95% confidence interval for alpha
    1.31052
  • Treynor index (mean / b)
    -0.02948
  • Jensen alpha (a)
    0.44738
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.14373
  • Expected Shortfall on VaR
    0.17702
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07360
  • Expected Shortfall on VaR
    0.13308
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.85216
  • Quartile 1
    0.95484
  • Median
    0.99934
  • Quartile 3
    1.03607
  • Maximum
    1.27455
  • Mean of quarter 1
    0.91645
  • Mean of quarter 2
    0.99195
  • Mean of quarter 3
    1.01719
  • Mean of quarter 4
    1.14001
  • Inter Quartile Range
    0.08122
  • 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
    0.07692
  • Mean of outliers high
    1.27455
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.03160
  • VaR(95%) (moments method)
    0.09217
  • Expected Shortfall (moments method)
    0.12468
  • Extreme Value Index (regression method)
    1.01344
  • VaR(95%) (regression method)
    0.13407
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.28428
  • Quartile 1
    0.28428
  • Median
    0.28428
  • Quartile 3
    0.28428
  • Maximum
    0.28428
  • 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)
    0.05266
  • Compounded annual return (geometric extrapolation)
    0.05255
  • Calmar ratio (compounded annual return / max draw down)
    0.18484
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.29685
  • 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
    0.08997
  • SD
    0.33570
  • Sharpe ratio (Glass type estimate)
    0.26801
  • Sharpe ratio (Hedges UMVUE)
    0.26750
  • df
    399.00000
  • t
    0.28900
  • p
    0.38637
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.54982
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.08556
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.55019
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.08519
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.40520
  • Upside Potential Ratio
    6.34436
  • Upside part of mean
    1.40868
  • Downside part of mean
    -1.31871
  • Upside SD
    0.25127
  • Downside SD
    0.22204
  • N nonnegative terms
    152.00000
  • N negative terms
    248.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    400.00000
  • Mean of predictor
    0.28814
  • Mean of criterion
    0.08997
  • SD of predictor
    0.13652
  • SD of criterion
    0.33570
  • Covariance
    -0.00040
  • r
    -0.00872
  • b (slope, estimate of beta)
    -0.02144
  • a (intercept, estimate of alpha)
    0.09615
  • Mean Square Error
    0.11297
  • DF error
    398.00000
  • t(b)
    -0.17399
  • p(b)
    0.56902
  • t(a)
    0.30649
  • p(a)
    0.37970
  • Lowerbound of 95% confidence interval for beta
    -0.26375
  • Upperbound of 95% confidence interval for beta
    0.22086
  • Lowerbound of 95% confidence interval for alpha
    -0.52059
  • Upperbound of 95% confidence interval for alpha
    0.71288
  • Treynor index (mean / b)
    -4.19557
  • Jensen alpha (a)
    0.09615
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03430
  • SD
    0.33351
  • Sharpe ratio (Glass type estimate)
    0.10284
  • Sharpe ratio (Hedges UMVUE)
    0.10265
  • df
    399.00000
  • t
    0.11090
  • p
    0.45588
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.71477
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.92045
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.71496
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.92026
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.14883
  • Upside Potential Ratio
    5.98315
  • Upside part of mean
    1.37887
  • Downside part of mean
    -1.34457
  • Upside SD
    0.24051
  • Downside SD
    0.23046
  • N nonnegative terms
    152.00000
  • N negative terms
    248.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    400.00000
  • Mean of predictor
    0.27873
  • Mean of criterion
    0.03430
  • SD of predictor
    0.13646
  • SD of criterion
    0.33351
  • Covariance
    -0.00061
  • r
    -0.01347
  • b (slope, estimate of beta)
    -0.03291
  • a (intercept, estimate of alpha)
    0.04347
  • Mean Square Error
    0.11149
  • DF error
    398.00000
  • t(b)
    -0.26868
  • p(b)
    0.60584
  • t(a)
    0.13955
  • p(a)
    0.44454
  • Lowerbound of 95% confidence interval for beta
    -0.27374
  • Upperbound of 95% confidence interval for beta
    0.20792
  • Lowerbound of 95% confidence interval for alpha
    -0.56896
  • Upperbound of 95% confidence interval for alpha
    0.65591
  • Treynor index (mean / b)
    -1.04210
  • Jensen alpha (a)
    0.04347
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02905
  • Expected Shortfall on VaR
    0.03629
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00988
  • Expected Shortfall on VaR
    0.02157
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    400.00000
  • Minimum
    0.87931
  • Quartile 1
    0.99957
  • Median
    1.00000
  • Quartile 3
    1.00111
  • Maximum
    1.14879
  • Mean of quarter 1
    0.98482
  • Mean of quarter 2
    0.99992
  • Mean of quarter 3
    1.00013
  • Mean of quarter 4
    1.01629
  • Inter Quartile Range
    0.00153
  • Number outliers low
    82.00000
  • Percentage of outliers low
    0.20500
  • Mean of outliers low
    0.98175
  • Number of outliers high
    88.00000
  • Percentage of outliers high
    0.22000
  • Mean of outliers high
    1.01823
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.49246
  • VaR(95%) (moments method)
    0.00410
  • Expected Shortfall (moments method)
    0.00510
  • Extreme Value Index (regression method)
    -0.11988
  • VaR(95%) (regression method)
    0.01433
  • Expected Shortfall (regression method)
    0.02161
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00012
  • Quartile 1
    0.00301
  • Median
    0.00502
  • Quartile 3
