Adaptive Neuro-Fuzzy Clustering Bot
- hypothetical · Annual Return (Compounded)
- -6.4%
- Max Drawdown
- 29.2%
- Trades
- 102
- Win Trades
- 78.4%
- Profit Factor
- 1.30
- Win Months
- 4.7%
About this strategy
I dedicate this work especially for my family and university where I grew and spent almost all of my age. This work is a product of my researches in intelligent system particularly in neuro-fuzzy and evolutionary algorithm.
This is my humble trading system. This is a system for my living. The typical performance is as follow:
- Typical expected return 2-6% per month
- Typical risk exposure 1-2% per cycle
- Typical equity drawdown less than 10% per cycle
Of course these are goals only. No performance can be guaranteed, and the actual real-world results may be vastly different from these goals.
Before you decide to continue: (1) Make sure you understand the law of nature "high gain, high risk". There is no such thing in this world with "high gain, low risk" or "high profit, low drawdown". If you understand this context then you should trade with sufficient balance and only according to your own risk tolerance. (2) Make sure you know your reasonable reward. Be realistic! "get rich quick" and "gotta have it now" mentality are the most factor that make you as loser (part of the other 90% in this leveraged arena).
This is an autonomous foreign exchange trading system based on adaptive neuro-fuzzy clustering (ANFC) algorithm. This is an inherently safe and stable trading system. It trades 16 currency pairs including: EURUSD, GBPUSD, EURJPY, USDJPY, AUDUSD, EURCHF, CHFJPY, USDCHF, USDCAD, EURGBP, AUDJPY, NZDUSD, GBPJPY, AUDCAD, EURAUD, GBPCHF. The system will send trading signal regardless time zone or time frame. Currency pair selection, lot size, time to close and open are fully controlled by the algorithm. It may open one or more positions within a period, called, a cycle. The max risk and max expected equity drawdown per cycle are fixed at 25%. It does not use all of the risk allocation at single trade, but it introduces you to the risk step by step depending on the market condition. Most of the time it only exposes you to the risks 1%-2% per cycle, with equity drawdown less than 10%. This is a very conservative strategy which can sustain up to 6% fluctuation over MA 20-days period rarely found during normal market condition. I really did a lot of researches, experiment and studies in risk control and money management and put strict discipline on this matter. It works very well in a portfolio of assorted strategies since it does not take up much of the leverage.
Learn carefully my trading system before you decide to subscribe. Only trade according to your own risk tolerance and do not over leverage yourself. Happy Trade!
Frequently Asked Questions (FAQs)
1Q: What is your maximum drawdown (DD)?
1A: My system has maximum drawdown set at 25% of my trading account balance (USD 12000). If your trading account is USD 60000 with percent model account size=100% then drawdown exposure is only as much as 5%. If your trading account is USD 6000 with percent model account size=100% then your drawdown exposure will be 50%
2Q: What is the right account amount for trading this system?
2A: It depends on your tolerance to the drawdown. If you are OK with 25% drawdown then your account should be higher than USD 12000 with percent model account size equal to 100%. If you want it to be lower than 25% drawdown then either you increase the account capital or reduce the percent model account size.
Example: I have only USD 10000 in my account how much I should adjust my percent model account size such that max drawdown in my account become 15%? Use this formula percent model account size = (USD 10000/USD 12000)*(15%/25%)*100% = 50%
3Q: Can I scale up the account size based on the available fund?
3A: Of course you can. Just adjust your percent model account size and use the formula on 2A.
4Q: Do you use stop loss signal for each opened position?
4A: Yes. My trading system uses stop signal consists of 4 types: (1) hard stop -> all open positions will be closed if it reach max drawdown (25%). (2) trailing stop -> to lock profit, (3) logic stop -> if the system considers that its profit/loss ratio is enough then it will close all position automatically.
(4) stop loss target is provided for each open position
5Q: Do you carry trades over weekend?
