CORTEX AI Model
- hypothetical · Annual Return (Compounded)
- 17.0%
- Max Drawdown
- 21.5%
- Trades
- 1728
- Win Trades
- 55.9%
- Profit Factor
- 1.20
- Win Months
- 52.9%
About this strategy
SparkTrade.io is an AI-powered platform that provides stock predictions and investment strategies for institutional investors and hedge funds. SparkTrade utilizes advanced machine learning techniques to analyze extensive financial data, offering daily long and short prediction scores for individual equities and sectors. These scores are designed to help investors identify equities that are poised for a reversal or catch-up trade. SparkTrade prediction scores are used to assist in position sizing, trading around a position, and uncovering opportunities to assist in portfolio optimization and risk management.
This model in particular is our CORTEX AI Model. On each trading day, this strategy takes SparkTrade's Top 21 Long Prediction scores for all of the 2,500+ US equities our model covers, dividing the principle equally amongst them to allocate the same dollar amount of investment into each stock for that day. The strategy takes volatility into account, adjusting the inputs to identify stocks that perform well in low or high volatility situations historically. On days where the VIX is above 25, the model switches to our high-vol CORTEX model. On days where the VIX rests below 25, our model switches to the low-vol CORTEX model. Any stocks that remain amongst our Top 21 Long Predictions day-to-day are carried over and allocated their portion of any total profits gained in the previous trading session. This model only enters into long positions.
Be sure to check out our other SparkTrade.io strategies found here on C2, including the ORION AI (All Vol Long Daily Top 21), RAPTOR AI (All Vol Long Monthly Top 21), and SYNAPSE AI (Regime-switching Top 55 Long / Top 21 Short Daily) models to see which one fits your risk tolerance and overall portfolio strategy best.
This model in particular is our CORTEX AI Model. On each trading day, this strategy takes SparkTrade's Top 21 Long Prediction scores for all of the 2,500+ US equities our model covers, dividing the principle equally amongst them to allocate the same dollar amount of investment into each stock for that day. The strategy takes volatility into account, adjusting the inputs to identify stocks that perform well in low or high volatility situations historically. On days where the VIX is above 25, the model switches to our high-vol CORTEX model. On days where the VIX rests below 25, our model switches to the low-vol CORTEX model. Any stocks that remain amongst our Top 21 Long Predictions day-to-day are carried over and allocated their portion of any total profits gained in the previous trading session. This model only enters into long positions.
Be sure to check out our other SparkTrade.io strategies found here on C2, including the ORION AI (All Vol Long Daily Top 21), RAPTOR AI (All Vol Long Monthly Top 21), and SYNAPSE AI (Regime-switching Top 55 Long / Top 21 Short Daily) models to see which one fits your risk tolerance and overall portfolio strategy best.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | -1.1 | 10.2 | -6.7 | 0.7 | 6.2 | 2.8 | 11.8 | ||||||
| 2026 | -2.4 | -1.7 | -7.5 | 1.2 | -10.5 | -0.3 | 26.6 | 6.8 | -7.3 | 7.8 | 1.9 | 10.2 |
Statistics
Overview
| Strategy began | 7/15/2025 |
|---|---|
| Suggested Minimum Capital | $15,000 |
| Age | 16 months |
| C2 Rank | 973 |
| Rank at C2 % | Top 2.7% |
| Rank # | #19 |
| What it trades | Stocks |
| # Trades | 1728 |
| # Profitable | 966 |
| % Profitable | 55.9% |
| Avg trade duration | 6.1 days |
| Max peak-to-valley drawdown | 21.5% |
| drawdown period | Jan 14, 2026 - May 14, 2026 |
| Annual Return (Compounded) | 17.0% |
| Avg win | $94 |
| Avg loss | $99 |
Ratios
| W:L ratio | 1.22 |
|---|---|
| Sharpe Ratio | 0.67 |
| Sortino Ratio | 1.08 |
| Calmar Ratio | 2.35 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.33 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 18.1% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 4.9% |
