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Started: 11/2011
Futures
Last trade: 976 days ago

Subscription terms. Subscriptions to this system cost $95.00 per week. You will be charged at the end of the term, but only if the Model Account on this web page has been profitable for the preceding week.

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

Free AutoTrade
-68.0%
Annual Return (Compounded)
98.6%
Max Drawdown
316
Num Trades
42.7%
Win Trades
0.8 : 1
Profit Factor
13.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                                                                        -  (74.4%)(74.4%)
2012(180.3%)(125.2%)  -    -    -  (38.1%)  -    -    -    -    -    -  (87.4%)
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -  (33.6%)(2.6%)(1.9%)+13.7%(5.2%)+18.0%+14.0%+20.0%+2.1%            +12.6%

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
1/26/12 9:05 BUY 6 QCLH2 CRUDE OIL 101.12 2/21 9:02 103.25 32.68%
Trade id #70014914
Max drawdown($11,340)
Time1/26/12 14:24
Quant open6
Worst price99.23
Drawdown as % of equity-32.68%
$12,696
Includes Typical Broker Commission and AutoTrade Fees trade costs of $83.76
1/26/12 3:56 SELL 6 QCLH2 CRUDE OIL 99.53 1/26 9:05 101.12 27.66%
Trade id #70008950
Max drawdown($9,600)
Time1/26/12 9:05
Quant open-6
Worst price101.13
Drawdown as % of equity-27.66%
($9,624)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $83.76
1/25/12 14:03 BUY 2 XGH2 DAX INDEX 6451.00 1/26 3:56 6448.50 2.43%
Trade id #69990253
Max drawdown($875)
Time1/26/12 3:36
Quant open2
Worst price6433.50
Drawdown as % of equity-2.43%
($186)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92
1/24/12 15:35 BUY 2 XGH2 DAX INDEX 6423.00 1/24 15:49 6422.00 0.6%
Trade id #69959906
Max drawdown($250)
Time1/24/12 15:44
Quant open2
Worst price6418.00
Drawdown as % of equity-0.60%
($91)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92
1/24/12 6:31 SELL 2 XGH2 DAX INDEX 6356.00 1/24 7:32 6375.00 3.65%
Trade id #69944031
Max drawdown($1,525)
Time1/24/12 7:21
Quant open-2
Worst price6386.50
Drawdown as % of equity-3.65%
($1,229)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92
1/23/12 10:04 BUY 6 QCLH2 CRUDE OIL 99.62 1/24 6:30 99.09 10.4%
Trade id #69916234
Max drawdown($4,980)
Time1/23/12 11:45
Quant open6
Worst price98.79
Drawdown as % of equity-10.40%
($3,264)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $83.76
1/19/12 13:04 SELL 6 QCLH2 CRUDE OIL 100.53 1/23 10:04 99.62 8.82%
Trade id #69849414
Max drawdown($2,880)
Time1/19/12 14:06
Quant open-6
Worst price101.01
Drawdown as % of equity-8.82%
$5,376
Includes Typical Broker Commission and AutoTrade Fees trade costs of $83.76
1/19/12 13:02 SELL 12 QCLG2 CRUDE OIL 100.29 1/19 13:02 100.28 n/a ($48)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $167.52
1/19/12 10:52 BUY 12 QCLG2 CRUDE OIL 101.57 1/19 13:02 100.29 36.08%
Trade id #69843001
Max drawdown($18,000)
Time1/19/12 12:48
Quant open12
Worst price100.07
Drawdown as % of equity-36.08%
($15,528)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $167.52
1/18/12 13:53 SELL 14 QCLG2 CRUDE OIL 100.48 1/19 10:52 101.56 38%
Trade id #69812822
Max drawdown($18,960)
Time1/19/12 9:07
Quant open-12
Worst price102.06
Drawdown as % of equity-38.00%
($15,315)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $195.44
1/18/12 7:50 BUY 14 QCLG2 CRUDE OIL 101.49 1/18 13:53 100.48 25.62%
Trade id #69795442
Max drawdown($23,100)
Time1/18/12 11:51
Quant open14
Worst price99.84
Drawdown as % of equity-25.62%
($14,335)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $195.44
1/18/12 5:06 SELL 14 QCLG2 CRUDE OIL 100.97 1/18 5:47 101.50 8.23%
Trade id #69792471
Max drawdown($7,420)
Time1/18/12 5:47
Quant open0
Worst price101.50
Drawdown as % of equity-8.23%
($7,615)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $195.44
1/18/12 5:02 BUY 14 QCLG2 CRUDE OIL 101.04 1/18 5:06 100.97 1.4%
Trade id #69792363
Max drawdown($1,260)
Time1/18/12 5:04
Quant open14
Worst price100.95
Drawdown as % of equity-1.40%
($1,175)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $195.44
1/18/12 4:48 SELL 14 QCLG2 CRUDE OIL 100.92 1/18 5:02 101.04 2.77%
Trade id #69792175
Max drawdown($2,500)
Time1/18/12 4:58
Quant open-14
Worst price101.10
