bH NQ
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Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2012  (2%)  +12.4%  +5.3%    (4.4%)  (6.3%)  +3.9%  
2013  (4%)  (21%)  +10.7%  (3.3%)  (5.8%)  +6.1%  +17.2%  (1.4%)  +2.9%  (4.1%)  (4%)  +8.1%  (4.1%) 
2014  (6.7%)  +11.0%  (8.4%)  +2.5%  +8.1%  (11.8%)  (0.9%)  +6.1%  +1.3%  +11.5%  +16.8%  (1.4%)  +26.5% 
2015                          0.0 
2016      0.0 
Model Account Details
Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.
Started  $20,000  
Buy Power  $26,410  
Cash  $26,410  
Equity  $0  
Cumulative $  $6,410  
Total System Equity  $26,410  
Margined  $0  
Open P/L  $0 
Closed Trades
CSVOpened ET  B/S  #  Symbol  Price  Closed  Price  DD  P/L  

10/5/14 22:31  BUY  1  @NQZ4  EMINI NASDAQ 100  4029.25  12/2 18:15  4308.50  1.91%

$5,571 Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

9/10/14 19:45  SELL  1  @NQZ4  EMINI NASDAQ 100  4083.75  9/21 23:36  4072.25  3.49%

$216 Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

8/22/14 6:45  BUY  1  @NQU4  EMINI NASDAQ 100  4040.75  9/7 19:16  4086.00  0.15%

$891 Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

7/31/14 5:30  BUY  2  @NQU4  EMINI NASDAQ 100  3910.62  8/11 12:15  3895.75  19.45%

($623) Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92 

7/2/14 2:00  BUY  4  @NQU4  EMINI NASDAQ 100  3892.69  7/21 18:41  3921.81  13.12%

$2,274 Includes Typical Broker Commission and AutoTrade Fees trade costs of $55.84 

