Remember that all results on this page are hypothetical. Learn what this means. (Hide this warning for 24 hours.) OK. For the next 24 hours, we will only show a small "Hypothetical Results" reminder at the top of each System Page. You can always click it to show a detailed explanation about Hypothetical Results.
Started: 05/2011
Futures
Last trade: 984 days ago
Followers: 0

Subscription terms. There is a free trial period of 5 days. After that, subscriptions cost $130.00 per month.

Try AutoTrade for free. We'll give you $100,000 in a Simulated Broker Account to AutoTrade Lindorm.

Free AutoTrade
3.4%
Annual Return (Compounded)
22.3%
Max Drawdown
105
Num Trades
46.7%
Win Trades
1.2 : 1
Profit Factor
12.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                            +28.5%(7.5%)+11.4%(14%)+7.8%+6.1%+5.9%(8.6%)+26.0%
2012(0.3%)(0.3%)(0.3%)(0.3%)(0.3%)(0.3%)(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(4.1%)
2013(0.7%)(0.4%)  -  (0.4%)(0.7%)(0.4%)(0.4%)(0.4%)  -  (0.7%)(0.4%)(0.4%)(4.7%)
2014(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)  -                    (3%)

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.

System developer has asked us to delay this information by 2 hours.

Closed Trades

CSV
Show More detailsShow fewer details
Opened ETB/S#Symbol PriceClosedPriceDDP/L
12/23/11 12:13 SELL 1 QSIH2 Silver 5000 oz 29.085 12/23 16:00 29.105 0.99%
Trade id #69260204
Max drawdown($400)
Time12/23/11 13:29
Quant open-1
Worst price29.165
Drawdown as % of equity-0.99%
($114)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
12/22/11 10:10 SELL 1 QSIH2 Silver 5000 oz 29.090 12/22 10:57 29.220 1.58%
Trade id #69216274
Max drawdown($650)
Time12/22/11 10:57
Quant open0
Worst price29.220
Drawdown as % of equity-1.58%
($664)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
12/19/11 9:36 SELL 1 QSIH2 Silver 5000 oz 29.115 12/19 12:00 28.840 1.69%
Trade id #69072737
Max drawdown($675)
Time12/19/11 10:39
Quant open-1
Worst price29.250
Drawdown as % of equity-1.69%
$1,361
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
12/16/11 12:39 SELL 1 QSIH2 Silver 5000 oz 29.420 12/16 13:23 29.625 2.52%
Trade id #69040997
Max drawdown($1,025)
Time12/16/11 13:23
Quant open0
Worst price29.625
Drawdown as % of equity-2.52%
($1,039)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
12/15/11 10:00 SELL 1 QSIH2 Silver 5000 oz 28.960 12/15 10:00 29.120 1.93%
Trade id #69001310
Max drawdown($800)
Time12/15/11 10:00
Quant open0
Worst price29.120
Drawdown as % of equity-1.93%
($814)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
12/12/11 9:36 SELL 1 QSIH2 Silver 5000 oz 31.170 12/12 12:00 31.170 2.47%
Trade id #68879769
Max drawdown($1,025)
Time12/12/11 11:37
Quant open-1
Worst price31.375
Drawdown as % of equity-2.47%
($14)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
12/8/11 9:05 SELL 1 QSIH2 Silver 5000 oz 32.585 12/8 9:08 32.380 0.68%
Trade id #68794069
Max drawdown($275)
Time12/8/11 9:07
Quant open-1
Worst price32.640
Drawdown as % of equity-0.68%
$1,011
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
12/7/11 10:39 SELL 1 QSIH2 Silver 5000 oz 32.455 12/7 10:48 32.510 0.65%
Trade id #68753390
Max drawdown($275)
Time12/7/11 10:48
Quant open0
Worst price32.510
Drawdown as % of equity-0.65%
($289)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
12/7/11 9:11 BUY 1 QSIH2 Silver 5000 oz 32.745 12/7 10:39 32.455 3.44%
Trade id #68746247
Max drawdown($1,450)
Time12/7/11 10:39
Quant open0
Worst price32.455
Drawdown as % of equity-3.44%
($1,464)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
12/5/11 9:36 SELL 1 QSIH2 Silver 5000 oz 32.895 12/5 10:38 32.965 1.82%
Trade id #68639911
Max drawdown($775)
Time12/5/11 10:01
Quant open-1
Worst price33.050
Drawdown as % of equity-1.82%
($364)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
12/2/11 9:37 BUY 1 QSIH2 Silver 5000 oz 33.300 12/2 9:41 33.095 2.35%
Trade id #68568410
Max drawdown($1,025)
Time12/2/11 9:41
Quant open0
Worst price33.095
Drawdown as % of equity-2.35%
($1,039)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
11/29/11 10:01 BUY 1 QSIZ1 Silver 5000 oz 32.075 11/29 10:05 32.005 0.8%
Trade id #68389875
Max drawdown($350)
Time11/29/11 10:05
Quant open0
Worst price32.005
Drawdown as % of equity-0.80%
($364)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
