Pair trading - Statistical arbitrage
- hypothetical · Annual Return (Compounded)
- 0.0%
- Max Drawdown
- 12.7%
- Trades
- 167
- Win Trades
- 52.1%
- Profit Factor
- 1.10
- Win Months
- 23.4%
About this strategy
Static arbitrage - the medium-term mechanical trading system which trades a pair of two shares of one sector. All stock pairs are based on testing.
System Concept:
The system is based on finding a strong divergence of the two highly correlated stocks of one sector and byu / sell spread (the ratio of these shares).
One of the advantage this system is VERY GOOD diversification and hedging.
To trade stocks used in a 300K volume and price more than $ 5.
Money Management:
If you want to use your position size is caclulate it on the formula: your size / stock price and you'll got stock number which you must buy/sell.
Disclaimer:
Past results are not indicative of future results and neither Vendor nor C2 is responsible for unfavorable performance deviations. Do not subscribe to this system if you do not intend to dedicate the specified time for manual account maintenance.
Please feel free to private message me with inquiries.
System Concept:
The system is based on finding a strong divergence of the two highly correlated stocks of one sector and byu / sell spread (the ratio of these shares).
One of the advantage this system is VERY GOOD diversification and hedging.
To trade stocks used in a 300K volume and price more than $ 5.
Money Management:
If you want to use your position size is caclulate it on the formula: your size / stock price and you'll got stock number which you must buy/sell.
Disclaimer:
Past results are not indicative of future results and neither Vendor nor C2 is responsible for unfavorable performance deviations. Do not subscribe to this system if you do not intend to dedicate the specified time for manual account maintenance.
Please feel free to private message me with inquiries.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2010 | -0.1 | 2.1 | 1.1 | -0.3 | -0.3 | -3.8 | 1.3 | 0.3 | 0.9 | 0.2 | 0.5 | 1.9 | |
| 2011 | -0.9 | 2.0 | 0.6 | 1.2 | -0.6 | -0.5 | -0.0 | 1.0 | -1.3 | -0.5 | 0.6 | -0.3 | 1.3 |
| 2012 | 0.9 | 0.6 | -0.4 | -5.5 | 0.2 | -0.4 | -0.5 | 1.1 | 1.4 | -0.6 | -1.1 | -0.6 | -4.9 |
| 2013 | 4.0 | -0.6 | 0.2 | -0.9 | -0.6 | -4.9 | 1.1 | 4.8 | -5.1 | 4.4 | -0.8 | -0.2 | 1.0 |
| 2014 | -3.7 | 5.1 | -4.7 | 4.3 | -4.3 | 1.0 | 0.1 | -0.0 | -1.1 | -1.1 | 0.4 | -0.4 | -4.8 |
| 2015 | 1.3 | -0.5 | -0.9 | 0.2 | -0.3 | -0.4 | -0.7 | 0.2 | -0.4 | 0.2 | -0.3 | -0.0 | -1.6 |
| 2016 | -0.1 | 0.7 | 0.6 | 1.0 | -0.8 | 0.6 | -0.3 | -0.5 | 0.2 | -0.4 | -0.4 | -0.1 | 0.4 |
| 2017 | 0.8 | -0.0 | -0.3 | -0.2 | -0.1 | -0.2 | 0.0 | 0.2 | -0.2 | 0.1 | -0.0 | -0.1 | -0.0 |
| 2018 | 0.4 | -0.4 | 0.3 | -0.1 | 0.1 | -0.1 | -0.3 | -0.4 | -0.2 | -0.3 | 0.1 | 0.1 | -0.7 |
| 2019 | 0.3 | -0.1 | 0.2 | 7.1 | 0.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 7.6 |
| 2020 | 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 |
| 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 | 0.0 |
Statistics
Overview
| Strategy began | 2/26/2010 |
|---|---|
| Suggested Minimum Capital | $98,726 |
| Age | 203 months |
| What it trades | Stocks |
| # Trades | 167 |
| # Profitable | 87 |
| % Profitable | 52.1% |
| Avg trade duration | 80.1 days |
| Max peak-to-valley drawdown | 12.7% |
| drawdown period | May 02, 2011 - Oct 26, 2018 |
| Annual Return (Compounded) | 0.0% |
| Avg win | $440 |
| Avg loss | $473 |
Ratios
| W:L ratio | 1.06 |
|---|---|
| Sharpe Ratio | -0.22 |
| Sortino Ratio | -0.32 |
| Calmar Ratio | 0.04 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.03 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 596.1% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -586.7% |
Return Statistics
| Ann Return (w trading costs) | 0.0% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 0.1% |
Slump
