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Old Strat1

Equity · Stocks · Started Jan 2016

hypothetical · Annual Return (Compounded)
29.5%
Max Drawdown
27.2%
Trades
28
Win Trades
71.4%
Profit Factor
4
Win Months
17.1%

About this strategy

Welcome to my strategy, investor or trader. My goal is to try to answer this question "What is the US market doing?”, and act appropriately. I am talking about a trend-following methodology. This approach is not perfect, but it is rational because it respond to what prices are doing, not what we think they ought to be doing. To do this, I analyze and evaluate different things before making the decision, for example market trend indicators, economic indicators, sentiment surveys and seasonal patterns. About time duration I look at different time frames, small, medium and large, because each one depends on the other. In 90% of the time, I remain calm and follow the bigger trend off the larger time frame. There is also a second goal, which is getting the maximum return on investment with the lowest possible maximum drawdown. To do this, I try to avoid taking large positions most of the time. Of course these are goals only. No performance can be guaranteed. Generally, these are intermediate-term investments (weeks to months), but I also can do short-term trades. Good luck and good trading!

Trend-following

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20163.2-1.69.5-2.6-0.8-2.17.31.70.3-8.016.74.228.9
2017-0.92.6-1.01.0-4.85.60.9-3.210.41.14.10.316.2
2018-0.6-0.6-0.6-3.112.28.68.8-0.23.1-14.416.94.335.4
20190.80.00.00.00.00.00.00.00.00.00.00.8
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began1/21/2016
Suggested Minimum Capital$10,000
Age130 months
What it tradesStocks
# Trades28
# Profitable20
% Profitable71.4%
Avg trade duration40.9 days
Max peak-to-valley drawdown27.2%
drawdown periodSept 25, 2018 - Oct 26, 2018
Annual Return (Compounded)29.5%
Avg win$932
Avg loss$584

Ratios

W:L ratio3.99
Sharpe Ratio0.42
Sortino Ratio0.69
Calmar Ratio1.40

CORRELATION STATISTICS

Correlation to SP5000.13
Return Percent SP500 (cumu) during strategy life317.5%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)77.8%

Return Statistics

Ann Return (w trading costs)29.5%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.3%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)8.5%

Slump

Current Slump as Pcnt Equity2.7%
Current Slump, time of slump as pcnt of strategy life0.8%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Short Options - Percent Covered100.0%
Percent Trades Stocks1.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss17.5%
Chance of 20% account loss4.0%
Chance of 30% account loss0.0%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
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 Automated0.0%

Popularity

Popularity (Today)519
Popularity (Last 6 weeks)922
Popularity (7 days, Percentile 1000 scale)891

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$584
Avg Win$932
# Winners20
Sum Trade PL (losers)$4,668
Sum Trade PL (winners)$18,643
Num Months Winners22
# Losers8
% Winners71.4%

Dividends

Dividends Received in Model Acct2

Age

Num Months filled monthly returns table130

Frequency

Avg Position Time (mins)58843.40
Avg Position Time (hrs)980.72
Avg Trade Length40.90
Last Trade Ago2826

Regression

Alpha0.01
Beta0.08
Treynor Index0.18

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.03
MAE:Equity, 95th Percentile Value for this strat0.03
MAE:Equity, average, losing trades0.04
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.02
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades1.99
MAE:PL (avg, all trades)-0.92
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats70.09
MAE:PL - Winning Trades - this strat Percentile of All Strats12.85
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.59
Avg(MAE) / Avg(PL) - Losing trades-1.34
Hold-and-Hope Ratio0.50

