Futures Trader Daily
- hypothetical · Annual Return (Compounded)
- 5.3%
- Max Drawdown
- 74.4%
- Trades
- 3629
- Win Trades
- 42.0%
- Profit Factor
- 1.10
- Win Months
- 31.0%
About this strategy
Futures Trader Daily is designed to be traded with a $100,000 account. Despite the different "model account" equity, trade signals are still entered assuming a $100K account so that new subscribers can trade without scaling down. You do NOT need $200K to trade this system.
Futures Trader Daily executes daily trades, meaning there will be at most one signal per day per futures contract. Trades will normally last from 2 days up to 7 days, although highly profitable trades may last longer than 7 days. Additionally a few contracts (such as short-term bonds) that tend to move very slowly may have trades lasting weeks (even months in some cases).
Position sizes assume an initial account size of $100,000 to trade Futures Trader Daily. Even though the model account equity is higher trades are still entered assuming $100,000 account size.
Futures Trader Daily alerts will be entered generally between 8 and 9 PM EST and will often be active immediately (for composite contracts). Trades are entered from my trade tracking application and are parked for 3 minutes to allow manual review of the trades to make sure they are correct (better safe than sorry).
Futures Trader Daily uses stops to enter and exit trades. EVERY trade is exited via a stop (except for rare cases involving rollovers or other external events). This means ALL winning trades will give back some of their profits before they exit. Remember the goal is to capture as much profit as possible but also keep risk down.
The following contracts are traded on a weekly basis, entered via GTC orders and will not have an exit stop entered until the week following entry. The $5K standard stop loss always applies however.
British Pound, Swiss Franc, Japanese Yen, NYBOT Cocoa, Liffe Cocoa, Liffe Euribor, Liffe Euroswiss, Five Year Bond
Futures Trader Daily executes daily trades, meaning there will be at most one signal per day per futures contract. Trades will normally last from 2 days up to 7 days, although highly profitable trades may last longer than 7 days. Additionally a few contracts (such as short-term bonds) that tend to move very slowly may have trades lasting weeks (even months in some cases).
Position sizes assume an initial account size of $100,000 to trade Futures Trader Daily. Even though the model account equity is higher trades are still entered assuming $100,000 account size.
Futures Trader Daily alerts will be entered generally between 8 and 9 PM EST and will often be active immediately (for composite contracts). Trades are entered from my trade tracking application and are parked for 3 minutes to allow manual review of the trades to make sure they are correct (better safe than sorry).
Futures Trader Daily uses stops to enter and exit trades. EVERY trade is exited via a stop (except for rare cases involving rollovers or other external events). This means ALL winning trades will give back some of their profits before they exit. Remember the goal is to capture as much profit as possible but also keep risk down.
The following contracts are traded on a weekly basis, entered via GTC orders and will not have an exit stop entered until the week following entry. The $5K standard stop loss always applies however.
