Uncl Al - Market Neutral
- hypothetical · Annual Return (Compounded)
- 0.2%
- Max Drawdown
- 15.8%
- Trades
- 45
- Win Trades
- 57.8%
- Profit Factor
- 1.20
- Win Months
- 1.9%
About this strategy
Uncl' Al's Market Neutral model has been running in various guises for over 3 years now. Over those 3 years around 100 thousand lines of code have been written to bring it from proof-of-concept to it's current state. A live InteractiveBrokers account has been running the model from it's POC days with several hundred thousand dollars of real money.
Uncl' Al's Market Neutral model attempts to do something that is generally considered unachievable over the long term, create alpha. At all times the model is perfectly market neutral (more accurately beta neutral). It will perform equally well (or badly) whether the market is going up or the market is going down).
The Model uses a large number of Factors that have been optimized over up to 24 years of point-in-time data to filter and rank stocks. These include:
Fundamentals such as Growth, Valuation, Cash Flows, EVA, Quality Indicators and Red Flags.
Common Technical Indicators
Sentiment Indicators such as Analyst, Insider, Institutional and Options activity
Text Analysis of Message Board activity and News Headlines that looks for words and phrases that have historically led to statistically significant under or out performances of stocks over the ensuing months.
A Dynamic Factor that adjusts itself based on whichever factors are working in a particular market environment.
Proprietary Indicators such as a greatly improved
Discounted Cash Flow calculation that uses historical data to estimate a range of values for each input rather than using a single naive estimate, as well as many other improvements.
And finally, Alpha Harvesting, which is the most important part of the system. Alpha Harvesting uses web-crawlers to download the positions of the tens of thousands of institutional and non-institutional investors that publically post their positions on the internet. With that information it uses a proprietary algorithm to rank every single investor and then uses the picks of the best investors to rank stocks.
Uncl' Al's Market Neutral model attempts to do something that is generally considered unachievable over the long term, create alpha. At all times the model is perfectly market neutral (more accurately beta neutral). It will perform equally well (or badly) whether the market is going up or the market is going down).
The Model uses a large number of Factors that have been optimized over up to 24 years of point-in-time data to filter and rank stocks. These include:
Fundamentals such as Growth, Valuation, Cash Flows, EVA, Quality Indicators and Red Flags.
Common Technical Indicators
Sentiment Indicators such as Analyst, Insider, Institutional and Options activity
Text Analysis of Message Board activity and News Headlines that looks for words and phrases that have historically led to statistically significant under or out performances of stocks over the ensuing months.
A Dynamic Factor that adjusts itself based on whichever factors are working in a particular market environment.
Proprietary Indicators such as a greatly improved
Discounted Cash Flow calculation that uses historical data to estimate a range of values for each input rather than using a single naive estimate, as well as many other improvements.
And finally, Alpha Harvesting, which is the most important part of the system. Alpha Harvesting uses web-crawlers to download the positions of the tens of thousands of institutional and non-institutional investors that publically post their positions on the internet. With that information it uses a proprietary algorithm to rank every single investor and then uses the picks of the best investors to rank stocks.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2013 | -1.2 | 7.1 | 13.6 | -4.1 | 15.3 | ||||||||
| 2014 | -7.9 | -3.3 | 0.2 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -10.8 |
| 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 | 9/9/2013 |
|---|---|
| Suggested Minimum Capital | $50,000 |
| Age | 158 months |
| What it trades | Stocks |
| # Trades | 45 |
| # Profitable | 26 |
| % Profitable | 57.8% |
| Avg trade duration | 70.1 days |
| Max peak-to-valley drawdown | 15.8% |
| drawdown period | Dec 12, 2013 - Feb 27, 2014 |
| Annual Return (Compounded) | 0.2% |
| Avg win | $479 |
| Avg loss | $568 |
Ratios
| W:L ratio | 1.18 |
|---|---|
| Sharpe Ratio | -0.44 |
| Sortino Ratio | -0.70 |
