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Started: 06/2010
Futures
Last trade: 1353 days ago

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Free AutoTrade
-
Annual Return (Compounded)
88.2%
Max Drawdown
390
Num Trades
42.3%
Win Trades
0.9 : 1
Profit Factor
5.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010                                   +66.3%+99.9%(8.9%)(8.4%)(23.9%)+1.0%(11.7%)+88.1%
2011(45.6%)(26.1%)(79.7%)(161.9%)(15.5%)(13.4%)(11.8%)(10.6%)(9.6%)(8.7%)(8%)(7.4%)(111.3%)
2012(6.9%)(6.5%)(6.1%)(5.7%)(5.4%)(5.1%)(4.9%)(4.7%)(4.5%)(4.3%)(4.1%)(3.9%)(83.1%)
2013(3.8%)(3.6%)(3.5%)(3.4%)(3.3%)(3.2%)(3.1%)(3%)(2.9%)(2.8%)(2.7%)(5.3%)(49.2%)
2014  -  (2.5%)(4.9%)(2.4%)  -  (4.6%)(2.2%)(2.2%)(2.1%)(2.1%)(2%)  -  (27.9%)

Model Account Details

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Closed Trades

CSV
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Opened ETB/S#Symbol PriceClosedPriceDDP/L
4/6/11 15:45 BUY 2 @TFSM1 Emini Russell 852.80 4/8 15:00 835.90 37.73%
Trade id #59511027
Max drawdown($3,460)
Time4/8/11 14:58
Quant open2
Worst price835.50
Drawdown as % of equity-37.73%
($3,408)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92
3/23/11 14:21 SELL 2 @USM1 US T-BOND 121 14/32 4/4 13:12 120 25/32 1.75%
Trade id #59055569
Max drawdown($249)
Time3/24/11 3:32
Quant open-2
Worst price121 18/32
Drawdown as % of equity-1.75%
$1,286
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92
3/14/11 13:38 BUY 2 @SFM1 SWISS FRANC 1.0840 3/29 14:11 1.0856 3.87%
Trade id #58709806
Max drawdown($600)
Time3/14/11 20:02
Quant open2
Worst price1.0816
Drawdown as % of equity-3.87%
$372
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92
3/16/11 12:09 SELL 2 @TFSM1 Emini Russell 781.60 3/24 9:19 810.55 32.16%
Trade id #58824915
Max drawdown($6,500)
Time3/22/11 4:47
Quant open-2
Worst price814.10
Drawdown as % of equity-32.16%
($5,818)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92
3/15/11 15:00 BUY 2 @TFSM1 Emini Russell 788.60 3/16 12:08 781.60 9.89%
Trade id #58781683
Max drawdown($1,840)
Time3/16/11 11:08
Quant open2
Worst price779.40
Drawdown as % of equity-9.89%
($1,428)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92
3/10/11 9:45 SELL 2 @TFSM1 Emini Russell 800.20 3/15 14:48 789.10 5.19%
Trade id #58580771
Max drawdown($860)
Time3/11/11 15:32
Quant open-2
Worst price804.50
Drawdown as % of equity-5.19%
$2,192
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92
3/8/11 13:38 SELL 2 @SFM1 SWISS FRANC 1.0705 3/14 13:38 1.0840 20.03%
Trade id #58513791
Max drawdown($3,475)
Time3/14/11 12:54
Quant open-2
Worst price1.0844
Drawdown as % of equity-20.03%
($3,403)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92
3/7/11 9:38 BUY 2 @BPM1 BRITISH POUND 1.6237 3/11 9:29 1.5991 12.62%
Trade id #58455474
Max drawdown($2,712)
Time3/10/11 11:03
Quant open2
Worst price1.6020
Drawdown as % of equity-12.62%
($3,103)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92
3/8/11 10:07 BUY 2 @TFSM1 Emini Russell 816.00 3/10 9:45 800.20 4.71%
Trade id #58503264
Max drawdown($1,100)
Time3/9/11 21:50
Quant open2
Worst price810.50
Drawdown as % of equity-4.71%
($3,188)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92
3/9/11 15:27 BUY 1 @TFSH1 Emini Russell 821.80 3/9 15:27 821.80 n/a ($14)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
