Merqatrx Ratio
- hypothetical · Cumul. Return
- -6.7%
- Max Drawdown
- 20.1%
- Trades
- 205
- Win Trades
- 50.2%
- Profit Factor
- 0.70
- Win Months
- 40.0%
About this strategy
Mercatrix (Latin: The Trader) – reinvented as the modern trading system "Merqatrx", which presents the "Ratio" strategy to you here.
Ratio is a sophisticated, institutional-grade algorithmic trading strategy designed to navigate the complexities of the US equity markets through a multi-layered, adaptive framework.
Strategy Philosophy: Adaptive Resilience
Rather than relying on a single market view, this strategy utilizes a multi-regime logic that dynamically shifts capital between aggressive growth, tactical defense, and proactive hedging. It is engineered to capture upside momentum while maintaining a high-sensitivity "emergency brake" for market turbulence.
Key Pillars of the Strategy
Dynamic Momentum Engine: When markets show clear strength, the core algorithm focuses on high-performing indices like the Nasdaq-100, S&P 500, and Russell 2000, using trend-following filters to ensure participation in sustained rallies.
Multi-Layered Protection: The strategy features a reactive "Dump Catcher" designed to detect rapid market declines (drawdowns exceeding a significant limit over several days) and immediately rotate into the safety of short-term treasuries.
Tactical "Defense First" Framework: By monitoring the US Dollar, sector relative strength, and corporate bond yields, the strategy identifies shifts in market sentiment to pivot between "Bull," "Mild," and "Bear" states.
Proactive Volatility Hedging: Unlike passive portfolios, this strategy actively monitors volatility levels (VIX) and overbought conditions to deploy tail-risk hedges through gold and volatility instruments, aiming to profit from market stress rather than just enduring it.
Stabilizing Ballast: A dedicated component uses Inverse Volatility weighting across commodities, the US dollar, and gold to reduce overall portfolio fluctuations and provide a stable foundation regardless of the economic backdrop.
Who is this for?
Merqatrx Ratio is built for investors seeking a comprehensive, hands-off solution that balances aggressive equity exposure with sophisticated risk management tools typically reserved for professional fund managers.
Ratio is a sophisticated, institutional-grade algorithmic trading strategy designed to navigate the complexities of the US equity markets through a multi-layered, adaptive framework.
Strategy Philosophy: Adaptive Resilience
Rather than relying on a single market view, this strategy utilizes a multi-regime logic that dynamically shifts capital between aggressive growth, tactical defense, and proactive hedging. It is engineered to capture upside momentum while maintaining a high-sensitivity "emergency brake" for market turbulence.
Key Pillars of the Strategy
Dynamic Momentum Engine: When markets show clear strength, the core algorithm focuses on high-performing indices like the Nasdaq-100, S&P 500, and Russell 2000, using trend-following filters to ensure participation in sustained rallies.
Multi-Layered Protection: The strategy features a reactive "Dump Catcher" designed to detect rapid market declines (drawdowns exceeding a significant limit over several days) and immediately rotate into the safety of short-term treasuries.
Tactical "Defense First" Framework: By monitoring the US Dollar, sector relative strength, and corporate bond yields, the strategy identifies shifts in market sentiment to pivot between "Bull," "Mild," and "Bear" states.
Proactive Volatility Hedging: Unlike passive portfolios, this strategy actively monitors volatility levels (VIX) and overbought conditions to deploy tail-risk hedges through gold and volatility instruments, aiming to profit from market stress rather than just enduring it.
Stabilizing Ballast: A dedicated component uses Inverse Volatility weighting across commodities, the US dollar, and gold to reduce overall portfolio fluctuations and provide a stable foundation regardless of the economic backdrop.
Who is this for?
Merqatrx Ratio is built for investors seeking a comprehensive, hands-off solution that balances aggressive equity exposure with sophisticated risk management tools typically reserved for professional fund managers.
