Butterfly 100 Stocks
- hypothetical · Annual Return (Compounded)
- 13.7%
- Max Drawdown
- 28.5%
- Trades
- 1004
- Win Trades
- 66.6%
- Profit Factor
- 4.40
- Win Months
- 63.1%
About this strategy
Butterfly trades stocks of NASDAQ 100 and S&P 100 indexes. Its a long only system and it generates limit orders once a day to enter a long position.
Butterfly is a fully automated trading system based on statistical / quantitative analysis of stock prices.
Once a long position is taken the system generates a target profit order and a stop-loss order.
Positions are held at least one day and generally no more than one week.
The system is designed to be traded with at least $50,000 equity but the optimal performance can be achieved with $100,000 or more.
This system invests the same amount of money on any stock of nasdaq 100 or S&P 100 which has been selected by the statistical quantitative algorithm; as the equity of the portfolio increases, this amount proportionally increases.
Butterfly takes a low risk on the entire portfolio limiting losses, typically in %5 amounts of the total invested amount for each stock; the revenue estimate is greater than a 25% annual return percentage on the portfolio.
Butterfly is a fully automated trading system based on statistical / quantitative analysis of stock prices.
Once a long position is taken the system generates a target profit order and a stop-loss order.
Positions are held at least one day and generally no more than one week.
The system is designed to be traded with at least $50,000 equity but the optimal performance can be achieved with $100,000 or more.
This system invests the same amount of money on any stock of nasdaq 100 or S&P 100 which has been selected by the statistical quantitative algorithm; as the equity of the portfolio increases, this amount proportionally increases.
Butterfly takes a low risk on the entire portfolio limiting losses, typically in %5 amounts of the total invested amount for each stock; the revenue estimate is greater than a 25% annual return percentage on the portfolio.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2011 | -0.1 | -0.2 | 3.4 | 1.1 | 4.2 | ||||||||
| 2012 | 4.0 | 4.3 | 5.1 | -0.8 | -0.1 | 1.2 | -0.2 | 4.5 | 1.8 | 0.8 | 2.7 | 2.9 | 29.3 |
| 2013 | 2.0 | 1.3 | 1.9 | 1.7 | 0.6 | 1.8 | -1.1 | -1.9 | 1.5 | 1.4 | 4.4 | 3.2 | 18.1 |
| 2014 | -0.4 | 0.2 | 0.0 | 3.2 | 5.9 | 1.5 | 3.3 | 1.9 | -0.2 | 0.4 | 2.4 | 1.4 | 21.1 |
| 2015 | -0.0 | 1.4 | -0.1 | -1.7 | 1.1 | -1.7 | 1.9 | -22.9 | 15.9 | 20.9 | 2.3 | -4.7 | 6.3 |
| 2016 | -8.7 | 7.2 | 13.6 | -1.2 | 1.7 | -5.3 | 10.7 | 4.3 | 0.1 | -1.9 | 3.7 | -2.0 | 21.8 |
| 2017 | 5.7 | 4.0 | -0.5 | 2.6 | -0.7 | 1.3 | 2.0 | -2.4 | 9.9 | 2.1 | 2.7 | 3.2 | 33.5 |
| 2018 | 6.6 | -5.5 | -6.4 | 4.3 | 0.3 | 3.6 | 1.6 | 4.0 | -0.1 | -8.3 | 3.0 | -7.8 | -6.0 |
| 2019 | 5.1 | 1.5 | -0.0 | 7.3 | 0.4 | -2.0 | 1.5 | -2.1 | 2.2 | 1.6 | 2.7 | 2.1 | 21.9 |
| 2020 | -3.6 | -7.9 | -10.7 | 7.0 | 7.5 | -0.8 | 3.7 | 5.6 | -2.2 | 3.8 | 8.2 | 3.1 | 12.2 |
| 2021 | 1.6 | 1.4 | 4.9 | 2.5 | -0.4 | -1.9 | 2.4 | 0.2 | -5.1 | -2.1 | 8.9 | 3.6 | 16.2 |
| 2022 | -6.9 | 2.8 | -0.3 | -3.8 | -3.0 | -6.9 | 6.0 | -3.0 | -4.3 | 6.4 | 4.4 | -5.5 | -14.5 |
| 2023 | 5.5 | -2.0 | -1.1 | 0.2 | -1.3 | 3.1 | 4.1 | -2.0 | -3.0 | -1.5 | 6.5 | 0.0 | 0.0 |
| 2024 | 5.6 | 2.5 | -3.7 | 2.4 | 0.1 | 1.8 | 0.8 | 2.6 | 1.1 | -0.2 | 4.7 | 18.9 | |
| 2025 | 3.3 | 3.1 | -5.2 | -1.3 | 5.0 | 2.2 | -0.0 | 3.1 | 0.8 | -3.6 | 0.0 | 0.0 | 7.3 |