3/4/11 12:48 SELL 2 @GFK1 FEEDER CATTLE 132.950 3/8 10:06 133.550 3.84%
Trade id #58417920
Max drawdown($925)
Time3/8/11 9:25
Quant open-2
Worst price133.875
Drawdown as % of equity-3.84%
($628)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92
2/28/11 12:58 SELL 2 @TFSH1 Emini Russell 819.20 3/8 10:06 815.20 11.15%
Trade id #58228749
Max drawdown($2,560)
Time3/4/11 4:17
Quant open-2
Worst price832.00
Drawdown as % of equity-11.15%
$772
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92
2/23/11 9:47 BUY 2 @BPH1 BRITISH POUND 1.6236 3/7 9:37 1.6255 10.45%
Trade id #58071955
Max drawdown($2,593)
Time2/25/11 10:04
Quant open2
Worst price1.6028
Drawdown as % of equity-10.45%
$216
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92
2/28/11 10:02 BUY 2 @ADH1 AUSTRALIAN DOLLAR 1.0155 3/4 12:47 1.0099 7.63%
Trade id #58218576
Max drawdown($1,800)
Time3/4/11 8:54
Quant open2
Worst price1.0065
Drawdown as % of equity-7.63%
($1,148)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92
2/25/11 14:55 SELL 2 @TFSH1 Emini Russell 817.90 2/28 10:02 827.40 9.36%
Trade id #58178325
Max drawdown($2,380)
Time2/28/11 8:11
Quant open-2
Worst price829.80
Drawdown as % of equity-9.36%
($1,928)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92
2/24/11 18:03 BUY 2 @ESH1 E-MINI S&P 500 1304.50 2/25 14:49 1318.00 0.41%
Trade id #58143525
Max drawdown($100)
Time2/24/11 18:38
Quant open2
Worst price1303.50
Drawdown as % of equity-0.41%
$1,322
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92
2/10/11 16:48 SELL 2 @EUH1 EUROFX 1.3599 2/22 11:03 1.3690 11.09%
Trade id #57749653
Max drawdown($2,862)
Time2/18/11 14:08
Quant open-2
Worst price1.3714
Drawdown as % of equity-11.09%
($2,290)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92
2/17/11 9:20 SELL 1 @ADH1 AUSTRALIAN DOLLAR 1.0018 2/17 10:33 1.0066 1.71%
Trade id #57927046
Max drawdown($480)
Time2/17/11 10:33
Quant open0
Worst price1.0066
Drawdown as % of equity-1.71%
($494)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
2/15/11 15:35 SELL 1 @CDH1 CANADIAN DOLLAR 1.0099 2/17 9:20 1.0159 2.88%
Trade id #57871283
Max drawdown($830)
Time2/17/11 8:00
Quant open-1
Worst price1.0182
Drawdown as % of equity-2.88%
($614)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
2/8/11 13:14 SELL 1 @ADH1 AUSTRALIAN DOLLAR 1.0118 2/16 13:05 0.9954 0.21%
Trade id #57665516
Max drawdown($60)
Time2/8/11 14:32
Quant open-1
Worst price1.0124
Drawdown as % of equity-0.21%
$1,626
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
2/9/11 18:22 SELL 2 @ESH1 E-MINI S&P 500 1317.50 2/11 10:55 1323.00 1.83%
Trade id #57707354
Max drawdown($550)
Time2/11/11 10:55
Quant open0
Worst price1323.00
Drawdown as % of equity-1.83%
($578)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92
2/8/11 11:05 SELL 2 @ESH1 E-MINI S&P 500 1316.00 2/8 14:40 1320.75 1.67%
Trade id #57659471
Max drawdown($475)
Time2/8/11 14:37
Quant open-2
Worst price1320.75
Drawdown as % of equity-1.67%
($503)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92
2/3/11 18:31 SELL 1 @EUH1 EUROFX 1.3617 2/7 11:06 1.3541 2.66%
Trade id #57536477
Max drawdown($737)
Time2/4/11 8:31
Quant open-1
Worst price1.3676
Drawdown as % of equity-2.66%
$936
