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For your consideration Adaptive Investments Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

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EarningsTradingQuant

By johnkur

Equity · Stocks · Started Sep 2017

hypothetical · Annual Return (Compounded)
3.9%
Max Drawdown
34.9%
Trades
1612
Win Trades
50.7%
Profit Factor
1.10
Win Months
9.0%

About this strategy

Trading System “EarningsTradingQuant”
is an automated trading system that buys stocks the day before earnings releases and keep the trades for just one day. I create this system after quantitative analysis of earnings releases the last five years. To open a position the system takes into consideration the stock’s previous earnings announcement, the market reaction of the previous announcement and the stock price movement the last three months.

Characteristics of the system:
Full automated trading system.
Open the positions at close price the day before earnings releases and close them at the close price the next day.
Takes long positions.
Trade stocks with capitalization over 500 million dollars
Full margin can be used.
Every stock’s position size is maximum $6,000.
-The return target is 7% per month based on the hypothetical performance of 5-year backtesting. Backtesting data is hypothetical and it has not been verified by C2

Suggested minimum investment horizon: 3-6 months

I'm available to answer any questions or concerns

Event-driven

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20172.329.1-1.24.336.0
2018-1.37.8-1.8-0.60.211.6-14.427.3-8.4-6.7-11.4-7.2-11.1
201917.720.47.3-15.3-9.30.00.00.00.00.00.00.017.0
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 began9/21/2017
Suggested Minimum Capital$15,000
Age111 months
What it tradesStocks
# Trades1612
# Profitable818
% Profitable50.7%
Avg trade duration1.1 days
Max peak-to-valley drawdown34.9%
drawdown periodAug 22, 2018 - Jan 18, 2019
Annual Return (Compounded)3.9%
Avg win$317
Avg loss$304

Ratios

W:L ratio1.08
Sharpe Ratio0.17
Sortino Ratio0.28
Calmar Ratio0.48

CORRELATION STATISTICS

Correlation to SP5000.01
Return Percent SP500 (cumu) during strategy life204.3%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-162.3%

Return Statistics

Ann Return (w trading costs)3.9%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)6.2%

Slump

Current Slump as Pcnt Equity33.8%
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 loss38.5%
Chance of 20% account loss10.5%
Chance of 30% account loss1.5%
Chance of 40% account loss0.5%
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 Automated98.7%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)0
Popularity (7 days, Percentile 1000 scale)0

Trading Style

Any stock shorts? 0/11

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$304
Avg Win$317
# Winners818
Sum Trade PL (losers)$241,237
Sum Trade PL (winners)$259,162
Num Months Winners10
# Losers794
% Winners50.7%

Dividends

Dividends Received in Model Acct205

Age

Num Months filled monthly returns table111

Frequency

Avg Position Time (mins)1514.07
Avg Position Time (hrs)25.23
Avg Trade Length1.10
Last Trade Ago2740

Regression

Alpha0.01
Beta0.01
Treynor Index1.59

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
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades51.89
MAE:PL (avg, all trades)-0.70
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats53.54
MAE:PL - Winning Trades - this strat Percentile of All Strats39.40
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.30
Avg(MAE) / Avg(PL) - Losing trades-1.45
Hold-and-Hope Ratio0.02

