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MicroBear/ Short Positions Only

Created by:
Don Kim
Don Kim
Started: 04/2011
Futures
Last trade: 119 days ago

Subscription terms. You can subscribe to this system for free.

-4.4%
Annual Return (Compounded)
24.2%
Max Drawdown
210
Num Trades
56.7%
Win Trades
1.3 : 1
Profit Factor
41.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                     (0.3%)+1.8%+7.0%(4.6%)+12.0%+11.8%(2.8%)+0.5%(0.5%)+26.1%
2012(5.4%)(4.1%)+2.1%+0.6%+0.7%+9.1%+0.1%+4.8%  -  (1%)(8.3%)(4.6%)(6.9%)
2013+1.2%(0.4%)+1.5%  -  +0.9%+0.6%+1.5%(2.1%)(0.6%)  -  +1.8%(14.5%)(10.7%)
2014+0.7%(0.6%)(0.9%)(8.8%)(0.1%)(8.7%)  -    -    -    -              (17.5%)

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
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Opened ETB/S#Symbol PriceClosedPriceDDP/L
6/27/14 14:08 SELL 1 @ESU4 E-MINI S&P 500 1948.50 6/27 14:22 1947.50 0%
Trade id #88330967
Max drawdown$0
Time6/27/14 14:10
Quant open-1
Worst price1948.50
Drawdown as % of equity0.00%
$36
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
6/26/14 14:02 SELL 1 @ESU4 E-MINI S&P 500 1947.50 6/26 14:11 1947.50 0.68%
Trade id #88307518
Max drawdown($50)
Time6/26/14 14:06
Quant open-1
Worst price1948.50
Drawdown as % of equity-0.68%
($14)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
6/16/14 12:32 BUY 2 @ESM4 E-MINI S&P 500 1935.25 6/16 16:10 1936.50 2.77%
Trade id #88126518
Max drawdown($200)
Time6/16/14 15:17
Quant open2
Worst price1933.25
Drawdown as % of equity-2.77%
$97
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92
6/16/14 10:57 BUY 2 @ESM4 E-MINI S&P 500 1938.62 6/16 12:11 1934.12 11.58%
Trade id #88124333
Max drawdown($837)
Time6/16/14 11:38
Quant open2
Worst price1930.25
Drawdown as % of equity-11.58%
($478)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92
6/16/14 10:03 SELL 1 @ESM4 E-MINI S&P 500 1937.75 6/16 10:57 1938.50 1.98%
Trade id #88122789
Max drawdown($150)
Time6/16/14 10:23
Quant open-1
Worst price1940.75
Drawdown as % of equity-1.98%
($52)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
5/20/14 14:07 SELL 1 @ESM4 E-MINI S&P 500 1867.75 5/20 14:38 1865.75 0.98%
Trade id #87662331
Max drawdown($75)
Time5/20/14 14:21
Quant open-1
Worst price1869.25
Drawdown as % of equity-0.98%
$86
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
5/16/14 14:57 SELL 1 @ESM4 E-MINI S&P 500 1870.25 5/16 15:20 1873.50 3.06%
Trade id #87615336
Max drawdown($237)
Time5/16/14 15:12
Quant open-1
Worst price1875.00
Drawdown as % of equity-3.06%
($177)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
5/6/14 10:31 SELL 1 @ESM4 E-MINI S&P 500 1875.25 5/6 10:41 1873.25 0%
Trade id #87412994
Max drawdown$0
Time5/6/14 10:33
Quant open-1
Worst price1875.25
Drawdown as % of equity0.00%
$86
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
4/15/14 13:32 SELL 1 @ESM4 E-MINI S&P 500 1816.25 4/15 14:15 1827.00 7.01%
Trade id #87069164
Max drawdown($575)
Time4/15/14 14:06
Quant open-1
Worst price1827.75
Drawdown as % of equity-7.01%
($552)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
4/10/14 14:05 SELL 1 @ESM4 E-MINI S&P 500 1839.25 4/10 14:26 1838.00 1.24%
Trade id #86987985
Max drawdown($100)
Time4/10/14 14:16
Quant open-1
Worst price1841.25
Drawdown as % of equity-1.24%
$49
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
4/8/14 11:05 SELL 1 @ESM4 E-MINI S&P 500 1843.00 4/8 11:48 1842.00 2.31%
Trade id #86926105
Max drawdown($187)
Time4/8/14 11:20
Quant open-1
Worst price1846.75
Drawdown as % of equity-2.31%
$36
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
4/7/14 14:51 SELL 1 @ESM4 E-MINI S&P 500 1840.75 4/7 15:45 1841.75 3.3%
Trade id #86904053
Max drawdown($262)
Time4/7/14 15:28
Quant open-1
Worst price1846.00
Drawdown as % of equity-3.30%
($64)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
4/3/14 13:42 SELL 1 @ESM4 E-MINI S&P 500 1881.75 4/3 14:03 1880.00 0.47%
Trade id #86848192
Max drawdown($37)
Time4/3/14 13:44
Quant open-1
Worst price1882.50
Drawdown as % of equity-0.47%
$74
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
3/27/14 10:20 SELL 1 @ESM4 E-MINI S&P 500 1847.50 3/27 10:44 1844.50 0.47%
Trade id #86717728
