Futures Trading
- hypothetical · Annual Return (Compounded)
- 2.5%
- Max Drawdown
- 14.9%
- Trades
- 178
- Win Trades
- 48.3%
- Profit Factor
- 1.30
- Win Months
- 11.2%
About this strategy
good day,a bit about strategy:
The strategy is completely manual.I trade solely on the basis of price and volume, inputs are based on the allocation of zones (side market) in which in my opinion locked positions of traders and the market will not return there in other words, according to certain criteria such as time, volume, speed and other allocate these zones. When there is such a zone, I enter the deal (there is a little difference whether I enter the trend or against the trend, the difference in the goals and behavior of the price, the entry pattern is the same everywhere). Stop loss is always at 1-2-2. 5 % I do not like to risk. As for the exit position, for me there are several stages 1 is the accumulation of position, provocation, etc. 2 this movement to the unloading position, the unloading is the same in several cases that the outputs of the volume, update the local borders (again, it all depends on we traded with the trend or against). I am convinced that the balance of the market is constantly changing and whatever the purpose they depend on the behavior of the price at certain levels. I do not use martingale in strategy. If You have any more questions I will be happy to answer.
The strategy is completely manual.I trade solely on the basis of price and volume, inputs are based on the allocation of zones (side market) in which in my opinion locked positions of traders and the market will not return there in other words, according to certain criteria such as time, volume, speed and other allocate these zones. When there is such a zone, I enter the deal (there is a little difference whether I enter the trend or against the trend, the difference in the goals and behavior of the price, the entry pattern is the same everywhere). Stop loss is always at 1-2-2. 5 % I do not like to risk. As for the exit position, for me there are several stages 1 is the accumulation of position, provocation, etc. 2 this movement to the unloading position, the unloading is the same in several cases that the outputs of the volume, update the local borders (again, it all depends on we traded with the trend or against). I am convinced that the balance of the market is constantly changing and whatever the purpose they depend on the behavior of the price at certain levels. I do not use martingale in strategy. If You have any more questions I will be happy to answer.
Trend-following Currencies
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2018 | 7.2 | -3.7 | 3.4 | 6.7 | |||||||||
| 2019 | -1.6 | -1.2 | 4.0 | 2.9 | -4.4 | 5.0 | 3.4 | 1.5 | 7.8 | -6.0 | -4.0 | 0.0 | 6.4 |
| 2020 | -1.6 | 4.8 | 7.8 | -5.0 | 6.2 | -4.3 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 7.3 |
| 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 | 10/28/2018 |
|---|---|
| Suggested Minimum Capital | $50,000 |
| Age | 98 months |
| What it trades | Futures |
| # Trades | 178 |
| # Profitable | 86 |
| % Profitable | 48.3% |
| Avg trade duration | 1.7 days |
| Max peak-to-valley drawdown | 14.9% |
| drawdown period | Oct 04, 2019 - Dec 23, 2019 |
| Annual Return (Compounded) | 2.5% |
| Avg win | $736 |
| Avg loss | $512 |
Ratios
| W:L ratio | 1.34 |
|---|---|
| Sharpe Ratio | 0.10 |
| Sortino Ratio | 0.16 |
| Calmar Ratio | 0.91 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.01 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 182.9% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -161.0% |
Return Statistics
| Ann Return (w trading costs) | 2.5% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 3.6% |
Slump
| Current Slump as Pcnt Equity | 7.1% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.8% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 1.0% |