British Pound, Swiss Franc, Japanese Yen, NYBOT Cocoa, Liffe Cocoa, Liffe Euribor, Liffe Euroswiss, Five Year Bond
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2010 | 8.3 | 32.6 | 31.6 | 28.2 | 142.3 | ||||||||
| 2011 | 0.4 | 8.1 | -3.2 | 18.5 | -4.0 | -0.7 | 1.6 | 1.6 | 3.7 | -15.2 | -11.9 | 2.3 | -2.8 |
| 2012 | -9.8 | 15.7 | -6.6 | 1.8 | 25.0 | -3.3 | 19.0 | -3.6 | -11.1 | -14.0 | -16.5 | -1.7 | -13.8 |
| 2013 | 4.9 | -12.6 | 2.0 | 3.9 | -6.8 | 14.4 | -0.5 | 16.2 | 6.9 | -5.0 | -30.3 | 22.6 | 3.8 |
| 2014 | 2.3 | 6.7 | 30.5 | -8.1 | -2.9 | 14.3 | 1.1 | 11.2 | 36.8 | -5.1 | 31.5 | 3.2 | 188.0 |
| 2015 | 11.2 | -2.9 | 10.3 | -1.6 | -5.1 | -3.4 | -5.8 | -3.0 | -7.8 | -6.8 | 5.8 | -6.7 | -16.9 |
| 2016 | 11.8 | 7.2 | -0.6 | 0.8 | 1.2 | 10.1 | 0.3 | -6.5 | 8.9 | -3.4 | -4.2 | -4.6 | 20.7 |
| 2017 | -8.6 | -4.4 | -1.8 | 2.5 | 2.8 | 2.2 | -3.6 | -0.0 | -6.7 | -63.1 | 29.2 | 7.2 | -57.4 |
| 2018 | 1.0 | -12.4 | 1.7 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |||
| 2022 | -1.5 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -11.5 |
| 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 | 9/8/2010 |
|---|---|
| Suggested Minimum Capital | $37,717 |
| Age | 195 months |
| What it trades | Futures |
| # Trades | 3629 |
| # Profitable | 1525 |
| % Profitable | 42.0% |
| Avg trade duration | 5.3 days |
| Max peak-to-valley drawdown | 74.4% |
| drawdown period | March 30, 2015 - Oct 29, 2017 |
| Annual Return (Compounded) | 5.3% |
| Avg win | $1,342 |
| Avg loss | $903 |
Ratios
| W:L ratio | 1.08 |
|---|---|
| Sharpe Ratio | 0.26 |
| Sortino Ratio | 0.38 |
| Calmar Ratio | 0.42 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.04 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 587.3% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -461.4% |
Return Statistics
| Ann Return (w trading costs) | 5.3% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.1% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 10.4% |
Slump
| Current Slump as Pcnt Equity | 218.1% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.7% |
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 | 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) | 0.0% |
| Chance of 90% account loss (Monte Carlo) | 0.0% |
| 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 | $903 |
|---|---|
| Avg Win | $1,342 |
| # Winners | 1525 |
| Sum Trade PL (losers) | $1,899,809 |
| Sum Trade PL (winners) | $2,047,164 |
| Num Months Winners | 48 |
| # Losers | 2104 |
| % Winners | 42.0% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 155 |
|---|
Frequency
| Avg Position Time (mins) | 7611.88 |
|---|---|
| Avg Position Time (hrs) | 126.86 |
| Avg Trade Length | 5.30 |
| Last Trade Ago | 3110 |
Regression
| Alpha | 0.02 |
|---|---|
| Beta | -0.04 |
| Treynor Index | -0.53 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.01 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.21 |
| MAE:Equity, average, losing trades | 0.01 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 71.29 |
| MAE:PL (avg, all trades) | -0.41 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 45.45 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 52.73 |
| 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 | -1.18 |
| Hold-and-Hope Ratio | 0.01 |
RATIO STATISTICS
| Mean | 0.26 |
|---|---|
| SD | 0.35 |
| Sharpe ratio (Glass type estimate) | 0.72 |
| Sharpe ratio (Hedges UMVUE) | 0.72 |
| df | 96 |
| t | 2.06 |