Trend-following Sector Rotation
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -1.0 | 1.2 | -0.2 | 0.9 | -1.0 | -3.1 | -3.9 | 0.4 | -1.3 | 1.3 | -6.7 |
Statistics
Overview
| Strategy began | 1/28/2026 |
|---|---|
| Suggested Minimum Capital | $15,000 |
| Age | 9 months |
| C2 Rank | 944 |
| Rank at C2 % | Top 5.6% |
| Rank # | #57 |
| What it trades | Stocks |
| # Trades | 205 |
| # Profitable | 103 |
| % Profitable | 50.2% |
| Avg trade duration | 17.6 days |
| Max peak-to-valley drawdown | 20.1% |
| drawdown period | April 21, 2026 - Sept 15, 2026 |
| Cumul. Return | -6.7% |
| Avg win | $87 |
| Avg loss | $144 |
Ratios
| W:L ratio | 0.70 |
|---|---|
| Sharpe Ratio | -1.52 |
| Sortino Ratio | -1.91 |
| Calmar Ratio | -0.77 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.06 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 9.8% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -16.5% |
Return Statistics
| Ann Return (w trading costs) | -8.9% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | -0.1% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | -6.8% |
Slump
| Current Slump as Pcnt Equity | 15.0% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.7% |
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 | 75.0% |
|---|---|
| Chance of 20% account loss | 15.5% |
| 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 | 99.8% |
|---|
Popularity
| Popularity (Today) | 428 |
|---|---|
| Popularity (Last 6 weeks) | 794 |
| C2 Score | 944 |
| Popularity (7 days, Percentile 1000 scale) | 654 |
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $149 |
|---|---|
| Avg Win | $93 |
| # Winners | 103 |
| Sum Trade PL (losers) | $15,245 |
| Sum Trade PL (winners) | $9,562 |
| Num Months Winners | 4 |
| # Losers | 102 |
| % Winners | 50.2% |
Dividends
| Dividends Received in Model Acct | 672 |
|---|
Age
| Num Months filled monthly returns table | 10 |
|---|
Frequency
| Avg Position Time (mins) | 25332.27 |
|---|---|
| Avg Position Time (hrs) | 422.20 |
| Avg Trade Length | 17.60 |
| Last Trade Ago | 29 |
Leverage
| Daily leverage (average) | 0.77 |
|---|---|
| Daily leverage (max) | 1.46 |
Regression
| Alpha | -0.03 |
|---|---|
| Beta | 0.03 |
| Treynor Index | -1.15 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.01 |
| MAE:Equity, average, losing trades | 0 |
| 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 | -2.91 |
| MAE:PL (avg, all trades) | -0.57 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.52 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.09 |
| Hold-and-Hope Ratio | -0.30 |
RATIO STATISTICS
| Mean | -0.09 |
|---|---|
| SD | 0.05 |
| Sharpe ratio (Glass type estimate) | -1.81 |
| Sharpe ratio (Hedges UMVUE) | -1.61 |
| df | 7 |
| t | -1.48 |
| p | 0.91 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -4.33 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.82 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -4.15 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.93 |
| Sortino ratio | -1.75 |
| Upside Potential Ratio | 0.44 |
| Upside part of mean | 0.02 |
| Downside part of mean | -0.12 |
| Upside SD | 0.01 |
| Downside SD | 0.05 |
| N nonnegative terms | 3 |
| N negative terms | 5 |
| N of observations | 8 |
| Mean of predictor | 0.15 |
| Mean of criterion | -0.09 |
| SD of predictor | 0.17 |
| SD of criterion | 0.05 |
| Covariance | 0.00 |
| r | 0.42 |
| b (slope, estimate of beta) | 0.13 |
| a (intercept, estimate of alpha) | -0.11 |
| Mean Square Error | 0.00 |
| DF error | 6 |
| t(b) | 1.14 |
| p(b) | 0.15 |
| t(a) | -1.76 |
| p(a) | 0.94 |
| Lowerbound of 95% confidence interval for beta | -0.15 |
| Upperbound of 95% confidence interval for beta | 0.41 |
| Lowerbound of 95% confidence interval for alpha | -0.27 |
| Upperbound of 95% confidence interval for alpha | 0.04 |
| Treynor index (mean / b) | -0.72 |
| Jensen alpha (a) | -0.11 |
| Mean | -0.10 |
| SD | 0.05 |
| Sharpe ratio (Glass type estimate) | -1.82 |
| Sharpe ratio (Hedges UMVUE) | -1.62 |
| df | 7 |
