The Alchemist
- hypothetical · Annual Return (Compounded)
- 3.5%
- Max Drawdown
- 45.5%
- Trades
- 266
- Win Trades
- 39.8%
- Profit Factor
- 1.10
- Win Months
- 8.6%
About this strategy
The Alchemist is a mechanical trading strategy for E-mini S&P 500 futures.
The system encloses 9 strategies: 6 reversion- and 3 momentum-based. Each one is a fully automated model that runs during the trading day (0930-1600).
The 6 reversion-based strategies are long-only systems; on the other hand the 3 momentum-based strategies are short-only systems.
The trade size of each strategy is fixed to 1 E-mini contract.
Positions can be build up over time upto a maximum of 6 long or 3 short future contracts.
Usually trades goes on for more than one day resulting in overnight positions.
A stoploss is given with every trade, however these are not effective overnight.
The required amount of capital to trade the system is determined by margin requirements
(about $6k per lot) and a buffer for losing trades. Take into account approx. $15k for maximum
drawdown and $35k for margin.
Together this adds up to a starting capital of $50k for this strategy.
Thank you for your interest in this strategy.
The system encloses 9 strategies: 6 reversion- and 3 momentum-based. Each one is a fully automated model that runs during the trading day (0930-1600).
The 6 reversion-based strategies are long-only systems; on the other hand the 3 momentum-based strategies are short-only systems.
The trade size of each strategy is fixed to 1 E-mini contract.
Positions can be build up over time upto a maximum of 6 long or 3 short future contracts.
Usually trades goes on for more than one day resulting in overnight positions.
A stoploss is given with every trade, however these are not effective overnight.
The required amount of capital to trade the system is determined by margin requirements
(about $6k per lot) and a buffer for losing trades. Take into account approx. $15k for maximum
drawdown and $35k for margin.
Together this adds up to a starting capital of $50k for this strategy.
Thank you for your interest in this strategy.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2015 | 17.3 | -2.3 | 9.3 | 2.1 | 3.1 | 20.2 | -0.1 | -0.7 | 1.1 | 7.8 | 71.6 | ||
| 2016 | -13.1 | 2.1 | -11.8 | 9.5 | 10.0 | -4.6 | -15.9 | -4.3 | -4.5 | -7.0 | -5.2 | -0.3 | -39.2 |
| 2017 | 2.7 | 8.2 | -1.1 | -2.1 | -2.8 | -1.9 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 2.5 |
| 2018 | 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 |
| 2019 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |
| 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 | 0.0 |
Statistics
Overview
| Strategy began | 3/2/2015 |
|---|---|
| Suggested Minimum Capital | $50,000 |
| Age | 141 months |
| What it trades | Futures |
| # Trades | 266 |
| # Profitable | 106 |
| % Profitable | 39.8% |
| Avg trade duration | 2.2 days |
| Max peak-to-valley drawdown | 45.5% |
| drawdown period | Jan 08, 2016 - Jan 03, 2017 |
| Annual Return (Compounded) | 3.5% |
| Avg win | $1,655 |
| Avg loss | $1,025 |
Ratios
| W:L ratio | 1.07 |
|---|---|
| Sharpe Ratio | -0.01 |
| Sortino Ratio | -0.01 |
| Calmar Ratio | 0.15 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.06 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 265.7% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -4.4% |
Return Statistics
| Ann Return (w trading costs) | 3.5% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 1.8% |
Slump
| Current Slump as Pcnt Equity | 70.6% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.9% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 1.0% |
| Percent Trades Options | 0.0% |
| Percent Trades Stocks | 0.0% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 100.0% |
