JV Long/Short Equity
- hypothetical · Annual Return (Compounded)
- 42.8%
- Max Drawdown
- —
- Trades
- 914
- Win Trades
- 52.1%
- Profit Factor
- 1.40
- Win Months
- 54.7%
About this strategy
I have a multi faceted approach to stocks. From a "top down" perspective I try to determine the direction of the indexes. If I am bullish on stocks in general than my I will have far more long positions than short positions and vice versa when I am bearish.
My stock picking is firstly based on technical analyis but I also use some fundemental research to try and increase the chances that I will be right. For instance, if I am bearish on oil I will look for oil stocks that have bearish charts but that also have deeply indebted balance sheets that make it so the company may not survive if the price of the commodity goes down significantly. This is an example of how utilize some fundemental methods to overlay my technical analysis.
2012 was my first down year. As can be seen I experienced a large drawdown during the year. This was the result of me completely changing my stock system based on reading the book "The Logical Trader: Applying a Method to the Madness." Basically I began trading using some -but not all- components of the ACD system advocated in that book. The results speak for themselves. I was stopped out with small loss after small loss and ended up losing a bunch of money and all of my subscribers.
In the end I Iost 6% for the year after a nice recovery once I got back to trading the way I used to. If it wasn't for my misadventure with the ACD system I would have been up for the year and my largest drawdown in the system's history would have been 11%.
I still think the best way to make a lot of money in a short period of time is to short sell small cap stocks with sky high valuations that have reached what I call "nosebleed" levels of overboughtness. These opportunities are few and far between in this mature bull market but these are still what I look for on a daily basis. These type of opportunites were much more frequent in 2009 and 2010 and they explain my quick doubling of equity at the beginning of my trading history.
With a new name for the system to start the new year I urge everyone to give me a try. The flexibility of my approach allows for the opportunity to make money in all kinds of macro market conditions. The best broker to use with my system is IB because they tend to have the largest inventory of small cap equities available to short.
My stock picking is firstly based on technical analyis but I also use some fundemental research to try and increase the chances that I will be right. For instance, if I am bearish on oil I will look for oil stocks that have bearish charts but that also have deeply indebted balance sheets that make it so the company may not survive if the price of the commodity goes down significantly. This is an example of how utilize some fundemental methods to overlay my technical analysis.
2012 was my first down year. As can be seen I experienced a large drawdown during the year. This was the result of me completely changing my stock system based on reading the book "The Logical Trader: Applying a Method to the Madness." Basically I began trading using some -but not all- components of the ACD system advocated in that book. The results speak for themselves. I was stopped out with small loss after small loss and ended up losing a bunch of money and all of my subscribers.
In the end I Iost 6% for the year after a nice recovery once I got back to trading the way I used to. If it wasn't for my misadventure with the ACD system I would have been up for the year and my largest drawdown in the system's history would have been 11%.
I still think the best way to make a lot of money in a short period of time is to short sell small cap stocks with sky high valuations that have reached what I call "nosebleed" levels of overboughtness. These opportunities are few and far between in this mature bull market but these are still what I look for on a daily basis. These type of opportunites were much more frequent in 2009 and 2010 and they explain my quick doubling of equity at the beginning of my trading history.