RATIO STATISTICS

Mean0.16
SD0.25
Sharpe ratio (Glass type estimate)0.61
Sharpe ratio (Hedges UMVUE)0.60
df51
t1.27
p0.10
Lowerbound of 95% confidence interval for Sharpe Ratio-0.34
Upperbound of 95% confidence interval for Sharpe Ratio1.56
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.35
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.55
Sortino ratio1.48
Upside Potential Ratio2.69
Upside part of mean0.28
Downside part of mean-0.13
Upside SD0.23
Downside SD0.10
N nonnegative terms42
N negative terms10
N of observations52
Mean of predictor0.27
Mean of criterion0.16
SD of predictor0.22
SD of criterion0.25
Covariance0.01
r0.10
b (slope, estimate of beta)0.12
a (intercept, estimate of alpha)0.12
Mean Square Error0.07
DF error50
t(b)0.74
p(b)0.23
t(a)0.93
p(a)0.18
Lowerbound of 95% confidence interval for beta-0.21
Upperbound of 95% confidence interval for beta0.45
Lowerbound of 95% confidence interval for alpha-0.14
Upperbound of 95% confidence interval for alpha0.38
Treynor index (mean / b)1.28
Jensen alpha (a)0.12
Mean0.13
SD0.24
Sharpe ratio (Glass type estimate)0.53
Sharpe ratio (Hedges UMVUE)0.53
df51
t1.11
p0.14
Lowerbound of 95% confidence interval for Sharpe Ratio-0.42
Upperbound of 95% confidence interval for Sharpe Ratio1.48
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.42
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.47
Sortino ratio1.14
Upside Potential Ratio2.33
Upside part of mean0.26
Downside part of mean-0.13
Upside SD0.21
Downside SD0.11
N nonnegative terms42
N negative terms10
N of observations52
Mean of predictor0.25
Mean of criterion0.13
SD of predictor0.22
SD of criterion0.24
Covariance0.01
r0.12
b (slope, estimate of beta)0.13
a (intercept, estimate of alpha)0.09
Mean Square Error0.06
DF error50
t(b)0.85
p(b)0.20
t(a)0.78
p(a)0.22
Lowerbound of 95% confidence interval for beta-0.18
Upperbound of 95% confidence interval for beta0.44
Lowerbound of 95% confidence interval for alpha-0.15
Upperbound of 95% confidence interval for alpha0.33
Treynor index (mean / b)0.96
Jensen alpha (a)0.09
VaR(95%)0.10
Expected Shortfall on VaR0.12
VaR(95%)0.01
Expected Shortfall on VaR0.03
Mean0.14
SD0.18
Sharpe ratio (Glass type estimate)0.76
Sharpe ratio (Hedges UMVUE)0.76
df1152
t1.60
p0.48
Lowerbound of 95% confidence interval for Sharpe Ratio-0.17
Upperbound of 95% confidence interval for Sharpe Ratio1.70
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.17
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.70
Sortino ratio1.30
Upside Potential Ratio5.34
Upside part of mean0.58
Downside part of mean-0.44
Upside SD0.15
Downside SD0.11
N nonnegative terms967
N negative terms186
N of observations1153
Mean of predictor0.29
Mean of criterion0.14
SD of predictor0.27
SD of criterion0.18
Covariance0.00
r0.00
b (slope, estimate of beta)0.00
a (intercept, estimate of alpha)0.14
Mean Square Error0.03
DF error1151
t(b)0.16
p(b)0.50
t(a)1.59
p(a)0.47
Lowerbound of 95% confidence interval for beta-0.04
Upperbound of 95% confidence interval for beta0.04
Lowerbound of 95% confidence interval for alpha-0.03
Upperbound of 95% confidence interval for alpha0.31
Treynor index (mean / b)43.45
Jensen alpha (a)0.14
Mean0.12
SD0.18
Sharpe ratio (Glass type estimate)0.68
Sharpe ratio (Hedges UMVUE)0.68
df1152
t1.42
p0.48
Lowerbound of 95% confidence interval for Sharpe Ratio-0.26
Upperbound of 95% confidence interval for Sharpe Ratio1.61
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.26
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.61
Sortino ratio1.12
Upside Potential Ratio5.12
Upside part of mean0.57
Downside part of mean-0.44
Upside SD0.15
Downside SD0.11
N nonnegative terms967
N negative terms186
N of observations1153
Mean of predictor0.25
Mean of criterion0.12
SD of predictor0.27
SD of criterion0.18
Covariance0.00
r0.01
b (slope, estimate of beta)0.00
a (intercept, estimate of alpha)0.12
Mean Square Error0.03
DF error1151
t(b)0.18
p(b)0.50
t(a)1.41
p(a)0.47
Lowerbound of 95% confidence interval for beta-0.04
Upperbound of 95% confidence interval for beta0.04
Lowerbound of 95% confidence interval for alpha-0.05
Upperbound of 95% confidence interval for alpha0.29
Treynor index (mean / b)35.59
Jensen alpha (a)0.12
VaR(95%)0.02
Expected Shortfall on VaR0.02
VaR(95%)0.00
Expected Shortfall on VaR0.00
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor1.30
Mean of criterion0
SD of predictor0.39
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor1.23
Mean of criterion0
SD of predictor0.38
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
VAR (95 Confidence Intrvl)0.02
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
VaR(95%)0
Expected Shortfall on VaR0
VaR(95%)0
Expected Shortfall on VaR0

