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28.0%
Annual Return (Compounded)
33.2%
Max Drawdown
772
Num Trades
34.6%
Win Trades
1.7 : 1
Profit Factor
21.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2006              (4%)+17.8%+4.4%(22.8%)+6.5%(17.7%)(16.8%)(8.1%)(2%)(33.5%)(60.2%)
2007+10.6%(18.5%)(49.5%)(67.6%)(372.2%)(138.5%)+519.0%+231.2%(4.2%)(20.8%)(34%)+116.7%+243.4%
2008+12.3%+80.4%(13%)(10.7%)(13.7%)(2.4%)(15.8%)+13.0%+2.2%(10.5%)(4.4%)+8.7%+19.9%
2009(29.3%)+45.8%(10%)(13.6%)+34.5%(23.7%)(25.8%)(32.6%)(34.3%)(97.1%)+888.0%(414.2%)(124.3%)
2010(5.7%)(87.5%)(38%)(28.5%)(54.9%)(52.6%)(128%)+284.6%+61.3%+66.8%+2.2%+56.4%(1825%)
2011+19.0%+4.2%  -    -    -    -    -    -    -    -    -    -  +23.9%
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -  (0.7%)  -    -    -    -              (0.7%)

Model Account Details

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Closed Trades

CSV
Show More detailsShow fewer details
Opened ETB/S#Symbol PriceClosedPriceDDP/L
2/9/11 10:33 BUY 7 @CCH1 COCOA 3263 2/11 11:08 3333 0.3%
Trade id #57693227
Max drawdown($420)
Time2/9/11 10:42
Quant open7
Worst price3257
Drawdown as % of equity-0.30%
$4,802
Includes Typical Broker Commission and AutoTrade Fees trade costs of $97.72
2/10/11 12:37 BUY 6 @BPH1 BRITISH POUND 1.6116 2/10 20:20 1.6080 0.9%
Trade id #57741263
Max drawdown($1,350)
Time2/10/11 20:20
Quant open0
Worst price1.6080
Drawdown as % of equity-0.90%
($1,434)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $83.76
2/6/11 19:28 BUY 5 @WH1 WHEAT 862 2/4 2/7 12:58 855 2/4 1.24%
Trade id #57590959
Max drawdown($1,750)
Time2/7/11 12:58
Quant open0
Worst price855 2/4
Drawdown as % of equity-1.24%
($1,820)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $69.80
2/4/11 10:49 BUY 3 QPAH1 PALLADIUM 828.0 2/4 11:18 816.5 2.37%
Trade id #57563454
Max drawdown($3,450)
Time2/4/11 11:18
Quant open0
Worst price816.5
Drawdown as % of equity-2.37%
($3,492)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $41.88
2/2/11 14:23 BUY 3 QNGH1 Natural Gas 4.425 2/3 6:10 4.415 0.25%
Trade id #57481233
Max drawdown($360)
Time2/3/11 0:28
Quant open3
Worst price4.413
Drawdown as % of equity-0.25%
($342)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $41.88
1/31/11 12:23 BUY 6 @ADH1 AUSTRALIAN DOLLAR 0.9933 2/2 6:26 1.0051 1.22%
Trade id #57375473
Max drawdown($1,680)
Time1/31/11 14:41
Quant open6
Worst price0.9905
Drawdown as % of equity-1.22%
$6,996
Includes Typical Broker Commission and AutoTrade Fees trade costs of $83.76
1/28/11 12:55 BUY 4 @USH1 US T-BOND 121 9/32 1/28 16:44 121 10/32 0.18%
Trade id #57308582
Max drawdown($249)
Time1/28/11 12:57
Quant open4
Worst price121 7/32
Drawdown as % of equity-0.18%
$68
Includes Typical Broker Commission and AutoTrade Fees trade costs of $55.84
1/26/11 11:22 BUY 8 @CDH1 CANADIAN DOLLAR 1.0025 1/27 3:15 1.0007 1.03%
Trade id #57209655
Max drawdown($1,440)
