IQA ETF Timer
- hypothetical · Annual Return (Compounded)
- -15.3%
- Max Drawdown
- 29.8%
- Trades
- 177
- Win Trades
- 35.6%
- Profit Factor
- 2.10
- Win Months
- 60.0%
About this strategy
IQA ETF Timer is a fully automated intraday trading system to time the US equity and bond markets. It uses SSO and TLT for the long positions and SDS and TBT for the short positions. It identifies and follows short-term trends in prices typically lasting from several days to a month. This is a continuation of the QA ETF Timer System (see http://www.collective2.com/system86770721). It was re-scaled on 9/22/14 to a more realistic starting capital of $50K.
Other information of interest:
* Since TLT is unlevered, margin is used (50% of the account) to obtain a 2-to-1 leverage.
* All positions are long-only, so it can be traded in an IRA account. However, the position sizing needs to be reduced by 1/3 since margin is not available.
* All orders are market orders.
* There are two models traded -- the SPY model and the TLT model, where each model is allocated 50% of the equity.
* Both models are based on 15-minute bars across the regular hours of trading.
* The parameters of the TLT model were updated on 3/8/15 to reduce the frequency of trades in order to minimize subscriber transaction costs.
For futures traders, please visit our IQA Futures Timer system:
http://www.collective2.com/system89168751
Other information of interest:
* Since TLT is unlevered, margin is used (50% of the account) to obtain a 2-to-1 leverage.
* All positions are long-only, so it can be traded in an IRA account. However, the position sizing needs to be reduced by 1/3 since margin is not available.
* All orders are market orders.
* There are two models traded -- the SPY model and the TLT model, where each model is allocated 50% of the equity.
* Both models are based on 15-minute bars across the regular hours of trading.
* The parameters of the TLT model were updated on 3/8/15 to reduce the frequency of trades in order to minimize subscriber transaction costs.
For futures traders, please visit our IQA Futures Timer system:
http://www.collective2.com/system89168751
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2014 | -0.5 | 2.8 | -0.7 | 2.6 | 4.2 | ||||||||
| 2015 | -3.0 | -5.8 | -1.8 | -8.6 | -3.9 | 2.6 | -1.4 | 5.0 | -7.4 | 5.7 | -1.7 | -7.9 | -25.8 |
| 2016 | -1.9 | 1.5 | 8.2 | -1.0 | 2.0 | 6.6 | 5.8 | 1.3 | -1.4 | -7.9 | -2.5 | 0.3 | 10.4 |
| 2017 | 2.1 | 7.9 | -1.0 | 2.0 | 3.7 | 3.8 | 1.4 | 2.0 | 0.5 | 2.3 | 5.9 | 2.2 | 37.7 |
| 2018 | 6.6 | -8.3 | -2.8 | -0.6 | 4.3 | -0.2 | 3.5 | 6.6 | -1.6 | -12.9 | -0.3 | -7.3 | -14.0 |
| 2019 | 14.3 | 3.1 | 6.4 | 4.0 | 0.1 | 0.0 | 3.2 | 3.6 | 0.2 | 6.4 | 1.9 | 59.3 | |
| 2020 | 5.7 | -7.1 | 5.4 | -8.6 | 6.2 | -1.1 | 10.1 | -26.4 | -2.5 | -4.0 | 8.3 | 1.6 | -16.9 |
| 2021 | -1.5 | -2.6 | -0.5 | 7.5 | 0.5 | 5.6 | 6.1 | 3.1 | -2.5 | 1.1 | 5.7 | 3.0 | 28.0 |
| 2022 | -7.9 | -8.0 | 0.1 | -13.6 | -2.9 | -12.6 | 12.3 | -6.1 | -16.5 | -2.0 | 8.9 | -3.9 | -43.8 |
| 2023 | 12.3 | -8.1 | 3.4 | 4.4 | 0.2 | 7.7 | 4.0 | -4.5 | -10.5 | -11.4 | 22.0 | 13.7 | 31.4 |
| 2024 | 3.4 | 2.4 | 6.1 | -8.1 | 5.8 | 9.2 | 1.1 | 4.9 | 2.7 | 1.3 | 1.0 | 4.9 | 39.5 |
| 2025 | -3.0 | -2.0 | -11.4 | -10.9 | 14.3 | 11.7 | 5.5 | 1.9 | 6.3 | 6.1 | -7.2 | 6.9 | 15.3 |
| 2026 | 0.8 | -0.7 | -10.4 | 7.4 | 15.8 | 0.7 | -3.1 | 5.8 | 1.5 | -0.7 | 16.1 |
