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These are hypothetical performance results that have certain inherent limitations. Learn more

QI Portfolio I

Created by:
UserRemoved244
UserRemoved244
Started:   10/2012
Futures
Last trade:   1,051 days ago

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
-2.8%
Annual Return (Compounded)
48.6%
Max Drawdown
99
Num Trades
46.5%
Win Trades
1.0 : 1
Profit Factor
36.2%
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%+0.1%  -    -  (31.8%)
2014  -  +1.8%  -    -  (0.2%)+0.1%(0.3%)(0.2%)(0.4%)(0.2%)(0.1%)(0.3%)+0.2%
2015(0.9%)(0.1%)(0.4%)+0.4%(0.1%)+0.1%(0.1%)+0.2%(0.1%)(0.2%)(0.4%)+0.4%(1.2%)
2016(0.1%)+0.1%+0.3%+0.2%(0.2%)(0.1%)  -  +0.2%                        +0.3%

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.

Open positions are hidden from non-subscribers.

This strategy has placed 7 trades in real-life brokerage accounts. Show AutoTrade data Hide AutoTrade data
Long
Short
Both
Win
Loss
Both

Trading Record

Download CSV
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/10/13 18:00 @ESZ3 E-MINI S&P 500 SHORT 1 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 Commission and AutoTrade Fees trade costs of $13.96
10/8/13 12:02 BDZ3 EUREX BUND LONG 1 140.25 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%
($623)
Includes Typical Commission and AutoTrade Fees trade costs of $13.96
10/9/13 18:00 @ESZ3 E-MINI S&P 500 LONG 1 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 Commission and AutoTrade Fees trade costs of $13.96
10/7/13 18:00 @ESZ3 E-MINI S&P 500 LONG 1 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 Commission and AutoTrade Fees trade costs of $13.96
9/27/13 5:03 BDZ3 EUREX BUND LONG 1 139.91 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%
$290
Includes Typical Commission and AutoTrade Fees trade costs of $13.96
10/3/13 18:00 @ESZ3 E-MINI S&P 500 LONG 1 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 Commission and AutoTrade Fees trade costs of $13.96
9/29/13 18:03 @ESZ3 E-MINI S&P 500 LONG 1 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 Commission and AutoTrade Fees trade costs of $13.96
9/16/13 15:06 BDZ3 EUREX BUND LONG 1 138.18 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%
$2,082
Includes Typical Commission and AutoTrade Fees trade costs of $13.96
9/10/13 5:05 BDZ3 EUREX BUND LONG 1 137.15 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%
$403
Includes Typical Commission and AutoTrade Fees trade costs of $13.96
9/10/13 18:00 @ESU3 E-MINI S&P 500 SHORT 1 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 Commission and AutoTrade Fees trade costs of $13.96
9/4/13 18:00 @ESU3 E-MINI S&P 500 LONG 1 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 Commission and AutoTrade Fees trade costs of $13.96
8/28/13 5:05 BDU3 EUREX BUND LONG 1 140.80 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%
($1,592)
Includes Typical Commission and AutoTrade Fees trade costs of $13.96
9/2/13 18:00 @ESU3 E-MINI S&P 500 LONG 1 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 Commission and AutoTrade Fees trade costs of $13.96
9/1/13 18:04 @ESU3 E-MINI S&P 500 SHORT 1 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 Commission and AutoTrade Fees trade costs of $13.96
8/28/13 18:00 @ESU3 E-MINI S&P 500 LONG 1 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 Commission and AutoTrade Fees trade costs of $13.96
8/25/13 18:05 @ESU3 E-MINI S&P 500 LONG 1 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 Commission and AutoTrade Fees trade costs of $13.96
8/21/13 18:00 @ESU3 E-MINI S&P 500 LONG 1 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 Commission and AutoTrade Fees trade costs of $13.96
8/19/13 18:00 @ESU3 E-MINI S&P 500 LONG 1 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 Commission and AutoTrade Fees trade costs of $13.96
8/14/13 18:00 @ESU3 E-MINI S&P 500 LONG 1 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 Commission and AutoTrade Fees trade costs of $13.96
8/13/13 18:00 @ESU3 E-MINI S&P 500 SHORT 1 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 Commission and AutoTrade Fees trade costs of $13.96
8/12/13 18:11 @ESU3 E-MINI S&P 500 LONG 1 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 Commission and AutoTrade Fees trade costs of $13.96
8/2/13 9:03 BDU3 EUREX BUND LONG 1 142.38 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%
($1,535)
Includes Typical Commission and AutoTrade Fees trade costs of $13.96
8/7/13 18:00 @ESU3 E-MINI S&P 500 LONG 1 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 Commission and AutoTrade Fees trade costs of $13.96
8/1/13 18:00 @ESU3 E-MINI S&P 500 LONG 1 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 Commission and AutoTrade Fees trade costs of $13.96
7/30/13 18:00 @ESU3 E-MINI S&P 500 LONG 1 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 Commission and AutoTrade Fees trade costs of $13.96
7/25/13 18:00 @ESU3 E-MINI S&P 500 LONG 1 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 Commission and AutoTrade Fees trade costs of $13.96
7/23/13 18:00 @ESU3 E-MINI S&P 500 SHORT 1 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 Commission and AutoTrade Fees trade costs of $13.96
7/19/13 15:03 BDU3 EUREX BUND LONG 1 144.17 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%
($1,693)
Includes Typical Commission and AutoTrade Fees trade costs of $13.96
7/19/13 14:02 BDU3 EUREX BUND SHORT 1 144.14 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%
($48)
Includes Typical Commission and AutoTrade Fees trade costs of $13.96
7/18/13 13:03 BDU3 EUREX BUND LONG 1 144.16 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%
($37)
Includes Typical Commission and AutoTrade Fees trade costs of $13.96