| p | 0.02 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.03 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.42 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.02 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.42 |
| Sortino ratio | 1.51 |
| Upside Potential Ratio | 3.24 |
| Upside part of mean | 0.55 |
| Downside part of mean | -0.29 |
| Upside SD | 0.32 |
| Downside SD | 0.17 |
| N nonnegative terms | 57 |
| N negative terms | 40 |
| N of observations | 97 |
| Mean of predictor | 0.25 |
| Mean of criterion | 0.26 |
| SD of predictor | 0.24 |
| SD of criterion | 0.35 |
| Covariance | -0.00 |
| r | -0.06 |
| b (slope, estimate of beta) | -0.08 |
| a (intercept, estimate of alpha) | 0.28 |
| Mean Square Error | 0.13 |
| DF error | 95 |
| t(b) | -0.56 |
| p(b) | 0.71 |
| t(a) | 2.13 |
| p(a) | 0.02 |
| Lowerbound of 95% confidence interval for beta | -0.38 |
| Upperbound of 95% confidence interval for beta | 0.21 |
| Lowerbound of 95% confidence interval for alpha | 0.02 |
| Upperbound of 95% confidence interval for alpha | 0.53 |
| Treynor index (mean / b) | -3.07 |
| Jensen alpha (a) | 0.28 |
| Mean | 0.20 |
| SD | 0.33 |
| Sharpe ratio (Glass type estimate) | 0.59 |
| Sharpe ratio (Hedges UMVUE) | 0.59 |
| df | 96 |
| t | 1.68 |
| p | 0.05 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.10 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.29 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.11 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.28 |
| Sortino ratio | 1.08 |
| Upside Potential Ratio | 2.78 |
| Upside part of mean | 0.51 |
| Downside part of mean | -0.31 |
| Upside SD | 0.28 |
| Downside SD | 0.18 |
| N nonnegative terms | 57 |
| N negative terms | 40 |
| N of observations | 97 |
| Mean of predictor | 0.22 |
| Mean of criterion | 0.20 |
| SD of predictor | 0.21 |
| SD of criterion | 0.33 |
| Covariance | -0.00 |
| r | -0.06 |
| b (slope, estimate of beta) | -0.09 |
| a (intercept, estimate of alpha) | 0.22 |
| Mean Square Error | 0.11 |
| DF error | 95 |
| t(b) | -0.59 |
| p(b) | 0.72 |
| t(a) | 1.78 |
| p(a) | 0.04 |
| Lowerbound of 95% confidence interval for beta | -0.41 |
| Upperbound of 95% confidence interval for beta | 0.22 |
| Lowerbound of 95% confidence interval for alpha | -0.03 |
| Upperbound of 95% confidence interval for alpha | 0.46 |
| Treynor index (mean / b) | -2.07 |
| Jensen alpha (a) | 0.22 |
| VaR(95%) | 0.13 |
| Expected Shortfall on VaR | 0.17 |
| VaR(95%) | 0.05 |
| Expected Shortfall on VaR | 0.10 |
| Mean | 0.28 |
| SD | 0.41 |
| Sharpe ratio (Glass type estimate) | 0.67 |
| Sharpe ratio (Hedges UMVUE) | 0.67 |
| df | 2133 |
| t | 1.91 |
| p | 0.03 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.02 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.36 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.02 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.36 |
| Sortino ratio | 1.14 |
| Upside Potential Ratio | 6.57 |
| Upside part of mean | 1.59 |
| Downside part of mean | -1.31 |
| Upside SD | 0.33 |
| Downside SD | 0.24 |
| N nonnegative terms | 1155 |
| N negative terms | 979 |
| N of observations | 2134 |
| Mean of predictor | 0.28 |
| Mean of criterion | 0.28 |
| SD of predictor | 0.30 |
| SD of criterion | 0.41 |
| Covariance | 0.02 |
| r | 0.18 |
| b (slope, estimate of beta) | 0.25 |
| a (intercept, estimate of alpha) | 0.21 |
| Mean Square Error | 0.16 |
| DF error | 2132 |
| t(b) | 8.58 |
| p(b) | 0 |
| t(a) | 1.45 |
| p(a) | 0.07 |
| Lowerbound of 95% confidence interval for beta | 0.19 |
| Upperbound of 95% confidence interval for beta | 0.31 |
