XBot
- hypothetical · Annual Return (Compounded)
- 42.6%
- Max Drawdown
- 100.0%
- Trades
- 80
- Win Trades
- 45.0%
- Profit Factor
- 4.70
- Win Months
- 54.2%
About this strategy
XBot is a fully automated price inefficiency capturing quantitative strategy operating on a basket of large market cap American equities. High volume and high volatility equities are selected for the basket, resulting in approximately 50 symbols in the basket. The strategy trades all signals on all symbols simultaneously resulting in frequent overlapping of previous trades.
XBot takes advantage of a long term pricing inefficiency, testing has been done back to the 1950s to determine the persistence of the inefficiency being captured. XBot watches all the symbols in the basket continually and enters infrequently, resulting in low transaction costs. This is not a typical quantitative strategy operating at high frequency. The pricing inefficiency XBot takes advantage of is relatively rare but highly effective.
XBot uses stops based on the underlying price, risk is never unbounded and there is no averaging down done.
Why the big DD during COVID?
I was on a 50k account which is over leveraged for the strategy, ideally 100k is used to start with but Collective2 charged extra for that so I did not.
XBot takes advantage of a long term pricing inefficiency, testing has been done back to the 1950s to determine the persistence of the inefficiency being captured. XBot watches all the symbols in the basket continually and enters infrequently, resulting in low transaction costs. This is not a typical quantitative strategy operating at high frequency. The pricing inefficiency XBot takes advantage of is relatively rare but highly effective.
XBot uses stops based on the underlying price, risk is never unbounded and there is no averaging down done.
Why the big DD during COVID?
I was on a 50k account which is over leveraged for the strategy, ideally 100k is used to start with but Collective2 charged extra for that so I did not.
Directional Bets
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2019 | 6.8 | -1.0 | 17.1 | 23.9 | |||||||||
| 2020 | 11.2 | -5.3 | -5.0 | -2.8 | -1.9 | 2.6 | 6.7 | 14.6 | -15.4 | -4.9 | 15.6 | -14.9 | -5.3 |
| 2021 | 3.8 | 17.3 | -8.0 | 19.3 | 0.0 | 0.7 | 17.6 | -10.2 | 0.0 | 28.1 | 68.1 | ||
| 2022 | -63.6 | 43.4 | 10.0 | -40.3 | -48.1 | -152.5 | -251.7 | -55.9 | -480.9 | -28.0 | -162.5 | -136.5 | -106.9 |
| 2023 | -479.8 | 28.9 | -63.7 | 58.6 | 126.1 | 89.5 | 30.8 | -27.2 | -20.8 | -5.9 | 87.7 | 29.4 | -2180.2 |
| 2024 | 19.8 | 6.0 | 0.9 | -4.4 | 6.7 | 7.6 | -7.2 | 8.2 | 5.3 | 8.5 | 13.3 | -7.3 | 69.8 |
| 2025 | 7.8 | -3.3 | -21.2 | -6.5 | 20.9 | 17.3 | 1.8 | 1.5 | 17.0 | 8.0 | -16.8 | 17.4 | 38.8 |
| 2026 | 13.4 | -8.1 | -3.1 | 14.7 | 41.5 | 10.6 | -7.7 | 8.8 | 0.1 | -1.5 | 79.3 |
Statistics
Overview
| Strategy began | 10/17/2019 |
|---|---|
| Suggested Minimum Capital | $50,000 |
| Age | 85 months |
| What it trades | Options |
| # Trades | 80 |
| # Profitable | 36 |
| % Profitable | 45.0% |
| Avg trade duration | 254.4 days |
| Max peak-to-valley drawdown | 100.0% |
| drawdown period | Sept 07, 2022 - Sept 25, 2022 |
| Annual Return (Compounded) | 42.6% |
| Avg win | $19,322 |
| Avg loss | $3,544 |
Ratios
| W:L ratio | 4.69 |
|---|---|
| Sharpe Ratio | 0.27 |
| Sortino Ratio | 0.50 |
