GIR Global Leaders
- hypothetical · Annual Return (Compounded)
- -1.5%
- Max Drawdown
- 54.7%
- Trades
- 167
- Win Trades
- 49.7%
- Profit Factor
- 1
- Win Months
- 11.4%
About this strategy
We Invest in individual stocks exclusively, of leading sectors of the markets utilizing primarily technical analysis, intermarket analysis and sentiment for investment decisions.
Our strategy can be summed up relatively easy.
1. We only invest in individual stocks.
2. We primarily utilize technical analysis to make investment decisions. In finance, technical analysis is a security analysis discipline used for forecasting the direction of prices through the study of past market data, primarily price and volume mostly through the use of charts.
3. We also utilize intermarket analysis in our decision making. Intermarket Analysis is the analysis of more than one related asset class or financial market to determine the strength or weakness of the financial markets or asset classes being considered. Instead of looking at financial markets or asset classes on an individual basis, this type of analysis looks at several strongly correlated markets or asset classes such as stocks, bonds and commodities.
4. We believe in letting our profits run but attempt to avoid large drawdowns. This could be more easily described as "Money Management".
5. We are not hyper traders and our average holding period will usually run about 2-4 weeks.
Our methodology has changed over the last few months and the resulting improvement in performance is reflected in the more recent results. Previously we were more engaged in selecting ETF's (Exchange Traded Funds) and trading more frequently. It is our belief that the change in methodology will result in improved performance and reduced drawdowns.
Since the transformation to trading primarily stocks on 01/01/2017, the maximum drawdown has been 10.7% and 6 out of 7 months (85.7%) from January 2017 through July 2017 have been profitable.
Our strategy can be summed up relatively easy.
1. We only invest in individual stocks.
2. We primarily utilize technical analysis to make investment decisions. In finance, technical analysis is a security analysis discipline used for forecasting the direction of prices through the study of past market data, primarily price and volume mostly through the use of charts.
3. We also utilize intermarket analysis in our decision making. Intermarket Analysis is the analysis of more than one related asset class or financial market to determine the strength or weakness of the financial markets or asset classes being considered. Instead of looking at financial markets or asset classes on an individual basis, this type of analysis looks at several strongly correlated markets or asset classes such as stocks, bonds and commodities.
4. We believe in letting our profits run but attempt to avoid large drawdowns. This could be more easily described as "Money Management".
5. We are not hyper traders and our average holding period will usually run about 2-4 weeks.
Our methodology has changed over the last few months and the resulting improvement in performance is reflected in the more recent results. Previously we were more engaged in selecting ETF's (Exchange Traded Funds) and trading more frequently. It is our belief that the change in methodology will result in improved performance and reduced drawdowns.
Since the transformation to trading primarily stocks on 01/01/2017, the maximum drawdown has been 10.7% and 6 out of 7 months (85.7%) from January 2017 through July 2017 have been profitable.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2016 | 4.0 | 3.8 | -10.7 | -7.7 | 37.9 | -20.6 | -2.4 | ||||||
| 2017 | 9.0 | 4.6 | 10.0 | 5.5 | 12.3 | -4.3 | 18.6 | -6.1 | -0.8 | 17.0 | -4.7 | -4.3 | 67.6 |
| 2018 | 6.6 | -18.3 | -8.3 | -10.3 | 0.2 | 6.7 | 0.0 | 0.0 | -5.8 | -13.4 | 0.6 | -17.2 | -47.9 |
| 2019 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2020 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2021 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2022 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2023 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2024 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2025 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2026 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