Max drawdown($37)
Time3/27/14 10:22
Quant open-1
Worst price1848.25
Drawdown as % of equity-0.47%
$136
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
3/26/14 14:52 SELL 1 @ESM4 E-MINI S&P 500 1854.00 3/26 15:13 1852.50 1.28%
Trade id #86698338
Max drawdown($100)
Time3/26/14 15:01
Quant open-1
Worst price1856.00
Drawdown as % of equity-1.28%
$61
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
3/25/14 12:47 SELL 1 @ESM4 E-MINI S&P 500 1854.50 3/25 14:17 1858.25 4.05%
Trade id #86668148
Max drawdown($325)
Time3/25/14 14:12
Quant open-1
Worst price1861.00
Drawdown as % of equity-4.05%
($202)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
3/20/14 10:14 SELL 1 @ESM4 E-MINI S&P 500 1857.00 3/20 11:02 1856.50 2.06%
Trade id #86583973
Max drawdown($162)
Time3/20/14 10:45
Quant open-1
Worst price1860.25
Drawdown as % of equity-2.06%
$11
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
3/12/14 11:25 SELL 1 @ESH4 E-MINI S&P 500 1867.75 3/12 16:10 1868.50 0.46%
Trade id #86427627
Max drawdown($38)
Time3/12/14 16:10
Quant open0
Worst price1868.50
Drawdown as % of equity-0.46%
($52)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
2/20/14 12:18 SELL 1 @ESH4 E-MINI S&P 500 1835.75 2/20 14:40 1837.25 1.85%
Trade id #86084915
Max drawdown($150)
Time2/20/14 14:19
Quant open-1
Worst price1838.75
Drawdown as % of equity-1.85%
($89)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
2/19/14 13:13 SELL 1 @ESH4 E-MINI S&P 500 1836.00 2/19 13:56 1835.75 0.93%
Trade id #86062097
Max drawdown($75)
Time2/19/14 13:26
Quant open-1
Worst price1837.50
Drawdown as % of equity-0.93%
($1)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
2/14/14 10:26 SELL 1 @ESH4 E-MINI S&P 500 1830.75 2/14 11:29 1829.75 1.24%
Trade id #85798191
Max drawdown($100)
Time2/14/14 10:35
Quant open-1
Worst price1832.75
Drawdown as % of equity-1.24%
$36
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
2/13/14 10:16 SELL 2 @ESH4 E-MINI S&P 500 1815.50 2/13 10:35 1812.62 0.97%
Trade id #85774603
Max drawdown($75)
Time2/13/14 10:18
Quant open-2
Worst price1816.25
Drawdown as % of equity-0.97%
$260
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92
2/5/14 11:36 SELL 1 @ESH4 E-MINI S&P 500 1743.50 2/5 12:23 1748.00 2.84%
Trade id #85604026
Max drawdown($225)
Time2/5/14 12:23
Quant open0
Worst price1748.00
Drawdown as % of equity-2.84%
($239)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
1/31/14 10:08 SELL 1 @ESH4 E-MINI S&P 500 1773.50 1/31 10:23 1770.50 0.16%
Trade id #85516721
Max drawdown($12)
Time1/31/14 10:13
Quant open-1
Worst price1773.75
Drawdown as % of equity-0.16%
$136
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
1/9/14 14:45 SELL 1 @ESH4 E-MINI S&P 500 1831.00 1/9 15:32 1832.75 1.9%
Trade id #85085058
Max drawdown($150)
Time1/9/14 15:24
Quant open-1
Worst price1834.00
Drawdown as % of equity-1.90%
($102)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
12/18/13 13:59 SELL 1 @ESH4 E-MINI S&P 500 1772.00 12/18 14:23 1786.75 9.82%
Trade id #84701207
Max drawdown($850)
Time12/18/13 14:08
Quant open-1
Worst price1789.00
Drawdown as % of equity-9.82%
($752)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
12/4/13 14:12 SELL 1 @ESZ3 E-MINI S&P 500 1785.75 12/4 14:50 1788.25 1.72%
Trade id #84422045
Max drawdown($150)
Time12/4/13 14:46
Quant open-1
Worst price1788.75
Drawdown as % of equity-1.72%
($139)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
11/14/13 10:47 SELL 1 @ESZ3 E-MINI S&P 500 1784.88 11/14 10:55 1783.50 0.21%
Trade id #84080133
Max drawdown($18)
Time11/14/13 10:49
Quant open-1
Worst price1785.25
Drawdown as % of equity-0.21%
$55
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
11/12/13 14:57 SELL 1 @ESZ3 E-MINI S&P 500 1764.25 11/12 15:46 1762.88 0.87%
Trade id #84033646
Max drawdown($75)
Time11/12/13 15:12
Quant open-1
Worst price1765.75
Drawdown as % of equity-0.87%
$55
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
9/30/13 10:27 SELL 1 @ESZ3 E-MINI S&P 500 1676.50 9/30 11:05 1677.00 1.01%
Trade id #83221507
Max drawdown($87)
Time9/30/13 10:46
Quant open-1
Worst price1678.25
Drawdown as % of equity-1.01%
($39)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96

