Volon Value
- hypothetical · Annual Return (Compounded)
- 28.0%
- Max Drawdown
- 21.8%
- Trades
- 20
- Win Trades
- 70.0%
- Profit Factor
- 108.90
- Win Months
- 54.9%
About this strategy
Volon Value combines Fibonacci and Trend analysis in an unconventional way which allows it to actually analyse securities instead of just using the average, often meaningless Technical Analysis. Volon uses a stronger, slow time frame to find the Real Trend and then enters when there is a discount presented by the weaker, fast time frame. Once the dip is over (which can be predicted through analysis) the strategy holds on to the position to ride the continuation of the trend. These trends (which have the same lifespan as the trades) can be expected to last for about a week. This strategy of buying into a profit for less than it's worth is the technical analysis equivalent of what Warren Buffet does for fundamental analysis.
Because the strategy often buys low, its stop loss is tight and profit targets are high. This is how high risk to reward ratios can be achieved. A high risk to reward ratio is underrated, even though it is very valuable in a volatile and unpredictable market. It can't be seen in statistics or in the P/L-until it's too late. This is because it takes a max-loss scenario to see what was being risked in the trade. Many systems that can earn 10% a month consistently have such a high risk in each trade that when the inevitable drawdown comes, there are huge losses. With Volon, even in periods of drawdowns the losses are kept short. This makes it very tradeable as you wont have to worry about the trades.
When the market is choppy or down, Volon will usually have no trades at all or profitable trades in independent securities (don't correlate strongly to the market e.g. Gold). The system is designed to do this because it is almost impossible to pick a stock that will defy the short-term trend of the market. Some strategies are designed to always be in the market to increase potential reward but that is just too risky. The idea of the strategy is not to impress you with the P/L graph by having it go straight up or to have large, unsustainable returns; it's to consistently predict security prices to earn a profitable monthly return. You will see that the combination of a good risk/reward and consistent wins will make it unlikely to lose over a month to month basis.
For more information please feel free to send me a message!
Because the strategy often buys low, its stop loss is tight and profit targets are high. This is how high risk to reward ratios can be achieved. A high risk to reward ratio is underrated, even though it is very valuable in a volatile and unpredictable market. It can't be seen in statistics or in the P/L-until it's too late. This is because it takes a max-loss scenario to see what was being risked in the trade. Many systems that can earn 10% a month consistently have such a high risk in each trade that when the inevitable drawdown comes, there are huge losses. With Volon, even in periods of drawdowns the losses are kept short. This makes it very tradeable as you wont have to worry about the trades.
When the market is choppy or down, Volon will usually have no trades at all or profitable trades in independent securities (don't correlate strongly to the market e.g. Gold). The system is designed to do this because it is almost impossible to pick a stock that will defy the short-term trend of the market. Some strategies are designed to always be in the market to increase potential reward but that is just too risky. The idea of the strategy is not to impress you with the P/L graph by having it go straight up or to have large, unsustainable returns; it's to consistently predict security prices to earn a profitable monthly return. You will see that the combination of a good risk/reward and consistent wins will make it unlikely to lose over a month to month basis.
For more information please feel free to send me a message!
