Buy the Fear
- hypothetical · Annual Return (Compounded)
- 2.4%
- Max Drawdown
- 14.4%
- Trades
- 53
- Win Trades
- 64.2%
- Profit Factor
- 2.50
- Win Months
- 7.9%
About this strategy
Buy the Fear is a mean reversion, short term swing trading strategy. It trades very liquid 3x leveraged ETFS that tracks broad and market sectors (S&P 500, NASDAQ, Russell 2000, Financial Sector and Gold Miners Sector). The tickers used as vehicles to trade those sectors are UPRO, TQQQ, URTY, FAS, NUGT, DUST.
The main goal of the system is to indentify soft, medium and strong markets downturns to buy these leveraged ETFS and try to capitalize potentials markets rebounds in the short term (1 to 20 trading days). The strategy do not use stop loss, instead of this, it trades inverse correlated instruments that tracks short term volatility (VXX) and Bond Sector (TMV, TMF) to hedge the long positions.
Each ETF traded on the system has a fixed amount of capital to trade, although not always this amount is fully used. The strategy use a Scale In technique to enter the trades averaging down up to the maximum amount allocated to each ETF with the purpose of increase the win rate and reduce the portfolio drawdown and volatility.
When markets are trending up in low volatility environment, and there is no pullbacks to trade, the system use a trend follower strategy consisting on buying an inverse volatility instrument like SVXY to catch those slow and large markets uptrends.
Trading alerts are usually sent after market close. Minimum capital recommended: USD 20.000
Short-term Reversal
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2017 | -0.1 | 1.7 | -1.4 | 3.3 | 0.2 | 1.3 | -0.6 | 4.4 | |||||
| 2018 | -0.1 | 6.6 | 3.3 | 9.0 | 3.1 | -2.5 | 0.4 | -1.2 | -0.3 | 0.0 | 0.0 | 0.0 | 19.3 |
| 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 | 0.0 | 0.0 |
Statistics
Overview
| Strategy began | 6/30/2017 |
|---|---|
| Suggested Minimum Capital | $20,000 |
| Age | 114 months |
| What it trades | Stocks |
| # Trades | 53 |
| # Profitable | 34 |
| % Profitable | 64.2% |
| Avg trade duration | 19.2 days |
| Max peak-to-valley drawdown | 14.4% |
| drawdown period | Feb 07, 2018 - Feb 09, 2018 |
| Annual Return (Compounded) | 2.4% |
| Avg win | $286 |
| Avg loss | $202 |
Ratios
| W:L ratio | 2.53 |
|---|---|
| Sharpe Ratio | 0.08 |
| Sortino Ratio | 0.12 |
| Calmar Ratio | 1.33 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.12 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 204.4% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -189.4% |
Return Statistics
| Ann Return (w trading costs) | 2.4% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 2.8% |
Slump
| Current Slump as Pcnt Equity | 4.8% |
|---|---|
| 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 | 24.0% |
|---|---|
| Chance of 20% account loss | 3.0% |
| 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 | 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 | 1 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $202 |
|---|---|
| Avg Win | $286 |
| # Winners | 34 |
| Sum Trade PL (losers) | $3,839 |
| Sum Trade PL (winners) | $9,711 |
| Num Months Winners | 9 |
| # Losers | 19 |
| % Winners | 64.2% |
Dividends
| Dividends Received in Model Acct | 1 |
|---|
Age
| Num Months filled monthly returns table | 114 |
|---|
Frequency
| Avg Position Time (mins) | 27608.42 |
|---|---|
| Avg Position Time (hrs) | 460.14 |
| Avg Trade Length | 19.20 |
| Last Trade Ago | 2975 |
Regression
| Alpha | 0 |
|---|---|
| Beta | 0.04 |
| Treynor Index | 0.04 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.01 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.01 |
| MAE:Equity, average, losing trades | 0.01 |
| 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 | 2.34 |