With a new name for the system to start the new year I urge everyone to give me a try. The flexibility of my approach allows for the opportunity to make money in all kinds of macro market conditions. The best broker to use with my system is IB because they tend to have the largest inventory of small cap equities available to short.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | 2.6 | 2.6 | |||||||||||
| 2010 | 33.0 | 41.7 | -1.2 | 19.4 | -2.3 | 3.4 | 1.3 | -10.2 | 5.1 | 15.4 | -0.3 | 4.4 | 157.6 |
| 2011 | 0.9 | 5.8 | 4.2 | 9.1 | -5.9 | 12.4 | 2.5 | -4.9 | -3.0 | 4.5 | 11.7 | -0.1 | 41.3 |
| 2012 | 3.8 | -3.8 | -4.2 | -4.1 | -9.1 | 2.7 | 0.3 | -2.9 | -8.9 | 20.8 | 8.7 | -4.3 | -4.6 |
| 2013 | -3.1 | 13.9 | 2.0 | 3.6 | -0.2 | 5.1 | 5.5 | 5.0 | 4.2 | -1.8 | 11.0 | 4.0 | 60.2 |
| 2014 | 0.4 | 3.3 | -4.4 | -6.9 | -3.1 | -0.2 | -4.1 | 3.8 | -2.3 | 5.1 | 6.2 | -2.8 | -5.8 |
| 2015 | -2.5 | 6.9 | -1.8 | -3.8 | 1.1 | 3.4 | -2.5 | -2.3 | -7.9 | 3.4 | 2.0 | -1.1 | -5.8 |
| 2016 | -5.9 | 1.8 | 1.9 | 3.1 | -0.9 | 2.9 | 2.2 | 2.4 | 1.6 | -0.2 | -0.1 | 1.8 | 10.6 |
| 2017 | -8.8 | 1.6 | -5.3 | -1.8 | -3.9 | 2.9 | 13.5 | 0.9 | 7.0 | -2.2 | 4.2 | -2.0 | 4.4 |
| 2018 | 3.6 | -4.7 | -1.1 | -1.4 | 4.4 | 1.2 | 0.1 | -0.5 | -0.9 | 0.2 | 0.2 | -4.0 | -3.1 |
| 2019 | 1.3 | -2.5 | -0.5 | -1.9 | -1.7 | 0.0 | 3.9 | 1.9 | 0.3 | 6.2 | 2.3 | 14.9 | |
| 2020 | 2.2 | -23.0 | -22.1 | 12.2 | 2.0 | -1.8 | 1.7 | 3.2 | -2.0 | -1.2 | 3.7 | 5.6 | -23.3 |
| 2021 | -0.4 | 11.7 | 5.6 | 0.6 | -1.6 | -4.1 | 5.0 | -0.7 | -0.7 | 3.8 | 4.2 | 3.9 | 29.7 |
| 2022 | -7.8 | -3.9 | 5.6 | -1.4 | 0.9 | -3.0 | 7.6 | 7.4 | -5.3 | 12.6 | 4.6 | -5.0 | 10.8 |
| 2023 | -0.1 | -1.7 | -4.7 | -1.5 | -2.0 | 3.5 | -0.9 | -2.4 | -0.0 | -1.4 | -0.8 | 2.3 | -9.5 |
| 2024 | 2.8 | 1.5 | 0.2 | -8.2 | 1.2 | 2.6 | 8.5 | 2.5 | -3.3 | 1.3 | 6.1 | -3.8 | 10.8 |
| 2025 | 7.2 | 1.6 | -0.4 | 0.1 | 4.2 | 1.5 | -0.4 | 16.0 | -2.4 | -8.6 | 2.1 | -6.4 | 13.0 |
| 2026 | 3.3 | -0.4 | -2.9 | 0.4 | -2.0 | 10.6 | -3.1 | -11.4 | 0.7 | -6.1 |
Statistics
Overview
| Strategy began | 12/30/2009 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 203 months |
| What it trades | Stocks |
| # Trades | 914 |
| # Profitable | 476 |
| % Profitable | 52.1% |
| Avg trade duration | 54.4 days |
| Max peak-to-valley drawdown | — |
| drawdown period | — |
| Annual Return (Compounded) | 42.8% |
| Avg win | $5,001 |
| Avg loss | $3,870 |
Ratios
| W:L ratio | 1.44 |
|---|---|
| Sharpe Ratio | 0.52 |
| Sortino Ratio | 0.86 |
| Calmar Ratio | 1.35 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.31 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 573.4% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 327.9% |
Return Statistics
| Ann Return (w trading costs) | 42.8% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.4% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 13.6% |
Slump
| Current Slump as Pcnt Equity | 24.9% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.1% |
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 | 25.5% |
|---|---|
| Chance of 20% account loss | 7.5% |
| Chance of 30% account loss | 1.0% |
| 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% |
| Chance of 100% account loss (Monte Carlo) | 0.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Popularity
| Popularity (Today) | 779 |
|---|---|
| Popularity (Last 6 weeks) | 957 |
Trading Style
| Any stock shorts? 0/1 | 1 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $3,870 |
|---|---|
| Avg Win | $5,001 |
| # Winners | 476 |
| Sum Trade PL (losers) | $1,695,203 |
| Sum Trade PL (winners) | $2,380,304 |
| Num Months Winners | 110 |
| # Losers | 438 |
| % Winners | 52.1% |
Dividends
| Dividends Received in Model Acct | 61466 |
|---|
Age
| Num Months filled monthly returns table | 202 |
|---|
Frequency
| Avg Position Time (mins) | 129331.03 |