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2011 | 2.0 | -0.0 | 2.1 | 1.8 | -1.4 | -0.8 | -1.4 | 2.2 | |||||
| 2012 | 15.7 | 9.5 | 1.8 | -7.8 | -8.7 | -1.5 | -2.2 | 5.1 | 2.0 | 4.7 | -3.2 | 8.9 | 23.8 |
| 2013 | -1.5 | -3.1 | 6.1 | 7.9 | 8.5 | -0.2 | 5.9 | -5.4 | 6.7 | 1.2 | 5.2 | 7.4 | 44.7 |
| 2014 | -5.4 | 2.8 | -0.5 | -0.4 | 4.7 | 6.6 | -1.5 | 4.7 | -2.4 | 0.0 | 8.0 | 1.4 | 18.5 |
| 2015 | -7.7 | 7.4 | -1.3 | 0.2 | 1.2 | -5.0 | -1.6 | -4.7 | 0.3 | 14.3 | 0.8 | -2.8 | -0.7 |
| 2016 | -10.7 | 3.5 | 2.1 | 1.7 | 1.7 | -2.2 | 6.7 | 2.7 | 1.8 | -3.1 | 9.6 | 3.5 | 17.0 |
| 2017 | 1.4 | 2.4 | -3.2 | 1.5 | 1.6 | 0.0 | 2.3 | 0.4 | 6.4 | 6.2 | -0.6 | -0.0 | 19.4 |
| 2018 | 8.6 | -4.6 | -0.5 | -3.2 | 7.1 | -6.7 | -0.3 | -2.1 | -0.8 | -6.2 | 5.1 | -7.8 | -12.4 |
| 2019 | 9.1 | 4.0 | -1.9 | 3.6 | -1.5 | -0.8 | 0.0 | -3.4 | 5.7 | 0.3 | 1.1 | 1.8 | 18.8 |
| 2020 | 0.5 | -1.5 | -20.9 | 1.6 | 10.5 | -1.8 | -6.8 | 5.5 | -3.4 | -1.4 | 17.2 | -1.6 | -6.9 |
| 2021 | 10.0 | 7.0 | 8.8 | -1.7 | 1.3 | -0.4 | -2.7 | -2.7 | 2.3 | 0.7 | 1.1 | 4.8 | 31.2 |
| 2022 | -6.9 | 1.6 | 0.5 | -4.0 | -3.6 | -8.6 | 4.9 | -1.5 | -5.9 | 11.2 | 2.3 | -7.1 | -17.4 |
| 2023 | -0.2 | 0.1 | 1.4 | -2.9 | -4.0 | 8.6 | 1.5 | -3.5 | 1.8 | -2.4 | 9.9 | 7.4 | 17.7 |
| 2024 | -2.4 | 4.9 | 3.0 | -2.0 | 1.0 | -0.5 | 1.3 | -2.8 | -0.2 | 3.8 | -0.5 | -4.9 | 0.4 |
| 2025 | -4.9 | 1.3 | 4.7 | -3.9 | 2.2 | 0.8 | 3.8 | 9.6 | 7.6 | 7.1 | -1.5 | 6.9 | 37.8 |
| 2026 | 8.2 | -3.5 | -2.3 | 17.2 | 9.1 | 2.2 | -5.0 | -1.2 | 1.6 | 27.1 |
Statistics
Overview
| Strategy began | 6/24/2011 |
|---|---|
| Suggested Minimum Capital | $4,499 |
| Age | 185 months |
| What it trades | Stocks |
| # Trades | 20 |
| # Profitable | 14 |
| % Profitable | 70.0% |
| Avg trade duration | 1091.6 days |
| Max peak-to-valley drawdown | 21.8% |
| drawdown period | April 02, 2012 - July 25, 2012 |
| Annual Return (Compounded) | 28.0% |
| Avg win | $1,546 |
| Avg loss | $39 |
Ratios
| W:L ratio | 108.91 |
|---|---|
| Sharpe Ratio | 0.55 |
| Sortino Ratio | 0.82 |
| Calmar Ratio | 1.82 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.61 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 499.9% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 57.8% |
Return Statistics
| Ann Return (w trading costs) | 28.0% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.3% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 13.2% |
Slump
| Current Slump as Pcnt Equity | 5.0% |
|---|---|
| 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 | 100.0% |
| 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) | 498 |
Trading Style
| Any stock shorts? 0/1 | 1 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $39 |
|---|---|
| Avg Win | $1,546 |
| # Winners | 14 |
| Sum Trade PL (losers) | $236 |
| Sum Trade PL (winners) | $21,643 |
| Num Months Winners | 101 |
| # Losers | 6 |
| % Winners | 70.0% |
Dividends
| Dividends Received in Model Acct | 4059 |
|---|
Age
| Num Months filled monthly returns table | 184 |
|---|
Frequency
| Avg Position Time (mins) | 1571941 |
|---|---|
| Avg Position Time (hrs) | 26199.02 |
| Avg Trade Length | 1091.60 |
| Last Trade Ago | 5367 |
Regression
| Alpha | 0.01 |
|---|---|
| Beta | 0.72 |
| Treynor Index | 0.05 |
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 | 0.11 |