| MAE:PL (avg, all trades) | -0.28 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 48.68 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 28.63 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.73 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.29 |
| Hold-and-Hope Ratio | 0.43 |
RATIO STATISTICS
| Mean | 0.12 |
|---|---|
| SD | 0.12 |
| Sharpe ratio (Glass type estimate) | 1.01 |
| Sharpe ratio (Hedges UMVUE) | 0.98 |
| df | 26 |
| t | 1.51 |
| p | 0.07 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.34 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.33 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.36 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.31 |
| Sortino ratio | 5.53 |
| Upside Potential Ratio | 6.76 |
| Upside part of mean | 0.15 |
| Downside part of mean | -0.03 |
| Upside SD | 0.12 |
| Downside SD | 0.02 |
| N nonnegative terms | 22 |
| N negative terms | 5 |
| N of observations | 27 |
| Mean of predictor | 0.58 |
| Mean of criterion | 0.12 |
| SD of predictor | 0.33 |
| SD of criterion | 0.12 |
| Covariance | -0.00 |
| r | -0.05 |
| b (slope, estimate of beta) | -0.02 |
| a (intercept, estimate of alpha) | 0.13 |
| Mean Square Error | 0.02 |
| DF error | 25 |
| t(b) | -0.23 |
| p(b) | 0.59 |
| t(a) | 1.42 |
| p(a) | 0.08 |
| Lowerbound of 95% confidence interval for beta | -0.17 |
| Upperbound of 95% confidence interval for beta | 0.13 |
| Lowerbound of 95% confidence interval for alpha | -0.06 |
| Upperbound of 95% confidence interval for alpha | 0.32 |
| Treynor index (mean / b) | -7.18 |
| Jensen alpha (a) | 0.13 |
| Mean | 0.11 |
| SD | 0.11 |
| Sharpe ratio (Glass type estimate) | 1.00 |
| Sharpe ratio (Hedges UMVUE) | 0.97 |
| df | 26 |
| t | 1.51 |
| p | 0.07 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.34 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.33 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.36 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.31 |
| Sortino ratio | 5.15 |
| Upside Potential Ratio | 6.38 |
| Upside part of mean | 0.14 |
| Downside part of mean | -0.03 |
| Upside SD | 0.11 |
| Downside SD | 0.02 |
| N nonnegative terms | 22 |
| N negative terms | 5 |
| N of observations | 27 |
| Mean of predictor | 0.52 |
| Mean of criterion | 0.11 |
| SD of predictor | 0.32 |
| SD of criterion | 0.11 |
| Covariance | -0.00 |
| r | -0.03 |
| b (slope, estimate of beta) | -0.01 |
| a (intercept, estimate of alpha) | 0.12 |
| Mean Square Error | 0.01 |
| DF error | 25 |
| t(b) | -0.15 |
| p(b) | 0.56 |
| t(a) | 1.40 |
| p(a) | 0.09 |
| Lowerbound of 95% confidence interval for beta | -0.16 |
| Upperbound of 95% confidence interval for beta | 0.14 |
| Lowerbound of 95% confidence interval for alpha | -0.06 |
| Upperbound of 95% confidence interval for alpha | 0.30 |
| Treynor index (mean / b) | -10.69 |
| Jensen alpha (a) | 0.12 |
| VaR(95%) | 0.04 |
| Expected Shortfall on VaR | 0.06 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.01 |
| Mean | 0.12 |
| SD | 0.12 |
| Sharpe ratio (Glass type estimate) | 1.00 |
| Sharpe ratio (Hedges UMVUE) | 1.00 |
| df | 590 |
| t | 1.51 |
| p | 0.07 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.30 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.31 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.30 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.31 |
| Sortino ratio | 1.60 |
| Upside Potential Ratio | 5.00 |
| Upside part of mean | 0.38 |
| Downside part of mean | -0.26 |
| Upside SD | 0.09 |
| Downside SD | 0.08 |
| N nonnegative terms | 468 |
| N negative terms | 123 |
| N of observations | 591 |
| Mean of predictor | 0.56 |
| Mean of criterion | 0.12 |
| SD of predictor | 0.32 |
| SD of criterion | 0.12 |
| Covariance | 0.00 |
| r | 0.12 |
| b (slope, estimate of beta) | 0.05 |
| a (intercept, estimate of alpha) | 0.10 |
| Mean Square Error | 0.01 |
