Entropia
- hypothetical · Annual Return (Compounded)
- 5.7%
- Max Drawdown
- 41.3%
- Trades
- 250
- Win Trades
- 74.4%
- Profit Factor
- 1.40
- Win Months
- 4.8%
About this strategy
------------------------------------------------------------------------------------------------------------
Due to lack of interest from subscribers, this system is not operational anymore. If you would like me to return my support on this system - please ask. I cannot guarantee anything but I will try.
-----------------------------------------------------------------------------------------------------------
Entropia is a Forex system that we use ourselves to trade. The system generates signals at about 4:00-5:00 GMT and sometimes at 9:00-10:00 GMT (Europe session). We focused on GBP/USD and sometimes on EUR/USD and USD/CHF. Every signal includes limit order (not market) take profit and stop loss.
We work around the clock to analyze the market. We use state of the art statistics software and methods we developed ourselves.
It is suggested that you should open a demo account at your broker and try it before using real money. You should be aware of money management and the risk in trading.
After said that, we can say than in the past year (from 11/2004) we are using the system ourselves and you can expect about 8%-45% a month. the signal is executed 4-5 days every week without holiday or special events. On bad months we had 2-6 stop loss but usually it append once a month.
The system is easy to follow. We try not to take unnecessary risk and not to overtrade. You can expect steady success rate and in the end of every month to have positive result.
Again, we encourage you to take the trial period and use it on demo account. Only after that you can consider moving to real money.
------------------------------------------------------------------------------------------------------------
Entropia is a Forex system that generates signals at about 4 GMT. We focused on GBP/USD. Every signal includes limit/stop order, take profit and stop loss.
============================================================
Due to lack of interest from subscribers, this system is not operational anymore. If you would like me to return my support on this system - please ask. I cannot guarantee anything but I will try.
-----------------------------------------------------------------------------------------------------------
Entropia is a Forex system that we use ourselves to trade. The system generates signals at about 4:00-5:00 GMT and sometimes at 9:00-10:00 GMT (Europe session). We focused on GBP/USD and sometimes on EUR/USD and USD/CHF. Every signal includes limit order (not market) take profit and stop loss.
We work around the clock to analyze the market. We use state of the art statistics software and methods we developed ourselves.
It is suggested that you should open a demo account at your broker and try it before using real money. You should be aware of money management and the risk in trading.
After said that, we can say than in the past year (from 11/2004) we are using the system ourselves and you can expect about 8%-45% a month. the signal is executed 4-5 days every week without holiday or special events. On bad months we had 2-6 stop loss but usually it append once a month.
The system is easy to follow. We try not to take unnecessary risk and not to overtrade. You can expect steady success rate and in the end of every month to have positive result.
Again, we encourage you to take the trial period and use it on demo account. Only after that you can consider moving to real money.
------------------------------------------------------------------------------------------------------------
Entropia is a Forex system that generates signals at about 4 GMT. We focused on GBP/USD. Every signal includes limit/stop order, take profit and stop loss.