Drawdown as % of equity-2.77%
($1,855)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $195.44
1/18/12 3:19 SELL 18 QCLG2 CRUDE OIL 100.74 1/18 4:47 100.96 7.92%
Trade id #69790429
Max drawdown($7,140)
Time1/18/12 4:42
Quant open-18
Worst price101.14
Drawdown as % of equity-7.92%
($4,151)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $251.28
1/18/12 3:16 BUY 6 QCLG2 CRUDE OIL 100.66 1/18 3:19 100.63 0.21%
Trade id #69790337
Max drawdown($180)
Time1/18/12 3:19
Quant open0
Worst price100.63
Drawdown as % of equity-0.21%
($264)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $83.76
1/18/12 1:56 SELL 16 QCLG2 CRUDE OIL 101.19 1/18 3:14 100.86 3.21%
Trade id #69787748
Max drawdown($2,800)
Time1/18/12 2:34
Quant open-16
Worst price101.36
Drawdown as % of equity-3.21%
$5,057
Includes Typical Broker Commission and AutoTrade Fees trade costs of $223.36
1/17/12 16:00 BUY 14 QCLG2 CRUDE OIL 100.79 1/18 1:54 101.14 0.47%
Trade id #69773287
Max drawdown($360)
Time1/17/12 16:04
Quant open14
Worst price100.76
Drawdown as % of equity-0.47%
$4,765
Includes Typical Broker Commission and AutoTrade Fees trade costs of $195.44
1/17/12 12:02 BUY 20 QCLG2 CRUDE OIL 100.45 1/17 15:53 100.74 6.01%
Trade id #69762100
Max drawdown($6,800)
Time1/17/12 12:51
Quant open20
Worst price100.11
Drawdown as % of equity-6.01%
$5,581
Includes Typical Broker Commission and AutoTrade Fees trade costs of $279.20
1/17/12 10:41 SELL 20 QCLG2 CRUDE OIL 99.70 1/17 12:02 100.45 13.26%
Trade id #69756666
Max drawdown($15,000)
Time1/17/12 12:02
Quant open0
Worst price100.45
Drawdown as % of equity-13.26%
($15,279)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $279.20
1/17/12 5:42 BUY 20 QCLG2 CRUDE OIL 100.64 1/17 10:41 99.70 16.97%
Trade id #69743704
Max drawdown($19,200)
Time1/17/12 10:41
Quant open20
Worst price99.68
Drawdown as % of equity-16.97%
($19,079)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $279.20
1/17/12 5:33 SELL 10 QCLG2 CRUDE OIL 100.61 1/17 5:42 100.68 0.97%
Trade id #69743426
Max drawdown($1,100)
Time1/17/12 5:37
Quant open-10
Worst price100.72
Drawdown as % of equity-0.97%
($840)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $139.60
1/17/12 2:11 BUY 10 QCLG2 CRUDE OIL 100.57 1/17 5:33 100.61 1.7%
Trade id #69740275
Max drawdown($1,900)
Time1/17/12 3:38
Quant open10
Worst price100.38
Drawdown as % of equity-1.70%
$260
Includes Typical Broker Commission and AutoTrade Fees trade costs of $139.60
1/16/12 11:28 BUY 20 QCLG2 CRUDE OIL 99.74 1/16 18:23 99.49 4.4%
Trade id #69729892
Max drawdown($5,000)
Time1/16/12 18:23
Quant open0
Worst price99.49
Drawdown as % of equity-4.40%
($5,279)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $279.20
1/16/12 11:18 BUY 10 QCLG2 CRUDE OIL 99.62 1/16 11:27 99.70 0.18%
Trade id #69729721
Max drawdown($200)
Time1/16/12 11:20
Quant open10
Worst price99.60
Drawdown as % of equity-0.18%
$660
Includes Typical Broker Commission and AutoTrade Fees trade costs of $139.60
1/16/12 10:31 BUY 4 XGH2 DAX INDEX 6213.00 1/16 11:17 6224.88 1.14%
Trade id #69729044
Max drawdown($1,300)
Time1/16/12 10:47
Quant open4
Worst price6200.00
Drawdown as % of equity-1.14%
$1,445
Includes Typical Broker Commission and AutoTrade Fees trade costs of $55.84
1/16/12 10:22 SELL 20 QCLG2 CRUDE OIL 99.35 1/16 10:31 99.39 0.7%
Trade id #69728869
Max drawdown($800)
Time1/16/12 10:24
Quant open-20
Worst price99.39
Drawdown as % of equity-0.70%
($1,079)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $279.20
1/16/12 9:53 SELL 10 QCLG2 CRUDE OIL 99.49 1/16 10:20 99.39 1.14%
Trade id #69728425
Max drawdown($1,300)
Time1/16/12 10:03
Quant open-10
Worst price99.62
Drawdown as % of equity-1.14%
$860
Includes Typical Broker Commission and AutoTrade Fees trade costs of $139.60
1/13/12 14:02 SELL 50 QCLG2 CRUDE OIL 98.73 1/13 15:14 98.77 3.62%
Trade id #69707557
Max drawdown($4,288)
Time1/13/12 14:28
Quant open-20
Worst price98.93
Drawdown as % of equity-3.62%
($3,048)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $698.00
1/13/12 13:21 SELL 20 QCLG2 CRUDE OIL 98.26 1/13 13:46 98.50 4.05%
Trade id #69706201
Max drawdown($4,800)
Time1/13/12 13:46
Quant open0
Worst price98.50
Drawdown as % of equity-4.05%
($5,079)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $279.20