| Lowerbound of 95% confidence interval for alpha | -0.07 |
| Upperbound of 95% confidence interval for alpha | 0.49 |
| Treynor index (mean / b) | 1.10 |
| Jensen alpha (a) | 0.21 |
| Mean | 0.20 |
| SD | 0.40 |
| Sharpe ratio (Glass type estimate) | 0.49 |
| Sharpe ratio (Hedges UMVUE) | 0.49 |
| df | 2133 |
| t | 1.39 |
| p | 0.08 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.20 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.18 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.20 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.17 |
| Sortino ratio | 0.73 |
| Upside Potential Ratio | 5.73 |
| Upside part of mean | 1.54 |
| Downside part of mean | -1.35 |
| Upside SD | 0.30 |
| Downside SD | 0.27 |
| N nonnegative terms | 1155 |
| N negative terms | 979 |
| N of observations | 2134 |
| Mean of predictor | 0.24 |
| Mean of criterion | 0.20 |
| SD of predictor | 0.27 |
| SD of criterion | 0.40 |
| Covariance | 0.02 |
| r | 0.20 |
| b (slope, estimate of beta) | 0.30 |
| a (intercept, estimate of alpha) | 0.12 |
| Mean Square Error | 0.15 |
| DF error | 2132 |
| t(b) | 9.52 |
| p(b) | 0 |
| t(a) | 0.90 |
| p(a) | 0.18 |
| Lowerbound of 95% confidence interval for beta | 0.24 |
| Upperbound of 95% confidence interval for beta | 0.36 |
| Lowerbound of 95% confidence interval for alpha | -0.15 |
| Upperbound of 95% confidence interval for alpha | 0.39 |
| Treynor index (mean / b) | 0.65 |
| Jensen alpha (a) | 0.12 |
| VaR(95%) | 0.04 |
| Expected Shortfall on VaR | 0.05 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| 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 | 1.37 |
| Mean of criterion | 0 |
| SD of predictor | 0.40 |
| 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 | 1.29 |
| Mean of criterion | 0 |
| SD of predictor | 0.40 |
| 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) | 0.04 |
| 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 | 97 |
|---|---|
| Minimum | 0.78 |
| Quartile 1 | 0.96 |
| Median | 1.01 |
| Quartile 3 | 1.06 |
| Maximum | 1.46 |
| Mean of quarter 1 | 0.92 |
| Mean of quarter 2 | 0.99 |
| Mean of quarter 3 | 1.03 |
| Mean of quarter 4 | 1.15 |
| Inter Quartile Range | 0.10 |
| Number outliers low | 1 |
| Percentage of outliers low | 0.01 |
| Mean of outliers low | 0.78 |
| Number of outliers high | 6 |
| Percentage of outliers high | 0.06 |
| Mean of outliers high | 1.28 |
| Extreme Value Index (moments method) | 0.34 |
| VaR(95%) (moments method) | 0.09 |
| Expected Shortfall (moments method) | 0.16 |
| Extreme Value Index (regression method) | 0.46 |
| VaR(95%) (regression method) | 0.08 |
| Expected Shortfall (regression method) | 0.13 |
| Number of observations | 2134 |
| Minimum | 0.64 |
| Quartile 1 | 0.99 |
| Median | 1 |
| Quartile 3 | 1.01 |
| Maximum | 1.58 |
| Mean of quarter 1 | 0.98 |
| 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 | 86 |
| Percentage of outliers low | 0.04 |
| Mean of outliers low | 0.95 |
| Number of outliers high | 126 |
| Percentage of outliers high | 0.06 |
| Mean of outliers high | 1.05 |
| Extreme Value Index (moments method) | 0.45 |
| VaR(95%) (moments method) | 0.02 |
| Expected Shortfall (moments method) | 0.04 |
| Extreme Value Index (regression method) | 0.33 |
| VaR(95%) (regression method) | 0.02 |
| Expected Shortfall (regression method) | 0.03 |
| 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 | 7 |
|---|---|
| Minimum | 0.03 |
| Quartile 1 | 0.07 |
| Median | 0.22 |
| Quartile 3 | 0.33 |
| Maximum | 0.46 |
| Mean of quarter 1 | 0.04 |
| Mean of quarter 2 | 0.16 |
