DZ ShortAndVIX
- hypothetical · Annual Return (Compounded)
- 6.2%
- Max Drawdown
- 8.1%
- Trades
- 52
- Win Trades
- 50.0%
- Profit Factor
- 0.70
- Win Months
- 37.7%
About this strategy
***STOPPED RUNNING IN APRIL 2014 when Listing Fee expired***
***2 trades still were open and remained open****
This is a combination of 2 quantitative strategies I have been running. One since 2011 and the other since 2012. I trade this in an Interactive Brokers account, but C2 doesnt do TOS with Interactive Brokers for stock accounts.
*Strategy 1 - Backtested to 2004. Trades volatility ETFs based on a proprietary model I have created. Backtest shows it is very profitable during high vol periods (2008, 2011), but also performs well during lower volatility periods (2004-2006) and macro driven markets (2009,2010,2012). Slight negative performance in 2007 style market.
Correlation to S&P 500 of 0.05.
*Strategy 2 - Backtested to 1990. Trades 3x ETFs and exploits the arbitrage opportunity inherent in these broken instruments. Obviously the ETFs were not available prior to 2008, so I had to recreate them using underlying indices. Backtests shows flat performance in low vol markets with peformance increasing with volatility.
Correlation to S&P 500 of 0.08.
The two systems have a 0.09 correlation to each other and the combined system has a correlation of 0.09 to the S&P 500 in backtests (March 2004 - March 2013). * NOTE: During "regular" markets, the correlation wil be closer to 0.70. During highly volatile markets, that correlation declines to -0.20 or lower.
Research and backtested results are available upon request. Interactive Brokers statement copies also available upon request.
Disclaimer: Backtested results are just that - backtested. No guarantee of any future performance should be based off of them.
***2 trades still were open and remained open****
This is a combination of 2 quantitative strategies I have been running. One since 2011 and the other since 2012. I trade this in an Interactive Brokers account, but C2 doesnt do TOS with Interactive Brokers for stock accounts.
*Strategy 1 - Backtested to 2004. Trades volatility ETFs based on a proprietary model I have created. Backtest shows it is very profitable during high vol periods (2008, 2011), but also performs well during lower volatility periods (2004-2006) and macro driven markets (2009,2010,2012). Slight negative performance in 2007 style market.
Correlation to S&P 500 of 0.05.
*Strategy 2 - Backtested to 1990. Trades 3x ETFs and exploits the arbitrage opportunity inherent in these broken instruments. Obviously the ETFs were not available prior to 2008, so I had to recreate them using underlying indices. Backtests shows flat performance in low vol markets with peformance increasing with volatility.
Correlation to S&P 500 of 0.08.
The two systems have a 0.09 correlation to each other and the combined system has a correlation of 0.09 to the S&P 500 in backtests (March 2004 - March 2013). * NOTE: During "regular" markets, the correlation wil be closer to 0.70. During highly volatile markets, that correlation declines to -0.20 or lower.
Research and backtested results are available upon request. Interactive Brokers statement copies also available upon request.