Statistics

  • Strategy began
    11/30/2011
  • Age
    35 months ago
  • What it trades
    Futures
  • # Trades
    316
  • # Profitable
    135
  • % Profitable
    42.70%
  • Avg trade duration
    5.2 hours
  • Max peak-to-valley drawdown
    98.61%
  • drawdown period
    Jan 13, 2012 - Feb 02, 2012
  • Annual Return (Compounded)
    -68.0%
  • Avg win
    $2,422
  • Avg loss
    $2,154
  • W:L ratio
    0.84:1
  • Open PL
    $0.00
  • Open PL (start day)
    $0.00
  • Open PL Change $
    $0.00
  • Open PL Change %
    n/a
  • Close PL
    ($63,001)
  • Closed PL (start day)
    ($63,118)
  • Closed PL Change $
    $116.31
  • Closed PL Change %
    -0.18%
  • Equity
    $36,998
  • Equity (start day)
    $36,882
  • Equity Change $
    $116.31
  • Equity Change %
    0.32%
  • GENERAL STATISTICS
  • Age
    1059
  • # Trades
    316
  • Avg Trade Length
    0.2
  • PROFIT
  • Profit Factor
    0.8
  • SORTINO STATISTICS
  • Sortino Ratio
    -0.741
  • CALMAR STATISTICS
  • Calmar Ratio
    -0.664
  • Ann Return (w trading costs)
    -68.0%
  • SHARPE STATISTICS
  • Sharpe Ratio
    -0.578
  • Ann Return (Compnd, No Fees)
    -29.0%
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 50% account loss
    100.00%
  • PROFIT STATISTICS
  • APD
    -0.11
  • DRAW DOWN STATISTICS
  • Max Drawdown
    98.6%
  • POPULARITY STATISTICS
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • TOS STATISTICS
  • Trades Own System?
    0
  • TOS percent
    n/a
  • BILLING STATISTICS
  • Subscription Price
    $95
  • Billing Period (days)
    7
  • Trial Days
    0
  • WIN STATISTICS
  • Avg Loss
    $2,155
  • Avg Win
    $2,422
  • # Winners
    135
  • # Losers
    181
  • % Winners
    42.7%
  • TIME STATISTICS
  • Avg Position Time (mins)
    314.97
  • Avg Position Time (hrs)
    5.25
  • OWNER STATISTICS
  • Developer
    -
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.59489
  • SD
    0.89168
  • Sharpe ratio (Glass type estimate)
    -0.66716
  • Sharpe ratio (Hedges UMVUE)
    -0.61562
  • df
    10.00000
  • t
    -0.63876
  • p
    0.73133
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.71843
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.41626
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.68044
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.44920
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.82092
  • Upside Potential Ratio
    0.72002
  • Upside part of mean
    0.52178
  • Downside part of mean
    -1.11667
  • Upside SD
    0.47662
  • Downside SD
    0.72467
  • N nonnegative terms
    3.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.51790
  • Mean of criterion
    -0.59489
  • SD of predictor
    0.16511
  • SD of criterion
    0.89168
  • Covariance
    0.00702
  • r
    0.04769
  • b (slope, estimate of beta)
    0.25756
  • a (intercept, estimate of alpha)
    -0.72829
  • Mean Square Error
    0.88143
  • DF error
    9.00000
  • t(b)
    0.14324
  • p(b)
    0.44463
  • t(a)
    -0.53855
  • p(a)
    0.69837
  • Lowerbound of 95% confidence interval for beta
    -3.81008
  • Upperbound of 95% confidence interval for beta
    4.32521
  • Lowerbound of 95% confidence interval for alpha
    -3.78746
  • Upperbound of 95% confidence interval for alpha
    2.33089
  • Treynor index (mean / b)
    -2.30969
  • Jensen alpha (a)
    -0.72829
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.12230
  • SD
    1.14845
  • Sharpe ratio (Glass type estimate)
    -0.97723
  • Sharpe ratio (Hedges UMVUE)
    -0.90173
  • df
    10.00000
  • t
    -0.93562
  • p
    0.81424
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.04447
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.13613
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.98664
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.18318
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.04658
  • Upside Potential Ratio
    0.40445
  • Upside part of mean
    0.43371
  • Downside part of mean
    -1.55601
  • Upside SD
    0.39251
  • Downside SD
    1.07235