| Mean of quarter 3 | 0.29 |
| Mean of quarter 4 | 0.41 |
| Inter Quartile Range | 0.26 |
| 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 | 45 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.03 |
| Quartile 3 | 0.08 |
| Maximum | 0.51 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.02 |
| Mean of quarter 3 | 0.04 |
| Mean of quarter 4 | 0.25 |
| Inter Quartile Range | 0.07 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 7 |
| Percentage of outliers high | 0.16 |
| Mean of outliers high | 0.33 |
| Extreme Value Index (moments method) | -0.20 |
| VaR(95%) (moments method) | 0.21 |
| Expected Shortfall (moments method) | 0.27 |
| Extreme Value Index (regression method) | 0.20 |
| VaR(95%) (regression method) | 0.25 |
| Expected Shortfall (regression method) | 0.41 |
| 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? | -522601696 |
| Max Equity Drawdown (num days) | 944 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.48 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.22 |
| Calmar ratio (compounded annual return / max draw down) | 0.47 |
| Compounded annual return / average of 25% largest draw downs | 0.53 |
| Compounded annual return / Expected Shortfall lognormal | 1.32 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.48 |
| Compounded annual return (geometric extrapolation) | 0.22 |
| Calmar ratio (compounded annual return / max draw down) | 0.42 |
| Compounded annual return / average of 25% largest draw downs | 0.85 |
| Compounded annual return / Expected Shortfall lognormal | 4.41 |
| 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 3896 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| LG M8 | short | 1 | Feb 27, 2018 | Mar 7, 2018 | ($493) |
| QGC J8 | long | 1 | Mar 1, 2018 | Mar 6, 2018 | $1,512 |
| S K8 | long | 2 | Feb 27, 2018 | Mar 6, 2018 | $1,684 |
| CT K8 | long | 2 | Mar 5, 2018 | Mar 6, 2018 | $364 |
| BL M8 | short | 6 | Feb 27, 2018 | Mar 5, 2018 | ($3,365) |
| W K8 | long | 3 | Feb 28, 2018 | Mar 2, 2018 | $2,451 |
| KW K8 | long | 3 | Feb 25, 2018 | Mar 2, 2018 | $6,651 |
| TU M8 | short | 5 | Feb 27, 2018 | Mar 1, 2018 | ($899) |
| DX H8 | short | 2 | Feb 26, 2018 | Mar 1, 2018 | ($2,346) |
| LRC K8 | short | 5 | Feb 26, 2018 | Mar 1, 2018 | ($40) |
| SM K8 | long | 2 | Feb 25, 2018 | Feb 28, 2018 | $1,604 |
| HE J8 | long | 2 | Feb 26, 2018 | Feb 28, 2018 | ($1,996) |
| SB K8 | short | 3 | Feb 26, 2018 | Feb 28, 2018 | $346 |
| QW K8 | short | 4 | Feb 26, 2018 | Feb 28, 2018 | $508 |
| LG H8 | short | 1 | Feb 15, 2018 | Feb 27, 2018 | ($1,755) |
| BL H8 | short | 6 | Feb 14, 2018 | Feb 27, 2018 | ($3,058) |
| EB J8 | long | 1 | Feb 22, 2018 | Feb 27, 2018 | $612 |
| S H8 | long | 2 | Feb 20, 2018 | Feb 27, 2018 | $109 |
| US H8 | short | 1 | Feb 19, 2018 | Feb 23, 2018 | ($289) |
| CT K8 | long | 2 | Feb 20, 2018 | Feb 22, 2018 | $1,354 |
| SB H8 | short | 3 | Feb 16, 2018 | Feb 22, 2018 | ($293) |
| QW K8 | short | 4 | Feb 20, 2018 | Feb 22, 2018 | ($412) |
| EZ H8 | short | 5 | Feb 20, 2018 | Feb 22, 2018 | ($347) |
| OJ H8 | long | 2 | Feb 16, 2018 | Feb 20, 2018 | ($496) |
| HE J8 | short | 2 | Feb 16, 2018 | Feb 20, 2018 | ($56) |
| LRC H8 | short | 5 | Feb 15, 2018 | Feb 20, 2018 | $610 |
| QW K8 | short | 4 | Feb 16, 2018 | Feb 19, 2018 | ($912) |
| KW H8 | long | 3 | Feb 15, 2018 | Feb 16, 2018 | ($324) |
| QW K8 | short | 4 | Feb 13, 2018 | Feb 15, 2018 | ($632) |
| QGC J8 | long | 1 | Feb 13, 2018 | Feb 14, 2018 | ($758) |
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.