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Steady Profits

Created by:
DuanKovaevi
DuanKovaevi
Started:   05/2011
Stocks
Last trade:   1,265 days ago

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

-11.2%
Annual Return (Compounded)
81.4%
Max Drawdown
1073
Num Trades
42.9%
Win Trades
1.0 : 1
Profit Factor
26.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                            +9.9%(10.9%)+5.2%+16.4%(3%)+25.6%+8.2%(2.4%)+54.2%
2012(19.4%)+12.9%+9.3%(4%)+7.3%+6.8%+14.3%+41.7%+6.2%(14.8%)(0.7%)(1%)+57.9%
2013(10.5%)(10.5%)(3.8%)(14.7%)(11%)(13%)+2.6%+8.4%(13.1%)(2.9%)(9.3%)(47.3%)(77.2%)
2014+89.8%(47.3%)  -  +89.8%(47.3%)  -    -    -    -    -    -    -  0.0
2015  -    -    -    -  (0.1%)  -    -    -  (1.4%)  -    -    -  (1.4%)
2016  -    -    -    -    -                                            0.0

Model Account Details

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This strategy has placed 5 trades in real-life brokerage accounts. Show AutoTrade data Hide AutoTrade data
Long
Short
Win
Loss

Trading Record

Download CSV
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/7/12 9:44 FAS DIREXION DF BULL 3X LONG 9,600 9.31 12/11 9:30 9.38 1.07%
Trade id #78042690
Max drawdown($1,512)
Time12/7/12 11:02
Quant open800
Worst price109.86
Drawdown as % of equity-1.07%
$490
Includes Typical Commission and AutoTrade Fees trade costs of $192.00
12/7/12 9:33 FAZ DIREXION DF BEAR 3X SHORT 375 263.20 12/11 9:30 261.12 1.18%
Trade id #78042335
Max drawdown($1,680)
Time12/7/12 11:02
Quant open-6,000
Worst price16.73
Drawdown as % of equity-1.18%
$773
Includes Typical Commission and AutoTrade Fees trade costs of $7.50
12/5/12 11:55 FAZ DIREXION DF BEAR 3X SHORT 488 271.84 12/5 13:27 270.40 0.06%
Trade id #77998087
Max drawdown($78)
Time12/5/12 11:58
Quant open-7,800
Worst price17.00
Drawdown as % of equity-0.06%
$693
Includes Typical Commission and AutoTrade Fees trade costs of $9.76
12/5/12 11:55 FAS DIREXION DF BULL 3X LONG 9,600 9.02 12/5 13:27 9.07 n/a $298
Includes Typical Commission and AutoTrade Fees trade costs of $192.00
12/5/12 9:30 EEM ISHARES MSCI EMERGING MARKET LONG 2,000 42.31 12/5 12:22 42.49 0.16%
Trade id #77993264
Max drawdown($220)
Time12/5/12 10:56
Quant open2,000
Worst price42.20
Drawdown as % of equity-0.16%
$320
Includes Typical Commission and AutoTrade Fees trade costs of $40.00
12/5/12 9:30 EDC DIREXION EMR MKT BULL 3X LONG 909 123.63 12/5 11:31 124.05 0.56%
Trade id #77993366
Max drawdown($780)
Time12/5/12 10:56
Quant open1,200
Worst price93.01
Drawdown as % of equity-0.56%
$364
Includes Typical Commission and AutoTrade Fees trade costs of $18.18
11/23/12 8:52 @CTZ2 COTTON - #2 LONG 20 7155 11/29 11:41 7120 14.31%
Trade id #77804101
Max drawdown($20,500)