| Percent Trades Options | 0.0% |
| Short Options - Percent Covered | 100.0% |
| Percent Trades Stocks | 0.0% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 5.0% |
|---|---|
| Chance of 20% account loss | 0.0% |
| 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 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $512 |
|---|---|
| Avg Win | $736 |
| # Winners | 86 |
| Sum Trade PL (losers) | $47,137 |
| Sum Trade PL (winners) | $63,315 |
| Num Months Winners | 12 |
| # Losers | 92 |
| % Winners | 48.3% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 98 |
|---|
Frequency
| Avg Position Time (mins) | 2396.72 |
|---|---|
| Avg Position Time (hrs) | 39.94 |
| Avg Trade Length | 1.70 |
| Last Trade Ago | 2339 |
Leverage
| Daily leverage (average) | 2.91 |
|---|---|
| Daily leverage (max) | 14.89 |
Regression
| Alpha | 0 |
|---|---|
| Beta | 0 |
| Treynor Index | 0.51 |
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 | 7.44 |
| MAE:PL (avg, all trades) | 1.48 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 14.56 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 36.80 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.54 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.08 |
| Hold-and-Hope Ratio | 0.13 |
RATIO STATISTICS
| Mean | 0.12 |
|---|---|
| SD | 0.11 |
| Sharpe ratio (Glass type estimate) | 1.04 |
| Sharpe ratio (Hedges UMVUE) | 1.02 |
| df | 30 |
| t | 1.68 |
| p | 0.05 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.21 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.28 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.23 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.26 |
| Sortino ratio | 2.06 |
| Upside Potential Ratio | 3.44 |
| Upside part of mean | 0.19 |
| Downside part of mean | -0.08 |
| Upside SD | 0.10 |
| Downside SD | 0.06 |
| N nonnegative terms | 24 |
| N negative terms | 7 |
| N of observations | 31 |
| Mean of predictor | 0.46 |
| Mean of criterion | 0.12 |
| SD of predictor | 0.29 |
| SD of criterion | 0.11 |
| Covariance | -0.01 |
| r | -0.19 |
| b (slope, estimate of beta) | -0.07 |
| a (intercept, estimate of alpha) | 0.15 |
| Mean Square Error | 0.01 |
| DF error | 29 |
| t(b) | -1.06 |
| p(b) | 0.85 |
| t(a) | 1.97 |
| p(a) | 0.03 |
| Lowerbound of 95% confidence interval for beta | -0.22 |
| Upperbound of 95% confidence interval for beta | 0.07 |
| Lowerbound of 95% confidence interval for alpha | -0.01 |
| Upperbound of 95% confidence interval for alpha | 0.30 |
| Treynor index (mean / b) | -1.55 |
| Jensen alpha (a) | 0.15 |
| Mean | 0.11 |
| SD | 0.11 |
| Sharpe ratio (Glass type estimate) | 1.00 |
| Sharpe ratio (Hedges UMVUE) | 0.97 |
| df | 30 |
| t | 1.60 |
| p | 0.06 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.26 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.23 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.27 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.22 |
| Sortino ratio | 1.90 |
| Upside Potential Ratio | 3.28 |
| Upside part of mean | 0.19 |
| Downside part of mean | -0.08 |
| Upside SD | 0.10 |
| Downside SD | 0.06 |
| N nonnegative terms | 24 |
| N negative terms | 7 |
| N of observations | 31 |
| Mean of predictor | 0.42 |
| Mean of criterion | 0.11 |
| SD of predictor | 0.28 |
| SD of criterion | 0.11 |
| Covariance | -0.01 |
| r | -0.19 |
| b (slope, estimate of beta) | -0.07 |
| a (intercept, estimate of alpha) | 0.14 |
| Mean Square Error | 0.01 |
| DF error | 29 |
| t(b) | -1.04 |
| p(b) | 0.85 |
| t(a) | 1.89 |
| p(a) | 0.03 |
| Lowerbound of 95% confidence interval for beta | -0.22 |
| Upperbound of 95% confidence interval for beta | 0.07 |
| Lowerbound of 95% confidence interval for alpha | -0.01 |
| Upperbound of 95% confidence interval for alpha | 0.29 |