Statistics
Overview
| Strategy began | 7/5/2016 |
|---|---|
| Suggested Minimum Capital | $25,000 |
| Age | 125 months |
| What it trades | Stocks |
| # Trades | 167 |
| # Profitable | 83 |
| % Profitable | 49.7% |
| Avg trade duration | 19.4 days |
| Max peak-to-valley drawdown | 54.7% |
| drawdown period | Oct 23, 2017 - Dec 20, 2018 |
| Annual Return (Compounded) | -1.5% |
| Avg win | $780 |
| Avg loss | $793 |
Ratios
| W:L ratio | 0.98 |
|---|---|
| Sharpe Ratio | -0.14 |
| Sortino Ratio | -0.19 |
| Calmar Ratio | -0.03 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.10 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 274.0% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -289.2% |
Return Statistics
| Ann Return (w trading costs) | -1.5% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | -0.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | -0.5% |
Slump
| Current Slump as Pcnt Equity | 120.9% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.9% |
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 | 96.0% |
|---|---|
| Chance of 20% account loss | 79.0% |
| Chance of 30% account loss | 45.5% |
| Chance of 40% account loss | 18.5% |
| Chance of 50% account loss | 4.0% |
| 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 | 0.0% |
|---|
Popularity
| Popularity (Today) | 0 |
|---|---|
| Popularity (Last 6 weeks) | 0 |
| Popularity (7 days, Percentile 1000 scale) | 0 |
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $793 |
|---|---|
| Avg Win | $780 |
| # Winners | 83 |
| Sum Trade PL (losers) | $66,646 |
| Sum Trade PL (winners) | $64,723 |
| Num Months Winners | 14 |
| # Losers | 84 |
| % Winners | 49.7% |
Dividends
| Dividends Received in Model Acct | 586 |
|---|
Age
| Num Months filled monthly returns table | 124 |
|---|
Frequency
| Avg Position Time (mins) | 27986.60 |
|---|---|
| Avg Position Time (hrs) | 466.44 |
| Avg Trade Length | 19.40 |
| Last Trade Ago | 2847 |
Regression
| Alpha | -0.01 |
|---|---|
| Beta | 0.09 |
| Treynor Index | -0.08 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.02 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.01 |
| MAE:Equity, average, losing trades | 0.03 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.01 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | -6.23 |
| MAE:PL (avg, all trades) | -0.04 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 30.30 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 54.77 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.45 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.23 |
| Hold-and-Hope Ratio | -0.16 |
RATIO STATISTICS
| Mean | 0.02 |
|---|---|
| SD | 0.37 |
| Sharpe ratio (Glass type estimate) | 0.05 |
| Sharpe ratio (Hedges UMVUE) | 0.05 |
| df | 39 |
| t | 0.09 |
| p | 0.46 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.02 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.12 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.02 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.12 |
| Sortino ratio | 0.09 |
| Upside Potential Ratio | 2.14 |
| Upside part of mean | 0.45 |
| Downside part of mean | -0.43 |
| Upside SD | 0.30 |
| Downside SD | 0.21 |
| N nonnegative terms | 12 |
| N negative terms | 28 |
| N of observations | 40 |
| Mean of predictor | 0.41 |
| Mean of criterion | 0.02 |
| SD of predictor | 0.27 |
| SD of criterion | 0.37 |
| Covariance | 0.01 |
| r | 0.13 |
| b (slope, estimate of beta) | 0.18 |
| a (intercept, estimate of alpha) | -0.05 |
| Mean Square Error | 0.14 |
| DF error | 38 |
| t(b) | 0.79 |
| p(b) | 0.22 |
| t(a) | -0.24 |
| p(a) | 0.59 |
| Lowerbound of 95% confidence interval for beta | -0.28 |
| Upperbound of 95% confidence interval for beta | 0.63 |
| Lowerbound of 95% confidence interval for alpha | -0.51 |
| Upperbound of 95% confidence interval for alpha | 0.40 |
| Treynor index (mean / b) | 0.11 |
| Jensen alpha (a) | -0.05 |