5A: Yes. I do not close my position every friday. It depends totally on the algorithm.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2010 | 2.9 | 5.1 | 8.1 | ||||||||||
| 2011 | 6.2 | 2.0 | 3.2 | 1.9 | 3.9 | 1.6 | -4.3 | -9.8 | -13.5 | -2.1 | 6.6 | 0.0 | -6.4 |
| 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 | |
| 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 | 11/8/2010 |
|---|---|
| Suggested Minimum Capital | $5,000 |
| Age | 193 months |
| What it trades | Forex |
| # Trades | 102 |
| # Profitable | 80 |
| % Profitable | 78.4% |
| Avg trade duration | 1.4 days |
| Max peak-to-valley drawdown | 29.2% |
| drawdown period | March 28, 2011 - April 08, 2011 |
| Annual Return (Compounded) | -6.4% |
| Avg win | $75 |
| Avg loss | $218 |
Ratios
| W:L ratio | 1.25 |
|---|---|
| Sharpe Ratio | -0.13 |
| Sortino Ratio | -0.19 |
| Calmar Ratio | -0.13 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.01 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 517.4% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -71.9% |
Return Statistics
| Ann Return (w trading costs) | -6.4% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | -0.1% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 1.4% |
Slump
| Current Slump as Pcnt Equity | 32.8% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 1.0% |
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 | 6.7% |
| 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 | 51.5% |
|---|
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $218 |
|---|---|
| Avg Win | $75 |
| # Winners | 80 |
| Sum Trade PL (losers) | $4,804 |
| Sum Trade PL (winners) | $6,014 |
| Num Months Winners | 9 |
| # Losers | 22 |
| % Winners | 78.4% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 191 |
|---|
Frequency
| Avg Position Time (mins) | 1984.73 |
|---|---|
| Avg Position Time (hrs) | 33.08 |
| Avg Trade Length | 1.40 |
| Last Trade Ago | 5420 |
Regression
| Alpha | 0 |
|---|---|
| Beta | -0.01 |
| Treynor Index | 0.51 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.02 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.02 |
| MAE:Equity, average, losing trades | 0.06 |
| 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 | -13.00 |
| MAE:PL (avg, all trades) | 0.42 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 45.77 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 35.28 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.86 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.30 |
| Hold-and-Hope Ratio | -0.08 |
RATIO STATISTICS
| Mean | 0.16 |
|---|---|
| SD | 0.22 |
| Sharpe ratio (Glass type estimate) | 0.74 |
| Sharpe ratio (Hedges UMVUE) | 0.70 |
| df | 17 |
| t | 0.90 |
| p | 0.36 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.89 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.35 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.91 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.32 |
| Sortino ratio | 0.96 |
| Upside Potential Ratio | 1.86 |
| Upside part of mean | 0.31 |
| Downside part of mean | -0.15 |
| Upside SD | 0.14 |
| Downside SD | 0.17 |
| N nonnegative terms | 9 |
| N negative terms | 9 |
| N of observations | 18 |
| Mean of predictor | 0.27 |
| Mean of criterion | 0.16 |
| SD of predictor | 0.22 |
| SD of criterion | 0.22 |
| Covariance | -0.01 |
| r | -0.22 |
| b (slope, estimate of beta) | -0.22 |
| a (intercept, estimate of alpha) | 0.22 |
| Mean Square Error | 0.05 |
| DF error | 16 |
| t(b) | -0.90 |
| p(b) | 0.61 |
| t(a) | 1.16 |
| p(a) | 0.36 |
| Lowerbound of 95% confidence interval for beta | -0.74 |
