INVERTERATE - 1 Day Only
- hypothetical · Annual Return (Compounded)
- 1.7%
- Max Drawdown
- 13.8%
- Trades
- 791
- Win Trades
- 55.4%
- Profit Factor
- 1.60
- Win Months
- 52.1%
About this strategy
Positions are single entry and 10% of trading capital. Historically smooth equity curve, low draw downs and low exposure. Maximum drawdown over previous 7 year period is 5%, average drawdown over that same period is about 2.5%. Average overnight exposure around 6% with an average annualized gain of 41%.
Trade signals are generated nightly around 7pm depending on EOD pricing availablity from Fidelity. Can range in number from 0 on low volatility days to 300+ on high volatility days. The most cost effective way to trade this system is to manually trade it using IB TWS BasketTrader. BasketTrader allows you to upload a csv file which I provide daily. The files are partitioned in 10 OCA Groups. Using these groups will effectively limit the number of open positions to a maximum of 10. I also provided addtional csv files produced from larger datasets for those seeking more exposure. If you need more info please contact me.
Fidelity Wealth Lab is used to maintain the strategies, perform backtesting, and generate order lists.
Backtesting Trading Results:
http://jhltrading.onlinewebshop.net/Inverterate1day
Past Performance is No Guarantee of Future Results.
**************Note on Margin and Collective2******************
Inverterate - 1 day does NOT use margin, however, there is one scenario specific to Collective2 where margin might be used briefly. It seems to be a timing issue and it will only occur at the market open of a particularly weak trading day.
Collective2 allows an unlimited number of orders as long as there is at least $1 of buying power available. Collective2 will execute any order that opens below the entry price. After executing these orders it will perform a buying power check. If the buying power is exceeded, Collective2 will reverse orders randomly in a margin call until the buying power is back in line. This scenario might happen once every 2 or 3 months.
The bottom line is the only sure way not to use margin in Collective2 is to trade on a cash account with no margin.
Trade signals are generated nightly around 7pm depending on EOD pricing availablity from Fidelity. Can range in number from 0 on low volatility days to 300+ on high volatility days. The most cost effective way to trade this system is to manually trade it using IB TWS BasketTrader. BasketTrader allows you to upload a csv file which I provide daily. The files are partitioned in 10 OCA Groups. Using these groups will effectively limit the number of open positions to a maximum of 10. I also provided addtional csv files produced from larger datasets for those seeking more exposure. If you need more info please contact me.
Fidelity Wealth Lab is used to maintain the strategies, perform backtesting, and generate order lists.
Backtesting Trading Results:
http://jhltrading.onlinewebshop.net/Inverterate1day
Past Performance is No Guarantee of Future Results.
**************Note on Margin and Collective2******************
Inverterate - 1 day does NOT use margin, however, there is one scenario specific to Collective2 where margin might be used briefly. It seems to be a timing issue and it will only occur at the market open of a particularly weak trading day.
Collective2 allows an unlimited number of orders as long as there is at least $1 of buying power available. Collective2 will execute any order that opens below the entry price. After executing these orders it will perform a buying power check. If the buying power is exceeded, Collective2 will reverse orders randomly in a margin call until the buying power is back in line. This scenario might happen once every 2 or 3 months.