Time1/27/11 3:15
Quant open0
Worst price1.0007
Drawdown as % of equity-1.03%
($1,552)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $111.68
1/21/11 5:08 BUY 3 @KCH1 COFFEE 234.70 1/24 9:54 237.20 0.87%
Trade id #57027651
Max drawdown($1,181)
Time1/21/11 8:02
Quant open3
Worst price233.65
Drawdown as % of equity-0.87%
$2,771
Includes Typical Broker Commission and AutoTrade Fees trade costs of $41.88
1/18/11 0:16 BUY 5 @ADH1 AUSTRALIAN DOLLAR 0.9872 1/19 19:14 0.9892 0.26%
Trade id #56871719
Max drawdown($350)
Time1/18/11 1:12
Quant open5
Worst price0.9865
Drawdown as % of equity-0.26%
$930
Includes Typical Broker Commission and AutoTrade Fees trade costs of $69.80
1/18/11 10:05 BUY 10 @HEG1 LEAN HOGS 80.100 1/19 13:04 79.950 0.43%
Trade id #56890779
Max drawdown($600)
Time1/19/11 13:04
Quant open0
Worst price79.950
Drawdown as % of equity-0.43%
($740)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $139.60
1/19/11 11:08 BUY 5 @SBH1 Sugar #11 31.54 1/19 12:00 31.04 1.93%
Trade id #56943783
Max drawdown($2,800)
Time1/19/11 12:00
Quant open0
Worst price31.04
Drawdown as % of equity-1.93%
($2,870)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $69.80
1/13/11 10:35 BUY 8 @RRH1 Rough Rice 13.865 1/19 11:07 14.665 0.82%
Trade id #56767703
Max drawdown($1,040)
Time1/13/11 11:13
Quant open8
Worst price13.800
Drawdown as % of equity-0.82%
$12,688
Includes Typical Broker Commission and AutoTrade Fees trade costs of $111.68
12/31/69 19:00 BUY 3 1/18/11 9:25 4.47 0.21%
Trade id #56819482
Max drawdown($270)
Time1/14/11 14:03
Quant open3
Worst price4.46
Drawdown as % of equity-0.21%
($21)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $20.94
1/14/11 11:21 BUY 8 @OJH1 Orange Juice 173.55 1/14 13:52 172.45 1.04%
Trade id #56813737
Max drawdown($1,320)
Time1/14/11 13:52
Quant open0
Worst price172.45
Drawdown as % of equity-1.04%
($1,432)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $111.68
1/12/11 22:01 BUY 3 QNGH1 Natural Gas 4.475 1/13 10:33 4.412 1.45%
Trade id #56745074
Max drawdown($1,890)
Time1/13/11 10:33
Quant open0
Worst price4.412
Drawdown as % of equity-1.45%
($1,932)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $41.88
1/10/11 10:11 BUY 7 @GFH1 FEEDER CATTLE 123.300 1/13 9:58 125.800 0.07%
Trade id #56631495
Max drawdown($87)
Time1/10/11 10:13
Quant open7
Worst price123.275
Drawdown as % of equity-0.07%
$8,652
Includes Typical Broker Commission and AutoTrade Fees trade costs of $97.72
1/4/11 21:44 BUY 3 @CTH1 COTTON - #2 14440 1/5 3:29 14255 2.23%
Trade id #56456906
Max drawdown($2,700)
Time1/5/11 3:22
Quant open3
Worst price14260
Drawdown as % of equity-2.23%
($2,817)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $41.88
12/27/10 22:19 BUY 3 QGCG1 Gold 100 oz 1390.8 1/3/11 15:06 1414.3 0.58%
Trade id #56205137
Max drawdown($690)
Time12/28/10 2:50
Quant open3
Worst price1388.5
Drawdown as % of equity-0.58%
$7,008