| 2026 | 5.0 | -3.3 | -4.6 | 4.7 | 9.6 | -0.4 | 0.3 | 1.2 |
Statistics
Overview
| Strategy began | 9/22/2011 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 182 months |
| What it trades | Stocks |
| # Trades | 1004 |
| # Profitable | 669 |
| % Profitable | 66.6% |
| Avg trade duration | 49.5 days |
| Max peak-to-valley drawdown | 28.5% |
| drawdown period | Jan 20, 2020 - March 19, 2020 |
| Annual Return (Compounded) | 13.7% |
| Avg win | $1,078 |
| Avg loss | $589 |
Ratios
| W:L ratio | 4.43 |
|---|---|
| Sharpe Ratio | 0.69 |
| Sortino Ratio | 1 |
| Calmar Ratio | 1.49 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.69 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 571.6% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 11.6% |
Return Statistics
| Ann Return (w trading costs) | 13.7% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.1% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 14.0% |
Slump
| Current Slump as Pcnt Equity | 2.0% |
|---|---|
| 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 | 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) | — |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Popularity
| Popularity (Today) | 0 |
|---|---|
| Popularity (Last 6 weeks) | 499 |
| 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 | $589 |
|---|---|
| Avg Win | $1,078 |
| # Winners | 669 |
| Sum Trade PL (losers) | $197,318 |
| Sum Trade PL (winners) | $720,888 |
| Num Months Winners | 115 |
| # Losers | 335 |
| % Winners | 66.6% |
Dividends
| Dividends Received in Model Acct | 75817 |
|---|
Age
| Num Months filled monthly returns table | 180 |
|---|
Frequency
| Avg Position Time (mins) | 182161.19 |
|---|---|
| Avg Position Time (hrs) | 3036.02 |
| Avg Trade Length | 126.50 |
| Last Trade Ago | 2821 |
Regression
| Alpha | 0.01 |
|---|---|
| Beta | 0.67 |
| Treynor Index | 0.05 |
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 | 0.70 |
| MAE:PL (avg, all trades) | -0.15 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 13.82 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 9.48 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.25 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.26 |
| Hold-and-Hope Ratio | 0.64 |
RATIO STATISTICS
| Mean | 0.32 |
|---|---|
| SD | 0.21 |
| Sharpe ratio (Glass type estimate) | 1.55 |
| Sharpe ratio (Hedges UMVUE) | 1.54 |
| df | 67 |
| t | 3.70 |
| p | 0.00 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.68 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.41 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.67 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.40 |
| Sortino ratio | 4.72 |
| Upside Potential Ratio | 5.78 |
| Upside part of mean | 0.40 |
| Downside part of mean | -0.07 |
| Upside SD | 0.22 |
| Downside SD | 0.07 |
| N nonnegative terms | 50 |
| N negative terms | 18 |
| N of observations | 68 |
| Mean of predictor | 0.30 |
| Mean of criterion | 0.32 |
| SD of predictor | 0.22 |
| SD of criterion | 0.21 |
| Covariance | 0.03 |
| r | 0.74 |
| b (slope, estimate of beta) | 0.69 |
| a (intercept, estimate of alpha) | 0.11 |
| Mean Square Error | 0.02 |
| DF error | 66 |
| t(b) | 9.06 |
| p(b) | 0 |
| t(a) | 1.80 |
| p(a) | 0.04 |
| Lowerbound of 95% confidence interval for beta | 0.54 |
| Upperbound of 95% confidence interval for beta | 0.84 |
| Lowerbound of 95% confidence interval for alpha | -0.01 |
| Upperbound of 95% confidence interval for alpha | 0.24 |
| Treynor index (mean / b) | 0.47 |