| MAE:PL (avg, all trades) | -0.09 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 8.08 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 7.91 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.10 |
| Avg(MAE) / Avg(PL) - Losing trades | -1 |
| Hold-and-Hope Ratio | 32.51 |
RATIO STATISTICS
| Mean | 0.34 |
|---|---|
| SD | 0.20 |
| Sharpe ratio (Glass type estimate) | 1.71 |
| Sharpe ratio (Hedges UMVUE) | 1.66 |
| df | 26 |
| t | 2.57 |
| p | 0.01 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.31 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.09 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.28 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.05 |
| Sortino ratio | 5.48 |
| Upside Potential Ratio | 6.92 |
| Upside part of mean | 0.43 |
| Downside part of mean | -0.09 |
| Upside SD | 0.21 |
| Downside SD | 0.06 |
| N nonnegative terms | 17 |
| N negative terms | 10 |
| N of observations | 27 |
| Mean of predictor | 0.20 |
| Mean of criterion | 0.34 |
| SD of predictor | 0.13 |
| SD of criterion | 0.20 |
| Covariance | 0.01 |
| r | 0.49 |
| b (slope, estimate of beta) | 0.74 |
| a (intercept, estimate of alpha) | 0.20 |
| Mean Square Error | 0.03 |
| DF error | 25 |
| t(b) | 2.83 |
| p(b) | 0.00 |
| t(a) | 1.52 |
| p(a) | 0.07 |
| Lowerbound of 95% confidence interval for beta | 0.20 |
| Upperbound of 95% confidence interval for beta | 1.29 |
| Lowerbound of 95% confidence interval for alpha | -0.07 |
| Upperbound of 95% confidence interval for alpha | 0.46 |
| Treynor index (mean / b) | 0.46 |
| Jensen alpha (a) | 0.20 |
| Mean | 0.32 |
| SD | 0.19 |
| Sharpe ratio (Glass type estimate) | 1.69 |
| Sharpe ratio (Hedges UMVUE) | 1.64 |
| df | 26 |
| t | 2.54 |
| p | 0.01 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.29 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.06 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.26 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.02 |
| Sortino ratio | 4.99 |
| Upside Potential Ratio | 6.42 |
| Upside part of mean | 0.41 |
| Downside part of mean | -0.09 |
| Upside SD | 0.20 |
| Downside SD | 0.06 |
| N nonnegative terms | 17 |
| N negative terms | 10 |
| N of observations | 27 |
| Mean of predictor | 0.19 |
| Mean of criterion | 0.32 |
| SD of predictor | 0.13 |
| SD of criterion | 0.19 |
| Covariance | 0.01 |
| r | 0.48 |
| b (slope, estimate of beta) | 0.69 |
| a (intercept, estimate of alpha) | 0.19 |
| Mean Square Error | 0.03 |
| DF error | 25 |
| t(b) | 2.76 |
| p(b) | 0.01 |
| t(a) | 1.57 |
| p(a) | 0.06 |
| Lowerbound of 95% confidence interval for beta | 0.18 |
| Upperbound of 95% confidence interval for beta | 1.21 |
| Lowerbound of 95% confidence interval for alpha | -0.06 |
| Upperbound of 95% confidence interval for alpha | 0.44 |
| Treynor index (mean / b) | 0.46 |
| Jensen alpha (a) | 0.19 |
| VaR(95%) | 0.06 |
| Expected Shortfall on VaR | 0.08 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.03 |
| Mean | 0.35 |
| SD | 0.19 |
| Sharpe ratio (Glass type estimate) | 1.85 |
| Sharpe ratio (Hedges UMVUE) | 1.85 |
| df | 783 |
| t | 2.79 |
| p | 0.00 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.55 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.15 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.55 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.15 |
| Sortino ratio | 2.97 |
| Upside Potential Ratio | 10.54 |
| Upside part of mean | 1.24 |
| Downside part of mean | -0.89 |