    0.01309
  • Maximum
    0.39979
  • Mean of quarter 1
    0.00089
  • Mean of quarter 2
    0.00410
  • Mean of quarter 3
    0.00884
  • Mean of quarter 4
    0.14670
  • Inter Quartile Range
    0.01008
  • 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
    0.09091
  • Mean of outliers high
    0.39979
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.49055
  • VaR(95%) (moments method)
    0.13298
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    4.92216
  • VaR(95%) (regression method)
    0.96212
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.04541
  • Compounded annual return (geometric extrapolation)
    0.04524
  • Calmar ratio (compounded annual return / max draw down)
    0.11317
  • Compounded annual return / average of 25% largest draw downs
    0.30841
  • Compounded annual return / Expected Shortfall lognormal
    1.24657
  • 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
    0.06179
  • SD
    0.06288
  • Sharpe ratio (Glass type estimate)
    0.98267
  • Sharpe ratio (Hedges UMVUE)
    0.97835
  • df
    171.00000
  • t
    0.69485
  • p
    0.46624
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.79247
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.75506
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.79540
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.75209
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.70098
  • Upside Potential Ratio
    4.95792
  • Upside part of mean
    0.18012
  • Downside part of mean
    -0.11832
  • Upside SD
    0.05121
  • Downside SD
    0.03633
  • N nonnegative terms
    53.00000
  • N negative terms
    119.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.33006
  • Mean of criterion
    0.06179
  • SD of predictor
    0.13257
  • SD of criterion
    0.06288
  • Covariance
    0.00091
  • r
    0.10884
  • b (slope, estimate of beta)
    0.05163
  • a (intercept, estimate of alpha)
    0.04475
  • Mean Square Error
    0.00393
  • DF error
    170.00000
  • t(b)
    1.42763
  • p(b)
    0.44558
  • t(a)
    0.50025
  • p(a)
    0.48083
  • Lowerbound of 95% confidence interval for beta
    -0.01976
  • Upperbound of 95% confidence interval for beta
    0.12302
  • Lowerbound of 95% confidence interval for alpha
    -0.13185
  • Upperbound of 95% confidence interval for alpha
    0.22136
  • Treynor index (mean / b)
    1.19691
  • Jensen alpha (a)
    0.04475
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05983
  • SD
    0.06265
  • Sharpe ratio (Glass type estimate)
    0.95507
  • Sharpe ratio (Hedges UMVUE)
    0.95087
  • df
    171.00000
  • t
    0.67534
  • p
    0.46718
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.81996
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.72735
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.82276
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.72451
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.63133
  • Upside Potential Ratio
    4.87550
  • Upside part of mean
    0.17882
  • Downside part of mean
    -0.11899
  • Upside SD
    0.05067
  • Downside SD
    0.03668
  • N nonnegative terms
    53.00000
  • N negative terms
    119.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.32116
  • Mean of criterion
    0.05983
  • SD of predictor
    0.13255
  • SD of criterion
    0.06265
  • Covariance
    0.00089
  • r
    0.10755
  • b (slope, estimate of beta)
    0.05083
  • a (intercept, estimate of alpha)
    0.04351
  • Mean Square Error
    0.00390
  • DF error
    170.00000
  • t(b)
    1.41043
  • p(b)
    0.44623
  • t(a)
    0.48833
  • p(a)
    0.48129
  • Lowerbound of 95% confidence interval for beta
    -0.02031
  • Upperbound of 95% confidence interval for beta
    0.12197
  • Lowerbound of 95% confidence interval for alpha
    -0.13237
  • Upperbound of 95% confidence interval for alpha
    0.21938
  • Treynor index (mean / b)
    1.17713
  • Jensen alpha (a)
    0.04351
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00537
  • Expected Shortfall on VaR
    0.00677
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00094
  • Expected Shortfall on VaR
    0.00217
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.97763
  • Quartile 1
    0.99991
  • Median
    1.00000
  • Quartile 3
    1.00005
  • Maximum
    1.02826
  • Mean of quarter 1
    0.99872
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00001
  • Mean of quarter 4
    1.00212
  • Inter Quartile Range
    0.00014
  • Number outliers low
    22.00000
  • Percentage of outliers low
    0.12791
  • Mean of outliers low
    0.99768
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.12209
  • Mean of outliers high
    1.00418
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.85801
  • VaR(95%) (moments method)
    0.00015
  • Expected Shortfall (moments method)
    0.00680
  • Extreme Value Index (regression method)
    0.75463
  • VaR(95%) (regression method)
    0.00006
  • Expected Shortfall (regression method)
    0.00726
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00042
  • Quartile 1
    0.00046
  • Median
    0.00466
  • Quartile 3
    0.00876
  • Maximum
    0.03043
  • Mean of quarter 1
    0.00042
  • Mean of quarter 2
    0.00057
  • Mean of quarter 3
    0.00875
  • Mean of quarter 4
    0.01960
  • Inter Quartile Range
    0.00830
  • 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
    0.03043
  • 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)
    0.07101
  • Compounded annual return (geometric extrapolation)
    0.07227
  • Calmar ratio (compounded annual return / max draw down)
    2.37493
  • Compounded annual return / average of 25% largest draw downs
    3.68809
  • Compounded annual return / Expected Shortfall lognormal
    10.67660

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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