Pairs Trading
- hypothetical · Annual Return (Compounded)
- 0.0%
- Max Drawdown
- 100.0%
- Trades
- 190
- Win Trades
- 71.6%
- Profit Factor
- 0.30
- Win Months
- 32.6%
About this strategy
The system is built on careful research and extensive back testing of daily adjusted closing prices of US equities going back over 20 years from today. A combination of options and single name equities are used in managing the portfolio. We have real experience using IB trade workstation for about a year and half using this strategy on a portfolio of close to $50K.
The results were tracked on our live blog at
http://mkt-neutral.blogspot.com
The portfolio is managed with strict risk controls with holding period limits, stop gains, and stop losses on all pairs. Maximum concentration at inception is not more than 8% on each leg of a trade.
The main strategy is one of convergence. We comb through over 6000 securities in the US market on a daily basis, and identify pairs of stocks that are co-integrated over a specific period of time, but have diverged from the mean by x standard deviation through this period. We short the stock that we believe is overvalued and long the one that we believe is under valued.
The trades posted here are for a portfolio of size $50K, however one can scale it lower to manage a smaller portfolio. Our experience has shown that the trading cost can range anywhere from 50 to 150bps annually.
We take a broader view view when it comes to what we call a pair. About 60% of the trades will b pairs of stocks. The rest of the trades could be pairs of positions in the same name, or pairs of options positions in two different stocks. Some of the recent trades that were executed include
Strangle on TIF
Covered call on MSFT
Calendar call spread on GOOG.
Put buying on MAR.
Put buying on PLL.
Direct put/call buying is a low risk strategy if done in small increments and hence we may not have hedges in place as your max loss is limited by the premium. But we are very well aware of the theta decay and hence keep this kind of strategy to the minimum.
We may also try to offset some of these buying with selling options. We are always aware of the worst case exposure when selling uncovered options. Hence uncovered options are usually limited to very short time frames or ones that result in low worst case exposure.
Selling one call on MAR on a portfolio of $50K is manageable. However selling one call on AAPL is not manageable.
The results were tracked on our live blog at
http://mkt-neutral.blogspot.com
The portfolio is managed with strict risk controls with holding period limits, stop gains, and stop losses on all pairs. Maximum concentration at inception is not more than 8% on each leg of a trade.
The main strategy is one of convergence. We comb through over 6000 securities in the US market on a daily basis, and identify pairs of stocks that are co-integrated over a specific period of time, but have diverged from the mean by x standard deviation through this period. We short the stock that we believe is overvalued and long the one that we believe is under valued.
The trades posted here are for a portfolio of size $50K, however one can scale it lower to manage a smaller portfolio. Our experience has shown that the trading cost can range anywhere from 50 to 150bps annually.
We take a broader view view when it comes to what we call a pair. About 60% of the trades will b pairs of stocks. The rest of the trades could be pairs of positions in the same name, or pairs of options positions in two different stocks. Some of the recent trades that were executed include
Strangle on TIF
Covered call on MSFT
Calendar call spread on GOOG.
Put buying on MAR.
Put buying on PLL.
Direct put/call buying is a low risk strategy if done in small increments and hence we may not have hedges in place as your max loss is limited by the premium. But we are very well aware of the theta decay and hence keep this kind of strategy to the minimum.
We may also try to offset some of these buying with selling options. We are always aware of the worst case exposure when selling uncovered options. Hence uncovered options are usually limited to very short time frames or ones that result in low worst case exposure.