11/23/11 10:06 SELL 1 QSIZ1 Silver 5000 oz 31.470 11/23 11:51 31.780 3.44%
Trade id #68234827
Max drawdown($1,550)
Time11/23/11 11:51
Quant open0
Worst price31.780
Drawdown as % of equity-3.44%
($1,564)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
11/22/11 9:40 BUY 1 QSIZ1 Silver 5000 oz 31.955 11/22 10:27 32.225 0.57%
Trade id #68190105
Max drawdown($250)
Time11/22/11 10:18
Quant open1
Worst price31.905
Drawdown as % of equity-0.57%
$1,336
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
11/17/11 9:20 SELL 1 QSIZ1 Silver 5000 oz 32.950 11/17 9:30 33.100 1.67%
Trade id #68065637
Max drawdown($750)
Time11/17/11 9:30
Quant open0
Worst price33.100
Drawdown as % of equity-1.67%
($764)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
11/16/11 12:29 SELL 1 QSIZ1 Silver 5000 oz 33.945 11/16 12:52 33.830 0.73%
Trade id #68037890
Max drawdown($325)
Time11/16/11 12:42
Quant open-1
Worst price34.010
Drawdown as % of equity-0.73%
$561
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
11/15/11 11:30 SELL 1 QSIZ1 Silver 5000 oz 34.225 11/15 12:02 34.310 0.95%
Trade id #68001247
Max drawdown($425)
Time11/15/11 12:02
Quant open0
Worst price34.310
Drawdown as % of equity-0.95%
($439)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
11/11/11 9:50 BUY 1 QSIZ1 Silver 5000 oz 34.355 11/11 10:01 34.485 0.11%
Trade id #67874948
Max drawdown($50)
Time11/11/11 9:58
Quant open1
Worst price34.345
Drawdown as % of equity-0.11%
$636
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
11/10/11 9:40 SELL 1 QSIZ1 Silver 5000 oz 34.070 11/10 9:50 33.940 0.22%
Trade id #67820149
Max drawdown($100)
Time11/10/11 9:46
Quant open-1
Worst price34.090
Drawdown as % of equity-0.22%
$636
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
11/7/11 9:06 SELL 1 QSIZ1 Silver 5000 oz 34.575 11/10 8:31 34.210 9.56%
Trade id #67664809
Max drawdown($3,875)
Time11/8/11 13:03
Quant open-1
Worst price35.350
Drawdown as % of equity-9.56%
$1,811
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
11/3/11 9:55 SELL 1 QSIZ1 Silver 5000 oz 34.180 11/3 10:03 34.060 0.79%
Trade id #67573535
Max drawdown($325)
Time11/3/11 10:01
Quant open-1
Worst price34.245
Drawdown as % of equity-0.79%
$586
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
10/26/11 10:50 SELL 1 QSIZ1 Silver 5000 oz 33.110 10/26 11:30 33.420 3.6%
Trade id #67238862
Max drawdown($1,550)
Time10/26/11 11:30
Quant open0
Worst price33.420
Drawdown as % of equity-3.60%
($1,564)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
10/25/11 9:10 SELL 1 QSIZ1 Silver 5000 oz 31.595 10/25 9:15 31.685 1.05%
Trade id #67168443
Max drawdown($450)
Time10/25/11 9:15
Quant open0
Worst price31.685
Drawdown as % of equity-1.05%
($464)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
10/24/11 9:06 SELL 1 QSIZ1 Silver 5000 oz 31.615 10/24 14:30 31.655 4.92%
Trade id #67105184
Max drawdown($2,125)
Time10/24/11 11:22
Quant open-1
Worst price32.040
Drawdown as % of equity-4.92%
($214)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
10/21/11 9:11 BUY 1 QSIZ1 Silver 5000 oz 31.290 10/21 10:11 31.400 1.47%
Trade id #67052450
Max drawdown($625)
Time10/21/11 9:15
Quant open1
Worst price31.165
Drawdown as % of equity-1.47%
$536
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
10/20/11 9:40 BUY 1 QSIZ1 Silver 5000 oz 30.880 10/20 9:45 31.020 1.27%
Trade id #67017211
Max drawdown($525)
Time10/20/11 9:43
Quant open1
Worst price30.775
Drawdown as % of equity-1.27%
$686
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
10/19/11 9:55 SELL 1 QSIZ1 Silver 5000 oz 31.555 10/19 11:18 31.420 3.63%
Trade id #66964868
Max drawdown($1,500)
Time10/19/11 10:31
Quant open-1
Worst price31.855
Drawdown as % of equity-3.63%
$661
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
10/18/11 11:40 BUY 1 QSIZ1 Silver 5000 oz 31.460 10/18 12:21 31.725 1%
Trade id #66920224
Max drawdown($400)
Time10/18/11 11:42
Quant open1
Worst price31.380
Drawdown as % of equity-1.00%
$1,311
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
10/13/11 9:40 SELL 1 QSIZ1 Silver 5000 oz 31.820 10/13 9:45 31.680 n/a $686
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96
10/11/11 9:30 BUY 1 QSIZ1 Silver 5000 oz 31.845 10/11 9:39 31.755 1.13%
Trade id #66648657
Max drawdown($450)
Time10/11/11 9:39
Quant open0
Worst price31.755
Drawdown as % of equity-1.13%
($464)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96

