ETF SentimentMagic US UL
- hypothetical · Annual Return (Compounded)
- 34.4%
- Max Drawdown
- 100.0%
- Trades
- 85
- Win Trades
- 56.5%
- Profit Factor
- 5.30
- Win Months
- 45.9%
About this strategy
We use unleveraged ETF's that are based on the Nasdaq index, S&P500 index, Gold and Treasuries. All ETF's are listed on ARCA.
The algorithm distinguishes between 6 different market regimes being Super Bull, Bull, Bear and 3 more stable market regimes. Based on the identified market regime, it will invest in a specific combination of ETF's / indextrackers.
Backtests have shown the following results over a 19-year period (Jan 2000 - Aug 2019):
- The algorithm is performing the best in trending markets, either upwards or downwards. In more stable markets, the performance is also good, but it does have more difficulty in accurately predicting the direction of the market then (which is logical, hedge funds will also show worse results in those years).
- Over the full 19 year period, the algorithm is showing profitability in every single year, except for 2011 (-6%) and 2014 (-1%). Average CAGR per year was 15,4% per annum.
- The max drawdown over the full 19 year period is 21,5% (in 2011), which is much lower than the drawdown for a Buy-and-Hold strategy on the S&P500 during this same period. 2008 had max drawdown of 15%, all other years below 10%.
- The algorithm is designed to trade daily, It will adjust the predicted market sentiment once per month, unless there is a reason to do it earlier. Daily rebalancing is done to increase the returns and lower risks, Its intent is not to react too much to daily noise, but focus on the monthly horizon.
- The algorithm only uses Long positions.
- Our professional team is monitoring the performance of all of our algorithms daily.
This strategy has been designed to be suitable for investment amounts from 5K upwards to very big volumes. The ETF's we are using have a very big liquidity so we hardly have any impact on the market with our volumes. The external proprietary signal we are using is not decaying, cannot be manipulated by market actors and is able to carry massive volumes.
A PDF with backtesting results from 2000 to August 2019 is available upon request. We have tried our utmost best to avoid overtraining (design and validation on different periods, long period of paper trading etcetera).
Backtesting data is always hypothetical and it has not been verified by C2.
The algorithm distinguishes between 6 different market regimes being Super Bull, Bull, Bear and 3 more stable market regimes. Based on the identified market regime, it will invest in a specific combination of ETF's / indextrackers.
Backtests have shown the following results over a 19-year period (Jan 2000 - Aug 2019):
- The algorithm is performing the best in trending markets, either upwards or downwards. In more stable markets, the performance is also good, but it does have more difficulty in accurately predicting the direction of the market then (which is logical, hedge funds will also show worse results in those years).
- Over the full 19 year period, the algorithm is showing profitability in every single year, except for 2011 (-6%) and 2014 (-1%). Average CAGR per year was 15,4% per annum.
- The max drawdown over the full 19 year period is 21,5% (in 2011), which is much lower than the drawdown for a Buy-and-Hold strategy on the S&P500 during this same period. 2008 had max drawdown of 15%, all other years below 10%.
- The algorithm is designed to trade daily, It will adjust the predicted market sentiment once per month, unless there is a reason to do it earlier. Daily rebalancing is done to increase the returns and lower risks, Its intent is not to react too much to daily noise, but focus on the monthly horizon.
- The algorithm only uses Long positions.
- Our professional team is monitoring the performance of all of our algorithms daily.
This strategy has been designed to be suitable for investment amounts from 5K upwards to very big volumes. The ETF's we are using have a very big liquidity so we hardly have any impact on the market with our volumes. The external proprietary signal we are using is not decaying, cannot be manipulated by market actors and is able to carry massive volumes.
A PDF with backtesting results from 2000 to August 2019 is available upon request. We have tried our utmost best to avoid overtraining (design and validation on different periods, long period of paper trading etcetera).
Backtesting data is always hypothetical and it has not been verified by C2.
