Delta CME
- hypothetical · Annual Return (Compounded)
- -14.4%
- Max Drawdown
- 57.6%
- Trades
- 6
- Win Trades
- 50.0%
- Profit Factor
- 0.10
- Win Months
- 1.6%
About this strategy
Hello,
This system "Delta CME" (Futures) is identical to the my system "Delta FX" (Forex) | https://collective2.com/details/137074309
1) Trading experience since 2006. Experience in managing a fund of 20 million USD. The plan and goal for the future is to open a hedge fund.
2) My public verified trading results | 2011 + 12.11% | 2012 + 105.51% | 2013 + 272.49% | 2014 + 182.49% | 2015 + 121.17% | 2016 + 65.57% | 2017 + 18.24% | 2018 + 88.6% | 2019 +16.5%.
3) Manual trading is based on the use of advanced mathematical algorithms that generate accurate entry and exit signals, as well as on the analysis of intraday currency futures of the Chicago Mercantile Exchange (CME Group).
4) Trading is carried out both by trend and reversal, on CME currency futures: British Pound Futures, Euro FX Futures, Australian Dollar Futures, Japanese Yen Futures, Canadian Dollar Futures, Swiss Franc Futures.
5) Each trade is protected by stop loss. Prior to the opening of each trade, a risk calculation is made and only after that a trade is opened. Risk control takes first place in the system.
6) Maximum Position Sizes for Medallion CME | In order to comply with rules imposed by market regulators, including the CME and the CFTC, Collective2 restricts the size of trades that can be placed at exchanges.
7) Maximum drawdown per month 10%. The risk for you may be more than 10% if you connected not from the 1st of the month.
8) Not a martingale.
9) I recommend that subscribers in the settings set the parameters of the maximum entry and the risk per month no more than 10%. Be sure to do this.
10) Maximum open volume, trading account size from 120,000 USD to 140,000 USD:
British Pound Futures = 10 lots (10 * 62,500 USD)
Euro FX Futures = 5 lots (5 * 125,000 USD)
Australian Dollar Futures = 6 lots (6 * 100,000 USD)
Japanese Yen Futures = 5 lots (5 * 125,000 USD)
Canadian Dollar Futures = 6 lots (6 * 100,000 USD)
Swiss Franc Futures = 5 lots (5 * 125,000 USD)
September 14, 2021
Michael
This system "Delta CME" (Futures) is identical to the my system "Delta FX" (Forex) | https://collective2.com/details/137074309
1) Trading experience since 2006. Experience in managing a fund of 20 million USD. The plan and goal for the future is to open a hedge fund.
2) My public verified trading results | 2011 + 12.11% | 2012 + 105.51% | 2013 + 272.49% | 2014 + 182.49% | 2015 + 121.17% | 2016 + 65.57% | 2017 + 18.24% | 2018 + 88.6% | 2019 +16.5%.
3) Manual trading is based on the use of advanced mathematical algorithms that generate accurate entry and exit signals, as well as on the analysis of intraday currency futures of the Chicago Mercantile Exchange (CME Group).
4) Trading is carried out both by trend and reversal, on CME currency futures: British Pound Futures, Euro FX Futures, Australian Dollar Futures, Japanese Yen Futures, Canadian Dollar Futures, Swiss Franc Futures.
5) Each trade is protected by stop loss. Prior to the opening of each trade, a risk calculation is made and only after that a trade is opened. Risk control takes first place in the system.
6) Maximum Position Sizes for Medallion CME | In order to comply with rules imposed by market regulators, including the CME and the CFTC, Collective2 restricts the size of trades that can be placed at exchanges.
7) Maximum drawdown per month 10%. The risk for you may be more than 10% if you connected not from the 1st of the month.
8) Not a martingale.
9) I recommend that subscribers in the settings set the parameters of the maximum entry and the risk per month no more than 10%. Be sure to do this.