| t | -1.49 |
| p | 0.91 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -4.34 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.81 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -4.16 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.93 |
| Sortino ratio | -1.76 |
| Upside Potential Ratio | 0.44 |
| Upside part of mean | 0.02 |
| Downside part of mean | -0.12 |
| Upside SD | 0.01 |
| Downside SD | 0.05 |
| N nonnegative terms | 3 |
| N negative terms | 5 |
| N of observations | 8 |
| Mean of predictor | 0.14 |
| Mean of criterion | -0.10 |
| SD of predictor | 0.16 |
| SD of criterion | 0.05 |
| Covariance | 0.00 |
| r | 0.41 |
| b (slope, estimate of beta) | 0.13 |
| a (intercept, estimate of alpha) | -0.11 |
| Mean Square Error | 0.00 |
| DF error | 6 |
| t(b) | 1.10 |
| p(b) | 0.16 |
| t(a) | -1.74 |
| p(a) | 0.93 |
| Lowerbound of 95% confidence interval for beta | -0.16 |
| Upperbound of 95% confidence interval for beta | 0.43 |
| Lowerbound of 95% confidence interval for alpha | -0.27 |
| Upperbound of 95% confidence interval for alpha | 0.05 |
| Treynor index (mean / b) | -0.72 |
| Jensen alpha (a) | -0.11 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.04 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.04 |
| Mean | -0.07 |
| SD | 0.06 |
| Sharpe ratio (Glass type estimate) | -1.15 |
| Sharpe ratio (Hedges UMVUE) | -1.14 |
| df | 190 |
| t | -0.98 |
| p | 0.54 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.44 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.15 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.44 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.16 |
| Sortino ratio | -1.47 |
| Upside Potential Ratio | 5.36 |
| Upside part of mean | 0.26 |
| Downside part of mean | -0.33 |
| Upside SD | 0.04 |
| Downside SD | 0.05 |
| N nonnegative terms | 95 |
| N negative terms | 96 |
| N of observations | 191 |
| Mean of predictor | 0.14 |
| Mean of criterion | -0.07 |
| SD of predictor | 0.13 |
| SD of criterion | 0.06 |
| Covariance | 0.00 |
| r | 0.07 |
| b (slope, estimate of beta) | 0.03 |
| a (intercept, estimate of alpha) | -0.07 |
| Mean Square Error | 0.00 |
| DF error | 189 |
| t(b) | 1.01 |
| p(b) | 0.45 |
| t(a) | -1.04 |
| p(a) | 0.55 |
| Lowerbound of 95% confidence interval for beta | -0.03 |
| Upperbound of 95% confidence interval for beta | 0.10 |
| Lowerbound of 95% confidence interval for alpha | -0.22 |
| Upperbound of 95% confidence interval for alpha | 0.07 |
| Treynor index (mean / b) | -2.07 |
| Jensen alpha (a) | -0.07 |
| Mean | -0.07 |
| SD | 0.06 |
| Sharpe ratio (Glass type estimate) | -1.18 |
| Sharpe ratio (Hedges UMVUE) | -1.17 |
| df | 190 |
| t | -1.00 |
| p | 0.54 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.47 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.12 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.47 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.13 |
| Sortino ratio | -1.50 |
| Upside Potential Ratio | 5.32 |
| Upside part of mean | 0.25 |
| Downside part of mean | -0.33 |
| Upside SD | 0.04 |
| Downside SD | 0.05 |
| N nonnegative terms | 95 |
| N negative terms | 96 |
| N of observations | 191 |
| Mean of predictor | 0.13 |
| Mean of criterion | -0.07 |
| SD of predictor | 0.13 |
| SD of criterion | 0.06 |
| Covariance | 0.00 |
| r | 0.07 |
| b (slope, estimate of beta) | 0.03 |
| a (intercept, estimate of alpha) | -0.08 |
| Mean Square Error | 0.00 |
| DF error | 189 |
| t(b) | 1.02 |
| p(b) | 0.45 |
| t(a) | -1.06 |
| p(a) | 0.55 |
| Lowerbound of 95% confidence interval for beta | -0.03 |
| Upperbound of 95% confidence interval for beta | 0.10 |
| Lowerbound of 95% confidence interval for alpha | -0.22 |
| Upperbound of 95% confidence interval for alpha | 0.07 |
| Treynor index (mean / b) | -2.09 |
| Jensen alpha (a) | -0.08 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.01 |
| Mean | -0.13 |
| SD | 0.07 |
| Sharpe ratio (Glass type estimate) | -1.86 |
| Sharpe ratio (Hedges UMVUE) | -1.84 |