| Upperbound of 95% confidence interval for beta | 0.30 |
| Lowerbound of 95% confidence interval for alpha | -0.18 |
| Upperbound of 95% confidence interval for alpha | 0.62 |
| Treynor index (mean / b) | -0.72 |
| Jensen alpha (a) | 0.22 |
| Mean | 0.13 |
| SD | 0.23 |
| Sharpe ratio (Glass type estimate) | 0.58 |
| Sharpe ratio (Hedges UMVUE) | 0.56 |
| df | 17 |
| t | 0.71 |
| p | 0.39 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.04 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.19 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.05 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.17 |
| Sortino ratio | 0.73 |
| Upside Potential Ratio | 1.61 |
| Upside part of mean | 0.30 |
| Downside part of mean | -0.16 |
| Upside SD | 0.13 |
| Downside SD | 0.19 |
| N nonnegative terms | 9 |
| N negative terms | 9 |
| N of observations | 18 |
| Mean of predictor | 0.25 |
| Mean of criterion | 0.13 |
| SD of predictor | 0.22 |
| SD of criterion | 0.23 |
| Covariance | -0.01 |
| r | -0.21 |
| b (slope, estimate of beta) | -0.22 |
| a (intercept, estimate of alpha) | 0.19 |
| Mean Square Error | 0.05 |
| DF error | 16 |
| t(b) | -0.84 |
| p(b) | 0.60 |
| t(a) | 0.94 |
| p(a) | 0.39 |
| Lowerbound of 95% confidence interval for beta | -0.78 |
| Upperbound of 95% confidence interval for beta | 0.33 |
| Lowerbound of 95% confidence interval for alpha | -0.24 |
| Upperbound of 95% confidence interval for alpha | 0.61 |
| Treynor index (mean / b) | -0.61 |
| Jensen alpha (a) | 0.19 |
| VaR(95%) | 0.09 |
| Expected Shortfall on VaR | 0.12 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.06 |
| Mean | 0.16 |
| SD | 0.25 |
| Sharpe ratio (Glass type estimate) | 0.63 |
| Sharpe ratio (Hedges UMVUE) | 0.63 |
| df | 543 |
| t | 0.79 |
| p | 0.21 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.93 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.19 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.93 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.19 |
| Sortino ratio | 1.00 |
| Upside Potential Ratio | 5.41 |
| Upside part of mean | 0.85 |
| Downside part of mean | -0.69 |
| Upside SD | 0.19 |
| Downside SD | 0.16 |
| N nonnegative terms | 133 |
| N negative terms | 411 |
| N of observations | 544 |
| Mean of predictor | 0.28 |
| Mean of criterion | 0.16 |
| SD of predictor | 0.24 |
| SD of criterion | 0.25 |
| Covariance | -0.00 |
| r | -0.03 |
| b (slope, estimate of beta) | -0.03 |
| a (intercept, estimate of alpha) | -0.00 |
| Mean Square Error | 0.06 |
| DF error | 542 |
| t(b) | -0.71 |
| p(b) | 0.76 |
| t(a) | 0.84 |
| p(a) | 0.20 |
| Lowerbound of 95% confidence interval for beta | -0.12 |
| Upperbound of 95% confidence interval for beta | 0.06 |
| Lowerbound of 95% confidence interval for alpha | -0.23 |
| Upperbound of 95% confidence interval for alpha | 0.56 |
| Treynor index (mean / b) | -4.88 |
| Jensen alpha (a) | 0.17 |
| Mean | 0.13 |
| SD | 0.25 |
| Sharpe ratio (Glass type estimate) | 0.52 |
| Sharpe ratio (Hedges UMVUE) | 0.52 |
| df | 543 |
| t | 0.65 |
| p | 0.26 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.04 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.08 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.04 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.07 |
| Sortino ratio | 0.78 |
| Upside Potential Ratio | 5.13 |
| Upside part of mean | 0.83 |
| Downside part of mean | -0.71 |
| Upside SD | 0.18 |
| Downside SD | 0.16 |
| N nonnegative terms | 133 |
| N negative terms | 411 |
| N of observations | 544 |
| Mean of predictor | 0.26 |