Includes Typical Broker Commission and AutoTrade Fees trade costs of $41.88
12/19/10 21:40 BUY 4 @SF1 SOYBEANS 1305 1/4 12/28 21:57 1367 1/4 1.95%
Trade id #55950805
Max drawdown($1,950)
Time12/19/10 22:25
Quant open4
Worst price1295 2/4
Drawdown as % of equity-1.95%
$12,344
Includes Typical Broker Commission and AutoTrade Fees trade costs of $55.84
12/20/10 13:33 BUY 4 QPLF1 PLATINUM 1709.4 12/23 8:24 1724.4 0.73%
Trade id #55980220
Max drawdown($760)
Time12/20/10 19:50
Quant open4
Worst price1705.6
Drawdown as % of equity-0.73%
$2,944
Includes Typical Broker Commission and AutoTrade Fees trade costs of $55.84
12/16/10 21:46 BUY 1 QSIH1 Silver 5000 oz 29.260 12/17 7:36 28.710 2.64%
Trade id #55901209
Max drawdown($2,700)
Time12/17/10 6:46
Quant open1
Worst price28.720
Drawdown as % of equity-2.64%
($2,764)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
12/13/10 16:17 BUY 3 @JYH1 JAPANESE YEN 0.012001 12/14 8:30 0.012005 0.83%
Trade id #55760965
Max drawdown($862)
Time12/13/10 19:49
Quant open3
Worst price0.011978
Drawdown as % of equity-0.83%
$108
Includes Typical Broker Commission and AutoTrade Fees trade costs of $41.88
12/13/10 7:28 BUY 2 QNGG1 Natural Gas 4.510 12/13 10:39 4.370 2.65%
Trade id #55738407
Max drawdown($2,780)
Time12/13/10 10:35
Quant open2
Worst price4.371
Drawdown as % of equity-2.65%
($2,828)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92
12/8/10 12:24 BUY 10 @HEG1 LEAN HOGS 75.850 12/10 10:11 75.450 1.31%
Trade id #55614527
Max drawdown($1,400)
Time12/9/10 10:24
Quant open10
Worst price75.500
Drawdown as % of equity-1.31%
($1,740)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $139.60
11/29/10 13:02 BUY 1 QSIH1 Silver 5000 oz 27.220 12/7 10:36 29.920 1.57%
Trade id #55298985
Max drawdown($1,500)
Time11/29/10 23:25
Quant open1
Worst price26.920
Drawdown as % of equity-1.57%
$13,486
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
12/3/10 13:59 BUY 8 @HEG1 LEAN HOGS 76.550 12/6 11:27 75.920 1.84%
Trade id #55482584
Max drawdown($2,000)
Time12/6/10 10:21
Quant open8
Worst price75.925
Drawdown as % of equity-1.84%
($2,128)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $111.68
11/18/10 10:10 BUY 10 @HEZ0 LEAN HOGS 68.925 11/18 10:59 68.200 2.03%
Trade id #54964239
Max drawdown($2,000)
Time11/18/10 10:58
Quant open10
Worst price68.425
Drawdown as % of equity-2.03%
($3,040)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $139.60
11/15/10 8:42 BUY 1.358 @KCZ0 COFFEE 202.80 11/16 8:14 201.50 0.58%
Trade id #54823452
Max drawdown($585)
Time11/15/10 8:44
Quant open1
Worst price201.65
Drawdown as % of equity-0.58%
($681)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $18.96
11/10/10 11:33 BUY 3.622 @BPZ0 BRITISH POUND 1.6070 11/12 0:01 1.6068 0.02%
Trade id #54698877
Max drawdown($22)
Time11/10/10 11:47
Quant open0
Worst price1.6059
Drawdown as % of equity-0.02%
($103)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $50.56