| Jensen alpha (a) | 0.11 |
| Mean | 0.30 |
| SD | 0.19 |
| Sharpe ratio (Glass type estimate) | 1.54 |
| Sharpe ratio (Hedges UMVUE) | 1.52 |
| df | 67 |
| t | 3.67 |
| p | 0.00 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.67 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.40 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.66 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.39 |
| Sortino ratio | 4.19 |
| Upside Potential Ratio | 5.24 |
| Upside part of mean | 0.37 |
| Downside part of mean | -0.08 |
| Upside SD | 0.20 |
| Downside SD | 0.07 |
| N nonnegative terms | 50 |
| N negative terms | 18 |
| N of observations | 68 |
| Mean of predictor | 0.28 |
| Mean of criterion | 0.30 |
| SD of predictor | 0.21 |
| SD of criterion | 0.19 |
| Covariance | 0.03 |
| r | 0.74 |
| b (slope, estimate of beta) | 0.70 |
| a (intercept, estimate of alpha) | 0.11 |
| Mean Square Error | 0.02 |
| DF error | 66 |
| t(b) | 9.06 |
| p(b) | 0 |
| t(a) | 1.82 |
| p(a) | 0.04 |
| Lowerbound of 95% confidence interval for beta | 0.54 |
| Upperbound of 95% confidence interval for beta | 0.85 |
| Lowerbound of 95% confidence interval for alpha | -0.01 |
| Upperbound of 95% confidence interval for alpha | 0.22 |
| Treynor index (mean / b) | 0.43 |
| Jensen alpha (a) | 0.11 |
| VaR(95%) | 0.07 |
| Expected Shortfall on VaR | 0.09 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| Mean | 0.34 |
| SD | 0.24 |
| Sharpe ratio (Glass type estimate) | 1.44 |
| Sharpe ratio (Hedges UMVUE) | 1.44 |
| df | 1505 |
| t | 3.44 |
| p | 0.44 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.62 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.25 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.62 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.25 |
| Sortino ratio | 2.07 |
| Upside Potential Ratio | 6.87 |
| Upside part of mean | 1.14 |
| Downside part of mean | -0.80 |
| Upside SD | 0.17 |
| Downside SD | 0.17 |
| N nonnegative terms | 845 |
| N negative terms | 661 |
| N of observations | 1506 |
| Mean of predictor | 0.34 |
| Mean of criterion | 0.34 |
| SD of predictor | 0.24 |
| SD of criterion | 0.24 |
| Covariance | 0.04 |
| r | 0.72 |
| b (slope, estimate of beta) | 0.71 |
| a (intercept, estimate of alpha) | 0.10 |
| Mean Square Error | 0.03 |
| DF error | 1504 |
| t(b) | 40.47 |
| p(b) | 0.14 |
| t(a) | 1.52 |
| p(a) | 0.48 |
| Lowerbound of 95% confidence interval for beta | 0.67 |
| Upperbound of 95% confidence interval for beta | 0.74 |
| Lowerbound of 95% confidence interval for alpha | -0.03 |
| Upperbound of 95% confidence interval for alpha | 0.24 |
| Treynor index (mean / b) | 0.49 |
| Jensen alpha (a) | 0.11 |
| Mean | 0.31 |
| SD | 0.24 |
| Sharpe ratio (Glass type estimate) | 1.30 |
| Sharpe ratio (Hedges UMVUE) | 1.30 |
| df | 1505 |
| t | 3.12 |
| p | 0.45 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.48 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.12 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.48 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.12 |
| Sortino ratio | 1.81 |
| Upside Potential Ratio | 6.48 |
| Upside part of mean | 1.13 |
| Downside part of mean | -0.81 |
| Upside SD | 0.17 |
| Downside SD | 0.17 |
| N nonnegative terms | 845 |
| N negative terms | 661 |
| N of observations | 1506 |
| Mean of predictor | 0.31 |
| Mean of criterion | 0.31 |
| SD of predictor | 0.24 |
| SD of criterion | 0.24 |
| Covariance | 0.04 |