| Treynor index (mean / b) | -1.47 |
| Jensen alpha (a) | 0.14 |
| VaR(95%) | 0.04 |
| Expected Shortfall on VaR | 0.05 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| Mean | 0.11 |
| SD | 0.11 |
| Sharpe ratio (Glass type estimate) | 1.07 |
| Sharpe ratio (Hedges UMVUE) | 1.07 |
| df | 680 |
| t | 1.72 |
| p | 0.04 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.15 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.29 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.15 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.29 |
| Sortino ratio | 1.78 |
| Upside Potential Ratio | 7.68 |
| Upside part of mean | 0.49 |
| Downside part of mean | -0.38 |
| Upside SD | 0.09 |
| Downside SD | 0.06 |
| N nonnegative terms | 511 |
| N negative terms | 170 |
| N of observations | 681 |
| Mean of predictor | 0.46 |
| Mean of criterion | 0.11 |
| SD of predictor | 0.33 |
| SD of criterion | 0.11 |
| Covariance | 0.00 |
| r | 0.01 |
| b (slope, estimate of beta) | 0.00 |
| a (intercept, estimate of alpha) | 0.11 |
| Mean Square Error | 0.01 |
| DF error | 679 |
| t(b) | 0.28 |
| p(b) | 0.39 |
| t(a) | 1.69 |
| p(a) | 0.05 |
| Lowerbound of 95% confidence interval for beta | -0.02 |
| Upperbound of 95% confidence interval for beta | 0.03 |
| Lowerbound of 95% confidence interval for alpha | -0.02 |
| Upperbound of 95% confidence interval for alpha | 0.24 |
| Treynor index (mean / b) | 33.06 |
| Jensen alpha (a) | 0.11 |
| Mean | 0.11 |
| SD | 0.11 |
| Sharpe ratio (Glass type estimate) | 1.02 |
| Sharpe ratio (Hedges UMVUE) | 1.02 |
| df | 680 |
| t | 1.65 |
| p | 0.05 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.20 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.24 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.20 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.24 |
| Sortino ratio | 1.68 |
| Upside Potential Ratio | 7.56 |
| Upside part of mean | 0.49 |
| Downside part of mean | -0.38 |
| Upside SD | 0.08 |
| Downside SD | 0.06 |
| N nonnegative terms | 511 |
| N negative terms | 170 |
| N of observations | 681 |
| Mean of predictor | 0.40 |
| Mean of criterion | 0.11 |
| SD of predictor | 0.33 |
| SD of criterion | 0.11 |
| Covariance | 0.00 |
| r | 0.01 |
| b (slope, estimate of beta) | 0.00 |
| a (intercept, estimate of alpha) | 0.11 |
| Mean Square Error | 0.01 |
| DF error | 679 |
| t(b) | 0.27 |
| p(b) | 0.39 |
| t(a) | 1.62 |
| p(a) | 0.05 |
| Lowerbound of 95% confidence interval for beta | -0.02 |
| Upperbound of 95% confidence interval for beta | 0.03 |
| Lowerbound of 95% confidence interval for alpha | -0.02 |
| Upperbound of 95% confidence interval for alpha | 0.24 |
| Treynor index (mean / b) | 32.26 |
| Jensen alpha (a) | 0.11 |
| 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 | 1.48 |
| Mean of criterion | 0 |
| SD of predictor | 0.43 |
| 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 | 1.38 |
| Mean of criterion | 0 |
| SD of predictor | 0.43 |
| 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 | 31 |
|---|---|
| Minimum | 0.94 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1.03 |
| Maximum | 1.07 |
| Mean of quarter 1 | 0.98 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1.01 |
| Mean of quarter 4 | 1.05 |
| Inter Quartile Range | 0.03 |
| Number outliers low | 2 |
| Percentage of outliers low | 0.06 |
| Mean of outliers low | 0.95 |
| 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) | -0.36 |
| VaR(95%) (regression method) | 0.02 |
| Expected Shortfall (regression method) | 0.03 |
| Number of observations | 681 |
| Minimum | 0.97 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1.00 |
| Maximum | 1.05 |
| Mean of quarter 1 | 0.99 |
| 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 | 159 |
| Percentage of outliers low | 0.23 |