|---|---|
| Chance of 20% account loss | 100.0% |
| Chance of 30% account loss | 100.0% |
| Chance of 40% account loss | 100.0% |
| 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 | 0.2% |
|---|
Popularity
| Popularity (Today) | 0 |
|---|---|
| Popularity (Last 6 weeks) | 654 |
| Popularity (7 days, Percentile 1000 scale) | 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 | $1,025 |
|---|---|
| Avg Win | $1,655 |
| # Winners | 106 |
| Sum Trade PL (losers) | $163,994 |
| Sum Trade PL (winners) | $175,450 |
| Num Months Winners | 13 |
| # Losers | 160 |
| % Winners | 39.8% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 140 |
|---|
Frequency
| Avg Position Time (mins) | 3118.45 |
|---|---|
| Avg Position Time (hrs) | 51.97 |
| Avg Trade Length | 2.20 |
| Last Trade Ago | 3129 |
Regression
| Alpha | 0 |
|---|---|
| Beta | 0.06 |
| Treynor Index | -0.01 |
Maximum Adverse Excursion (MAE)
| Hold-and-Hope Ratio | 0 |
|---|
RATIO STATISTICS
| Mean | 0.18 |
|---|---|
| SD | 0.33 |
| Sharpe ratio (Glass type estimate) | 0.54 |
| Sharpe ratio (Hedges UMVUE) | 0.53 |
| df | 23 |
| t | 0.77 |
| p | 0.22 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.86 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.93 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.87 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.92 |
| Sortino ratio | 0.95 |
| Upside Potential Ratio | 2.82 |
| Upside part of mean | 0.54 |
| Downside part of mean | -0.36 |
| Upside SD | 0.27 |
| Downside SD | 0.19 |
| N nonnegative terms | 14 |
| N negative terms | 10 |
| N of observations | 24 |
| Mean of predictor | 0.05 |
| Mean of criterion | 0.18 |
| SD of predictor | 0.11 |
| SD of criterion | 0.33 |
| Covariance | -0.01 |
| r | -0.17 |
| b (slope, estimate of beta) | -0.48 |
| a (intercept, estimate of alpha) | 0.21 |
| Mean Square Error | 0.11 |
| DF error | 22 |
| t(b) | -0.79 |
| p(b) | 0.78 |
| t(a) | 0.86 |
| p(a) | 0.20 |
| Lowerbound of 95% confidence interval for beta | -1.75 |
| Upperbound of 95% confidence interval for beta | 0.79 |
| Lowerbound of 95% confidence interval for alpha | -0.29 |
| Upperbound of 95% confidence interval for alpha | 0.71 |
| Treynor index (mean / b) | -0.38 |
| Jensen alpha (a) | 0.21 |
| Mean | 0.13 |
| SD | 0.33 |
| Sharpe ratio (Glass type estimate) | 0.40 |
| Sharpe ratio (Hedges UMVUE) | 0.38 |
| df | 23 |
| t | 0.56 |
| p | 0.29 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.00 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.78 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.01 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.77 |
| Sortino ratio | 0.63 |
| Upside Potential Ratio | 2.48 |
| Upside part of mean | 0.51 |
| Downside part of mean | -0.38 |
| Upside SD | 0.25 |
| Downside SD | 0.20 |
| N nonnegative terms | 14 |
| N negative terms | 10 |
| N of observations | 24 |
| Mean of predictor | 0.05 |
| Mean of criterion | 0.13 |
| SD of predictor | 0.12 |
| SD of criterion | 0.33 |
| Covariance | -0.01 |
| r | -0.14 |
| b (slope, estimate of beta) | -0.40 |
| a (intercept, estimate of alpha) | 0.15 |
| Mean Square Error | 0.11 |
| DF error | 22 |
| t(b) | -0.66 |
| p(b) | 0.74 |
| t(a) | 0.63 |
| p(a) | 0.27 |
| Lowerbound of 95% confidence interval for beta | -1.64 |
| Upperbound of 95% confidence interval for beta | 0.84 |
| Lowerbound of 95% confidence interval for alpha | -0.34 |
| Upperbound of 95% confidence interval for alpha | 0.64 |
| Treynor index (mean / b) | -0.33 |
| Jensen alpha (a) | 0.15 |
| VaR(95%) | 0.13 |
| Expected Shortfall on VaR | 0.17 |
| VaR(95%) | 0.06 |
| Expected Shortfall on VaR | 0.12 |
| Mean | 0.17 |
| SD | 0.28 |
| Sharpe ratio (Glass type estimate) | 0.58 |
| Sharpe ratio (Hedges UMVUE) | 0.58 |
| df | 691 |