Non-hedged Equity
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2019 | -0.3 | 7.3 | -1.0 | -0.3 | -0.2 | -3.4 | 1.8 | ||||||
| 2020 | 4.0 | -2.5 | -21.9 | -63.6 | -3.3 | -12.7 | -16.0 | -61.1 | -164.6 | -4661.5 | 224.0 | -8.1 | 597.5 |
| 2021 | 8.2 | 107.9 | -3.5 | 5.5 | 27.5 | 10.1 | -41.2 | -6.8 | 36.4 | 51.0 | -27.1 | 2.6 | 171.1 |
| 2022 | 64.5 | 27.3 | 28.6 | -6.3 | 39.5 | -40.7 | 4.1 | 53.7 | -34.9 | 63.6 | 9.0 | -23.3 | 197.8 |
| 2023 | 9.3 | -19.4 | -6.9 | 0.5 | -14.7 | -11.8 | 42.6 | 8.5 | 5.7 | -7.8 | -7.8 | 8.0 | -7.0 |
| 2024 | -19.1 | 22.1 | 32.6 | -5.8 | -6.0 | -10.0 | 7.9 | 0.0 | -100.4 | 0.0 | 0.0 | 0.0 | -100.5 |
| 2025 | -1198.1 | 4.5 | -47.7 | 3.7 | 22.7 | 10.7 | 11.6 | -2.9 | -7.5 | -4.2 | -9.2 | -838.4 | |
| 2026 | 30.5 | 32.5 | 80.7 | -35.9 | 20.1 | -22.4 | 0.0 | 89.2 |
Statistics
Overview
| Strategy began | 7/16/2019 |
|---|---|
| Suggested Minimum Capital | $10,000 |
| Age | 88 months |
| What it trades | Stocks |
| # Trades | 85 |
| # Profitable | 48 |
| % Profitable | 56.5% |
| Avg trade duration | 63.9 days |
| Max peak-to-valley drawdown | 100.0% |
| drawdown period | Sept 01, 2020 - Sept 23, 2024 |
| Annual Return (Compounded) | 34.4% |
| Avg win | $1,969 |
| Avg loss | $482 |
Ratios
| W:L ratio | 5.30 |
|---|---|
| Sharpe Ratio | 0.28 |
| Sortino Ratio | 0.39 |
| Calmar Ratio | 2.34 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.07 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 153.8% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 602.3% |
Return Statistics
| Ann Return (w trading costs) | 34.4% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.3% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 31.0% |
Slump
| Current Slump as Pcnt Equity | 1214.5% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.6% |
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 | 0.0% |
|---|---|
| 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 | 62.0% |
|---|
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 | $482 |
|---|---|
| Avg Win | $1,969 |
| # Winners | 48 |
| Sum Trade PL (losers) | $17,849 |
| Sum Trade PL (winners) | $94,508 |
| Num Months Winners | 3 |
| # Losers | 37 |
| % Winners | 56.5% |
Dividends
| Dividends Received in Model Acct | 90 |
|---|
Age
| Num Months filled monthly returns table | 15 |
|---|
Frequency
| Avg Position Time (mins) | 92023.28 |
|---|---|
| Avg Position Time (hrs) | 1533.72 |
| Avg Trade Length | 63.90 |
| Last Trade Ago | 2369 |
Leverage
| Daily leverage (average) | 1.87 |
|---|---|
| Daily leverage (max) | 6.83 |
Regression
| Alpha | 0 |
|---|---|
| Beta | 0.65 |
| Treynor Index | 0 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.08 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.01 |
| MAE:Equity, average, losing trades | 0.17 |
| 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 | 0.33 |
| MAE:PL (avg, all trades) | 0.19 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.05 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.17 |
| Hold-and-Hope Ratio | -0.35 |
RATIO STATISTICS
| Mean | 13093.11 |
|---|---|
| SD | 16446.00 |
| Sharpe ratio (Glass type estimate) | 0.80 |
| Sharpe ratio (Hedges UMVUE) | 0.76 |
| df | 18 |
| t | 1.00 |
| p | 0.39 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.79 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.36 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.81 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.34 |
| Sortino ratio | 13318.21 |
| Upside Potential Ratio | 13319.82 |
| Upside part of mean | 13094.69 |
| Downside part of mean | -1.58 |