Statistics
Overview
| Strategy began | 9/22/2014 |
|---|---|
| Suggested Minimum Capital | $50,000 |
| Age | 147 months |
| What it trades | Stocks |
| # Trades | 177 |
| # Profitable | 63 |
| % Profitable | 35.6% |
| Avg trade duration | 47.8 days |
| Max peak-to-valley drawdown | 29.8% |
| drawdown period | Jan 08, 2015 - Jan 29, 2016 |
| Annual Return (Compounded) | -15.3% |
| Avg win | $1,960 |
| Avg loss | $595 |
Ratios
| W:L ratio | 2.06 |
|---|---|
| Sharpe Ratio | 0.29 |
| Sortino Ratio | 0.39 |
| Calmar Ratio | 0.79 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.67 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 285.6% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -20.5% |
Return Statistics
| Ann Return (w trading costs) | -15.3% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | -0.2% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 7.6% |
Slump
| Current Slump as Pcnt Equity | 0.9% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.0% |
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 | 100.0% |
|---|---|
| Chance of 20% account loss | 53.0% |
| Chance of 30% account loss | 2.0% |
| 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) | 536 |
|---|---|
| Popularity (Last 6 weeks) | 763 |
| Popularity (7 days, Percentile 1000 scale) | 514 |
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $595 |
|---|---|
| Avg Win | $1,960 |
| # Winners | 63 |
| Sum Trade PL (losers) | $67,841 |
| Sum Trade PL (winners) | $123,488 |
| Num Months Winners | 87 |
| # Losers | 114 |
| % Winners | 35.6% |
Dividends
| Dividends Received in Model Acct | 16187 |
|---|
Age
| Num Months filled monthly returns table | 146 |
|---|
Frequency
| Avg Position Time (mins) | 68788.59 |
|---|---|
| Avg Position Time (hrs) | 1146.48 |
| Avg Trade Length | 47.80 |
| Last Trade Ago | 3877 |
Regression
| Alpha | -0.01 |
|---|---|
| Beta | 1.01 |
| Treynor Index | 0.02 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.01 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.03 |
| MAE:Equity, average, losing trades | 0.01 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.01 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 1.71 |
| MAE:PL (avg, all trades) | -0.54 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 23.21 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 36.49 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.12 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.15 |
| Hold-and-Hope Ratio | 0.73 |
RATIO STATISTICS
| Mean | -0.13 |
|---|---|
| SD | 0.14 |
| Sharpe ratio (Glass type estimate) | -0.94 |
| Sharpe ratio (Hedges UMVUE) | -0.89 |
| df | 14 |
| t | -1.05 |
| p | 0.64 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -2.71 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.86 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -2.67 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.89 |
| Sortino ratio | -1.11 |
| Upside Potential Ratio | 0.98 |
| Upside part of mean | 0.12 |
| Downside part of mean | -0.25 |
| Upside SD | 0.08 |
| Downside SD | 0.12 |
| N nonnegative terms | 6 |
| N negative terms | 9 |
| N of observations | 15 |
| Mean of predictor | -0.02 |
| Mean of criterion | -0.13 |
| SD of predictor | 0.16 |
| SD of criterion | 0.14 |
| Covariance | -0.00 |
| r | -0.02 |
| b (slope, estimate of beta) | -0.02 |
