Strategy began
7/16/2012
Age
28 months ago
What it trades
Futures
# Trades
17
# Profitable
10
% Profitable
58.80%
Avg trade duration
11.5 days
Max peaktovalley drawdown
33.58%
drawdown period
Nov 21, 2012  Oct 23, 2014
Annual Return (Compounded)
15.1%
Avg win
$1,161
Avg loss
$3,348
W:L ratio
0.50:1
Age
828
# Trades
17
Avg Trade Length
11.5
Profit Factor
0.5
Sortino Ratio
1.244
Calmar Ratio
0.695
Ann Return (w trading costs)
15.1%
Sharpe Ratio
1.037
Ann Return (Compnd, No Fees)
11.2%
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
n/a
Chance of 50% account loss
n/a
APD
0.30
Max Drawdown
33.6%
Popularity (Today)
0
Popularity (Last 6 weeks)
0
Trades Own System?
0
TOS percent
n/a
Subscription Price
$120
Billing Period (days)
30
Trial Days
10
Avg Loss
$3,348
Avg Win
$1,161
# Winners
10
# Losers
7
% Winners
58.8%
Avg Position Time (mins)
16555.70
Avg Position Time (hrs)
275.93
Developer

Mean
0.24032
SD
0.26949
Sharpe ratio (Glass type estimate)
0.89175
Sharpe ratio (Hedges UMVUE)
0.82929
df
11.00000
t
0.89175
p
0.80419
Lowerbound of 95% confidence interval for Sharpe Ratio
2.86673
Upperbound of 95% confidence interval for Sharpe Ratio
1.12176
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
2.81965
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
1.16107
Sortino ratio
0.95926
Upside Potential Ratio
0.63260
Upside part of mean
0.15848
Downside part of mean
0.39880
Upside SD
0.09286
Downside SD
0.25052
N nonnegative terms
4.00000
N negative terms
8.00000
N of observations
12.00000
Mean of predictor
0.37686
Mean of criterion
0.24032
SD of predictor
0.13985
SD of criterion
0.26949
Covariance
0.01352
r
0.35860
b (slope, estimate of beta)
0.69102
a (intercept, estimate of alpha)
0.02010
Mean Square Error
0.06961
DF error
10.00000
t(b)
1.21479
p(b)
0.87382
t(a)
0.05913
p(a)
0.47701
Lowerbound of 95% confidence interval for beta
1.95847
Upperbound of 95% confidence interval for beta
0.57643
Lowerbound of 95% confidence interval for alpha
0.73737
Upperbound of 95% confidence interval for alpha
0.77757
Treynor index (mean / b)
0.34777
Jensen alpha (a)
0.02010
Mean
0.27979
SD
0.29038
Sharpe ratio (Glass type estimate)
0.96355
Sharpe ratio (Hedges UMVUE)
0.89607
df
11.00000
t
0.96355
p
0.82201
Lowerbound of 95% confidence interval for Sharpe Ratio
2.94279
Upperbound of 95% confidence interval for Sharpe Ratio
1.05713
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
2.89147
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
1.09934
Sortino ratio
1.01717
Upside Potential Ratio
0.56058
Upside part of mean
0.15420
Downside part of mean
0.43399
Upside SD
0.09029
Downside SD
0.27507
N nonnegative terms
4.00000
N negative terms
8.00000
N of observations
12.00000
Mean of predictor
0.36248
Mean of criterion
0.27979
SD of predictor
0.13391
SD of criterion
0.29038
Covariance
0.01411
r
0.36294
b (slope, estimate of beta)
0.78702
a (intercept, estimate of alpha)
0.00548
Mean Square Error
0.08053
DF error
10.00000
t(b)
1.23171
p(b)
0.87688
t(a)
0.01497
p(a)
0.49417
Lowerbound of 95% confidence interval for beta
2.21072
Upperbound of 95% confidence interval for beta
0.63668
Lowerbound of 95% confidence interval for alpha
0.81068
Upperbound of 95% confidence interval for alpha
0.82165
Treynor index (mean / b)
0.35551
Jensen alpha (a)
0.00548
VaR(95%)
0.14887
Expected Shortfall on VaR
0.17778
VaR(95%)
0.09099
Expected Shortfall on VaR
0.17679
Number of observations
12.00000
Minimum
0.81548
Quartile 1
0.97909
Median
1.00000
Quartile 3
1.01100
Maximum
1.06394
Mean of quarter 1
0.87607
Mean of quarter 2
0.99321
Mean of quarter 3
1.00035
Mean of quarter 4
1.05359
Inter Quartile Range
0.03191
Number outliers low
2.00000
Percentage of outliers low
0.16667
Mean of outliers low
0.82538
Number of outliers high
1.00000