Statistics

  • Strategy began
    4/15/2011
  • Age
    43 months ago
  • What it trades
    Futures
  • # Trades
    210
  • # Profitable
    119
  • % Profitable
    56.70%
  • Avg trade duration
    24.7 minutes
  • Max peak-to-valley drawdown
    24.25%
  • drawdown period
    Oct 22, 2012 - June 16, 2014
  • Annual Return (Compounded)
    -4.4%
  • Avg win
    $86.37
  • Avg loss
    $86.62
  • W:L ratio
    1.30:1
  • Open PL
    $0.00
  • Open PL (start day)
    $0.00
  • Open PL Change $
    $0.00
  • Open PL Change %
    n/a
  • Close PL
    $2,394
  • Closed PL (start day)
    $2,395
  • Closed PL Change $
    ($0.25)
  • Closed PL Change %
    -0.01%
  • Equity
    $7,394
  • Equity (start day)
    $7,395
  • Equity Change $
    ($0.25)
  • Equity Change %
    n/a
  • GENERAL STATISTICS
  • Age
    1288
  • # Trades
    210
  • Avg Trade Length
    0.0
  • PROFIT
  • Profit Factor
    1.3
  • SORTINO STATISTICS
  • Sortino Ratio
    1.316
  • CALMAR STATISTICS
  • Calmar Ratio
    0.618
  • Ann Return (w trading costs)
    -4.4%
  • SHARPE STATISTICS
  • Sharpe Ratio
    0.916
  • Ann Return (Compnd, No Fees)
    11.7%
  • Chance of 10% account loss
    26.00%
  • Chance of 20% account loss
    3.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • PROFIT STATISTICS
  • APD
    0.03
  • DRAW DOWN STATISTICS
  • Max Drawdown
    24.2%
  • POPULARITY STATISTICS
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    706
  • TOS STATISTICS
  • Trades Own System?
    0
  • TOS percent
    n/a
  • BILLING STATISTICS
  • Subscription Price
    $0
  • Billing Period (days)
    30
  • Trial Days
    1
  • WIN STATISTICS
  • Avg Loss
    $87
  • Avg Win
    $86
  • # Winners
    119
  • # Losers
    91
  • % Winners
    56.7%
  • TIME STATISTICS
  • Avg Position Time (mins)
    24.72
  • Avg Position Time (hrs)
    0.41
  • OWNER STATISTICS
  • Developer
    -
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12538
  • SD
    0.17708
  • Sharpe ratio (Glass type estimate)
    0.70804
  • Sharpe ratio (Hedges UMVUE)
    0.69396
  • df
    38.00000
  • t
    1.27644
  • p
    0.10477
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.39521
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.80223
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.40437
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.79229
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.55370
  • Upside Potential Ratio
    3.23711
  • Upside part of mean
    0.26123
  • Downside part of mean
    -0.13585
  • Upside SD
    0.15922
  • Downside SD
    0.08070
  • N nonnegative terms
    24.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    39.00000
  • Mean of predictor
    0.12504
  • Mean of criterion
    0.12538
  • SD of predictor
    0.15708
  • SD of criterion
    0.17708
  • Covariance
    0.00793
  • r
    0.28509
  • b (slope, estimate of beta)
    0.32139
  • a (intercept, estimate of alpha)
    0.08520
  • Mean Square Error
    0.02959
  • DF error
    37.00000
  • t(b)
    1.80920
  • p(b)
    0.03928
  • t(a)
    0.86966
  • p(a)
    0.19505
  • Lowerbound of 95% confidence interval for beta
    -0.03855
  • Upperbound of 95% confidence interval for beta
    0.68132
  • Lowerbound of 95% confidence interval for alpha
    -0.11330
  • Upperbound of 95% confidence interval for alpha
    0.28370
  • Treynor index (mean / b)
    0.39013
  • Jensen alpha (a)
    0.08520
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11047
  • SD
    0.16836
  • Sharpe ratio (Glass type estimate)
    0.65614
  • Sharpe ratio (Hedges UMVUE)
    0.64309
  • df
    38.00000
  • t
    1.18288
  • p
    0.12210
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.44517
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.74901
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.45367
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.73986
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.32861
  • Upside Potential Ratio
    3.00186
  • Upside part of mean
    0.24960
  • Downside part of mean
    -0.13912
  • Upside SD
    0.14739
  • Downside SD
    0.08315
  • N nonnegative terms
    24.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    39.00000
  • Mean of predictor
    0.11184
  • Mean of criterion
    0.11047
  • SD of predictor
    0.16222
  • SD of criterion
    0.16836