============================================================
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | -1.3 | 3.7 | 2.3 | ||||||||||
| 2006 | 27.8 | 14.0 | -4.3 | -18.2 | 37.2 | 23.5 | -0.3 | 44.9 | 18.7 | -6.7 | 6.7 | -37.7 | 105.5 |
| 2007 | 32.8 | -16.6 | 12.2 | 20.3 | 1.1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 51.1 |
| 2008 | 0.0 | 0.0 | 0.0 | 0.0 | -0.9 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.9 |
| 2009 | 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 |
| 2010 | 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 |
| 2011 | 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 |
| 2012 | 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 |
| 2013 | 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 |
| 2014 | 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 |
| 2015 | 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 |
| 2016 | 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 |
| 2017 | 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 |
| 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 | 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 |
Statistics
Overview
| Strategy began | 11/22/2005 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 253 months |
| What it trades | Forex |
| # Trades | 250 |
| # Profitable | 186 |
| % Profitable | 74.4% |
| Avg trade duration | 1.7 hours |
| Max peak-to-valley drawdown | 41.3% |
| drawdown period | Nov 23, 2006 - Jan 02, 2007 |
| Annual Return (Compounded) | 5.7% |
| Avg win | $6,463 |
| Avg loss | $13,789 |
Ratios
| W:L ratio | 1.36 |
|---|---|
| Sharpe Ratio | 0.27 |
| Sortino Ratio | 0.39 |
| Calmar Ratio | 0.01 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.01 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 505.6% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -292.3% |
Return Statistics
| Ann Return (w trading costs) | 5.7% |
|---|---|
| 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 | 13.5% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.9% |
Instruments
| Percent Trades Forex | 1.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| 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% |
| Chance of 100% 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 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $13,789 |
|---|---|
| Avg Win | $6,463 |
| # Winners | 186 |
| Sum Trade PL (losers) | $882,517 |
| Sum Trade PL (winners) | $1,202,063 |
| Num Months Winners | 15 |
| # Losers | 64 |
| % Winners | 74.4% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 251 |
|---|
Frequency
| Avg Position Time (mins) | 100.20 |
|---|---|
| Avg Position Time (hrs) | 1.67 |
| Avg Trade Length | 0.10 |
| Last Trade Ago | 7051 |
Regression
| Alpha | 0.01 |
|---|---|
| Beta | 0 |
| Treynor Index | 3.20 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.03 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.06 |
| MAE:Equity, average, losing trades | 0.07 |
| 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 | 9.40 |
| MAE:PL (avg, all trades) | 0.28 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 16.96 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 29.80 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.74 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.15 |
| Hold-and-Hope Ratio | 0.10 |
RATIO STATISTICS
| Mean | 0.12 |
|---|---|
| SD | 0.39 |
| Sharpe ratio (Glass type estimate) | 0.31 |
| Sharpe ratio (Hedges UMVUE) | 0.31 |
| df | 88 |
| t | 0.86 |
| p | 0.20 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.41 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.03 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.41 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.03 |
| Sortino ratio | 0.42 |
| Upside Potential Ratio | 0.93 |
| Upside part of mean | 0.27 |
| Downside part of mean | -0.15 |
| Upside SD | 0.26 |
| Downside SD | 0.29 |
| N nonnegative terms | 79 |
| N negative terms | 10 |
| N of observations | 89 |
| Mean of predictor | 0.17 |
| Mean of criterion | 0.12 |
| SD of predictor | 0.24 |