The bottom line is the only sure way not to use margin in Collective2 is to trade on a cash account with no margin.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2011 | 0.6 | 5.0 | 2.4 | 2.1 | 0.0 | 0.1 | 0.4 | -5.9 | 0.1 | 2.9 | 0.6 | 8.2 | |
| 2012 | -0.2 | 1.0 | 1.3 | 0.2 | 1.4 | 2.5 | 0.8 | 2.4 | -0.1 | 1.6 | 2.6 | 2.2 | 16.9 |
| 2013 | -0.1 | 0.3 | 1.5 | -0.5 | 0.1 | -1.6 | 1.8 | -0.2 | -0.0 | -0.2 | -0.3 | 1.0 | 1.9 |
| 2014 | 0.6 | 0.8 | -0.6 | 0.7 | 0.1 | 0.4 | -0.6 | 0.6 | -0.5 | -0.5 | 0.2 | -2.4 | -1.2 |
| 2015 | -1.5 | 1.4 | -0.5 | 0.3 | -0.4 | -0.0 | -0.8 | -1.4 | -0.6 | -0.6 | -0.2 | -0.6 | -4.9 |
| 2016 | -1.3 | 1.6 | 1.7 | 0.4 | -1.0 | -0.4 | 1.9 | 0.8 | -0.4 | 0.5 | -0.8 | 0.4 | 3.4 |
| 2017 | 1.3 | -0.8 | 0.7 | -0.3 | 0.0 | 1.1 | 0.4 | -0.2 | -0.6 | -1.2 | -0.7 | -0.0 | -0.3 |
| 2018 | 0.8 | -2.0 | -0.0 | -0.4 | -0.3 | 0.8 | 1.1 | -0.1 | -0.4 | -2.5 | -0.2 | -0.2 | -3.5 |
| 2019 | 0.7 | -0.6 | -0.1 | -0.3 | 0.1 | -0.4 | 0.0 | -1.4 | 1.1 | -0.1 | -0.5 | 0.4 | -1.1 |
| 2020 | 0.2 | -0.9 | -2.0 | 0.1 | 0.7 | 0.6 | 0.4 | 0.5 | 0.4 | 0.2 | 0.9 | 0.6 | 1.7 |
| 2021 | 0.9 | 1.4 | 0.4 | 0.9 | 0.4 | 0.3 | -0.5 | 0.2 | -0.8 | -1.4 | -0.7 | 1.1 | 2.1 |
| 2022 | -0.8 | -1.3 | 0.2 | -1.2 | 0.2 | -0.9 | 0.3 | 0.0 | -1.1 | 0.8 | 0.9 | -0.5 | -3.3 |
| 2023 | 1.5 | -0.4 | 0.2 | 0.9 | 0.5 | 1.1 | 0.8 | 0.6 | -1.3 | -1.5 | 1.0 | 1.3 | 4.9 |
| 2024 | 0.5 | -0.7 | 1.1 | -0.4 | -0.9 | -1.1 | -0.1 | -0.2 | 0.1 | -0.5 | -0.5 | 0.2 | -2.3 |
| 2025 | 0.4 | 1.0 | -1.4 | -0.4 | 2.3 | -0.2 | 2.0 | 0.9 | -0.1 | 1.4 | -0.1 | 1.4 | 7.4 |
| 2026 | 1.7 | 0.3 | -1.7 | 1.1 | 0.2 | -0.5 | -0.4 | -1.3 | -0.4 | -0.8 |
Statistics
Overview
| Strategy began | 2/1/2011 |
|---|---|
| Suggested Minimum Capital | $50,000 |
| Age | 190 months |
| What it trades | Stocks |
| # Trades | 791 |
| # Profitable | 438 |
| % Profitable | 55.4% |
| Avg trade duration | 7.5 days |
| Max peak-to-valley drawdown | 13.8% |
| drawdown period | Aug 05, 2011 - Aug 19, 2011 |
| Annual Return (Compounded) | 1.7% |
| Avg win | $111 |
| Avg loss | $86 |
Ratios
| W:L ratio | 1.64 |
|---|---|
| Sharpe Ratio | -0.03 |
| Sortino Ratio | -0.03 |
| Calmar Ratio | 0.58 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.34 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 477.5% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -452.3% |
Return Statistics
| Ann Return (w trading costs) | 1.7% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 2.1% |
Slump
| Current Slump as Pcnt Equity | 3.2% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.0% |
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 | 100.0% |
|---|---|
| Chance of 20% account loss | 6.7% |
| Chance of 30% account loss | 0.0% |
| 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) | 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 | $86 |
|---|---|
| Avg Win | $111 |
| # Winners | 438 |
| Sum Trade PL (losers) | $30,432 |
| Sum Trade PL (winners) | $48,774 |
| Num Months Winners | 101 |
| # Losers | 353 |
| % Winners | 55.4% |
Dividends
| Dividends Received in Model Acct | 1164 |
|---|
Age
| Num Months filled monthly returns table | 188 |
|---|
Frequency
| Avg Position Time (mins) | 10812.52 |
|---|---|
| Avg Position Time (hrs) | 180.21 |
| Avg Trade Length | 7.50 |
| Last Trade Ago | 4968 |
Regression
| Alpha | 0 |
|---|---|
| Beta | 0.09 |
| Treynor Index | 0 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0 |
| MAE:Equity, average, losing trades | 0 |
| 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 | 8.09 |