| Calmar Ratio | 2.28 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.28 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 154.3% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 943.1% |
Return Statistics
| Ann Return (w trading costs) | 42.6% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.4% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 42.7% |
Slump
| Current Slump as Pcnt Equity | 8.7% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.0% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.9% |
| Short Options - Percent Covered | 0.0% |
| Percent Trades Stocks | 0.1% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 83.0% |
|---|---|
| Chance of 20% account loss | 53.0% |
| Chance of 30% account loss | 34.0% |
| Chance of 40% account loss | 16.0% |
| Chance of 50% account loss | 3.0% |
| Chance of 60% account loss (Monte Carlo) | 1.0% |
| 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 | $3,544 |
|---|---|
| Avg Win | $19,322 |
| # Winners | 36 |
| Sum Trade PL (losers) | $155,925 |
| Sum Trade PL (winners) | $695,588 |
| Num Months Winners | 15 |
| # Losers | 44 |
| % Winners | 45.0% |
Dividends
| Dividends Received in Model Acct | 17791 |
|---|
Age
| Num Months filled monthly returns table | 33 |
|---|
Frequency
| Avg Position Time (mins) | 366346.12 |
|---|---|
| Avg Position Time (hrs) | 6105.77 |
| Avg Trade Length | 254.40 |
| Last Trade Ago | 1852 |
Leverage
| Daily leverage (average) | 1.70 |
|---|---|
| Daily leverage (max) | 4.04 |
Regression
| Alpha | 0 |
|---|---|
| Beta | 2.35 |
| Treynor Index | 0 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.03 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.01 |
| MAE:Equity, average, losing trades | 0.04 |
| 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 | 0.43 |
| MAE:PL (avg, all trades) | -0.42 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.12 |
| Avg(MAE) / Avg(PL) - Losing trades | -0.96 |
| Hold-and-Hope Ratio | -0.28 |
RATIO STATISTICS
| Mean | 2.96 |
|---|---|
| SD | 3.29 |
| Sharpe ratio (Glass type estimate) | 0.90 |
| Sharpe ratio (Hedges UMVUE) | 0.87 |
| df | 24 |
| t | 1.30 |
| p | 0.10 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.49 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.27 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.51 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.25 |
| Sortino ratio | 6.10 |
| Upside Potential Ratio | 7.36 |
| Upside part of mean | 3.57 |
| Downside part of mean | -0.61 |
| Upside SD | 3.30 |
| Downside SD | 0.49 |
| N nonnegative terms | 16 |
| N negative terms | 9 |
| N of observations | 25 |
| Mean of predictor | 0.47 |
| Mean of criterion | 2.96 |
| SD of predictor | 0.32 |
| SD of criterion | 3.29 |
| Covariance | 0.44 |
| r | 0.42 |
| b (slope, estimate of beta) | 4.30 |
| a (intercept, estimate of alpha) | 0.93 |
| Mean Square Error | 9.33 |
| DF error | 23 |
| t(b) | 2.20 |
| p(b) | 0.02 |
| t(a) | 0.40 |
| p(a) | 0.35 |
| Lowerbound of 95% confidence interval for beta | 0.26 |
| Upperbound of 95% confidence interval for beta | 8.33 |
| Lowerbound of 95% confidence interval for alpha | -3.84 |
| Upperbound of 95% confidence interval for alpha | 5.70 |
| Treynor index (mean / b) | 0.69 |
| Jensen alpha (a) | 0.93 |
| Mean | 1.14 |
| SD | 1.52 |
| Sharpe ratio (Glass type estimate) | 0.75 |
| Sharpe ratio (Hedges UMVUE) | 0.73 |
| df | 24 |
| t | 1.08 |