| a (intercept, estimate of alpha) | -0.13 |
| Mean Square Error | 0.02 |
| DF error | 13 |
| t(b) | -0.08 |
| p(b) | 0.51 |
| t(a) | -1.02 |
| p(a) | 0.67 |
| Lowerbound of 95% confidence interval for beta | -0.54 |
| Upperbound of 95% confidence interval for beta | 0.51 |
| Lowerbound of 95% confidence interval for alpha | -0.41 |
| Upperbound of 95% confidence interval for alpha | 0.15 |
| Treynor index (mean / b) | 7.08 |
| Jensen alpha (a) | -0.13 |
| Mean | -0.14 |
| SD | 0.14 |
| Sharpe ratio (Glass type estimate) | -1.00 |
| Sharpe ratio (Hedges UMVUE) | -0.94 |
| df | 14 |
| t | -1.11 |
| p | 0.64 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -2.77 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.81 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -2.73 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.85 |
| Sortino ratio | -1.15 |
| Upside Potential Ratio | 0.92 |
| Upside part of mean | 0.11 |
| Downside part of mean | -0.25 |
| Upside SD | 0.07 |
| Downside SD | 0.12 |
| N nonnegative terms | 6 |
| N negative terms | 9 |
| N of observations | 15 |
| Mean of predictor | -0.04 |
| Mean of criterion | -0.14 |
| SD of predictor | 0.16 |
| SD of criterion | 0.14 |
| Covariance | -0.00 |
| r | -0.02 |
| b (slope, estimate of beta) | -0.02 |
| a (intercept, estimate of alpha) | -0.14 |
| Mean Square Error | 0.02 |
| DF error | 13 |
| t(b) | -0.08 |
| p(b) | 0.51 |
| t(a) | -1.08 |
| p(a) | 0.68 |
| Lowerbound of 95% confidence interval for beta | -0.55 |
| Upperbound of 95% confidence interval for beta | 0.51 |
| Lowerbound of 95% confidence interval for alpha | -0.43 |
| Upperbound of 95% confidence interval for alpha | 0.14 |
| Treynor index (mean / b) | 6.91 |
| Jensen alpha (a) | -0.14 |
| VaR(95%) | 0.08 |
| Expected Shortfall on VaR | 0.09 |
| VaR(95%) | 0.05 |
| Expected Shortfall on VaR | 0.09 |
| Mean | -0.13 |
| SD | 0.16 |
| Sharpe ratio (Glass type estimate) | -0.83 |
| Sharpe ratio (Hedges UMVUE) | -0.83 |
| df | 431 |
| t | -0.93 |
| p | 0.82 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -2.58 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.92 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -2.58 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.92 |
| Sortino ratio | -1.11 |
| Upside Potential Ratio | 7.24 |
| Upside part of mean | 0.84 |
| Downside part of mean | -0.97 |
| Upside SD | 0.10 |
| Downside SD | 0.12 |
| N nonnegative terms | 171 |
| N negative terms | 261 |
| N of observations | 432 |
| Mean of predictor | -0.00 |
| Mean of criterion | -0.13 |
| SD of predictor | 0.17 |
| SD of criterion | 0.16 |
| Covariance | -0.00 |
| r | -0.09 |
| b (slope, estimate of beta) | -0.08 |
| a (intercept, estimate of alpha) | -0.10 |
| Mean Square Error | 0.02 |
| DF error | 430 |
| t(b) | -1.90 |
| p(b) | 0.97 |
| t(a) | -0.93 |
| p(a) | 0.82 |
| Lowerbound of 95% confidence interval for beta | -0.17 |
| Upperbound of 95% confidence interval for beta | 0.00 |
| Lowerbound of 95% confidence interval for alpha | -0.40 |
| Upperbound of 95% confidence interval for alpha | 0.14 |
| Treynor index (mean / b) | 1.54 |
| Jensen alpha (a) | -0.13 |
| Mean | -0.14 |
| SD | 0.16 |
| Sharpe ratio (Glass type estimate) | -0.90 |
| Sharpe ratio (Hedges UMVUE) | -0.90 |
| df | 431 |
| t | -1.01 |