Statistics

  • Strategy began
    3/9/2006
  • Age
    105 months ago
  • What it trades
    Futures
  • # Trades
    772
  • # Profitable
    267
  • % Profitable
    34.60%
  • Avg trade duration
    3.0 days
  • Max peak-to-valley drawdown
    33.25%
  • drawdown period
    June 17, 2009 - July 01, 2010
  • Annual Return (Compounded)
    28.0%
  • Avg win
    $1,274
  • Avg loss
    $407.52
  • W:L ratio
    1.65:1
  • Open PL
    $0.00
  • Open PL (start day)
    $0.00
  • Open PL Change $
    $0.00
  • Open PL Change %
    n/a
  • Close PL
    $134,588
  • Closed PL (start day)
    $134,588
  • Closed PL Change $
    $0.25
  • Closed PL Change %
    n/a
  • Equity
    $143,644
  • Equity (start day)
    $143,644
  • Equity Change $
    $0.25
  • Equity Change %
    n/a
  • GENERAL STATISTICS
  • Age
    3157
  • # Trades
    773
  • Avg Trade Length
    3.0
  • PROFIT
  • Profit Factor
    1.7
  • SORTINO STATISTICS
  • Sortino Ratio
    2.290
  • CALMAR STATISTICS
  • Calmar Ratio
    1.166
  • Ann Return (w trading costs)
    28.0%
  • SHARPE STATISTICS
  • Sharpe Ratio
    1.306
  • Ann Return (Compnd, No Fees)
    37.6%
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • PROFIT STATISTICS
  • APD
    2.15
  • DRAW DOWN STATISTICS
  • Max Drawdown
    33.2%
  • POPULARITY STATISTICS
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    351
  • TOS STATISTICS
  • Trades Own System?
    0
  • TOS percent
    n/a
  • BILLING STATISTICS
  • Subscription Price
    $200
  • Billing Period (days)
    0
  • Trial Days
    0
  • WIN STATISTICS
  • Avg Loss
    $408
  • Avg Win
    $1,275
  • # Winners
    267
  • # Losers
    505
  • % Winners
    34.6%
  • TIME STATISTICS
  • Avg Position Time (mins)
    4354.18
  • Avg Position Time (hrs)
    72.57
  • OWNER STATISTICS
  • Developer
    -
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37952
  • SD
    0.40903
  • Sharpe ratio (Glass type estimate)
    0.92784
  • Sharpe ratio (Hedges UMVUE)
    0.92106
  • df
    103.00000
  • t
    2.73148
  • p
    0.33643
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24798
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.60337
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24352
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.59861
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.86501
  • Upside Potential Ratio
    5.31841
  • Upside part of mean
    0.52223
  • Downside part of mean
    -0.14271
  • Upside SD
    0.40995
  • Downside SD
    0.09819
  • N nonnegative terms
    35.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    104.00000
  • Mean of predictor
    0.04716
  • Mean of criterion
    0.37952
  • SD of predictor
    0.14880
  • SD of criterion
    0.40903
  • Covariance
    0.00468
  • r
    0.07686
  • b (slope, estimate of beta)
    0.21127
  • a (intercept, estimate of alpha)
    0.36955
  • Mean Square Error
    0.16795
  • DF error
    102.00000
  • t(b)
    0.77853
  • p(b)
    0.46157
  • t(a)
    2.64352
  • p(a)
    0.37339
  • Lowerbound of 95% confidence interval for beta
    -0.32700
  • Upperbound of 95% confidence interval for beta
    0.74955
  • Lowerbound of 95% confidence interval for alpha
    0.09227
  • Upperbound of 95% confidence interval for alpha
    0.64684
  • Treynor index (mean / b)
    1.79633
  • Jensen alpha (a)
    0.36955
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30896
  • SD
    0.34497
  • Sharpe ratio (Glass type estimate)
    0.89563
  • Sharpe ratio (Hedges UMVUE)
    0.88909
  • df
    103.00000
  • t
    2.63666
  • p
    0.34163
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.21665
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.57042
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.21235
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.56584
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.00659
  • Upside Potential Ratio
    4.44403
  • Upside part of mean
    0.45668
  • Downside part of mean
    -0.14771
  • Upside SD
    0.33949
  • Downside SD
    0.10276
  • N nonnegative terms
    35.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    104.00000
  • Mean of predictor
    0.03581
  • Mean of criterion
    0.30896
  • SD of predictor
    0.15180
  • SD of criterion
    0.34497
  • Covariance
    0.00393
  • r
    0.07507