| Current Slump as Pcnt Equity | 6.1% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.9% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.0% |
| Percent Trades Stocks | 1.0% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 100.0% |
|---|---|
| Chance of 20% account loss | 33.3% |
| 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% |
| Chance of 100% account loss (Monte Carlo) | — |
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 | 1 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $473 |
|---|---|
| Avg Win | $440 |
| # Winners | 87 |
| Sum Trade PL (losers) | $37,807 |
| Sum Trade PL (winners) | $38,299 |
| Num Months Winners | 58 |
| # Losers | 80 |
| % Winners | 52.1% |
Dividends
| Dividends Received in Model Acct | 1658 |
|---|
Age
| Num Months filled monthly returns table | 201 |
|---|
Frequency
| Avg Position Time (mins) | 115370.66 |
|---|---|
| Avg Position Time (hrs) | 1922.84 |
| Avg Trade Length | 80.10 |
| Last Trade Ago | 5940 |
Regression
| Alpha | -0.01 |
|---|---|
| Beta | 0.01 |
| Treynor Index | -0.45 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.01 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.02 |
| MAE:Equity, average, losing trades | 0.01 |
| 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 | -34.93 |
| MAE:PL (avg, all trades) | -0.76 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 83.93 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 71.32 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.50 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.59 |
| Hold-and-Hope Ratio | 0 |
RATIO STATISTICS
| Mean | 0.01 |
|---|---|
| SD | 0.06 |
| Sharpe ratio (Glass type estimate) | 0.10 |
| Sharpe ratio (Hedges UMVUE) | 0.10 |
| df | 52 |
| t | 0.22 |
| p | 0.41 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.83 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.04 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.83 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.04 |
| Sortino ratio | 0.15 |
| Upside Potential Ratio | 1.42 |
| Upside part of mean | 0.06 |
| Downside part of mean | -0.05 |
| Upside SD | 0.04 |
| Downside SD | 0.04 |
| N nonnegative terms | 33 |
| N negative terms | 20 |
| N of observations | 53 |
| Mean of predictor | 0.48 |
| Mean of criterion | 0.01 |
| SD of predictor | 0.26 |
| SD of criterion | 0.06 |
| Covariance | 0.00 |
| r | 0.08 |
| b (slope, estimate of beta) | 0.02 |
| a (intercept, estimate of alpha) | -0.00 |
| Mean Square Error | 0.00 |
| DF error | 51 |
| t(b) | 0.58 |
| p(b) | 0.28 |
| t(a) | -0.08 |
| p(a) | 0.53 |
| Lowerbound of 95% confidence interval for beta | -0.05 |
| Upperbound of 95% confidence interval for beta | 0.08 |
| Lowerbound of 95% confidence interval for alpha | -0.07 |
| Upperbound of 95% confidence interval for alpha | 0.06 |
| Treynor index (mean / b) | 0.33 |
| Jensen alpha (a) | -0.00 |
| Mean | 0.00 |
| SD | 0.06 |
| Sharpe ratio (Glass type estimate) | 0.07 |
| Sharpe ratio (Hedges UMVUE) | 0.07 |
| df | 52 |
| t | 0.16 |
| p | 0.44 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.86 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.01 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.86 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.01 |
| Sortino ratio | 0.10 |
| Upside Potential Ratio | 1.37 |
| Upside part of mean | 0.06 |
| Downside part of mean | -0.05 |
| Upside SD | 0.04 |
| Downside SD | 0.04 |
| N nonnegative terms | 33 |
| N negative terms | 20 |
| N of observations | 53 |
| Mean of predictor | 0.44 |
| Mean of criterion | 0.00 |
| SD of predictor | 0.25 |
| SD of criterion | 0.06 |
| Covariance | 0.00 |
| r | 0.08 |
| b (slope, estimate of beta) | 0.02 |
| a (intercept, estimate of alpha) | -0.00 |
| Mean Square Error | 0.00 |
| DF error | 51 |
| t(b) | 0.57 |
| p(b) | 0.29 |
| t(a) | -0.12 |
| p(a) | 0.55 |
| Lowerbound of 95% confidence interval for beta | -0.05 |