| Mean | -0.04 |
| SD | 0.35 |
| Sharpe ratio (Glass type estimate) | -0.13 |
| Sharpe ratio (Hedges UMVUE) | -0.12 |
| df | 39 |
| t | -0.23 |
| p | 0.59 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.20 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.95 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.20 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.95 |
| Sortino ratio | -0.20 |
| Upside Potential Ratio | 1.84 |
| Upside part of mean | 0.41 |
| Downside part of mean | -0.45 |
| Upside SD | 0.27 |
| Downside SD | 0.22 |
| N nonnegative terms | 12 |
| N negative terms | 28 |
| N of observations | 40 |
| Mean of predictor | 0.37 |
| Mean of criterion | -0.04 |
| SD of predictor | 0.25 |
| SD of criterion | 0.35 |
| Covariance | 0.01 |
| r | 0.15 |
| b (slope, estimate of beta) | 0.22 |
| a (intercept, estimate of alpha) | -0.12 |
| Mean Square Error | 0.13 |
| DF error | 38 |
| t(b) | 0.96 |
| p(b) | 0.17 |
| t(a) | -0.59 |
| p(a) | 0.72 |
| Lowerbound of 95% confidence interval for beta | -0.24 |
| Upperbound of 95% confidence interval for beta | 0.67 |
| Lowerbound of 95% confidence interval for alpha | -0.55 |
| Upperbound of 95% confidence interval for alpha | 0.30 |
| Treynor index (mean / b) | -0.21 |
| Jensen alpha (a) | -0.12 |
| VaR(95%) | 0.16 |
| Expected Shortfall on VaR | 0.19 |
| VaR(95%) | 0.10 |
| Expected Shortfall on VaR | 0.17 |
| Mean | -0.01 |
| SD | 0.25 |
| Sharpe ratio (Glass type estimate) | -0.06 |
| Sharpe ratio (Hedges UMVUE) | -0.06 |
| df | 873 |
| t | -0.10 |
| p | 0.54 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.13 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.02 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.13 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.02 |
| Sortino ratio | -0.08 |
| Upside Potential Ratio | 6.81 |
| Upside part of mean | 1.17 |
| Downside part of mean | -1.18 |
| Upside SD | 0.18 |
| Downside SD | 0.17 |
| N nonnegative terms | 287 |
| N negative terms | 587 |
| N of observations | 874 |
| Mean of predictor | 0.41 |
| Mean of criterion | -0.01 |
| SD of predictor | 0.28 |
| SD of criterion | 0.25 |
| Covariance | 0.01 |
| r | 0.10 |
| b (slope, estimate of beta) | 0.09 |
| a (intercept, estimate of alpha) | -0.05 |
| Mean Square Error | 0.06 |
| DF error | 872 |
| t(b) | 3.11 |
| p(b) | 0.00 |
| t(a) | -0.38 |
| p(a) | 0.65 |
| Lowerbound of 95% confidence interval for beta | 0.03 |
| Upperbound of 95% confidence interval for beta | 0.15 |
| Lowerbound of 95% confidence interval for alpha | -0.32 |
| Upperbound of 95% confidence interval for alpha | 0.21 |
| Treynor index (mean / b) | -0.15 |
| Jensen alpha (a) | -0.05 |
| Mean | -0.04 |
| SD | 0.25 |
| Sharpe ratio (Glass type estimate) | -0.18 |
| Sharpe ratio (Hedges UMVUE) | -0.18 |
| df | 873 |
| t | -0.33 |
| p | 0.63 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.25 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.89 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.25 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.89 |
| Sortino ratio | -0.25 |
| Upside Potential Ratio | 6.60 |
| Upside part of mean | 1.15 |
| Downside part of mean | -1.19 |
| Upside SD | 0.17 |
| Downside SD | 0.17 |
| N nonnegative terms | 287 |
| N negative terms | 587 |
| N of observations | 874 |
| Mean of predictor | 0.37 |
| Mean of criterion | -0.04 |
| SD of predictor | 0.28 |
| SD of criterion | 0.25 |
| Covariance | 0.01 |
| r | 0.11 |
| b (slope, estimate of beta) | 0.09 |
| a (intercept, estimate of alpha) | -0.08 |
| Mean Square Error | 0.06 |
| DF error | 872 |
| t(b) | 3.20 |
| p(b) | 0.00 |
| t(a) | -0.59 |
| p(a) | 0.72 |
| Lowerbound of 95% confidence interval for beta | 0.04 |
| Upperbound of 95% confidence interval for beta | 0.15 |
| Lowerbound of 95% confidence interval for alpha | -0.34 |
| Upperbound of 95% confidence interval for alpha | 0.19 |
| Treynor index (mean / b) | -0.47 |
| Jensen alpha (a) | -0.08 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.03 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| Mean | -0.03 |
| SD | 0 |
| Sharpe ratio (Glass type estimate) | 0 |