Return Statistics
| Ann Return (w trading costs) | 17.0% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.2% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 23.8% |
Slump
| Current Slump as Pcnt Equity | 2.8% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.0% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.0% |
| Short Options - Percent Covered | 100.0% |
| Percent Trades Stocks | 1.0% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 35.0% |
|---|---|
| Chance of 20% account loss | 8.0% |
| Chance of 30% account loss | 0.0% |
| Chance of 40% account loss | 0.0% |
| Chance of 50% account loss | 0.0% |
| Chance of 60% account loss (Monte Carlo) | 0.0% |
| Chance of 70% account loss (Monte Carlo) | 0.0% |
| Chance of 80% account loss (Monte Carlo) | 0.0% |
| Chance of 90% account loss (Monte Carlo) | 0.0% |
Automation
| Percentage Signals Automated | 100.0% |
|---|
Popularity
| Popularity (Today) | 780 |
|---|---|
| Popularity (Last 6 weeks) | 784 |
| C2 Score | 973 |
| Popularity (7 days, Percentile 1000 scale) | 814 |
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $99 |
|---|---|
| Avg Win | $94 |
| # Winners | 966 |
| Sum Trade PL (losers) | $75,762 |
| Sum Trade PL (winners) | $90,997 |
| Num Months Winners | 9 |
| # Losers | 762 |
| % Winners | 55.9% |
Dividends
| Dividends Received in Model Acct | 1063 |
|---|
Age
| Num Months filled monthly returns table | 17 |
|---|
Frequency
| Avg Position Time (mins) | 8823.45 |
|---|---|
| Avg Position Time (hrs) | 147.06 |
| Avg Trade Length | 6.10 |
| Last Trade Ago | 2 |
Leverage
| Daily leverage (average) | 1.13 |
|---|---|
| Daily leverage (max) | 1.87 |
Regression
| Alpha | 0.03 |
|---|---|
| Beta | 0.49 |
| Treynor Index | 0.09 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0 |
| MAE:Equity, average, losing trades | 0 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | -138.33 |
| MAE:PL (avg, all trades) | -0.83 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.54 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.49 |
| Hold-and-Hope Ratio | -0.00 |
RATIO STATISTICS
| Mean | 0.36 |
|---|---|
| SD | 0.32 |
| Sharpe ratio (Glass type estimate) | 1.09 |
| Sharpe ratio (Hedges UMVUE) | 0.99 |
| df | 8 |
| t | 0.95 |
| p | 0.19 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.26 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.39 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.33 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.30 |
| Sortino ratio | 2.83 |
| Upside Potential Ratio | 4.60 |
| Upside part of mean | 0.58 |
| Downside part of mean | -0.22 |
| Upside SD | 0.30 |
| Downside SD | 0.13 |
| N nonnegative terms | 5 |
| N negative terms | 4 |
| N of observations | 9 |
| Mean of predictor | 0.26 |
| Mean of criterion | 0.36 |
| SD of predictor | 0.10 |
| SD of criterion | 0.32 |
| Covariance | -0.02 |
| r | -0.55 |
| b (slope, estimate of beta) | -1.73 |
| a (intercept, estimate of alpha) | 0.80 |
| Mean Square Error | 0.08 |
| DF error | 7 |
| t(b) | -1.73 |
| p(b) | 0.94 |
| t(a) | 1.89 |
| p(a) | 0.05 |
| Lowerbound of 95% confidence interval for beta | -4.10 |
| Upperbound of 95% confidence interval for beta | 0.64 |
| Lowerbound of 95% confidence interval for alpha | -0.20 |
| Upperbound of 95% confidence interval for alpha | 1.79 |
| Treynor index (mean / b) | -0.21 |
| Jensen alpha (a) | 0.80 |
| Mean | 0.31 |
| SD | 0.31 |
| Sharpe ratio (Glass type estimate) | 1.01 |
| Sharpe ratio (Hedges UMVUE) | 0.91 |
| df | 8 |
| t | 0.87 |
| p | 0.20 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.34 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.29 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.40 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.22 |
| Sortino ratio | 2.34 |
| Upside Potential Ratio | 4.10 |
| Upside part of mean | 0.54 |
| Downside part of mean | -0.23 |
| Upside SD | 0.27 |
| Downside SD | 0.13 |
| N nonnegative terms | 5 |
| N negative terms | 4 |
| N of observations | 9 |
| Mean of predictor | 0.25 |
| Mean of criterion | 0.31 |
| SD of predictor | 0.10 |