Disclaimer: Backtested results are just that - backtested. No guarantee of any future performance should be based off of them.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2013 | 2.3 | 0.0 | -4.6 | 9.0 | -4.9 | 5.0 | 0.6 | 3.7 | 0.7 | 11.6 | |||
| 2014 | -2.2 | 0.1 | 0.0 | -1.4 | 0.8 | 0.5 | 0.4 | 0.4 | 0.4 | 0.6 | -0.6 | -1.0 | -2.1 |
| 2015 | 3.6 | -1.4 | 0.5 | 0.2 | -0.3 | 0.9 | -1.9 | 5.1 | 2.4 | -1.9 | -0.5 | 2.3 | 9.1 |
| 2016 | 3.9 | 1.3 | -0.7 | -0.6 | -0.7 | 3.0 | -2.0 | -1.6 | 1.5 | -0.0 | -6.5 | -4.3 | -6.9 |
| 2017 | 1.0 | -6.9 | 4.1 | 0.4 | 0.3 | -6.3 | -2.4 | 0.6 | -5.4 | -6.8 | -4.2 | -8.3 | -29.7 |
| 2018 | -20.4 | 18.3 | 21.5 | -6.2 | -3.8 | 2.7 | -8.0 | -8.3 | 8.6 | 20.0 | -3.4 | 27.1 | 43.1 |
| 2019 | -17.7 | -7.6 | 6.1 | -20.1 | -1.5 | 0.0 | 8.1 | -20.0 | -2.8 | -23.0 | -13.4 | -62.9 | |
| 2020 | -21.2 | 143.8 | 75.6 | -3.1 | -4.0 | 4.8 | -5.2 | -7.3 | 10.7 | -3.9 | -20.9 | -6.0 | 128.6 |
| 2021 | 2.6 | -41.1 | -38.0 | -51.1 | -92.9 | 790.3 | 43.2 | -202.0 | -65.4 | -663.2 | -13.1 | -42.6 | -122.3 |
| 2022 | -26.1 | -60.5 | -33.5 | -388.8 | -7.3 | 88.7 | -17.9 | 5.8 | 46.5 | -22.6 | -32.0 | 36.0 | -406.0 |
| 2023 | -32.1 | 16.6 | 76.3 | -6.0 | 3.3 | -6.7 | -21.8 | 12.8 | 7.6 | 23.0 | -28.5 | -31.1 | -27.3 |
| 2024 | -15.9 | -32.4 | -84.9 | 410.7 | -2.6 | 5.2 | -103.7 | -1547.7 | -58.2 | -149.7 | -84.9 | -33.7 | -233.1 |
| 2025 | -2.9 | -34.3 | -31.9 | -68.3 | -168.4 | -47.0 | -11.4 | -3.2 | -14.5 | -150.2 | -2.4 | -5.7 | -167.2 |
| 2026 | 10.1 | 74.6 | 19.3 | -21.1 | -4.2 | -22.6 | -71.2 | -98.7 | 23236.1 | -39.5 |
Statistics
Overview
| Strategy began | 4/21/2013 |
|---|---|
| Suggested Minimum Capital | $20,000 |
| Age | 165 months |
| What it trades | Stocks |
| # Trades | 52 |
| # Profitable | 26 |
| % Profitable | 50.0% |
| Avg trade duration | 196.4 days |
| Max peak-to-valley drawdown | 8.1% |
| drawdown period | May 18, 2013 - June 24, 2013 |
| Annual Return (Compounded) | 6.2% |
| Avg win | $1,677 |
| Avg loss | $1,923 |
Ratios
| W:L ratio | 0.75 |
|---|---|
| Sharpe Ratio | -0.21 |
| Sortino Ratio | -0.21 |
| Calmar Ratio | -0.24 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.28 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 384.9% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -15.2% |
Return Statistics
| Ann Return (w trading costs) | 6.2% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.1% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | -7.1% |
Slump
| Current Slump as Pcnt Equity | 377.6% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.5% |
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% |
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 | $1,923 |
|---|---|
| Avg Win | $1,677 |
| # Winners | 26 |
| Sum Trade PL (losers) | $49,988 |
| Sum Trade PL (winners) | $43,610 |
| Num Months Winners | 46 |
| # Losers | 26 |
| % Winners | 50.0% |
Dividends
| Dividends Received in Model Acct | -6228 |
|---|
Age
| Num Months filled monthly returns table | 101 |
|---|
Frequency
| Avg Position Time (mins) | 282760.12 |
|---|---|
| Avg Position Time (hrs) | 4712.67 |
| Avg Trade Length | 196.40 |
| Last Trade Ago | 4585 |
Regression
| Alpha | 0 |
|---|---|
| Beta | -2.39 |
| Treynor Index | 0 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.02 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.02 |
| 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 | -8.45 |
| MAE:PL (avg, all trades) | -0.07 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 22.31 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 35.78 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.24 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.19 |