  • N nonnegative terms
    3.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.49554
  • Mean of criterion
    -1.12230
  • SD of predictor
    0.15519
  • SD of criterion
    1.14845
  • Covariance
    0.00895
  • r
    0.05020
  • b (slope, estimate of beta)
    0.37150
  • a (intercept, estimate of alpha)
    -1.30639
  • Mean Square Error
    1.46180
  • DF error
    9.00000
  • t(b)
    0.15080
  • p(b)
    0.44173
  • t(a)
    -0.74378
  • p(a)
    0.76201
  • Lowerbound of 95% confidence interval for beta
    -5.20151
  • Upperbound of 95% confidence interval for beta
    5.94451
  • Lowerbound of 95% confidence interval for alpha
    -5.27972
  • Upperbound of 95% confidence interval for alpha
    2.66694
  • Treynor index (mean / b)
    -3.02102
  • Jensen alpha (a)
    -1.30639
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.47210
  • Expected Shortfall on VaR
    0.53709
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.26816
  • Expected Shortfall on VaR
    0.52325
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.38628
  • Quartile 1
    0.95570
  • Median
    1.00000
  • Quartile 3
    1.00520
  • Maximum
    1.45688
  • Mean of quarter 1
    0.67346
  • Mean of quarter 2
    0.98755
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.16026
  • Inter Quartile Range
    0.04949
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.18182
  • Mean of outliers low
    0.53581
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    1.45688
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -18.05150
  • VaR(95%) (moments method)
    0.16744
  • Expected Shortfall (moments method)
    0.16744
  • Extreme Value Index (regression method)
    -0.81707
  • VaR(95%) (regression method)
    0.70822
  • Expected Shortfall (regression method)
    0.81664
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.73527
  • Quartile 1
    0.73527
  • Median
    0.73527
  • Quartile 3
    0.73527
  • Maximum
    0.73527
  • 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)
    -0.69740
  • Compounded annual return (geometric extrapolation)
    -0.67121
  • Calmar ratio (compounded annual return / max draw down)
    -0.91288
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.24973
  • 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
    0.46715
  • SD
    1.73345
  • Sharpe ratio (Glass type estimate)
    0.26949
  • Sharpe ratio (Hedges UMVUE)
    0.26889
  • df
    341.00000
  • t
    0.26870
  • p
    0.39416
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.69646
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.23512
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.69689
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.23468
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.43061
  • Upside Potential Ratio
    4.59950
  • Upside part of mean
    4.98972
  • Downside part of mean
    -4.52257
  • Upside SD
    1.34901
  • Downside SD
    1.08484
  • N nonnegative terms
    82.00000
  • N negative terms
    260.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    342.00000
  • Mean of predictor
    0.44528
  • Mean of criterion
    0.46715
  • SD of predictor
    0.18581
  • SD of criterion
    1.73345
  • Covariance
    -0.00257
  • r
    -0.00798
  • b (slope, estimate of beta)
    -0.07446
  • a (intercept, estimate of alpha)
    0.50030
  • Mean Square Error
    3.01351
  • DF error
    340.00000
  • t(b)
    -0.14718
  • p(b)
    0.55846
  • t(a)
    0.28499
  • p(a)
    0.38791
  • Lowerbound of 95% confidence interval for beta
    -1.06958
  • Upperbound of 95% confidence interval for beta
    0.92066
  • Lowerbound of 95% confidence interval for alpha
    -2.95276
  • Upperbound of 95% confidence interval for alpha
    3.95337
  • Treynor index (mean / b)
    -6.27383
  • Jensen alpha (a)
    0.50030
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.01323
  • SD
    1.75039
  • Sharpe ratio (Glass type estimate)
    -0.57886
  • Sharpe ratio (Hedges UMVUE)
    -0.57759
  • df
    341.00000
  • t
    -0.57717
  • p
    0.71790