  • Covariance
    0.00794
  • r
    0.29075
  • b (slope, estimate of beta)
    0.30176
  • a (intercept, estimate of alpha)
    0.07672
  • Mean Square Error
    0.02665
  • DF error
    37.00000
  • t(b)
    1.84840
  • p(b)
    0.03627
  • t(a)
    0.83051
  • p(a)
    0.20579
  • Lowerbound of 95% confidence interval for beta
    -0.02903
  • Upperbound of 95% confidence interval for beta
    0.63254
  • Lowerbound of 95% confidence interval for alpha
    -0.11045
  • Upperbound of 95% confidence interval for alpha
    0.26390
  • Treynor index (mean / b)
    0.36609
  • Jensen alpha (a)
    0.07672
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06829
  • Expected Shortfall on VaR
    0.08688
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02195
  • Expected Shortfall on VaR
    0.04486
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    39.00000
  • Minimum
    0.91476
  • Quartile 1
    0.98444
  • Median
    1.00899
  • Quartile 3
    1.03078
  • Maximum
    1.22898
  • Mean of quarter 1
    0.95949
  • Mean of quarter 2
    1.00032
  • Mean of quarter 3
    1.01638
  • Mean of quarter 4
    1.06943
  • Inter Quartile Range
    0.04634
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02564
  • Mean of outliers low
    0.91476
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.02564
  • Mean of outliers high
    1.22898
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.34747
  • VaR(95%) (moments method)
    0.04062
  • Expected Shortfall (moments method)
    0.04881
  • Extreme Value Index (regression method)
    0.15375
  • VaR(95%) (regression method)
    0.04248
  • Expected Shortfall (regression method)
    0.06248
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.05462
  • Quartile 1
    0.06054
  • Median
    0.06647
  • Quartile 3
    0.12562
  • Maximum
    0.18477
  • Mean of quarter 1
    0.05462
  • Mean of quarter 2
    0.06647
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.18477
  • Inter Quartile Range
    0.06507
  • 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)
    0.14738
  • Compounded annual return (geometric extrapolation)
    0.12797
  • Calmar ratio (compounded annual return / max draw down)
    0.69262
  • Compounded annual return / average of 25% largest draw downs
    0.69262
  • Compounded annual return / Expected Shortfall lognormal
    1.47301
  • 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
    0.11631
  • SD
    0.11637
  • Sharpe ratio (Glass type estimate)
    0.99950
  • Sharpe ratio (Hedges UMVUE)
    0.99883
  • df
    1126.00000
  • t
    1.80911
  • p
    0.47308
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.08432
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.08294
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.08479
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.08246
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.45975
  • Upside Potential Ratio
    5.19653
  • Upside part of mean
    0.41404
  • Downside part of mean
    -0.29774
  • Upside SD
    0.08497
  • Downside SD
    0.07968
  • N nonnegative terms
    151.00000
  • N negative terms
    976.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1127.00000
  • Mean of predictor
    0.12437
  • Mean of criterion
    0.11631
  • SD of predictor
    0.15825
  • SD of criterion
    0.11637
  • Covariance
    -0.00142
  • r
    -0.07732
  • b (slope, estimate of beta)
    -0.05685
  • a (intercept, estimate of alpha)
    0.12338
  • Mean Square Error
    0.01347
  • DF error
    1125.00000
  • t(b)
    -2.60103
  • p(b)
    0.54917
  • t(a)
    1.92227
  • p(a)
    0.46359
  • Lowerbound of 95% confidence interval for beta
    -0.09974
  • Upperbound of 95% confidence interval for beta
    -0.01397
  • Lowerbound of 95% confidence interval for alpha
    -0.00255
  • Upperbound of 95% confidence interval for alpha
    0.24931
  • Treynor index (mean / b)
    -2.04581
  • Jensen alpha (a)
    0.12338
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10951
  • SD
    0.11657
  • Sharpe ratio (Glass type estimate)
    0.93946
  • Sharpe ratio (Hedges UMVUE)
    0.93883
  • df
    1126.00000
  • t
    1.70043
  • p
    0.47469
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.14427
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.02280
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.14470