Time11/23/12 11:30
Quant open20
Worst price6950
Drawdown as % of equity-14.31%
($3,729)
Includes Typical Commission and AutoTrade Fees trade costs of $279.20
11/20/12 10:00 APIT ASPIRE INTERNATIONAL LONG 1 0.04 11/20 10:01 0.04 n/a ($2)
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
11/20/12 9:59 APPY ASPENBIO PHARMA INC LONG 0 0.00 11/20 9:59 0.00 n/a ($2)
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
11/19/12 9:30 AGQ PROSHARES ULTRA SILVER LONG 750 210.60 11/19 13:23 212.80 1.37%
Trade id #77720574
Max drawdown($1,920)
Time11/19/12 10:11
Quant open3,000
Worst price52.01
Drawdown as % of equity-1.37%
$1,635
Includes Typical Commission and AutoTrade Fees trade costs of $15.00
11/19/12 9:30 ZSL PROSHARES ULTRSHT SILVER SHORT 5,600 21.51 11/19 13:22 21.30 1.16%
Trade id #77720605
Max drawdown($1,624)
Time11/19/12 10:11
Quant open-2,800
Worst price43.60
Drawdown as % of equity-1.16%
$1,036
Includes Typical Commission and AutoTrade Fees trade costs of $112.00
11/19/12 9:30 SLV ISHARES SILVER TRUST LONG 2,000 31.94 11/19 9:52 31.91 0.16%
Trade id #77720511
Max drawdown($220)
Time11/19/12 9:34
Quant open2,000
Worst price31.83
Drawdown as % of equity-0.16%
($100)
Includes Typical Commission and AutoTrade Fees trade costs of $40.00
11/16/12 13:44 ABCO ADVISORY BOARD LONG 1 44.12 11/16 13:44 44.03 n/a ($2)
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
11/16/12 13:43 ABCO ADVISORY BOARD LONG 1 44.04 11/16 13:44 44.06 n/a ($2)
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
11/16/12 13:42 ABCO ADVISORY BOARD LONG 1 44.00 11/16 13:42 43.97 n/a ($2)
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
11/16/12 13:40 ABCO ADVISORY BOARD LONG 1 44.00 11/16 13:41 43.97 n/a ($2)
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
11/14/12 7:25 @CTZ2 COTTON - #2 LONG 10 7100 11/14 13:22 7150 1.1%
Trade id #77643151
Max drawdown($1,500)
Time11/14/12 8:43
Quant open10
Worst price7070
Drawdown as % of equity-1.10%
$2,360
Includes Typical Commission and AutoTrade Fees trade costs of $139.60
11/13/12 11:07 ZSL PROSHARES ULTRSHT SILVER SHORT 5,600 21.76 11/14 9:30 22.05 2.17%
Trade id #77617283
Max drawdown($2,996)
Time11/13/12 16:00
Quant open-2,800
Worst price44.59
Drawdown as % of equity-2.17%
($1,708)
Includes Typical Commission and AutoTrade Fees trade costs of $112.00
11/13/12 11:07 AGQ PROSHARES ULTRA SILVER LONG 750 208.80 11/13 13:52 204.24 2.65%
Trade id #77617290
Max drawdown($3,660)
Time11/13/12 13:31
Quant open3,000
Worst price50.98
Drawdown as % of equity-2.65%
($3,435)
Includes Typical Commission and AutoTrade Fees trade costs of $15.00
11/13/12 11:07 SLV ISHARES SILVER TRUST LONG 2,000 31.78 11/13 11:38 31.61 0.25%
Trade id #77617273
Max drawdown($360)
Time11/13/12 11:25
Quant open2,000
Worst price31.60