| t | 0.82 |
| p | 0.21 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.80 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.96 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.80 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.96 |
| Sortino ratio | 0.96 |
| Upside Potential Ratio | 8.74 |
| Upside part of mean | 1.51 |
| Downside part of mean | -1.34 |
| Upside SD | 0.23 |
| Downside SD | 0.17 |
| N nonnegative terms | 272 |
| N negative terms | 420 |
| N of observations | 692 |
| Mean of predictor | 0.05 |
| Mean of criterion | 0.17 |
| SD of predictor | 0.14 |
| SD of criterion | 0.28 |
| Covariance | 0.01 |
| r | 0.17 |
| b (slope, estimate of beta) | 0.34 |
| a (intercept, estimate of alpha) | 0.04 |
| Mean Square Error | 0.08 |
| DF error | 690 |
| t(b) | 4.47 |
| p(b) | 0 |
| t(a) | 0.74 |
| p(a) | 0.23 |
| Lowerbound of 95% confidence interval for beta | 0.19 |
| Upperbound of 95% confidence interval for beta | 0.49 |
| Lowerbound of 95% confidence interval for alpha | -0.24 |
| Upperbound of 95% confidence interval for alpha | 0.53 |
| Treynor index (mean / b) | 0.48 |
| Jensen alpha (a) | 0.15 |
| Mean | 0.13 |
| SD | 0.28 |
| Sharpe ratio (Glass type estimate) | 0.45 |
| Sharpe ratio (Hedges UMVUE) | 0.45 |
| df | 691 |
| t | 0.63 |
| p | 0.26 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.94 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.83 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.94 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.83 |
| Sortino ratio | 0.71 |
| Upside Potential Ratio | 8.45 |
| Upside part of mean | 1.48 |
| Downside part of mean | -1.36 |
| Upside SD | 0.22 |
| Downside SD | 0.18 |
| N nonnegative terms | 272 |
| N negative terms | 420 |
| N of observations | 692 |
| Mean of predictor | 0.04 |
| Mean of criterion | 0.13 |
| SD of predictor | 0.14 |
| SD of criterion | 0.28 |
| Covariance | 0.01 |
| r | 0.17 |
| b (slope, estimate of beta) | 0.33 |
| a (intercept, estimate of alpha) | 0.11 |
| Mean Square Error | 0.08 |
| DF error | 690 |
| t(b) | 4.42 |
| p(b) | 0.00 |
| t(a) | 0.57 |
| p(a) | 0.29 |
| Lowerbound of 95% confidence interval for beta | 0.19 |
| Upperbound of 95% confidence interval for beta | 0.48 |
| Lowerbound of 95% confidence interval for alpha | -0.27 |
| Upperbound of 95% confidence interval for alpha | 0.49 |
| Treynor index (mean / b) | 0.38 |
| Jensen alpha (a) | 0.11 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.03 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| Mean | -0.17 |
| SD | 0.14 |
| Sharpe ratio (Glass type estimate) | -1.22 |
| Sharpe ratio (Hedges UMVUE) | -1.21 |
| df | 171 |
| t | -0.86 |
| p | 0.54 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.99 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.56 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.99 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.56 |
| Sortino ratio | -1.60 |
| Upside Potential Ratio | 5.83 |
| Upside part of mean | 0.62 |
| Downside part of mean | -0.79 |
| Upside SD | 0.09 |
| Downside SD | 0.11 |
| N nonnegative terms | 67 |
| N negative terms | 105 |
| N of observations | 172 |
| Mean of predictor | 0.15 |
| Mean of criterion | -0.17 |
| SD of predictor | 0.10 |
| SD of criterion | 0.14 |
| Covariance | 0.00 |
| r | 0.17 |
| b (slope, estimate of beta) | 0.25 |
| a (intercept, estimate of alpha) | -0.21 |
| Mean Square Error | 0.02 |
| DF error | 170 |
| t(b) | 2.26 |
| p(b) | 0.41 |
| t(a) | -1.06 |
| p(a) | 0.54 |
| Lowerbound of 95% confidence interval for beta | 0.03 |
| Upperbound of 95% confidence interval for beta | 0.46 |
| Lowerbound of 95% confidence interval for alpha | -0.60 |
| Upperbound of 95% confidence interval for alpha | 0.18 |