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02237
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.34865
  • Upside Potential Ratio
    5.05540
  • Upside part of mean
    0.41049
  • Downside part of mean
    -0.30098
  • Upside SD
    0.08377
  • Downside SD
    0.08120
  • N nonnegative terms
    151.00000
  • N negative terms
    976.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1127.00000
  • Mean of predictor
    0.11180
  • Mean of criterion
    0.10951
  • SD of predictor
    0.15859
  • SD of criterion
    0.11657
  • Covariance
    -0.00146
  • r
    -0.07900
  • b (slope, estimate of beta)
    -0.05807
  • a (intercept, estimate of alpha)
    0.11600
  • Mean Square Error
    0.01351
  • DF error
    1125.00000
  • t(b)
    -2.65805
  • p(b)
    0.55024
  • t(a)
    1.80478
  • p(a)
    0.46581
  • Lowerbound of 95% confidence interval for beta
    -0.10093
  • Upperbound of 95% confidence interval for beta
    -0.01520
  • Lowerbound of 95% confidence interval for alpha
    -0.01011
  • Upperbound of 95% confidence interval for alpha
    0.24211
  • Treynor index (mean / b)
    -1.88589
  • Jensen alpha (a)
    0.11600
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00997
  • Expected Shortfall on VaR
    0.01256
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00275
  • Expected Shortfall on VaR
    0.00614
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1127.00000
  • Minimum
    0.93406
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.05849
  • Mean of quarter 1
    0.99664
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00483
  • Inter Quartile Range
    0.00000
  • Number outliers low
    103.00000
  • Percentage of outliers low
    0.09139
  • Mean of outliers low
    0.99080
  • Number of outliers high
    151.00000
  • Percentage of outliers high
    0.13398
  • Mean of outliers high
    1.00901
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.18006
  • VaR(95%) (moments method)
    0.00168
  • Expected Shortfall (moments method)
    0.00384
  • Extreme Value Index (regression method)
    0.32684
  • VaR(95%) (regression method)
    0.00253
  • Expected Shortfall (regression method)
    0.00776
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00291
  • Quartile 1
    0.01291
  • Median
    0.01726
  • Quartile 3
    0.02860
  • Maximum
    0.19648
  • Mean of quarter 1
    0.00686
  • Mean of quarter 2
    0.01605
  • Mean of quarter 3
    0.02413
  • Mean of quarter 4
    0.10145
  • Inter Quartile Range
    0.01568
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.12531
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -4.38400
  • VaR(95%) (moments method)
    0.07955
  • Expected Shortfall (moments method)
    0.07964
  • Extreme Value Index (regression method)
    -0.21755
  • VaR(95%) (regression method)
    0.16469
  • Expected Shortfall (regression method)
    0.22214
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.14621
  • Compounded annual return (geometric extrapolation)
    0.12689
  • Calmar ratio (compounded annual return / max draw down)
    0.64581
  • Compounded annual return / average of 25% largest draw downs
    1.25072
  • Compounded annual return / Expected Shortfall lognormal
    10.10000
  • 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
    -0.11706
  • SD
    0.12552
  • Sharpe ratio (Glass type estimate)
    -0.93264
  • Sharpe ratio (Hedges UMVUE)
    -0.92854
  • df
    171.00000
  • t
    -0.65947
  • p
    0.53205
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.70494
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.84220
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.70209
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.84501
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.08608
  • Upside Potential Ratio
    3.14223
  • Upside part of mean
    0.33868
  • Downside part of mean
    -0.45574
  • Upside SD
    0.06392
  • Downside SD
    0.10778
  • N nonnegative terms
    20.00000
  • N negative terms
    152.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.12993
  • Mean of criterion
    -0.11706
  • SD of predictor
    0.10294
  • SD of criterion
    0.12552
  • Covariance
    -0.00080
  • r
    -0.06171
  • b (slope, estimate of beta)
    -0.07525
  • a (intercept, estimate of alpha)
    -0.10728
  • Mean Square Error
    0.01579