| p | 0.84 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -2.65 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.85 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -2.65 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.85 |
| Sortino ratio | -1.21 |
| Upside Potential Ratio | 7.10 |
| Upside part of mean | 0.83 |
| Downside part of mean | -0.98 |
| Upside SD | 0.10 |
| Downside SD | 0.12 |
| N nonnegative terms | 171 |
| N negative terms | 261 |
| N of observations | 432 |
| Mean of predictor | -0.02 |
| Mean of criterion | -0.14 |
| SD of predictor | 0.17 |
| SD of criterion | 0.16 |
| Covariance | -0.00 |
| r | -0.09 |
| b (slope, estimate of beta) | -0.08 |
| a (intercept, estimate of alpha) | -0.14 |
| Mean Square Error | 0.02 |
| DF error | 430 |
| t(b) | -1.86 |
| p(b) | 0.97 |
| t(a) | -1.02 |
| p(a) | 0.85 |
| Lowerbound of 95% confidence interval for beta | -0.17 |
| Upperbound of 95% confidence interval for beta | 0.00 |
| Lowerbound of 95% confidence interval for alpha | -0.42 |
| Upperbound of 95% confidence interval for alpha | 0.13 |
| Treynor index (mean / b) | 1.73 |
| Jensen alpha (a) | -0.14 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
| Mean | -0.08 |
| SD | 0.19 |
| Sharpe ratio (Glass type estimate) | -0.39 |
| Sharpe ratio (Hedges UMVUE) | -0.39 |
| df | 171 |
| t | -0.28 |
| p | 0.51 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.16 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.38 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.16 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.38 |
| Sortino ratio | -0.53 |
| Upside Potential Ratio | 7.23 |
| Upside part of mean | 1.04 |
| Downside part of mean | -1.12 |
| Upside SD | 0.13 |
| Downside SD | 0.14 |
| N nonnegative terms | 71 |
| N negative terms | 101 |
| N of observations | 172 |
| Mean of predictor | -0.10 |
| Mean of criterion | -0.08 |
| SD of predictor | 0.22 |
| SD of criterion | 0.19 |
| Covariance | -0.01 |
| r | -0.19 |
| b (slope, estimate of beta) | -0.17 |
| a (intercept, estimate of alpha) | -0.09 |
| Mean Square Error | 0.04 |
| DF error | 170 |
| t(b) | -2.56 |
| p(b) | 0.60 |
| t(a) | -0.34 |
| p(a) | 0.51 |
| Lowerbound of 95% confidence interval for beta | -0.30 |
| Upperbound of 95% confidence interval for beta | -0.04 |
| Lowerbound of 95% confidence interval for alpha | -0.63 |
| Upperbound of 95% confidence interval for alpha | 0.44 |
| Treynor index (mean / b) | 0.45 |
| Jensen alpha (a) | -0.09 |
| Mean | -0.09 |
| SD | 0.20 |
| Sharpe ratio (Glass type estimate) | -0.48 |
| Sharpe ratio (Hedges UMVUE) | -0.48 |
| df | 171 |
| t | -0.34 |
| p | 0.52 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.26 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.29 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.25 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.29 |
| Sortino ratio | -0.65 |
| Upside Potential Ratio | 7.06 |
| Upside part of mean | 1.03 |
| Downside part of mean | -1.13 |
| Upside SD | 0.13 |
| Downside SD | 0.15 |
| N nonnegative terms | 71 |
| N negative terms | 101 |
| N of observations | 172 |
| Mean of predictor | -0.12 |
| Mean of criterion | -0.09 |
| SD of predictor | 0.22 |
| SD of criterion | 0.20 |
| Covariance | -0.01 |
| r | -0.19 |
| b (slope, estimate of beta) | -0.16 |
| a (intercept, estimate of alpha) | -0.12 |
| Mean Square Error | 0.04 |