| r | 0.72 |
| b (slope, estimate of beta) | 0.72 |
| a (intercept, estimate of alpha) | 0.10 |
| Mean Square Error | 0.03 |
| DF error | 1504 |
| t(b) | 40.68 |
| p(b) | 0.14 |
| t(a) | 1.36 |
| p(a) | 0.48 |
| Lowerbound of 95% confidence interval for beta | 0.68 |
| Upperbound of 95% confidence interval for beta | 0.75 |
| Lowerbound of 95% confidence interval for alpha | -0.04 |
| Upperbound of 95% confidence interval for alpha | 0.23 |
| Treynor index (mean / b) | 0.44 |
| Jensen alpha (a) | 0.10 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.03 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
| Mean | 0.97 |
| SD | 0.43 |
| Sharpe ratio (Glass type estimate) | 2.24 |
| Sharpe ratio (Hedges UMVUE) | 2.23 |
| df | 130 |
| t | 1.58 |
| p | 0.43 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.55 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 5.02 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.56 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 5.01 |
| Sortino ratio | 3.36 |
| Upside Potential Ratio | 10.64 |
| Upside part of mean | 3.06 |
| Downside part of mean | -2.09 |
| Upside SD | 0.32 |
| Downside SD | 0.29 |
| N nonnegative terms | 77 |
| N negative terms | 54 |
| N of observations | 131 |
| Mean of predictor | 1.54 |
| Mean of criterion | 0.97 |
| SD of predictor | 0.50 |
| SD of criterion | 0.43 |
| Covariance | 0.17 |
| r | 0.81 |
| b (slope, estimate of beta) | 0.70 |
| a (intercept, estimate of alpha) | -0.11 |
| Mean Square Error | 0.06 |
| DF error | 129 |
| t(b) | 15.67 |
| p(b) | 0.05 |
| t(a) | -0.29 |
| p(a) | 0.52 |
| Lowerbound of 95% confidence interval for beta | 0.61 |
| Upperbound of 95% confidence interval for beta | 0.78 |
| Lowerbound of 95% confidence interval for alpha | -0.83 |
| Upperbound of 95% confidence interval for alpha | 0.62 |
| Treynor index (mean / b) | 1.39 |
| Jensen alpha (a) | -0.11 |
| Mean | 0.87 |
| SD | 0.43 |
| Sharpe ratio (Glass type estimate) | 2.02 |
| Sharpe ratio (Hedges UMVUE) | 2.01 |
| df | 130 |
| t | 1.43 |
| p | 0.44 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.77 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.80 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.78 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.79 |
| Sortino ratio | 2.95 |
| Upside Potential Ratio | 10.19 |
| Upside part of mean | 3.01 |
| Downside part of mean | -2.14 |
| Upside SD | 0.32 |
| Downside SD | 0.30 |
| N nonnegative terms | 77 |
| N negative terms | 54 |
| N of observations | 131 |
| Mean of predictor | 1.41 |
| Mean of criterion | 0.87 |
| SD of predictor | 0.50 |
| SD of criterion | 0.43 |
| Covariance | 0.18 |
| r | 0.81 |
| b (slope, estimate of beta) | 0.70 |
| a (intercept, estimate of alpha) | -0.11 |
| Mean Square Error | 0.06 |
| DF error | 129 |
| t(b) | 15.87 |
| p(b) | 0.05 |
| t(a) | -0.32 |
| p(a) | 0.52 |
| Lowerbound of 95% confidence interval for beta | 0.61 |
| VAR (95 Confidence Intrvl) | 0.02 |
| Upperbound of 95% confidence interval for beta | 0.79 |
| Lowerbound of 95% confidence interval for alpha | -0.83 |
| Upperbound of 95% confidence interval for alpha | 0.60 |
| Treynor index (mean / b) | 1.25 |
| Jensen alpha (a) | -0.11 |
| VaR(95%) | 0.04 |
| Expected Shortfall on VaR | 0.05 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.03 |
ORDER STATISTICS
| Number of observations | 68 |
|---|---|
| Minimum | 0.90 |
| Quartile 1 | 1.00 |
| Median | 1.02 |
| Quartile 3 | 1.04 |
