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For your consideration Easy Value Rank on Leaderboard #1 Hypothetical

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Golden Volatility

By JohnSnow2019

Stocks · Started May 2017

hypothetical · Annual Return (Compounded)
-0.4%
Max Drawdown
14.4%
Trades
43
Win Trades
46.5%
Profit Factor
1.10
Win Months
1.8%

About this strategy

This is a long strategy that switches asset allocations between stocks, gold, XIV, and other assets when deemed necessary. This strategy does not intend to take short positions and any significant use of margin is simply because of discrepancies between my actual brokerage account balance and the simulated balance.

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20170.2-7.77.70.00.00.00.00.0-0.4
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.0
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 began5/28/2017
Suggested Minimum Capital$10,000
Age114 months
What it tradesStocks
# Trades43
# Profitable20
% Profitable46.5%
Avg trade duration4.4 days
Max peak-to-valley drawdown14.4%
drawdown periodJune 26, 2017 - July 06, 2017
Cumul. Return-0.1%
Avg win$69
Avg loss$56

Ratios

W:L ratio1.07
Sharpe Ratio-0.43
Sortino Ratio-0.52
Calmar Ratio0.06

CORRELATION STATISTICS

Correlation to SP5000.03
Return Percent SP500 (cumu) during strategy life215.6%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-1.8%

Return Statistics

Ann Return (w trading costs)-0.4%
Return Pcnt (Compound or Annual, age-based, NFA compliant)-0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)0.1%

Slump

Current Slump as Pcnt Equity2.7%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Percent Trades Stocks1.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss27.5%
Chance of 20% account loss0.0%
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)0
Popularity (Last 6 weeks)475
Popularity (7 days, Percentile 1000 scale)0

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$56
Avg Win$69
# Winners20
Sum Trade PL (losers)$1,288
Sum Trade PL (winners)$1,371
Num Months Winners2
# Losers23
% Winners46.5%

Dividends

Dividends Received in Model Acct13

Age

Num Months filled monthly returns table114

Frequency

Avg Position Time (mins)6287.28
Avg Position Time (hrs)104.79
Avg Trade Length4.40
Last Trade Ago3383

Regression

Alpha-0.01
Beta0.01
Treynor Index-0.81

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0.11
MAE:Equity, average, losing trades0.01
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-1.76
MAE:PL (avg, all trades)-0.64
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats40.75
MAE:PL - Winning Trades - this strat Percentile of All Strats30.80
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.94
Avg(MAE) / Avg(PL) - Losing trades-1.48
Hold-and-Hope Ratio-0.56

RATIO STATISTICS

a (intercept, estimate of alpha)-0.02
VAR (95 Confidence Intrvl)0.01

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)10
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 89 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
XIV long114Jun 29, 2017Jul 17, 2017$1,035
IAU long666Jun 29, 2017Jun 29, 2017($11)
XIV long179Jun 15, 2017Jun 29, 2017($675)
XIV long123Jun 13, 2017Jun 15, 2017($207)
HTHIY long16Jun 9, 2017Jun 13, 2017$1
SORL long352Jun 9, 2017Jun 13, 2017($160)
LPL long81Jun 13, 2017Jun 13, 2017$3
AFLYY long230Jun 9, 2017Jun 13, 2017($19)
XIV long63Jun 12, 2017Jun 13, 2017$189
FCAU long32Jun 12, 2017Jun 13, 2017$10
LPL long81Jun 9, 2017Jun 13, 2017$46
SDLP long132Jun 9, 2017Jun 12, 2017$9
PFGC long14Jun 9, 2017Jun 12, 2017($3)
IMOS long8Jun 9, 2017Jun 12, 2017($0)
SAUC long161Jun 9, 2017Jun 12, 2017($24)
KELYA long40Jun 9, 2017Jun 12, 2017($7)
MHO long18Jun 9, 2017Jun 12, 2017($5)
AMAT long21Jun 9, 2017Jun 12, 2017($73)
RRD long46May 31, 2017Jun 9, 2017($1)
MCK long3May 31, 2017Jun 9, 2017($3)
FCAU long40May 31, 2017Jun 9, 2017$10
CBI long23May 31, 2017Jun 9, 2017($75)
CAH long6May 31, 2017Jun 9, 2017$2
AN long11May 31, 2017Jun 9, 2017$2
ABC long5May 31, 2017Jun 9, 2017($1)
GLD long6May 31, 2017Jun 9, 2017($2)
USCI long20May 31, 2017Jun 9, 2017($12)
BIV long18May 31, 2017Jun 9, 2017($3)
TLO long56May 31, 2017Jun 9, 2017($14)
MCK long2May 30, 2017May 31, 2017$5

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.