| Treynor index (mean / b) | -0.69 |
| Jensen alpha (a) | -0.21 |
| Mean | -0.18 |
| SD | 0.14 |
| Sharpe ratio (Glass type estimate) | -1.28 |
| Sharpe ratio (Hedges UMVUE) | -1.28 |
| df | 171 |
| t | -0.91 |
| p | 0.54 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -4.05 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.50 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -4.05 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.50 |
| Sortino ratio | -1.67 |
| Upside Potential Ratio | 5.70 |
| Upside part of mean | 0.62 |
| Downside part of mean | -0.80 |
| Upside SD | 0.09 |
| Downside SD | 0.11 |
| N nonnegative terms | 67 |
| N negative terms | 105 |
| N of observations | 172 |
| Mean of predictor | 0.15 |
| Mean of criterion | -0.18 |
| SD of predictor | 0.10 |
| SD of criterion | 0.14 |
| Covariance | 0.00 |
| r | 0.17 |
| b (slope, estimate of beta) | 0.25 |
| a (intercept, estimate of alpha) | -0.22 |
| Mean Square Error | 0.02 |
| DF error | 170 |
| t(b) | 2.27 |
| p(b) | 0.41 |
| t(a) | -1.10 |
| p(a) | 0.54 |
| Lowerbound of 95% confidence interval for beta | 0.03 |
| VAR (95 Confidence Intrvl) | 0.03 |
| Upperbound of 95% confidence interval for beta | 0.47 |
| Lowerbound of 95% confidence interval for alpha | -0.61 |
| Upperbound of 95% confidence interval for alpha | 0.17 |
| Treynor index (mean / b) | -0.72 |
| Jensen alpha (a) | -0.22 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
ORDER STATISTICS
| Number of observations | 24 |
|---|---|
| Minimum | 0.83 |
| Quartile 1 | 0.96 |
| Median | 1.03 |
| Quartile 3 | 1.06 |
| Maximum | 1.26 |
| Mean of quarter 1 | 0.90 |
| Mean of quarter 2 | 0.99 |
| Mean of quarter 3 | 1.04 |
| Mean of quarter 4 | 1.13 |
| Inter Quartile Range | 0.10 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.04 |
| Mean of outliers high | 1.26 |
| Extreme Value Index (moments method) | -3.82 |
| VaR(95%) (moments method) | 0.10 |
| Expected Shortfall (moments method) | 0.10 |
| Extreme Value Index (regression method) | -0.88 |
| VaR(95%) (regression method) | 0.09 |
| Expected Shortfall (regression method) | 0.09 |
| Number of observations | 692 |
| Minimum | 0.94 |
| Quartile 1 | 1.00 |
| Median | 1 |
| Quartile 3 | 1.00 |
| Maximum | 1.15 |
| Mean of quarter 1 | 0.99 |
| 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 | 52 |
| Percentage of outliers low | 0.08 |
| Mean of outliers low | 0.97 |
| Number of outliers high | 64 |
| Percentage of outliers high | 0.09 |
| Mean of outliers high | 1.03 |
| Extreme Value Index (moments method) | 0.33 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.02 |
| Extreme Value Index (regression method) | 0.17 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.02 |
| Number of observations | 172 |
| Minimum | 0.95 |
| Quartile 1 | 1.00 |
| Median | 1 |
| Quartile 3 | 1.00 |
| Maximum | 1.04 |
| 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 | 0.00 |
| Number outliers low | 14 |
| Percentage of outliers low | 0.08 |
| Mean of outliers low | 0.98 |
| Number of outliers high | 13 |
| Percentage of outliers high | 0.08 |
| Mean of outliers high | 1.01 |
| Extreme Value Index (moments method) | 0.20 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.01 |
| Extreme Value Index (regression method) | 0.15 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.01 |
DRAW DOWN STATISTICS
| Number of observations | 3 |
|---|---|
| Minimum | 0.04 |
| Quartile 1 | 0.07 |
| Median | 0.11 |
| Quartile 3 | 0.22 |
| Maximum | 0.34 |
| Mean of quarter 1 | 0.04 |
| Mean of quarter 2 | 0.11 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.34 |
| Inter Quartile Range | 0.15 |
| 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 | 20 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.03 |