Statistics

  • Strategy began
    10/13/2012
  • Starting Unit Size
    $20,000
  • Strategy Age (days)
    1411.47
  • Age
    47 months ago
  • What it trades
    Futures
  • # Trades
    99
  • # Profitable
    46
  • % Profitable
    46.50%
  • Avg trade duration
    3.1 days
  • Max peak-to-valley drawdown
    48.57%
  • drawdown period
    Dec 13, 2012 - Sept 13, 2013
  • Annual Return (Compounded)
    -2.8%
  • Avg win
    $703.04
  • Avg loss
    $596.04
  • Model Account Values (Raw)
  • Cash
    $20,754
  • Margin Used
    $0
  • Buying Power
    $20,754
  • Ratios
  • W:L ratio
    1.02:1
  • Sharpe Ratio
    0.038
  • Sortino Ratio
    0.056
  • Calmar Ratio
    0.051
  • Return Statistics
  • Ann Return (w trading costs)
    -2.8%
  • Ann Return (Compnd, No Fees)
    1.0%
  • 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
    n/a
  • 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
    7
  • Win / Loss
  • Avg Loss
    $596
  • Avg Win
    $703
  • # Winners
    46
  • # Losers
    53
  • % Winners
    46.5%
  • Frequency
  • Avg Position Time (mins)
    4405.90
  • Avg Position Time (hrs)
    73.43
  • Avg Trade Length
    3.1 days
  • Last Trade Ago
    1049
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04179
  • SD
    0.26668
  • Sharpe ratio (Glass type estimate)
    0.15673
  • Sharpe ratio (Hedges UMVUE)
    0.15105
  • df
    21.00000
  • t
    0.21221
  • p
    0.47056
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.29339
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.60318
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.29720
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.59930
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.29852
  • Upside Potential Ratio
    1.83700
  • Upside part of mean
    0.25719
  • Downside part of mean
    -0.21540
  • Upside SD
    0.22006
  • Downside SD
    0.14001
  • N nonnegative terms
    7.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.22929
  • Mean of criterion
    0.04179
  • SD of predictor
    0.11335
  • SD of criterion
    0.26668
  • Covariance
    -0.00913
  • r
    -0.30212
  • b (slope, estimate of beta)
    -0.71081
  • a (intercept, estimate of alpha)
    0.20477
  • Mean Square Error
    0.06786
  • DF error
    20.00000
  • t(b)
    -1.41738
  • p(b)
    0.65106
  • t(a)
    0.91364
  • p(a)
    0.39992
  • Lowerbound of 95% confidence interval for beta
    -1.75690
  • Upperbound of 95% confidence interval for beta
    0.33529
  • Lowerbound of 95% confidence interval for alpha
    -0.26276
  • Upperbound of 95% confidence interval for alpha
    0.67230
  • Treynor index (mean / b)
    -0.05880
  • Jensen alpha (a)
    0.20477
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01024
  • SD
    0.25288
  • Sharpe ratio (Glass type estimate)
    0.04047
  • Sharpe ratio (Hedges UMVUE)
    0.03901
  • df
    21.00000
  • t
    0.05480
  • p
    0.49239
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.40757
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.48759
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.40857
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.48658
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.06864
  • Upside Potential Ratio
    1.58334
  • Upside part of mean
    0.23611
  • Downside part of mean
    -0.22587
  • Upside SD
    0.19701
  • Downside SD
    0.14912
  • N nonnegative terms
    7.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.22092
  • Mean of criterion
    0.01024
  • SD of predictor
    0.11285
  • SD of criterion
    0.25288
  • Covariance
    -0.00840
  • r
    -0.29452
  • b (slope, estimate of beta)
    -0.65996
  • a (intercept, estimate of alpha)
    0.15604
  • Mean Square Error
    0.06132
  • DF error