  • b (slope, estimate of beta)
    0.17059
  • a (intercept, estimate of alpha)
    0.30285
  • Mean Square Error
    0.11949
  • DF error
    102.00000
  • t(b)
    0.76030
  • p(b)
    0.46247
  • t(a)
    2.57321
  • p(a)
    0.37655
  • Lowerbound of 95% confidence interval for beta
    -0.27446
  • Upperbound of 95% confidence interval for beta
    0.61565
  • Lowerbound of 95% confidence interval for alpha
    0.06941
  • Upperbound of 95% confidence interval for alpha
    0.53630
  • Treynor index (mean / b)
    1.81109
  • Jensen alpha (a)
    0.30285
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12895
  • Expected Shortfall on VaR
    0.16389
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03237
  • Expected Shortfall on VaR
    0.06524
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    104.00000
  • Minimum
    0.85844
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.02269
  • Maximum
    1.74440
  • Mean of quarter 1
    0.95463
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00451
  • Mean of quarter 4
    1.17068
  • Inter Quartile Range
    0.02269
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.12500
  • Mean of outliers low
    0.92892
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    1.25084
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.47883
  • VaR(95%) (regression method)
    0.04997
  • Expected Shortfall (regression method)
    0.06402
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00359
  • Quartile 1
    0.02841
  • Median
    0.07830
  • Quartile 3
    0.13313
  • Maximum
    0.28824
  • Mean of quarter 1
    0.01528
  • Mean of quarter 2
    0.04996
  • Mean of quarter 3
    0.09720
  • Mean of quarter 4
    0.19682
  • Inter Quartile Range
    0.10472
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.10808
  • VaR(95%) (moments method)
    0.22614
  • Expected Shortfall (moments method)
    0.27718
  • Extreme Value Index (regression method)
    1.73967
  • VaR(95%) (regression method)
    0.33820
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.71482
  • Compounded annual return (geometric extrapolation)
    0.37563
  • Calmar ratio (compounded annual return / max draw down)
    1.30320
  • Compounded annual return / average of 25% largest draw downs
    1.90849
  • Compounded annual return / Expected Shortfall lognormal
    2.29200
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33488
  • SD
    0.23858
  • Sharpe ratio (Glass type estimate)
    1.40366
  • Sharpe ratio (Hedges UMVUE)
    1.40331
  • df
    3000.00000
  • t
    4.14587
  • p
    0.00002
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.73903
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06810
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.73878
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.06784
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.54583
  • Upside Potential Ratio
    8.43448
  • Upside part of mean
    1.10948
  • Downside part of mean
    -0.77460
  • Upside SD
    0.19981
  • Downside SD
    0.13154
  • N nonnegative terms
    662.00000
  • N negative terms
    2339.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3001.00000
  • Mean of predictor
    0.06372
  • Mean of criterion
    0.33488
  • SD of predictor
    0.21423
  • SD of criterion
    0.23858
  • Covariance
    0.00241
  • r
    0.04718
  • b (slope, estimate of beta)
    0.05255
  • a (intercept, estimate of alpha)
    0.33153
  • Mean Square Error
    0.05681
  • DF error
    2999.00000
  • t(b)
    2.58681
  • p(b)
    0.00487
  • t(a)
    4.10779
  • p(a)
    0.00002
  • Lowerbound of 95% confidence interval for beta
    0.01272
  • Upperbound of 95% confidence interval for beta
    0.09238
  • Lowerbound of 95% confidence interval for alpha
    0.17328
  • Upperbound of 95% confidence interval for alpha
    0.48978
  • Treynor index (mean / b)
    6.37303
  • Jensen alpha (a)
    0.33153
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30687
  • SD
    0.23489
  • Sharpe ratio (Glass type estimate)
    1.30645
  • Sharpe ratio (Hedges UMVUE)
    1.30613
  • df
    3000.00000
  • t
    3.85876
  • p
    0.00006
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.64195
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97076
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.64172
