Quick 1 Day 5% to 10% Gainers
- hypothetical · Annual Return (Compounded)
- 0.0%
- Max Drawdown
- 100.0%
- Trades
- 124
- Win Trades
- 68.5%
- Profit Factor
- 1
- Win Months
- 3.4%
About this strategy
This system is based on riding the momentum of the underlying stock or index up or down in the short term. I primarily trade options on stocks that are above $70 so it is easier to take advantage of a short term move as stocks of higher value will make $1 to $4 moves in a short 1 to 10 day period because 3% move on a $100 stock is $3 which can move an option 10% to 20% but a 3% move on a $25 stock is only $ .75 which has a much less affect on the change in the value of an option. I generally put 10% to 20% into any one position so as to spread the risk out. Trading options can be very risky and when trading this system you should expect to see some very large drops in the value of the position from time to time but as my track record shows even when the value of a position drops over 50% if the system still shows the trade is good it almost always recovers to produce a profit. If you can not afford to lose the investment then you should not be investing in options as they are very risky with expirations on the position. But if you are looking for a better return than just buying stocks then options can make you a small or large fortune if done right. I will reduce the size of the portfolio to $50,000 whenever it gets above $100,000 so as to make it easier to trade and make use of the entire portfolio. I expect to have from 1 to 3 trades going at any one time. July 15th: I will also be day trading the QQQQ's options with 50-80% of the portfolio's available funds on a regular basis. So make sure you are prepared to have your account bacome a pattern daytrading account if you do more than 3 day trades in 5 business days.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | -1.3 | 70.6 | -17.8 | 27.5 | -1.5 | 24.4 | 72.9 | -22.0 | -3.8 | 180.6 | |||
| 2008 | 2.4 | -15.4 | -24.0 | 425.8 | 9.3 | -9.8 | 0.6 | -18.8 | -46.1 | -65.2 | -22.6 | -61.9 | -84.6 |
| 2009 | -301.8 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.7 | 0.0 | 0.0 | -303.2 |
| 2010 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.7 | -0.7 | -0.7 | 0.0 | 0.0 | 0.0 | -0.0 | |
| 2011 | -0.3 | -0.1 | 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 | |
| 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 | |
| 2014 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.1 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |
| 2015 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.2 | 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 | |
| 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 | |
| 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 | |
| 2019 | 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | 4/19/2007 |
|---|---|
| Suggested Minimum Capital | $4,911 |
| Age | 236 months |
| What it trades | Options |
| # Trades | 124 |
| # Profitable | 85 |
| % Profitable | 68.5% |
| Avg trade duration | 14.5 days |
| Max peak-to-valley drawdown | 100.0% |
| drawdown period | Jan 02, 2009 - Jan 18, 2009 |
| Annual Return (Compounded) | 0.0% |
| Avg win | $953 |
| Avg loss | $2,148 |
Ratios
| W:L ratio | 0.97 |
|---|---|
| Sharpe Ratio | 0.56 |
| Sortino Ratio | 1.55 |
| Calmar Ratio | -0.20 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.08 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 419.3% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -607.4% |
Return Statistics
| Ann Return (w trading costs) | 0.0% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | -4.1% |
Slump
| Current Slump as Pcnt Equity | — |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.9% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 1.0% |
| 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 | 100.0% |
| Chance of 60% account loss (Monte Carlo) | 100.0% |
| Chance of 70% account loss (Monte Carlo) | 100.0% |