    20.00000
  • t(b)
    -1.37824
  • p(b)
    0.64726
  • t(a)
    0.73852
  • p(a)
    0.41853
  • Lowerbound of 95% confidence interval for beta
    -1.65881
  • Upperbound of 95% confidence interval for beta
    0.33889
  • Lowerbound of 95% confidence interval for alpha
    -0.28469
  • Upperbound of 95% confidence interval for alpha
    0.59676
  • Treynor index (mean / b)
    -0.01551
  • Jensen alpha (a)
    0.15604
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11239
  • Expected Shortfall on VaR
    0.13874
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04977
  • Expected Shortfall on VaR
    0.09785
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.85216
  • Quartile 1
    0.99174
  • Median
    0.99861
  • Quartile 3
    1.00300
  • Maximum
    1.27455
  • Mean of quarter 1
    0.93921
  • Mean of quarter 2
    0.99660
  • Mean of quarter 3
    1.00037
  • Mean of quarter 4
    1.07913
  • Inter Quartile Range
    0.01126
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.18182
  • Mean of outliers low
    0.91645
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.18182
  • Mean of outliers high
    1.11403
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.41322
  • VaR(95%) (moments method)
    0.03532
  • Expected Shortfall (moments method)
    0.03734
  • Extreme Value Index (regression method)
    0.02782
  • VaR(95%) (regression method)
    0.09596
  • Expected Shortfall (regression method)
    0.15105
  • 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)
    0.02056
  • Compounded annual return (geometric extrapolation)
    0.02039
  • Calmar ratio (compounded annual return / max draw down)
    0.07173
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.14697
  • 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
    0.04551
  • SD
    0.26716
  • Sharpe ratio (Glass type estimate)
    0.17033
  • Sharpe ratio (Hedges UMVUE)
    0.17013
  • df
    631.00000
  • t
    0.23087
  • p
    0.40874
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.27576
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.61631
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.27590
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.61616
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.25735
  • Upside Potential Ratio
    5.25519
  • Upside part of mean
    0.92922
  • Downside part of mean
    -0.88372
  • Upside SD
    0.20000
  • Downside SD
    0.17682
  • N nonnegative terms
    259.00000
  • N negative terms
    373.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    632.00000
  • Mean of predictor
    0.23547
  • Mean of criterion
    0.04551
  • SD of predictor
    0.18276
  • SD of criterion
    0.26716
  • Covariance
    -0.00038
  • r
    -0.00787
  • b (slope, estimate of beta)
    -0.01151
  • a (intercept, estimate of alpha)
    0.04821
  • Mean Square Error
    0.07148
  • DF error
    630.00000
  • t(b)
    -0.19757
  • p(b)
    0.57828
  • t(a)
    0.24384
  • p(a)
    0.40371
  • Lowerbound of 95% confidence interval for beta
    -0.12587
  • Upperbound of 95% confidence interval for beta
    0.10286
  • Lowerbound of 95% confidence interval for alpha
    -0.34007
  • Upperbound of 95% confidence interval for alpha
    0.43650
  • Treynor index (mean / b)
    -3.95491
  • Jensen alpha (a)
    0.04821
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01022
  • SD
    0.26541
  • Sharpe ratio (Glass type estimate)
    0.03850
  • Sharpe ratio (Hedges UMVUE)
    0.03846
  • df
    631.00000
  • t
    0.05219
  • p
    0.47920
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.40750
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.48451
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.40755
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.48446