| Upside SD | 16447.53 |
| Downside SD | 0.98 |
| N nonnegative terms | 10 |
| N negative terms | 9 |
| N of observations | 19 |
| Mean of predictor | 0.58 |
| Mean of criterion | 13093.11 |
| SD of predictor | 0.42 |
| SD of criterion | 16446.00 |
| Covariance | 1825.08 |
| r | 0.26 |
| b (slope, estimate of beta) | 10266.75 |
| a (intercept, estimate of alpha) | 7089.76 |
| Mean Square Error | 266541104 |
| DF error | 17 |
| t(b) | 1.12 |
| p(b) | 0.33 |
| t(a) | 0.51 |
| p(a) | 0.42 |
| Lowerbound of 95% confidence interval for beta | -8989.26 |
| Upperbound of 95% confidence interval for beta | 29522.76 |
| Lowerbound of 95% confidence interval for alpha | -22509.65 |
| Upperbound of 95% confidence interval for alpha | 36689.16 |
| Treynor index (mean / b) | 1.28 |
| Jensen alpha (a) | 7089.76 |
| Mean | 0.43 |
| SD | 13.74 |
| Sharpe ratio (Glass type estimate) | 0.03 |
| Sharpe ratio (Hedges UMVUE) | 0.03 |
| df | 18 |
| t | 0.04 |
| p | 0.50 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.53 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.59 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.53 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.59 |
| Sortino ratio | 0.04 |
| Upside Potential Ratio | 0.95 |
| Upside part of mean | 9.83 |
| Downside part of mean | -9.39 |
| Upside SD | 8.44 |
| Downside SD | 10.37 |
| N nonnegative terms | 10 |
| N negative terms | 9 |
| N of observations | 19 |
| Mean of predictor | 0.48 |
| Mean of criterion | 0.43 |
| SD of predictor | 0.44 |
| SD of criterion | 13.74 |
| Covariance | -0.32 |
| r | -0.05 |
| b (slope, estimate of beta) | -1.69 |
| a (intercept, estimate of alpha) | 1.25 |
| Mean Square Error | 199.18 |
| DF error | 17 |
| t(b) | -0.22 |
| p(b) | 0.53 |
| t(a) | 0.11 |
| p(a) | 0.48 |
| Lowerbound of 95% confidence interval for beta | -17.81 |
| Upperbound of 95% confidence interval for beta | 14.43 |
| Lowerbound of 95% confidence interval for alpha | -23.67 |
| Upperbound of 95% confidence interval for alpha | 26.17 |
| Treynor index (mean / b) | -0.26 |
| Jensen alpha (a) | 1.25 |
| VaR(95%) | 1.00 |
| Expected Shortfall on VaR | 1.00 |
| VaR(95%) | 0.29 |
| Expected Shortfall on VaR | 0.59 |
| Mean | 12531.17 |
| SD | 15957.79 |
| Sharpe ratio (Glass type estimate) | 0.79 |
| Sharpe ratio (Hedges UMVUE) | 0.78 |
| df | 427 |
| t | 1.00 |
| p | 0.16 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.75 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.32 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.75 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.32 |
| Sortino ratio | 8071.15 |
| Upside Potential Ratio | 8076.66 |
| Upside part of mean | 12539.73 |
| Downside part of mean | -8.56 |
| Upside SD | 15957.92 |
| Downside SD | 1.55 |
| N nonnegative terms | 224 |
| N negative terms | 204 |
| N of observations | 428 |
| Mean of predictor | 0.63 |
| Mean of criterion | 12531.17 |
| SD of predictor | 0.40 |
| SD of criterion | 15957.79 |
| Covariance | -527.93 |
| r | -0.08 |
| b (slope, estimate of beta) | -3224.50 |
| a (intercept, estimate of alpha) | 14549.34 |
| Mean Square Error | 253542400 |
| DF error | 426 |
| t(b) | -1.69 |
| p(b) | 0.95 |
| t(a) | 1.16 |
| p(a) | 0.12 |
| Lowerbound of 95% confidence interval for beta | -6967.66 |
| Upperbound of 95% confidence interval for beta | 518.66 |
| Lowerbound of 95% confidence interval for alpha | -10049.60 |
| Upperbound of 95% confidence interval for alpha | 39148.29 |
| Treynor index (mean / b) | -3.89 |
| Jensen alpha (a) | 14549.34 |
| Mean | 1.18 |
| SD | 13.62 |