| p | 0.14 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.63 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.12 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.65 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.10 |
| Sortino ratio | 1.63 |
| Upside Potential Ratio | 2.78 |
| Upside part of mean | 1.94 |
| Downside part of mean | -0.80 |
| Upside SD | 1.35 |
| Downside SD | 0.70 |
| N nonnegative terms | 16 |
| N negative terms | 9 |
| N of observations | 25 |
| Mean of predictor | 0.41 |
| Mean of criterion | 1.14 |
| SD of predictor | 0.33 |
| SD of criterion | 1.52 |
| Covariance | 0.30 |
| r | 0.59 |
| b (slope, estimate of beta) | 2.69 |
| a (intercept, estimate of alpha) | 0.03 |
| Mean Square Error | 1.56 |
| DF error | 23 |
| t(b) | 3.51 |
| p(b) | 0.00 |
| t(a) | 0.04 |
| p(a) | 0.49 |
| Lowerbound of 95% confidence interval for beta | 1.10 |
| Upperbound of 95% confidence interval for beta | 4.27 |
| Lowerbound of 95% confidence interval for alpha | -1.87 |
| Upperbound of 95% confidence interval for alpha | 1.94 |
| Treynor index (mean / b) | 0.42 |
| Jensen alpha (a) | 0.03 |
| VaR(95%) | 0.46 |
| Expected Shortfall on VaR | 0.55 |
| VaR(95%) | 0.09 |
| Expected Shortfall on VaR | 0.21 |
| Mean | 33919.39 |
| SD | 27815.86 |
| Sharpe ratio (Glass type estimate) | 1.22 |
| Sharpe ratio (Hedges UMVUE) | 1.22 |
| df | 550 |
| t | 1.77 |
| p | 0.04 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.13 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.57 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.14 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.57 |
| Sortino ratio | 19903.02 |
| Upside Potential Ratio | 19907.40 |
| Upside part of mean | 33926.85 |
| Downside part of mean | -7.45 |
| Upside SD | 27869.50 |
| Downside SD | 1.70 |
| N nonnegative terms | 283 |
| N negative terms | 268 |
| N of observations | 551 |
| Mean of predictor | 0.49 |
| Mean of criterion | 33919.39 |
| SD of predictor | 0.35 |
| SD of criterion | 27815.86 |
| Covariance | 1752.16 |
| r | 0.18 |
| b (slope, estimate of beta) | 13956.75 |
| a (intercept, estimate of alpha) | 27076.64 |
| Mean Square Error | 750632192 |
| DF error | 549 |
| t(b) | 4.23 |
| p(b) | 0.00 |
| t(a) | 1.43 |
| p(a) | 0.08 |
| Lowerbound of 95% confidence interval for beta | 7480.19 |
| Upperbound of 95% confidence interval for beta | 20433.31 |
| Lowerbound of 95% confidence interval for alpha | -10169.31 |
| Upperbound of 95% confidence interval for alpha | 64322.60 |
| Treynor index (mean / b) | 2.43 |
| Jensen alpha (a) | 27076.64 |
| Mean | 1.16 |
| SD | 18.59 |
| Sharpe ratio (Glass type estimate) | 0.06 |
| Sharpe ratio (Hedges UMVUE) | 0.06 |
| df | 550 |
| t | 0.09 |
| p | 0.46 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.29 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.41 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.29 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.41 |
| Sortino ratio | 0.09 |
| Upside Potential Ratio | 1.93 |
| Upside part of mean | 25.22 |
| Downside part of mean | -24.06 |
| Upside SD | 13.19 |
| Downside SD | 13.08 |
| N nonnegative terms | 283 |
| N negative terms | 268 |
| N of observations | 551 |
| Mean of predictor | 0.43 |
| Mean of criterion | 1.16 |
| SD of predictor | 0.35 |
| SD of criterion | 18.59 |
| Covariance | 2.22 |
| r | 0.34 |
| b (slope, estimate of beta) | 17.66 |
| a (intercept, estimate of alpha) | -6.38 |
| Mean Square Error | 306.92 |
| DF error | 549 |
| t(b) | 8.39 |
| p(b) | 0 |
| t(a) | -0.53 |
