Ultra Stock
- hypothetical · Annual Return (Compounded)
- -9.7%
- Max Drawdown
- 38.0%
- Trades
- 8
- Win Trades
- 37.5%
- Profit Factor
- 0.40
- Win Months
- 58.9%
About this strategy
Welcome to Ultra Stock
This system is a continuation of the successful system Equity & Volatility Global Macro (http://collective2.com/cgi-perl/system53030190)
Unlike EVGM, "Ultra Stock" will be a very easy system to follow.
The system only buy (long) stocks, ETFs and ETNs. (products as easy to trade as stocks)
The expected DD for the system will be between 10 and 20%.
The goal of this system is to create a profit 4 times higher than the expected Draw Down.
*Of course these are goals only. No performance can be guaranteed, and the actual real-world results may be vastly different from these goals.
After a 20% loss the system will stop trading for 15 days. And then will restart operations with a very small position sizing.
Ultra Stock system is appropiate in order to diversify all those mechanical / automatic / technical systems that you can follow in C2.
Ultra Stock attempts to catch the most important market turns in favor of the major global macro trends, following the Austrian School of Economics Teory of Liquidity and other macroeconomic indicators.
The timing is choosen with propietary technical tools.
www.ferrerinvest.com is a spaniard private investment company offering financial services like trading signals, investment books and coaching & trading formation.
This system is a continuation of the successful system Equity & Volatility Global Macro (http://collective2.com/cgi-perl/system53030190)
Unlike EVGM, "Ultra Stock" will be a very easy system to follow.
The system only buy (long) stocks, ETFs and ETNs. (products as easy to trade as stocks)
The expected DD for the system will be between 10 and 20%.
The goal of this system is to create a profit 4 times higher than the expected Draw Down.
*Of course these are goals only. No performance can be guaranteed, and the actual real-world results may be vastly different from these goals.
After a 20% loss the system will stop trading for 15 days. And then will restart operations with a very small position sizing.
Ultra Stock system is appropiate in order to diversify all those mechanical / automatic / technical systems that you can follow in C2.
Ultra Stock attempts to catch the most important market turns in favor of the major global macro trends, following the Austrian School of Economics Teory of Liquidity and other macroeconomic indicators.
The timing is choosen with propietary technical tools.
www.ferrerinvest.com is a spaniard private investment company offering financial services like trading signals, investment books and coaching & trading formation.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2011 | 2.1 | 2.8 | 22.3 | -18.6 | -5.6 | -3.9 | -1.5 | -6.8 | 0.7 | -12.4 | |||
| 2012 | 1.6 | 3.2 | 1.1 | -4.2 | -8.1 | 6.2 | -2.2 | 4.6 | -1.0 | -4.5 | 0.4 | -2.7 | -6.5 |
| 2013 | 1.4 | -6.7 | 3.7 | -3.4 | 4.1 | 0.5 | 3.4 | -0.2 | 4.1 | 0.1 | 3.1 | 0.4 | 10.2 |
| 2014 | -4.9 | 0.2 | 0.0 | 0.2 | 4.2 | 1.1 | -5.0 | 1.1 | -3.1 | -5.3 | 2.0 | -3.2 | -12.4 |
| 2015 | -11.0 | 8.1 | 2.4 | 5.4 | 0.7 | -4.4 | 4.5 | -15.1 | -4.2 | 5.7 | -1.6 | -3.2 | -14.4 |
| 2016 | -13.2 | 2.4 | 3.6 | 5.2 | 5.2 | -10.2 | 9.7 | -50.5 | -0.8 | 2.0 | 11.1 | 9.3 | -39.0 |
| 2017 | 10.7 | 1.9 | 9.9 | 3.7 | 1.3 | -0.3 | 10.5 | -8.4 | 8.9 | 10.0 | 2.6 | 13.0 | 82.7 |
| 2018 | 3.9 | -68.1 | -3.4 | 5.6 | -6.2 | 1.6 | 1.9 | -2.6 | 1.2 | -3.2 | -0.5 | -9.8 | -71.9 |