Drawdown as % of equity-0.25%
($380)
Includes Typical Commission and AutoTrade Fees trade costs of $40.00
11/6/12 11:58 FAZ DIREXION DF BEAR 3X SHORT 488 263.20 11/6 15:59 264.32 0.81%
Trade id #77497184
Max drawdown($1,170)
Time11/6/12 15:38
Quant open-7,800
Worst price16.60
Drawdown as % of equity-0.81%
($557)
Includes Typical Commission and AutoTrade Fees trade costs of $9.76
11/6/12 11:58 FAS DIREXION DF BULL 3X LONG 13,200 9.52 11/6 15:59 9.49 0.69%
Trade id #77497187
Max drawdown($990)
Time11/6/12 15:44
Quant open1,100
Worst price113.40
Drawdown as % of equity-0.69%
($739)
Includes Typical Commission and AutoTrade Fees trade costs of $264.00
11/6/12 12:06 SLV ISHARES SILVER TRUST LONG 2,000 30.50 11/6 12:36 31.10 0.06%
Trade id #77497474
Max drawdown($80)
Time11/6/12 12:08
Quant open2,000
Worst price30.46
Drawdown as % of equity-0.06%
$1,160
Includes Typical Commission and AutoTrade Fees trade costs of $40.00
11/1/12 11:20 FAS DIREXION DF BULL 3X LONG 13,200 9.14 11/1 12:29 9.41 n/a $3,326
Includes Typical Commission and AutoTrade Fees trade costs of $264.00
10/25/12 9:30 EDC DIREXION EMR MKT BULL 3X LONG 1,136 119.37 10/25 15:59 117.62 2.53%
Trade id #77325489
Max drawdown($3,630)
Time10/25/12 11:51
Quant open1,500
Worst price88.01
Drawdown as % of equity-2.53%
($2,004)
Includes Typical Commission and AutoTrade Fees trade costs of $22.72
10/25/12 9:30 EEM ISHARES MSCI EMERGING MARKET LONG 3,100 41.69 10/25 15:59 41.48 0.83%
Trade id #77325495
Max drawdown($1,193)
Time10/25/12 11:52
Quant open3,100
Worst price41.30
Drawdown as % of equity-0.83%
($713)
Includes Typical Commission and AutoTrade Fees trade costs of $62.00
10/25/12 9:30 AGQ PROSHARES ULTRA SILVER LONG 625 201.68 10/25 9:52 201.32 0.43%
Trade id #77325503
Max drawdown($620)
Time10/25/12 9:41
Quant open2,500
Worst price50.17
Drawdown as % of equity-0.43%
($238)
Includes Typical Commission and AutoTrade Fees trade costs of $12.50
10/24/12 9:59 EEV PROSHRS ULT SHT MSCI ETF LONG 5,000 25.05 10/25 9:30 24.61 1.53%
Trade id #77303840
Max drawdown($2,200)
Time10/25/12 9:30
Quant open0
Worst price24.61
Drawdown as % of equity-1.53%
($2,300)
Includes Typical Commission and AutoTrade Fees trade costs of $100.00
10/24/12 11:33 DGP DB GOLD DBSH ETN 38 LONG 2,400 53.95 10/25 9:30 54.93 0.25%
Trade id #77306665
Max drawdown($360)
Time10/24/12 11:49
Quant open2,400
Worst price53.80
Drawdown as % of equity-0.25%
$2,304
Includes Typical Commission and AutoTrade Fees trade costs of $48.00
10/22/12 9:46 ROST ROSS STORES INC LONG 1,600 30.62 10/23 9:30 29.84 0.86%
Trade id #77257326
Max drawdown($1,240)
Time10/23/12 9:30
Quant open0
Worst price59.69
Drawdown as % of equity-0.86%
($1,272)
Includes Typical Commission and AutoTrade Fees trade costs of $32.00