| MAE:PL (avg, all trades) | -0.15 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 71.16 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 70.78 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.67 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.59 |
| Hold-and-Hope Ratio | 0.13 |
RATIO STATISTICS
| Mean | 0.04 |
|---|---|
| SD | 0.08 |
| Sharpe ratio (Glass type estimate) | 0.53 |
| Sharpe ratio (Hedges UMVUE) | 0.53 |
| df | 57 |
| t | 1.17 |
| p | 0.12 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.37 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.43 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.37 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.42 |
| Sortino ratio | 0.83 |
| Upside Potential Ratio | 2.50 |
| Upside part of mean | 0.12 |
| Downside part of mean | -0.08 |
| Upside SD | 0.06 |
| Downside SD | 0.05 |
| N nonnegative terms | 34 |
| N negative terms | 24 |
| N of observations | 58 |
| Mean of predictor | 0.37 |
| Mean of criterion | 0.04 |
| SD of predictor | 0.23 |
| SD of criterion | 0.08 |
| Covariance | 0.01 |
| r | 0.35 |
| b (slope, estimate of beta) | 0.11 |
| a (intercept, estimate of alpha) | -0.00 |
| Mean Square Error | 0.01 |
| DF error | 56 |
| t(b) | 2.80 |
| p(b) | 0.00 |
| t(a) | -0.04 |
| p(a) | 0.52 |
| Lowerbound of 95% confidence interval for beta | 0.03 |
| Upperbound of 95% confidence interval for beta | 0.20 |
| Lowerbound of 95% confidence interval for alpha | -0.07 |
| Upperbound of 95% confidence interval for alpha | 0.07 |
| Treynor index (mean / b) | 0.35 |
| Jensen alpha (a) | -0.00 |
| Mean | 0.04 |
| SD | 0.08 |
| Sharpe ratio (Glass type estimate) | 0.50 |
| Sharpe ratio (Hedges UMVUE) | 0.49 |
| df | 57 |
| t | 1.09 |
| p | 0.14 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.40 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.39 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.41 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.39 |
| Sortino ratio | 0.76 |
| Upside Potential Ratio | 2.42 |
| Upside part of mean | 0.12 |
| Downside part of mean | -0.08 |
| Upside SD | 0.06 |
| Downside SD | 0.05 |
| N nonnegative terms | 34 |
| N negative terms | 24 |
| N of observations | 58 |
| Mean of predictor | 0.33 |
| Mean of criterion | 0.04 |
| SD of predictor | 0.22 |
| SD of criterion | 0.08 |
| Covariance | 0.01 |
| r | 0.36 |
| b (slope, estimate of beta) | 0.12 |
| a (intercept, estimate of alpha) | -0.00 |
| Mean Square Error | 0.01 |
| DF error | 56 |
| t(b) | 2.91 |
| p(b) | 0.00 |
| t(a) | -0.10 |
| p(a) | 0.54 |
| Lowerbound of 95% confidence interval for beta | 0.04 |
| Upperbound of 95% confidence interval for beta | 0.21 |
| Lowerbound of 95% confidence interval for alpha | -0.07 |
| Upperbound of 95% confidence interval for alpha | 0.07 |
| Treynor index (mean / b) | 0.31 |
| Jensen alpha (a) | -0.00 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.04 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.03 |
| Mean | 0.04 |
| SD | 0.10 |
| Sharpe ratio (Glass type estimate) | 0.43 |
| Sharpe ratio (Hedges UMVUE) | 0.43 |
| df | 1266 |
| t | 0.95 |
| p | 0.49 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.46 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.32 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.46 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.32 |
| Sortino ratio | 0.60 |
| Upside Potential Ratio | 5.94 |
| Upside part of mean | 0.41 |
| Downside part of mean | -0.37 |
| Upside SD | 0.07 |
| Downside SD | 0.07 |
| N nonnegative terms | 607 |
| N negative terms | 660 |
| N of observations | 1267 |
| Mean of predictor | 0.37 |
| Mean of criterion | 0.04 |
| SD of predictor | 0.29 |