| p(a) | 0.70 |
| Lowerbound of 95% confidence interval for beta | 13.53 |
| Upperbound of 95% confidence interval for beta | 21.80 |
| Lowerbound of 95% confidence interval for alpha | -30.18 |
| Upperbound of 95% confidence interval for alpha | 17.41 |
| Treynor index (mean / b) | 0.07 |
| Jensen alpha (a) | -6.38 |
| VaR(95%) | 0.85 |
| Expected Shortfall on VaR | 0.90 |
| VaR(95%) | 0.06 |
| Expected Shortfall on VaR | 0.14 |
| Mean | 142666.75 |
| SD | 56690.10 |
| Sharpe ratio (Glass type estimate) | 2.52 |
| Sharpe ratio (Hedges UMVUE) | 2.50 |
| df | 130 |
| t | 1.78 |
| p | 0.42 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.28 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 5.30 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.29 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 5.29 |
| Sortino ratio | 43705.80 |
| Upside Potential Ratio | 43711.65 |
| Upside part of mean | 142685.83 |
| Downside part of mean | -19.08 |
| Upside SD | 57156.98 |
| Downside SD | 3.26 |
| N nonnegative terms | 70 |
| N negative terms | 61 |
| N of observations | 131 |
| Mean of predictor | 1.28 |
| Mean of criterion | 142666.75 |
| SD of predictor | 0.47 |
| SD of criterion | 56690.10 |
| Covariance | 6977.33 |
| r | 0.26 |
| b (slope, estimate of beta) | 31368.16 |
| a (intercept, estimate of alpha) | 102412.38 |
| Mean Square Error | 3018117376 |
| DF error | 129 |
| t(b) | 3.07 |
| p(b) | 0.34 |
| t(a) | 1.30 |
| p(a) | 0.43 |
| Lowerbound of 95% confidence interval for beta | 11154.84 |
| Upperbound of 95% confidence interval for beta | 51581.49 |
| Lowerbound of 95% confidence interval for alpha | -53478.81 |
| Upperbound of 95% confidence interval for alpha | 258303.56 |
| Treynor index (mean / b) | 4.55 |
| Jensen alpha (a) | 102412.38 |
| Mean | 5.44 |
| SD | 38.18 |
| Sharpe ratio (Glass type estimate) | 0.14 |
| Sharpe ratio (Hedges UMVUE) | 0.14 |
| df | 130 |
| t | 0.10 |
| p | 0.50 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -2.63 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.91 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -2.63 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.91 |
| Sortino ratio | 0.20 |
| Upside Potential Ratio | 3.49 |
| Upside part of mean | 93.40 |
| Downside part of mean | -87.96 |
| Upside SD | 27.00 |
| Downside SD | 26.79 |
| N nonnegative terms | 70 |
| N negative terms | 61 |
| N of observations | 131 |
| Mean of predictor | 1.17 |
| Mean of criterion | 5.44 |
| SD of predictor | 0.47 |
| SD of criterion | 38.18 |
| Covariance | 8.95 |
| r | 0.50 |
| b (slope, estimate of beta) | 40.40 |
| a (intercept, estimate of alpha) | -41.85 |
| Mean Square Error | 1104.55 |
| DF error | 129 |
| t(b) | 6.53 |
| p(b) | 0.20 |
| t(a) | -0.88 |
| p(a) | 0.55 |
| Lowerbound of 95% confidence interval for beta | 28.15 |
| VAR (95 Confidence Intrvl) | 0.85 |
| Upperbound of 95% confidence interval for beta | 52.65 |
| Lowerbound of 95% confidence interval for alpha | -135.94 |
| Upperbound of 95% confidence interval for alpha | 52.24 |
| Treynor index (mean / b) | 0.13 |
| Jensen alpha (a) | -41.85 |
| VaR(95%) | 0.98 |
| Expected Shortfall on VaR | 0.99 |
| VaR(95%) | 0.16 |
| Expected Shortfall on VaR | 0.34 |
ORDER STATISTICS
| Number of observations | 25 |
|---|---|
| Minimum | 0.40 |
| Quartile 1 | 0.98 |
| Median | 1.03 |
| Quartile 3 | 1.11 |
| Maximum | 5.60 |
| Mean of quarter 1 | 0.82 |