| DF error | 589 |
| t(b) | 2.93 |
| p(b) | 0.00 |
| t(a) | 1.19 |
| p(a) | 0.12 |
| Lowerbound of 95% confidence interval for beta | 0.02 |
| Upperbound of 95% confidence interval for beta | 0.08 |
| Lowerbound of 95% confidence interval for alpha | -0.06 |
| Upperbound of 95% confidence interval for alpha | 0.25 |
| Treynor index (mean / b) | 2.67 |
| Jensen alpha (a) | 0.10 |
| Mean | 0.11 |
| SD | 0.12 |
| Sharpe ratio (Glass type estimate) | 0.95 |
| Sharpe ratio (Hedges UMVUE) | 0.95 |
| df | 590 |
| t | 1.42 |
| p | 0.08 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.36 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.25 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.36 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.25 |
| Sortino ratio | 1.47 |
| Upside Potential Ratio | 4.85 |
| Upside part of mean | 0.38 |
| Downside part of mean | -0.26 |
| Upside SD | 0.09 |
| Downside SD | 0.08 |
| N nonnegative terms | 468 |
| N negative terms | 123 |
| N of observations | 591 |
| Mean of predictor | 0.51 |
| Mean of criterion | 0.11 |
| SD of predictor | 0.32 |
| SD of criterion | 0.12 |
| Covariance | 0.00 |
| r | 0.12 |
| b (slope, estimate of beta) | 0.05 |
| a (intercept, estimate of alpha) | 0.09 |
| Mean Square Error | 0.01 |
| DF error | 589 |
| t(b) | 2.98 |
| p(b) | 0.00 |
| t(a) | 1.13 |
| p(a) | 0.13 |
| Lowerbound of 95% confidence interval for beta | 0.02 |
| Upperbound of 95% confidence interval for beta | 0.08 |
| Lowerbound of 95% confidence interval for alpha | -0.07 |
| Upperbound of 95% confidence interval for alpha | 0.25 |
| Treynor index (mean / b) | 2.48 |
| Jensen alpha (a) | 0.09 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.00 |
| Mean | 0 |
| 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 | 0 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | 0 |
| Upside SD | 0 |
| Downside SD | 0 |
| N nonnegative terms | 131 |
| N negative terms | 0 |
| N of observations | 131 |
| Mean of predictor | 1.22 |
| Mean of criterion | 0 |
| SD of predictor | 0.48 |
| 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 |
| 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 | 0 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | 0 |
| Upside SD | 0 |
| Downside SD | 0 |
| N nonnegative terms | 131 |
| N negative terms | 0 |
| N of observations | 131 |
| Mean of predictor | 1.10 |
| Mean of criterion | 0 |
| SD of predictor | 0.47 |
| 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 |
| VAR (95 Confidence Intrvl) | 0.01 |
| 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 |
| VaR(95%) | 0 |
| Expected Shortfall on VaR | 0 |
| VaR(95%) | 0 |
| Expected Shortfall on VaR | 0 |
ORDER STATISTICS
| Number of observations | 27 |
|---|---|
| Minimum | 0.97 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1.00 |
| Maximum | 1.15 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.05 |
| Inter Quartile Range | 0.00 |
| Number outliers low | 4 |
| Percentage of outliers low | 0.15 |
| Mean of outliers low | 0.98 |
| Number of outliers high | 5 |
| Percentage of outliers high | 0.19 |
| Mean of outliers high | 1.06 |
| Extreme Value Index (moments method) | -29.54 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.00 |
| Extreme Value Index (regression method) | -0.79 |
| VaR(95%) (regression method) | 0.02 |
| Expected Shortfall (regression method) | 0.03 |
| Number of observations | 591 |
| Minimum | 0.95 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1.00 |
| Maximum | 1.07 |
| Mean of quarter 1 | 1.00 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0.00 |
| Number outliers low | 88 |
| Percentage of outliers low | 0.15 |
| Mean of outliers low | 0.99 |
| Number of outliers high | 111 |
| Percentage of outliers high | 0.19 |
| Mean of outliers high | 1.01 |