|---|---|
| Avg Position Time (hrs) | 2155.52 |
| Avg Trade Length | 89.80 |
| Last Trade Ago | 2770 |
Regression
| Alpha | 0.02 |
|---|---|
| Beta | 0.36 |
| Treynor Index | 0.09 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.01 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.01 |
| 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 | 4.70 |
| MAE:PL (avg, all trades) | -0.94 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 67.60 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 40.23 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.32 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.21 |
| Hold-and-Hope Ratio | 0.26 |
RATIO STATISTICS
| Mean | 0.43 |
|---|---|
| SD | 0.33 |
| Sharpe ratio (Glass type estimate) | 1.32 |
| Sharpe ratio (Hedges UMVUE) | 1.30 |
| df | 53 |
| t | 2.80 |
| p | 0.00 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.36 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.27 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.35 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.26 |
| Sortino ratio | 5.14 |
| Upside Potential Ratio | 6.94 |
| Upside part of mean | 0.59 |
| Downside part of mean | -0.15 |
| Upside SD | 0.34 |
| Downside SD | 0.08 |
| N nonnegative terms | 33 |
| N negative terms | 21 |
| N of observations | 54 |
| Mean of predictor | 0.12 |
| Mean of criterion | 0.43 |
| SD of predictor | 0.13 |
| SD of criterion | 0.33 |
| Covariance | 0.00 |
| r | 0.11 |
| b (slope, estimate of beta) | 0.26 |
| a (intercept, estimate of alpha) | 0.40 |
| Mean Square Error | 0.11 |
| DF error | 52 |
| t(b) | 0.77 |
| p(b) | 0.22 |
| t(a) | 2.50 |
| p(a) | 0.01 |
| Lowerbound of 95% confidence interval for beta | -0.42 |
| Upperbound of 95% confidence interval for beta | 0.94 |
| Lowerbound of 95% confidence interval for alpha | 0.08 |
| Upperbound of 95% confidence interval for alpha | 0.73 |
| Treynor index (mean / b) | 1.67 |
| Jensen alpha (a) | 0.40 |
| Mean | 0.38 |
| SD | 0.29 |
| Sharpe ratio (Glass type estimate) | 1.31 |
| Sharpe ratio (Hedges UMVUE) | 1.29 |
| df | 53 |
| t | 2.78 |
| p | 0.00 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.35 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.26 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.34 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.25 |
| Sortino ratio | 4.40 |
| Upside Potential Ratio | 6.19 |
| Upside part of mean | 0.54 |
| Downside part of mean | -0.16 |
| Upside SD | 0.30 |
| Downside SD | 0.09 |
| N nonnegative terms | 33 |
| N negative terms | 21 |
| N of observations | 54 |
| Mean of predictor | 0.11 |
| Mean of criterion | 0.38 |
| SD of predictor | 0.13 |
| SD of criterion | 0.29 |
| Covariance | 0.01 |
| r | 0.13 |
| b (slope, estimate of beta) | 0.28 |
| a (intercept, estimate of alpha) | 0.35 |
| Mean Square Error | 0.09 |
| DF error | 52 |
| t(b) | 0.93 |
| p(b) | 0.18 |
| t(a) | 2.48 |
| p(a) | 0.01 |
| Lowerbound of 95% confidence interval for beta | -0.32 |
| Upperbound of 95% confidence interval for beta | 0.88 |
| Lowerbound of 95% confidence interval for alpha | 0.07 |
| Upperbound of 95% confidence interval for alpha | 0.64 |
| Treynor index (mean / b) | 1.37 |
| Jensen alpha (a) | 0.35 |
| VaR(95%) | 0.10 |
| Expected Shortfall on VaR | 0.13 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.05 |
| Mean | 0.40 |
| SD | 0.23 |
| Sharpe ratio (Glass type estimate) | 1.75 |
| Sharpe ratio (Hedges UMVUE) | 1.75 |
| df | 1560 |
| t | 3.73 |
| p | 0.45 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.83 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.67 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.83 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.67 |
| Sortino ratio | 3.74 |
| Upside Potential Ratio | 11.06 |
| Upside part of mean | 1.18 |