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
2/3/11 18:31 SELL 1 @CDH1 CANADIAN DOLLAR 1.0081 2/4 8:59 1.0149 2.74%
Trade id #57536470
Max drawdown($770)
Time2/4/11 7:01
Quant open-1
Worst price1.0158
Drawdown as % of equity-2.74%
($694)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
1/24/11 20:12 SELL 3 @ADH1 AUSTRALIAN DOLLAR 0.9938 2/3 18:32 1.0045 18.36%
Trade id #57121252
Max drawdown($4,780)
Time2/1/11 12:40
Quant open-3
Worst price1.0097
Drawdown as % of equity-18.36%
($3,262)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $41.88
2/2/11 10:22 SELL 2 @BPH1 BRITISH POUND 1.6191 2/3 18:31 1.6130 3.72%
Trade id #57468711
Max drawdown($1,037)
Time2/3/11 4:40
Quant open-2
Worst price1.6274
Drawdown as % of equity-3.72%
$734
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92
2/1/11 10:45 BUY 3 @CDH1 CANADIAN DOLLAR 1.0055 2/3 10:33 1.0093 0%
Trade id #57420370
Max drawdown$0
Time2/1/11 10:47
Quant open3
Worst price1.0055
Drawdown as % of equity0.00%
$1,088
Includes Typical Broker Commission and AutoTrade Fees trade costs of $41.88
2/1/11 10:06 SELL 2 @ESH1 E-MINI S&P 500 1294.50 2/1 10:45 1298.25 1.36%
Trade id #57417827
Max drawdown($375)
Time2/1/11 10:44
Quant open-2
Worst price1298.25
Drawdown as % of equity-1.36%
($403)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92
1/31/11 12:40 SELL 2 @ESH1 E-MINI S&P 500 1282.00 1/31 14:31 1279.00 0.34%
Trade id #57376484
Max drawdown($100)
Time1/31/11 13:03
Quant open-2
Worst price1283.00
Drawdown as % of equity-0.34%
$272
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92
1/27/11 19:43 SELL 2 @ESH1 E-MINI S&P 500 1294.00 1/30 19:46 1267.25 2.09%
Trade id #57276112
Max drawdown($550)
Time1/28/11 9:49
Quant open-2
Worst price1299.50
Drawdown as % of equity-2.09%
$2,647
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92

Statistics

  • Strategy began
    6/15/2010
  • Age
    55 months ago
  • What it trades
    Futures
  • # Trades
    390
  • # Profitable
    165
  • % Profitable
    42.30%
  • Avg trade duration
    2.2 days
  • Max peak-to-valley drawdown
    88.16%
  • drawdown period
    Aug 11, 2010 - Dec 21, 2014
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $969.44
  • Avg loss
    $762.15
  • W:L ratio
    0.93:1
  • Open PL
    $0.00
  • Open PL (start day)
    $0.00
  • Open PL Change $
    $0.00
  • Open PL Change %
    n/a
  • Close PL
    ($11,526)
  • Closed PL (start day)
    ($11,526)
  • Closed PL Change $
    ($0.11)
  • Closed PL Change %
    n/a
  • Equity
    $8,473
  • Equity (start day)
    $8,474
  • Equity Change $
    ($0.11)
  • Equity Change %
    n/a
  • GENERAL STATISTICS
  • Age
    1651
  • # Trades
    390
  • Avg Trade Length
    2.2
  • PROFIT
  • Profit Factor
    0.9
  • SORTINO STATISTICS
  • Sortino Ratio
    -0.954
  • CALMAR STATISTICS
  • Calmar Ratio
    -0.352
  • Ann Return (w trading costs)
    n/a
  • SHARPE STATISTICS
  • Sharpe Ratio
    -0.731
  • Ann Return (Compnd, No Fees)
    -17.3%
  • 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
    100.00%
  • Chance of 50% account loss
    100.00%
  • PROFIT STATISTICS
  • APD
    -0.16
  • DRAW DOWN STATISTICS
  • Max Drawdown
    88.2%
  • POPULARITY STATISTICS
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • TOS STATISTICS
  • Trades Own System?