| Mean of criterion | 0.13 |
| SD of predictor | 0.24 |
| SD of criterion | 0.25 |
| Covariance | -0.00 |
| r | -0.03 |
| b (slope, estimate of beta) | -0.03 |
| a (intercept, estimate of alpha) | 0.13 |
| Mean Square Error | 0.06 |
| DF error | 542 |
| t(b) | -0.67 |
| p(b) | 0.75 |
| t(a) | 0.69 |
| p(a) | 0.25 |
| Lowerbound of 95% confidence interval for beta | -0.12 |
| Upperbound of 95% confidence interval for beta | 0.06 |
| Lowerbound of 95% confidence interval for alpha | -0.25 |
| Upperbound of 95% confidence interval for alpha | 0.52 |
| Treynor index (mean / b) | -4.24 |
| Jensen alpha (a) | 0.13 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.03 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
| Mean | -0.01 |
| 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 | -18.55 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | -0.01 |
| Upside SD | 0 |
| Downside SD | 0.00 |
| N nonnegative terms | 0 |
| N negative terms | 172 |
| N of observations | 172 |
| Mean of predictor | 0.61 |
| Mean of criterion | -0.01 |
| SD of predictor | 0.23 |
| 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 | -0.01 |
| SD | 0 |
| Sharpe ratio (Glass type estimate) | -3.15763010599649e+16 |
| Sharpe ratio (Hedges UMVUE) | -3.14375993861079e+16 |
| df | 171 |
| t | -2.23277998051164e+16 |
| p | 1 |
| 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 | -3.47694997228749e+16 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | -2.81057999810724e+16 |
| Sortino ratio | -18.55 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | -0.01 |
| Upside SD | 0 |
| Downside SD | 0.00 |
| N nonnegative terms | 0 |
| N negative terms | 172 |
| N of observations | 172 |
| Mean of predictor | 0.58 |
| Mean of criterion | -0.01 |
| SD of predictor | 0.23 |
| SD of criterion | 0 |
| Covariance | 0 |
| r | 0 |
| b (slope, estimate of beta) | 0 |
| a (intercept, estimate of alpha) | -0.01 |
| Mean Square Error | 0 |
| DF error | 170 |
| t(b) | 0 |
| p(b) | 0.50 |
| t(a) | -2.20543005826744e+16 |
| p(a) | 1 |
| Lowerbound of 95% confidence interval for beta | 0 |
| VAR (95 Confidence Intrvl) | 0.03 |
| Upperbound of 95% confidence interval for beta | 0 |
| Lowerbound of 95% confidence interval for alpha | -0.01 |
| Upperbound of 95% confidence interval for alpha | -0.01 |
| Treynor index (mean / b) | -8.6796299273029e+31 |
| Jensen alpha (a) | -0.01 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.00 |
| VaR(95%) | 0 |
| Expected Shortfall on VaR | 0 |
ORDER STATISTICS
| Number of observations | 18 |
|---|---|
| Minimum | 0.80 |
| Quartile 1 | 1 |
| Median | 1.01 |
| Quartile 3 | 1.05 |
| Maximum | 1.08 |
| Mean of quarter 1 | 0.96 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1.03 |
| Mean of quarter 4 | 1.07 |
| Inter Quartile Range | 0.05 |
| Number outliers low | 1 |
| Percentage of outliers low | 0.06 |
| Mean of outliers low | 0.80 |
| 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) | 2.85 |
| VaR(95%) (regression method) | 0.07 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 544 |
| Minimum | 0.89 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.18 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0 |
| Number outliers low | 91 |
| Percentage of outliers low | 0.17 |
| Mean of outliers low | 0.99 |
| Number of outliers high | 133 |
| Percentage of outliers high | 0.24 |
| Mean of outliers high | 1.01 |
| Extreme Value Index (moments method) | 1.00 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0.38 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.02 |
| Number of observations | 172 |