Statistics

  • Strategy began
    5/4/2011
  • Age
    41 months ago
  • What it trades
    Futures
  • # Trades
    105
  • # Profitable
    49
  • % Profitable
    46.70%
  • Avg trade duration
    1.6 hours
  • Max peak-to-valley drawdown
    22.3%
  • drawdown period
    June 08, 2011 - Sept 06, 2011
  • Annual Return (Compounded)
    3.4%
  • Avg win
    $1,185
  • Avg loss
    $853.31
  • W:L ratio
    1.22:1
  • Open PL
    $0.00
  • Open PL (start day)
    $0.00
  • Open PL Change $
    $0.00
  • Open PL Change %
    n/a
  • Close PL
    $10,302
  • Closed PL (start day)
    $10,302
  • Closed PL Change $
    $0.17
  • Closed PL Change %
    n/a
  • Equity
    $40,302
  • Equity (start day)
    $40,302
  • Equity Change $
    $0.17
  • Equity Change %
    n/a
  • GENERAL STATISTICS
  • Age
    1217
  • # Trades
    105
  • Avg Trade Length
    0.1
  • PROFIT
  • Profit Factor
    1.2
  • SORTINO STATISTICS
  • Sortino Ratio
    1.472
  • CALMAR STATISTICS
  • Calmar Ratio
    1.057
  • Ann Return (w trading costs)
    3.4%
  • SHARPE STATISTICS
  • Sharpe Ratio
    0.858
  • Ann Return (Compnd, No Fees)
    9.2%
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • PROFIT STATISTICS
  • APD
    0.07
  • DRAW DOWN STATISTICS
  • Max Drawdown
    22.3%
  • POPULARITY STATISTICS
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • TOS STATISTICS
  • Trades Own System?
    0
  • TOS percent
    n/a
  • BILLING STATISTICS
  • Subscription Price
    $130
  • Billing Period (days)
    30
  • Trial Days
    5
  • WIN STATISTICS
  • Avg Loss
    $853
  • Avg Win
    $1,185
  • # Winners
    49
  • # Losers
    56
  • % Winners
    46.7%
  • TIME STATISTICS
  • Avg Position Time (mins)
    93.37
  • Avg Position Time (hrs)
    1.56
  • OWNER STATISTICS
  • Developer
    -
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27323
  • SD
    0.37921
  • Sharpe ratio (Glass type estimate)
    0.72053
  • Sharpe ratio (Hedges UMVUE)
    0.68378
  • df
    15.00000
  • t
    0.83199
  • p
    0.36728
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.00760
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.42545
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.03114
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.39871
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.77756
  • Upside Potential Ratio
    3.28723
  • Upside part of mean
    0.50528
  • Downside part of mean
    -0.23205
  • Upside SD
    0.34265
  • Downside SD
    0.15371
  • N nonnegative terms
    5.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.31126
  • Mean of criterion
    0.27323
  • SD of predictor
    0.25971
  • SD of criterion
    0.37921
  • Covariance
    -0.00525
  • r
    -0.05330
  • b (slope, estimate of beta)
    -0.07782
  • a (intercept, estimate of alpha)
    0.29745
  • Mean Square Error
    0.15363
  • DF error
    14.00000
  • t(b)
    -0.19971
  • p(b)
    0.52665
  • t(a)
    0.82519
  • p(a)
    0.39232
  • Lowerbound of 95% confidence interval for beta
    -0.91360
  • Upperbound of 95% confidence interval for beta
    0.75796
  • Lowerbound of 95% confidence interval for alpha
    -0.47567
  • Upperbound of 95% confidence interval for alpha
    1.07058
  • Treynor index (mean / b)
    -3.51094
  • Jensen alpha (a)
    0.29745
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21145
  • SD
    0.34557
  • Sharpe ratio (Glass type estimate)
    0.61190
  • Sharpe ratio (Hedges UMVUE)
    0.58070
  • df
    15.00000
  • t
    0.70656
  • p
    0.38636
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.10924
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.31317
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.12935
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.29075
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.30195
  • Upside Potential Ratio
    2.80780
  • Upside part of mean
    0.45602
  • Downside part of mean
    -0.24457
  • Upside SD
    0.29883
  • Downside SD
    0.16241
  • N nonnegative terms
    5.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.27820
  • Mean of criterion
    0.21145
  • SD of predictor
    0.24572
  • SD of criterion
    0.34557
  • Covariance
    -0.00149
  • r
    -0.01750
  • b (slope, estimate of beta)
    -0.02461
  • a (intercept, estimate of alpha)
    0.21830
  • Mean Square Error
    0.12791
  • DF error
    14.00000
  • t(b)
    -0.06549
  • p(b)
    0.50875
  • t(a)
    0.66780
  • p(a)
    0.41215
  • Lowerbound of 95% confidence interval for beta