| Hold-and-Hope Ratio | -0.17 |
RATIO STATISTICS
| Mean | 0.11 |
|---|---|
| SD | 0.08 |
| Sharpe ratio (Glass type estimate) | 1.29 |
| Sharpe ratio (Hedges UMVUE) | 1.25 |
| df | 28 |
| t | 2.00 |
| p | 0.03 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.03 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.58 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.05 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.55 |
| Sortino ratio | 2.92 |
| Upside Potential Ratio | 4.58 |
| Upside part of mean | 0.17 |
| Downside part of mean | -0.06 |
| Upside SD | 0.08 |
| Downside SD | 0.04 |
| N nonnegative terms | 17 |
| N negative terms | 12 |
| N of observations | 29 |
| Mean of predictor | 0.12 |
| Mean of criterion | 0.11 |
| SD of predictor | 0.12 |
| SD of criterion | 0.08 |
| Covariance | -0.00 |
| r | -0.08 |
| b (slope, estimate of beta) | -0.06 |
| a (intercept, estimate of alpha) | 0.11 |
| Mean Square Error | 0.01 |
| DF error | 27 |
| t(b) | -0.42 |
| p(b) | 0.66 |
| t(a) | 2.01 |
| p(a) | 0.03 |
| Lowerbound of 95% confidence interval for beta | -0.33 |
| Upperbound of 95% confidence interval for beta | 0.22 |
| Lowerbound of 95% confidence interval for alpha | -0.00 |
| Upperbound of 95% confidence interval for alpha | 0.23 |
| Treynor index (mean / b) | -1.92 |
| Jensen alpha (a) | 0.11 |
| Mean | 0.10 |
| SD | 0.08 |
| Sharpe ratio (Glass type estimate) | 1.26 |
| Sharpe ratio (Hedges UMVUE) | 1.22 |
| df | 28 |
| t | 1.95 |
| p | 0.03 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.06 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.55 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.08 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.52 |
| Sortino ratio | 2.77 |
| Upside Potential Ratio | 4.42 |
| Upside part of mean | 0.16 |
| Downside part of mean | -0.06 |
| Upside SD | 0.08 |
| Downside SD | 0.04 |
| N nonnegative terms | 17 |
| N negative terms | 12 |
| N of observations | 29 |
| Mean of predictor | 0.11 |
| Mean of criterion | 0.10 |
| SD of predictor | 0.12 |
| SD of criterion | 0.08 |
| Covariance | -0.00 |
| r | -0.08 |
| b (slope, estimate of beta) | -0.06 |
| a (intercept, estimate of alpha) | 0.11 |
| Mean Square Error | 0.01 |
| DF error | 27 |
| t(b) | -0.42 |
| p(b) | 0.66 |
| t(a) | 1.97 |
| p(a) | 0.03 |
| Lowerbound of 95% confidence interval for beta | -0.33 |
| Upperbound of 95% confidence interval for beta | 0.21 |
| Lowerbound of 95% confidence interval for alpha | -0.00 |
| Upperbound of 95% confidence interval for alpha | 0.22 |
| Treynor index (mean / b) | -1.84 |
| Jensen alpha (a) | 0.11 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.04 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| Mean | 0.10 |
| SD | 0.08 |
| Sharpe ratio (Glass type estimate) | 1.18 |
| Sharpe ratio (Hedges UMVUE) | 1.17 |
| df | 835 |
| t | 1.83 |
| p | 0.03 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.08 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.43 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.08 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.43 |
| Sortino ratio | 1.79 |
| Upside Potential Ratio | 9.50 |
| Upside part of mean | 0.52 |
| Downside part of mean | -0.42 |
| Upside SD | 0.06 |
| Downside SD | 0.05 |
| N nonnegative terms | 411 |
| N negative terms | 425 |
| N of observations | 836 |
| Mean of predictor | 0.14 |
| Mean of criterion | 0.10 |
| SD of predictor | 0.16 |
| SD of criterion | 0.08 |
| Covariance | -0.00 |
| r | -0.19 |
| b (slope, estimate of beta) | -0.10 |