| SD of criterion | 0.39 |
| Covariance | 0.02 |
| r | 0.18 |
| b (slope, estimate of beta) | 0.28 |
| a (intercept, estimate of alpha) | 0.07 |
| Mean Square Error | 0.15 |
| DF error | 87 |
| t(b) | 1.66 |
| p(b) | 0.05 |
| t(a) | 0.51 |
| p(a) | 0.31 |
| Lowerbound of 95% confidence interval for beta | -0.05 |
| Upperbound of 95% confidence interval for beta | 0.62 |
| Lowerbound of 95% confidence interval for alpha | -0.21 |
| Upperbound of 95% confidence interval for alpha | 0.36 |
| Treynor index (mean / b) | 0.43 |
| Jensen alpha (a) | 0.07 |
| Mean | 0.01 |
| SD | 0.56 |
| Sharpe ratio (Glass type estimate) | 0.01 |
| Sharpe ratio (Hedges UMVUE) | 0.01 |
| df | 88 |
| t | 0.03 |
| p | 0.49 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.71 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.73 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.71 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.73 |
| Sortino ratio | 0.01 |
| Upside Potential Ratio | 0.47 |
| Upside part of mean | 0.24 |
| Downside part of mean | -0.24 |
| Upside SD | 0.23 |
| Downside SD | 0.51 |
| N nonnegative terms | 79 |
| N negative terms | 10 |
| N of observations | 89 |
| Mean of predictor | 0.14 |
| Mean of criterion | 0.01 |
| SD of predictor | 0.24 |
| SD of criterion | 0.56 |
| Covariance | 0.04 |
| r | 0.26 |
| b (slope, estimate of beta) | 0.61 |
| a (intercept, estimate of alpha) | -0.08 |
| Mean Square Error | 0.30 |
| DF error | 87 |
| t(b) | 2.52 |
| p(b) | 0.01 |
| t(a) | -0.40 |
| p(a) | 0.65 |
| Lowerbound of 95% confidence interval for beta | 0.13 |
| Upperbound of 95% confidence interval for beta | 1.09 |
| Lowerbound of 95% confidence interval for alpha | -0.48 |
| Upperbound of 95% confidence interval for alpha | 0.32 |
| Treynor index (mean / b) | 0.01 |
| Jensen alpha (a) | -0.08 |
| VaR(95%) | 0.23 |
| Expected Shortfall on VaR | 0.28 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| Mean | 1.14 |
| SD | 1.97 |
| Sharpe ratio (Glass type estimate) | 0.58 |
| Sharpe ratio (Hedges UMVUE) | 0.58 |
| df | 1952 |
| t | 1.58 |
| p | 0.48 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.14 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.30 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.14 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.30 |
| Sortino ratio | 1.75 |
| Upside Potential Ratio | 3.43 |
| Upside part of mean | 2.24 |
| Downside part of mean | -1.10 |
| Upside SD | 1.86 |
| Downside SD | 0.65 |
| N nonnegative terms | 1821 |
| N negative terms | 132 |
| N of observations | 1953 |
| Mean of predictor | 0.29 |
| Mean of criterion | 1.14 |
| SD of predictor | 0.58 |
| SD of criterion | 1.97 |
| Covariance | 0.25 |
| r | 0.22 |
| b (slope, estimate of beta) | 0.74 |
| a (intercept, estimate of alpha) | 0.93 |
| Mean Square Error | 3.71 |
| DF error | 1951 |
| t(b) | 9.85 |
| p(b) | 0.36 |
| t(a) | 1.31 |
| p(a) | 0.48 |
| Lowerbound of 95% confidence interval for beta | 0.59 |
| Upperbound of 95% confidence interval for beta | 0.89 |
| Lowerbound of 95% confidence interval for alpha | -0.46 |
| Upperbound of 95% confidence interval for alpha | 2.31 |
| Treynor index (mean / b) | 1.54 |
| Jensen alpha (a) | 0.92 |
| Mean | 0.01 |
| SD | 1.45 |
| Sharpe ratio (Glass type estimate) | 0.00 |
| Sharpe ratio (Hedges UMVUE) | 0.00 |
| df | 1952 |
| t | 0.01 |
| p | 0.50 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.71 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.72 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.71 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.72 |
| Sortino ratio | 0.00 |
| Upside Potential Ratio | 1.41 |
| Upside part of mean | 1.51 |
| Downside part of mean | -1.51 |
| Upside SD | 0.97 |
| Downside SD | 1.08 |
| N nonnegative terms | 1821 |
| N negative terms | 132 |
| N of observations | 1953 |
| Mean of predictor | 0.12 |
| Mean of criterion | 0.01 |
| SD of predictor | 0.57 |
| SD of criterion | 1.45 |
| Covariance | 0.21 |
| r | 0.25 |
| b (slope, estimate of beta) | 0.64 |