    -0.83062
  • Upperbound of 95% confidence interval for beta
    0.78140
  • Lowerbound of 95% confidence interval for alpha
    -0.48282
  • Upperbound of 95% confidence interval for alpha
    0.91942
  • Treynor index (mean / b)
    -8.59224
  • Jensen alpha (a)
    0.21830
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13624
  • Expected Shortfall on VaR
    0.17095
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05386
  • Expected Shortfall on VaR
    0.10659
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.88540
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.05432
  • Maximum
    1.36043
  • Mean of quarter 1
    0.92493
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.01287
  • Mean of quarter 4
    1.15659
  • Inter Quartile Range
    0.05432
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.12500
  • Mean of outliers low
    0.88744
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.06250
  • Mean of outliers high
    1.36043
  • 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)
    -3.70466
  • VaR(95%) (regression method)
    0.20110
  • Expected Shortfall (regression method)
    0.20162
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.07515
  • Quartile 1
    0.08629
  • Median
    0.09744
  • Quartile 3
    0.10858
  • Maximum
    0.11972
  • Mean of quarter 1
    0.07515
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.11972
  • Inter Quartile Range
    0.02228
  • 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)
    0.25755
  • Compounded annual return (geometric extrapolation)
    0.24783
  • Calmar ratio (compounded annual return / max draw down)
    2.07010
  • Compounded annual return / average of 25% largest draw downs
    2.07010
  • Compounded annual return / Expected Shortfall lognormal
    1.44972
  • 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
    0.22940
  • SD
    0.23814
  • Sharpe ratio (Glass type estimate)
    0.96326
  • Sharpe ratio (Hedges UMVUE)
    0.96175
  • df
    479.00000
  • t
    1.13785
  • p
    0.12788
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.69754
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.62316
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.69859
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.62210
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.70299
  • Upside Potential Ratio
    7.11273
  • Upside part of mean
    0.95810
  • Downside part of mean
    -0.72870
  • Upside SD
    0.19648
  • Downside SD
    0.13470
  • N nonnegative terms
    64.00000
  • N negative terms
    416.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    480.00000
  • Mean of predictor
    0.30470
  • Mean of criterion
    0.22940
  • SD of predictor
    0.24596
  • SD of criterion
    0.23814
  • Covariance
    -0.00220
  • r
    -0.03755
  • b (slope, estimate of beta)
    -0.03636
  • a (intercept, estimate of alpha)
    0.24047
  • Mean Square Error
    0.05675
  • DF error
    478.00000
  • t(b)
    -0.82154
  • p(b)
    0.79412
  • t(a)
    1.18974
  • p(a)
    0.11737
  • Lowerbound of 95% confidence interval for beta
    -0.12331
  • Upperbound of 95% confidence interval for beta
    0.05060
  • Lowerbound of 95% confidence interval for alpha
    -0.15669
  • Upperbound of 95% confidence interval for alpha
    0.63763
  • Treynor index (mean / b)
    -6.30963
  • Jensen alpha (a)
    0.24047
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20161
  • SD
    0.23450
  • Sharpe ratio (Glass type estimate)
    0.85974
  • Sharpe ratio (Hedges UMVUE)
    0.85839
  • df
    479.00000
  • t
    1.01557
  • p
    0.15517
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.80080
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.51945
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80173
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.51851
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.47214
  • Upside Potential Ratio
    6.86058
  • Upside part of mean
    0.93957
  • Downside part of mean
    -0.73796
  • Upside SD
    0.19037
  • Downside SD
    0.13695
  • N nonnegative terms
    64.00000
  • N negative terms
    416.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    480.00000
  • Mean of predictor
    0.27440
  • Mean of criterion
    0.20161
  • SD of predictor
    0.24590
  • SD of criterion
    0.23450
  • Covariance
    -0.00216
  • r
    -0.03747
  • b (slope, estimate of beta)
    -0.03573
  • a (intercept, estimate of alpha)
    0.21142
  • Mean Square Error