| Downside part of mean | -0.78 |
| Upside SD | 0.20 |
| Downside SD | 0.11 |
| N nonnegative terms | 695 |
| N negative terms | 866 |
| N of observations | 1561 |
| Mean of predictor | 0.13 |
| Mean of criterion | 0.40 |
| SD of predictor | 0.16 |
| SD of criterion | 0.23 |
| Covariance | 0.00 |
| r | 0.10 |
| b (slope, estimate of beta) | 0.14 |
| a (intercept, estimate of alpha) | 0.25 |
| Mean Square Error | 0.05 |
| DF error | 1559 |
| t(b) | 3.83 |
| p(b) | 0.44 |
| t(a) | 3.58 |
| p(a) | 0.44 |
| Lowerbound of 95% confidence interval for beta | 0.07 |
| Upperbound of 95% confidence interval for beta | 0.21 |
| Lowerbound of 95% confidence interval for alpha | 0.17 |
| Upperbound of 95% confidence interval for alpha | 0.59 |
| Treynor index (mean / b) | 2.95 |
| Jensen alpha (a) | 0.38 |
| Mean | 0.38 |
| SD | 0.22 |
| Sharpe ratio (Glass type estimate) | 1.69 |
| Sharpe ratio (Hedges UMVUE) | 1.69 |
| df | 1560 |
| t | 3.61 |
| p | 0.45 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.77 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.62 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.77 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.62 |
| Sortino ratio | 3.45 |
| Upside Potential Ratio | 10.72 |
| Upside part of mean | 1.16 |
| Downside part of mean | -0.79 |
| Upside SD | 0.19 |
| Downside SD | 0.11 |
| N nonnegative terms | 695 |
| N negative terms | 866 |
| N of observations | 1561 |
| Mean of predictor | 0.11 |
| Mean of criterion | 0.38 |
| SD of predictor | 0.16 |
| SD of criterion | 0.22 |
| Covariance | 0.00 |
| r | 0.10 |
| b (slope, estimate of beta) | 0.14 |
| a (intercept, estimate of alpha) | 0.36 |
| Mean Square Error | 0.05 |
| DF error | 1559 |
| t(b) | 3.97 |
| p(b) | 0.44 |
| t(a) | 3.48 |
| p(a) | 0.44 |
| Lowerbound of 95% confidence interval for beta | 0.07 |
| Upperbound of 95% confidence interval for beta | 0.20 |
| Lowerbound of 95% confidence interval for alpha | 0.16 |
| Upperbound of 95% confidence interval for alpha | 0.56 |
| Treynor index (mean / b) | 2.76 |
| Jensen alpha (a) | 0.36 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.02 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
| Mean | -0.22 |
| SD | 0.13 |
| Sharpe ratio (Glass type estimate) | -1.73 |
| Sharpe ratio (Hedges UMVUE) | -1.73 |
| df | 171 |
| t | -1.23 |
| p | 0.56 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -4.51 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.05 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -4.50 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.05 |
| Sortino ratio | -2.27 |
| Upside Potential Ratio | 7.42 |
| Upside part of mean | 0.71 |
| Downside part of mean | -0.93 |
| Upside SD | 0.08 |
| Downside SD | 0.10 |
| N nonnegative terms | 71 |
| N negative terms | 101 |
| N of observations | 172 |
| Mean of predictor | 0.14 |
| Mean of criterion | -0.22 |
| SD of predictor | 0.10 |
| SD of criterion | 0.13 |
| Covariance | 0.01 |
| r | 0.42 |
| b (slope, estimate of beta) | 0.51 |
| a (intercept, estimate of alpha) | -0.29 |
| Mean Square Error | 0.01 |
| DF error | 170 |
| t(b) | 6.07 |
| p(b) | 0.29 |
| t(a) | -1.78 |
| p(a) | 0.57 |
| Lowerbound of 95% confidence interval for beta | 0.35 |
| Upperbound of 95% confidence interval for beta | 0.68 |
| Lowerbound of 95% confidence interval for alpha | -0.61 |
| Upperbound of 95% confidence interval for alpha | 0.03 |
| Treynor index (mean / b) | -0.42 |
| Jensen alpha (a) | -0.29 |
| Mean | -0.23 |
| SD | 0.13 |
| Sharpe ratio (Glass type estimate) | -1.80 |
| Sharpe ratio (Hedges UMVUE) | -1.79 |
| df | 171 |
| t | -1.27 |
| p | 0.56 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -4.57 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.98 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -4.57 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.99 |