Statistics

  • Strategy began
    5/17/2011
  • Starting Unit Size
    $50,000
  • Strategy Age (days)
    1836.23
  • Age
    61 months ago
  • What it trades
    Stocks
  • # Trades
    1073
  • # Profitable
    460
  • % Profitable
    42.90%
  • Avg trade duration
    1.6 days
  • Max peak-to-valley drawdown
    81.43%
  • drawdown period
    Sept 14, 2012 - Nov 13, 2015
  • Annual Return (Compounded)
    -11.2%
  • Avg win
    $585.29
  • Avg loss
    $450.20
  • Ratios
  • W:L ratio
    0.98:1
  • Sharpe Ratio
    -0.051
  • Sortino Ratio
    -0.071
  • Calmar Ratio
    -0.047
  • Return Statistics
  • Ann Return (w trading costs)
    -11.2%
  • Ann Return (Compnd, No Fees)
    -2.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $450
  • Avg Win
    $585
  • # Winners
    460
  • # Losers
    613
  • % Winners
    42.9%
  • Frequency
  • Avg Position Time (mins)
    2303.15
  • Avg Position Time (hrs)
    38.39
  • Avg Trade Length
    1.6 days
  • Last Trade Ago
    1263
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05955
  • SD
    0.48455
  • Sharpe ratio (Glass type estimate)
    0.12289
  • Sharpe ratio (Hedges UMVUE)
    0.12038
  • df
    37.00000
  • t
    0.21868
  • p
    0.41405
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.97967
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.22385
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.98137
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.22212
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.22109
  • Upside Potential Ratio
    2.07325
  • Upside part of mean
    0.55840
  • Downside part of mean
    -0.49885
  • Upside SD
    0.39543
  • Downside SD
    0.26933
  • N nonnegative terms
    12.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.13216
  • Mean of criterion
    0.05955
  • SD of predictor
    0.13559
  • SD of criterion
    0.48455
  • Covariance
    -0.01329
  • r
    -0.20223
  • b (slope, estimate of beta)
    -0.72271
  • a (intercept, estimate of alpha)
    0.15506
  • Mean Square Error
    0.23144
  • DF error
    36.00000
  • t(b)
    -1.23900
  • p(b)
    0.88832
  • t(a)
    0.55158
  • p(a)
    0.29232
  • Lowerbound of 95% confidence interval for beta
    -1.90571
  • Upperbound of 95% confidence interval for beta
    0.46028
  • Lowerbound of 95% confidence interval for alpha
    -0.41508
  • Upperbound of 95% confidence interval for alpha
    0.72520
  • Treynor index (mean / b)
    -0.08239
  • Jensen alpha (a)
    0.15506
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04498
  • SD
    0.45532
  • Sharpe ratio (Glass type estimate)
    -0.09879
  • Sharpe ratio (Hedges UMVUE)
    -0.09677
  • df
    37.00000
  • t
    -0.17580
  • p
    0.56929
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.19980
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.00347
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.19840
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.00485
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.15193
  • Upside Potential Ratio
    1.67045
  • Upside part of mean
    0.49456
  • Downside part of mean
    -0.53955
  • Upside SD
    0.33820
  • Downside SD
    0.29607
  • N nonnegative terms
    12.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.12257
  • Mean of criterion
    -0.04498
  • SD of predictor
    0.13422
  • SD of criterion
    0.45532
  • Covariance
    -0.01372
  • r
    -0.22453
  • b (slope, estimate of beta)
    -0.76170
  • a (intercept, estimate of alpha)
    0.04838
  • Mean Square Error
    0.20234
  • DF error
    36.00000
  • t(b)
    -1.38250
  • p(b)
    0.91233
  • t(a)
    0.18492
  • p(a)
    0.42716
  • Lowerbound of 95% confidence interval for beta
    -1.87910
  • Upperbound of 95% confidence interval for beta
    0.35570
  • Lowerbound of 95% confidence interval for alpha
    -0.48225
  • Upperbound of 95% confidence interval for alpha
    0.57902
  • Treynor index (mean / b)
    0.05905
  • Jensen alpha (a)
    0.04838
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19744
  • Expected Shortfall on VaR
    0.23945
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.11563
  • Expected Shortfall on VaR
    0.20672
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    38.00000
  • Minimum
    0.78340
  • Quartile 1
    0.94107
  • Median
    0.99986
  • Quartile 3
    1.04695
  • Maximum
    1.46485
  • Mean of quarter 1
    0.86219
  • Mean of quarter 2
    0.98001
  • Mean of quarter 3
    1.00539
  • Mean of quarter 4
    1.17297
  • Inter Quartile Range
    0.10588
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.07895
  • Mean of outliers high
    1.36542
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.15313
  • VaR(95%) (moments method)
    0.13757
  • Expected Shortfall (moments method)
    0.14580
  • Extreme Value Index (regression method)
    -0.92687
  • VaR(95%) (regression method)
    0.14333
  • Expected Shortfall (regression method)
    0.15455
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.04846
