Risk Tracker Small Caps
- hypothetical · Annual Return (Compounded)
- 0.6%
- Max Drawdown
- 26.5%
- Trades
- 29
- Win Trades
- 51.7%
- Profit Factor
- 0.80
- Win Months
- 44.2%
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2012 | 3.4 | -0.7 | 2.6 | ||||||||||
| 2013 | -0.5 | -3.0 | -6.3 | -6.4 | -0.8 | 17.1 | -2.3 | 2.1 | -8.0 | -3.4 | 3.6 | -1.0 | -10.6 |
| 2014 | 5.0 | -5.0 | 1.4 | -2.5 | -7.6 | -5.2 | 9.0 | -2.0 | 11.3 | -0.2 | 1.8 | 3.5 | 8.0 |
| 2015 | 3.3 | -5.5 | 3.8 | -3.1 | 1.4 | 2.6 | 0.3 | 6.9 | 5.1 | -6.5 | -0.1 | 1.1 | 8.9 |
| 2016 | 7.6 | 2.4 | -10.9 | -2.7 | 1.4 | -5.1 | -5.7 | -3.5 | -1.0 | 1.6 | 3.2 | -4.0 | -16.7 |
| 2017 | -11.2 | -4.6 | -2.3 | -6.1 | -1.3 | 1.0 | -11.1 | -2.2 | -9.3 | -5.3 | -1.9 | -7.0 | -47.2 |
| 2018 | -16.6 | 10.0 | 11.9 | 1.0 | 12.5 | 10.6 | -8.3 | 4.0 | 13.0 | 4.5 | 2.1 | 14.8 | 70.1 |
| 2019 | -15.2 | -5.0 | 0.5 | -6.1 | 4.9 | -3.4 | -6.1 | 13.6 | -2.9 | -10.2 | 0.2 | -13.8 | -38.1 |
| 2020 | -2.0 | 14.7 | 74.9 | -14.0 | 3.9 | -5.9 | -7.1 | -6.9 | 4.4 | 7.4 | -27.7 | -14.9 | -1.3 |
| 2021 | -4.0 | -6.3 | -5.0 | -19.8 | -7.1 | -6.7 | 17.1 | -2.9 | 9.2 | 8.0 | 9.1 | -6.4 | -18.5 |
| 2022 | 28.5 | 8.6 | -7.7 | 14.1 | 11.8 | 20.6 | 2.4 | -16.0 | 25.5 | -4.9 | -9.3 | 3.9 | 91.8 |
| 2023 | -14.4 | 5.1 | 11.0 | -2.2 | -1.0 | -7.8 | -5.6 | 11.4 | 6.5 | 8.2 | -7.4 | 38.1 | 38.2 |
| 2024 | 1.9 | -2.5 | -2.1 | 5.3 | -2.3 | 3.0 | -2.7 | -2.1 | -0.5 | 0.5 | -3.9 | 6.2 | 0.4 |
| 2025 | -4.4 | 2.7 | 3.7 | 0.1 | -3.7 | -1.3 | -2.4 | -3.3 | -1.5 | 3.1 | -1.5 | -1.8 | -10.1 |
| 2026 | 0.0 | 2.6 | -7.6 | 0.9 | 0.0 | 2.4 | -4.0 | -12.4 |
Statistics
Overview
| Strategy began | 11/16/2012 |
|---|---|
| Suggested Minimum Capital | $20,000 |
| Age | 169 months |
| What it trades | Stocks |
| # Trades | 29 |
| # Profitable | 15 |
| % Profitable | 51.7% |
| Avg trade duration | 874.9 days |
| Max peak-to-valley drawdown | 26.6% |
| drawdown period | Dec 20, 2012 - June 10, 2014 |
| Cumul. Return | 0.2% |
| Avg win | $1,060 |
| Avg loss | $858 |
Ratios
| W:L ratio | 0.82 |
|---|---|
| Sharpe Ratio | 0.06 |
| Sortino Ratio | 0.10 |
| Calmar Ratio | -0.07 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.58 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 463.2% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -29.8% |
Return Statistics
| Ann Return (w trading costs) | 0.6% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | -1.1% |
Slump
| Current Slump as Pcnt Equity | 42.6% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.8% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.0% |
| Percent Trades Stocks | 1.0% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 100.0% |
|---|---|
| Chance of 20% account loss | 100.0% |
| Chance of 30% account loss | 0.0% |
| Chance of 40% account loss | 0.0% |
| Chance of 50% account loss | 0.0% |
| Chance of 60% account loss (Monte Carlo) | 0.0% |
| Chance of 70% account loss (Monte Carlo) | 0.0% |
| Chance of 80% account loss (Monte Carlo) | 0.0% |
| Chance of 90% account loss (Monte Carlo) | 0.0% |