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.54460
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.38773
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.54375
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.38858
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.74140
  • Upside Potential Ratio
    3.15084
  • Upside part of mean
    4.30608
  • Downside part of mean
    -5.31931
  • Upside SD
    1.09096
  • Downside SD
    1.36664
  • N nonnegative terms
    82.00000
  • N negative terms
    260.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    342.00000
  • Mean of predictor
    0.42782
  • Mean of criterion
    -1.01323
  • SD of predictor
    0.18555
  • SD of criterion
    1.75039
  • Covariance
    -0.00576
  • r
    -0.01773
  • b (slope, estimate of beta)
    -0.16721
  • a (intercept, estimate of alpha)
    -0.94170
  • Mean Square Error
    3.07192
  • DF error
    340.00000
  • t(b)
    -0.32689
  • p(b)
    0.62802
  • t(a)
    -0.53162
  • p(a)
    0.70233
  • Lowerbound of 95% confidence interval for beta
    -1.17333
  • Upperbound of 95% confidence interval for beta
    0.83892
  • Lowerbound of 95% confidence interval for alpha
    -4.42593
  • Upperbound of 95% confidence interval for alpha
    2.54254
  • Treynor index (mean / b)
    6.05976
  • Jensen alpha (a)
    -0.94170
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.14630
  • Expected Shortfall on VaR
    0.17882
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03842
  • Expected Shortfall on VaR
    0.08610
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    342.00000
  • Minimum
    0.48522
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.78205
  • Mean of quarter 1
    0.94781
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.05771
  • Inter Quartile Range
    0.00000
  • Number outliers low
    78.00000
  • Percentage of outliers low
    0.22807
  • Mean of outliers low
    0.94245
  • Number of outliers high
    83.00000
  • Percentage of outliers high
    0.24269
  • Mean of outliers high
    1.05980
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    2.29369
  • VaR(95%) (moments method)
    0.01853
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.06635
  • VaR(95%) (regression method)
    0.02266
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00745
  • Quartile 1
    0.01448
  • Median
    0.01916
  • Quartile 3
    0.25472
  • Maximum
    0.95441
  • Mean of quarter 1
    0.00745
  • Mean of quarter 2
    0.01683
  • Mean of quarter 3
    0.02149
  • Mean of quarter 4
    0.95441
  • Inter Quartile Range
    0.24023
  • 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
    0.25000
  • Mean of outliers high
    0.95441
  • 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)
    -0.63487
  • Compounded annual return (geometric extrapolation)
    -0.63333
  • Calmar ratio (compounded annual return / max draw down)
    -0.66358
  • Compounded annual return / average of 25% largest draw downs
    -0.66358
  • Compounded annual return / Expected Shortfall lognormal
    -3.54175
  • 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
    0.00691
  • SD
    0.04634
  • Sharpe ratio (Glass type estimate)
    0.14922
  • Sharpe ratio (Hedges UMVUE)
    0.14857
  • df
    171.00000
  • t
    0.10552
  • p
    0.49486
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.62284
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.92087
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.62328
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.92042
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.17478
  • Upside Potential Ratio
    4.33421
  • Upside part of mean
    0.17147
  • Downside part of mean
    -0.16456
  • Upside SD
    0.02387
  • Downside SD
    0.03956
  • N nonnegative terms
    47.00000
  • N negative terms
    125.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.64499
  • Mean of criterion
    0.00691
  • SD of predictor
    0.20619
  • SD of criterion
    0.04634
  • Covariance
    0.00128
  • r
    0.13438