7/1/14 12:46  BUY  1  @NQU4  EMINI NASDAQ 100  3886.75  7/1 16:00  3883.50  0.36%

($79) Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

6/25/14 0:02  SELL  2  @NQU4  EMINI NASDAQ 100  3786.75  7/1 12:46  3884.50  20.94%

($3,938) Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92 

6/12/14 6:50  BUY  1  @NQU4  EMINI NASDAQ 100  3792.50  6/25 0:02  3786.75  4.51%

($129) Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

6/2/14 10:30  BUY  1  @NQM4  EMINI NASDAQ 100  3719.25  6/4 1:54  3725.25  0.48%

$106 Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

5/15/14 10:45  BUY  2  @NQM4  EMINI NASDAQ 100  3577.88  5/19 14:45  3611.12  2.45%

$1,302 Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92 

5/6/14 18:41  BUY  1  @NQM4  EMINI NASDAQ 100  3550.75  5/8 10:45  3564.50  5.2%

$261 Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

4/4/14 13:00  SELL  1  @NQM4  EMINI NASDAQ 100  3542.00  4/7 6:26  3510.50  1.13%

$616 Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

4/4/14 9:45  SELL  1  @NQM4  EMINI NASDAQ 100  3619.50  4/4 10:16  3626.25  1.46%

($149) Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

3/26/14 14:30  BUY  2  @NQM4  EMINI NASDAQ 100  3577.25  3/28 10:30  3579.12  6.01%

$47 Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92 

3/21/14 10:45  BUY  1  @NQM4  EMINI NASDAQ 100  3668.50  3/25 10:30  3638.25  9.3%

($619) Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

3/13/14 19:13  BUY  1  @NQM4  EMINI NASDAQ 100  3649.25  3/17 10:30  3662.50  4.84%

$251 Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

3/5/14 9:48  BUY  1  @NQH4  EMINI NASDAQ 100  3722.00  3/13 19:13  3655.50  8.34%

($1,344) Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

2/13/14 9:19  BUY  1  @NQH4  EMINI NASDAQ 100  3599.75  3/4 1:30  3696.50  0.26%

$1,921 Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

2/3/14 10:45  BUY  1  @NQH4  EMINI NASDAQ 100  3488.25  2/6 11:30  3491.00  8.19%

$41 Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

1/27/14 22:08  BUY  1  @NQH4  EMINI NASDAQ 100  3482.75  1/30 13:30  3530.75  3.06%

$946 Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

1/13/14 16:00  SELL  1  @NQH4  EMINI NASDAQ 100  3506.25  1/23 10:46  3589.75  14.56%

($1,684) Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

1/10/14 6:30  SELL  1  @NQH4  EMINI NASDAQ 100  3565.00  1/10 10:31  3549.25  0.71%

$301 Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

12/19/13 13:00  BUY  1  @NQH4  EMINI NASDAQ 100  3491.75  1/7/14 11:30  3547.25  0.26%

$1,096 Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

12/18/13 16:00  SELL  1  @NQZ3  EMINI NASDAQ 100  3509.50  12/20 17:25  3503.00  0.78%

$116 Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

11/28/13 0:48  BUY  1  @NQZ3  EMINI NASDAQ 100  3476.00  12/4 14:00  3461.00  2.41%

($314) Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

11/18/13 18:30  SELL  2  @NQZ3  EMINI NASDAQ 100  3383.38  11/27 10:00  3420.88  8.79%

($1,528) Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92 

11/8/13 3:41  BUY  1  @NQZ3  EMINI NASDAQ 100  3327.75  11/13 13:45  3384.50  1.84%

$1,121 Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

10/23/13 11:00  BUY  1  @NQZ3  EMINI NASDAQ 100  3327.50  11/7 11:15  3340.50  0.45%

$246 Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

10/8/13 18:54  BUY  1  @NQZ3  EMINI NASDAQ 100  3154.50  10/9 11:00  3126.50  3.01%

($574) Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

10/7/13 0:12  BUY  1  @NQZ3  EMINI NASDAQ 100  3219.75  10/8 15:15  3147.75  7.24%

($1,454) Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 
Statistics
 Strategy began7/22/2012
 Starting Unit Size$20,000
 Strategy Age (days)1296.46
 Age43 months ago
 What it tradesFutures
 # Trades63
 # Profitable32
 % Profitable50.80%
 Avg trade duration8.2 days
 Max peaktovalley drawdown46.23%
 drawdown periodNov 07, 2012  Oct 16, 2014
 Annual Return (Compounded)6.7%
 Avg win$970.16
 Avg loss$794.68
 Ratios
 W:L ratio1.26:1
 Sharpe Ratio0.321
 Sortino Ratio0.447
 Calmar Ratio0.25
 Daily Change
 Open PL$0.00
 Open PL (start day)$0.00
 Open PL Change $$0.00
 Open PL Change %n/a
 Close PL$6,410
 Closed PL (start day)$6,410
 Closed PL Change $$0.00
 Closed PL Change %n/a
 Equity$26,410
 Equity (start day)$26,410
 Equity Change $$0.00
 Equity Change %n/a
 Return Statistics
 Ann Return (w trading costs)6.7%
 Ann Return (Compnd, No Fees)8.1%
 Risk of Ruin (MonteCarlo)
 Chance of 10% account loss100.00%
 Chance of 20% account loss100.00%
 Chance of 30% account loss100.00%
 Chance of 40% account loss100.00%
 Chance of 50% account lossn/a
 Popularity
 Popularity (Today)0