| a (intercept, estimate of alpha) | -0.07 |
| Mean Square Error | 1.97 |
| DF error | 1951 |
| t(b) | 11.47 |
| p(b) | 0.34 |
| t(a) | -0.14 |
| p(a) | 0.50 |
| Lowerbound of 95% confidence interval for beta | 0.53 |
| Upperbound of 95% confidence interval for beta | 0.75 |
| Lowerbound of 95% confidence interval for alpha | -1.08 |
| Upperbound of 95% confidence interval for alpha | 0.93 |
| Treynor index (mean / b) | 0.01 |
| Jensen alpha (a) | -0.07 |
| VaR(95%) | 0.14 |
| Expected Shortfall on VaR | 0.17 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.01 |
| Mean | 0 |
| SD | 0 |
| Sharpe ratio (Glass type estimate) | 0 |
| Sharpe ratio (Hedges UMVUE) | 0 |
| df | 0 |
| t | 0 |
| p | 0 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0 |
| Sortino ratio | 0 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | 0 |
| Upside SD | 0 |
| Downside SD | 0 |
| N nonnegative terms | 131 |
| N negative terms | 0 |
| N of observations | 131 |
| Mean of predictor | 0.78 |
| Mean of criterion | 0 |
| SD of predictor | 0.53 |
| SD of criterion | 0 |
| Covariance | 0 |
| r | 0 |
| b (slope, estimate of beta) | 0 |
| a (intercept, estimate of alpha) | 0 |
| Mean Square Error | 0 |
| DF error | 0 |
| t(b) | 0 |
| p(b) | 0 |
| t(a) | 0 |
| p(a) | 0 |
| Lowerbound of 95% confidence interval for beta | 0 |
| Upperbound of 95% confidence interval for beta | 0 |
| Lowerbound of 95% confidence interval for alpha | 0 |
| Upperbound of 95% confidence interval for alpha | 0 |
| Treynor index (mean / b) | 0 |
| Jensen alpha (a) | 0 |
| Mean | 0 |
| SD | 0 |
| Sharpe ratio (Glass type estimate) | 0 |
| Sharpe ratio (Hedges UMVUE) | 0 |
| df | 0 |
| t | 0 |
| p | 0 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0 |
| Sortino ratio | 0 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | 0 |
| Upside SD | 0 |
| Downside SD | 0 |
| N nonnegative terms | 131 |
| N negative terms | 0 |
| N of observations | 131 |
| Mean of predictor | 0.64 |
| Mean of criterion | 0 |
| SD of predictor | 0.54 |
| SD of criterion | 0 |
| Covariance | 0 |
| r | 0 |
| b (slope, estimate of beta) | 0 |
| a (intercept, estimate of alpha) | 0 |
| Mean Square Error | 0 |
| DF error | 0 |
| t(b) | 0 |
| p(b) | 0 |
| t(a) | 0 |
| p(a) | 0 |
| Lowerbound of 95% confidence interval for beta | 0 |
| VAR (95 Confidence Intrvl) | 0.14 |
| Upperbound of 95% confidence interval for beta | 0 |
| Lowerbound of 95% confidence interval for alpha | 0 |
| Upperbound of 95% confidence interval for alpha | 0 |
| Treynor index (mean / b) | 0 |
| Jensen alpha (a) | 0 |
| VaR(95%) | 0 |
| Expected Shortfall on VaR | 0 |
| VaR(95%) | 0 |
| Expected Shortfall on VaR | 0 |
ORDER STATISTICS
| Number of observations | 89 |
|---|---|
| Minimum | 0.26 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.41 |
| Mean of quarter 1 | 0.95 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.09 |
| Inter Quartile Range | 0 |
| Number outliers low | 10 |
| Percentage of outliers low | 0.11 |
| Mean of outliers low | 0.89 |
| Number of outliers high | 17 |
| Percentage of outliers high | 0.19 |
| Mean of outliers high | 1.12 |
| Extreme Value Index (moments method) | -2.22 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.00 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 1953 |
| Minimum | 0.24 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 4.16 |
| Mean of quarter 1 | 0.98 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.03 |
| Inter Quartile Range | 0 |
| Number outliers low | 132 |
| Percentage of outliers low | 0.07 |
| Mean of outliers low | 0.94 |
| Number of outliers high | 228 |
| Percentage of outliers high | 0.12 |
| Mean of outliers high | 1.07 |
| Extreme Value Index (moments method) | -0.88 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.00 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 131 |
| Minimum | 1 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1 |
| Mean of quarter 1 | 1 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1 |
| Inter Quartile Range | 0 |
| 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 |