| Sharpe ratio (Glass type estimate) | 0.09 |
| Sharpe ratio (Hedges UMVUE) | 0.09 |
| df | 427 |
| t | 0.11 |
| p | 0.46 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.45 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.62 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.45 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.62 |
| Sortino ratio | 0.11 |
| Upside Potential Ratio | 1.75 |
| Upside part of mean | 18.49 |
| Downside part of mean | -17.31 |
| Upside SD | 8.59 |
| Downside SD | 10.55 |
| N nonnegative terms | 224 |
| N negative terms | 204 |
| N of observations | 428 |
| Mean of predictor | 0.54 |
| Mean of criterion | 1.18 |
| SD of predictor | 0.41 |
| SD of criterion | 13.62 |
| Covariance | -0.30 |
| r | -0.06 |
| b (slope, estimate of beta) | -1.85 |
| a (intercept, estimate of alpha) | 2.18 |
| Mean Square Error | 185.41 |
| DF error | 426 |
| t(b) | -1.14 |
| p(b) | 0.87 |
| t(a) | 0.20 |
| p(a) | 0.42 |
| Lowerbound of 95% confidence interval for beta | -5.05 |
| Upperbound of 95% confidence interval for beta | 1.34 |
| Lowerbound of 95% confidence interval for alpha | -18.83 |
| Upperbound of 95% confidence interval for alpha | 23.20 |
| Treynor index (mean / b) | -0.64 |
| Jensen alpha (a) | 2.18 |
| VaR(95%) | 0.75 |
| Expected Shortfall on VaR | 0.82 |
| VaR(95%) | 0.07 |
| Expected Shortfall on VaR | 0.16 |
| Mean | 40799.75 |
| SD | 28844.26 |
| Sharpe ratio (Glass type estimate) | 1.41 |
| Sharpe ratio (Hedges UMVUE) | 1.41 |
| df | 130 |
| t | 1.00 |
| p | 0.46 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.37 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.19 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.37 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.18 |
| Sortino ratio | 19219.23 |
| Upside Potential Ratio | 19225.28 |
| Upside part of mean | 40812.59 |
| Downside part of mean | -12.84 |
| Upside SD | 28844.30 |
| Downside SD | 2.12 |
| N nonnegative terms | 69 |
| N negative terms | 62 |
| N of observations | 131 |
| Mean of predictor | 1.19 |
| Mean of criterion | 40799.75 |
| SD of predictor | 0.52 |
| SD of criterion | 28844.26 |
| Covariance | -1822.52 |
| r | -0.12 |
| b (slope, estimate of beta) | -6742.03 |
| a (intercept, estimate of alpha) | 48799.62 |
| Mean Square Error | 826057984 |
| DF error | 129 |
| t(b) | -1.39 |
| p(b) | 0.58 |
| t(a) | 1.19 |
| p(a) | 0.43 |
| Lowerbound of 95% confidence interval for beta | -16334.58 |
| Upperbound of 95% confidence interval for beta | 2850.52 |
| Lowerbound of 95% confidence interval for alpha | -32421.44 |
| Upperbound of 95% confidence interval for alpha | 130020.70 |
| Treynor index (mean / b) | -6.05 |
| Jensen alpha (a) | 48799.62 |
| Mean | -1.56 |
| SD | 23.76 |
| Sharpe ratio (Glass type estimate) | -0.07 |
| Sharpe ratio (Hedges UMVUE) | -0.07 |
| df | 130 |
| t | -0.05 |
| p | 0.50 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -2.84 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.71 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -2.84 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.71 |
| Sortino ratio | -0.08 |
| Upside Potential Ratio | 1.99 |
| Upside part of mean | 37.63 |
| Downside part of mean | -39.19 |
| Upside SD | 14.20 |
| Downside SD | 18.93 |
| N nonnegative terms | 69 |
| N negative terms | 62 |
| N of observations | 131 |
| Mean of predictor | 1.05 |
| Mean of criterion | -1.56 |
| SD of predictor | 0.52 |
| SD of criterion | 23.76 |
| Covariance | -1.14 |
| r | -0.09 |
| b (slope, estimate of beta) | -4.23 |