| df | 130 |
| t | -1.31 |
| p | 0.56 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -4.63 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.93 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -4.63 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.94 |
| Sortino ratio | -2.33 |
| Upside Potential Ratio | 5.23 |
| Upside part of mean | 0.29 |
| Downside part of mean | -0.42 |
| Upside SD | 0.04 |
| Downside SD | 0.06 |
| N nonnegative terms | 58 |
| N negative terms | 73 |
| N of observations | 131 |
| Mean of predictor | 0.15 |
| Mean of criterion | -0.13 |
| SD of predictor | 0.12 |
| SD of criterion | 0.07 |
| Covariance | 0.00 |
| r | 0.12 |
| b (slope, estimate of beta) | 0.07 |
| a (intercept, estimate of alpha) | -0.14 |
| Mean Square Error | 0.00 |
| DF error | 129 |
| t(b) | 1.42 |
| p(b) | 0.42 |
| t(a) | -1.42 |
| p(a) | 0.58 |
| Lowerbound of 95% confidence interval for beta | -0.03 |
| Upperbound of 95% confidence interval for beta | 0.17 |
| Lowerbound of 95% confidence interval for alpha | -0.33 |
| Upperbound of 95% confidence interval for alpha | 0.05 |
| Treynor index (mean / b) | -1.79 |
| Jensen alpha (a) | -0.14 |
| Mean | -0.13 |
| SD | 0.07 |
| Sharpe ratio (Glass type estimate) | -1.89 |
| Sharpe ratio (Hedges UMVUE) | -1.88 |
| df | 130 |
| t | -1.33 |
| p | 0.56 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -4.67 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.90 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -4.66 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.90 |
| Sortino ratio | -2.36 |
| Upside Potential Ratio | 5.18 |
| Upside part of mean | 0.29 |
| Downside part of mean | -0.42 |
| Upside SD | 0.04 |
| Downside SD | 0.06 |
| N nonnegative terms | 58 |
| N negative terms | 73 |
| N of observations | 131 |
| Mean of predictor | 0.14 |
| Mean of criterion | -0.13 |
| SD of predictor | 0.12 |
| SD of criterion | 0.07 |
| Covariance | 0.00 |
| r | 0.13 |
| b (slope, estimate of beta) | 0.07 |
| a (intercept, estimate of alpha) | -0.14 |
| Mean Square Error | 0.00 |
| DF error | 129 |
| t(b) | 1.43 |
| p(b) | 0.42 |
| t(a) | -1.44 |
| p(a) | 0.58 |
| Lowerbound of 95% confidence interval for beta | -0.03 |
| VAR (95 Confidence Intrvl) | 0.01 |
| Upperbound of 95% confidence interval for beta | 0.17 |
| Lowerbound of 95% confidence interval for alpha | -0.34 |
| Upperbound of 95% confidence interval for alpha | 0.05 |
| Treynor index (mean / b) | -1.80 |
| Jensen alpha (a) | -0.14 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.01 |
ORDER STATISTICS
| Number of observations | 8 |
|---|---|
| Minimum | 0.97 |
| Quartile 1 | 0.98 |
| Median | 1.00 |
| Quartile 3 | 1.00 |
| Maximum | 1.01 |
| Mean of quarter 1 | 0.97 |
| Mean of quarter 2 | 0.99 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0.02 |
| 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 | 191 |
| Minimum | 0.98 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.00 |
| Maximum | 1.01 |
| Mean of quarter 1 | 1.00 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.00 |
| Inter Quartile Range | 0.00 |
| Number outliers low | 13 |
| Percentage of outliers low | 0.07 |
| Mean of outliers low | 0.99 |
| Number of outliers high | 8 |
| Percentage of outliers high | 0.04 |
| Mean of outliers high | 1.01 |
| Extreme Value Index (moments method) | 0.66 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.01 |
| Extreme Value Index (regression method) | 0.71 |
| VaR(95%) (regression method) | 0.00 |
| Expected Shortfall (regression method) | 0.01 |
| Number of observations | 131 |
| Minimum | 0.98 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.00 |
| Maximum | 1.01 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.00 |
| Inter Quartile Range | 0.00 |
| Number outliers low | 9 |
| Percentage of outliers low | 0.07 |
| Mean of outliers low | 0.99 |
| Number of outliers high | 6 |
| Percentage of outliers high | 0.05 |
| Mean of outliers high | 1.01 |