  • b (slope, estimate of beta)
    0.03020
  • a (intercept, estimate of alpha)
    -0.01256
  • Mean Square Error
    0.00212
  • DF error
    170.00000
  • t(b)
    1.76819
  • p(b)
    0.43281
  • t(a)
    -0.19022
  • p(a)
    0.50729
  • Lowerbound of 95% confidence interval for beta
    -0.00352
  • Upperbound of 95% confidence interval for beta
    0.06392
  • Lowerbound of 95% confidence interval for alpha
    -0.14295
  • Upperbound of 95% confidence interval for alpha
    0.11782
  • Treynor index (mean / b)
    0.22896
  • Jensen alpha (a)
    -0.01256
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00584
  • SD
    0.04665
  • Sharpe ratio (Glass type estimate)
    0.12515
  • Sharpe ratio (Hedges UMVUE)
    0.12460
  • df
    171.00000
  • t
    0.08849
  • p
    0.49569
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.64680
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.89688
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.64724
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.89644
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.14611
  • Upside Potential Ratio
    4.28474
  • Upside part of mean
    0.17119
  • Downside part of mean
    -0.16535
  • Upside SD
    0.02381
  • Downside SD
    0.03995
  • N nonnegative terms
    47.00000
  • N negative terms
    125.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.62333
  • Mean of criterion
    0.00584
  • SD of predictor
    0.20573
  • SD of criterion
    0.04665
  • Covariance
    0.00130
  • r
    0.13497
  • b (slope, estimate of beta)
    0.03060
  • a (intercept, estimate of alpha)
    -0.01324
  • Mean Square Error
    0.00215
  • DF error
    170.00000
  • t(b)
    1.77606
  • p(b)
    0.43251
  • t(a)
    -0.19927
  • p(a)
    0.50764
  • Lowerbound of 95% confidence interval for beta
    -0.00341
  • Upperbound of 95% confidence interval for beta
    0.06462
  • Lowerbound of 95% confidence interval for alpha
    -0.14437
  • Upperbound of 95% confidence interval for alpha
    0.11790
  • Treynor index (mean / b)
    0.19076
  • Jensen alpha (a)
    -0.01324
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00411
  • Expected Shortfall on VaR
    0.00516
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00136
  • Expected Shortfall on VaR
    0.00306
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.97587
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00014
  • Maximum
    1.00663
  • Mean of quarter 1
    0.99817
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00001
  • Mean of quarter 4
    1.00201
  • Inter Quartile Range
    0.00014
  • Number outliers low
    34.00000
  • Percentage of outliers low
    0.19767
  • Mean of outliers low
    0.99770
  • Number of outliers high
    36.00000
  • Percentage of outliers high
    0.20930
  • Mean of outliers high
    1.00237
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.76845
  • VaR(95%) (moments method)
    0.00192
  • Expected Shortfall (moments method)
    0.00897
  • Extreme Value Index (regression method)
    1.02029
  • VaR(95%) (regression method)
    0.00167
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00044
  • Quartile 1
    0.00121
  • Median
    0.00635
  • Quartile 3
    0.01776
  • Maximum
    0.03736
  • Mean of quarter 1
    0.00044
  • Mean of quarter 2
    0.00147
  • Mean of quarter 3
    0.01122
  • Mean of quarter 4
    0.03736
  • Inter Quartile Range
    0.01654
  • 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)
    0.01585
  • Compounded annual return (geometric extrapolation)
    0.01591
  • Calmar ratio (compounded annual return / max draw down)
    0.42597
  • Compounded annual return / average of 25% largest draw downs
    0.42597
  • Compounded annual return / Expected Shortfall lognormal
    3.08579

Strategy Description

WARNING: NEVER ALLOCATE TO THIS STRATEGY MORE THAN 10% OF YOUR GLOBAL ASSETS

Absolute Return Focused

Not Buy and Hold

Risk and Money Management modeled

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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