| a (intercept, estimate of alpha) | 2.88 |
| Mean Square Error | 563.91 |
| DF error | 129 |
| t(b) | -1.06 |
| p(b) | 0.56 |
| t(a) | 0.09 |
| p(a) | 0.50 |
| Lowerbound of 95% confidence interval for beta | -12.15 |
| VAR (95 Confidence Intrvl) | 0.75 |
| Upperbound of 95% confidence interval for beta | 3.70 |
| Lowerbound of 95% confidence interval for alpha | -64.08 |
| Upperbound of 95% confidence interval for alpha | 69.84 |
| Treynor index (mean / b) | 0.37 |
| Jensen alpha (a) | 2.88 |
| VaR(95%) | 0.91 |
| Expected Shortfall on VaR | 0.95 |
| VaR(95%) | 0.11 |
| Expected Shortfall on VaR | 0.23 |
ORDER STATISTICS
| Number of observations | 19 |
|---|---|
| Minimum | 0 |
| Quartile 1 | 0.88 |
| Median | 1.01 |
| Quartile 3 | 1.21 |
| Maximum | 20697 |
| Mean of quarter 1 | 0.53 |
| Mean of quarter 2 | 0.97 |
| Mean of quarter 3 | 1.07 |
| Mean of quarter 4 | 4147.60 |
| Inter Quartile Range | 0.33 |
| Number outliers low | 1 |
| Percentage of outliers low | 0.05 |
| Mean of outliers low | 0 |
| Number of outliers high | 3 |
| Percentage of outliers high | 0.16 |
| Mean of outliers high | 6911.71 |
| Extreme Value Index (moments method) | -2.23 |
| VaR(95%) (moments method) | 0.40 |
| Expected Shortfall (moments method) | 0.40 |
| Extreme Value Index (regression method) | -0.10 |
| VaR(95%) (regression method) | 0.68 |
| Expected Shortfall (regression method) | 0.96 |
| Number of observations | 428 |
| Minimum | 0 |
| Quartile 1 | 0.99 |
| Median | 1.00 |
| Quartile 3 | 1.03 |
| Maximum | 20397 |
| Mean of quarter 1 | 0.87 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.01 |
| Mean of quarter 4 | 192.44 |
| Inter Quartile Range | 0.04 |
| Number outliers low | 65 |
| Percentage of outliers low | 0.15 |
| Mean of outliers low | 0.81 |
| Number of outliers high | 61 |
| Percentage of outliers high | 0.14 |
| Mean of outliers high | 336.76 |
| Extreme Value Index (moments method) | 0.41 |
| VaR(95%) (moments method) | 0.06 |
| Expected Shortfall (moments method) | 0.13 |
| Extreme Value Index (regression method) | 0.15 |
| VaR(95%) (regression method) | 0.12 |
| Expected Shortfall (regression method) | 0.22 |
| Number of observations | 131 |
| Minimum | 0 |
| Quartile 1 | 0.95 |
| Median | 1.01 |
| Quartile 3 | 1.10 |
| Maximum | 20397 |
| Mean of quarter 1 | 0.82 |
| Mean of quarter 2 | 0.99 |
| Mean of quarter 3 | 1.05 |
| Mean of quarter 4 | 619.32 |
| Inter Quartile Range | 0.16 |
| Number outliers low | 4 |
| Percentage of outliers low | 0.03 |
| Mean of outliers low | 0.39 |
| Number of outliers high | 7 |
| Percentage of outliers high | 0.05 |
| Mean of outliers high | 2915.25 |
| Extreme Value Index (moments method) | 0.26 |
| VaR(95%) (moments method) | 0.16 |
| Expected Shortfall (moments method) | 0.27 |
| Extreme Value Index (regression method) | 0.27 |
| VaR(95%) (regression method) | 0.16 |
| Expected Shortfall (regression method) | 0.27 |
DRAW DOWN STATISTICS
| Number of observations | 4 |
|---|---|
| Minimum | 0.01 |
| Quartile 1 | 0.01 |
| Median | 0.42 |
| Quartile 3 | 0.87 |
| Maximum | 1 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.82 |
| Mean of quarter 4 | 1 |
| Inter Quartile Range | 0.86 |
| 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 | 0.01 |
| Median | 0.04 |
| Quartile 3 | 0.21 |
| Maximum | 1 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.02 |
| Mean of quarter 3 | 0.11 |
| Mean of quarter 4 | 0.62 |
| Inter Quartile Range | 0.20 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 3 |
| Percentage of outliers high | 0.15 |
| Mean of outliers high | 0.83 |