| DF error | 170 |
| t(b) | -2.50 |
| p(b) | 0.59 |
| t(a) | -0.42 |
| p(a) | 0.52 |
| Lowerbound of 95% confidence interval for beta | -0.29 |
| VAR (95 Confidence Intrvl) | 0.05 |
| Upperbound of 95% confidence interval for beta | -0.03 |
| Lowerbound of 95% confidence interval for alpha | -0.65 |
| Upperbound of 95% confidence interval for alpha | 0.42 |
| Treynor index (mean / b) | 0.57 |
| Jensen alpha (a) | -0.12 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.02 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
ORDER STATISTICS
| Number of observations | 15 |
|---|---|
| Minimum | 0.90 |
| Quartile 1 | 0.98 |
| Median | 0.99 |
| Quartile 3 | 1.01 |
| Maximum | 1.07 |
| Mean of quarter 1 | 0.94 |
| Mean of quarter 2 | 0.98 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.04 |
| Inter Quartile Range | 0.03 |
| Number outliers low | 1 |
| Percentage of outliers low | 0.07 |
| Mean of outliers low | 0.90 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.07 |
| Mean of outliers high | 1.07 |
| Extreme Value Index (moments method) | -1.76 |
| VaR(95%) (moments method) | 0.06 |
| Expected Shortfall (moments method) | 0.06 |
| Extreme Value Index (regression method) | 0.03 |
| VaR(95%) (regression method) | 0.09 |
| Expected Shortfall (regression method) | 0.13 |
| Number of observations | 432 |
| Minimum | 0.95 |
| Quartile 1 | 1.00 |
| Median | 1 |
| Quartile 3 | 1.00 |
| Maximum | 1.05 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 16 |
| Percentage of outliers low | 0.04 |
| Mean of outliers low | 0.98 |
| Number of outliers high | 21 |
| Percentage of outliers high | 0.05 |
| Mean of outliers high | 1.02 |
| Extreme Value Index (moments method) | 0.23 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.02 |
| Extreme Value Index (regression method) | 0.15 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.01 |
| Number of observations | 172 |
| Minimum | 0.95 |
| Quartile 1 | 1.00 |
| Median | 1 |
| Quartile 3 | 1.00 |
| Maximum | 1.05 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 9 |
| Percentage of outliers low | 0.05 |
| Mean of outliers low | 0.97 |
| Number of outliers high | 8 |
| Percentage of outliers high | 0.05 |
| Mean of outliers high | 1.03 |
| Extreme Value Index (moments method) | 0.37 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.02 |
| Extreme Value Index (regression method) | 0.24 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.02 |
DRAW DOWN STATISTICS
| Number of observations | 2 |
|---|---|
| Minimum | 0.02 |
| Quartile 1 | 0.07 |
| Median | 0.12 |
| Quartile 3 | 0.17 |
| Maximum | 0.22 |
| Mean of quarter 1 | 0.02 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.22 |
| Inter Quartile Range | 0.10 |
| 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 | 9 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.01 |
| Quartile 3 | 0.02 |
| Maximum | 0.25 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.00 |
| Mean of quarter 3 | 0.01 |
| Mean of quarter 4 | 0.14 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.11 |
| Mean of outliers high | 0.25 |
| Extreme Value Index (moments method) | 0.71 |
| VaR(95%) (moments method) | 0.10 |
| Expected Shortfall (moments method) | 0.40 |
| Extreme Value Index (regression method) | 2.61 |
| VaR(95%) (regression method) | 0.51 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 4 |