| SD of criterion | 0.31 |
| Covariance | -0.02 |
| r | -0.55 |
| b (slope, estimate of beta) | -1.66 |
| a (intercept, estimate of alpha) | 0.72 |
| Mean Square Error | 0.07 |
| DF error | 7 |
| t(b) | -1.73 |
| p(b) | 0.94 |
| t(a) | 1.82 |
| p(a) | 0.06 |
| Lowerbound of 95% confidence interval for beta | -3.93 |
| Upperbound of 95% confidence interval for beta | 0.61 |
| Lowerbound of 95% confidence interval for alpha | -0.22 |
| Upperbound of 95% confidence interval for alpha | 1.65 |
| Treynor index (mean / b) | -0.18 |
| Jensen alpha (a) | 0.72 |
| VaR(95%) | 0.11 |
| Expected Shortfall on VaR | 0.14 |
| VaR(95%) | 0.04 |
| Expected Shortfall on VaR | 0.08 |
| Mean | 0.37 |
| SD | 0.25 |
| Sharpe ratio (Glass type estimate) | 1.48 |
| Sharpe ratio (Hedges UMVUE) | 1.47 |
| df | 205 |
| t | 1.31 |
| p | 0.10 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.74 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.69 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.74 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.68 |
| Sortino ratio | 2.27 |
| Upside Potential Ratio | 8.65 |
| Upside part of mean | 1.39 |
| Downside part of mean | -1.02 |
| Upside SD | 0.19 |
| Downside SD | 0.16 |
| N nonnegative terms | 111 |
| N negative terms | 95 |
| N of observations | 206 |
| Mean of predictor | 0.20 |
| Mean of criterion | 0.37 |
| SD of predictor | 0.18 |
| SD of criterion | 0.25 |
| Covariance | 0.02 |
| r | 0.35 |
| b (slope, estimate of beta) | 0.47 |
| a (intercept, estimate of alpha) | 0.27 |
| Mean Square Error | 0.05 |
| DF error | 204 |
| t(b) | 5.27 |
| p(b) | 0 |
| t(a) | 1.03 |
| p(a) | 0.15 |
| Lowerbound of 95% confidence interval for beta | 0.29 |
| Upperbound of 95% confidence interval for beta | 0.65 |
| Lowerbound of 95% confidence interval for alpha | -0.25 |
| Upperbound of 95% confidence interval for alpha | 0.79 |
| Treynor index (mean / b) | 0.78 |
| Jensen alpha (a) | 0.27 |
| Mean | 0.33 |
| SD | 0.25 |
| Sharpe ratio (Glass type estimate) | 1.35 |
| Sharpe ratio (Hedges UMVUE) | 1.35 |
| df | 205 |
| t | 1.20 |
| p | 0.12 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.86 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.56 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.87 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.56 |
| Sortino ratio | 2.02 |
| Upside Potential Ratio | 8.30 |
| Upside part of mean | 1.37 |
| Downside part of mean | -1.04 |
| Upside SD | 0.18 |
| Downside SD | 0.17 |
| N nonnegative terms | 111 |
| N negative terms | 95 |
| N of observations | 206 |
| Mean of predictor | 0.18 |
| Mean of criterion | 0.33 |
| SD of predictor | 0.18 |
| SD of criterion | 0.25 |
| Covariance | 0.02 |
| r | 0.35 |
| b (slope, estimate of beta) | 0.48 |
| a (intercept, estimate of alpha) | 0.25 |
| Mean Square Error | 0.05 |
| DF error | 204 |
| t(b) | 5.37 |
| p(b) | 0 |
| t(a) | 0.94 |
| p(a) | 0.17 |
| Lowerbound of 95% confidence interval for beta | 0.30 |
| Upperbound of 95% confidence interval for beta | 0.65 |
| Lowerbound of 95% confidence interval for alpha | -0.27 |
| Upperbound of 95% confidence interval for alpha | 0.76 |
| Treynor index (mean / b) | 0.70 |
| Jensen alpha (a) | 0.25 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.03 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| Mean | 0.41 |
| SD | 0.29 |
| Sharpe ratio (Glass type estimate) | 1.43 |
| Sharpe ratio (Hedges UMVUE) | 1.43 |
| df | 130 |
| t | 1.01 |
| p | 0.46 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.35 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.21 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.35 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.20 |
| Sortino ratio | 2.19 |
| Upside Potential Ratio | 8.30 |
| Upside part of mean | 1.55 |
| Downside part of mean | -1.14 |
| Upside SD | 0.22 |
| Downside SD | 0.19 |
| N nonnegative terms | 71 |
| N negative terms | 60 |
| N of observations | 131 |
| Mean of predictor | 0.13 |
| Mean of criterion | 0.41 |
| SD of predictor | 0.21 |
| SD of criterion | 0.29 |
| Covariance | 0.02 |
