Acadia Crude Oil
- hypothetical · Annual Return (Compounded)
- 122.6%
- Max Drawdown
- 25.7%
- Trades
- 71
- Win Trades
- 36.6%
- Profit Factor
- 2.20
- Win Months
- 7.5%
About this strategy
Acadia Crude Oil is a futures strategy that trades both long and short with WTI Crude Oil. The strategy is designed to be adaptive incorporating direction, momentum & volatility to enter positions with the intention of holding trades for up to hours at a time to maximize trade efficiency. Position sizing is also driven by volatility metrics so it aims to trade smaller during more volatile times and larger during more calm markets. Position sizing is also linked with account value to trade proportionally as equity rises or falls.
The strategy’s trading style is a “structured” approach instead of a discretionary or systematic one, meaning that it has rules to trade by but also uses human input to update parameters as required with the objective of adapting more dynamically to changing market profile. Using this type of approach intends to create a multifaceted trading edge with the goal of a positive expectancy over a large group of trades. Participants should only consider this strategy if they can commit to it for at least 6 months, are interested in the strategy concept and are not investing just because of the track record. During sideways markets the strategy may not trade for days at a time to hopefully reduce whipsaw trades.
This is a more aggressive strategy that isn’t for everyone since it will have its ups and downs and I realized a long time ago that the future is not predictable. All we can really do in the markets is get a perspective on what is presently happening, create a framework to judge it by and update that framework as required.
Acadia Crude Oil is currently trading the Full size Crude Oil contract for better market liquidity.
The strategy’s trading style is a “structured” approach instead of a discretionary or systematic one, meaning that it has rules to trade by but also uses human input to update parameters as required with the objective of adapting more dynamically to changing market profile. Using this type of approach intends to create a multifaceted trading edge with the goal of a positive expectancy over a large group of trades. Participants should only consider this strategy if they can commit to it for at least 6 months, are interested in the strategy concept and are not investing just because of the track record. During sideways markets the strategy may not trade for days at a time to hopefully reduce whipsaw trades.
This is a more aggressive strategy that isn’t for everyone since it will have its ups and downs and I realized a long time ago that the future is not predictable. All we can really do in the markets is get a perspective on what is presently happening, create a framework to judge it by and update that framework as required.
Acadia Crude Oil is currently trading the Full size Crude Oil contract for better market liquidity.
Commodities
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2020 | 23.3 | 115.6 | 62.6 | 6.7 | -5.0 | -4.6 | -2.0 | 1.3 | 0.2 | -2.2 | 0.0 | 306.5 | |
| 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 |
Statistics
Overview
| Strategy began | 2/12/2020 |
|---|---|
| Suggested Minimum Capital | $10,000 |
| Age | 81 months |
| What it trades | Futures |
| # Trades | 71 |
| # Profitable | 26 |
| % Profitable | 36.6% |
| Avg trade duration | 2.4 days |
| Max peak-to-valley drawdown | 25.7% |
| drawdown period | June 07, 2020 - Oct 27, 2020 |
| Annual Return (Compounded) | 122.6% |
| Avg win | $2,338 |
| Avg loss | $621 |
Ratios
| W:L ratio | 2.17 |
|---|---|
| Sharpe Ratio | 0.76 |
| Sortino Ratio | 1.93 |
| Calmar Ratio | 7.35 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.16 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 127.9% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 269.2% |