| a (intercept, estimate of alpha) | 4230.04 |
| Mean Square Error | 0.01 |
| DF error | 834 |
| t(b) | -5.53 |
| p(b) | 1 |
| t(a) | 2.13 |
| p(a) | 0.02 |
| Lowerbound of 95% confidence interval for beta | -0.14 |
| Upperbound of 95% confidence interval for beta | -0.06 |
| Lowerbound of 95% confidence interval for alpha | 0.01 |
| Upperbound of 95% confidence interval for alpha | 0.21 |
| Treynor index (mean / b) | -0.97 |
| Jensen alpha (a) | 0.11 |
| Mean | 0.09 |
| SD | 0.08 |
| Sharpe ratio (Glass type estimate) | 1.14 |
| Sharpe ratio (Hedges UMVUE) | 1.13 |
| df | 835 |
| t | 1.77 |
| p | 0.04 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.12 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.39 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.12 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.39 |
| Sortino ratio | 1.71 |
| Upside Potential Ratio | 9.41 |
| Upside part of mean | 0.51 |
| Downside part of mean | -0.42 |
| Upside SD | 0.06 |
| Downside SD | 0.05 |
| N nonnegative terms | 411 |
| N negative terms | 425 |
| N of observations | 836 |
| Mean of predictor | 0.13 |
| Mean of criterion | 0.09 |
| SD of predictor | 0.16 |
| SD of criterion | 0.08 |
| Covariance | -0.00 |
| r | -0.19 |
| b (slope, estimate of beta) | -0.10 |
| a (intercept, estimate of alpha) | 0.11 |
| Mean Square Error | 0.01 |
| DF error | 834 |
| t(b) | -5.53 |
| p(b) | 1 |
| t(a) | 2.04 |
| p(a) | 0.02 |
| Lowerbound of 95% confidence interval for beta | -0.14 |
| Upperbound of 95% confidence interval for beta | -0.06 |
| Lowerbound of 95% confidence interval for alpha | 0.00 |
| Upperbound of 95% confidence interval for alpha | 0.21 |
| Treynor index (mean / b) | -0.94 |
| Jensen alpha (a) | 0.11 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.01 |
| Mean | 0.10 |
| SD | 0.08 |
| Sharpe ratio (Glass type estimate) | 1.18 |
| Sharpe ratio (Hedges UMVUE) | 1.18 |
| df | 171 |
| t | 0.84 |
| p | 0.46 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.60 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.95 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.60 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.95 |
| Sortino ratio | 2.05 |
| Upside Potential Ratio | 10.58 |
| Upside part of mean | 0.50 |
| Downside part of mean | -0.41 |
| Upside SD | 0.07 |
| Downside SD | 0.05 |
| N nonnegative terms | 80 |
| N negative terms | 92 |
| N of observations | 172 |
| Mean of predictor | 0.07 |
| Mean of criterion | 0.10 |
| SD of predictor | 0.17 |
| SD of criterion | 0.08 |
| Covariance | -0.01 |
| r | -0.63 |
| b (slope, estimate of beta) | -0.31 |
| a (intercept, estimate of alpha) | 0.12 |
| Mean Square Error | 0.00 |
| DF error | 170 |
| t(b) | -10.68 |
| p(b) | 0.82 |
| t(a) | 1.33 |
| p(a) | 0.45 |
| Lowerbound of 95% confidence interval for beta | -0.36 |
| Upperbound of 95% confidence interval for beta | -0.25 |
| Lowerbound of 95% confidence interval for alpha | -0.06 |
| Upperbound of 95% confidence interval for alpha | 0.30 |
| Treynor index (mean / b) | -0.32 |
| Jensen alpha (a) | 0.12 |
| Mean | 0.09 |
| SD | 0.08 |
| Sharpe ratio (Glass type estimate) | 1.14 |
| Sharpe ratio (Hedges UMVUE) | 1.14 |
| df | 171 |
| t | 0.81 |
| p | 0.46 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.63 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.92 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.64 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.91 |
| Sortino ratio | 1.97 |
| Upside Potential Ratio | 10.49 |
| Upside part of mean | 0.50 |
| Downside part of mean | -0.41 |
| Upside SD | 0.07 |
| Downside SD | 0.05 |