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.97053
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.29016
  • Upside Potential Ratio
    8.13693
  • Upside part of mean
    1.09032
  • Downside part of mean
    -0.78344
  • Upside SD
    0.19358
  • Downside SD
    0.13400
  • N nonnegative terms
    662.00000
  • N negative terms
    2339.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3001.00000
  • Mean of predictor
    0.04074
  • Mean of criterion
    0.30687
  • SD of predictor
    0.21451
  • SD of criterion
    0.23489
  • Covariance
    0.00237
  • r
    0.04700
  • b (slope, estimate of beta)
    0.05146
  • a (intercept, estimate of alpha)
    0.30478
  • Mean Square Error
    0.05507
  • DF error
    2999.00000
  • t(b)
    2.57644
  • p(b)
    0.00501
  • t(a)
    3.83579
  • p(a)
    0.00006
  • Lowerbound of 95% confidence interval for beta
    0.01230
  • Upperbound of 95% confidence interval for beta
    0.09062
  • Lowerbound of 95% confidence interval for alpha
    0.14898
  • Upperbound of 95% confidence interval for alpha
    0.46057
  • Treynor index (mean / b)
    5.96328
  • Jensen alpha (a)
    0.30478
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01974
  • Expected Shortfall on VaR
    0.02490
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00673
  • Expected Shortfall on VaR
    0.01435
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3001.00000
  • Minimum
    0.91860
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.17189
  • Mean of quarter 1
    0.99109
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01293
  • Inter Quartile Range
    0.00000
  • Number outliers low
    637.00000
  • Percentage of outliers low
    0.21226
  • Mean of outliers low
    0.98950
  • Number of outliers high
    665.00000
  • Percentage of outliers high
    0.22159
  • Mean of outliers high
    1.01458
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.18184
  • VaR(95%) (moments method)
    0.00407
  • Expected Shortfall (moments method)
    0.00720
  • Extreme Value Index (regression method)
    0.04044
  • VaR(95%) (regression method)
    0.00932
  • Expected Shortfall (regression method)
    0.01587
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    65.00000
  • Minimum
    0.00098
  • Quartile 1
    0.00863
  • Median
    0.02473
  • Quartile 3
    0.05392
  • Maximum
    0.31981
  • Mean of quarter 1
    0.00455
  • Mean of quarter 2
    0.01556
  • Mean of quarter 3
    0.03809
  • Mean of quarter 4
    0.12580
  • Inter Quartile Range
    0.04529
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.10769
  • Mean of outliers high
    0.19229
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.24459
  • VaR(95%) (moments method)
    0.12834
  • Expected Shortfall (moments method)
    0.20299
  • Extreme Value Index (regression method)
    0.53490
  • VaR(95%) (regression method)
    0.11777
  • Expected Shortfall (regression method)
    0.24354
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.70358
  • Compounded annual return (geometric extrapolation)
    0.37276
  • Calmar ratio (compounded annual return / max draw down)
    1.16557
  • Compounded annual return / average of 25% largest draw downs
    2.96312
  • Compounded annual return / Expected Shortfall lognormal
    14.96750
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01714
  • SD
    0.00359
  • Sharpe ratio (Glass type estimate)
    -4.78077
  • Sharpe ratio (Hedges UMVUE)
    -4.75978
  • df
    171.00000
  • t
    -3.38052
  • p
    0.65766
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -7.59177
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -1.95640
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -7.57711
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.94244
  • Statistics related to Sortino ratio
  • Sortino ratio
    -4.64213
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.01714
  • Upside SD
    0.00000
  • Downside SD
    0.00369
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.11879
  • Mean of criterion
    -0.01714
  • SD of predictor
    0.10709
  • SD of criterion
    0.00359
  • Covariance
    0.00002
  • r
    0.04088
  • b (slope, estimate of beta)
    0.00137
  • a (intercept, estimate of alpha)
    -0.01731
  • Mean Square Error
    0.00001
  • DF error
    170.00000
  • t(b)
    0.53345