Return Statistics
| Ann Return (w trading costs) | 122.6% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 1.2% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 24.3% |
Slump
| Current Slump as Pcnt Equity | 24.4% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.9% |
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% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Popularity
| Popularity (Today) | 0 |
|---|---|
| Popularity (Last 6 weeks) | 291 |
| 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 | $621 |
|---|---|
| Avg Win | $2,338 |
| # Winners | 26 |
| Sum Trade PL (losers) | $27,956 |
| Sum Trade PL (winners) | $60,786 |
| Num Months Winners | 6 |
| # Losers | 45 |
| % Winners | 36.6% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 80 |
|---|
Frequency
| Avg Position Time (mins) | 3483.50 |
|---|---|
| Avg Position Time (hrs) | 58.06 |
| Avg Trade Length | 2.40 |
| Last Trade Ago | 2158 |
Leverage
| Daily leverage (average) | 0.99 |
|---|---|
| Daily leverage (max) | 3.06 |
Regression
| Alpha | 0.07 |
|---|---|
| Beta | -0.20 |
| Treynor Index | -0.31 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.03 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0 |
| MAE:Equity, average, losing trades | 0.03 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.02 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 1.63 |
| MAE:PL (avg, all trades) | -0.76 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.20 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.44 |
| Hold-and-Hope Ratio | 0.61 |
RATIO STATISTICS
| Mean | 1.93 |
|---|---|
| SD | 1.11 |
| Sharpe ratio (Glass type estimate) | 1.73 |
| Sharpe ratio (Hedges UMVUE) | 1.61 |
| df | 11 |
| t | 1.73 |
| p | 0.06 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.39 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.79 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.46 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.69 |
| Sortino ratio | 14.60 |
| Upside Potential Ratio | 16.04 |
| Upside part of mean | 2.12 |
| Downside part of mean | -0.19 |
| Upside SD | 1.19 |
| Downside SD | 0.13 |
| N nonnegative terms | 5 |
| N negative terms | 7 |
| N of observations | 12 |
| Mean of predictor | 0.30 |
| Mean of criterion | 1.93 |
| SD of predictor | 0.28 |
| SD of criterion | 1.11 |
| Covariance | -0.19 |
| r | -0.62 |
| b (slope, estimate of beta) | -2.52 |
| a (intercept, estimate of alpha) | 2.69 |
| Mean Square Error | 0.83 |
| DF error | 10 |
| t(b) | -2.52 |
| p(b) | 0.98 |
| t(a) | 2.80 |
| p(a) | 0.01 |
| Lowerbound of 95% confidence interval for beta | -4.74 |
| Upperbound of 95% confidence interval for beta | -0.29 |
| Lowerbound of 95% confidence interval for alpha | 0.55 |
| Upperbound of 95% confidence interval for alpha | 4.84 |
| Treynor index (mean / b) | -0.77 |
| Jensen alpha (a) | 2.69 |
| Mean | 1.43 |
| SD | 0.84 |
| Sharpe ratio (Glass type estimate) | 1.71 |
| Sharpe ratio (Hedges UMVUE) | 1.59 |
| df | 11 |
| t | 1.71 |
| p | 0.06 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.41 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.76 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.48 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.66 |
| Sortino ratio | 10.18 |
| Upside Potential Ratio | 11.60 |
| Upside part of mean | 1.63 |
| Downside part of mean | -0.20 |
| Upside SD | 0.89 |
| Downside SD | 0.14 |
| N nonnegative terms | 5 |
| N negative terms | 7 |
| N of observations | 12 |
| Mean of predictor | 0.26 |
| Mean of criterion | 1.43 |
| SD of predictor | 0.29 |
| SD of criterion | 0.84 |
| Covariance | -0.15 |
| r | -0.62 |
| b (slope, estimate of beta) | -1.78 |
| a (intercept, estimate of alpha) | 1.90 |
| Mean Square Error | 0.48 |
| DF error | 10 |
| t(b) | -2.49 |
| p(b) | 0.98 |
| t(a) | 2.66 |
| p(a) | 0.01 |
| Lowerbound of 95% confidence interval for beta | -3.37 |