Selling one call on MAR on a portfolio of $50K is manageable. However selling one call on AAPL is not manageable.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2011 | -1.4 | 2.7 | -0.5 | -1.6 | 0.9 | 7.7 | -0.5 | -1.7 | 0.7 | -3.5 | 4.1 | -0.1 | 6.5 |
| 2012 | -7.7 | 6.0 | -0.8 | 1.5 | 1.7 | -1.2 | 1.8 | -1.0 | -0.2 | -0.2 | -0.2 | 0.0 | -1.1 |
| 2013 | -0.7 | -0.3 | -0.9 | -1.9 | -0.2 | 1.3 | 0.6 | 0.1 | 0.6 | -1.7 | 0.1 | -1.5 | -4.5 |
| 2014 | -0.4 | -1.6 | 1.1 | -0.5 | -0.6 | -2.9 | 1.7 | -2.2 | 1.6 | -2.1 | -0.7 | -1.0 | -7.6 |
| 2015 | 2.2 | -2.8 | 2.1 | -2.0 | -0.2 | 1.5 | 0.2 | 2.8 | 2.2 | -4.2 | -0.7 | -0.2 | 0.7 |
| 2016 | 3.8 | -0.5 | -2.6 | 0.3 | -0.7 | 0.4 | -2.0 | -0.6 | 0.4 | 0.8 | -2.0 | -0.3 | -3.2 |
| 2017 | -1.2 | -2.1 | 0.2 | -2.3 | -1.6 | 0.3 | -1.2 | 0.4 | -2.3 | 6.4 | -1.3 | -1.0 | -5.8 |
| 2018 | -4.1 | 3.5 | 1.4 | -0.7 | -2.0 | 0.6 | -2.9 | -1.8 | -0.2 | 4.7 | -0.8 | 6.3 | 3.4 |
| 2019 | -3.4 | -3.9 | -1.7 | -2.6 | 0.3 | -0.2 | -0.7 | 0.6 | -1.1 | -2.0 | -2.0 | -3.2 | -18.3 |
| 2020 | -0.1 | 2.8 | 18.5 | -9.4 | -5.7 | -0.8 | -3.3 | -8.6 | 6.7 | -0.8 | -10.3 | -1.9 | -15.2 |
| 2021 | -0.8 | -6.2 | -1.0 | -8.5 | 0.8 | -4.9 | -1.2 | -9.2 | 4.3 | -7.8 | 0.1 | -5.5 | -34.1 |
| 2022 | 19.5 | -1.9 | -6.5 | 16.4 | -1.3 | 15.0 | -12.0 | 5.6 | 11.8 | -3.3 | -7.8 | 0.8 | 35.3 |
| 2023 | -2.7 | 1.0 | 1.5 | -7.4 | -3.6 | -8.0 | -7.8 | 7.4 | 0.6 | 7.8 | -14.5 | -10.2 | -32.5 |
| 2024 | -0.7 | -17.6 | -10.1 | 5.9 | -13.1 | -12.1 | -2.4 | 13.4 | -31.8 | -5.6 | 0.0 | ||
| 2025 | -16.7 | -17.0 | 68.5 | 5.3 | 0.0 | -79.9 | -83.6 | -863.5 | -133.8 | -60.0 | -217.3 | -123.9 | |
| 2026 | -15.6 | -9.1 | -84.5 | -884.5 | -47.3 | -11.6 | -5.8 | -29.4 | -3.2 |
Statistics
Overview
| Strategy began | 1/4/2011 |
|---|---|
| Suggested Minimum Capital | $50,000 |
| Age | 192 months |
| What it trades | Stocks, Options |
| # Trades | 190 |
| # Profitable | 136 |
| % Profitable | 71.6% |
| Avg trade duration | 70.8 days |
| Max peak-to-valley drawdown | 100.0% |
| drawdown period | Sept 01, 2025 - Aug 08, 2026 |
| Annual Return (Compounded) | 0.0% |
| Avg win | $197 |
| Avg loss | $1,434 |
Ratios
| W:L ratio | 0.25 |
|---|---|
| Sharpe Ratio | -0.34 |
| Sortino Ratio | -0.35 |
| Calmar Ratio | -0.88 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.24 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 500.2% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -632.0% |
Return Statistics
| Ann Return (w trading costs) | 0.0% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 0.0% |
Slump
| Current Slump as Pcnt Equity | — |
|---|---|
| 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 | 0.4% |
| Percent Trades Stocks | 0.6% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 100.0% |
|---|---|
| Chance of 20% account loss | 100.0% |
| Chance of 30% account loss | 0.0% |
| Chance of 40% account loss | 0.0% |
| Chance of 50% account loss | 0.0% |
| Chance of 60% account loss (Monte Carlo) | 0.0% |
| Chance of 70% account loss (Monte Carlo) | 0.0% |
| Chance of 80% account loss (Monte Carlo) | 0.0% |
| Chance of 90% account loss (Monte Carlo) | 0.0% |
| Chance of 100% account loss (Monte Carlo) | 0.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Popularity
| Popularity (Today) | 0 |
|---|---|
| Popularity (Last 6 weeks) | 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 | $1,434 |
|---|---|
| Avg Win | $197 |
| # Winners | 136 |
| Sum Trade PL (losers) | $77,420 |
| Sum Trade PL (winners) | $26,740 |
| Num Months Winners | 62 |
| # Losers | 54 |
| % Winners | 71.6% |
Dividends
| Dividends Received in Model Acct | -7154 |
|---|
Age
| Num Months filled monthly returns table | 177 |
|---|
Frequency
| Avg Position Time (mins) | 101881.35 |
|---|---|
| Avg Position Time (hrs) | 1698.02 |
| Avg Trade Length | 70.80 |
| Last Trade Ago | 4964 |