| Sortino ratio | -2.33 |
| Upside Potential Ratio | 7.34 |
| Upside part of mean | 0.71 |
| Downside part of mean | -0.94 |
| Upside SD | 0.08 |
| Downside SD | 0.10 |
| N nonnegative terms | 71 |
| N negative terms | 101 |
| N of observations | 172 |
| Mean of predictor | 0.13 |
| Mean of criterion | -0.23 |
| SD of predictor | 0.10 |
| SD of criterion | 0.13 |
| Covariance | 0.01 |
| r | 0.42 |
| b (slope, estimate of beta) | 0.51 |
| a (intercept, estimate of alpha) | -0.29 |
| Mean Square Error | 0.01 |
| DF error | 170 |
| t(b) | 6.06 |
| p(b) | 0.29 |
| t(a) | -1.81 |
| p(a) | 0.57 |
| Lowerbound of 95% confidence interval for beta | 0.35 |
| VAR (95 Confidence Intrvl) | 0.03 |
| Upperbound of 95% confidence interval for beta | 0.68 |
| Lowerbound of 95% confidence interval for alpha | -0.61 |
| Upperbound of 95% confidence interval for alpha | 0.03 |
| Treynor index (mean / b) | -0.44 |
| Jensen alpha (a) | -0.29 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
ORDER STATISTICS
| Number of observations | 54 |
|---|---|
| Minimum | 0.92 |
| Quartile 1 | 0.98 |
| Median | 1.02 |
| Quartile 3 | 1.05 |
| Maximum | 1.42 |
| Mean of quarter 1 | 0.96 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.04 |
| Mean of quarter 4 | 1.15 |
| Inter Quartile Range | 0.07 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 4 |
| Percentage of outliers high | 0.07 |
| Mean of outliers high | 1.30 |
| Extreme Value Index (moments method) | -1.73 |
| VaR(95%) (moments method) | 0.04 |
| Expected Shortfall (moments method) | 0.04 |
| Extreme Value Index (regression method) | -0.55 |
| VaR(95%) (regression method) | 0.04 |
| Expected Shortfall (regression method) | 0.05 |
| Number of observations | 1561 |
| Minimum | 0.92 |
| Quartile 1 | 1.00 |
| Median | 1 |
| Quartile 3 | 1.00 |
| Maximum | 1.21 |
| 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 | 94 |
| Percentage of outliers low | 0.06 |
| Mean of outliers low | 0.98 |
| Number of outliers high | 104 |
| Percentage of outliers high | 0.07 |
| Mean of outliers high | 1.03 |
| Extreme Value Index (moments method) | 0.18 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.01 |
| Extreme Value Index (regression method) | 0.07 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.01 |
| Number of observations | 172 |
| Minimum | 0.98 |
| Quartile 1 | 1.00 |
| Median | 1 |
| Quartile 3 | 1.00 |
| Maximum | 1.02 |
| 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 | 5 |
| Percentage of outliers low | 0.03 |
| Mean of outliers low | 0.98 |
| Number of outliers high | 4 |
| Percentage of outliers high | 0.02 |
| Mean of outliers high | 1.02 |
| Extreme Value Index (moments method) | -0.14 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.01 |
| Extreme Value Index (regression method) | -0.17 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.01 |
DRAW DOWN STATISTICS
| Number of observations | 9 |
|---|---|
| Minimum | 0.01 |
| Quartile 1 | 0.02 |
| Median | 0.04 |
| Quartile 3 | 0.06 |
| Maximum | 0.21 |
| Mean of quarter 1 | 0.02 |
| Mean of quarter 2 | 0.04 |
| Mean of quarter 3 | 0.06 |
| Mean of quarter 4 | 0.16 |
| Inter Quartile Range | 0.04 |
| 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 | 0.21 |
| Extreme Value Index (moments method) | -3.22 |
| VaR(95%) (moments method) | 0.13 |
| Expected Shortfall (moments method) | 0.13 |
| Extreme Value Index (regression method) | -0.10 |
| VaR(95%) (regression method) | 0.24 |
| Expected Shortfall (regression method) | 0.33 |
| Number of observations | 83 |
| Minimum | 0 |
| Quartile 1 | 0.00 |
| Median | 0.01 |
| Quartile 3 | 0.03 |
| Maximum | 0.24 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.02 |
| Mean of quarter 4 | 0.07 |