| Upperbound of 95% confidence interval for beta | -0.19 |
| Lowerbound of 95% confidence interval for alpha | 0.31 |
| Upperbound of 95% confidence interval for alpha | 3.50 |
| Treynor index (mean / b) | -0.80 |
| Jensen alpha (a) | 1.90 |
| VaR(95%) | 0.24 |
| Expected Shortfall on VaR | 0.31 |
| VaR(95%) | 0.04 |
| Expected Shortfall on VaR | 0.08 |
| Mean | 1.60 |
| SD | 0.72 |
| Sharpe ratio (Glass type estimate) | 2.22 |
| Sharpe ratio (Hedges UMVUE) | 2.21 |
| df | 272 |
| t | 2.26 |
| p | 0.01 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.29 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.15 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.28 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.14 |
| Sortino ratio | 7.03 |
| Upside Potential Ratio | 12.73 |
| Upside part of mean | 2.89 |
| Downside part of mean | -1.29 |
| Upside SD | 0.69 |
| Downside SD | 0.23 |
| N nonnegative terms | 82 |
| N negative terms | 191 |
| N of observations | 273 |
| Mean of predictor | 0.34 |
| Mean of criterion | 1.60 |
| SD of predictor | 0.35 |
| SD of criterion | 0.72 |
| Covariance | -0.07 |
| r | -0.29 |
| b (slope, estimate of beta) | -0.60 |
| a (intercept, estimate of alpha) | 1.23 |
| Mean Square Error | 0.48 |
| DF error | 271 |
| t(b) | -5.03 |
| p(b) | 1 |
| t(a) | 2.66 |
| p(a) | 0.00 |
| Lowerbound of 95% confidence interval for beta | -0.84 |
| Upperbound of 95% confidence interval for beta | -0.37 |
| Lowerbound of 95% confidence interval for alpha | 0.47 |
| Upperbound of 95% confidence interval for alpha | 3.14 |
| Treynor index (mean / b) | -2.65 |
| Jensen alpha (a) | 1.80 |
| Mean | 1.37 |
| SD | 0.64 |
| Sharpe ratio (Glass type estimate) | 2.14 |
| Sharpe ratio (Hedges UMVUE) | 2.14 |
| df | 272 |
| t | 2.19 |
| p | 0.01 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.21 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.07 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.21 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.07 |
| Sortino ratio | 5.83 |
| Upside Potential Ratio | 11.43 |
| Upside part of mean | 2.70 |
| Downside part of mean | -1.32 |
| Upside SD | 0.60 |
| Downside SD | 0.24 |
| N nonnegative terms | 82 |
| N negative terms | 191 |
| N of observations | 273 |
| Mean of predictor | 0.28 |
| Mean of criterion | 1.37 |
| SD of predictor | 0.35 |
| SD of criterion | 0.64 |
| Covariance | -0.07 |
| r | -0.29 |
| b (slope, estimate of beta) | -0.53 |
| a (intercept, estimate of alpha) | 1.52 |
| Mean Square Error | 0.38 |
| DF error | 271 |
| t(b) | -5.03 |
| p(b) | 1 |
| t(a) | 2.53 |
| p(a) | 0.01 |
| Lowerbound of 95% confidence interval for beta | -0.74 |
| Upperbound of 95% confidence interval for beta | -0.33 |
| Lowerbound of 95% confidence interval for alpha | 0.34 |
| Upperbound of 95% confidence interval for alpha | 2.71 |
| Treynor index (mean / b) | -2.57 |
| Jensen alpha (a) | 1.52 |
| VaR(95%) | 0.06 |
| Expected Shortfall on VaR | 0.07 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.03 |
| Mean | -0.00 |
| SD | 0.15 |
| Sharpe ratio (Glass type estimate) | -0.03 |
| Sharpe ratio (Hedges UMVUE) | -0.03 |
| df | 130 |
| t | -0.02 |
| p | 0.50 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -2.80 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.74 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -2.80 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.75 |
| Sortino ratio | -0.04 |
| Upside Potential Ratio | 5.59 |
| Upside part of mean | 0.52 |
| Downside part of mean | -0.53 |
| Upside SD | 0.12 |
| Downside SD | 0.09 |
| N nonnegative terms | 18 |
| N negative terms | 113 |
| N of observations | 131 |
| Mean of predictor | 0.55 |
| Mean of criterion | -0.00 |
| SD of predictor | 0.20 |
| SD of criterion | 0.15 |
| Covariance | -0.01 |
| r | -0.19 |
| b (slope, estimate of beta) | -0.14 |
| a (intercept, estimate of alpha) | 0.07 |
| Mean Square Error | 0.02 |
| DF error | 129 |