| SD of criterion | 0.10 |
| Covariance | 0.01 |
| r | 0.20 |
| b (slope, estimate of beta) | 0.07 |
| a (intercept, estimate of alpha) | 0.02 |
| Mean Square Error | 0.01 |
| DF error | 1265 |
| t(b) | 7.20 |
| p(b) | 0.37 |
| t(a) | 0.39 |
| p(a) | 0.49 |
| Lowerbound of 95% confidence interval for beta | 0.05 |
| Upperbound of 95% confidence interval for beta | 0.08 |
| Lowerbound of 95% confidence interval for alpha | -0.07 |
| Upperbound of 95% confidence interval for alpha | 0.10 |
| Treynor index (mean / b) | 0.62 |
| Jensen alpha (a) | 0.02 |
| Mean | 0.04 |
| SD | 0.10 |
| Sharpe ratio (Glass type estimate) | 0.38 |
| Sharpe ratio (Hedges UMVUE) | 0.38 |
| df | 1266 |
| t | 0.84 |
| p | 0.49 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.51 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.27 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.51 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.27 |
| Sortino ratio | 0.52 |
| Upside Potential Ratio | 5.80 |
| Upside part of mean | 0.41 |
| Downside part of mean | -0.37 |
| Upside SD | 0.06 |
| Downside SD | 0.07 |
| N nonnegative terms | 607 |
| N negative terms | 660 |
| N of observations | 1267 |
| Mean of predictor | 0.33 |
| Mean of criterion | 0.04 |
| SD of predictor | 0.29 |
| SD of criterion | 0.10 |
| Covariance | 0.01 |
| r | 0.20 |
| b (slope, estimate of beta) | 0.07 |
| a (intercept, estimate of alpha) | 0.01 |
| Mean Square Error | 0.01 |
| DF error | 1265 |
| t(b) | 7.29 |
| p(b) | 0.37 |
| t(a) | 0.34 |
| p(a) | 0.49 |
| Lowerbound of 95% confidence interval for beta | 0.05 |
| Upperbound of 95% confidence interval for beta | 0.08 |
| Lowerbound of 95% confidence interval for alpha | -0.07 |
| Upperbound of 95% confidence interval for alpha | 0.10 |
| Treynor index (mean / b) | 0.55 |
| Jensen alpha (a) | 0.01 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.01 |
| Mean | 0.15 |
| SD | 0.09 |
| Sharpe ratio (Glass type estimate) | 1.64 |
| Sharpe ratio (Hedges UMVUE) | 1.63 |
| df | 130 |
| t | 1.16 |
| p | 0.45 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.15 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.41 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.15 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.41 |
| Sortino ratio | 2.34 |
| Upside Potential Ratio | 9.41 |
| Upside part of mean | 0.61 |
| Downside part of mean | -0.46 |
| Upside SD | 0.07 |
| Downside SD | 0.07 |
| N nonnegative terms | 72 |
| N negative terms | 59 |
| N of observations | 131 |
| Mean of predictor | 1.47 |
| Mean of criterion | 0.15 |
| SD of predictor | 0.45 |
| SD of criterion | 0.09 |
| Covariance | 0.02 |
| r | 0.50 |
| b (slope, estimate of beta) | 0.10 |
| a (intercept, estimate of alpha) | 0.00 |
| Mean Square Error | 0.01 |
| DF error | 129 |
| t(b) | 6.50 |
| p(b) | 0.20 |
| t(a) | 0.01 |
| p(a) | 0.50 |
| Lowerbound of 95% confidence interval for beta | 0.07 |
| Upperbound of 95% confidence interval for beta | 0.13 |
| Lowerbound of 95% confidence interval for alpha | -0.23 |
| Upperbound of 95% confidence interval for alpha | 0.23 |
| Treynor index (mean / b) | 1.48 |
| Jensen alpha (a) | 0.00 |
| Mean | 0.15 |
| SD | 0.09 |
| Sharpe ratio (Glass type estimate) | 1.59 |
| Sharpe ratio (Hedges UMVUE) | 1.58 |
| df | 130 |
| t | 1.12 |
| p | 0.45 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.20 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.36 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.20 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.35 |
| Sortino ratio | 2.25 |
| Upside Potential Ratio | 9.30 |