| Chance of 80% account loss (Monte Carlo) | 100.0% |
| Chance of 90% account loss (Monte Carlo) | 100.0% |
| Chance of 100% account loss (Monte Carlo) | 100.0% |
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 | $2,148 |
|---|---|
| Avg Win | $953 |
| # Winners | 85 |
| Sum Trade PL (losers) | $83,780 |
| Sum Trade PL (winners) | $81,018 |
| Num Months Winners | 8 |
| # Losers | 39 |
| % Winners | 68.6% |
Dividends
| Dividends Received in Model Acct | 20 |
|---|
Age
| Num Months filled monthly returns table | 22 |
|---|
Frequency
| Avg Position Time (mins) | 20896.03 |
|---|---|
| Avg Position Time (hrs) | 348.27 |
| Avg Trade Length | 14.50 |
| Last Trade Ago | 6446 |
Regression
| Alpha | 0 |
|---|---|
| Beta | -0.65 |
| Treynor Index | 0 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.04 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0 |
| MAE:Equity, average, losing trades | 0.08 |
| 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 | -23.06 |
| MAE:PL (avg, all trades) | -0.03 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 5.14 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 9.50 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.41 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.03 |
| Hold-and-Hope Ratio | -0.04 |
RATIO STATISTICS
| Mean | 0.25 |
|---|---|
| SD | 1.28 |
| Sharpe ratio (Glass type estimate) | 0.19 |
| Sharpe ratio (Hedges UMVUE) | 0.19 |
| df | 72 |
| t | 0.47 |
| p | 0.32 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.60 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.99 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.61 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.98 |
| Sortino ratio | 0.56 |
| Upside Potential Ratio | 1.59 |
| Upside part of mean | 0.69 |
| Downside part of mean | -0.45 |
| Upside SD | 1.20 |
| Downside SD | 0.44 |
| N nonnegative terms | 59 |
| N negative terms | 14 |
| N of observations | 73 |
| Mean of predictor | 0.23 |
| Mean of criterion | 0.25 |
| SD of predictor | 0.32 |
| SD of criterion | 1.28 |
| Covariance | 0.04 |
| r | 0.09 |
| b (slope, estimate of beta) | 0.37 |
| a (intercept, estimate of alpha) | 0.16 |
| Mean Square Error | 1.66 |
| DF error | 71 |
| t(b) | 0.77 |
| p(b) | 0.22 |
| t(a) | 0.30 |
| p(a) | 0.38 |
| Lowerbound of 95% confidence interval for beta | -0.58 |
| Upperbound of 95% confidence interval for beta | 1.31 |
| Lowerbound of 95% confidence interval for alpha | -0.90 |
| Upperbound of 95% confidence interval for alpha | 1.23 |
| Treynor index (mean / b) | 0.67 |
| Jensen alpha (a) | 0.16 |
| Mean | -0.21 |
| SD | 0.93 |
| Sharpe ratio (Glass type estimate) | -0.23 |
| Sharpe ratio (Hedges UMVUE) | -0.22 |
| df | 72 |
| t | -0.56 |
| p | 0.71 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.02 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.57 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.02 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.57 |
| Sortino ratio | -0.29 |
| Upside Potential Ratio | 0.58 |
| Upside part of mean | 0.42 |
| Downside part of mean | -0.63 |
| Upside SD | 0.59 |
| Downside SD | 0.72 |
| N nonnegative terms | 59 |
| N negative terms | 14 |
| N of observations | 73 |
| Mean of predictor | 0.18 |
| Mean of criterion | -0.21 |
| SD of predictor | 0.31 |
| SD of criterion | 0.93 |
| Covariance | 0.08 |
| r | 0.27 |
| b (slope, estimate of beta) | 0.82 |
| a (intercept, estimate of alpha) | -0.36 |
| Mean Square Error | 0.82 |
| DF error | 71 |
| t(b) | 2.38 |
| p(b) | 0.01 |
| t(a) | -0.97 |
| p(a) | 0.83 |
| Lowerbound of 95% confidence interval for beta | 0.13 |
| Upperbound of 95% confidence interval for beta | 1.51 |
| Lowerbound of 95% confidence interval for alpha | -1.10 |
| Upperbound of 95% confidence interval for alpha | 0.38 |
| Treynor index (mean / b) | -0.26 |
| Jensen alpha (a) | -0.36 |
| VaR(95%) | 0.37 |
| Expected Shortfall on VaR | 0.43 |
| VaR(95%) | 0.04 |
| Expected Shortfall on VaR | 0.11 |
| Mean | 3.71 |