RATIO STATISTICS

Mean0.39
SD0.23
Sharpe ratio (Glass type estimate)1.74
Sharpe ratio (Hedges UMVUE)1.69
df25
t2.57
p0.01
Lowerbound of 95% confidence interval for Sharpe Ratio0.31
Upperbound of 95% confidence interval for Sharpe Ratio3.14
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.28
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.10
Sortino ratio5.37
Upside Potential Ratio6.84
Upside part of mean0.50
Downside part of mean-0.11
Upside SD0.24
Downside SD0.07
N nonnegative terms16
N negative terms10
N of observations26
Mean of predictor0.13
Mean of criterion0.39
SD of predictor0.11
SD of criterion0.23
Covariance0.02
r0.61
b (slope, estimate of beta)1.23
a (intercept, estimate of alpha)0.23
Mean Square Error0.03
DF error24
t(b)3.76
p(b)0.00
t(a)1.77
p(a)0.05
Lowerbound of 95% confidence interval for beta0.55
Upperbound of 95% confidence interval for beta1.90
Lowerbound of 95% confidence interval for alpha-0.04
Upperbound of 95% confidence interval for alpha0.50
Treynor index (mean / b)0.32
Jensen alpha (a)0.23
Mean0.36
SD0.21
Sharpe ratio (Glass type estimate)1.70
Sharpe ratio (Hedges UMVUE)1.65
df25
t2.51
p0.01
Lowerbound of 95% confidence interval for Sharpe Ratio0.28
Upperbound of 95% confidence interval for Sharpe Ratio3.10
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.24
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.06
Sortino ratio4.84
Upside Potential Ratio6.31
Upside part of mean0.47
Downside part of mean-0.11
Upside SD0.22
Downside SD0.08
N nonnegative terms16
N negative terms10
N of observations26
Mean of predictor0.12
Mean of criterion0.36
SD of predictor0.11
SD of criterion0.21
Covariance0.01
r0.60
b (slope, estimate of beta)1.16
a (intercept, estimate of alpha)0.22
Mean Square Error0.03
DF error24
t(b)3.68
p(b)0.00
t(a)1.76
p(a)0.05
Lowerbound of 95% confidence interval for beta0.51
Upperbound of 95% confidence interval for beta1.81
Lowerbound of 95% confidence interval for alpha-0.04
Upperbound of 95% confidence interval for alpha0.48
Treynor index (mean / b)0.31
Jensen alpha (a)0.22
VaR(95%)0.07
Expected Shortfall on VaR0.09
VaR(95%)0.02
Expected Shortfall on VaR0.04
Mean0.39
SD0.21
Sharpe ratio (Glass type estimate)1.83
Sharpe ratio (Hedges UMVUE)1.82
df585
t2.73
p0.00
Lowerbound of 95% confidence interval for Sharpe Ratio0.51
Upperbound of 95% confidence interval for Sharpe Ratio3.14
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.51
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.14
Sortino ratio2.97
Upside Potential Ratio10.07
Upside part of mean1.31
Downside part of mean-0.92
Upside SD0.17
Downside SD0.13
N nonnegative terms275
N negative terms311
N of observations586
Mean of predictor0.13
Mean of criterion0.39
SD of predictor0.15
SD of criterion0.21
Covariance0.01
r0.32
b (slope, estimate of beta)0.45
a (intercept, estimate of alpha)0.23
Mean Square Error0.04
DF error584
t(b)8.19
p(b)0
t(a)2.44
p(a)0.01
Lowerbound of 95% confidence interval for beta0.34
Upperbound of 95% confidence interval for beta0.56
Lowerbound of 95% confidence interval for alpha0.06
Upperbound of 95% confidence interval for alpha0.59
Treynor index (mean / b)0.85
Jensen alpha (a)0.33
Mean0.36
SD0.21
Sharpe ratio (Glass type estimate)1.73
Sharpe ratio (Hedges UMVUE)1.73
df585
t2.59
p0.00
Lowerbound of 95% confidence interval for Sharpe Ratio0.41
Upperbound of 95% confidence interval for Sharpe Ratio3.04
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.41
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.04
Sortino ratio2.76
Upside Potential Ratio9.81
Upside part of mean1.29
Downside part of mean-0.93
Upside SD0.16
Downside SD0.13
N nonnegative terms275
N negative terms311
N of observations586
Mean of predictor0.12
Mean of criterion0.36
SD of predictor0.15
SD of criterion0.21
Covariance0.01
r0.32
b (slope, estimate of beta)0.45
a (intercept, estimate of alpha)0.31
Mean Square Error0.04
DF error584
t(b)8.23
p(b)0
t(a)2.33
p(a)0.01
Lowerbound of 95% confidence interval for beta0.34
Upperbound of 95% confidence interval for beta0.56
Lowerbound of 95% confidence interval for alpha0.05
Upperbound of 95% confidence interval for alpha0.57
Treynor index (mean / b)0.81
Jensen alpha (a)0.31
VaR(95%)0.02
Expected Shortfall on VaR0.03
VaR(95%)0.01
Expected Shortfall on VaR0.02
Mean0.27
SD0.27
Sharpe ratio (Glass type estimate)1.01
Sharpe ratio (Hedges UMVUE)1.01
df130
t0.72
p0.47
Lowerbound of 95% confidence interval for Sharpe Ratio-1.76
Upperbound of 95% confidence interval for Sharpe Ratio3.79
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.77
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.78
Sortino ratio1.65
Upside Potential Ratio9.31
Upside part of mean1.54
Downside part of mean-1.27
Upside SD0.21
Downside SD0.17
N nonnegative terms61
N negative terms70
N of observations131
Mean of predictor-0.16
Mean of criterion0.27
SD of predictor0.19
SD of criterion0.27
Covariance0.01
r0.17
b (slope, estimate of beta)0.24
a (intercept, estimate of alpha)0.31
Mean Square Error0.07
DF error129
t(b)1.91
p(b)0.39
t(a)0.82
p(a)0.45
Lowerbound of 95% confidence interval for beta-0.01
Upperbound of 95% confidence interval for beta0.49
Lowerbound of 95% confidence interval for alpha-0.44
Upperbound of 95% confidence interval for alpha1.06
Treynor index (mean / b)1.14
Jensen alpha (a)0.31
Mean0.24
SD0.27
Sharpe ratio (Glass type estimate)0.89
Sharpe ratio (Hedges UMVUE)0.88
df130
t0.63
p0.47
Lowerbound of 95% confidence interval for Sharpe Ratio-1.89
Upperbound of 95% confidence interval for Sharpe Ratio3.66
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.89
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.66
Sortino ratio1.41
Upside Potential Ratio9.04
Upside part of mean1.52
Downside part of mean-1.28
Upside SD0.21
Downside SD0.17
N nonnegative terms61
N negative terms70
N of observations131
Mean of predictor-0.17
Mean of criterion0.24
SD of predictor0.19
SD of criterion0.27
Covariance0.01
r0.17
b (slope, estimate of beta)0.24
a (intercept, estimate of alpha)0.28
Mean Square Error0.07
DF error129
t(b)1.93
p(b)0.39
t(a)0.75
p(a)0.46
Lowerbound of 95% confidence interval for beta-0.01
VAR (95 Confidence Intrvl)0.02
Upperbound of 95% confidence interval for beta0.49
Lowerbound of 95% confidence interval for alpha-0.46
Upperbound of 95% confidence interval for alpha1.02
Treynor index (mean / b)0.99
Jensen alpha (a)0.28
VaR(95%)0.03
Expected Shortfall on VaR0.03
VaR(95%)0.01
Expected Shortfall on VaR0.02