| Calmar Ratio | 0.09 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.00 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 353.8% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -355.2% |
Return Statistics
| Ann Return (w trading costs) | 0.2% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 0.3% |
Slump
| Current Slump as Pcnt Equity | 17.3% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 1.0% |
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 | 0.0% |
| 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% |
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 | 1 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $568 |
|---|---|
| Avg Win | $479 |
| # Winners | 26 |
| Sum Trade PL (losers) | $10,801 |
| Sum Trade PL (winners) | $12,464 |
| Num Months Winners | 3 |
| # Losers | 19 |
| % Winners | 57.8% |
Dividends
| Dividends Received in Model Acct | 277 |
|---|
Age
| Num Months filled monthly returns table | 157 |
|---|
Frequency
| Avg Position Time (mins) | 100998.43 |
|---|---|
| Avg Position Time (hrs) | 1683.31 |
| Avg Trade Length | 70.10 |
| Last Trade Ago | 4582 |
Regression
| Alpha | 0 |
|---|---|
| Beta | 0 |
| Treynor Index | -5.75 |
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 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 11.73 |
| MAE:PL (avg, all trades) | -1.45 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 85.44 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 53.68 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.43 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.31 |
| Hold-and-Hope Ratio | 0.09 |
RATIO STATISTICS
| Mean | -0.01 |
|---|---|
| SD | 0.09 |
| Sharpe ratio (Glass type estimate) | -0.13 |
| Sharpe ratio (Hedges UMVUE) | -0.12 |
| df | 33 |
| t | -0.21 |
| p | 0.58 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.29 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.04 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.29 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.04 |
| Sortino ratio | -0.20 |
| Upside Potential Ratio | 1.11 |
| Upside part of mean | 0.06 |
| Downside part of mean | -0.07 |
| Upside SD | 0.07 |
| Downside SD | 0.06 |
| N nonnegative terms | 3 |
| N negative terms | 31 |
| N of observations | 34 |
| Mean of predictor | 0.53 |
| Mean of criterion | -0.01 |
| SD of predictor | 0.32 |
| SD of criterion | 0.09 |
| Covariance | 0.00 |
| r | 0.07 |
| b (slope, estimate of beta) | 0.02 |
| a (intercept, estimate of alpha) | -0.02 |
| Mean Square Error | 0.01 |
| DF error | 32 |
| t(b) | 0.39 |
| p(b) | 0.35 |
| t(a) | -0.36 |
| p(a) | 0.64 |
| Lowerbound of 95% confidence interval for beta | -0.08 |
| Upperbound of 95% confidence interval for beta | 0.12 |
| Lowerbound of 95% confidence interval for alpha | -0.14 |
| Upperbound of 95% confidence interval for alpha | 0.10 |
| Treynor index (mean / b) | -0.58 |
| Jensen alpha (a) | -0.02 |
| Mean | -0.01 |
| SD | 0.09 |
| Sharpe ratio (Glass type estimate) | -0.17 |
| Sharpe ratio (Hedges UMVUE) | -0.16 |
| df | 33 |
| t | -0.28 |
| p | 0.61 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.33 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.00 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.33 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.00 |
| Sortino ratio | -0.25 |
| Upside Potential Ratio | 1.03 |
| Upside part of mean | 0.06 |
| Downside part of mean | -0.07 |
| Upside SD | 0.06 |
| Downside SD | 0.06 |
| N nonnegative terms | 3 |
| N negative terms | 31 |
| N of observations | 34 |
| Mean of predictor | 0.47 |
| Mean of criterion | -0.01 |
| SD of predictor | 0.29 |
| SD of criterion | 0.09 |
| Covariance | 0.00 |
| r | 0.08 |
| b (slope, estimate of beta) | 0.02 |
| a (intercept, estimate of alpha) | -0.03 |
| Mean Square Error | 0.01 |
| DF error | 32 |
| t(b) | 0.44 |
| p(b) | 0.33 |
| t(a) | -0.44 |
| p(a) | 0.67 |
| Lowerbound of 95% confidence interval for beta | -0.08 |
| Upperbound of 95% confidence interval for beta | 0.13 |
| Lowerbound of 95% confidence interval for alpha | -0.14 |
| Upperbound of 95% confidence interval for alpha | 0.09 |
| Treynor index (mean / b) | -0.63 |
| Jensen alpha (a) | -0.03 |
| VaR(95%) | 0.04 |
| Expected Shortfall on VaR | 0.05 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.04 |
| Mean | -0.01 |
| SD | 0.07 |
| Sharpe ratio (Glass type estimate) | -0.18 |
| Sharpe ratio (Hedges UMVUE) | -0.18 |
| df | 750 |
| t | -0.31 |
| p | 0.62 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.34 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.98 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.34 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.98 |