10) Maximum open volume, trading account size from 120,000 USD to 140,000 USD:
British Pound Futures = 10 lots (10 * 62,500 USD)
Euro FX Futures = 5 lots (5 * 125,000 USD)
Australian Dollar Futures = 6 lots (6 * 100,000 USD)
Japanese Yen Futures = 5 lots (5 * 125,000 USD)
Canadian Dollar Futures = 6 lots (6 * 100,000 USD)
Swiss Franc Futures = 5 lots (5 * 125,000 USD)
September 14, 2021
Michael
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2021 | -14.6 | 2.4 | -48.4 | 0.0 | -54.9 | ||||||||
| 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 |
Statistics
Overview
| Strategy began | 9/13/2021 |
|---|---|
| Suggested Minimum Capital | $125,000 |
| Age | 62 months |
| What it trades | Futures |
| # Trades | 6 |
| # Profitable | 3 |
| % Profitable | 50.0% |
| Avg trade duration | 13.1 days |
| Max peak-to-valley drawdown | 57.6% |
| drawdown period | Oct 13, 2021 - Nov 30, 2021 |
| Annual Return (Compounded) | -14.4% |
| Avg win | $1,948 |
| Avg loss | $24,046 |
Ratios
| W:L ratio | 0.08 |
|---|---|
| Sharpe Ratio | -0.85 |
| Sortino Ratio | -0.95 |
| Calmar Ratio | -0.93 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.04 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 69.4% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -128.2% |
Return Statistics
| Ann Return (w trading costs) | -14.4% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | -0.1% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | -13.7% |
Slump
| Current Slump as Pcnt Equity | 135.8% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 1.0% |
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 | 100.0% |
|---|---|
| Chance of 20% account loss | 100.0% |
| Chance of 30% account loss | 100.0% |
| Chance of 40% account loss | 100.0% |
| Chance of 50% account loss | 100.0% |
| Chance of 60% account loss (Monte Carlo) | 17.5% |
| 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 | $24,046 |
|---|---|
| Avg Win | $1,948 |
| # Winners | 3 |
| Sum Trade PL (losers) | $72,138 |
| Sum Trade PL (winners) | $5,845 |
| Num Months Winners | 1 |
| # Losers | 3 |
| % Winners | 50.0% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 62 |
|---|
Frequency
| Avg Position Time (mins) | 18879.88 |
|---|---|
| Avg Position Time (hrs) | 314.67 |
| Avg Trade Length | 13.10 |
| Last Trade Ago | 1800 |
Leverage
| Daily leverage (average) | 12.44 |
|---|---|
| Daily leverage (max) | 20.21 |
Regression
| Alpha | -0.05 |
|---|---|
| Beta | 0.04 |
| Treynor Index | -1.28 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.27 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.85 |
| MAE:Equity, average, losing trades | 0.44 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | -1.77 |
| MAE:PL (avg, all trades) | -2.96 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.17 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.62 |
| Hold-and-Hope Ratio | -0.56 |
RATIO STATISTICS
| Mean | -0.60 |
|---|---|
| SD | 0.47 |
| Sharpe ratio (Glass type estimate) | -1.27 |
| Sharpe ratio (Hedges UMVUE) | -1.18 |
| df | 11 |
| t | -1.27 |
| p | 0.88 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.27 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.79 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.20 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.84 |
| Sortino ratio | -1.25 |
| Upside Potential Ratio | 0.13 |
| Upside part of mean | 0.06 |
| Downside part of mean | -0.67 |
| Upside SD | 0.06 |
| Downside SD | 0.48 |
| N nonnegative terms | 10 |
| N negative terms | 2 |
| N of observations | 12 |
| Mean of predictor | 0.57 |
| Mean of criterion | -0.60 |
| SD of predictor | 0.45 |
| SD of criterion | 0.47 |
| Covariance | 0.00 |
| r | 0.00 |
| b (slope, estimate of beta) | 0.00 |
| a (intercept, estimate of alpha) | -0.60 |
| Mean Square Error | 0.25 |
| DF error | 10 |
| t(b) | 0.01 |
| p(b) | 0.50 |
| t(a) | -1.13 |
| p(a) | 0.86 |