| Upside part of mean | 0.61 |
| Downside part of mean | -0.46 |
| Upside SD | 0.07 |
| Downside SD | 0.07 |
| N nonnegative terms | 72 |
| N negative terms | 59 |
| N of observations | 131 |
| Mean of predictor | 1.37 |
| Mean of criterion | 0.15 |
| SD of predictor | 0.45 |
| SD of criterion | 0.09 |
| Covariance | 0.02 |
| r | 0.50 |
| b (slope, estimate of beta) | 0.10 |
| a (intercept, estimate of alpha) | 0.01 |
| Mean Square Error | 0.01 |
| DF error | 129 |
| t(b) | 6.50 |
| p(b) | 0.20 |
| t(a) | 0.05 |
| p(a) | 0.50 |
| Lowerbound of 95% confidence interval for beta | 0.07 |
| VAR (95 Confidence Intrvl) | 0.01 |
| Upperbound of 95% confidence interval for beta | 0.14 |
| Lowerbound of 95% confidence interval for alpha | -0.23 |
| Upperbound of 95% confidence interval for alpha | 0.24 |
| Treynor index (mean / b) | 1.43 |
| Jensen alpha (a) | 0.01 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.01 |
ORDER STATISTICS
| Number of observations | 58 |
|---|---|
| Minimum | 0.95 |
| Quartile 1 | 0.99 |
| Median | 1.01 |
| Quartile 3 | 1.02 |
| Maximum | 1.06 |
| Mean of quarter 1 | 0.98 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.01 |
| Mean of quarter 4 | 1.03 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 2 |
| Percentage of outliers low | 0.03 |
| Mean of outliers low | 0.95 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.02 |
| Mean of outliers high | 1.06 |
| Extreme Value Index (moments method) | -0.28 |
| VaR(95%) (moments method) | 0.02 |
| Expected Shortfall (moments method) | 0.02 |
| Extreme Value Index (regression method) | -0.20 |
| VaR(95%) (regression method) | 0.03 |
| Expected Shortfall (regression method) | 0.04 |
| Number of observations | 1267 |
| Minimum | 0.93 |
| Quartile 1 | 1.00 |
| Median | 1 |
| Quartile 3 | 1.00 |
| Maximum | 1.06 |
| 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 | 0.00 |
| Number outliers low | 86 |
| Percentage of outliers low | 0.07 |
| Mean of outliers low | 0.99 |
| Number of outliers high | 85 |
| Percentage of outliers high | 0.07 |
| Mean of outliers high | 1.01 |
| Extreme Value Index (moments method) | 0.47 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.01 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 131 |
| Minimum | 0.97 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.00 |
| Maximum | 1.01 |
| 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 | 3 |
| Percentage of outliers low | 0.02 |
| Mean of outliers low | 0.98 |
| Number of outliers high | 4 |
| Percentage of outliers high | 0.03 |
| Mean of outliers high | 1.01 |
| Extreme Value Index (moments method) | 0.19 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.01 |
| Extreme Value Index (regression method) | 0.37 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.01 |
DRAW DOWN STATISTICS
| Number of observations | 4 |
|---|---|
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.04 |
| Quartile 3 | 0.08 |
| Maximum | 0.10 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.07 |
| Mean of quarter 4 | 0.10 |
| Inter Quartile Range | 0.07 |
| 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 | 44 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.01 |
| Quartile 3 | 0.02 |
| Maximum | 0.11 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.00 |
| Mean of quarter 3 | 0.01 |
| Mean of quarter 4 | 0.04 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 3 |
| Percentage of outliers high | 0.07 |
| Mean of outliers high | 0.09 |
| Extreme Value Index (moments method) | 0.65 |
| VaR(95%) (moments method) | 0.05 |
| Expected Shortfall (moments method) | 0.14 |