| Extreme Value Index (moments method) | -0.45 |
| VaR(95%) (moments method) | 0.62 |
| Expected Shortfall (moments method) | 0.75 |
| Extreme Value Index (regression method) | -1.58 |
| VaR(95%) (regression method) | 0.82 |
| Expected Shortfall (regression method) | 0.85 |
| Number of observations | 4 |
| Minimum | 0.01 |
| Quartile 1 | 0.11 |
| Median | 0.20 |
| Quartile 3 | 0.45 |
| Maximum | 1 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.14 |
| Mean of quarter 3 | 0.27 |
| Mean of quarter 4 | 1 |
| Inter Quartile Range | 0.35 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.25 |
| Mean of outliers high | 1 |
| 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? | -376573696 |
| Max Equity Drawdown (num days) | 1483 |
| Last 4 Months - Pcnt Negative | 1.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.68 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.58 |
| Calmar ratio (compounded annual return / max draw down) | 0.58 |
| Compounded annual return / average of 25% largest draw downs | 0.58 |
| Compounded annual return / Expected Shortfall lognormal | 0.58 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 3.77 |
| Compounded annual return (geometric extrapolation) | 2.34 |
| Calmar ratio (compounded annual return / max draw down) | 2.34 |
| Compounded annual return / average of 25% largest draw downs | 3.77 |
| Compounded annual return / Expected Shortfall lognormal | 2.87 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -1.07 |
| Compounded annual return (geometric extrapolation) | -0.78 |
| Calmar ratio (compounded annual return / max draw down) | -0.78 |
| Compounded annual return / average of 25% largest draw downs | -0.78 |
| Compounded annual return / Expected Shortfall lognormal | -0.83 |
Trading record
Placed 3 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| SPXL | short | 607 | Mar 24, 2020 | Apr 21, 2020 | ($4,357) |
| TLT | short | 1 | Apr 16, 2020 | Apr 17, 2020 | ($1) |
| SPY | long | 1 | Apr 15, 2020 | Apr 16, 2020 | ($0) |
| SPY | long | 20 | Apr 13, 2020 | Apr 13, 2020 | ($39) |
| IEF | long | 18 | Apr 9, 2020 | Apr 9, 2020 | $3 |
| TLT | long | 19 | Apr 9, 2020 | Apr 9, 2020 | $18 |
| SPY | long | 20 | Apr 8, 2020 | Apr 8, 2020 | ($4) |
| IEF | long | 17 | Apr 7, 2020 | Apr 7, 2020 | ($4) |
| TLT | long | 19 | Apr 7, 2020 | Apr 7, 2020 | ($3) |
| SPY | long | 1 | Apr 1, 2020 | Apr 1, 2020 | $2 |
| GDX | long | 11 | Mar 27, 2020 | Mar 31, 2020 | ($12) |
| SPY | short | 1 | Mar 26, 2020 | Mar 31, 2020 | ($8) |
| TLT | long | 1 | Mar 31, 2020 | Mar 31, 2020 | ($0) |
| TLT | long | 19 | Mar 30, 2020 | Mar 30, 2020 | ($8) |
| IEF | long | 18 | Mar 30, 2020 | Mar 30, 2020 | ($1) |
| GDX | short | 10 | Mar 26, 2020 | Mar 26, 2020 | $10 |
| TLT | short | 1 | Mar 23, 2020 | Mar 25, 2020 | ($6) |
| GDX | long | 174 | Mar 25, 2020 | Mar 25, 2020 | $11 |
| SPY | long | 3 | Mar 25, 2020 | Mar 25, 2020 | $8 |
| NUGT | long | 3300 | Mar 19, 2020 | Mar 24, 2020 | $4,149 |
| SVXY | long | 200 | Mar 24, 2020 | Mar 24, 2020 | $123 |
| SPY | short | 30 | Mar 24, 2020 | Mar 24, 2020 | $48 |
| SPY | long | 2 | Mar 23, 2020 | Mar 24, 2020 | $22 |
| IEF | short | 1 | Mar 23, 2020 | Mar 24, 2020 | $1 |
| SPY | short | 2 | Mar 20, 2020 | Mar 20, 2020 | $7 |
| IEF | long | 1 | Mar 19, 2020 | Mar 20, 2020 | $1 |
| TLT | long | 1 | Mar 19, 2020 | Mar 20, 2020 | $5 |
| NUGT | long | 1300 | Mar 18, 2020 | Mar 19, 2020 | ($4,394) |
| SPY | long | 2 | Mar 19, 2020 | Mar 19, 2020 | $9 |
| IEF | long | 19 | Mar 17, 2020 | Mar 18, 2020 | ($64) |
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.