Regression
| Alpha | 0 |
|---|---|
| Beta | -1.10 |
| Treynor Index | 0 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0 |
| MAE:Equity, average, losing trades | 0.01 |
| 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 | -2.01 |
| MAE:PL (avg, all trades) | 0.43 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 40.53 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 31.11 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.91 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.13 |
| Hold-and-Hope Ratio | -0.83 |
RATIO STATISTICS
| Mean | -0.41 |
|---|---|
| SD | 0.47 |
| Sharpe ratio (Glass type estimate) | -0.87 |
| Sharpe ratio (Hedges UMVUE) | -0.86 |
| df | 59 |
| t | -1.95 |
| p | 0.97 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.76 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.02 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.75 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.03 |
| Sortino ratio | -0.86 |
| Upside Potential Ratio | 0.18 |
| Upside part of mean | 0.08 |
| Downside part of mean | -0.49 |
| Upside SD | 0.06 |
| Downside SD | 0.48 |
| N nonnegative terms | 22 |
| N negative terms | 38 |
| N of observations | 60 |
| Mean of predictor | 0.34 |
| Mean of criterion | -0.41 |
| SD of predictor | 0.25 |
| SD of criterion | 0.47 |
| Covariance | -0.08 |
| r | -0.69 |
| b (slope, estimate of beta) | -1.32 |
| a (intercept, estimate of alpha) | 0.04 |
| Mean Square Error | 0.12 |
| DF error | 58 |
| t(b) | -7.25 |
| p(b) | 1 |
| t(a) | 0.23 |
| p(a) | 0.41 |
| Lowerbound of 95% confidence interval for beta | -1.68 |
| Upperbound of 95% confidence interval for beta | -0.95 |
| Lowerbound of 95% confidence interval for alpha | -0.29 |
| Upperbound of 95% confidence interval for alpha | 0.37 |
| Treynor index (mean / b) | 0.31 |
| Jensen alpha (a) | 0.04 |
| Mean | -0.75 |
| SD | 1.12 |
| Sharpe ratio (Glass type estimate) | -0.67 |
| Sharpe ratio (Hedges UMVUE) | -0.67 |
| df | 59 |
| t | -1.51 |
| p | 0.93 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.56 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.21 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.55 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.22 |
| Sortino ratio | -0.67 |
| Upside Potential Ratio | 0.07 |
| Upside part of mean | 0.08 |
| Downside part of mean | -0.84 |
| Upside SD | 0.05 |
| Downside SD | 1.13 |
| N nonnegative terms | 22 |
| N negative terms | 38 |
| N of observations | 60 |
| Mean of predictor | 0.31 |
| Mean of criterion | -0.75 |
| SD of predictor | 0.23 |
| SD of criterion | 1.12 |
| Covariance | -0.13 |
| r | -0.52 |
| b (slope, estimate of beta) | -2.53 |
| a (intercept, estimate of alpha) | 0.03 |
| Mean Square Error | 0.92 |
| DF error | 58 |
| t(b) | -4.64 |
| p(b) | 1.00 |
| t(a) | 0.06 |
| p(a) | 0.48 |
| Lowerbound of 95% confidence interval for beta | -3.62 |
| Upperbound of 95% confidence interval for beta | -1.44 |
| Lowerbound of 95% confidence interval for alpha | -0.90 |
| Upperbound of 95% confidence interval for alpha | 0.95 |
| Treynor index (mean / b) | 0.30 |
| Jensen alpha (a) | 0.03 |
| VaR(95%) | 0.45 |
| Expected Shortfall on VaR | 0.51 |
| VaR(95%) | 0.11 |
| Expected Shortfall on VaR | 0.24 |
| Mean | 21.11 |
| SD | 34.87 |
| Sharpe ratio (Glass type estimate) | 0.61 |
| Sharpe ratio (Hedges UMVUE) | 0.60 |
| df | 1321 |
| t | 1.36 |
| p | 0.48 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.27 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.48 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.27 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.48 |
| Sortino ratio | 24.92 |
| Upside Potential Ratio | 27.44 |
| Upside part of mean | 23.24 |
| Downside part of mean | -2.14 |
| Upside SD | 34.87 |
| Downside SD | 0.85 |