| Minimum | 0.04 |
| Quartile 1 | 0.04 |
| Median | 0.06 |
| Quartile 3 | 0.08 |
| Maximum | 0.10 |
| Mean of quarter 1 | 0.04 |
| Mean of quarter 2 | 0.04 |
| Mean of quarter 3 | 0.07 |
| Mean of quarter 4 | 0.10 |
| 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 |
| 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 |
| Max Equity Drawdown (num days) | 386 |
| Last 4 Months - Pcnt Negative | 0.5% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | -0.12 |
|---|---|
| Compounded annual return (geometric extrapolation) | -0.12 |
| Calmar ratio (compounded annual return / max draw down) | -0.56 |
| Compounded annual return / average of 25% largest draw downs | -0.56 |
| Compounded annual return / Expected Shortfall lognormal | -1.34 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.12 |
| Compounded annual return (geometric extrapolation) | -0.12 |
| Calmar ratio (compounded annual return / max draw down) | -0.50 |
| Compounded annual return / average of 25% largest draw downs | -0.87 |
| Compounded annual return / Expected Shortfall lognormal | -6.98 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.08 |
| Compounded annual return (geometric extrapolation) | -0.08 |
| Calmar ratio (compounded annual return / max draw down) | -0.79 |
| Compounded annual return / average of 25% largest draw downs | -0.79 |
| Compounded annual return / Expected Shortfall lognormal | -3.74 |
Trading record
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| SDS | long | 1082 | Feb 24, 2016 | Feb 25, 2016 | ($1,163) |
| TBT | long | 494 | Feb 16, 2016 | Feb 23, 2016 | ($420) |
| SDS | long | 1082 | Feb 2, 2016 | Feb 8, 2016 | $1,650 |
| TLT | long | 376 | Jan 29, 2016 | Feb 8, 2016 | $1,101 |
| SDS | long | 1082 | Jan 27, 2016 | Jan 29, 2016 | ($1,563) |
| SDS | long | 1082 | Jan 20, 2016 | Jan 27, 2016 | ($1,628) |
| SDS | long | 1082 | Jan 13, 2016 | Jan 20, 2016 | $1,358 |
| SDS | long | 1082 | Dec 31, 2015 | Jan 6, 2016 | $1,272 |
| SSO | long | 365 | Dec 22, 2015 | Dec 31, 2015 | $128 |
| SDS | long | 1082 | Dec 18, 2015 | Dec 22, 2015 | ($330) |
| TBT | long | 494 | Dec 3, 2015 | Dec 11, 2015 | ($1,255) |
| SSO | long | 365 | Dec 1, 2015 | Dec 11, 2015 | ($1,564) |
| SDS | long | 1082 | Nov 24, 2015 | Dec 1, 2015 | ($405) |
| SSO | long | 365 | Nov 17, 2015 | Nov 24, 2015 | $347 |
| SSO | long | 336 | Nov 2, 2015 | Nov 13, 2015 | ($1,425) |
| TBT | long | 517 | Oct 20, 2015 | Nov 5, 2015 | $631 |
| SSO | long | 406 | Oct 15, 2015 | Oct 28, 2015 | $1,478 |
| TLT | long | 364 | Oct 14, 2015 | Oct 20, 2015 | ($287) |
| SSO | long | 406 | Sep 30, 2015 | Oct 5, 2015 | $1,291 |
| SSO | long | 406 | Sep 25, 2015 | Sep 28, 2015 | ($1,498) |
| SDS | long | 1051 | Sep 18, 2015 | Sep 24, 2015 | $1,382 |
| TBT | long | 455 | Sep 9, 2015 | Sep 24, 2015 | ($1,288) |
| SSO | long | 320 | Sep 15, 2015 | Sep 18, 2015 | ($32) |
| SDS | long | 1051 | Sep 1, 2015 | Sep 15, 2015 | ($972) |
| SSO | long | 320 | Aug 27, 2015 | Sep 1, 2015 | ($665) |
| TLT | long | 346 | Aug 20, 2015 | Aug 24, 2015 | $1,066 |
| SDS | long | 1051 | Aug 19, 2015 | Aug 21, 2015 | $1,319 |
| SSO | long | 320 | Aug 10, 2015 | Aug 19, 2015 | ($460) |
| TLT | long | 346 | Jul 31, 2015 | Aug 11, 2015 | $730 |
| SDS | long | 1051 | Aug 3, 2015 | Aug 10, 2015 | ($247) |
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.