| Mean of outliers low | 0.99 |
| Number of outliers high | 159 |
| Percentage of outliers high | 0.23 |
| Mean of outliers high | 1.01 |
| Extreme Value Index (moments method) | -0.49 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.00 |
| Extreme Value Index (regression method) | -0.02 |
| VaR(95%) (regression method) | 0.01 |
| 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 | 0.01 |
| Quartile 1 | 0.02 |
| Median | 0.02 |
| Quartile 3 | 0.06 |
| Maximum | 0.09 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.02 |
| Mean of quarter 3 | 0.06 |
| Mean of quarter 4 | 0.09 |
| Inter Quartile Range | 0.04 |
| 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 | 0.01 |
| Quartile 3 | 0.04 |
| Maximum | 0.13 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.03 |
| Mean of quarter 4 | 0.07 |
| Inter Quartile Range | 0.04 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.05 |
| Mean of outliers high | 0.13 |
| Extreme Value Index (moments method) | 0.27 |
| VaR(95%) (moments method) | 0.08 |
| Expected Shortfall (moments method) | 0.12 |
| Extreme Value Index (regression method) | 0.80 |
| VaR(95%) (regression method) | 0.08 |
| Expected Shortfall (regression method) | 0.23 |
| 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? | -403903360 |
| Max Equity Drawdown (num days) | 80 |
| 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) | 1.28 |
| Compounded annual return / average of 25% largest draw downs | 1.28 |
| Compounded annual return / Expected Shortfall lognormal | 2.12 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.12 |
| Compounded annual return (geometric extrapolation) | 0.11 |
| Calmar ratio (compounded annual return / max draw down) | 0.91 |
| Compounded annual return / average of 25% largest draw downs | 1.59 |
| Compounded annual return / Expected Shortfall lognormal | 8.78 |
| 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 27 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| @EU U0 | short | 2 | Jun 15, 2020 | Jun 15, 2020 | ($316) |
| @CD U0 | short | 2 | Jun 15, 2020 | Jun 15, 2020 | ($386) |
| @S N0 | short | 2 | Jun 10, 2020 | Jun 12, 2020 | ($766) |
| @JY M0 | short | 2 | Jun 11, 2020 | Jun 11, 2020 | ($541) |
| QCL N0 | short | 1 | Jun 10, 2020 | Jun 10, 2020 | ($488) |
| @JY M0 | long | 2 | Jun 7, 2020 | Jun 8, 2020 | $1,778 |
| QSI N0 | long | 1 | Jun 4, 2020 | Jun 5, 2020 | $42 |
| QSI N0 | long | 1 | Jun 4, 2020 | Jun 4, 2020 | ($8) |
| QSI N0 | long | 1 | Jun 4, 2020 | Jun 4, 2020 | ($83) |
| @S N0 | short | 2 | Jun 2, 2020 | Jun 3, 2020 | ($666) |
| @EU M0 | short | 2 | Jun 2, 2020 | Jun 2, 2020 | ($229) |
| @AD M0 | short | 2 | Jun 2, 2020 | Jun 2, 2020 | ($316) |
| @JY M0 | long | 2 | May 31, 2020 | Jun 2, 2020 | ($779) |
| QCL N0 | short | 1 | May 28, 2020 | May 29, 2020 | $242 |
| @SF M0 | short | 2 | May 26, 2020 | May 28, 2020 | $472 |
| @CD M0 | short | 2 | May 19, 2020 | May 26, 2020 | $274 |
| @AD M0 | short | 2 | May 21, 2020 | May 26, 2020 | $174 |
| @S N0 | short | 1 | May 21, 2020 | May 25, 2020 | $92 |
| QCL N0 | short | 1 | May 22, 2020 | May 22, 2020 | ($298) |
| @S N0 | short | 2 | May 20, 2020 | May 21, 2020 | ($66) |
| QNG M0 | short | 2 | May 19, 2020 | May 19, 2020 | ($536) |
| QNG M0 | short | 2 | May 19, 2020 | May 19, 2020 | ($896) |
| @S N0 | short | 2 | May 15, 2020 | May 17, 2020 | ($191) |
| @CD M0 | long | 3 | May 14, 2020 | May 15, 2020 | $701 |
| @S K0 | short | 2 | May 14, 2020 | May 14, 2020 | ($41) |
| @S K0 | short | 2 | May 11, 2020 | May 14, 2020 | $1,459 |
| @CD M0 | short | 3 | May 12, 2020 | May 14, 2020 | $996 |
| QCL M0 | short | 1 | May 12, 2020 | May 13, 2020 | ($668) |
| QCL M0 | short | 2 | May 11, 2020 | May 12, 2020 | $294 |
| @CD M0 | short | 2 | May 11, 2020 | May 12, 2020 | $169 |
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.