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.05568
  • Upside Potential Ratio
    4.96057
  • Upside part of mean
    0.91033
  • Downside part of mean
    -0.90011
  • Upside SD
    0.19145
  • Downside SD
    0.18351
  • N nonnegative terms
    259.00000
  • N negative terms
    373.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    632.00000
  • Mean of predictor
    0.21869
  • Mean of criterion
    0.01022
  • SD of predictor
    0.18298
  • SD of criterion
    0.26541
  • Covariance
    -0.00052
  • r
    -0.01076
  • b (slope, estimate of beta)
    -0.01560
  • a (intercept, estimate of alpha)
    0.01363
  • Mean Square Error
    0.07054
  • DF error
    630.00000
  • t(b)
    -0.27001
  • p(b)
    0.60638
  • t(a)
    0.06942
  • p(a)
    0.47234
  • Lowerbound of 95% confidence interval for beta
    -0.12907
  • Upperbound of 95% confidence interval for beta
    0.09787
  • Lowerbound of 95% confidence interval for alpha
    -0.37197
  • Upperbound of 95% confidence interval for alpha
    0.39923
  • Treynor index (mean / b)
    -0.65496
  • Jensen alpha (a)
    0.01363
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02323
  • Expected Shortfall on VaR
    0.02904
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00637
  • Expected Shortfall on VaR
    0.01438
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    632.00000
  • Minimum
    0.87931
  • Quartile 1
    0.99951
  • Median
    1.00000
  • Quartile 3
    1.00058
  • Maximum
    1.14879
  • Mean of quarter 1
    0.98995
  • Mean of quarter 2
    0.99985
  • Mean of quarter 3
    1.00014
  • Mean of quarter 4
    1.01071
  • Inter Quartile Range
    0.00107
  • Number outliers low
    93.00000
  • Percentage of outliers low
    0.14715
  • Mean of outliers low
    0.98362
  • Number of outliers high
    96.00000
  • Percentage of outliers high
    0.15190
  • Mean of outliers high
    1.01692
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.12892
  • VaR(95%) (moments method)
    0.00674
  • 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
    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)
    0.02055
  • Compounded annual return (geometric extrapolation)
    0.02037
  • Calmar ratio (compounded annual return / max draw down)
    0.05096
  • Compounded annual return / average of 25% largest draw downs
    0.13888
  • Compounded annual return / Expected Shortfall lognormal
    0.70151
  • 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
    -0.01047
  • SD
    0.01763
  • Sharpe ratio (Glass type estimate)
    -0.59383
  • Sharpe ratio (Hedges UMVUE)
    -0.59122
  • df
    171.00000
  • t
    -0.41990
  • p
    0.52043
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.36550
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17954
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.36373
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.18130
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.81036
  • Upside Potential Ratio
    9.32067
  • Upside part of mean
    0.12043
  • Downside part of mean
    -0.13090
  • Upside SD
    0.01194
  • Downside SD
    0.01292
  • N nonnegative terms
    85.00000
  • N negative terms
    87.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.16936
  • Mean of criterion
    -0.01047
  • SD of predictor
    0.25480
  • SD of criterion
    0.01763
  • Covariance
    -0.00016
  • r
    -0.03572
  • b (slope, estimate of beta)
    -0.00247
  • a (intercept, estimate of alpha)
    -0.01005
  • Mean Square Error
    0.00031
  • DF error
    170.00000
  • t(b)
    -0.46601
  • p(b)
    0.51786
  • t(a)
    -0.40193
  • p(a)
    0.51541
  • Lowerbound of 95% confidence interval for beta
    -0.01294
  • Upperbound of 95% confidence interval for beta