| Lowerbound of 95% confidence interval for beta | -0.74 |
| Upperbound of 95% confidence interval for beta | 0.75 |
| Lowerbound of 95% confidence interval for alpha | -1.79 |
| Upperbound of 95% confidence interval for alpha | 0.58 |
| Treynor index (mean / b) | -267.22 |
| Jensen alpha (a) | -0.60 |
| Mean | -0.76 |
| SD | 0.59 |
| Sharpe ratio (Glass type estimate) | -1.29 |
| Sharpe ratio (Hedges UMVUE) | -1.20 |
| df | 11 |
| t | -1.29 |
| p | 0.89 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.30 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.77 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.23 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.82 |
| Sortino ratio | -1.27 |
| Upside Potential Ratio | 0.10 |
| Upside part of mean | 0.06 |
| Downside part of mean | -0.82 |
| Upside SD | 0.06 |
| Downside SD | 0.60 |
| N nonnegative terms | 10 |
| N negative terms | 2 |
| N of observations | 12 |
| Mean of predictor | 0.48 |
| Mean of criterion | -0.76 |
| SD of predictor | 0.41 |
| SD of criterion | 0.59 |
| Covariance | -0.00 |
| r | -0.02 |
| b (slope, estimate of beta) | -0.03 |
| a (intercept, estimate of alpha) | -0.75 |
| Mean Square Error | 0.38 |
| DF error | 10 |
| t(b) | -0.06 |
| p(b) | 0.52 |
| t(a) | -1.14 |
| p(a) | 0.86 |
| Lowerbound of 95% confidence interval for beta | -1.05 |
| Upperbound of 95% confidence interval for beta | 0.99 |
| Lowerbound of 95% confidence interval for alpha | -2.20 |
| Upperbound of 95% confidence interval for alpha | 0.71 |
| Treynor index (mean / b) | 26.32 |
| Jensen alpha (a) | -0.75 |
| VaR(95%) | 0.29 |
| Expected Shortfall on VaR | 0.34 |
| VaR(95%) | 0.05 |
| Expected Shortfall on VaR | 0.14 |
| Mean | -0.67 |
| SD | 0.35 |
| Sharpe ratio (Glass type estimate) | -1.88 |
| Sharpe ratio (Hedges UMVUE) | -1.88 |
| df | 270 |
| t | -1.92 |
| p | 0.97 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.82 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.05 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.81 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.05 |
| Sortino ratio | -2.12 |
| Upside Potential Ratio | 2.14 |
| Upside part of mean | 0.67 |
| Downside part of mean | -1.34 |
| Upside SD | 0.17 |
| Downside SD | 0.32 |
| N nonnegative terms | 240 |
| N negative terms | 31 |
| N of observations | 271 |
| Mean of predictor | 0.59 |
| Mean of criterion | -0.67 |
| SD of predictor | 0.36 |
| SD of criterion | 0.35 |
| Covariance | 0.01 |
| r | 0.05 |
| b (slope, estimate of beta) | 0.05 |
| a (intercept, estimate of alpha) | -0.69 |
| Mean Square Error | 0.13 |
| DF error | 269 |
| t(b) | 0.76 |
| p(b) | 0.22 |
| t(a) | -1.98 |
| p(a) | 0.98 |
| Lowerbound of 95% confidence interval for beta | -0.07 |
| Upperbound of 95% confidence interval for beta | 0.16 |
| Lowerbound of 95% confidence interval for alpha | -1.38 |
| Upperbound of 95% confidence interval for alpha | -0.00 |
| Treynor index (mean / b) | -14.70 |
| Jensen alpha (a) | -0.69 |
| Mean | -0.73 |
| SD | 0.37 |
| Sharpe ratio (Glass type estimate) | -2.00 |
| Sharpe ratio (Hedges UMVUE) | -2.00 |
| df | 270 |
| t | -2.04 |
| p | 0.98 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.94 |
| Upperbound of 95% confidence interval for Sharpe Ratio | -0.07 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.93 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.06 |
| Sortino ratio | -2.22 |
| Upside Potential Ratio | 2.00 |
| Upside part of mean | 0.66 |
| Downside part of mean | -1.39 |
| Upside SD | 0.16 |
| Downside SD | 0.33 |
| N nonnegative terms | 240 |
| N negative terms | 31 |
| N of observations | 271 |
| Mean of predictor | 0.53 |
| Mean of criterion | -0.73 |
| SD of predictor | 0.36 |
| SD of criterion | 0.37 |
| Covariance | 0.01 |
| r | 0.05 |
| b (slope, estimate of beta) | 0.05 |
| a (intercept, estimate of alpha) | -0.76 |
| Mean Square Error | 0.13 |