| r | 0.33 |
| b (slope, estimate of beta) | 0.45 |
| a (intercept, estimate of alpha) | 0.35 |
| Mean Square Error | 0.07 |
| DF error | 129 |
| t(b) | 4.03 |
| p(b) | 0.29 |
| t(a) | 0.92 |
| p(a) | 0.45 |
| Lowerbound of 95% confidence interval for beta | 0.23 |
| Upperbound of 95% confidence interval for beta | 0.66 |
| Lowerbound of 95% confidence interval for alpha | -0.41 |
| Upperbound of 95% confidence interval for alpha | 1.11 |
| Treynor index (mean / b) | 0.92 |
| Jensen alpha (a) | 0.35 |
| Mean | 0.37 |
| SD | 0.29 |
| Sharpe ratio (Glass type estimate) | 1.29 |
| Sharpe ratio (Hedges UMVUE) | 1.28 |
| df | 130 |
| t | 0.91 |
| p | 0.46 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.49 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.07 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.49 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.06 |
| Sortino ratio | 1.92 |
| Upside Potential Ratio | 7.93 |
| Upside part of mean | 1.53 |
| Downside part of mean | -1.16 |
| Upside SD | 0.21 |
| Downside SD | 0.19 |
| N nonnegative terms | 71 |
| N negative terms | 60 |
| N of observations | 131 |
| Mean of predictor | 0.11 |
| Mean of criterion | 0.37 |
| SD of predictor | 0.22 |
| SD of criterion | 0.29 |
| Covariance | 0.02 |
| r | 0.34 |
| b (slope, estimate of beta) | 0.45 |
| a (intercept, estimate of alpha) | 0.32 |
| Mean Square Error | 0.07 |
| DF error | 129 |
| t(b) | 4.12 |
| p(b) | 0.29 |
| t(a) | 0.84 |
| p(a) | 0.45 |
| Lowerbound of 95% confidence interval for beta | 0.23 |
| VAR (95 Confidence Intrvl) | 0.02 |
| Upperbound of 95% confidence interval for beta | 0.67 |
| Lowerbound of 95% confidence interval for alpha | -0.43 |
| Upperbound of 95% confidence interval for alpha | 1.07 |
| Treynor index (mean / b) | 0.82 |
| Jensen alpha (a) | 0.32 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.03 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
ORDER STATISTICS
| Number of observations | 9 |
|---|---|
| Minimum | 0.90 |
| Quartile 1 | 0.97 |
| Median | 1.01 |
| Quartile 3 | 1.07 |
| Maximum | 1.23 |
| Mean of quarter 1 | 0.95 |
| Mean of quarter 2 | 1.01 |
| Mean of quarter 3 | 1.06 |
| Mean of quarter 4 | 1.15 |
| Inter Quartile Range | 0.10 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.11 |
| Mean of outliers high | 1.23 |
| Extreme Value Index (moments method) | 0.30 |
| VaR(95%) (moments method) | 0.06 |
| Expected Shortfall (moments method) | 0.11 |
| Extreme Value Index (regression method) | 2.46 |
| VaR(95%) (regression method) | 0.17 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 206 |
| Minimum | 0.91 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.09 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.02 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 5 |
| Percentage of outliers low | 0.02 |
| Mean of outliers low | 0.95 |
| Number of outliers high | 7 |
| Percentage of outliers high | 0.03 |
| Mean of outliers high | 1.05 |
| Extreme Value Index (moments method) | 0.57 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.03 |
| Extreme Value Index (regression method) | 0.65 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.03 |
| Number of observations | 131 |
| Minimum | 0.91 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.09 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.02 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 4 |
| Percentage of outliers low | 0.03 |
| Mean of outliers low | 0.94 |
| Number of outliers high | 5 |
| Percentage of outliers high | 0.04 |
| Mean of outliers high | 1.06 |
| Extreme Value Index (moments method) | 0.70 |
| VaR(95%) (moments method) | 0.02 |
| Expected Shortfall (moments method) | 0.05 |
| Extreme Value Index (regression method) | 0.92 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.11 |
DRAW DOWN STATISTICS
| Number of observations | 2 |
|---|---|
| Minimum | 0.03 |
| Quartile 1 | 0.05 |
| Median | 0.08 |
| Quartile 3 | 0.10 |
| Maximum | 0.13 |
| Mean of quarter 1 | 0.03 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.13 |