| Sortino ratio | -0.28 |
| Upside Potential Ratio | 3.58 |
| Upside part of mean | 0.16 |
| Downside part of mean | -0.17 |
| Upside SD | 0.05 |
| Downside SD | 0.04 |
| N nonnegative terms | 62 |
| N negative terms | 689 |
| N of observations | 751 |
| Mean of predictor | 0.57 |
| Mean of criterion | -0.01 |
| SD of predictor | 0.36 |
| SD of criterion | 0.07 |
| Covariance | 0.00 |
| r | 0.00 |
| b (slope, estimate of beta) | 0.00 |
| a (intercept, estimate of alpha) | -0.01 |
| Mean Square Error | 0.00 |
| DF error | 749 |
| t(b) | 0.11 |
| p(b) | 0.46 |
| t(a) | -0.32 |
| p(a) | 0.62 |
| Lowerbound of 95% confidence interval for beta | -0.01 |
| Upperbound of 95% confidence interval for beta | 0.01 |
| Lowerbound of 95% confidence interval for alpha | -0.09 |
| Upperbound of 95% confidence interval for alpha | 0.07 |
| Treynor index (mean / b) | -16.65 |
| Jensen alpha (a) | -0.01 |
| Mean | -0.01 |
| SD | 0.07 |
| Sharpe ratio (Glass type estimate) | -0.22 |
| Sharpe ratio (Hedges UMVUE) | -0.22 |
| df | 750 |
| t | -0.37 |
| p | 0.64 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.37 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.94 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.37 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.94 |
| Sortino ratio | -0.33 |
| Upside Potential Ratio | 3.51 |
| Upside part of mean | 0.16 |
| Downside part of mean | -0.17 |
| Upside SD | 0.05 |
| Downside SD | 0.04 |
| N nonnegative terms | 62 |
| N negative terms | 689 |
| N of observations | 751 |
| Mean of predictor | 0.50 |
| Mean of criterion | -0.01 |
| SD of predictor | 0.36 |
| SD of criterion | 0.07 |
| Covariance | 0.00 |
| r | 0.00 |
| b (slope, estimate of beta) | 0.00 |
| a (intercept, estimate of alpha) | -0.02 |
| Mean Square Error | 0.00 |
| DF error | 749 |
| t(b) | 0.12 |
| p(b) | 0.45 |
| t(a) | -0.37 |
| p(a) | 0.65 |
| Lowerbound of 95% confidence interval for beta | -0.01 |
| Upperbound of 95% confidence interval for beta | 0.01 |
| Lowerbound of 95% confidence interval for alpha | -0.09 |
| Upperbound of 95% confidence interval for alpha | 0.06 |
| Treynor index (mean / b) | -18.38 |
| Jensen alpha (a) | -0.02 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.00 |
| Mean | -0.03 |
| 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 | -16.19 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | -0.03 |
| Upside SD | 0 |
| Downside SD | 0.00 |
| N nonnegative terms | 0 |
| N negative terms | 131 |
| N of observations | 131 |
| Mean of predictor | 1.23 |
| Mean of criterion | -0.03 |
| SD of predictor | 0.52 |
| 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 | -0.03 |
| SD | 0 |
| Sharpe ratio (Glass type estimate) | -9.74841826823373e+15 |
| Sharpe ratio (Hedges UMVUE) | -9.69206937105203e+15 |
| df | 130 |
| t | -6893172865105920 |
| 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 | -1.08701574255084e+16 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | -8513981316595712 |
| Sortino ratio | -16.19 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | -0.03 |
| Upside SD | 0 |
| Downside SD | 0.00 |
| N nonnegative terms | 0 |
| N negative terms | 131 |
| N of observations | 131 |
| Mean of predictor | 1.09 |
| Mean of criterion | -0.03 |
| SD of predictor | 0.52 |
| SD of criterion | 0 |
| Covariance | 0 |
| r | 0 |
| b (slope, estimate of beta) | 0 |
| a (intercept, estimate of alpha) | -0.03 |
| Mean Square Error | 0 |
| DF error | 129 |
| t(b) | 0 |
| p(b) | 0.50 |
| t(a) | -6810089407119360 |
| p(a) | 1 |
| Lowerbound of 95% confidence interval for beta | 0 |
| VAR (95 Confidence Intrvl) | 0.01 |
| Upperbound of 95% confidence interval for beta | 0 |
| Lowerbound of 95% confidence interval for alpha | -0.03 |
| Upperbound of 95% confidence interval for alpha | -0.03 |
| Treynor index (mean / b) | -1.00867180315655e+32 |
| Jensen alpha (a) | -0.03 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.00 |
| VaR(95%) | 0 |
| Expected Shortfall on VaR | 0 |
ORDER STATISTICS
| Number of observations | 34 |
|---|---|
| Minimum | 0.92 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.10 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.02 |
| Inter Quartile Range | 0 |
| Number outliers low | 3 |
| Percentage of outliers low | 0.09 |
| Mean of outliers low | 0.96 |
| Number of outliers high | 3 |
| Percentage of outliers high | 0.09 |
| Mean of outliers high | 1.06 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0.33 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.04 |