| N nonnegative terms | 525 |
| N negative terms | 797 |
| N of observations | 1322 |
| Mean of predictor | 0.36 |
| Mean of criterion | 21.11 |
| SD of predictor | 0.28 |
| SD of criterion | 34.87 |
| Covariance | -0.61 |
| r | -0.06 |
| b (slope, estimate of beta) | -7.74 |
| a (intercept, estimate of alpha) | 23.91 |
| Mean Square Error | 1212.26 |
| DF error | 1320 |
| t(b) | -2.27 |
| p(b) | 0.53 |
| t(a) | 1.54 |
| p(a) | 0.48 |
| Lowerbound of 95% confidence interval for beta | -14.44 |
| Upperbound of 95% confidence interval for beta | -1.05 |
| Lowerbound of 95% confidence interval for alpha | -6.59 |
| Upperbound of 95% confidence interval for alpha | 54.42 |
| Treynor index (mean / b) | -2.73 |
| Jensen alpha (a) | 23.91 |
| Mean | -2.17 |
| SD | 5.40 |
| Sharpe ratio (Glass type estimate) | -0.40 |
| Sharpe ratio (Hedges UMVUE) | -0.40 |
| df | 1321 |
| t | -0.90 |
| p | 0.52 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.27 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.47 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.27 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.47 |
| Sortino ratio | -0.46 |
| Upside Potential Ratio | 0.58 |
| Upside part of mean | 2.73 |
| Downside part of mean | -4.91 |
| Upside SD | 2.60 |
| Downside SD | 4.73 |
| N nonnegative terms | 525 |
| N negative terms | 797 |
| N of observations | 1322 |
| Mean of predictor | 0.32 |
| Mean of criterion | -2.17 |
| SD of predictor | 0.29 |
| SD of criterion | 5.40 |
| Covariance | -0.33 |
| r | -0.22 |
| b (slope, estimate of beta) | -4.10 |
| a (intercept, estimate of alpha) | -0.85 |
| Mean Square Error | 27.84 |
| DF error | 1320 |
| t(b) | -8.06 |
| p(b) | 0.61 |
| t(a) | -0.36 |
| p(a) | 0.50 |
| Lowerbound of 95% confidence interval for beta | -5.10 |
| Upperbound of 95% confidence interval for beta | -3.10 |
| Lowerbound of 95% confidence interval for alpha | -5.47 |
| Upperbound of 95% confidence interval for alpha | 3.77 |
| Treynor index (mean / b) | 0.53 |
| Jensen alpha (a) | -0.85 |
| VaR(95%) | 0.43 |
| Expected Shortfall on VaR | 0.50 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.05 |
| Mean | 214.06 |
| SD | 110.44 |
| Sharpe ratio (Glass type estimate) | 1.94 |
| Sharpe ratio (Hedges UMVUE) | 1.93 |
| df | 130 |
| t | 1.37 |
| p | 0.44 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.85 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.72 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.85 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.71 |
| Sortino ratio | 80.02 |
| Upside Potential Ratio | 86.00 |
| Upside part of mean | 230.05 |
| Downside part of mean | -15.99 |
| Upside SD | 110.78 |
| Downside SD | 2.68 |
| N nonnegative terms | 39 |
| N negative terms | 92 |
| N of observations | 131 |
| Mean of predictor | 1.28 |
| Mean of criterion | 214.06 |
| SD of predictor | 0.46 |
| SD of criterion | 110.44 |
| Covariance | -6.74 |
| r | -0.13 |
| b (slope, estimate of beta) | -31.57 |
| a (intercept, estimate of alpha) | 254.32 |
| Mean Square Error | 12078.17 |
| DF error | 129 |
| t(b) | -1.51 |
| p(b) | 0.58 |
| t(a) | 1.61 |
| p(a) | 0.41 |
| Lowerbound of 95% confidence interval for beta | -72.84 |
| Upperbound of 95% confidence interval for beta | 9.71 |
| Lowerbound of 95% confidence interval for alpha | -57.66 |
| Upperbound of 95% confidence interval for alpha | 566.30 |
| Treynor index (mean / b) | -6.78 |
| Jensen alpha (a) | 254.32 |
| Mean | -20.77 |
| SD | 17.17 |
| Sharpe ratio (Glass type estimate) | -1.21 |
| Sharpe ratio (Hedges UMVUE) | -1.20 |
| df | 130 |
| t | -0.86 |
| p | 0.54 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.98 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.57 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.98 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.57 |