    0.00800
  • Lowerbound of 95% confidence interval for alpha
    -0.05942
  • Upperbound of 95% confidence interval for alpha
    0.03932
  • Treynor index (mean / b)
    4.23608
  • Jensen alpha (a)
    -0.01005
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01062
  • SD
    0.01763
  • Sharpe ratio (Glass type estimate)
    -0.60253
  • Sharpe ratio (Hedges UMVUE)
    -0.59989
  • df
    171.00000
  • t
    -0.42605
  • p
    0.52073
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.37423
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17085
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.37242
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.17265
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.82162
  • Upside Potential Ratio
    9.30713
  • Upside part of mean
    0.12035
  • Downside part of mean
    -0.13098
  • Upside SD
    0.01193
  • Downside SD
    0.01293
  • N nonnegative terms
    85.00000
  • N negative terms
    87.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.13692
  • Mean of criterion
    -0.01062
  • SD of predictor
    0.25559
  • SD of criterion
    0.01763
  • Covariance
    -0.00016
  • r
    -0.03498
  • b (slope, estimate of beta)
    -0.00241
  • a (intercept, estimate of alpha)
    -0.01029
  • Mean Square Error
    0.00031
  • DF error
    170.00000
  • t(b)
    -0.45636
  • p(b)
    0.51749
  • t(a)
    -0.41167
  • p(a)
    0.51578
  • Lowerbound of 95% confidence interval for beta
    -0.01285
  • Upperbound of 95% confidence interval for beta
    0.00803
  • Lowerbound of 95% confidence interval for alpha
    -0.05966
  • Upperbound of 95% confidence interval for alpha
    0.03907
  • Treynor index (mean / b)
    4.40250
  • Jensen alpha (a)
    -0.01029
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00159
  • Expected Shortfall on VaR
    0.00199
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00089
  • Expected Shortfall on VaR
    0.00163
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.99731
  • Quartile 1
    0.99947
  • Median
    1.00000
  • Quartile 3
    1.00058
  • Maximum
    1.00237
  • Mean of quarter 1
    0.99881
  • Mean of quarter 2
    0.99972
  • Mean of quarter 3
    1.00026
  • Mean of quarter 4
    1.00120
  • Inter Quartile Range
    0.00111
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.02326
  • Mean of outliers low
    0.99743
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00581
  • Mean of outliers high
    1.00237
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.16316
  • VaR(95%) (moments method)
    0.00142
  • Expected Shortfall (moments method)
    0.00180
  • 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
    5.00000
  • Minimum
    0.00029
  • Quartile 1
    0.00327
  • Median
    0.00486
  • Quartile 3
    0.00760
  • Maximum
    0.00837
  • Mean of quarter 1
    0.00178
  • Mean of quarter 2
    0.00486
  • Mean of quarter 3
    0.00760
  • Mean of quarter 4
    0.00837
  • Inter Quartile Range
    0.00433
  • 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)
    -0.00067
  • Compounded annual return (geometric extrapolation)
    -0.00067
  • Calmar ratio (compounded annual return / max draw down)
    -0.08055
  • Compounded annual return / average of 25% largest draw downs
    -0.08055
  • Compounded annual return / Expected Shortfall lognormal
    -0.33880

Strategy Description

Statistics

Strategy began
2012-10-13
Minimum Capital Required
$20,000
# Trades
99
# Profitable
46
% Profitable
46.5%
Correlation S&P500
-0.008
Sharpe Ratio
0.038

Latest

#PERSONNAME#
subscribed on #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

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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