    0
  • TOS percent
    n/a
  • BILLING STATISTICS
  • Subscription Price
    $295
  • Billing Period (days)
    30
  • Trial Days
    4
  • WIN STATISTICS
  • Avg Loss
    $762
  • Avg Win
    $969
  • # Winners
    165
  • # Losers
    225
  • % Winners
    42.3%
  • TIME STATISTICS
  • Avg Position Time (mins)
    3186.65
  • Avg Position Time (hrs)
    53.11
  • OWNER STATISTICS
  • Developer
    -
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03941
  • SD
    1.07933
  • Sharpe ratio (Glass type estimate)
    0.03651
  • Sharpe ratio (Hedges UMVUE)
    0.03544
  • df
    26.00000
  • t
    0.05476
  • p
    0.47837
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.27048
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.34288
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.27123
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.34212
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.07675
  • Upside Potential Ratio
    1.60664
  • Upside part of mean
    0.82484
  • Downside part of mean
    -0.78544
  • Upside SD
    0.92647
  • Downside SD
    0.51340
  • N nonnegative terms
    3.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    27.00000
  • Mean of predictor
    0.27452
  • Mean of criterion
    0.03941
  • SD of predictor
    0.19071
  • SD of criterion
    1.07933
  • Covariance
    -0.03146
  • r
    -0.15282
  • b (slope, estimate of beta)
    -0.86485
  • a (intercept, estimate of alpha)
    0.27682
  • Mean Square Error
    1.18325
  • DF error
    25.00000
  • t(b)
    -0.77316
  • p(b)
    0.77666
  • t(a)
    0.35151
  • p(a)
    0.36407
  • Lowerbound of 95% confidence interval for beta
    -3.16863
  • Upperbound of 95% confidence interval for beta
    1.43893
  • Lowerbound of 95% confidence interval for alpha
    -1.34510
  • Upperbound of 95% confidence interval for alpha
    1.89874
  • Treynor index (mean / b)
    -0.04556
  • Jensen alpha (a)
    0.27682
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.39161
  • SD
    0.91019
  • Sharpe ratio (Glass type estimate)
    -0.43025
  • Sharpe ratio (Hedges UMVUE)
    -0.41770
  • df
    26.00000
  • t
    -0.64538
  • p
    0.73783
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.73803
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.88564
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.72926
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.89387
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.59808
  • Upside Potential Ratio
    0.87803
  • Upside part of mean
    0.57491
  • Downside part of mean
    -0.96652
  • Upside SD
    0.61791
  • Downside SD
    0.65477
  • N nonnegative terms
    3.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    27.00000
  • Mean of predictor
    0.25372
  • Mean of criterion
    -0.39161
  • SD of predictor
    0.19296
  • SD of criterion
    0.91019
  • Covariance
    -0.02157
  • r
    -0.12282
  • b (slope, estimate of beta)
    -0.57933
  • a (intercept, estimate of alpha)
    -0.24462
  • Mean Square Error
    0.84858
  • DF error
    25.00000
  • t(b)
    -0.61878
  • p(b)
    0.72917
  • t(a)
    -0.37151
  • p(a)
    0.64331
  • Lowerbound of 95% confidence interval for beta
    -2.50756
  • Upperbound of 95% confidence interval for beta
    1.34890
  • Lowerbound of 95% confidence interval for alpha
    -1.60075
  • Upperbound of 95% confidence interval for alpha
    1.11151
  • Treynor index (mean / b)
    0.67597
  • Jensen alpha (a)
    -0.24462
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.37175
  • Expected Shortfall on VaR
    0.43451
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.21197
  • Expected Shortfall on VaR
    0.40670
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    27.00000
  • Minimum
    0.51279
  • Quartile 1
    0.96612
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    2.29280
  • Mean of quarter 1
    0.75033
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.26553
  • Inter Quartile Range
    0.03388
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.18518
  • Mean of outliers low
    0.67867
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    1.61946
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.17175
  • VaR(95%) (moments method)
    0.19833
  • Expected Shortfall (moments method)
    0.26387
  • Extreme Value Index (regression method)
    -0.54530
  • VaR(95%) (regression method)
    0.24544
  • Expected Shortfall (regression method)
    0.29007
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.87765
  • Quartile 1
    0.87765
  • Median
    0.87765
  • Quartile 3