| Upperbound of 95% confidence interval for beta | 0.09 |
| Lowerbound of 95% confidence interval for alpha | -0.07 |
| Upperbound of 95% confidence interval for alpha | 0.06 |
| Treynor index (mean / b) | 0.23 |
| Jensen alpha (a) | -0.00 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.03 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| Mean | 0.01 |
| SD | 0.10 |
| Sharpe ratio (Glass type estimate) | 0.09 |
| Sharpe ratio (Hedges UMVUE) | 0.09 |
| df | 1162 |
| t | 0.20 |
| p | 0.50 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.84 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.02 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.84 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.02 |
| Sortino ratio | 0.14 |
| Upside Potential Ratio | 4.77 |
| Upside part of mean | 0.33 |
| Downside part of mean | -0.32 |
| Upside SD | 0.07 |
| Downside SD | 0.07 |
| N nonnegative terms | 697 |
| N negative terms | 466 |
| N of observations | 1163 |
| Mean of predictor | 0.49 |
| Mean of criterion | 0.01 |
| SD of predictor | 0.32 |
| SD of criterion | 0.10 |
| Covariance | 0.00 |
| r | 0.03 |
| b (slope, estimate of beta) | 0.01 |
| a (intercept, estimate of alpha) | 0.01 |
| Mean Square Error | 0.01 |
| DF error | 1161 |
| t(b) | 1.02 |
| p(b) | 0.48 |
| t(a) | 0.10 |
| p(a) | 0.50 |
| Lowerbound of 95% confidence interval for beta | -0.01 |
| Upperbound of 95% confidence interval for beta | 0.03 |
| Lowerbound of 95% confidence interval for alpha | -0.09 |
| Upperbound of 95% confidence interval for alpha | 0.10 |
| Treynor index (mean / b) | 1.01 |
| Jensen alpha (a) | 0.00 |
| Mean | 0.00 |
| SD | 0.10 |
| Sharpe ratio (Glass type estimate) | 0.04 |
| Sharpe ratio (Hedges UMVUE) | 0.04 |
| df | 1162 |
| t | 0.09 |
| p | 0.50 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.89 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.97 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.89 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.97 |
| Sortino ratio | 0.06 |
| Upside Potential Ratio | 4.66 |
| Upside part of mean | 0.33 |
| Downside part of mean | -0.32 |
| Upside SD | 0.07 |
| Downside SD | 0.07 |
| N nonnegative terms | 697 |
| N negative terms | 466 |
| N of observations | 1163 |
| Mean of predictor | 0.44 |
| Mean of criterion | 0.00 |
| SD of predictor | 0.32 |
| SD of criterion | 0.10 |
| Covariance | 0.00 |
| r | 0.03 |
| b (slope, estimate of beta) | 0.01 |
| a (intercept, estimate of alpha) | 0.00 |
| Mean Square Error | 0.01 |
| DF error | 1161 |
| t(b) | 0.99 |
| p(b) | 0.48 |
| t(a) | 0.01 |
| p(a) | 0.50 |
| Lowerbound of 95% confidence interval for beta | -0.01 |
| Upperbound of 95% confidence interval for beta | 0.03 |
| Lowerbound of 95% confidence interval for alpha | -0.09 |
| Upperbound of 95% confidence interval for alpha | 0.10 |
| Treynor index (mean / b) | 0.49 |
| Jensen alpha (a) | 0.00 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.01 |
| Mean | 0.00 |
| SD | 0.00 |
| Sharpe ratio (Glass type estimate) | 0.11 |
| Sharpe ratio (Hedges UMVUE) | 0.11 |
| df | 130 |
| t | 0.08 |
| p | 0.50 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -2.67 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.88 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -2.67 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.88 |
| Sortino ratio | 0.15 |
| Upside Potential Ratio | 6.86 |
| Upside part of mean | 0.00 |
| Downside part of mean | -0.00 |
| Upside SD | 0.00 |
| Downside SD | 0.00 |
| N nonnegative terms | 108 |
| N negative terms | 23 |
| N of observations | 131 |
| Mean of predictor | 1.07 |
| Mean of criterion | 0.00 |
| SD of predictor | 0.38 |
| SD of criterion | 0.00 |
| Covariance | 0.00 |
| r | 0.06 |
| b (slope, estimate of beta) | 0.00 |
| a (intercept, estimate of alpha) | -0.00 |
| Mean Square Error | 0 |
| DF error | 129 |
| t(b) | 0.70 |
| p(b) | 0.46 |