DRAW DOWN STATISTICS
| Number of observations | 4 |
|---|---|
| Minimum | 0.01 |
| Quartile 1 | 0.01 |
| Median | 0.12 |
| Quartile 3 | 0.37 |
| Maximum | 0.74 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.24 |
| Mean of quarter 4 | 0.74 |
| Inter Quartile Range | 0.36 |
| 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 | 5 |
| Minimum | 0.12 |
| Quartile 1 | 0.34 |
| Median | 0.68 |
| Quartile 3 | 0.75 |
| Maximum | 0.77 |
| Mean of quarter 1 | 0.23 |
| Mean of quarter 2 | 0.68 |
| Mean of quarter 3 | 0.75 |
| Mean of quarter 4 | 0.77 |
| Inter Quartile Range | 0.41 |
| 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 | 0 |
| Minimum | 0 |
| Quartile 1 | 0 |
| Median | 0 |
| Quartile 3 | 0 |
| Maximum | 0 |
| Mean of quarter 1 | 0 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0 |
| Inter Quartile Range | 0 |
| 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 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -373532832 |
| Max Equity Drawdown (num days) | 40 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.01 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.01 |
| Calmar ratio (compounded annual return / max draw down) | 0.01 |
| Compounded annual return / average of 25% largest draw downs | 0.01 |
| Compounded annual return / Expected Shortfall lognormal | 0.02 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.01 |
| Compounded annual return (geometric extrapolation) | 0.01 |
| Calmar ratio (compounded annual return / max draw down) | 0.01 |
| Compounded annual return / average of 25% largest draw downs | 0.01 |
| Compounded annual return / Expected Shortfall lognormal | 0.03 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0 |
| Compounded annual return (geometric extrapolation) | 0 |
| Calmar ratio (compounded annual return / max draw down) | 0 |
| Compounded annual return / average of 25% largest draw downs | 0 |
| Compounded annual return / Expected Shortfall lognormal | 0 |
Trading record
Placed 174 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| GBP/USD | long | 6000 | May 24, 2007 | May 24, 2007 | $9,600 |
| GBP/USD | long | 6000 | May 23, 2007 | May 23, 2007 | $9,600 |
| GBP/USD | short | 6000 | May 18, 2007 | May 18, 2007 | $9,600 |
| GBP/USD | short | 6000 | May 17, 2007 | May 17, 2007 | $9,600 |
| GBP/USD | long | 6000 | May 16, 2007 | May 16, 2007 | ($21,000) |
| GBP/USD | short | 6000 | May 15, 2007 | May 15, 2007 | $9,600 |
| GBP/USD | short | 6000 | May 11, 2007 | May 11, 2007 | $9,600 |
| GBP/USD | long | 6000 | May 10, 2007 | May 10, 2007 | $9,600 |
| GBP/USD | short | 6000 | May 9, 2007 | May 9, 2007 | ($21,000) |
| GBP/USD | long | 6000 | May 7, 2007 | May 7, 2007 | ($21,000) |
| GBP/USD | short | 6000 | May 4, 2007 | May 4, 2007 | ($21,000) |
| GBP/USD | short | 6000 | May 3, 2007 | May 3, 2007 | $9,600 |
| GBP/USD | short | 6000 | May 2, 2007 | May 2, 2007 | $9,600 |
| GBP/USD | long | 6000 | May 1, 2007 | May 1, 2007 | $9,600 |
| GBP/USD | short | 6000 | Apr 30, 2007 | Apr 30, 2007 | $9,600 |
| GBP/USD | short | 6000 | Apr 27, 2007 | Apr 27, 2007 | $9,600 |
| GBP/USD | long | 6000 | Apr 25, 2007 | Apr 25, 2007 | ($21,000) |
| GBP/USD | short | 6000 | Apr 19, 2007 | Apr 19, 2007 | $9,600 |
| GBP/USD | long | 6000 | Apr 18, 2007 | Apr 18, 2007 | $9,600 |
| GBP/USD | long | 6000 | Apr 17, 2007 | Apr 17, 2007 | $9,600 |
| GBP/USD | long | 6000 | Apr 16, 2007 | Apr 16, 2007 | $9,600 |
| GBP/USD | long | 5500 | Apr 13, 2007 | Apr 13, 2007 | $8,800 |
| GBP/USD | long | 5500 | Apr 11, 2007 | Apr 11, 2007 | $8,800 |
| GBP/USD | long | 5500 | Apr 10, 2007 | Apr 10, 2007 | $8,800 |
| GBP/USD | short | 5500 | Apr 9, 2007 | Apr 9, 2007 | $8,800 |
| GBP/USD | short | 5500 | Apr 6, 2007 | Apr 6, 2007 | $8,800 |
| GBP/USD | long | 5500 | Apr 3, 2007 | Apr 3, 2007 | ($19,800) |
| GBP/USD | short | 5500 | Mar 29, 2007 | Mar 29, 2007 | $8,800 |
| GBP/USD | short | 5100 | Mar 28, 2007 | Mar 28, 2007 | $8,160 |
| GBP/USD | long | 5100 | Mar 27, 2007 | Mar 27, 2007 | ($17,850) |
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.