  • Quartile 1
    0.05406
  • Median
    0.06054
  • Quartile 3
    0.22198
  • Maximum
    0.71869
  • Mean of quarter 1
    0.05126
  • Mean of quarter 2
    0.06054
  • Mean of quarter 3
    0.22198
  • Mean of quarter 4
    0.71869
  • Inter Quartile Range
    0.16791
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.71869
  • 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)
    -0.03316
  • Compounded annual return (geometric extrapolation)
    -0.03442
  • Calmar ratio (compounded annual return / max draw down)
    -0.04790
  • Compounded annual return / average of 25% largest draw downs
    -0.04790
  • Compounded annual return / Expected Shortfall lognormal
    -0.14377
  • 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
    0.33037
  • SD
    0.88732
  • Sharpe ratio (Glass type estimate)
    0.37232
  • Sharpe ratio (Hedges UMVUE)
    0.37207
  • df
    1106.00000
  • t
    0.66790
  • p
    0.48996
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.72043
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.46495
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72062
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.46476
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.62401
  • Upside Potential Ratio
    4.40174
  • Upside part of mean
    2.33040
  • Downside part of mean
    -2.00003
  • Upside SD
    0.71180
  • Downside SD
    0.52943
  • N nonnegative terms
    281.00000
  • N negative terms
    826.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1107.00000
  • Mean of predictor
    0.14430
  • Mean of criterion
    0.33037
  • SD of predictor
    0.19591
  • SD of criterion
    0.88732
  • Covariance
    0.00202
  • r
    0.01165
  • b (slope, estimate of beta)
    0.05275
  • a (intercept, estimate of alpha)
    0.32276
  • Mean Square Error
    0.78795
  • DF error
    1105.00000
  • t(b)
    0.38718
  • p(b)
    0.49259
  • t(a)
    0.65175
  • p(a)
    0.48752
  • Lowerbound of 95% confidence interval for beta
    -0.21458
  • Upperbound of 95% confidence interval for beta
    0.32008
  • Lowerbound of 95% confidence interval for alpha
    -0.64892
  • Upperbound of 95% confidence interval for alpha
    1.29443
  • Treynor index (mean / b)
    6.26275
  • Jensen alpha (a)
    0.32276
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04442
  • SD
    0.86488
  • Sharpe ratio (Glass type estimate)
    -0.05135
  • Sharpe ratio (Hedges UMVUE)
    -0.05132
  • df
    1106.00000
  • t
    -0.09212
  • p
    0.50138
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.14394
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.04123
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.14390
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.04126
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.07132
  • Upside Potential Ratio
    3.41898
  • Upside part of mean
    2.12922
  • Downside part of mean
    -2.17364
  • Upside SD
    0.59960
  • Downside SD
    0.62277
  • N nonnegative terms
    281.00000
  • N negative terms
    826.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1107.00000
  • Mean of predictor
    0.12504
  • Mean of criterion
    -0.04442
  • SD of predictor
    0.19638
  • SD of criterion
    0.86488
  • Covariance
    0.00163
  • r
    0.00961
  • b (slope, estimate of beta)
    0.04233
  • a (intercept, estimate of alpha)
    -0.04971
  • Mean Square Error
    0.74863
  • DF error
    1105.00000
  • t(b)
    0.31949
  • p(b)
    0.49388
  • t(a)
    -0.10300
  • p(a)
    0.50197
  • Lowerbound of 95% confidence interval for beta
    -0.21762
  • Upperbound of 95% confidence interval for beta
    0.30227
  • Lowerbound of 95% confidence interval for alpha
    -0.99664
  • Upperbound of 95% confidence interval for alpha
    0.89722
  • Treynor index (mean / b)
    -1.04937
  • Jensen alpha (a)
    -0.04971
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07395
  • Expected Shortfall on VaR
    0.09169
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01676
  • Expected Shortfall on VaR
    0.03794
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1107.00000
  • Minimum
    0.64391
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00011
  • Maximum
    1.55302
  • Mean of quarter 1
    0.97685
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02710
  • Inter Quartile Range
    0.00011
  • Number outliers low
    265.00000
  • Percentage of outliers low
    0.23939
  • Mean of outliers low
    0.97581
  • Number of outliers high
    275.00000
  • Percentage of outliers high
    0.24842
  • Mean of outliers high
    1.02730
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.91923
  • VaR(95%) (moments method)
    0.00790
  • Expected Shortfall (moments method)
    0.11501
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00608
  • Median
    0.01552
  • Quartile 3
    0.10899
  • Maximum
    0.72141
  • Mean of quarter 1
    0.00093
  • Mean of quarter 2
    0.01223
  • Mean of quarter 3
    0.06962
  • Mean of quarter 4
    0.31106
  • Inter Quartile Range