| N nonnegative terms | 80 |
| N negative terms | 92 |
| N of observations | 172 |
| Mean of predictor | 0.06 |
| Mean of criterion | 0.09 |
| SD of predictor | 0.17 |
| SD of criterion | 0.08 |
| Covariance | -0.01 |
| r | -0.64 |
| b (slope, estimate of beta) | -0.31 |
| a (intercept, estimate of alpha) | 0.11 |
| Mean Square Error | 0.00 |
| DF error | 170 |
| t(b) | -10.75 |
| p(b) | 0.82 |
| t(a) | 1.25 |
| p(a) | 0.45 |
| Lowerbound of 95% confidence interval for beta | -0.36 |
| VAR (95 Confidence Intrvl) | 0.72 |
| Upperbound of 95% confidence interval for beta | -0.25 |
| Lowerbound of 95% confidence interval for alpha | -0.07 |
| Upperbound of 95% confidence interval for alpha | 0.29 |
| Treynor index (mean / b) | -0.31 |
| Jensen alpha (a) | 0.11 |
| 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 | 29 |
|---|---|
| Minimum | 0.96 |
| Quartile 1 | 0.99 |
| Median | 1.01 |
| Quartile 3 | 1.02 |
| Maximum | 1.06 |
| Mean of quarter 1 | 0.98 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.01 |
| Mean of quarter 4 | 1.04 |
| Inter Quartile Range | 0.03 |
| 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) | -0.42 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.02 |
| Extreme Value Index (regression method) | -0.06 |
| VaR(95%) (regression method) | 0.02 |
| Expected Shortfall (regression method) | 0.03 |
| Number of observations | 836 |
| Minimum | 0.98 |
| Quartile 1 | 1.00 |
| Median | 1 |
| Quartile 3 | 1.00 |
| Maximum | 1.03 |
| Mean of quarter 1 | 1.00 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0.00 |
| Number outliers low | 58 |
| Percentage of outliers low | 0.07 |
| Mean of outliers low | 0.99 |
| Number of outliers high | 63 |
| Percentage of outliers high | 0.08 |
| Mean of outliers high | 1.01 |
| Extreme Value Index (moments method) | 0.28 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.01 |
| Extreme Value Index (regression method) | 0.08 |
| VaR(95%) (regression method) | 0.00 |
| Expected Shortfall (regression method) | 0.01 |
| Number of observations | 172 |
| Minimum | 0.99 |
| Quartile 1 | 1.00 |
| Median | 1 |
| Quartile 3 | 1.00 |
| Maximum | 1.02 |
| Mean of quarter 1 | 1.00 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0.00 |
| Number outliers low | 13 |
| Percentage of outliers low | 0.08 |
| Mean of outliers low | 0.99 |
| Number of outliers high | 17 |
| Percentage of outliers high | 0.10 |
| Mean of outliers high | 1.01 |
| Extreme Value Index (moments method) | -0.30 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.00 |
| Extreme Value Index (regression method) | -0.24 |
| VaR(95%) (regression method) | 0.00 |
| Expected Shortfall (regression method) | 0.01 |
DRAW DOWN STATISTICS
| Number of observations | 7 |
|---|---|
| Minimum | 0.01 |
| Quartile 1 | 0.01 |
| Median | 0.02 |
| Quartile 3 | 0.02 |
| Maximum | 0.04 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.02 |
| Mean of quarter 4 | 0.03 |
| 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 | 0.04 |
| 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 | 37 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.00 |
| Quartile 3 | 0.02 |
| Maximum | 0.07 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.00 |
| Mean of quarter 3 | 0.01 |
| Mean of quarter 4 | 0.04 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 4 |
| Percentage of outliers high | 0.11 |
| Mean of outliers high | 0.06 |
| Extreme Value Index (moments method) | -0.03 |
| VaR(95%) (moments method) | 0.04 |
| Expected Shortfall (moments method) | 0.05 |
| Extreme Value Index (regression method) | -0.15 |
| VaR(95%) (regression method) | 0.05 |