ORDER STATISTICS

Number of observations26
Minimum0.93
Quartile 11
Median1.02
Quartile 31.06
Maximum1.20
Mean of quarter 10.97
Mean of quarter 21.01
Mean of quarter 31.04
Mean of quarter 41.12
Inter Quartile Range0.06
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high2
Percentage of outliers high0.08
Mean of outliers high1.18
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)-0.49
VaR(95%) (regression method)0.03
Expected Shortfall (regression method)0.04
Number of observations586
Minimum0.93
Quartile 11.00
Median1
Quartile 31.01
Maximum1.08
Mean of quarter 10.99
Mean of quarter 21.00
Mean of quarter 31.00
Mean of quarter 41.02
Inter Quartile Range0.01
Number outliers low16
Percentage of outliers low0.03
Mean of outliers low0.97
Number of outliers high16
Percentage of outliers high0.03
Mean of outliers high1.04
Extreme Value Index (moments method)0.10
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0.02
Extreme Value Index (regression method)0.05
VaR(95%) (regression method)0.01
Expected Shortfall (regression method)0.02
Number of observations131
Minimum0.95
Quartile 11.00
Median1
Quartile 31.01
Maximum1.08
Mean of quarter 10.98
Mean of quarter 21.00
Mean of quarter 31.00
Mean of quarter 41.02
Inter Quartile Range0.01
Number outliers low8
Percentage of outliers low0.06
Mean of outliers low0.97
Number of outliers high8
Percentage of outliers high0.06
Mean of outliers high1.04
Extreme Value Index (moments method)-0.93
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0.01
Extreme Value Index (regression method)-0.21
VaR(95%) (regression method)0.02
Expected Shortfall (regression method)0.02