| Chance of 100% account loss (Monte Carlo) | — |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Trading Style
| Any stock shorts? 0/1 | 1 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $858 |
|---|---|
| Avg Win | $1,060 |
| # Winners | 15 |
| Sum Trade PL (losers) | $12,009 |
| Sum Trade PL (winners) | $15,902 |
| Num Months Winners | 74 |
| # Losers | 14 |
| % Winners | 51.7% |
Dividends
| Dividends Received in Model Acct | -6029 |
|---|
Age
| Num Months filled monthly returns table | 168 |
|---|
Frequency
| Avg Position Time (mins) | 1259912.88 |
|---|---|
| Avg Position Time (hrs) | 20998.55 |
| Avg Trade Length | 874.90 |
| Last Trade Ago | 4930 |
Regression
| Alpha | 0.05 |
|---|---|
| Beta | -1.25 |
| Treynor Index | -0.01 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.08 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.62 |
| MAE:Equity, average, losing trades | 0.12 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.03 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | -3.49 |
| MAE:PL (avg, all trades) | -0.50 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 25.84 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 25.08 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.52 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.42 |
| Hold-and-Hope Ratio | 0.19 |
RATIO STATISTICS
| a (intercept, estimate of alpha) | 1.09 |
|---|---|
| VAR (95 Confidence Intrvl) | 0.07 |
DRAW DOWN STATISTICS
| Max Equity Drawdown (num days) | 537 |
|---|---|
| Last 4 Months - Pcnt Negative | 0.2% |
Trading record
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| EWGS | long | 140 | Mar 13, 2013 | Apr 16, 2013 | ($93) |
| EWZS | long | 280 | Mar 13, 2013 | Apr 16, 2013 | ($724) |
| RSXJ | long | 87 | Mar 13, 2013 | Apr 16, 2013 | ($382) |
| SCIF | long | 85 | Mar 13, 2013 | Apr 16, 2013 | ($209) |
| VB | long | 48 | Mar 13, 2013 | Apr 16, 2013 | ($60) |
| EWZS | short | 140 | Feb 26, 2013 | Mar 13, 2013 | ($95) |
| EWGS | short | 140 | Feb 26, 2013 | Mar 13, 2013 | ($9) |
| VB | short | 48 | Feb 26, 2013 | Mar 13, 2013 | ($190) |
| SCIF | short | 85 | Feb 26, 2013 | Mar 13, 2013 | $42 |
| RSXJ | short | 87 | Feb 26, 2013 | Mar 13, 2013 | $32 |
| RSXJ | long | 87 | Jan 3, 2013 | Feb 26, 2013 | $1 |
| VB | long | 48 | Jan 3, 2013 | Feb 26, 2013 | $131 |
| EWZS | long | 140 | Jan 3, 2013 | Feb 26, 2013 | $70 |
| SCIF | long | 85 | Jan 3, 2013 | Feb 26, 2013 | ($617) |
| EWGS | long | 140 | Jan 3, 2013 | Feb 26, 2013 | $262 |
| EWGS | short | 144 | Dec 21, 2012 | Jan 3, 2013 | ($101) |
| EWZS | short | 155 | Dec 21, 2012 | Jan 3, 2013 | ($223) |
| SMIN | short | 155 | Dec 21, 2012 | Jan 3, 2013 | ($225) |
| VB | short | 52 | Dec 21, 2012 | Jan 3, 2013 | ($88) |
| RSXJ | short | 95 | Dec 21, 2012 | Jan 3, 2013 | ($179) |
| EWGS | long | 144 | Nov 16, 2012 | Dec 21, 2012 | $350 |
| EWZS | long | 155 | Nov 16, 2012 | Dec 21, 2012 | $154 |
| SMIN | long | 155 | Nov 16, 2012 | Dec 21, 2012 | $9 |
| RSXJ | long | 95 | Nov 16, 2012 | Dec 21, 2012 | $200 |
| VB | long | 52 | Nov 16, 2012 | Dec 21, 2012 | $341 |
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.