| Upside SD | 0.15 |
| Downside SD | 0.12 |
| N nonnegative terms | 321 |
| N negative terms | 463 |
| N of observations | 784 |
| Mean of predictor | 0.20 |
| Mean of criterion | 0.35 |
| SD of predictor | 0.18 |
| SD of criterion | 0.19 |
| Covariance | 0.01 |
| r | 0.41 |
| b (slope, estimate of beta) | 0.41 |
| a (intercept, estimate of alpha) | 0.15 |
| Mean Square Error | 0.03 |
| DF error | 782 |
| t(b) | 12.41 |
| p(b) | 0 |
| t(a) | 2.32 |
| p(a) | 0.01 |
| Lowerbound of 95% confidence interval for beta | 0.35 |
| Upperbound of 95% confidence interval for beta | 0.48 |
| Lowerbound of 95% confidence interval for alpha | 0.04 |
| Upperbound of 95% confidence interval for alpha | 0.49 |
| Treynor index (mean / b) | 0.84 |
| Jensen alpha (a) | 0.27 |
| Mean | 0.33 |
| SD | 0.19 |
| Sharpe ratio (Glass type estimate) | 1.76 |
| Sharpe ratio (Hedges UMVUE) | 1.76 |
| df | 783 |
| t | 2.66 |
| p | 0.00 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.46 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.06 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.46 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.06 |
| Sortino ratio | 2.78 |
| Upside Potential Ratio | 10.32 |
| Upside part of mean | 1.23 |
| Downside part of mean | -0.90 |
| Upside SD | 0.15 |
| Downside SD | 0.12 |
| N nonnegative terms | 321 |
| N negative terms | 463 |
| N of observations | 784 |
| Mean of predictor | 0.18 |
| Mean of criterion | 0.33 |
| SD of predictor | 0.18 |
| SD of criterion | 0.19 |
| Covariance | 0.01 |
| r | 0.40 |
| b (slope, estimate of beta) | 0.41 |
| a (intercept, estimate of alpha) | 0.25 |
| Mean Square Error | 0.03 |
| DF error | 782 |
| t(b) | 12.37 |
| p(b) | 0 |
| t(a) | 2.23 |
| p(a) | 0.01 |
| Lowerbound of 95% confidence interval for beta | 0.35 |
| Upperbound of 95% confidence interval for beta | 0.48 |
| Lowerbound of 95% confidence interval for alpha | 0.03 |
| Upperbound of 95% confidence interval for alpha | 0.48 |
| Treynor index (mean / b) | 0.80 |
| Jensen alpha (a) | 0.25 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.02 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
| Mean | 0.48 |
| SD | 0.20 |
| Sharpe ratio (Glass type estimate) | 2.35 |
| Sharpe ratio (Hedges UMVUE) | 2.34 |
| df | 171 |
| t | 1.66 |
| p | 0.42 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.44 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 5.13 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.44 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 5.12 |
| Sortino ratio | 3.45 |
| Upside Potential Ratio | 10.43 |
| Upside part of mean | 1.45 |
| Downside part of mean | -0.97 |
| Upside SD | 0.15 |
| Downside SD | 0.14 |
| N nonnegative terms | 91 |
| N negative terms | 81 |
| N of observations | 172 |
| Mean of predictor | 0.32 |
| Mean of criterion | 0.48 |
| SD of predictor | 0.14 |
| SD of criterion | 0.20 |
| Covariance | 0.02 |
| r | 0.63 |
| b (slope, estimate of beta) | 0.96 |
| a (intercept, estimate of alpha) | 0.17 |
| Mean Square Error | 0.02 |
| DF error | 170 |
| t(b) | 10.71 |
| p(b) | 0.18 |
| t(a) | 0.76 |
| p(a) | 0.47 |
| Lowerbound of 95% confidence interval for beta | 0.78 |
| Upperbound of 95% confidence interval for beta | 1.13 |
| Lowerbound of 95% confidence interval for alpha | -0.27 |
| Upperbound of 95% confidence interval for alpha | 0.62 |