| Extreme Value Index (moments method) | 0.55 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.01 |
| Extreme Value Index (regression method) | 0.54 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.01 |
DRAW DOWN STATISTICS
| Number of observations | 2 |
|---|---|
| Minimum | 0.00 |
| Quartile 1 | 0.02 |
| Median | 0.04 |
| Quartile 3 | 0.06 |
| Maximum | 0.08 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.08 |
| Inter Quartile Range | 0.04 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 7 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.00 |
| Quartile 3 | 0.01 |
| Maximum | 0.09 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.00 |
| Mean of quarter 3 | 0.01 |
| Mean of quarter 4 | 0.05 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.14 |
| Mean of outliers high | 0.09 |
| 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 | 0.01 |
| Quartile 1 | 0.03 |
| Median | 0.05 |
| Quartile 3 | 0.07 |
| Maximum | 0.09 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.09 |
| Inter Quartile Range | 0.04 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -384860288 |
| Max Equity Drawdown (num days) | 147 |
| Last 4 Months - Pcnt Negative | 0.5% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | -0.09 |
|---|---|
| Compounded annual return (geometric extrapolation) | -0.09 |
| Calmar ratio (compounded annual return / max draw down) | -1.22 |
| Compounded annual return / average of 25% largest draw downs | -1.22 |
| Compounded annual return / Expected Shortfall lognormal | -2.37 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.07 |
| Compounded annual return (geometric extrapolation) | -0.07 |
| Calmar ratio (compounded annual return / max draw down) | -0.77 |
| Compounded annual return / average of 25% largest draw downs | -1.38 |
| Compounded annual return / Expected Shortfall lognormal | -8.64 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.13 |
| Compounded annual return (geometric extrapolation) | -0.12 |
| Calmar ratio (compounded annual return / max draw down) | -1.36 |
| Compounded annual return / average of 25% largest draw downs | -1.36 |
| Compounded annual return / Expected Shortfall lognormal | -13.20 |
Trading record
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| MDY | long | 15 | Jul 30, 2026 | Sep 23, 2026 | ($82) |
| PSQ | long | 539 | Aug 28, 2026 | Sep 17, 2026 | ($83) |
| SPHB | long | 7 | Sep 8, 2026 | Sep 15, 2026 | ($53) |
| MGK | long | 32 | Aug 27, 2026 | Sep 15, 2026 | ($35) |
| TLT | long | 73 | Aug 26, 2026 | Sep 15, 2026 | ($5) |
| USMV | long | 113 | Jul 30, 2026 | Sep 15, 2026 | $54 |
| VYM | long | 62 | Jul 29, 2026 | Sep 15, 2026 | $29 |
| IAU | long | 287 | Jul 29, 2026 | Sep 15, 2026 | $80 |
| VXX | long | 545 | Jul 29, 2026 | Sep 15, 2026 | ($756) |
| SPMO | long | 7 | Sep 8, 2026 | Sep 14, 2026 | ($43) |
| IEF | long | 31 | Sep 10, 2026 | Sep 11, 2026 | ($5) |
| IEMG | long | 37 | Sep 2, 2026 | Sep 11, 2026 | $36 |
| VBR | long | 31 | Jul 29, 2026 | Sep 8, 2026 | $3 |
| IEMG | long | 208 | Aug 4, 2026 | Sep 1, 2026 | $128 |
| PSQ | long | 32 | Aug 26, 2026 | Aug 27, 2026 | ($13) |
| QQQ | long | 4 | Aug 25, 2026 | Aug 26, 2026 | ($0) |
| PSQ | long | 293 | Aug 20, 2026 | Aug 25, 2026 | $16 |
| PDBC | long | 276 | Aug 19, 2026 | Aug 20, 2026 | $52 |
| TLT | long | 103 | Aug 11, 2026 | Aug 20, 2026 | $59 |
| PSQ | long | 114 | Aug 12, 2026 | Aug 19, 2026 | $15 |
| QQQ | long | 4 | Aug 11, 2026 | Aug 12, 2026 | $19 |
| PDBC | long | 264 | Jul 30, 2026 | Aug 12, 2026 | $110 |
| PSQ | long | 59 | Aug 10, 2026 | Aug 11, 2026 | $4 |
| QQQ | long | 6 | Aug 4, 2026 | Aug 10, 2026 | ($19) |
| TLT | long | 110 | Jul 28, 2026 | Aug 5, 2026 | ($102) |
| PSQ | long | 445 | Jul 30, 2026 | Aug 4, 2026 | ($286) |
| IEMG | long | 20 | Jul 30, 2026 | Aug 3, 2026 | $21 |
| IEF | long | 31 | Jul 30, 2026 | Jul 31, 2026 | ($12) |
| SPHQ | long | 15 | Jul 29, 2026 | Jul 30, 2026 | $26 |
| EDZ | long | 219 | Jul 29, 2026 | Jul 30, 2026 | ($521) |
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.