| Quartile 3 | 0.09 |
| Maximum | 0.37 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.02 |
| Mean of quarter 3 | 0.06 |
| Mean of quarter 4 | 0.16 |
| Inter Quartile Range | 0.08 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.05 |
| Mean of outliers high | 0.37 |
| Extreme Value Index (moments method) | 0.51 |
| VaR(95%) (moments method) | 0.19 |
| Expected Shortfall (moments method) | 0.38 |
| Extreme Value Index (regression method) | 1.77 |
| VaR(95%) (regression method) | 0.16 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 2 |
| Minimum | 0.06 |
| Quartile 1 | 0.09 |
| Median | 0.12 |
| Quartile 3 | 0.15 |
| Maximum | 0.18 |
| Mean of quarter 1 | 0.06 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.18 |
| Inter Quartile Range | 0.06 |
| 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) | 361 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.16 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.15 |
| Calmar ratio (compounded annual return / max draw down) | 0.44 |
| Compounded annual return / average of 25% largest draw downs | 0.44 |
| Compounded annual return / Expected Shortfall lognormal | 0.89 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.16 |
| Compounded annual return (geometric extrapolation) | 0.14 |
| Calmar ratio (compounded annual return / max draw down) | 0.39 |
| Compounded annual return / average of 25% largest draw downs | 0.89 |
| Compounded annual return / Expected Shortfall lognormal | 4.78 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.16 |
| Compounded annual return (geometric extrapolation) | -0.16 |
| Calmar ratio (compounded annual return / max draw down) | -0.89 |
| Compounded annual return / average of 25% largest draw downs | -0.89 |
| Compounded annual return / Expected Shortfall lognormal | -9.77 |
Trading record
Placed 599 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| @ES M7 | short | 1 | Mar 14, 2017 | Jun 16, 2017 | ($3,608) |
| @ES H7 | short | 1 | Mar 14, 2017 | Mar 14, 2017 | ($358) |
| @ES H7 | long | 1 | Jan 3, 2017 | Mar 14, 2017 | $5,542 |
| @ES Z6 | long | 1 | Nov 9, 2016 | Nov 9, 2016 | ($8) |
| @ES Z6 | long | 1 | Nov 4, 2016 | Nov 4, 2016 | ($21) |
| @ES Z6 | long | 1 | Nov 4, 2016 | Nov 4, 2016 | ($46) |
| @ES Z6 | long | 3 | Oct 21, 2016 | Nov 4, 2016 | ($2,849) |
| @ES Z6 | short | 1 | Oct 18, 2016 | Oct 21, 2016 | $155 |
| @ES Z6 | long | 1 | Oct 18, 2016 | Oct 18, 2016 | $205 |
| @ES Z6 | short | 1 | Oct 14, 2016 | Oct 18, 2016 | $42 |
| @ES Z6 | long | 3 | Oct 13, 2016 | Oct 14, 2016 | $914 |
| @ES Z6 | short | 3 | Oct 13, 2016 | Oct 13, 2016 | ($1,962) |
| @ES Z6 | long | 3 | Oct 11, 2016 | Oct 13, 2016 | ($2,024) |
| @ES Z6 | long | 1 | Oct 10, 2016 | Oct 11, 2016 | ($696) |
| @ES Z6 | short | 2 | Oct 3, 2016 | Oct 5, 2016 | ($166) |
| @ES Z6 | long | 1 | Sep 30, 2016 | Oct 3, 2016 | ($571) |
| @ES Z6 | short | 4 | Sep 26, 2016 | Sep 29, 2016 | ($1,795) |
| @ES Z6 | long | 1 | Sep 23, 2016 | Sep 26, 2016 | ($1,083) |
| @ES Z6 | long | 1 | Sep 21, 2016 | Sep 22, 2016 | $1,105 |
| @ES Z6 | short | 2 | Sep 19, 2016 | Sep 21, 2016 | ($741) |
| @ES Z6 | long | 2 | Sep 19, 2016 | Sep 19, 2016 | ($754) |
| @ES Z6 | short | 1 | Sep 16, 2016 | Sep 16, 2016 | ($358) |
| @ES Z6 | long | 4 | Sep 15, 2016 | Sep 16, 2016 | ($682) |
| @ES U6 | long | 2 | Sep 15, 2016 | Sep 15, 2016 | ($154) |
| @ES Z6 | long | 1 | Sep 14, 2016 | Sep 15, 2016 | ($646) |
| @ES Z6 | short | 1 | Sep 14, 2016 | Sep 14, 2016 | ($158) |
| @ES Z6 | short | 1 | Sep 13, 2016 | Sep 13, 2016 | $555 |
| @ES Z6 | long | 1 | Sep 12, 2016 | Sep 13, 2016 | ($1,383) |
| @ES U6 | short | 1 | Sep 13, 2016 | Sep 13, 2016 | ($8) |
| @ES U6 | short | 1 | Sep 13, 2016 | Sep 13, 2016 | ($8) |
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.