| Treynor index (mean / b) | 0.50 |
| Jensen alpha (a) | 0.17 |
| Mean | 0.46 |
| SD | 0.20 |
| Sharpe ratio (Glass type estimate) | 2.24 |
| Sharpe ratio (Hedges UMVUE) | 2.23 |
| df | 171 |
| t | 1.58 |
| p | 0.42 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.54 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 5.02 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.55 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 5.01 |
| Sortino ratio | 3.24 |
| Upside Potential Ratio | 10.18 |
| Upside part of mean | 1.43 |
| Downside part of mean | -0.98 |
| Upside SD | 0.15 |
| Downside SD | 0.14 |
| N nonnegative terms | 91 |
| N negative terms | 81 |
| N of observations | 172 |
| Mean of predictor | 0.31 |
| Mean of criterion | 0.46 |
| SD of predictor | 0.13 |
| SD of criterion | 0.20 |
| Covariance | 0.02 |
| r | 0.64 |
| b (slope, estimate of beta) | 0.97 |
| a (intercept, estimate of alpha) | 0.16 |
| Mean Square Error | 0.02 |
| DF error | 170 |
| t(b) | 10.76 |
| p(b) | 0.18 |
| t(a) | 0.70 |
| p(a) | 0.47 |
| Lowerbound of 95% confidence interval for beta | 0.79 |
| VAR (95 Confidence Intrvl) | 0.03 |
| Upperbound of 95% confidence interval for beta | 1.14 |
| Lowerbound of 95% confidence interval for alpha | -0.29 |
| Upperbound of 95% confidence interval for alpha | 0.60 |
| Treynor index (mean / b) | 0.47 |
| Jensen alpha (a) | 0.16 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.02 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
ORDER STATISTICS
| Number of observations | 27 |
|---|---|
| Minimum | 0.94 |
| Quartile 1 | 1.00 |
| Median | 1.02 |
| Quartile 3 | 1.06 |
| Maximum | 1.21 |
| Mean of quarter 1 | 0.97 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.04 |
| Mean of quarter 4 | 1.10 |
| Inter Quartile Range | 0.07 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.04 |
| Mean of outliers high | 1.21 |
| Extreme Value Index (moments method) | 0.35 |
| VaR(95%) (moments method) | 0.02 |
| Expected Shortfall (moments method) | 0.04 |
| Extreme Value Index (regression method) | -0.84 |
| VaR(95%) (regression method) | 0.03 |
| Expected Shortfall (regression method) | 0.04 |
| Number of observations | 784 |
| Minimum | 0.95 |
| 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 | 0.01 |
| Number outliers low | 56 |
| Percentage of outliers low | 0.07 |
| Mean of outliers low | 0.98 |
| Number of outliers high | 67 |
| Percentage of outliers high | 0.09 |
| Mean of outliers high | 1.02 |
| Extreme Value Index (moments method) | 0.18 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.01 |
| Extreme Value Index (regression method) | 0.06 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.01 |
| Number of observations | 172 |
| Minimum | 0.95 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.04 |
| 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 | 10 |
| Percentage of outliers low | 0.06 |
| Mean of outliers low | 0.97 |
| Number of outliers high | 12 |
| Percentage of outliers high | 0.07 |
| Mean of outliers high | 1.02 |
| Extreme Value Index (moments method) | 0.60 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.03 |
| Extreme Value Index (regression method) | 0.31 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.02 |
DRAW DOWN STATISTICS
| Number of observations | 4 |
|---|---|
| Minimum | 0.01 |
| Quartile 1 | 0.01 |
| Median | 0.04 |