| Sortino ratio | -1.38 |
| Upside Potential Ratio | 1.54 |
| Upside part of mean | 23.14 |
| Downside part of mean | -43.91 |
| Upside SD | 8.26 |
| Downside SD | 15.04 |
| N nonnegative terms | 39 |
| N negative terms | 92 |
| N of observations | 131 |
| Mean of predictor | 1.17 |
| Mean of criterion | -20.77 |
| SD of predictor | 0.46 |
| SD of criterion | 17.17 |
| Covariance | -3.11 |
| r | -0.39 |
| b (slope, estimate of beta) | -14.70 |
| a (intercept, estimate of alpha) | -3.61 |
| Mean Square Error | 251.12 |
| DF error | 129 |
| t(b) | -4.87 |
| p(b) | 0.74 |
| t(a) | -0.16 |
| p(a) | 0.51 |
| Lowerbound of 95% confidence interval for beta | -20.68 |
| VAR (95 Confidence Intrvl) | 0.43 |
| Upperbound of 95% confidence interval for beta | -8.72 |
| Lowerbound of 95% confidence interval for alpha | -48.50 |
| Upperbound of 95% confidence interval for alpha | 41.27 |
| Treynor index (mean / b) | 1.41 |
| Jensen alpha (a) | -3.61 |
| VaR(95%) | 0.84 |
| Expected Shortfall on VaR | 0.89 |
| VaR(95%) | 0.17 |
| Expected Shortfall on VaR | 0.36 |
ORDER STATISTICS
| Number of observations | 60 |
|---|---|
| Minimum | 0.09 |
| Quartile 1 | 0.98 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.08 |
| Mean of quarter 1 | 0.85 |
| Mean of quarter 2 | 0.99 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.03 |
| Inter Quartile Range | 0.03 |
| Number outliers low | 5 |
| Percentage of outliers low | 0.08 |
| Mean of outliers low | 0.63 |
| Number of outliers high | 2 |
| Percentage of outliers high | 0.03 |
| Mean of outliers high | 1.07 |
| Extreme Value Index (moments method) | 1.16 |
| VaR(95%) (moments method) | 0.13 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 1.50 |
| VaR(95%) (regression method) | 0.10 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 1322 |
| Minimum | 0.00 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.00 |
| Maximum | 61 |
| Mean of quarter 1 | 0.97 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.35 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 126 |
| Percentage of outliers low | 0.10 |
| Mean of outliers low | 0.93 |
| Number of outliers high | 84 |
| Percentage of outliers high | 0.06 |
| Mean of outliers high | 2.38 |
| Extreme Value Index (moments method) | 1.12 |
| VaR(95%) (moments method) | 0.02 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 1.07 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 131 |
| Minimum | 0.00 |
| Quartile 1 | 0.95 |
| Median | 0.98 |
| Quartile 3 | 1.01 |
| Maximum | 61 |
| Mean of quarter 1 | 0.79 |
| Mean of quarter 2 | 0.97 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 4.48 |
| Inter Quartile Range | 0.06 |
| Number outliers low | 11 |
| Percentage of outliers low | 0.08 |
| Mean of outliers low | 0.52 |
| Number of outliers high | 11 |
| Percentage of outliers high | 0.08 |
| Mean of outliers high | 11.37 |
| Extreme Value Index (moments method) | 0.90 |
| VaR(95%) (moments method) | 0.22 |
| Expected Shortfall (moments method) | 2.27 |
| Extreme Value Index (regression method) | 0.31 |
| VaR(95%) (regression method) | 0.16 |
| Expected Shortfall (regression method) | 0.30 |
DRAW DOWN STATISTICS
| Number of observations | 4 |
|---|---|
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.04 |
| Quartile 3 | 0.29 |
| Maximum | 0.98 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.06 |
| Mean of quarter 4 | 0.98 |
| Inter Quartile Range | 0.28 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.25 |
| Mean of outliers high | 0.98 |
| 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 | 20 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.00 |
| Quartile 3 | 0.02 |
| Maximum | 1.00 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.00 |
| Mean of quarter 3 | 0.01 |