 Popularity (Last 6 weeks)0
 TradesOwnSystem Certification
 Trades Own System?0
 TOS percentn/a
 Subscription Price
 Billing Period (days)30
 Trial Days0
 Win / Loss
 Avg Loss$795
 Avg Win$970
 # Winners32
 # Losers31
 % Winners50.8%
 Frequency
 Avg Position Time (mins)11848.00
 Avg Position Time (hrs)197.47
 Avg Trade Length8.2 days
 Last Trade Ago433
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio
 Mean0.10383
 SD0.23641
 Sharpe ratio (Glass type estimate)0.43920
 Sharpe ratio (Hedges UMVUE)0.43022
 df37.00000
 t0.78156
 p0.21972
 Lowerbound of 95% confidence interval for Sharpe Ratio0.66965
 Upperbound of 95% confidence interval for Sharpe Ratio1.54219
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.67553
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.53598
 Statistics related to Sortino ratio
 Sortino ratio0.89595
 Upside Potential Ratio2.74199
 Upside part of mean0.31777
 Downside part of mean0.21393
 Upside SD0.20466
 Downside SD0.11589
 N nonnegative terms13.00000
 N negative terms25.00000
 Statistics related to linear regression on benchmark
 N of observations38.00000
 Mean of predictor0.12824
 Mean of criterion0.10383
 SD of predictor0.10169
 SD of criterion0.23641
 Covariance0.00599
 r0.24907
 b (slope, estimate of beta)0.57906
 a (intercept, estimate of alpha)0.02957
 Mean Square Error0.05388
 DF error36.00000
 t(b)1.54307
 p(b)0.06578
 t(a)0.21270
 p(a)0.41638
 Lowerbound of 95% confidence interval for beta0.18201
 Upperbound of 95% confidence interval for beta1.34012
 Lowerbound of 95% confidence interval for alpha0.25240
 Upperbound of 95% confidence interval for alpha0.31154
 Treynor index (mean / b)0.17931
 Jensen alpha (a)0.02957
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.07784
 SD0.22609
 Sharpe ratio (Glass type estimate)0.34429
 Sharpe ratio (Hedges UMVUE)0.33726
 df37.00000
 t0.61267
 p0.27192
 Lowerbound of 95% confidence interval for Sharpe Ratio0.76218
 Upperbound of 95% confidence interval for Sharpe Ratio1.44617
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.76682
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.44134
 Statistics related to Sortino ratio
 Sortino ratio0.64703
 Upside Potential Ratio2.48242
 Upside part of mean0.29865
 Downside part of mean0.22081
 Upside SD0.18922
 Downside SD0.12031
 N nonnegative terms13.00000
 N negative terms25.00000
 Statistics related to linear regression on benchmark
 N of observations38.00000
 Mean of predictor0.12246
 Mean of criterion0.07784
 SD of predictor0.10165
 SD of criterion0.22609
 Covariance0.00545
 r0.23731
 b (slope, estimate of beta)0.52783
 a (intercept, estimate of alpha)0.01320
 Mean Square Error0.04958
 DF error36.00000
 t(b)1.46573
 p(b)0.07570
 t(a)0.09951
 p(a)0.46064
 Lowerbound of 95% confidence interval for beta0.20252
 Upperbound of 95% confidence interval for beta1.25818
 Lowerbound of 95% confidence interval for alpha0.25587
 Upperbound of 95% confidence interval for alpha0.28227
 Treynor index (mean / b)0.14748
 Jensen alpha (a)0.01320
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.09595
 Expected Shortfall on VaR0.12002
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.04853
 Expected Shortfall on VaR0.08732
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations38.00000
 Minimum0.90716
 Quartile 10.96765
 Median1.00000
 Quartile 31.02918
 Maximum1.21555
 Mean of quarter 10.94093
 Mean of quarter 20.99267
 Mean of quarter 31.00520
 Mean of quarter 41.09702
 Inter Quartile Range0.06153
 Number outliers low0.00000
 Percentage of outliers low0.00000
 Mean of outliers low0.00000
 Number of outliers high3.00000
 Percentage of outliers high0.07895
 Mean of outliers high1.18065
 Risk estimates for a oneperiod unit investment (based on Ex
 Extreme Value Index (moments method)0.01358
 VaR(95%) (moments method)0.06173
 Expected Shortfall (moments method)0.07993
 Extreme Value Index (regression method)0.87643
 VaR(95%) (regression method)0.05738
 Expected Shortfall (regression method)0.06099
 DRAW DOWN STATISTICS
 Quartiles of draw downs
 Number of observations1.00000
 Minimum0.29854
 Quartile 10.29854
 Median0.29854
 Quartile 30.29854
 Maximum0.29854
 Mean of quarter 10.00000
 Mean of quarter 20.00000
 Mean of quarter 30.00000
 Mean of quarter 40.00000
 Inter Quartile Range0.00000
 Number outliers low0.00000
 Percentage of outliers low0.00000
 Mean of outliers low0.00000
 Number of outliers high0.00000
 Percentage of outliers high0.00000
 Mean of outliers high0.00000
 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)0.10121
 Compounded annual return (geometric extrapolation)0.09176
 Calmar ratio (compounded annual return / max draw down)0.30737