| 2019 | 5.5 | -2.3 | 0.2 | 0.3 | -1.8 | -10.6 | -0.3 | -15.5 | 8.0 | 2.6 | 1.5 | 7.2 | -7.5 |
| 2020 | -11.7 | -6.4 | 297.9 | -0.0 | -84.4 | 3.7 | 7.3 | -2.3 | -6.1 | -4.6 | 28.7 | 5.3 | -32.3 |
| 2021 | -4.5 | 4.2 | 1.4 | 4.4 | 8.4 | -4.7 | -3.2 | 1.9 | -5.1 | 3.2 | -8.9 | 2.7 | -1.7 |
| 2022 | 1.7 | -6.8 | 1.9 | -1.8 | 7.1 | -10.1 | -3.5 | 0.5 | -1.4 | -3.3 | 13.4 | -0.3 | -4.5 |
| 2023 | 6.2 | 7.9 | 1.7 | 2.3 | -4.1 | 6.8 | 1.7 | -4.8 | -1.7 | -1.6 | 12.7 | 1.0 | 30.1 |
| 2024 | -3.2 | 1.5 | 6.9 | -1.9 | 6.7 | -3.5 | 3.1 | 3.6 | 0.9 | -1.0 | -3.3 | -6.1 | 2.7 |
| 2025 | 10.0 | 6.2 | 9.7 | 0.0 | 5.4 | 5.9 | 5.7 | 1.9 | 4.2 | -2.4 | 5.3 | 73.4 | |
| 2026 | 6.6 | 2.7 | -3.4 | 6.6 | 2.5 | 1.1 | 1.6 | 4.9 | -4.6 |
Statistics
Overview
| Strategy began | 4/11/2011 |
|---|---|
| Suggested Minimum Capital | $50,000 |
| Age | 189 months |
| What it trades | Stocks |
| # Trades | 8 |
| # Profitable | 3 |
| % Profitable | 37.5% |
| Avg trade duration | 3094.7 days |
| Max peak-to-valley drawdown | 38.0% |
| drawdown period | July 07, 2011 - Feb 26, 2013 |
| Annual return (compounded) | -3.6% |
| Avg win | $3,996 |
| Avg loss | $7,747 |
Ratios
| W:L ratio | 0.43 |
|---|---|
| Sharpe Ratio | 0.18 |
| Sortino Ratio | 0.35 |
| Calmar Ratio | -0.22 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.03 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 475.6% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -33.6% |
Return Statistics
| Ann Return (w trading costs) | -9.7% |
|---|---|
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | -3.6% |
Slump
| Current Slump as Pcnt Equity | 292.6% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 1.0% |
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 | 6.7% |
|---|---|
| Chance of 20% account loss | 0.0% |
| 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) | 0.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $7,747 |
|---|---|
| Avg Win | $3,996 |
| # Winners | 3 |
| Sum Trade PL (losers) | $38,736 |
| Sum Trade PL (winners) | $11,988 |
| Num Months Winners | 110 |
| # Losers | 5 |
| % Winners | 37.5% |
Dividends
| Dividends Received in Model Acct | 4798 |
|---|
Age
| Num Months filled monthly returns table | 186 |
|---|
Frequency
| Avg Position Time (mins) | 4456435 |
|---|---|
| Avg Position Time (hrs) | 74273.91 |
| Avg Trade Length | 3094.70 |
| Last Trade Ago | 3156 |
Regression
| Alpha | 0.04 |
|---|---|
| Beta | 0.15 |
| Treynor Index | 0.30 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.42 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.22 |
| MAE:Equity, average, losing trades | 0.33 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.58 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | -11.46 |
| MAE:PL (avg, all trades) | 3.16 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 3.28 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 94.23 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 5.04 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.18 |
| Hold-and-Hope Ratio | -0.28 |
RATIO STATISTICS
| a (intercept, estimate of alpha) | 0.01 |
|---|---|
| VAR (95 Confidence Intrvl) | 0.09 |
DRAW DOWN STATISTICS
| Max Equity Drawdown (num days) | 600 |
|---|---|
| Last 4 Months - Pcnt Negative | 0.2% |
Trading record
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| XIV | long | 200 | Aug 5, 2011 | Feb 22, 2018 | ($1,346) |
| XIV | long | 4000 | Jun 20, 2011 | Jul 18, 2011 | $1,821 |
| EWI | long | 600 | Apr 28, 2011 | Jul 18, 2011 | ($2,861) |
| FLAT | long | 1500 | Apr 12, 2011 | Jun 10, 2011 | $4,615 |
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.