| t(a) | -0.05 |
| p(a) | 0.50 |
| Lowerbound of 95% confidence interval for beta | -0.00 |
| Upperbound of 95% confidence interval for beta | 0.00 |
| Lowerbound of 95% confidence interval for alpha | -0.00 |
| Upperbound of 95% confidence interval for alpha | 0.00 |
| Treynor index (mean / b) | 0.66 |
| Jensen alpha (a) | -0.00 |
| Mean | 0.00 |
| SD | 0.00 |
| Sharpe ratio (Glass type estimate) | 0.11 |
| Sharpe ratio (Hedges UMVUE) | 0.11 |
| df | 130 |
| t | 0.08 |
| p | 0.50 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -2.67 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.88 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -2.67 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.88 |
| Sortino ratio | 0.15 |
| Upside Potential Ratio | 6.86 |
| Upside part of mean | 0.00 |
| Downside part of mean | -0.00 |
| Upside SD | 0.00 |
| Downside SD | 0.00 |
| N nonnegative terms | 108 |
| N negative terms | 23 |
| N of observations | 131 |
| Mean of predictor | 1.00 |
| Mean of criterion | 0.00 |
| SD of predictor | 0.38 |
| SD of criterion | 0.00 |
| Covariance | 0.00 |
| r | 0.07 |
| b (slope, estimate of beta) | 0.00 |
| a (intercept, estimate of alpha) | -0.00 |
| Mean Square Error | 0 |
| DF error | 129 |
| t(b) | 0.76 |
| p(b) | 0.46 |
| t(a) | -0.05 |
| p(a) | 0.50 |
| Lowerbound of 95% confidence interval for beta | -0.00 |
| VAR (95 Confidence Intrvl) | 0.01 |
| Upperbound of 95% confidence interval for beta | 0.00 |
| Lowerbound of 95% confidence interval for alpha | -0.00 |
| Upperbound of 95% confidence interval for alpha | 0.00 |
| Treynor index (mean / b) | 0.61 |
| Jensen alpha (a) | -0.00 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.00 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.00 |
ORDER STATISTICS
| Number of observations | 53 |
|---|---|
| Minimum | 0.93 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.07 |
| Mean of quarter 1 | 0.98 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.02 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 3 |
| Percentage of outliers low | 0.06 |
| Mean of outliers low | 0.95 |
| Number of outliers high | 2 |
| Percentage of outliers high | 0.04 |
| Mean of outliers high | 1.05 |
| Extreme Value Index (moments method) | 0.67 |
| VaR(95%) (moments method) | 0.02 |
| Expected Shortfall (moments method) | 0.06 |
| Extreme Value Index (regression method) | 0.72 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.05 |
| Number of observations | 1163 |
| Minimum | 0.95 |
| Quartile 1 | 1.00 |
| Median | 1 |
| Quartile 3 | 1.00 |
| Maximum | 1.07 |
| 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 | 130 |
| Percentage of outliers low | 0.11 |
| Mean of outliers low | 0.99 |
| Number of outliers high | 121 |
| Percentage of outliers high | 0.10 |
| Mean of outliers high | 1.01 |
| Extreme Value Index (moments method) | 0.78 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.02 |
| Extreme Value Index (regression method) | 0.40 |
| VaR(95%) (regression method) | 0.00 |
| Expected Shortfall (regression method) | 0.01 |
| Number of observations | 131 |
| Minimum | 1.00 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.00 |
| Mean of quarter 1 | 1.00 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.00 |
| Inter Quartile Range | 0 |
| Number outliers low | 23 |
| Percentage of outliers low | 0.18 |
| Mean of outliers low | 1.00 |
| Number of outliers high | 23 |
| Percentage of outliers high | 0.18 |
| Mean of outliers high | 1.00 |
| 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 | 3 |
|---|---|
| Minimum | 0.01 |
| Quartile 1 | 0.02 |
| Median | 0.04 |
| Quartile 3 | 0.07 |
| Maximum | 0.11 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.04 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.11 |
| Inter Quartile Range | 0.05 |
| 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 | 12 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.01 |