| Extreme Value Index (regression method) | 1.59 |
| VaR(95%) (regression method) | 0.04 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 14 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.01 |
| Quartile 3 | 0.02 |
| Maximum | 0.04 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.01 |
| Mean of quarter 4 | 0.03 |
| Inter Quartile Range | 0.02 |
| 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) | -0.32 |
| VaR(95%) (moments method) | 0.03 |
| Expected Shortfall (moments method) | 0.03 |
| Extreme Value Index (regression method) | 0.54 |
| VaR(95%) (regression method) | 0.03 |
| Expected Shortfall (regression method) | 0.05 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -428611584 |
| Max Equity Drawdown (num days) | 14 |
| Last 4 Months - Pcnt Negative | 1.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.08 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.07 |
| Calmar ratio (compounded annual return / max draw down) | 0.66 |
| Compounded annual return / average of 25% largest draw downs | 0.66 |
| Compounded annual return / Expected Shortfall lognormal | 1.65 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.08 |
| Compounded annual return (geometric extrapolation) | 0.07 |
| Calmar ratio (compounded annual return / max draw down) | 0.58 |
| Compounded annual return / average of 25% largest draw downs | 1.63 |
| Compounded annual return / Expected Shortfall lognormal | 5.57 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.18 |
| Compounded annual return (geometric extrapolation) | 0.19 |
| Calmar ratio (compounded annual return / max draw down) | 5.47 |
| Compounded annual return / average of 25% largest draw downs | 6.53 |
| Compounded annual return / Expected Shortfall lognormal | 17.07 |
Trading record
Placed 1167 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| CHRW | long | 106 | Feb 6, 2013 | Feb 7, 2013 | ($171) |
| SU | long | 205 | Feb 6, 2013 | Feb 7, 2013 | ($4) |
| LBTYA | long | 117 | Feb 6, 2013 | Feb 7, 2013 | $218 |
| MCO | long | 142 | Feb 5, 2013 | Feb 6, 2013 | $7 |
| MCO | long | 127 | Feb 4, 2013 | Feb 5, 2013 | ($317) |
| TEF | long | 492 | Feb 4, 2013 | Feb 5, 2013 | $39 |
| STZ | long | 184 | Jan 31, 2013 | Feb 1, 2013 | ($609) |
| COP | long | 114 | Jan 31, 2013 | Feb 1, 2013 | $13 |
| IVZ | long | 250 | Jan 31, 2013 | Feb 1, 2013 | $105 |
| RIMM | long | 979 | Jan 30, 2013 | Jan 31, 2013 | ($666) |
| BX | long | 391 | Jan 30, 2013 | Jan 31, 2013 | $356 |
| RIMM | long | 433 | Jan 29, 2013 | Jan 30, 2013 | $255 |
| ASH | long | 81 | Jan 29, 2013 | Jan 30, 2013 | $122 |
| SCCO | long | 169 | Jan 28, 2013 | Jan 29, 2013 | ($20) |
| GILD | long | 360 | Jan 28, 2013 | Jan 29, 2013 | ($299) |
| CHU | long | 419 | Jan 24, 2013 | Jan 25, 2013 | ($75) |
| LMCA | long | 58 | Jan 23, 2013 | Jan 24, 2013 | ($31) |
| TTM | long | 235 | Jan 23, 2013 | Jan 24, 2013 | ($153) |
| PGR | long | 313 | Jan 18, 2013 | Jan 22, 2013 | $473 |
| GM | long | 231 | Jan 16, 2013 | Jan 17, 2013 | $129 |
| ARMH | long | 166 | Jan 15, 2013 | Jan 16, 2013 | ($59) |
| SAP | long | 86 | Jan 15, 2013 | Jan 16, 2013 | $5 |
| ILMN | long | 127 | Jan 7, 2013 | Jan 8, 2013 | $122 |
| LPL | long | 474 | Jan 4, 2013 | Jan 7, 2013 | ($28) |
| ABT | long | 108 | Jan 2, 2013 | Jan 3, 2013 | $63 |
| WPI | long | 78 | Dec 31, 2012 | Jan 2, 2013 | $85 |
| KT | long | 396 | Dec 27, 2012 | Dec 28, 2012 | ($8) |
| SKM | long | 426 | Dec 27, 2012 | Dec 28, 2012 | ($30) |
| AMZN | long | 26 | Dec 26, 2012 | Dec 27, 2012 | ($23) |
| KORS | long | 131 | Dec 26, 2012 | Dec 27, 2012 | ($91) |
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.