    0.87765
  • Maximum
    0.87765
  • 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)
    -0.25613
  • Compounded annual return (geometric extrapolation)
    -0.31727
  • Calmar ratio (compounded annual return / max draw down)
    -0.36150
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.73018
  • 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
    -0.24735
  • SD
    0.51242
  • Sharpe ratio (Glass type estimate)
    -0.48270
  • Sharpe ratio (Hedges UMVUE)
    -0.48225
  • df
    795.00000
  • t
    -0.73427
  • p
    0.76850
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.77124
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.80611
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.77092
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.80643
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.67203
  • Upside Potential Ratio
    4.07571
  • Upside part of mean
    1.50011
  • Downside part of mean
    -1.74746
  • Upside SD
    0.35631
  • Downside SD
    0.36806
  • N nonnegative terms
    114.00000
  • N negative terms
    682.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    796.00000
  • Mean of predictor
    0.28006
  • Mean of criterion
    -0.24735
  • SD of predictor
    0.21155
  • SD of criterion
    0.51242
  • Covariance
    -0.00430
  • r
    -0.03963
  • b (slope, estimate of beta)
    -0.09600
  • a (intercept, estimate of alpha)
    -0.22046
  • Mean Square Error
    0.26250
  • DF error
    794.00000
  • t(b)
    -1.11765
  • p(b)
    0.86797
  • t(a)
    -0.65290
  • p(a)
    0.74299
  • Lowerbound of 95% confidence interval for beta
    -0.26461
  • Upperbound of 95% confidence interval for beta
    0.07261
  • Lowerbound of 95% confidence interval for alpha
    -0.88329
  • Upperbound of 95% confidence interval for alpha
    0.44236
  • Treynor index (mean / b)
    2.57655
  • Jensen alpha (a)
    -0.22046
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.38106
  • SD
    0.52078
  • Sharpe ratio (Glass type estimate)
    -0.73171
  • Sharpe ratio (Hedges UMVUE)
    -0.73102
  • df
    795.00000
  • t
    -1.11305
  • p
    0.86699
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.02044
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.55748
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.01998
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.55794
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.95443
  • Upside Potential Ratio
    3.61108
  • Upside part of mean
    1.44174
  • Downside part of mean
    -1.82280
  • Upside SD
    0.33450
  • Downside SD
    0.39926
  • N nonnegative terms
    114.00000
  • N negative terms
    682.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    796.00000
  • Mean of predictor
    0.25763
  • Mean of criterion
    -0.38106
  • SD of predictor
    0.21136
  • SD of criterion
    0.52078
  • Covariance
    -0.00462
  • r
    -0.04194
  • b (slope, estimate of beta)
    -0.10334
  • a (intercept, estimate of alpha)
    -0.35444
  • Mean Square Error
    0.27108
  • DF error
    794.00000
  • t(b)
    -1.18286
  • p(b)
    0.88139
  • t(a)
    -1.03331
  • p(a)
    0.84911
  • Lowerbound of 95% confidence interval for beta
    -0.27484
  • Upperbound of 95% confidence interval for beta
    0.06815
  • Lowerbound of 95% confidence interval for alpha
    -1.02775
  • Upperbound of 95% confidence interval for alpha
    0.31888
  • Treynor index (mean / b)
    3.68736
  • Jensen alpha (a)
    -0.35444
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04619
  • Expected Shortfall on VaR
    0.05727
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01606
  • Expected Shortfall on VaR
    0.03509
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    796.00000
  • Minimum
    0.72040
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.24543
  • Mean of quarter 1
    0.97978
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01746
  • Inter Quartile Range
    0.00000
  • Number outliers low
    135.00000
  • Percentage of outliers low
    0.16960
  • Mean of outliers low
    0.97019
  • Number of outliers high
    116.00000
  • Percentage of outliers high
    0.14573
  • Mean of outliers high
    1.02995
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.15287
  • VaR(95%) (moments method)
    0.00273
  • Expected Shortfall (moments method)
    0.00419
  • Extreme Value Index (regression method)
    0.20982
  • VaR(95%) (regression method)
    0.02087
  • Expected Shortfall (regression method)
    0.04506
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00471
  • Quartile 1
    0.03891