| Extreme Value Index (moments method) | 0.90 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.03 |
| Extreme Value Index (regression method) | 0.64 |
| VaR(95%) (regression method) | 0.00 |
| Expected Shortfall (regression method) | 0.01 |
| 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 | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.01 |
| Quartile 3 | 0.02 |
| Maximum | 0.03 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.02 |
| Mean of quarter 4 | 0.03 |
| Inter Quartile Range | 0.01 |
| 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 | 20 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.00 |
| Quartile 3 | 0.02 |
| Maximum | 0.09 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.00 |
| Mean of quarter 3 | 0.02 |
| Mean of quarter 4 | 0.05 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 2 |
| Percentage of outliers high | 0.10 |
| Mean of outliers high | 0.09 |
| Extreme Value Index (moments method) | 0.21 |
| VaR(95%) (moments method) | 0.05 |
| Expected Shortfall (moments method) | 0.08 |
| Extreme Value Index (regression method) | -1.39 |
| VaR(95%) (regression method) | 0.05 |
| Expected Shortfall (regression method) | 0.06 |
| 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? | -433673056 |
| Max Equity Drawdown (num days) | 2 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.13 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.12 |
| Calmar ratio (compounded annual return / max draw down) | 4.85 |
| Compounded annual return / average of 25% largest draw downs | 4.85 |
| Compounded annual return / Expected Shortfall lognormal | 2.14 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.13 |
| Compounded annual return (geometric extrapolation) | 0.12 |
| Calmar ratio (compounded annual return / max draw down) | 1.33 |
| Compounded annual return / average of 25% largest draw downs | 2.32 |
| Compounded annual return / Expected Shortfall lognormal | 8.16 |
| 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
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| VXX | long | 39 | Aug 15, 2018 | Sep 10, 2018 | ($104) |
| TMV | short | 206 | Aug 21, 2018 | Sep 10, 2018 | ($161) |
| NUGT | long | 253 | Aug 14, 2018 | Aug 23, 2018 | ($60) |
| FAS | long | 19 | Aug 13, 2018 | Aug 22, 2018 | $46 |
| VXX | short | 85 | Jul 17, 2018 | Aug 15, 2018 | ($156) |
| TQQQ | long | 22 | Jul 31, 2018 | Aug 3, 2018 | $107 |
| TMV | short | 210 | May 30, 2018 | Jul 25, 2018 | ($42) |
| VXX | long | 33 | Jun 28, 2018 | Jul 17, 2018 | ($294) |
| FAS | long | 42 | Jun 27, 2018 | Jul 10, 2018 | $253 |
| TQQQ | long | 23 | Jun 26, 2018 | Jul 10, 2018 | $135 |
| URTY | long | 27 | Jun 26, 2018 | Jul 6, 2018 | $156 |
| VXX | short | 78 | Jun 5, 2018 | Jun 28, 2018 | ($484) |
| VXX | long | 35 | May 29, 2018 | Jun 5, 2018 | ($142) |
| SVXY | long | 254 | Apr 13, 2018 | May 29, 2018 | $252 |
| VXX | short | 1 | Apr 12, 2018 | May 29, 2018 | $9 |
| UPRO | long | 18 | Apr 25, 2018 | May 11, 2018 | $243 |
| FAS | long | 111 | Mar 23, 2018 | May 10, 2018 | $663 |
| TQQQ | long | 16 | Apr 25, 2018 | Apr 27, 2018 | $249 |
| TMF | long | 229 | Apr 18, 2018 | Apr 23, 2018 | ($328) |
| UPRO | long | 80 | Apr 3, 2018 | Apr 18, 2018 | $1,388 |
| TQQQ | long | 69 | Mar 20, 2018 | Apr 18, 2018 | $406 |
| TMV | short | 235 | Mar 27, 2018 | Apr 3, 2018 | $150 |
| UPRO | long | 80 | Mar 20, 2018 | Apr 2, 2018 | ($822) |
| TMV | short | 465 | Mar 14, 2018 | Mar 26, 2018 | $144 |
| VXX | long | 1 | Mar 22, 2018 | Mar 22, 2018 | ($2) |
| SVXY | long | 338 | Feb 27, 2018 | Mar 22, 2018 | ($494) |
| FAS | long | 50 | Mar 1, 2018 | Mar 12, 2018 | $464 |
| UPRO | long | 25 | Mar 2, 2018 | Mar 12, 2018 | $526 |
| TQQQ | long | 21 | Mar 2, 2018 | Mar 9, 2018 | $525 |
| VXX | short | 114 | Feb 26, 2018 | Feb 27, 2018 | ($11) |
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.