| Inter Quartile Range | 0.05 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 13 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.01 |
| Quartile 3 | 0.05 |
| Maximum | 0.19 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.03 |
| Mean of quarter 4 | 0.11 |
| Inter Quartile Range | 0.04 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.08 |
| Mean of outliers high | 0.19 |
| Extreme Value Index (moments method) | 0.39 |
| VaR(95%) (moments method) | 0.12 |
| Expected Shortfall (moments method) | 0.22 |
| Extreme Value Index (regression method) | 3.92 |
| VaR(95%) (regression method) | 0.24 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 10 |
| Minimum | 0.01 |
| Quartile 1 | 0.01 |
| Median | 0.01 |
| Quartile 3 | 0.03 |
| Maximum | 0.19 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.01 |
| Mean of quarter 4 | 0.09 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.10 |
| Mean of outliers high | 0.19 |
| Extreme Value Index (moments method) | 0.36 |
| VaR(95%) (moments method) | 0.10 |
| Expected Shortfall (moments method) | 0.20 |
| Extreme Value Index (regression method) | 2.34 |
| VaR(95%) (regression method) | 0.27 |
| Expected Shortfall (regression method) | 0 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -1048601088 |
| Max Equity Drawdown (num days) | 120 |
| Last 4 Months - Pcnt Negative | 0.2% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.38 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.40 |
| Calmar ratio (compounded annual return / max draw down) | 3.15 |
| Compounded annual return / average of 25% largest draw downs | 3.15 |
| Compounded annual return / Expected Shortfall lognormal | 2.76 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.42 |
| Compounded annual return (geometric extrapolation) | 0.44 |
| Calmar ratio (compounded annual return / max draw down) | 2.35 |
| Compounded annual return / average of 25% largest draw downs | 3.94 |
| Compounded annual return / Expected Shortfall lognormal | 14.67 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.44 |
| Compounded annual return (geometric extrapolation) | 0.49 |
| Calmar ratio (compounded annual return / max draw down) | 2.63 |
| Compounded annual return / average of 25% largest draw downs | 5.27 |
| Compounded annual return / Expected Shortfall lognormal | 14.18 |
Trading record
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| SCSC | long | 54 | Nov 5, 2026 | Nov 6, 2026 | ($256) |
| MG | long | 152 | Nov 5, 2026 | Nov 6, 2026 | ($11) |
| JACK | long | 214 | Nov 5, 2026 | Nov 6, 2026 | ($87) |
| BPOP | long | 19 | Nov 4, 2026 | Nov 6, 2026 | ($98) |
| MATX | long | 14 | Nov 5, 2026 | Nov 6, 2026 | ($215) |
| CDP | long | 93 | Nov 5, 2026 | Nov 6, 2026 | ($110) |
| NRIM | long | 125 | Nov 5, 2026 | Nov 6, 2026 | ($162) |
| RBB | long | 116 | Nov 4, 2026 | Nov 5, 2026 | $13 |
| GDOT | long | 245 | Nov 2, 2026 | Nov 5, 2026 | $80 |
| FISI | long | 76 | Nov 4, 2026 | Nov 5, 2026 | $34 |
| HSIC | long | 36 | Nov 4, 2026 | Nov 5, 2026 | $199 |
| BKU | long | 69 | Nov 4, 2026 | Nov 5, 2026 | $80 |
| MPB | long | 87 | Nov 3, 2026 | Nov 5, 2026 | $83 |
| STT | long | 17 | Nov 3, 2026 | Nov 4, 2026 | $54 |
| OSCR | long | 97 | Nov 3, 2026 | Nov 4, 2026 | $460 |
| PBI | long | 186 | Nov 3, 2026 | Nov 4, 2026 | ($49) |
| SCSC | long | 53 | Nov 3, 2026 | Nov 4, 2026 | $56 |
| OFG | long | 59 | Nov 2, 2026 | Nov 4, 2026 | $111 |
| IVZ | long | 108 | Oct 30, 2026 | Nov 4, 2026 | $32 |
| PFG | long | 26 | Nov 2, 2026 | Nov 3, 2026 | ($5) |
| OSBC | long | 121 | Nov 2, 2026 | Nov 3, 2026 | $68 |
| RBB | long | 115 | Nov 2, 2026 | Nov 3, 2026 | $54 |
| UVSP | long | 75 | Oct 30, 2026 | Nov 3, 2026 | $115 |
| CASS | long | 56 | Nov 2, 2026 | Nov 3, 2026 | $70 |
| OGS | long | 38 | Oct 30, 2026 | Nov 2, 2026 | $19 |
| ASPN | long | 551 | Oct 30, 2026 | Nov 2, 2026 | ($5) |
| CNXN | long | 34 | Oct 30, 2026 | Nov 2, 2026 | $74 |
| LEA | long | 25 | Oct 30, 2026 | Nov 2, 2026 | $1 |
| MG | long | 147 | Oct 30, 2026 | Nov 2, 2026 | ($6) |
| EBF | long | 136 | Oct 30, 2026 | Nov 2, 2026 | ($60) |
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.