 Compounded annual return / average of 25% largest draw downs0.00000
 Compounded annual return / Expected Shortfall lognormal0.76458
 0.00000
 0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio
 Mean0.10588
 SD0.23986
 Sharpe ratio (Glass type estimate)0.44144
 Sharpe ratio (Hedges UMVUE)0.44114
 df1098.00000
 t0.78903
 p0.48810
 Lowerbound of 95% confidence interval for Sharpe Ratio0.65536
 Upperbound of 95% confidence interval for Sharpe Ratio1.53805
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.65556
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.53784
 Statistics related to Sortino ratio
 Sortino ratio0.62896
 Upside Potential Ratio6.77018
 Upside part of mean1.13975
 Downside part of mean1.03386
 Upside SD0.17080
 Downside SD0.16835
 N nonnegative terms289.00000
 N negative terms810.00000
 Statistics related to linear regression on benchmark
 N of observations1099.00000
 Mean of predictor0.09350
 Mean of criterion0.10588
 SD of predictor0.13642
 SD of criterion0.23986
 Covariance0.00522
 r0.15963
 b (slope, estimate of beta)0.28067
 a (intercept, estimate of alpha)0.07964
 Mean Square Error0.05612
 DF error1097.00000
 t(b)5.35583
 p(b)0.39881
 t(a)0.60049
 p(a)0.48846
 Lowerbound of 95% confidence interval for beta0.17785
 Upperbound of 95% confidence interval for beta0.38350
 Lowerbound of 95% confidence interval for alpha0.18059
 Upperbound of 95% confidence interval for alpha0.33987
 Treynor index (mean / b)0.37725
 Jensen alpha (a)0.07964
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.07707
 SD0.24029
 Sharpe ratio (Glass type estimate)0.32074
 Sharpe ratio (Hedges UMVUE)0.32052
 df1098.00000
 t0.57329
 p0.49135
 Lowerbound of 95% confidence interval for Sharpe Ratio0.77595
 Upperbound of 95% confidence interval for Sharpe Ratio1.41731
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.77611
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.41716
 Statistics related to Sortino ratio
 Sortino ratio0.44738
 Upside Potential Ratio6.53349
 Upside part of mean1.12551
 Downside part of mean1.04844
 Upside SD0.16741
 Downside SD0.17227
 N nonnegative terms289.00000
 N negative terms810.00000
 Statistics related to linear regression on benchmark
 N of observations1099.00000
 Mean of predictor0.08415
 Mean of criterion0.07707
 SD of predictor0.13693
 SD of criterion0.24029
 Covariance0.00519
 r0.15759
 b (slope, estimate of beta)0.27654
 a (intercept, estimate of alpha)0.05380
 Mean Square Error0.05635
 DF error1097.00000
 t(b)5.28566
 p(b)0.40009
 t(a)0.40485
 p(a)0.49222
 Lowerbound of 95% confidence interval for beta0.17389
 Upperbound of 95% confidence interval for beta0.37920
 Lowerbound of 95% confidence interval for alpha0.20694
 Upperbound of 95% confidence interval for alpha0.31454
 Treynor index (mean / b)0.27869
 Jensen alpha (a)0.05380
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.02086
 Expected Shortfall on VaR0.02614
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.00867
 Expected Shortfall on VaR0.01845
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations1099.00000
 Minimum0.90658
 Quartile 11.00000
 Median1.00000
 Quartile 31.00049
 Maximum1.10037
 Mean of quarter 10.98807
 Mean of quarter 21.00000
 Mean of quarter 31.00001
 Mean of quarter 41.01326
 Inter Quartile Range0.00049
 Number outliers low242.00000
 Percentage of outliers low0.22020
 Mean of outliers low0.98647
 Number of outliers high265.00000
 Percentage of outliers high0.24113
 Mean of outliers high1.01372
 Risk estimates for a oneperiod unit investment (based on Ex
 Extreme Value Index (moments method)0.07096
 VaR(95%) (moments method)0.00438
 Expected Shortfall (moments method)0.00699
 Extreme Value Index (regression method)0.03121
 VaR(95%) (regression method)0.01077
 Expected Shortfall (regression method)0.01782
 DRAW DOWN STATISTICS
 Quartiles of draw downs
 Number of observations11.00000
 Minimum0.00113
 Quartile 10.00848
 Median0.01205
 Quartile 30.03097
 Maximum0.36347
 Mean of quarter 10.00424
 Mean of quarter 20.01157
 Mean of quarter 30.02272
 Mean of quarter 40.14753
 Inter Quartile Range0.02249
 Number outliers low0.00000
 Percentage of outliers low0.00000
 Mean of outliers low0.00000
 Number of outliers high1.00000
 Percentage of outliers high0.09091
 Mean of outliers high0.36347
 Risk estimates based on draw downs (based on Extreme Value T
 Extreme Value Index (moments method)0.99513
 VaR(95%) (moments method)0.15164
 Expected Shortfall (moments method)33.60810
 Extreme Value Index (regression method)3.63455
 VaR(95%) (regression method)0.59086
 Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.10032