| Number of observations | 751 |
| Minimum | 0.97 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.05 |
| Mean of quarter 1 | 1.00 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.00 |
| Inter Quartile Range | 0 |
| Number outliers low | 56 |
| Percentage of outliers low | 0.07 |
| Mean of outliers low | 0.99 |
| Number of outliers high | 64 |
| Percentage of outliers high | 0.09 |
| Mean of outliers high | 1.01 |
| Extreme Value Index (moments method) | -0.60 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.00 |
| Extreme Value Index (regression method) | -0.27 |
| VaR(95%) (regression method) | 0.00 |
| Expected Shortfall (regression method) | 0.01 |
| Number of observations | 131 |
| Minimum | 1 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1 |
| Mean of quarter 1 | 1 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1 |
| Inter Quartile Range | 0 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
DRAW DOWN STATISTICS
| Number of observations | 1 |
|---|---|
| Minimum | 0.13 |
| Quartile 1 | 0.13 |
| Median | 0.13 |
| Quartile 3 | 0.13 |
| Maximum | 0.13 |
| 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 | 9 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.01 |
| Quartile 3 | 0.02 |
| Maximum | 0.14 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.02 |
| Mean of quarter 4 | 0.09 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.11 |
| Mean of outliers high | 0.14 |
| Extreme Value Index (moments method) | -0.18 |
| VaR(95%) (moments method) | 0.07 |
| Expected Shortfall (moments method) | 0.09 |
| Extreme Value Index (regression method) | 1.47 |
| VaR(95%) (regression method) | 0.20 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 0 |
| Minimum | 0 |
| Quartile 1 | 0 |
| Median | 0 |
| Quartile 3 | 0 |
| Maximum | 0 |
| Mean of quarter 1 | 0 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0 |
| Inter Quartile Range | 0 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -435292672 |
| Max Equity Drawdown (num days) | 77 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.01 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.01 |
| Calmar ratio (compounded annual return / max draw down) | 0.11 |
| Compounded annual return / average of 25% largest draw downs | 0 |
| Compounded annual return / Expected Shortfall lognormal | 0.26 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.01 |
| Compounded annual return (geometric extrapolation) | 0.01 |
| Calmar ratio (compounded annual return / max draw down) | 0.09 |
| Compounded annual return / average of 25% largest draw downs | 0.14 |
| Compounded annual return / Expected Shortfall lognormal | 1.54 |
| 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 12 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| INFI | short | 240 | Oct 21, 2013 | Feb 27, 2014 | ($409) |
| ROSE | short | 65 | Oct 21, 2013 | Feb 27, 2014 | $991 |
| ARCP | short | 260 | Oct 21, 2013 | Feb 27, 2014 | ($296) |
| X | short | 160 | Nov 11, 2013 | Feb 27, 2014 | $447 |
| CUZ | short | 360 | Oct 21, 2013 | Feb 27, 2014 | ($93) |
| MT | short | 260 | Oct 21, 2013 | Feb 27, 2014 | $205 |
| VRTX | short | 51 | Oct 21, 2013 | Feb 27, 2014 | ($392) |
| MDR | short | 550 | Nov 11, 2013 | Feb 27, 2014 | ($324) |
| MKTX | long | 86 | Oct 21, 2013 | Feb 27, 2014 | ($675) |
| BRO | long | 190 | Nov 11, 2013 | Feb 27, 2014 | ($430) |
| BIN | long | 230 | Nov 11, 2013 | Feb 27, 2014 | ($168) |
| ECOL | long | 170 | Nov 11, 2013 | Feb 27, 2014 | $177 |
| SCI | long | 340 | Nov 11, 2013 | Feb 27, 2014 | $170 |
| GALT | short | 410 | Oct 21, 2013 | Feb 27, 2014 | ($2,743) |
| SNI | long | 77 | Nov 11, 2013 | Feb 27, 2014 | $405 |
| BPI | long | 350 | Nov 11, 2013 | Feb 27, 2014 | $910 |
| HY | long | 68 | Oct 21, 2013 | Feb 27, 2014 | $376 |
| PEGA | long | 300 | Oct 21, 2013 | Feb 27, 2014 | $389 |
| RYAAY | long | 130 | Nov 11, 2013 | Feb 27, 2014 | $1,291 |
| OMER | short | 520 | Oct 21, 2013 | Feb 27, 2014 | ($2,090) |
| GS | short | 26 | Oct 21, 2013 | Nov 11, 2013 | ($154) |
| FDP | long | 190 | Oct 21, 2013 | Nov 11, 2013 | ($648) |
| BPL | long | 79 | Oct 21, 2013 | Nov 11, 2013 | $0 |
| RL | long | 33 | Oct 21, 2013 | Nov 11, 2013 | $252 |
| EPB | long | 140 | Oct 21, 2013 | Nov 11, 2013 | ($105) |
| OZM | long | 470 | Oct 21, 2013 | Nov 11, 2013 | $405 |
| BIO | long | 47 | Sep 18, 2013 | Oct 21, 2013 | $305 |
| CACC | long | 52 | Sep 18, 2013 | Oct 21, 2013 | $132 |
| WNS | long | 290 | Sep 18, 2013 | Oct 21, 2013 | $174 |
| MSG | long | 110 | Sep 18, 2013 | Oct 21, 2013 | $114 |
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.