| Maximum | 1.24 |
| Mean of quarter 1 | 0.98 |
| Mean of quarter 2 | 1.01 |
| Mean of quarter 3 | 1.03 |
| Mean of quarter 4 | 1.10 |
| Inter Quartile Range | 0.04 |
| Number outliers low | 3 |
| Percentage of outliers low | 0.04 |
| Mean of outliers low | 0.91 |
| Number of outliers high | 6 |
| Percentage of outliers high | 0.09 |
| Mean of outliers high | 1.19 |
| Extreme Value Index (moments method) | -0.12 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.00 |
| Extreme Value Index (regression method) | 0.59 |
| VaR(95%) (regression method) | 0.02 |
| Expected Shortfall (regression method) | 0.08 |
| Number of observations | 1506 |
| Minimum | 0.82 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.00 |
| Maximum | 1.14 |
| Mean of quarter 1 | 0.99 |
| 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 | 110 |
| Percentage of outliers low | 0.07 |
| Mean of outliers low | 0.97 |
| Number of outliers high | 155 |
| Percentage of outliers high | 0.10 |
| Mean of outliers high | 1.03 |
| Extreme Value Index (moments method) | 0.81 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.06 |
| Extreme Value Index (regression method) | 0.52 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.02 |
| Number of observations | 131 |
| Minimum | 0.92 |
| Quartile 1 | 0.99 |
| Median | 1.00 |
| Quartile 3 | 1.02 |
| Maximum | 1.08 |
| Mean of quarter 1 | 0.97 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.01 |
| Mean of quarter 4 | 1.04 |
| Inter Quartile Range | 0.03 |
| Number outliers low | 4 |
| Percentage of outliers low | 0.03 |
| Mean of outliers low | 0.93 |
| Number of outliers high | 2 |
| Percentage of outliers high | 0.02 |
| Mean of outliers high | 1.07 |
| Extreme Value Index (moments method) | 0.22 |
| VaR(95%) (moments method) | 0.03 |
| Expected Shortfall (moments method) | 0.04 |
| Extreme Value Index (regression method) | 0.21 |
| VaR(95%) (regression method) | 0.03 |
| Expected Shortfall (regression method) | 0.04 |
DRAW DOWN STATISTICS
| Number of observations | 10 |
|---|---|
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.02 |
| Quartile 3 | 0.04 |
| Maximum | 0.15 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.02 |
| Mean of quarter 4 | 0.10 |
| Inter Quartile Range | 0.03 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 2 |
| Percentage of outliers high | 0.20 |
| Mean of outliers high | 0.13 |
| Extreme Value Index (moments method) | -19.93 |
| VaR(95%) (moments method) | 0.09 |
| Expected Shortfall (moments method) | 0.09 |
| Extreme Value Index (regression method) | -1.58 |
| VaR(95%) (regression method) | 0.18 |
| Expected Shortfall (regression method) | 0.19 |
| Number of observations | 140 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.01 |
| Quartile 3 | 0.02 |
| Maximum | 0.27 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.00 |
| Mean of quarter 3 | 0.01 |
| Mean of quarter 4 | 0.06 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 14 |
| Percentage of outliers high | 0.10 |
| Mean of outliers high | 0.11 |
| Extreme Value Index (moments method) | 0.62 |
| VaR(95%) (moments method) | 0.07 |
| Expected Shortfall (moments method) | 0.18 |
| Extreme Value Index (regression method) | 0.62 |
| VaR(95%) (regression method) | 0.06 |
| Expected Shortfall (regression method) | 0.17 |
| Number of observations | 14 |
| Minimum | 0.01 |
| Quartile 1 | 0.01 |
| Median | 0.02 |
| Quartile 3 | 0.05 |
| Maximum | 0.19 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.02 |