| t(b) | -2.16 |
| p(b) | 0.62 |
| t(a) | 0.34 |
| p(a) | 0.48 |
| Lowerbound of 95% confidence interval for beta | -0.26 |
| Upperbound of 95% confidence interval for beta | -0.01 |
| Lowerbound of 95% confidence interval for alpha | -0.35 |
| Upperbound of 95% confidence interval for alpha | 0.49 |
| Treynor index (mean / b) | 0.03 |
| Jensen alpha (a) | 0.07 |
| Mean | -0.02 |
| SD | 0.15 |
| Sharpe ratio (Glass type estimate) | -0.10 |
| Sharpe ratio (Hedges UMVUE) | -0.10 |
| df | 130 |
| t | -0.07 |
| p | 0.50 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -2.87 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.67 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -2.87 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.67 |
| Sortino ratio | -0.16 |
| Upside Potential Ratio | 5.45 |
| Upside part of mean | 0.52 |
| Downside part of mean | -0.53 |
| Upside SD | 0.11 |
| Downside SD | 0.09 |
| N nonnegative terms | 18 |
| N negative terms | 113 |
| N of observations | 131 |
| Mean of predictor | 0.53 |
| Mean of criterion | -0.02 |
| SD of predictor | 0.20 |
| SD of criterion | 0.15 |
| Covariance | -0.01 |
| r | -0.19 |
| b (slope, estimate of beta) | -0.14 |
| a (intercept, estimate of alpha) | 0.06 |
| Mean Square Error | 0.02 |
| DF error | 129 |
| t(b) | -2.17 |
| p(b) | 0.62 |
| t(a) | 0.27 |
| p(a) | 0.48 |
| Lowerbound of 95% confidence interval for beta | -0.26 |
| VAR (95 Confidence Intrvl) | 0.05 |
| Upperbound of 95% confidence interval for beta | -0.01 |
| Lowerbound of 95% confidence interval for alpha | -0.36 |
| Upperbound of 95% confidence interval for alpha | 0.47 |
| Treynor index (mean / b) | 0.11 |
| Jensen alpha (a) | 0.06 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.02 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
ORDER STATISTICS
| Number of observations | 12 |
|---|---|
| Minimum | 0.87 |
| Quartile 1 | 0.99 |
| Median | 1 |
| Quartile 3 | 1.19 |
| Maximum | 1.82 |
| Mean of quarter 1 | 0.95 |
| Mean of quarter 2 | 0.99 |
| Mean of quarter 3 | 1.06 |
| Mean of quarter 4 | 1.65 |
| Inter Quartile Range | 0.21 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 2 |
| Percentage of outliers high | 0.17 |
| Mean of outliers high | 1.81 |
| Extreme Value Index (moments method) | 1.07 |
| VaR(95%) (moments method) | 0.05 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 4.38 |
| VaR(95%) (regression method) | 0.18 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 273 |
| Minimum | 0.87 |
| Quartile 1 | 1.00 |
| Median | 1 |
| Quartile 3 | 1.00 |
| Maximum | 1.51 |
| Mean of quarter 1 | 0.98 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.04 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 28 |
| Percentage of outliers low | 0.10 |
| Mean of outliers low | 0.96 |
| Number of outliers high | 45 |
| Percentage of outliers high | 0.16 |
| Mean of outliers high | 1.06 |
| Extreme Value Index (moments method) | 0.81 |
| VaR(95%) (moments method) | 0.02 |
| Expected Shortfall (moments method) | 0.10 |
| Extreme Value Index (regression method) | 0.59 |
| VaR(95%) (regression method) | 0.02 |
| Expected Shortfall (regression method) | 0.04 |
| Number of observations | 131 |
| Minimum | 0.97 |
| Quartile 1 | 1.00 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.04 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0.00 |
| Number outliers low | 32 |
| Percentage of outliers low | 0.24 |
| Mean of outliers low | 0.99 |
| Number of outliers high | 18 |
| Percentage of outliers high | 0.14 |
| Mean of outliers high | 1.01 |
| Extreme Value Index (moments method) | 0.41 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.01 |
| Extreme Value Index (regression method) | 0.42 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.02 |
DRAW DOWN STATISTICS
| Number of observations | 1 |
|---|---|
| Minimum | 0.14 |
| Quartile 1 | 0.14 |
| Median | 0.14 |
| Quartile 3 | 0.14 |