| DF error | 269 |
| t(b) | 0.75 |
| p(b) | 0.23 |
| t(a) | -2.10 |
| p(a) | 0.98 |
| Lowerbound of 95% confidence interval for beta | -0.08 |
| Upperbound of 95% confidence interval for beta | 0.17 |
| Lowerbound of 95% confidence interval for alpha | -1.47 |
| Upperbound of 95% confidence interval for alpha | -0.05 |
| Treynor index (mean / b) | -15.93 |
| Jensen alpha (a) | -0.76 |
| VaR(95%) | 0.04 |
| Expected Shortfall on VaR | 0.05 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.01 |
| 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 | 1.21 |
| Mean of criterion | 0 |
| SD of predictor | 0.47 |
| 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 | 1.10 |
| Mean of criterion | 0 |
| SD of predictor | 0.47 |
| 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) | 0.04 |
| 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 | 12 |
|---|---|
| Minimum | 0.60 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.06 |
| Mean of quarter 1 | 0.78 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.02 |
| Inter Quartile Range | 0 |
| Number outliers low | 2 |
| Percentage of outliers low | 0.17 |
| Mean of outliers low | 0.67 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.08 |
| Mean of outliers high | 1.06 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | -1.89 |
| VaR(95%) (regression method) | 0.56 |
| Expected Shortfall (regression method) | 0.59 |
| Number of observations | 271 |
| Minimum | 0.87 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.08 |
| Mean of quarter 1 | 0.98 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0 |
| Number outliers low | 31 |
| Percentage of outliers low | 0.11 |
| Mean of outliers low | 0.96 |
| Number of outliers high | 26 |
| Percentage of outliers high | 0.10 |
| Mean of outliers high | 1.03 |
| Extreme Value Index (moments method) | -0.35 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.01 |
| Extreme Value Index (regression method) | -0.17 |
| VaR(95%) (regression method) | 0.03 |
| Expected Shortfall (regression method) | 0.05 |
| 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 | 1 |
|---|---|
| Minimum | 0.56 |
| Quartile 1 | 0.56 |
| Median | 0.56 |
| Quartile 3 | 0.56 |
| Maximum | 0.56 |
| 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 | 2 |
| Minimum | 0.18 |
| Quartile 1 | 0.27 |
| Median | 0.37 |
| Quartile 3 | 0.46 |
| Maximum | 0.56 |
| Mean of quarter 1 | 0.18 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.56 |
| Inter Quartile Range | 0.19 |
| 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 | 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? | -1195965952 |
| Max Equity Drawdown (num days) | 48 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | -0.53 |
|---|---|
| Compounded annual return (geometric extrapolation) | -0.53 |
| Calmar ratio (compounded annual return / max draw down) | -0.95 |
| Compounded annual return / average of 25% largest draw downs | 0 |
| Compounded annual return / Expected Shortfall lognormal | -1.58 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.51 |
| Compounded annual return (geometric extrapolation) | -0.52 |
| Calmar ratio (compounded annual return / max draw down) | -0.93 |
| Compounded annual return / average of 25% largest draw downs | -0.93 |
| Compounded annual return / Expected Shortfall lognormal | -10.78 |
| 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 62 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| @BP Z1 | long | 44 | Oct 21, 2021 | Nov 30, 2021 | ($63,683) |
| @EU Z1 | long | 1 | Nov 17, 2021 | Nov 17, 2021 | $330 |
| @BP Z1 | short | 99 | Oct 7, 2021 | Oct 21, 2021 | ($6,761) |
| @BP Z1 | long | 111 | Sep 14, 2021 | Oct 7, 2021 | ($3,726) |
| @BP Z1 | short | 1 | Sep 14, 2021 | Sep 14, 2021 | $105 |
| @BP Z1 | long | 23 | Sep 13, 2021 | Sep 14, 2021 | $5,210 |
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.