| Expected Shortfall (regression method) | 0.06 |
| Number of observations | 13 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.00 |
| Quartile 3 | 0.01 |
| Maximum | 0.04 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.00 |
| Mean of quarter 3 | 0.01 |
| Mean of quarter 4 | 0.02 |
| 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 | 0.08 |
| Mean of outliers high | 0.04 |
| Extreme Value Index (moments method) | 0.12 |
| VaR(95%) (moments method) | 0.02 |
| Expected Shortfall (moments method) | 0.03 |
| Extreme Value Index (regression method) | 1.05 |
| VaR(95%) (regression method) | 0.03 |
| Expected Shortfall (regression method) | 0 |
| Max Equity Drawdown (num days) | 37 |
| Last 4 Months - Pcnt Negative | 0.5% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.13 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.12 |
| Calmar ratio (compounded annual return / max draw down) | 2.83 |
| Compounded annual return / average of 25% largest draw downs | 3.61 |
| Compounded annual return / Expected Shortfall lognormal | 3.03 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.12 |
| Compounded annual return (geometric extrapolation) | 0.11 |
| Calmar ratio (compounded annual return / max draw down) | 1.55 |
| Compounded annual return / average of 25% largest draw downs | 2.66 |
| Compounded annual return / Expected Shortfall lognormal | 12.33 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.11 |
| Compounded annual return (geometric extrapolation) | 0.11 |
| Calmar ratio (compounded annual return / max draw down) | 2.86 |
| Compounded annual return / average of 25% largest draw downs | 4.66 |
| Compounded annual return / Expected Shortfall lognormal | 12.41 |
Trading record
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| XIV | long | 182 | Mar 31, 2014 | Apr 11, 2014 | ($384) |
| XIV | long | 180 | Mar 18, 2014 | Mar 31, 2014 | $221 |
| FAZ | short | 97 | Feb 28, 2014 | Mar 31, 2014 | $650 |
| FAS | short | 304 | Feb 28, 2014 | Mar 31, 2014 | ($474) |
| XIV | long | 183 | Feb 28, 2014 | Mar 17, 2014 | ($269) |
| XIV | long | 179 | Feb 21, 2014 | Feb 28, 2014 | ($204) |
| FAS | short | 332 | Jan 31, 2014 | Feb 28, 2014 | ($622) |
| FAZ | short | 87 | Jan 31, 2014 | Feb 28, 2014 | $805 |
| XIV | long | 187 | Feb 7, 2014 | Feb 19, 2014 | $108 |
| FAZ | short | 96 | Dec 31, 2013 | Jan 31, 2014 | ($747) |
| FAS | short | 304 | Dec 31, 2013 | Jan 31, 2014 | $683 |
| XIV | long | 169 | Dec 31, 2013 | Jan 28, 2014 | ($278) |
| XIV | short | 169 | Dec 31, 2013 | Dec 31, 2013 | ($5) |
| XIV | long | 87 | Dec 13, 2013 | Dec 31, 2013 | $254 |
| FAZ | short | 89 | Nov 27, 2013 | Dec 31, 2013 | $539 |
| FAS | short | 316 | Nov 27, 2013 | Dec 31, 2013 | ($384) |
| XIV | long | 173 | Nov 27, 2013 | Dec 11, 2013 | ($294) |
| XIV | long | 190 | Oct 31, 2013 | Nov 27, 2013 | $779 |
| FAZ | short | 75 | Oct 31, 2013 | Nov 27, 2013 | $899 |
| FAS | short | 340 | Oct 31, 2013 | Nov 27, 2013 | ($757) |
| XIV | long | 190 | Oct 16, 2013 | Oct 31, 2013 | $496 |
| FAZ | short | 64 | Sep 30, 2013 | Oct 31, 2013 | $964 |
| FAS | short | 368 | Sep 30, 2013 | Oct 31, 2013 | ($749) |
| XIV | long | 197 | Oct 10, 2013 | Oct 14, 2013 | $69 |
| XIV | long | 201 | Sep 30, 2013 | Oct 7, 2013 | ($525) |
| XIV | long | 221 | Aug 30, 2013 | Sep 30, 2013 | $697 |
| FAS | short | 344 | Sep 12, 2013 | Sep 30, 2013 | $191 |
| FAZ | short | 64 | Sep 12, 2013 | Sep 30, 2013 | ($188) |
| FAS | short | 344 | Jul 31, 2013 | Sep 12, 2013 | $238 |
| XIV | long | 200 | Jul 31, 2013 | Aug 30, 2013 | ($736) |
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.