    0.05503
  • DF error
    478.00000
  • t(b)
    -0.81974
  • p(b)
    0.79361
  • t(a)
    1.06267
  • p(a)
    0.14424
  • Lowerbound of 95% confidence interval for beta
    -0.12138
  • Upperbound of 95% confidence interval for beta
    0.04992
  • Lowerbound of 95% confidence interval for alpha
    -0.17951
  • Upperbound of 95% confidence interval for alpha
    0.60234
  • Treynor index (mean / b)
    -5.64244
  • Jensen alpha (a)
    0.21142
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02001
  • Expected Shortfall on VaR
    0.02516
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00675
  • Expected Shortfall on VaR
    0.01448
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    480.00000
  • Minimum
    0.94582
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.12579
  • Mean of quarter 1
    0.99163
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01116
  • Inter Quartile Range
    0.00000
  • Number outliers low
    69.00000
  • Percentage of outliers low
    0.14375
  • Mean of outliers low
    0.98544
  • Number of outliers high
    64.00000
  • Percentage of outliers high
    0.13333
  • Mean of outliers high
    1.02092
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.21009
  • VaR(95%) (moments method)
    0.00295
  • Expected Shortfall (moments method)
    0.00350
  • Extreme Value Index (regression method)
    -0.06209
  • VaR(95%) (regression method)
    0.00865
  • Expected Shortfall (regression method)
    0.01589
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00063
  • Quartile 1
    0.00654
  • Median
    0.04647
  • Quartile 3
    0.11772
  • Maximum
    0.22297
  • Mean of quarter 1
    0.00128
  • Mean of quarter 2
    0.02040
  • Mean of quarter 3
    0.07254
  • Mean of quarter 4
    0.17788
  • Inter Quartile Range
    0.11118
  • 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)
    0.24610
  • Compounded annual return (geometric extrapolation)
    0.23561
  • Calmar ratio (compounded annual return / max draw down)
    1.05666
  • Compounded annual return / average of 25% largest draw downs
    1.32455
  • Compounded annual return / Expected Shortfall lognormal
    9.36398
  • 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
    -0.00995
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -18.54720
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.00995
  • Upside SD
    0.00000
  • Downside SD
    0.00054
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.78640
  • Mean of criterion
    -0.00995
  • SD of predictor
    0.22753
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00995
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -31576300000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -31437600000000000.00000
  • df
    171.00000
  • t
    -22327800000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -34769500000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -28105800000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -18.54720
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.00995
  • Upside SD
    0.00000
  • Downside SD
    0.00054
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.75997
  • Mean of criterion
    -0.00995
  • SD of predictor
    0.22634
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.00995
  • Mean Square Error
    0.00000
  • DF error
    170.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -21904400000000000.00000
  • p(a)
    1.00000
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.00995
  • Upperbound of 95% confidence interval for alpha
    -0.00995
  • Treynor index (mean / b)
    -281776999999999986947712901709824.00000
  • Jensen alpha (a)
    -0.00995
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00003
  • Expected Shortfall on VaR
    0.00003
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • 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
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    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 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)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • 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
    0.00000

Strategy Description

100% mechanical system that never averages down a losing position with the hope of crawling oiut of a hole.. Profit targets and stop losses are resting with each open trade.

Please be adequately capitalized before trading this or any other futures system.

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.

Okay, gotcha.