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For your consideration Adaptive Investments Rank on Leaderboard #1 Hypothetical

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QF Day Trader 3 Stocks

By AvcBvc

Stocks · Started May 2017

hypothetical · Annual Return (Compounded)
9.3%
Max Drawdown
8.6%
Trades
48
Win Trades
50.0%
Profit Factor
1.30
Win Months
1.7%

About this strategy

day trading system with stocks
No overnight Risk!!

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20170.01.84.7-4.40.00.00.00.01.9
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.00.0
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
20260.00.00.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began5/29/2017
Suggested Minimum Capital$35,000
Age115 months
What it tradesStocks
# Trades48
# Profitable24
% Profitable50.0%
Avg trade duration4.8 hours
Max peak-to-valley drawdown8.6%
drawdown periodJuly 20, 2017 - Aug 07, 2017
Cumul. Return2.3%
Avg win$304
Avg loss$240

Ratios

W:L ratio1.27
Sharpe Ratio-0.65
Sortino Ratio-0.91
Calmar Ratio0.43

CORRELATION STATISTICS

Correlation to SP500-0.00
Return Percent SP500 (cumu) during strategy life215.4%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)1.2%

Return Statistics

Ann Return (w trading costs)9.3%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)0.4%

Slump

Current Slump as Pcnt Equity7.2%
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 loss0.5%
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 Automated37.1%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)790
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$240
Avg Win$304
# Winners24
Sum Trade PL (losers)$5,760
Sum Trade PL (winners)$7,290
Num Months Winners3
# Losers24
% Winners50.0%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table115

Frequency

Avg Position Time (mins)287.38
Avg Position Time (hrs)4.79
Avg Trade Length0.20
Last Trade Ago3379

Regression

Alpha0
Beta0
Treynor Index46.04

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0.02
MAE:Equity, average, losing trades0.01
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.01
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades36.80
MAE:PL (avg, all trades)-1.34
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats86.22
MAE:PL - Winning Trades - this strat Percentile of All Strats65.46
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.73
Avg(MAE) / Avg(PL) - Losing trades-1.79
Hold-and-Hope Ratio0.03

RATIO STATISTICS

a (intercept, estimate of alpha)0.00
VAR (95 Confidence Intrvl)0.01

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)18
Last 4 Months - Pcnt Negative0.0%

Trading record

SymbolSideQtyOpenedClosedP/L
WMT long890Aug 9, 2017Aug 9, 2017$333
HON long521Aug 7, 2017Aug 7, 2017($161)
WMT long903Aug 4, 2017Aug 4, 2017($5)
HON long522Aug 3, 2017Aug 3, 2017$433
INTC long1979Aug 3, 2017Aug 3, 2017($176)
DIS long679Aug 2, 2017Aug 2, 2017($1,336)
BA long315Aug 1, 2017Aug 1, 2017($601)
BA long158Jul 28, 2017Jul 28, 2017$292
T long865Jul 28, 2017Jul 28, 2017($213)
HON long557Jul 27, 2017Jul 27, 2017($562)
DD long404Jul 26, 2017Jul 26, 2017($105)
CAT long338Jul 26, 2017Jul 26, 2017($108)
MCD long244Jul 26, 2017Jul 26, 2017($20)
HON long563Jul 25, 2017Jul 25, 2017$23
HON long283Jul 20, 2017Jul 20, 2017$103
MSFT long523Jul 20, 2017Jul 20, 2017$84
MSFT long1040Jul 18, 2017Jul 18, 2017($14)
AA long1289Jul 18, 2017Jul 18, 2017$413
IP long1314Jul 18, 2017Jul 18, 2017($150)
IP long1314Jul 18, 2017Jul 18, 2017$126
IP long1294Jul 17, 2017Jul 17, 2017$585
AXP long869Jul 14, 2017Jul 14, 2017$490
MCD long479Jul 13, 2017Jul 13, 2017($455)
AA long2152Jul 12, 2017Jul 12, 2017$173
CAT long686Jul 11, 2017Jul 11, 2017$396
JPM long786Jul 10, 2017Jul 10, 2017$65
JPM long778Jul 6, 2017Jul 6, 2017$482
IP long1271Jul 5, 2017Jul 5, 2017$211
UTX long593Jun 29, 2017Jun 29, 2017($218)
BA long364Jun 26, 2017Jun 26, 2017($469)

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.