  • Median
    0.06563
  • Quartile 3
    0.13153
  • Maximum
    0.88078
  • Mean of quarter 1
    0.01021
  • Mean of quarter 2
    0.06388
  • Mean of quarter 3
    0.11321
  • Mean of quarter 4
    0.51531
  • Inter Quartile Range
    0.09261
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.88078
  • 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)
    -0.24905
  • Compounded annual return (geometric extrapolation)
    -0.31003
  • Calmar ratio (compounded annual return / max draw down)
    -0.35200
  • Compounded annual return / average of 25% largest draw downs
    -0.60164
  • Compounded annual return / Expected Shortfall lognormal
    -5.41384
  • 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
    -0.00924
  • SD
    0.00050
  • Sharpe ratio (Glass type estimate)
    -18.45320
  • Sharpe ratio (Hedges UMVUE)
    -18.37220
  • df
    171.00000
  • t
    -13.04840
  • p
    0.90881
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -15.04340
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -21.75960
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -14.98480
  • Statistics related to Sortino ratio
  • Sortino ratio
    -17.27730
  • Upside Potential Ratio
    1.21594
  • Upside part of mean
    0.00065
  • Downside part of mean
    -0.00989
  • Upside SD
    0.00046
  • Downside SD
    0.00053
  • N nonnegative terms
    1.00000
  • N negative terms
    171.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.58536
  • Mean of criterion
    -0.00924
  • SD of predictor
    0.20297
  • SD of criterion
    0.00050
  • Covariance
    0.00000
  • r
    0.03065
  • b (slope, estimate of beta)
    0.00008
  • a (intercept, estimate of alpha)
    -0.00929
  • Mean Square Error
    0.00000
  • DF error
    170.00000
  • t(b)
    0.39981
  • p(b)
    0.48468
  • t(a)
    -12.92250
  • p(a)
    0.85197
  • Lowerbound of 95% confidence interval for beta
    -0.00030
  • Upperbound of 95% confidence interval for beta
    0.00045
  • Lowerbound of 95% confidence interval for alpha
    -0.01070
  • Upperbound of 95% confidence interval for alpha
    -0.00787
  • Treynor index (mean / b)
    -122.20200
  • Jensen alpha (a)
    -0.00929
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00924
  • SD
    0.00050
  • Sharpe ratio (Glass type estimate)
    -18.45650
  • Sharpe ratio (Hedges UMVUE)
    -18.37540
  • df
    171.00000
  • t
    -13.05070
  • p
    0.90884
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -15.04640
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -21.76300
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -14.98780
  • Statistics related to Sortino ratio
  • Sortino ratio
    -17.27750
  • Upside Potential Ratio
    1.21573
  • Upside part of mean
    0.00065
  • Downside part of mean
    -0.00989
  • Upside SD
    0.00046
  • Downside SD
    0.00053
  • N nonnegative terms
    1.00000
  • N negative terms
    171.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.56445
  • Mean of criterion
    -0.00924
  • SD of predictor
    0.20253
  • SD of criterion
    0.00050
  • Covariance
    0.00000
  • r
    0.03101
  • b (slope, estimate of beta)
    0.00008
  • a (intercept, estimate of alpha)
    -0.00929
  • Mean Square Error
    0.00000
  • DF error
    170.00000
  • t(b)
    0.40454
  • p(b)
    0.48449
  • t(a)
    -12.93370
  • p(a)
    0.85213
  • Lowerbound of 95% confidence interval for beta
    -0.00030
  • Upperbound of 95% confidence interval for beta
    0.00045
  • Lowerbound of 95% confidence interval for alpha
    -0.01070
  • Upperbound of 95% confidence interval for alpha
    -0.00787
  • Treynor index (mean / b)
    -120.53500
  • Jensen alpha (a)
    -0.00929
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00007
  • Expected Shortfall on VaR
    0.00008
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00003
  • Expected Shortfall on VaR
    0.00003
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00035
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00001
  • 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
    1.00000
  • Percentage of outliers high
    0.00581
  • Mean of outliers high
    1.00035
  • 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)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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)
    0.00071
  • Compounded annual return (geometric extrapolation)
    0.00071
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    8.58133

Strategy Description

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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