| Mean of quarter 2 | 1.01 |
| Mean of quarter 3 | 1.09 |
| Mean of quarter 4 | 2.14 |
| Inter Quartile Range | 0.13 |
| Number outliers low | 2 |
| Percentage of outliers low | 0.08 |
| Mean of outliers low | 0.56 |
| Number of outliers high | 4 |
| Percentage of outliers high | 0.16 |
| Mean of outliers high | 2.62 |
| Extreme Value Index (moments method) | 1.06 |
| VaR(95%) (moments method) | 0.15 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 1.56 |
| VaR(95%) (regression method) | 0.25 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 551 |
| Minimum | 0.00 |
| Quartile 1 | 0.98 |
| Median | 1.00 |
| Quartile 3 | 1.02 |
| Maximum | 26241 |
| Mean of quarter 1 | 0.89 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.01 |
| Mean of quarter 4 | 518.02 |
| Inter Quartile Range | 0.04 |
| Number outliers low | 43 |
| Percentage of outliers low | 0.08 |
| Mean of outliers low | 0.73 |
| Number of outliers high | 48 |
| Percentage of outliers high | 0.09 |
| Mean of outliers high | 1487.34 |
| Extreme Value Index (moments method) | 0.92 |
| VaR(95%) (moments method) | 0.09 |
| Expected Shortfall (moments method) | 1.23 |
| Extreme Value Index (regression method) | -0.06 |
| VaR(95%) (regression method) | 0.07 |
| Expected Shortfall (regression method) | 0.10 |
| Number of observations | 131 |
| Minimum | 0.00 |
| Quartile 1 | 0.95 |
| Median | 1.01 |
| Quartile 3 | 1.11 |
| Maximum | 26241 |
| Mean of quarter 1 | 0.72 |
| Mean of quarter 2 | 0.99 |
| Mean of quarter 3 | 1.05 |
| Mean of quarter 4 | 2162.85 |
| Inter Quartile Range | 0.16 |
| Number outliers low | 9 |
| Percentage of outliers low | 0.07 |
| Mean of outliers low | 0.33 |
| Number of outliers high | 10 |
| Percentage of outliers high | 0.08 |
| Mean of outliers high | 7134.70 |
| Extreme Value Index (moments method) | 0.65 |
| VaR(95%) (moments method) | 0.24 |
| Expected Shortfall (moments method) | 0.78 |
| Extreme Value Index (regression method) | -1.98 |
| VaR(95%) (regression method) | 0.22 |
| Expected Shortfall (regression method) | 0.22 |
DRAW DOWN STATISTICS
| Number of observations | 1 |
|---|---|
| Minimum | 0.72 |
| Quartile 1 | 0.72 |
| Median | 0.72 |
| Quartile 3 | 0.72 |
| Maximum | 0.72 |
| 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 |
| Number of observations | 28 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.06 |
| Quartile 3 | 0.13 |
| Maximum | 1.00 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.03 |
| Mean of quarter 3 | 0.09 |
| Mean of quarter 4 | 0.41 |
| Inter Quartile Range | 0.12 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 4 |
| Percentage of outliers high | 0.14 |
| Mean of outliers high | 0.58 |
| Extreme Value Index (moments method) | 0.05 |
| VaR(95%) (moments method) | 0.35 |
| Expected Shortfall (moments method) | 0.51 |
| Extreme Value Index (regression method) | 0.06 |
| VaR(95%) (regression method) | 0.45 |
| Expected Shortfall (regression method) | 0.66 |
| Number of observations | 12 |
| Minimum | 0.02 |
| Quartile 1 | 0.06 |
| Median | 0.13 |
| Quartile 3 | 0.27 |
| Maximum | 1.00 |
| Mean of quarter 1 | 0.03 |
| Mean of quarter 2 | 0.09 |
| Mean of quarter 3 | 0.17 |
| Mean of quarter 4 | 0.64 |
| Inter Quartile Range | 0.21 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.08 |
| Mean of outliers high | 1.00 |
| Extreme Value Index (moments method) | 0.31 |
| VaR(95%) (moments method) | 0.73 |
| Expected Shortfall (moments method) | 1.12 |