ORDER STATISTICS

Number of observations52
Minimum0.86
Quartile 11
Median1
Quartile 31
Maximum1.30
Mean of quarter 10.96
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.09
Inter Quartile Range0
Number outliers low10
Percentage of outliers low0.19
Mean of outliers low0.95
Number of outliers high10
Percentage of outliers high0.19
Mean of outliers high1.12
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)-0.14
VaR(95%) (regression method)0.06
Expected Shortfall (regression method)0.09
Number of observations1153
Minimum0.91
Quartile 11
Median1
Quartile 31
Maximum1.10
Mean of quarter 10.99
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.01
Inter Quartile Range0
Number outliers low186
Percentage of outliers low0.16
Mean of outliers low0.99
Number of outliers high164
Percentage of outliers high0.14
Mean of outliers high1.02
Extreme Value Index (moments method)0.52
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.01
Extreme Value Index (regression method)0.15
VaR(95%) (regression method)0.01
Expected Shortfall (regression method)0.01
Number of observations131
Minimum1
Quartile 11
Median1
Quartile 31
Maximum1
Mean of quarter 11
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41
Inter Quartile Range0
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

DRAW DOWN STATISTICS

Number of observations5
Minimum0.01
Quartile 10.01
Median0.04
Quartile 30.19
Maximum0.26
Mean of quarter 10.01
Mean of quarter 20.04
Mean of quarter 30.19
Mean of quarter 40.26
Inter Quartile Range0.18
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 observations16
Minimum0.00
Quartile 10.00
Median0.03
Quartile 30.12
Maximum0.28
Mean of quarter 10.00
Mean of quarter 20.01
Mean of quarter 30.07
Mean of quarter 40.18
Inter Quartile Range0.12
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)-0.23
VaR(95%) (moments method)0.20
Expected Shortfall (moments method)0.24
Extreme Value Index (regression method)0.59
VaR(95%) (regression method)0.23
Expected Shortfall (regression method)0.48
Number of observations0
Minimum0
Quartile 10
Median0
Quartile 30
Maximum0
Mean of quarter 10
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40
Inter Quartile Range0
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
Strat Max DD how much worse than SP500 max DD during strat life?-398540640
Max Equity Drawdown (num days)149
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.17
Compounded annual return (geometric extrapolation)0.13
Calmar ratio (compounded annual return / max draw down)0.52
Compounded annual return / average of 25% largest draw downs0.52
Compounded annual return / Expected Shortfall lognormal1.10
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.16
Compounded annual return (geometric extrapolation)0.13
Calmar ratio (compounded annual return / max draw down)0.48
Compounded annual return / average of 25% largest draw downs0.72
Compounded annual return / Expected Shortfall lognormal5.86
j313dfCOMBRisPar0
j314dfCOMBRisPar0
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 downs0
Compounded annual return / Expected Shortfall lognormal0

Trading record

Placed 458 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
RPD long115May 2, 2019May 3, 2019($63)
BAND long82May 2, 2019May 3, 2019($243)
PCTY long63May 2, 2019May 3, 2019$187
ACIA long100May 2, 2019May 3, 2019($123)
APPN long170May 2, 2019May 3, 2019($612)
UPLD long131May 2, 2019May 3, 2019$22
DATA long50May 2, 2019May 3, 2019$275
LPSN long202May 2, 2019May 3, 2019($265)
BRSS long138May 2, 2019May 3, 2019$51
GSHD long196May 2, 2019May 3, 2019$604
APPF long62May 2, 2019May 3, 2019($218)
EPAY long119May 2, 2019May 3, 2019($578)
PLNT long80May 2, 2019May 3, 2019($208)
FND long93May 1, 2019May 2, 2019$58
FOXF long59May 1, 2019May 2, 2019($49)
FIVN long85May 1, 2019May 2, 2019($343)
IBP long91May 1, 2019May 2, 2019$351
BHR long339May 1, 2019May 2, 2019($68)
FORM long234May 1, 2019May 2, 2019($464)
INOV long338May 1, 2019May 2, 2019$317
EVTC long144May 1, 2019May 2, 2019($127)
CRUS long92May 1, 2019May 2, 2019$92
MED long29May 1, 2019May 2, 2019($270)
EEX long320May 1, 2019May 2, 2019($265)
WK long85May 1, 2019May 2, 2019$20
CDAY long84May 1, 2019May 2, 2019($237)
AEGN long223May 1, 2019May 2, 2019($742)
LXFR long188May 1, 2019May 2, 2019$2
CREE long68May 1, 2019May 2, 2019$60
SRCI long753May 1, 2019May 2, 2019($246)

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.