| Mean of quarter 4 | 0.24 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 2 |
| Percentage of outliers high | 0.10 |
| Mean of outliers high | 0.55 |
| Extreme Value Index (moments method) | 1.37 |
| VaR(95%) (moments method) | 0.17 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 2.21 |
| VaR(95%) (regression method) | 0.29 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 3 |
| Minimum | 0.17 |
| Quartile 1 | 0.19 |
| Median | 0.22 |
| Quartile 3 | 0.61 |
| Maximum | 1.00 |
| Mean of quarter 1 | 0.17 |
| Mean of quarter 2 | 0.22 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 1.00 |
| Inter Quartile Range | 0.42 |
| 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? | -513147584 |
| Max Equity Drawdown (num days) | 341 |
| Last 4 Months - Pcnt Negative | 0.8% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | -0.19 |
|---|---|
| Compounded annual return (geometric extrapolation) | -0.52 |
| Calmar ratio (compounded annual return / max draw down) | -0.53 |
| Compounded annual return / average of 25% largest draw downs | -0.53 |
| Compounded annual return / Expected Shortfall lognormal | -1.00 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.20 |
| Compounded annual return (geometric extrapolation) | -0.88 |
| Calmar ratio (compounded annual return / max draw down) | -0.88 |
| Compounded annual return / average of 25% largest draw downs | -3.68 |
| Compounded annual return / Expected Shortfall lognormal | -1.77 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -2.00 |
| Compounded annual return (geometric extrapolation) | -1 |
| Calmar ratio (compounded annual return / max draw down) | -1.00 |
| Compounded annual return / average of 25% largest draw downs | -1.00 |
| Compounded annual return / Expected Shortfall lognormal | -1.12 |
Trading record
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| SPY1316C155 | short | 1 | Mar 5, 2013 | Mar 17, 2013 | $68 |
| BBRY1316O12 | short | 2 | Mar 5, 2013 | Mar 17, 2013 | $69 |
| BBRY1301O12.5 | short | 2 | Feb 22, 2013 | Mar 2, 2013 | $49 |
| BBRY1322N13 | short | 3 | Feb 21, 2013 | Feb 23, 2013 | $31 |
| SPY1319A147 | short | 1 | Jan 9, 2013 | Jan 20, 2013 | $57 |
| RIMM1319M11 | short | 3 | Jan 9, 2013 | Jan 20, 2013 | $55 |
| RIMM1311M11 | short | 2 | Dec 31, 2012 | Jan 9, 2013 | $55 |
| FB | short | 200 | Dec 6, 2012 | Dec 29, 2012 | $230 |
| FB1228X26 | short | 2 | Dec 26, 2012 | Dec 29, 2012 | $19 |
| RIMM1228L11.5 | short | 1 | Dec 27, 2012 | Dec 29, 2012 | $22 |
| RIMM1228L10 | short | 2 | Dec 24, 2012 | Dec 29, 2012 | $143 |
| FB1222X26 | short | 2 | Dec 17, 2012 | Dec 23, 2012 | $89 |
| FB1214X26 | short | 2 | Dec 6, 2012 | Dec 15, 2012 | $69 |
| SPY | short | 100 | Aug 2, 2012 | Aug 24, 2012 | ($463) |
| SPY1203T136 | short | 1 | Aug 2, 2012 | Aug 4, 2012 | $66 |
| SPY | short | 400 | Jun 25, 2012 | Jul 24, 2012 | $157 |
| SPY1221G136 | short | 2 | Jul 13, 2012 | Jul 22, 2012 | $178 |
| SPY1213S134 | short | 2 | Jul 6, 2012 | Jul 13, 2012 | $139 |
| SPY1229R130 | short | 1 | Jun 25, 2012 | Jun 30, 2012 | $82 |
| SPY1229F135 | short | 1 | Jun 22, 2012 | Jun 30, 2012 | $42 |
| SPY1229R134 | short | 2 | Jun 19, 2012 | Jun 22, 2012 | ($178) |
| SPY1222F135 | short | 1 | Jun 14, 2012 | Jun 22, 2012 | $68 |
| SPY1222R130 | short | 1 | Jun 14, 2012 | Jun 19, 2012 | $92 |
| SPY1222R132 | short | 1 | Jun 15, 2012 | Jun 19, 2012 | $106 |
| SPY1216R127 | short | 1 | Jun 8, 2012 | Jun 17, 2012 | $20 |
| SPY1216F132 | short | 1 | Jun 1, 2012 | Jun 17, 2012 | $72 |
| SPY1216R128 | long | 1 | Jun 1, 2012 | Jun 17, 2012 | ($262) |
| SPY1208R126 | short | 1 | Jun 1, 2012 | Jun 9, 2012 | $99 |
| SPY1208F132 | long | 1 | Jun 1, 2012 | Jun 8, 2012 | $33 |
| SPY1216F135 | short | 1 | May 30, 2012 | Jun 4, 2012 | $69 |
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.