| SD | 3.68 |
| Sharpe ratio (Glass type estimate) | 1.01 |
| Sharpe ratio (Hedges UMVUE) | 1.01 |
| df | 1600 |
| t | 2.49 |
| p | 0.47 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.21 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.80 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.21 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.80 |
| Sortino ratio | 3.02 |
| Upside Potential Ratio | 6.30 |
| Upside part of mean | 7.74 |
| Downside part of mean | -4.03 |
| Upside SD | 3.47 |
| Downside SD | 1.23 |
| N nonnegative terms | 1344 |
| N negative terms | 257 |
| N of observations | 1601 |
| Mean of predictor | 0.41 |
| Mean of criterion | 3.71 |
| SD of predictor | 0.63 |
| SD of criterion | 3.68 |
| Covariance | 0.76 |
| r | 0.33 |
| b (slope, estimate of beta) | 1.91 |
| a (intercept, estimate of alpha) | 2.92 |
| Mean Square Error | 12.10 |
| DF error | 1599 |
| t(b) | 13.83 |
| p(b) | 0.30 |
| t(a) | 2.07 |
| p(a) | 0.47 |
| Lowerbound of 95% confidence interval for beta | 1.64 |
| Upperbound of 95% confidence interval for beta | 2.18 |
| Lowerbound of 95% confidence interval for alpha | 0.15 |
| Upperbound of 95% confidence interval for alpha | 5.68 |
| Treynor index (mean / b) | 1.94 |
| Jensen alpha (a) | 2.92 |
| Mean | -0.21 |
| SD | 2.65 |
| Sharpe ratio (Glass type estimate) | -0.08 |
| Sharpe ratio (Hedges UMVUE) | -0.08 |
| df | 1600 |
| t | -0.20 |
| p | 0.50 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.87 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.71 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.87 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.71 |
| Sortino ratio | -0.11 |
| Upside Potential Ratio | 2.74 |
| Upside part of mean | 5.12 |
| Downside part of mean | -5.34 |
| Upside SD | 1.88 |
| Downside SD | 1.87 |
| N nonnegative terms | 1344 |
| N negative terms | 257 |
| N of observations | 1601 |
| Mean of predictor | 0.22 |
| Mean of criterion | -0.21 |
| SD of predictor | 0.62 |
| SD of criterion | 2.65 |
| Covariance | 0.59 |
| r | 0.36 |
| b (slope, estimate of beta) | 1.52 |
| a (intercept, estimate of alpha) | -0.55 |
| Mean Square Error | 6.14 |
| DF error | 1599 |
| t(b) | 15.24 |
| p(b) | 0.28 |
| t(a) | -0.54 |
| p(a) | 0.51 |
| Lowerbound of 95% confidence interval for beta | 1.32 |
| Upperbound of 95% confidence interval for beta | 1.71 |
| Lowerbound of 95% confidence interval for alpha | -2.51 |
| Upperbound of 95% confidence interval for alpha | 1.42 |
| Treynor index (mean / b) | -0.14 |
| Jensen alpha (a) | -0.55 |
| VaR(95%) | 0.24 |
| Expected Shortfall on VaR | 0.29 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.04 |
| 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 | 1.74 |
| Mean of criterion | 0 |
| SD of predictor | 0.72 |
| 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 | 1.49 |
| Mean of criterion | 0 |
| SD of predictor | 0.69 |
| 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) | 0.24 |
| 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 | 73 |
|---|---|
| Minimum | 0.22 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 3.90 |
| Mean of quarter 1 | 0.86 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.23 |
| Inter Quartile Range | 0 |
| Number outliers low | 14 |
| Percentage of outliers low | 0.19 |
| Mean of outliers low | 0.81 |
| Number of outliers high | 14 |
| Percentage of outliers high | 0.19 |
| Mean of outliers high | 1.30 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0.35 |
| VaR(95%) (regression method) | 0.16 |
| Expected Shortfall (regression method) | 0.39 |
| Number of observations | 1601 |
| Minimum | 0.22 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 4.45 |
| Mean of quarter 1 | 0.94 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.12 |
| Inter Quartile Range | 0 |
| Number outliers low | 257 |
| Percentage of outliers low | 0.16 |
| Mean of outliers low | 0.90 |
| Number of outliers high | 245 |
| Percentage of outliers high | 0.15 |