  • p(b)
    0.47956
  • t(a)
    -3.39933
  • p(a)
    0.62614
  • Lowerbound of 95% confidence interval for beta
    -0.00370
  • Upperbound of 95% confidence interval for beta
    0.00643
  • Lowerbound of 95% confidence interval for alpha
    -0.02736
  • Upperbound of 95% confidence interval for alpha
    -0.00726
  • Treynor index (mean / b)
    -12.52410
  • Jensen alpha (a)
    -0.01731
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01715
  • SD
    0.00359
  • Sharpe ratio (Glass type estimate)
    -4.77824
  • Sharpe ratio (Hedges UMVUE)
    -4.75725
  • df
    171.00000
  • t
    -3.37873
  • p
    0.65758
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -7.58918
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -1.95391
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -7.57454
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.93996
  • Statistics related to Sortino ratio
  • Sortino ratio
    -4.63982
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.01715
  • Upside SD
    0.00000
  • Downside SD
    0.00370
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.11305
  • Mean of criterion
    -0.01715
  • SD of predictor
    0.10720
  • SD of criterion
    0.00359
  • Covariance
    0.00002
  • r
    0.04058
  • b (slope, estimate of beta)
    0.00136
  • a (intercept, estimate of alpha)
    -0.01730
  • Mean Square Error
    0.00001
  • DF error
    170.00000
  • t(b)
    0.52957
  • p(b)
    0.47971
  • t(a)
    -3.39629
  • p(a)
    0.62604
  • Lowerbound of 95% confidence interval for beta
    -0.00371
  • Upperbound of 95% confidence interval for beta
    0.00642
  • Lowerbound of 95% confidence interval for alpha
    -0.02736
  • Upperbound of 95% confidence interval for alpha
    -0.00725
  • Treynor index (mean / b)
    -12.62230
  • Jensen alpha (a)
    -0.01730
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00037
  • Expected Shortfall on VaR
    0.00045
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00017
  • Expected Shortfall on VaR
    0.00038
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.99820
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    0.99992
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01163
  • Mean of outliers low
    0.99820
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -10.11790
  • VaR(95%) (regression method)
    -966.58500
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.00359
  • Quartile 1
    0.00359
  • Median
    0.00359
  • Quartile 3
    0.00359
  • Maximum
    0.00359
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.00719
  • Compounded annual return (geometric extrapolation)
    -0.00717
  • Calmar ratio (compounded annual return / max draw down)
    -1.99641
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -15.97970

Strategy Description

Interlink Trading is a directional only program,(buy-long,sell-short), there are no spreads, no options, no pyramiding of positions and no averaging against oneself. This program is diversified, covering all U.S.domestic futures markets.

The timing model consists of four areas of concentration. Price patterns,tech
studies, moving averages and support/resistance levels.

It's best described as a intermediate term swing program.
The diversification allows the manager to observe how different markets are
interacting with one another, to take advantage of lagging or leading markets.

The liquidation model allows for profit to accumulate should the market develop a strong trend. Obviously,each market situation is unique unto itself and cannot be pre-determined.
But every opportunity is advanced to allow the market to work in your favor.

To summarize, this program is an extremely disciplined approach, but yet not allowing
"trader intuition" to be totally discounted, and allows for the flexibility of putting
funds where the most positive fundamentals can support the most positive technical outlook.










About the results you see on this Web site

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.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment. For any trading system on our Web site, we assume you will invest the amount that appears as the starting amount of that system's performance chart.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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