| Quartile 3 | 0.02 |
| Maximum | 0.12 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.00 |
| Mean of quarter 3 | 0.01 |
| Mean of quarter 4 | 0.07 |
| Inter Quartile Range | 0.01 |
| 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 | 0.08 |
| Extreme Value Index (moments method) | -0.51 |
| VaR(95%) (moments method) | 0.07 |
| Expected Shortfall (moments method) | 0.08 |
| Extreme Value Index (regression method) | 1.11 |
| VaR(95%) (regression method) | 0.12 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 23 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.00 |
| Quartile 3 | 0.00 |
| Maximum | 0.00 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.00 |
| Mean of quarter 3 | 0.00 |
| Mean of quarter 4 | 0.00 |
| Inter Quartile Range | 0 |
| Number outliers low | 2 |
| Percentage of outliers low | 0.09 |
| Mean of outliers low | 0.00 |
| 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? | -1013837824 |
| Max Equity Drawdown (num days) | 2734 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.00 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.00 |
| Calmar ratio (compounded annual return / max draw down) | 0.04 |
| Compounded annual return / average of 25% largest draw downs | 0.04 |
| Compounded annual return / Expected Shortfall lognormal | 0.13 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.00 |
| Compounded annual return (geometric extrapolation) | 0.00 |
| Calmar ratio (compounded annual return / max draw down) | 0.04 |
| Compounded annual return / average of 25% largest draw downs | 0.07 |
| Compounded annual return / Expected Shortfall lognormal | 0.35 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.00 |
| Compounded annual return (geometric extrapolation) | 0.00 |
| Calmar ratio (compounded annual return / max draw down) | 1.00 |
| Compounded annual return / average of 25% largest draw downs | 1.00 |
| Compounded annual return / Expected Shortfall lognormal | 0.84 |
Trading record
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| SO | short | 298 | Jun 30, 2010 | Jul 28, 2010 | ($852) |
| UDR | short | 510 | Jun 30, 2010 | Jul 27, 2010 | ($1,015) |
| BRE | long | 264 | Jun 30, 2010 | Jul 27, 2010 | $1,030 |
| KWK | long | 880 | Jul 6, 2010 | Jul 26, 2010 | $1,517 |
| CRZO | short | 557 | Jul 6, 2010 | Jul 26, 2010 | ($935) |
| TEN | long | 466 | Jun 30, 2010 | Jul 26, 2010 | $1,506 |
| SFG | long | 233 | Jun 28, 2010 | Jul 26, 2010 | ($1,165) |
| ALV | short | 204 | Jun 30, 2010 | Jul 26, 2010 | ($1,605) |
| AFL | short | 224 | Jun 28, 2010 | Jul 26, 2010 | ($1,323) |
| AGU | short | 201 | Jun 30, 2010 | Jul 15, 2010 | ($1,636) |
| POT | long | 342 | Jul 6, 2010 | Jul 15, 2010 | $851 |
| GPS | short | 508 | Jun 30, 2010 | Jul 14, 2010 | $437 |
| JNY | long | 623 | Jun 30, 2010 | Jul 14, 2010 | ($5) |
| CF | short | 153 | Jun 28, 2010 | Jul 6, 2010 | ($858) |
| POT | long | 342 | Jun 30, 2010 | Jul 6, 2010 | ($213) |
| MOS | long | 239 | Jun 28, 2010 | Jul 6, 2010 | ($421) |
| BHP | long | 151 | Jun 28, 2010 | Jul 2, 2010 | ($618) |
| BTU | short | 1 | Jun 28, 2010 | Jul 2, 2010 | $812 |
| CRK | short | 67 | Jun 28, 2010 | Jul 2, 2010 | $1,058 |
| HK | long | 181 | Jun 28, 2010 | Jul 2, 2010 | ($835) |
| LHO | short | 296 | Jun 28, 2010 | Jun 30, 2010 | $249 |
| SHO | long | 965 | Jun 28, 2010 | Jun 30, 2010 | ($150) |
| AGU | long | 201 | Jun 30, 2010 | Jun 30, 2010 | ($14) |
| LAMR | long | 359 | Jun 21, 2010 | Jun 30, 2010 | ($1,019) |
| PH | long | 163 | Jun 21, 2010 | Jun 28, 2010 | ($518) |
| EMR | short | 208 | Jun 21, 2010 | Jun 28, 2010 | $701 |
| AU | short | 226 | Jun 22, 2010 | Jun 28, 2010 | $83 |
| GFI | long | 736 | Jun 22, 2010 | Jun 28, 2010 | $194 |
| AYR | short | 1004 | Jun 21, 2010 | Jun 28, 2010 | $1,039 |
| HTZ | long | 959 | Jun 21, 2010 | Jun 28, 2010 | ($513) |
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.