| Maximum | 0.14 |
| 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 | 14 |
| Minimum | 0.00 |
| Quartile 1 | 0.02 |
| Median | 0.05 |
| Quartile 3 | 0.10 |
| Maximum | 0.21 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.04 |
| Mean of quarter 3 | 0.08 |
| Mean of quarter 4 | 0.14 |
| Inter Quartile Range | 0.08 |
| 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) | 0.05 |
| VaR(95%) (moments method) | 0.16 |
| Expected Shortfall (moments method) | 0.20 |
| Extreme Value Index (regression method) | 1.94 |
| VaR(95%) (regression method) | 0.19 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 4 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.02 |
| Quartile 3 | 0.05 |
| 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 | 0.13 |
| Inter Quartile Range | 0.05 |
| 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 | 0.13 |
| 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? | -299920096 |
| Max Equity Drawdown (num days) | 142 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 3.31 |
|---|---|
| Compounded annual return (geometric extrapolation) | 3.31 |
| Calmar ratio (compounded annual return / max draw down) | 24.14 |
| Compounded annual return / average of 25% largest draw downs | 0 |
| Compounded annual return / Expected Shortfall lognormal | 10.57 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 3.18 |
| Compounded annual return (geometric extrapolation) | 3.06 |
| Calmar ratio (compounded annual return / max draw down) | 14.81 |
| Compounded annual return / average of 25% largest draw downs | 21.54 |
| Compounded annual return / Expected Shortfall lognormal | 41.69 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.01 |
| Compounded annual return (geometric extrapolation) | 0.01 |
| Calmar ratio (compounded annual return / max draw down) | 0.10 |
| Compounded annual return / average of 25% largest draw downs | 0.10 |
| Compounded annual return / Expected Shortfall lognormal | 0.69 |
Trading record
Placed 111 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| QCL F1 | short | 1 | Nov 19, 2020 | Nov 19, 2020 | ($88) |
| QCL Z0 | short | 1 | Nov 17, 2020 | Nov 17, 2020 | ($388) |
| QCL Z0 | short | 1 | Nov 17, 2020 | Nov 17, 2020 | ($148) |
| QCL Z0 | long | 1 | Nov 17, 2020 | Nov 17, 2020 | ($298) |
| QCL Z0 | long | 1 | Nov 16, 2020 | Nov 16, 2020 | ($18) |
| QCL Z0 | long | 1 | Nov 16, 2020 | Nov 16, 2020 | $572 |
| QCL Z0 | short | 1 | Nov 13, 2020 | Nov 13, 2020 | $52 |
| QCL Z0 | short | 1 | Nov 13, 2020 | Nov 13, 2020 | ($138) |
| QCL Z0 | short | 1 | Nov 13, 2020 | Nov 13, 2020 | ($38) |
| QCL Z0 | long | 1 | Nov 12, 2020 | Nov 12, 2020 | ($468) |
| QCL Z0 | long | 1 | Nov 12, 2020 | Nov 12, 2020 | ($178) |
| QCL Z0 | short | 1 | Nov 12, 2020 | Nov 12, 2020 | ($248) |
| QCL Z0 | short | 1 | Nov 12, 2020 | Nov 12, 2020 | ($188) |
| QCL Z0 | long | 1 | Nov 10, 2020 | Nov 10, 2020 | ($8) |
| QCL Z0 | long | 1 | Nov 9, 2020 | Nov 9, 2020 | $2,292 |
| QCL Z0 | short | 1 | Oct 25, 2020 | Nov 3, 2020 | $2,272 |
| QCL Z0 | long | 1 | Oct 20, 2020 | Oct 25, 2020 | ($2,078) |
| QCL Z0 | short | 1 | Oct 15, 2020 | Oct 20, 2020 | ($1,558) |
| QCL X0 | short | 1 | Oct 15, 2020 | Oct 15, 2020 | ($398) |
| QCL X0 | short | 1 | Sep 21, 2020 | Oct 6, 2020 | ($368) |
| @QM V0 | short | 1 | Sep 2, 2020 | Sep 15, 2020 | $1,755 |
| @QM V0 | long | 1 | Aug 25, 2020 | Sep 2, 2020 | ($277) |
| @QM V0 | long | 1 | Aug 19, 2020 | Aug 20, 2020 | ($421) |
| @QM U0 | long | 1 | Aug 4, 2020 | Aug 19, 2020 | $734 |
| @QM U0 | short | 2 | Jul 30, 2020 | Aug 4, 2020 | ($974) |
| @QM U0 | long | 1 | Jul 14, 2020 | Jul 24, 2020 | ($181) |
| @QM Q0 | long | 1 | Jul 8, 2020 | Jul 9, 2020 | ($496) |
| @QM Q0 | long | 2 | Jul 6, 2020 | Jul 7, 2020 | ($616) |
| @QM Q0 | long | 2 | Jul 2, 2020 | Jul 3, 2020 | ($287) |
| @QM Q0 | long | 2 | Jun 30, 2020 | Jul 1, 2020 | ($487) |
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.