  • DF error
    170.00000
  • t(b)
    -0.80617
  • p(b)
    0.53086
  • t(a)
    -0.60237
  • p(a)
    0.52307
  • Lowerbound of 95% confidence interval for beta
    -0.25951
  • Upperbound of 95% confidence interval for beta
    0.10901
  • Lowerbound of 95% confidence interval for alpha
    -0.45886
  • Upperbound of 95% confidence interval for alpha
    0.24430
  • Treynor index (mean / b)
    1.55566
  • Jensen alpha (a)
    -0.10728
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.12503
  • SD
    0.12699
  • Sharpe ratio (Glass type estimate)
    -0.98462
  • Sharpe ratio (Hedges UMVUE)
    -0.98029
  • df
    171.00000
  • t
    -0.69623
  • p
    0.53383
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.75702
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.79052
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.75404
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.79346
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.13888
  • Upside Potential Ratio
    3.06639
  • Upside part of mean
    0.33665
  • Downside part of mean
    -0.46168
  • Upside SD
    0.06344
  • Downside SD
    0.10979
  • N nonnegative terms
    20.00000
  • N negative terms
    152.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.12462
  • Mean of criterion
    -0.12503
  • SD of predictor
    0.10317
  • SD of criterion
    0.12699
  • Covariance
    -0.00081
  • r
    -0.06200
  • b (slope, estimate of beta)
    -0.07631
  • a (intercept, estimate of alpha)
    -0.11552
  • Mean Square Error
    0.01616
  • DF error
    170.00000
  • t(b)
    -0.80990
  • p(b)
    0.53100
  • t(a)
    -0.64126
  • p(a)
    0.52456
  • Lowerbound of 95% confidence interval for beta
    -0.26229
  • Upperbound of 95% confidence interval for beta
    0.10968
  • Lowerbound of 95% confidence interval for alpha
    -0.47114
  • Upperbound of 95% confidence interval for alpha
    0.24010
  • Treynor index (mean / b)
    1.63857
  • Jensen alpha (a)
    -0.11552
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01156
  • Expected Shortfall on VaR
    0.01438
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00427
  • Expected Shortfall on VaR
    0.00941
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.95163
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.02291
  • Mean of quarter 1
    0.99480
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00395
  • Inter Quartile Range
    0.00000
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.09884
  • Mean of outliers low
    0.98685
  • Number of outliers high
    20.00000
  • Percentage of outliers high
    0.11628
  • Mean of outliers high
    1.00850
  • 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)
    0.29788
  • VaR(95%) (regression method)
    0.00453
  • Expected Shortfall (regression method)
    0.01432
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00307
  • Quartile 1
    0.00832
  • Median
    0.01925
  • Quartile 3
    0.03130
  • Maximum
    0.10514
  • Mean of quarter 1
    0.00536
  • Mean of quarter 2
    0.01031
  • Mean of quarter 3
    0.02818
  • Mean of quarter 4
    0.06874
  • Inter Quartile Range
    0.02297
  • 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
    0.16667
  • Mean of outliers high
    0.10514
  • 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)
    -0.11184
  • Compounded annual return (geometric extrapolation)
    -0.10871
  • Calmar ratio (compounded annual return / max draw down)
    -1.03392
  • Compounded annual return / average of 25% largest draw downs
    -1.58149
  • Compounded annual return / Expected Shortfall lognormal
    -7.56040

Strategy Description

This is not a stand alone trading system. This system is recommended as a hedge to your Long Positions. Expect obvious stagnant performance during Bull Markets but use this system to hedge your Long Positions with profitable margins during Bear Markets.

I have focused this system strictly on perfecting short strategies as per my client needs. I have soley based this system to detect Short Only opportunities. Use this system as a Hedge Only.

Programmer's Note: Our subscription price is very reasonable due to current Bull Market conditions. But market conditions may change without notice as per 2011.

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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