| Extreme Value Index (regression method) | 3.84 |
| VaR(95%) (regression method) | 1.17 |
| Expected Shortfall (regression method) | 0 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -422859296 |
| Max Equity Drawdown (num days) | 18 |
| Last 4 Months - Pcnt Negative | 0.8% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 4.97 |
|---|---|
| Compounded annual return (geometric extrapolation) | 2.21 |
| Calmar ratio (compounded annual return / max draw down) | 3.07 |
| Compounded annual return / average of 25% largest draw downs | 0 |
| Compounded annual return / Expected Shortfall lognormal | 4.03 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 5.31 |
| Compounded annual return (geometric extrapolation) | 2.28 |
| Calmar ratio (compounded annual return / max draw down) | 2.28 |
| Compounded annual return / average of 25% largest draw downs | 5.62 |
| Compounded annual return / Expected Shortfall lognormal | 2.54 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 28.73 |
| Compounded annual return (geometric extrapolation) | 235.01 |
| Calmar ratio (compounded annual return / max draw down) | 235.02 |
| Compounded annual return / average of 25% largest draw downs | 367.22 |
| Compounded annual return / Expected Shortfall lognormal | 237.45 |
Trading record
Placed 75 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| ILMN2117I480 | long | 1 | Feb 22, 2021 | Sep 18, 2021 | ($6,851) |
| NOW2120H550 | long | 1 | Dec 30, 2020 | Aug 21, 2021 | ($7,101) |
| GS2116G320 | long | 1 | Feb 22, 2021 | Jul 17, 2021 | ($2,356) |
| STZ2116G220 | long | 1 | Dec 30, 2020 | Jul 17, 2021 | ($1,851) |
| NFLX2116G580 | long | 1 | Jan 21, 2021 | Jul 17, 2021 | ($6,676) |
| PANW2118F350 | long | 1 | Dec 30, 2020 | Jun 19, 2021 | ($4,096) |
| AVGO2118F470 | long | 1 | Feb 11, 2021 | Jun 19, 2021 | ($4,055) |
| URI2118F280 | long | 1 | Feb 11, 2021 | Jun 19, 2021 | ($3,176) |
| COUP2118F340 | long | 1 | Dec 30, 2020 | Jun 19, 2021 | ($4,971) |
| RH2121E460 | long | 1 | Dec 8, 2020 | May 22, 2021 | ($8,221) |
| LRCX2121E560 | long | 1 | Feb 11, 2021 | May 22, 2021 | ($5,871) |
| NSC2119C240 | long | 1 | Nov 25, 2020 | Mar 20, 2021 | ($1,601) |
| GS2116G280 | long | 1 | Jan 28, 2021 | Feb 22, 2021 | $2,315 |
| ILMN2117I420 | long | 1 | Feb 3, 2021 | Feb 22, 2021 | $2,618 |
| LRCX2121E520 | long | 1 | Jan 28, 2021 | Feb 11, 2021 | $2,325 |
| AVGO2118F440 | long | 1 | Dec 30, 2020 | Feb 11, 2021 | $2,128 |
| URI2118F230 | long | 1 | Dec 30, 2020 | Feb 11, 2021 | $3,359 |
| LRCX2121E480 | long | 1 | Dec 2, 2020 | Jan 28, 2021 | $2,470 |
| KLAC2118F250 | long | 1 | Nov 18, 2020 | Jan 19, 2021 | $4,755 |
| SHOP2118F1200 | long | 1 | Dec 23, 2020 | Dec 31, 2020 | ($3,770) |
| PANW2118F310 | long | 1 | Dec 8, 2020 | Dec 30, 2020 | $3,012 |
| WDAY2118F250 | long | 1 | Dec 23, 2020 | Dec 30, 2020 | ($861) |
| GOOG2118F1780 | long | 1 | Nov 18, 2020 | Dec 30, 2020 | ($2,923) |
| LRCX2121E440 | long | 1 | Nov 18, 2020 | Dec 2, 2020 | $2,215 |
| ROKU2116D280 | long | 1 | Nov 25, 2020 | Dec 1, 2020 | $488 |
| ROKU2116D220 | long | 1 | Oct 12, 2020 | Nov 25, 2020 | $3,126 |
| NOW | long | 100 | Nov 21, 2020 | Nov 25, 2020 | $3,749 |
| OKTA2121E230 | long | 1 | Oct 8, 2020 | Oct 21, 2020 | ($715) |
| ROKU2116D160 | long | 1 | Sep 10, 2020 | Oct 12, 2020 | $3,918 |
| INTU2116D330 | long | 1 | Sep 8, 2020 | Sep 17, 2020 | ($1,352) |
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.