 Compounded annual return (geometric extrapolation)0.09092
 Calmar ratio (compounded annual return / max draw down)0.25014
 Compounded annual return / average of 25% largest draw downs0.61627
 Compounded annual return / Expected Shortfall lognormal3.47818
 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
 Mean0.00995
 SD0.00000
 Sharpe ratio (Glass type estimate)0.00000
 Sharpe ratio (Hedges UMVUE)0.00000
 df0.00000
 t0.00000
 p0.00000
 Lowerbound of 95% confidence interval for Sharpe Ratio0.00000
 Upperbound of 95% confidence interval for Sharpe Ratio0.00000
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.00000
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.00000
 Statistics related to Sortino ratio
 Sortino ratio18.54720
 Upside Potential Ratio0.00000
 Upside part of mean0.00000
 Downside part of mean0.00995
 Upside SD0.00000
 Downside SD0.00054
 N nonnegative terms0.00000
 N negative terms172.00000
 Statistics related to linear regression on benchmark
 N of observations172.00000
 Mean of predictor0.25206
 Mean of criterion0.00995
 SD of predictor0.22231
 SD of criterion0.00000
 Covariance0.00000
 r0.00000
 b (slope, estimate of beta)0.00000
 a (intercept, estimate of alpha)0.00000
 Mean Square Error0.00000
 DF error0.00000
 t(b)0.00000
 p(b)0.00000
 t(a)0.00000
 p(a)0.00000
 Lowerbound of 95% confidence interval for beta0.00000
 Upperbound of 95% confidence interval for beta0.00000
 Lowerbound of 95% confidence interval for alpha0.00000
 Upperbound of 95% confidence interval for alpha0.00000
 Treynor index (mean / b)0.00000
 Jensen alpha (a)0.00000
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.00995
 SD0.00000
 Sharpe ratio (Glass type estimate)31576300000000000.00000
 Sharpe ratio (Hedges UMVUE)31437600000000000.00000
 df171.00000
 t22327800000000000.00000
 p1.00000
 Lowerbound of 95% confidence interval for Sharpe Ratio0.00000
 Upperbound of 95% confidence interval for Sharpe Ratio0.00000
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation34769500000000000.00000
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation28105800000000000.00000
 Statistics related to Sortino ratio
 Sortino ratio18.54720
 Upside Potential Ratio0.00000
 Upside part of mean0.00000
 Downside part of mean0.00995
 Upside SD0.00000
 Downside SD0.00054
 N nonnegative terms0.00000
 N negative terms172.00000
 Statistics related to linear regression on benchmark
 N of observations172.00000
 Mean of predictor0.27701
 Mean of criterion0.00995
 SD of predictor0.22425
 SD of criterion0.00000
 Covariance0.00000
 r0.00000
 b (slope, estimate of beta)0.00000
 a (intercept, estimate of alpha)0.00995
 Mean Square Error0.00000
 DF error170.00000
 t(b)0.00000
 p(b)0.50000
 t(a)22213000000000000.00000
 p(a)1.00000
 Lowerbound of 95% confidence interval for beta0.00000
 Upperbound of 95% confidence interval for beta0.00000
 Lowerbound of 95% confidence interval for alpha0.00995
 Upperbound of 95% confidence interval for alpha0.00995
 Treynor index (mean / b)264500000000000013562995082788864.00000
 Jensen alpha (a)0.00995
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.00003
 Expected Shortfall on VaR0.00003
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.00000
 Expected Shortfall on VaR0.00000
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations172.00000
 Minimum1.00000
 Quartile 11.00000
 Median1.00000
 Quartile 31.00000
 Maximum1.00000
 Mean of quarter 11.00000
 Mean of quarter 21.00000
 Mean of quarter 31.00000
 Mean of quarter 41.00000
 Inter Quartile Range0.00000
 Number outliers low0.00000
 Percentage of outliers low0.00000
 Mean of outliers low0.00000
 Number of outliers high0.00000
 Percentage of outliers high0.00000
 Mean of outliers high0.00000
 Risk estimates for a oneperiod 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 observations0.00000
 Minimum0.00000
 Quartile 10.00000
 Median0.00000
 Quartile 30.00000
 Maximum0.00000
 Mean of quarter 10.00000
 Mean of quarter 20.00000
 Mean of quarter 30.00000
 Mean of quarter 40.00000
 Inter Quartile Range0.00000
 Number outliers low0.00000
 Percentage of outliers low0.00000
 Mean of outliers low0.00000
 Number of outliers high0.00000
 Percentage of outliers high0.00000
 Mean of outliers high0.00000
 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)0.00000
 Compounded annual return (geometric extrapolation)0.00000
 Calmar ratio (compounded annual return / max draw down)0.00000
 Compounded annual return / average of 25% largest draw downs0.00000
 Compounded annual return / Expected Shortfall lognormal0.00000
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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.