DRAW DOWN STATISTICS

Number of observations4
Minimum0.01
Quartile 10.03
Median0.05
Quartile 30.07
Maximum0.09
Mean of quarter 10.01
Mean of quarter 20.04
Mean of quarter 30.07
Mean of quarter 40.09
Inter Quartile Range0.04
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
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 observations37
Minimum0.00
Quartile 10.00
Median0.02
Quartile 30.04
Maximum0.23
Mean of quarter 10.00
Mean of quarter 20.01
Mean of quarter 30.03
Mean of quarter 40.09
Inter Quartile Range0.03
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high3
Percentage of outliers high0.08
Mean of outliers high0.14
Extreme Value Index (moments method)-0.70
VaR(95%) (moments method)0.09
Expected Shortfall (moments method)0.10
Extreme Value Index (regression method)-0.17
VaR(95%) (regression method)0.10
Expected Shortfall (regression method)0.12
Number of observations9
Minimum0.00
Quartile 10.00
Median0.02
Quartile 30.04
Maximum0.23
Mean of quarter 10.00
Mean of quarter 20.01
Mean of quarter 30.03
Mean of quarter 40.14
Inter Quartile Range0.03
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.11
Mean of outliers high0.23
Extreme Value Index (moments method)0.24
VaR(95%) (moments method)0.11
Expected Shortfall (moments method)0.19
Extreme Value Index (regression method)1.98
VaR(95%) (regression method)0.37
Expected Shortfall (regression method)0
Strat Max DD how much worse than SP500 max DD during strat life?-25
Max Equity Drawdown (num days)31
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.62
Compounded annual return (geometric extrapolation)0.48
Calmar ratio (compounded annual return / max draw down)5.26
Compounded annual return / average of 25% largest draw downs5.26
Compounded annual return / Expected Shortfall lognormal5.21
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.62
Compounded annual return (geometric extrapolation)0.48
Calmar ratio (compounded annual return / max draw down)2.08
Compounded annual return / average of 25% largest draw downs5.11
Compounded annual return / Expected Shortfall lognormal19.11
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.28
Compounded annual return (geometric extrapolation)0.30
Calmar ratio (compounded annual return / max draw down)1.32
Compounded annual return / average of 25% largest draw downs2.11
Compounded annual return / Expected Shortfall lognormal9.32

Trading record

Placed 85 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
URTY long50Jan 7, 2019Jan 10, 2019$218
NUGT long500Dec 27, 2018Jan 10, 2019$251
NUGT long500Dec 4, 2018Dec 21, 2018$716
URTY long200Nov 28, 2018Nov 29, 2018$775
URTY long175Nov 13, 2018Nov 27, 2018($119)
URTY long200Nov 1, 2018Nov 2, 2018$266
TNDM long750Sep 24, 2018Nov 2, 2018$1,256
IIN long600Sep 24, 2018Oct 24, 2018($3,657)
EGO long1200Oct 1, 2018Oct 23, 2018($30)
NUGT long599Sep 25, 2018Oct 15, 2018$852
CDNA long80Sep 20, 2018Sep 21, 2018($42)
IIN long35Sep 20, 2018Sep 21, 2018$137
TNDM long100Sep 19, 2018Sep 21, 2018$412
TQQQ long200Sep 19, 2018Sep 21, 2018$571
RWM long750Aug 15, 2018Sep 19, 2018($37)
ARWR long150Aug 10, 2018Aug 15, 2018($260)
QLD long75Aug 8, 2018Aug 15, 2018($267)
URTY long75Aug 8, 2018Aug 15, 2018($295)
TNDM long400Aug 8, 2018Aug 15, 2018$169
IIN long100Aug 8, 2018Aug 15, 2018$127
RWM long250Aug 7, 2018Aug 8, 2018$25
URTY long240May 10, 2018Aug 7, 2018$1,491
QLD long20Jul 12, 2018Aug 7, 2018$61
TNDM long95May 29, 2018Aug 7, 2018$1,568
IIN long50May 29, 2018Aug 7, 2018$1,577
URTY long130Apr 30, 2018May 10, 2018$902
URTY long130Jun 2, 2016Dec 22, 2017$5,967
URTY long80Jan 21, 2016Apr 5, 2016$1,212

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.