| 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 | 1 |
|---|---|
| Minimum | 0.21 |
| Quartile 1 | 0.21 |
| Median | 0.21 |
| Quartile 3 | 0.21 |
| Maximum | 0.21 |
| 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 |
| Number of observations | 19 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.01 |
| Quartile 3 | 0.01 |
| Maximum | 0.26 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.00 |
| Mean of quarter 3 | 0.01 |
| Mean of quarter 4 | 0.12 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 3 |
| Percentage of outliers high | 0.16 |
| Mean of outliers high | 0.19 |
| Extreme Value Index (moments method) | 0.60 |
| VaR(95%) (moments method) | 0.07 |
| Expected Shortfall (moments method) | 0.23 |
| Extreme Value Index (regression method) | -1.43 |
| VaR(95%) (regression method) | 0.11 |
| Expected Shortfall (regression method) | 0.12 |
| 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 |
| Max Equity Drawdown (num days) | 11 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.16 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.16 |
| Calmar ratio (compounded annual return / max draw down) | 0.73 |
| Compounded annual return / average of 25% largest draw downs | 0 |
| Compounded annual return / Expected Shortfall lognormal | 1.31 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.15 |
| Compounded annual return (geometric extrapolation) | 0.15 |
| Calmar ratio (compounded annual return / max draw down) | 0.57 |
| Compounded annual return / average of 25% largest draw downs | 1.23 |
| Compounded annual return / Expected Shortfall lognormal | 5.52 |
| 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 199 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| AUD/USD | short | 50 | Oct 27, 2011 | Nov 2, 2011 | $116 |
| AUD/USD | short | 10 | Oct 24, 2011 | Oct 26, 2011 | $31 |
| AUD/USD | short | 10 | Oct 18, 2011 | Oct 18, 2011 | $12 |
| AUD/USD | short | 10 | Oct 14, 2011 | Oct 17, 2011 | $64 |
| EUR/JPY | short | 10 | Oct 12, 2011 | Oct 13, 2011 | $0 |
| NZD/USD | long | 20 | Sep 30, 2011 | Sep 30, 2011 | $79 |
| NZD/USD | long | 20 | Sep 29, 2011 | Sep 29, 2011 | $89 |
| NZD/USD | long | 20 | Sep 26, 2011 | Sep 26, 2011 | $84 |
| NZD/USD | long | 20 | Sep 26, 2011 | Sep 26, 2011 | $97 |
| EUR/AUD | short | 10 | Sep 22, 2011 | Sep 23, 2011 | $16 |
| AUD/USD | long | 20 | Sep 22, 2011 | Sep 22, 2011 | $11 |
| USD/CHF | short | 40 | Sep 21, 2011 | Sep 22, 2011 | ($677) |
| CHF/JPY | long | 20 | Sep 21, 2011 | Sep 21, 2011 | $0 |
| GBP/CHF | short | 20 | Sep 20, 2011 | Sep 20, 2011 | $121 |
| CHF/JPY | long | 20 | Sep 19, 2011 | Sep 19, 2011 | $0 |
| AUD/USD | long | 10 | Sep 14, 2011 | Sep 14, 2011 | $33 |
| EUR/JPY | long | 20 | Sep 12, 2011 | Sep 12, 2011 | $0 |
| EUR/USD | long | 20 | Sep 11, 2011 | Sep 11, 2011 | $77 |
| EUR/USD | long | 20 | Sep 9, 2011 | Sep 9, 2011 | $136 |
| EUR/AUD | long | 10 | Sep 8, 2011 | Sep 9, 2011 | ($47) |
| USD/CHF | short | 20 | Sep 6, 2011 | Sep 6, 2011 | ($424) |
| EUR/CHF | short | 10 | Sep 6, 2011 | Sep 6, 2011 | ($39) |
| GBP/CHF | long | 10 | Sep 2, 2011 | Sep 2, 2011 | ($109) |
| GBP/CHF | long | 10 | Sep 2, 2011 | Sep 2, 2011 | ($93) |
| GBP/CHF | long | 20 | Sep 1, 2011 | Sep 2, 2011 | ($278) |
| USD/CHF | short | 20 | Aug 30, 2011 | Aug 30, 2011 | $76 |
| EUR/CHF | short | 50 | Aug 26, 2011 | Aug 29, 2011 | ($869) |
| GBP/CHF | short | 10 | Aug 17, 2011 | Aug 17, 2011 | $104 |
| USD/CHF | long | 10 | Aug 15, 2011 | Aug 15, 2011 | $81 |
| GBP/CHF | short | 10 | Aug 14, 2011 | Aug 15, 2011 | ($223) |
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.