| Mean of quarter 3 | 0.03 |
| Mean of quarter 4 | 0.10 |
| 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 | 0.07 |
| Mean of outliers high | 0.19 |
| Extreme Value Index (moments method) | 0.03 |
| VaR(95%) (moments method) | 0.10 |
| Expected Shortfall (moments method) | 0.14 |
| Extreme Value Index (regression method) | 0.89 |
| VaR(95%) (regression method) | 0.14 |
| Expected Shortfall (regression method) | 1.02 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -400895936 |
| Max Equity Drawdown (num days) | 59 |
| Last 4 Months - Pcnt Negative | 0.2% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.95 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.39 |
| Calmar ratio (compounded annual return / max draw down) | 2.64 |
| Compounded annual return / average of 25% largest draw downs | 4.00 |
| Compounded annual return / Expected Shortfall lognormal | 4.47 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 1.07 |
| Compounded annual return (geometric extrapolation) | 0.41 |
| Calmar ratio (compounded annual return / max draw down) | 1.49 |
| Compounded annual return / average of 25% largest draw downs | 6.53 |
| Compounded annual return / Expected Shortfall lognormal | 14.00 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 1.14 |
| Compounded annual return (geometric extrapolation) | 1.46 |
| Calmar ratio (compounded annual return / max draw down) | 7.53 |
| Compounded annual return / average of 25% largest draw downs | 14.79 |
| Compounded annual return / Expected Shortfall lognormal | 28.97 |
Trading record
Placed 627 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| ESRX | long | 165 | May 12, 2017 | Dec 20, 2018 | ($9,867) |
| INTC | long | 275 | May 10, 2017 | Jun 21, 2017 | ($443) |
| CHRW | long | 141 | May 10, 2017 | May 19, 2017 | ($402) |
| FLEX | long | 624 | Apr 28, 2017 | May 11, 2017 | $282 |
| ALXN | long | 78 | May 8, 2017 | May 10, 2017 | ($401) |
| EBAY | long | 295 | Apr 20, 2017 | May 8, 2017 | $254 |
| FISV | long | 84 | May 3, 2017 | May 4, 2017 | $262 |
| AMZN | long | 11 | Apr 13, 2017 | Apr 26, 2017 | $241 |
| NWSA | long | 783 | Apr 5, 2017 | Apr 20, 2017 | $248 |
| ALXN | long | 85 | Apr 5, 2017 | Apr 19, 2017 | $277 |
| NTAP | long | 238 | Mar 21, 2017 | Apr 12, 2017 | ($404) |
| FLEX | long | 598 | Mar 21, 2017 | Apr 6, 2017 | ($110) |
| BBBY | long | 257 | Apr 5, 2017 | Apr 6, 2017 | $465 |
| COP | long | 227 | Mar 27, 2017 | Mar 28, 2017 | $303 |
| DVN | long | 258 | Mar 27, 2017 | Mar 28, 2017 | $296 |
| INTU | long | 81 | Mar 20, 2017 | Mar 27, 2017 | ($398) |
| COF | long | 115 | Mar 21, 2017 | Mar 27, 2017 | ($395) |
| USB | long | 184 | Mar 21, 2017 | Mar 27, 2017 | ($427) |
| FISV | long | 86 | Mar 22, 2017 | Mar 24, 2017 | $103 |
| NSC | long | 84 | Mar 15, 2017 | Mar 21, 2017 | ($395) |
| GS | long | 40 | Mar 10, 2017 | Mar 21, 2017 | ($397) |
| INTC | long | 272 | Feb 1, 2017 | Mar 14, 2017 | ($397) |
| TEVA | long | 288 | Mar 6, 2017 | Mar 8, 2017 | ($398) |
| GS | long | 40 | Feb 24, 2017 | Mar 1, 2017 | $291 |
| MU | long | 426 | Feb 24, 2017 | Feb 27, 2017 | $323 |
| MU | long | 418 | Feb 14, 2017 | Feb 22, 2017 | $289 |
| CMCSA | long | 133 | Feb 6, 2017 | Feb 15, 2017 | $258 |
| UPS | long | 92 | Feb 1, 2017 | Feb 14, 2017 | $249 |
| USB | long | 188 | Feb 8, 2017 | Feb 13, 2017 | $272 |
| GS | long | 43 | Jan 31, 2017 | Feb 3, 2017 | $320 |
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.