| Inter Quartile Range | 0.03 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 7 |
| Percentage of outliers high | 0.08 |
| Mean of outliers high | 0.13 |
| Extreme Value Index (moments method) | 0.37 |
| VaR(95%) (moments method) | 0.08 |
| Expected Shortfall (moments method) | 0.14 |
| Extreme Value Index (regression method) | 0.88 |
| VaR(95%) (regression method) | 0.07 |
| Expected Shortfall (regression method) | 0.39 |
| Number of observations | 4 |
| Minimum | 0.01 |
| Quartile 1 | 0.03 |
| Median | 0.04 |
| Quartile 3 | 0.08 |
| Maximum | 0.17 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.03 |
| Mean of quarter 3 | 0.05 |
| Mean of quarter 4 | 0.17 |
| Inter Quartile Range | 0.05 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.25 |
| Mean of outliers high | 0.17 |
| 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) | 231 |
| Last 4 Months - Pcnt Negative | 0.5% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 1.08 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.48 |
| Calmar ratio (compounded annual return / max draw down) | 2.24 |
| Compounded annual return / average of 25% largest draw downs | 2.94 |
| Compounded annual return / Expected Shortfall lognormal | 3.65 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 1.05 |
| Compounded annual return (geometric extrapolation) | 0.47 |
| Calmar ratio (compounded annual return / max draw down) | 1.94 |
| Compounded annual return / average of 25% largest draw downs | 6.54 |
| Compounded annual return / Expected Shortfall lognormal | 20.22 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.20 |
| Compounded annual return (geometric extrapolation) | -0.19 |
| Calmar ratio (compounded annual return / max draw down) | -1.17 |
| Compounded annual return / average of 25% largest draw downs | -1.17 |
| Compounded annual return / Expected Shortfall lognormal | -13.36 |
Trading record
Placed 1580 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| TCK | short | 3000 | Jun 9, 2014 | Jul 3, 2014 | ($7,235) |
| PXD | long | 300 | Apr 21, 2014 | Jun 20, 2014 | $8,667 |
| EOG | long | 600 | Apr 21, 2014 | Jun 20, 2014 | $8,143 |
| CXDC | short | 4000 | Jun 9, 2014 | Jun 10, 2014 | $315 |
| TSLA | long | 300 | May 27, 2014 | Jun 10, 2014 | ($3,168) |
| DOM | long | 5000 | May 7, 2014 | Jun 6, 2014 | $8,761 |
| KKD | long | 2000 | May 28, 2014 | Jun 4, 2014 | ($5,605) |
| RGR | long | 800 | May 7, 2014 | Jun 4, 2014 | ($4,669) |
| LIVE | long | 2000 | May 28, 2014 | Jun 2, 2014 | ($1,765) |
| MNKD | long | 3000 | May 28, 2014 | Jun 2, 2014 | $3,535 |
| HRL | long | 1000 | May 7, 2014 | May 15, 2014 | $493 |
| CENX | long | 3000 | Apr 1, 2014 | May 15, 2014 | $1,803 |
| RTN | long | 600 | May 7, 2014 | May 15, 2014 | ($905) |
| GMT | long | 1000 | Apr 30, 2014 | May 15, 2014 | ($2,467) |
| HII | long | 500 | Apr 30, 2014 | May 15, 2014 | ($2,950) |
| SQM | long | 2000 | Apr 30, 2014 | May 14, 2014 | ($4,165) |
| TTWO | long | 3000 | Apr 9, 2014 | May 9, 2014 | ($2,036) |
| JLL | long | 500 | Apr 22, 2014 | May 9, 2014 | ($4,109) |
| ICUI | short | 800 | May 5, 2014 | May 9, 2014 | ($3,149) |
| CMG | long | 150 | Apr 29, 2014 | May 9, 2014 | $1,641 |
| BCPC | long | 1000 | Apr 21, 2014 | May 9, 2014 | ($7,735) |
| GRPN | short | 3000 | Apr 7, 2014 | May 7, 2014 | $5,108 |
| TWTR | short | 1500 | Apr 1, 2014 | Apr 30, 2014 | $11,500 |
| SIMO | long | 2500 | Apr 10, 2014 | Apr 14, 2014 | ($50) |
| SYMX | long | 15000 | Apr 9, 2014 | Apr 14, 2014 | ($4,215) |
| GOGO | short | 1500 | Apr 7, 2014 | Apr 10, 2014 | ($2,780) |
| VISN | long | 1000 | Apr 9, 2014 | Apr 9, 2014 | ($478) |
| DDD | short | 800 | Apr 1, 2014 | Apr 9, 2014 | $3,811 |
| FB | long | 1000 | Apr 1, 2014 | Apr 7, 2014 | ($5,523) |
| FRGI | long | 1000 | Apr 1, 2014 | Apr 7, 2014 | ($5,332) |
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.