| Sharpe ratio (Hedges UMVUE) | 0 |
| df | 0 |
| t | 0 |
| p | 0 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0 |
| Sortino ratio | -16.19 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | -0.03 |
| Upside SD | 0 |
| Downside SD | 0.00 |
| N nonnegative terms | 0 |
| N negative terms | 131 |
| N of observations | 131 |
| Mean of predictor | 1.32 |
| Mean of criterion | -0.03 |
| SD of predictor | 0.52 |
| SD of criterion | 0 |
| Covariance | 0 |
| r | 0 |
| b (slope, estimate of beta) | 0 |
| a (intercept, estimate of alpha) | 0 |
| Mean Square Error | 0 |
| DF error | 0 |
| t(b) | 0 |
| p(b) | 0 |
| t(a) | 0 |
| p(a) | 0 |
| Lowerbound of 95% confidence interval for beta | 0 |
| Upperbound of 95% confidence interval for beta | 0 |
| Lowerbound of 95% confidence interval for alpha | 0 |
| Upperbound of 95% confidence interval for alpha | 0 |
| Treynor index (mean / b) | 0 |
| Jensen alpha (a) | 0 |
| Mean | -0.03 |
| SD | 0 |
| Sharpe ratio (Glass type estimate) | -9.74841826823373e+15 |
| Sharpe ratio (Hedges UMVUE) | -9.69206937105203e+15 |
| df | 130 |
| t | -6893172865105920 |
| p | 1 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.08701574255084e+16 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | -8513981316595712 |
| Sortino ratio | -16.19 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | -0.03 |
| Upside SD | 0 |
| Downside SD | 0.00 |
| N nonnegative terms | 0 |
| N negative terms | 131 |
| N of observations | 131 |
| Mean of predictor | 1.19 |
| Mean of criterion | -0.03 |
| SD of predictor | 0.51 |
| SD of criterion | 0 |
| Covariance | 0 |
| r | 0 |
| b (slope, estimate of beta) | 0 |
| a (intercept, estimate of alpha) | -0.03 |
| Mean Square Error | 0 |
| DF error | 129 |
| t(b) | 0 |
| p(b) | 0.50 |
| t(a) | -6795938563620864 |
| p(a) | 1 |
| Lowerbound of 95% confidence interval for beta | 0 |
| VAR (95 Confidence Intrvl) | 0.03 |
| Upperbound of 95% confidence interval for beta | 0 |
| Lowerbound of 95% confidence interval for alpha | -0.03 |
| Upperbound of 95% confidence interval for alpha | -0.03 |
| Treynor index (mean / b) | -4.13820724041759e+32 |
| Jensen alpha (a) | -0.03 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.00 |
| VaR(95%) | 0 |
| Expected Shortfall on VaR | 0 |
ORDER STATISTICS
| Number of observations | 40 |
|---|---|
| Minimum | 0.84 |
| Quartile 1 | 0.92 |
| Median | 1 |
| Quartile 3 | 1.04 |
| Maximum | 1.36 |
| Mean of quarter 1 | 0.89 |
| Mean of quarter 2 | 0.97 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.15 |
| Inter Quartile Range | 0.12 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 3 |
| Percentage of outliers high | 0.07 |
| Mean of outliers high | 1.27 |
| Extreme Value Index (moments method) | 0.10 |
| VaR(95%) (moments method) | 0.12 |
| Expected Shortfall (moments method) | 0.14 |
| Extreme Value Index (regression method) | 0.30 |
| VaR(95%) (regression method) | 0.11 |
| Expected Shortfall (regression method) | 0.14 |
| Number of observations | 874 |
| Minimum | 0.92 |
| Quartile 1 | 1.00 |
| Median | 1 |
| Quartile 3 | 1.00 |
| Maximum | 1.14 |
| Mean of quarter 1 | 0.98 |
| 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 | 82 |
| Percentage of outliers low | 0.09 |
| Mean of outliers low | 0.97 |
| Number of outliers high | 80 |
| Percentage of outliers high | 0.09 |
| Mean of outliers high | 1.03 |
| Extreme Value Index (moments method) | 0.18 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.02 |
| Extreme Value Index (regression method) | -0.04 |
| VaR(95%) (regression method) | 0.02 |
| Expected Shortfall (regression method) | 0.02 |
| Number of observations | 131 |
| Minimum | 1 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1 |
| Mean of quarter 1 | 1 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1 |
| Inter Quartile Range | 0 |
| 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 |
DRAW DOWN STATISTICS
| Number of observations | 5 |
|---|---|
| Minimum | 0.09 |
| Quartile 1 | 0.13 |
| Median | 0.16 |
| Quartile 3 | 0.21 |
| Maximum | 0.51 |
| Mean of quarter 1 | 0.11 |
| Mean of quarter 2 | 0.16 |