| Quartile 3 | 0.07 |
| Maximum | 0.10 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.06 |
| Mean of quarter 4 | 0.10 |
| Inter Quartile Range | 0.06 |
| 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 | 35 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.02 |
| Quartile 3 | 0.04 |
| Maximum | 0.20 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.02 |
| Mean of quarter 4 | 0.08 |
| 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 | 0.03 |
| Mean of outliers high | 0.20 |
| Extreme Value Index (moments method) | 0.45 |
| VaR(95%) (moments method) | 0.09 |
| Expected Shortfall (moments method) | 0.16 |
| Extreme Value Index (regression method) | 1.05 |
| VaR(95%) (regression method) | 0.08 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 13 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.01 |
| Quartile 3 | 0.04 |
| Maximum | 0.08 |
| 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 | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | -2.13 |
| VaR(95%) (moments method) | 0.07 |
| Expected Shortfall (moments method) | 0.07 |
| Extreme Value Index (regression method) | -0.83 |
| VaR(95%) (regression method) | 0.09 |
| Expected Shortfall (regression method) | 0.09 |
| Max Equity Drawdown (num days) | 114 |
| Last 4 Months - Pcnt Negative | 0.5% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.49 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.39 |
| Calmar ratio (compounded annual return / max draw down) | 3.77 |
| Compounded annual return / average of 25% largest draw downs | 3.77 |
| Compounded annual return / Expected Shortfall lognormal | 4.76 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.51 |
| Compounded annual return (geometric extrapolation) | 0.41 |
| Calmar ratio (compounded annual return / max draw down) | 2.02 |
| Compounded annual return / average of 25% largest draw downs | 5.39 |
| Compounded annual return / Expected Shortfall lognormal | 20.56 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.53 |
| Compounded annual return (geometric extrapolation) | 0.60 |
| Calmar ratio (compounded annual return / max draw down) | 7.16 |
| Compounded annual return / average of 25% largest draw downs | 9.03 |
| Compounded annual return / Expected Shortfall lognormal | 28.18 |
Trading record
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| AAPL | long | 14 | Dec 27, 2011 | Sep 14, 2012 | $558 |
| T | long | 20 | Dec 27, 2011 | Jan 3, 2012 | $11 |
| SPY | long | 20 | Sep 30, 2011 | Oct 3, 2011 | ($56) |
| GLD | short | 25 | Sep 2, 2011 | Sep 19, 2011 | $154 |
| GLD | short | 20 | Aug 22, 2011 | Aug 24, 2011 | $127 |
| SPY | long | 20 | Aug 19, 2011 | Aug 24, 2011 | $71 |
| SPY | long | 15 | Aug 10, 2011 | Aug 12, 2011 | $53 |
| GLD | long | 10 | Aug 4, 2011 | Aug 8, 2011 | $39 |
| SPY | long | 10 | Aug 4, 2011 | Aug 4, 2011 | ($25) |
| BK | long | 69.468002319 | Aug 1, 2011 | Aug 2, 2011 | ($71) |
| TEVA | long | 37.048999786 | Aug 1, 2011 | Aug 1, 2011 | ($42) |
| SPY | long | 8.998000145 | Jul 18, 2011 | Jul 29, 2011 | ($28) |
| ECL | long | 17.99600029 | Jul 18, 2011 | Jul 20, 2011 | ($16) |
| GLD | long | 6.749000072 | Jun 28, 2011 | Jul 8, 2011 | $28 |
| INTC | long | 89.980003357 | Jun 28, 2011 | Jul 5, 2011 | $108 |
| STAN | long | 67.48500061 | Jun 28, 2011 | Jun 29, 2011 | $37 |
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.