    0.10291
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.06667
  • Mean of outliers high
    0.72141
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.55160
  • VaR(95%) (moments method)
    0.35407
  • Expected Shortfall (moments method)
    0.86636
  • Extreme Value Index (regression method)
    1.92930
  • VaR(95%) (regression method)
    0.53675
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.03262
  • Compounded annual return (geometric extrapolation)
    -0.03388
  • Calmar ratio (compounded annual return / max draw down)
    -0.04696
  • Compounded annual return / average of 25% largest draw downs
    -0.10891
  • Compounded annual return / Expected Shortfall lognormal
    -0.36949
  • 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
    -0.02763
  • SD
    0.01186
  • Sharpe ratio (Glass type estimate)
    -2.33025
  • Sharpe ratio (Hedges UMVUE)
    -2.32001
  • df
    171.00000
  • t
    -1.64773
  • p
    0.57938
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.10965
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.45582
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.10270
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.46268
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.31872
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02763
  • Upside SD
    0.00000
  • Downside SD
    0.01192
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.05345
  • Mean of criterion
    -0.02763
  • SD of predictor
    0.24889
  • SD of criterion
    0.01186
  • Covariance
    -0.00032
  • r
    -0.10813
  • b (slope, estimate of beta)
    -0.00515
  • a (intercept, estimate of alpha)
    -0.02736
  • Mean Square Error
    0.00014
  • DF error
    170.00000
  • t(b)
    -1.41816
  • p(b)
    0.55407
  • t(a)
    -1.63602
  • p(a)
    0.56225
  • Lowerbound of 95% confidence interval for beta
    -0.01232
  • Upperbound of 95% confidence interval for beta
    0.00202
  • Lowerbound of 95% confidence interval for alpha
    -0.06037
  • Upperbound of 95% confidence interval for alpha
    0.00565
  • Treynor index (mean / b)
    5.36364
  • Jensen alpha (a)
    -0.02736
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02770
  • SD
    0.01191
  • Sharpe ratio (Glass type estimate)
    -2.32643
  • Sharpe ratio (Hedges UMVUE)
    -2.31621
  • df
    171.00000
  • t
    -1.64503
  • p
    0.57925
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.10580
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.45960
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.09886
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.46645
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.31497
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02770
  • Upside SD
    0.00000
  • Downside SD
    0.01197
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.02247
  • Mean of criterion
    -0.02770
  • SD of predictor
    0.25000
  • SD of criterion
    0.01191
  • Covariance
    -0.00032
  • r
    -0.10716
  • b (slope, estimate of beta)
    -0.00510
  • a (intercept, estimate of alpha)
    -0.02759
  • Mean Square Error
    0.00014
  • DF error
    170.00000
  • t(b)
    -1.40530
  • p(b)
    0.55358
  • t(a)
    -1.64286
  • p(a)
    0.56251
  • Lowerbound of 95% confidence interval for beta
    -0.01227
  • Upperbound of 95% confidence interval for beta
    0.00207
  • Lowerbound of 95% confidence interval for alpha
    -0.06074
  • Upperbound of 95% confidence interval for alpha
    0.00556
  • Treynor index (mean / b)
    5.42742
  • Jensen alpha (a)
    -0.02759
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00114
  • Expected Shortfall on VaR
    0.00140
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00028
  • Expected Shortfall on VaR
    0.00063
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.99162
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00002
  • Mean of quarter 1
    0.99979
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.02326
  • Mean of outliers low
    0.99778
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00581
  • Mean of outliers high
    1.00002
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.00886
  • Quartile 1
    0.00886
  • Median
    0.00886
  • Quartile 3
    0.00886
  • Maximum
    0.00886
  • 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)
    -0.01767
  • Compounded annual return (geometric extrapolation)
    -0.01760
  • Calmar ratio (compounded annual return / max draw down)
    -1.98618
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -12.53420

Strategy Description

Statistics

Strategy began
2011-05-17
Minimum Capital Required
$50,000
# Trades
1073
# Profitable
460
% Profitable
42.9%
Correlation S&P500
0.013
Sharpe Ratio
-0.051

Latest

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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 size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • 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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