| Mean of outliers high | 1.19 |
| Extreme Value Index (moments method) | 1.31 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0 |
| 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 | 0.06 |
| Quartile 1 | 0.10 |
| Median | 0.19 |
| Quartile 3 | 0.45 |
| Maximum | 0.96 |
| Mean of quarter 1 | 0.06 |
| Mean of quarter 2 | 0.11 |
| Mean of quarter 3 | 0.27 |
| Mean of quarter 4 | 0.96 |
| Inter Quartile Range | 0.35 |
| 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 | 14 |
| Minimum | 0.03 |
| Quartile 1 | 0.08 |
| Median | 0.26 |
| Quartile 3 | 0.76 |
| Maximum | 0.96 |
| Mean of quarter 1 | 0.04 |
| Mean of quarter 2 | 0.17 |
| Mean of quarter 3 | 0.45 |
| Mean of quarter 4 | 0.84 |
| Inter Quartile Range | 0.69 |
| 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) | -0.18 |
| VaR(95%) (moments method) | 0.89 |
| Expected Shortfall (moments method) | 0.95 |
| Extreme Value Index (regression method) | 0.78 |
| VaR(95%) (regression method) | 0.87 |
| Expected Shortfall (regression method) | 1.33 |
| 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? | -384606208 |
| Max Equity Drawdown (num days) | 16 |
| Last 4 Months - Pcnt Negative | 1.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | -0.12 |
|---|---|
| Compounded annual return (geometric extrapolation) | -0.19 |
| Calmar ratio (compounded annual return / max draw down) | -0.20 |
| Compounded annual return / average of 25% largest draw downs | -0.20 |
| Compounded annual return / Expected Shortfall lognormal | -0.44 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.12 |
| Compounded annual return (geometric extrapolation) | -0.19 |
| Calmar ratio (compounded annual return / max draw down) | -0.20 |
| Compounded annual return / average of 25% largest draw downs | -0.23 |
| Compounded annual return / Expected Shortfall lognormal | -0.67 |
| 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 3 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| SLMMU | long | 50 | Sep 18, 2008 | Jan 18, 2009 | ($6,035) |
| SLMMB | long | 30 | Sep 18, 2008 | Jan 18, 2009 | ($6,171) |
| VKL | long | 15 | Sep 29, 2008 | Nov 23, 2008 | ($8,861) |
| GLDKK | long | 10 | Sep 18, 2008 | Nov 23, 2008 | ($6,007) |
| QFGJF | long | 50 | Aug 26, 2008 | Oct 19, 2008 | ($885) |
| MELA | long | 100 | Sep 3, 2008 | Oct 1, 2008 | ($2,612) |
| RULJJ | long | 5 | Aug 25, 2008 | Sep 30, 2008 | ($1,572) |
| APVJP | long | 6 | Aug 12, 2008 | Sep 30, 2008 | ($1,504) |
| VIN | long | 30 | Jul 28, 2008 | Sep 17, 2008 | ($10,492) |
| QFGID | long | 5 | Aug 26, 2008 | Sep 12, 2008 | ($1,007) |
| QQQTR | long | 500 | Aug 4, 2008 | Aug 15, 2008 | ($14,800) |
| APVIL | long | 20 | Jul 21, 2008 | Aug 6, 2008 | $1,872 |
| QQQHR | long | 100 | Aug 4, 2008 | Aug 5, 2008 | $3,260 |
| QQQTS | long | 200 | Jul 29, 2008 | Aug 1, 2008 | $1,720 |
| QQQHS | long | 320 | Jul 24, 2008 | Jul 25, 2008 | $1,612 |
| QQQHS | long | 200 | Jul 24, 2008 | Jul 24, 2008 | $720 |
| QQQHS | long | 250 | Jul 22, 2008 | Jul 22, 2008 | $650 |
| QQQTS | long | 75 | Jul 21, 2008 | Jul 21, 2008 | ($255) |
| QTQTV | long | 10.932999611 | Jun 30, 2008 | Jul 18, 2008 | ($944) |
| SDIP | long | 4.373000145 | Jun 24, 2008 | Jul 18, 2008 | ($1,274) |
| HPHO | long | 4.373000145 | Jun 24, 2008 | Jul 18, 2008 | ($2,608) |
| APVGR | long | 10.932999611 | Jun 3, 2008 | Jul 18, 2008 | ($4,954) |
| QQQST | long | 218.667007446 | Jul 17, 2008 | Jul 17, 2008 | $1,006 |
| STXTC | long | 21.86700058 | Jul 9, 2008 | Jul 17, 2008 | $844 |
| QQQGS | long | 218.667007446 | Jul 15, 2008 | Jul 15, 2008 | $1,662 |
| QQQSS | long | 109.333000183 | Jul 11, 2008 | Jul 11, 2008 | $1,706 |
| LENSC | long | 6.559999943 | Jun 25, 2008 | Jul 7, 2008 | $1,795 |
| PCUHB | long | 3.279999971 | Jun 24, 2008 | Jul 7, 2008 | ($2,039) |
| QMTSF | long | 10.932999611 | Jun 19, 2008 | Jul 7, 2008 | $204 |
| PX | long | 546.666992188 | Jun 21, 2008 | Jun 24, 2008 | $2,116 |
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.