| Mean of quarter 3 | 0.21 |
| Mean of quarter 4 | 0.51 |
| Inter Quartile Range | 0.07 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.20 |
| Mean of outliers high | 0.51 |
| 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 | 22 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.02 |
| Quartile 3 | 0.07 |
| Maximum | 0.52 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.04 |
| Mean of quarter 4 | 0.23 |
| Inter Quartile Range | 0.06 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 4 |
| Percentage of outliers high | 0.18 |
| Mean of outliers high | 0.29 |
| Extreme Value Index (moments method) | -2.72 |
| VaR(95%) (moments method) | 0.19 |
| Expected Shortfall (moments method) | 0.19 |
| Extreme Value Index (regression method) | -0.16 |
| VaR(95%) (regression method) | 0.31 |
| Expected Shortfall (regression method) | 0.41 |
| Number of observations | 0 |
| Minimum | 0 |
| Quartile 1 | 0 |
| Median | 0 |
| Quartile 3 | 0 |
| Maximum | 0 |
| Mean of quarter 1 | 0 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0 |
| Inter Quartile Range | 0 |
| 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 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -456068128 |
| Max Equity Drawdown (num days) | 423 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | -0.02 |
|---|---|
| Compounded annual return (geometric extrapolation) | -0.02 |
| Calmar ratio (compounded annual return / max draw down) | -0.03 |
| Compounded annual return / average of 25% largest draw downs | -0.03 |
| Compounded annual return / Expected Shortfall lognormal | -0.08 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.02 |
| Compounded annual return (geometric extrapolation) | -0.02 |
| Calmar ratio (compounded annual return / max draw down) | -0.03 |
| Compounded annual return / average of 25% largest draw downs | -0.07 |
| Compounded annual return / Expected Shortfall lognormal | -0.52 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0 |
| Compounded annual return (geometric extrapolation) | 0 |
| Calmar ratio (compounded annual return / max draw down) | 0 |
| Compounded annual return / average of 25% largest draw downs | 0 |
| Compounded annual return / Expected Shortfall lognormal | 0 |
Trading record
Placed 3 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| UNH | long | 41 | Oct 16, 2018 | Dec 20, 2018 | ($1,142) |
| PRAH | long | 100 | Nov 29, 2018 | Dec 14, 2018 | ($1,403) |
| EEFT | long | 93 | Nov 30, 2018 | Dec 14, 2018 | ($1,589) |
| PSQ | long | 339 | Nov 20, 2018 | Nov 30, 2018 | ($583) |
| BA | long | 27 | Sep 28, 2018 | Oct 11, 2018 | ($308) |
| GNRC | long | 230 | Sep 10, 2018 | Oct 11, 2018 | ($893) |
| UBNT | long | 146 | Sep 7, 2018 | Oct 9, 2018 | ($661) |
| APH | long | 140 | Sep 10, 2018 | Oct 5, 2018 | ($794) |
| ODFL | long | 81 | Sep 6, 2018 | Oct 5, 2018 | ($1,108) |
| ECHO | long | 384 | Sep 10, 2018 | Sep 28, 2018 | ($1,621) |
| LH | long | 66 | May 25, 2018 | Jun 25, 2018 | $270 |
| WTW | long | 179 | May 14, 2018 | Jun 25, 2018 | $3,528 |
| ECHO | long | 339 | Jun 13, 2018 | Jun 25, 2018 | ($261) |
| BOX | long | 607 | Jun 20, 2018 | Jun 22, 2018 | ($1,547) |
| LPLA | long | 179 | May 8, 2018 | Jun 19, 2018 | $299 |
| ZTO | long | 672 | May 24, 2018 | Jun 19, 2018 | $983 |
| IPGP | long | 41 | Jun 6, 2018 | Jun 7, 2018 | ($349) |
| MU | long | 181 | May 30, 2018 | Jun 6, 2018 | ($907) |
| DQ | long | 184 | May 16, 2018 | May 30, 2018 | ($379) |
| AKAM | long | 158 | May 22, 2018 | May 25, 2018 | ($90) |
| BCC | long | 270 | May 21, 2018 | May 24, 2018 | ($32) |
| CTAS | long | 67 | May 9, 2018 | May 22, 2018 | $292 |
| SPLK | long | 106 | May 8, 2018 | May 21, 2018 | $393 |
| SPGI | long | 61 | May 9, 2018 | May 16, 2018 | $8 |
| TAL | long | 342 | May 11, 2018 | May 14, 2018 | ($298) |
| HOME | long | 395 | Apr 5, 2018 | May 11, 2018 | $928 |
| DTYS | long | 505 | Apr 25, 2018 | May 3, 2018 | ($510) |
| WING | long | 269 | Apr 16, 2018 | May 2, 2018 | ($438) |
| FLT | long | 63 | Apr 18, 2018 | Apr 25, 2018 | ($699) |
| GWW | long | 44 | Apr 19, 2018 | Apr 25, 2018 | ($1,266) |
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.