Percentage of outliers high
0.08333
Mean of outliers high
1.06394
Extreme Value Index (moments method)
647.01300
VaR(95%) (moments method)
0.06874
Expected Shortfall (moments method)
0.00000
Extreme Value Index (regression method)
3.84433
VaR(95%) (regression method)
0.37311
Expected Shortfall (regression method)
0.37389
Number of observations
2.00000
Minimum
0.02037
Quartile 1
0.09883
Median
0.17729
Quartile 3
0.25575
Maximum
0.33421
Mean of quarter 1
0.02037
Mean of quarter 2
0.00000
Mean of quarter 3
0.00000
Mean of quarter 4
0.33421
Inter Quartile Range
0.15692
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
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
Annualized return (arithmetic extrapolation)
0.23650
Compounded annual return (geometric extrapolation)
0.23650
Calmar ratio (compounded annual return / max draw down)
0.70764
Compounded annual return / average of 25% largest draw downs
0.70764
Compounded annual return / Expected Shortfall lognormal
1.33032
0.00000
0.00000
Mean
0.24125
SD
0.25969
Sharpe ratio (Glass type estimate)
0.92899
Sharpe ratio (Hedges UMVUE)
0.92698
df
348.00000
t
0.93572
p
0.82497
Lowerbound of 95% confidence interval for Sharpe Ratio
2.87546
Upperbound of 95% confidence interval for Sharpe Ratio
1.01873
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
2.87408
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
1.02011
Sortino ratio
1.14150
Upside Potential Ratio
3.57319
Upside part of mean
0.75517
Downside part of mean
0.99642
Upside SD
0.15083
Downside SD
0.21134
N nonnegative terms
83.00000
N negative terms
266.00000
N of observations
349.00000
Mean of predictor
0.35873
Mean of criterion
0.24125
SD of predictor
0.16507
SD of criterion
0.25969
Covariance
0.00658
r
0.15345
b (slope, estimate of beta)
0.24141
a (intercept, estimate of alpha)
0.15465
Mean Square Error
0.06604
DF error
347.00000
t(b)
2.89279
p(b)
0.99797
t(a)
0.60201
p(a)
0.72622
Lowerbound of 95% confidence interval for beta
0.40554
Upperbound of 95% confidence interval for beta
0.07727
Lowerbound of 95% confidence interval for alpha
0.65990
Upperbound of 95% confidence interval for alpha
0.35060
Treynor index (mean / b)
0.99934
Jensen alpha (a)
0.15465
Mean
0.27593
SD
0.26542
Sharpe ratio (Glass type estimate)
1.03959
Sharpe ratio (Hedges UMVUE)
1.03735
df
348.00000
t
1.04712
p
0.85211
Lowerbound of 95% confidence interval for Sharpe Ratio
2.98627
Upperbound of 95% confidence interval for Sharpe Ratio
0.90854
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
2.98475
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
0.91004
Sortino ratio
1.24414
Upside Potential Ratio
3.35590
Upside part of mean
0.74428
Downside part of mean
1.02020
Upside SD
0.14587
Downside SD
0.22178
N nonnegative terms
83.00000
N negative terms
266.00000
N of observations
349.00000
Mean of predictor
0.34503
Mean of criterion
0.27593
SD of predictor
0.16439
SD of criterion
0.26542
Covariance
0.00674
r
0.15440
b (slope, estimate of beta)
0.24928
a (intercept, estimate of alpha)
0.18992
Mean Square Error
0.06897
DF error
347.00000
t(b)
2.91098
p(b)
0.99808
t(a)
0.72379
p(a)
0.76516
Lowerbound of 95% confidence interval for beta
0.41771
Upperbound of 95% confidence interval for beta
0.08085
Lowerbound of 95% confidence interval for alpha
0.70600
Upperbound of 95% confidence interval for alpha
0.32616
Treynor index (mean / b)
1.10690
Jensen alpha (a)
0.18992
VaR(95%)
0.02405
Expected Shortfall on VaR
0.02985
VaR(95%)
0.00849
Expected Shortfall on VaR
0.01879
Number of observations
349.00000
Minimum
0.85780
Quartile 1
1.00000
Median
1.00000
Quartile 3
1.00000
Maximum
1.11137
Mean of quarter 1
0.98860
Mean of quarter 2
1.00000
Mean of quarter 3
1.00000
Mean of quarter 4
1.00883
Inter Quartile Range
0.00000
Number outliers low
84.00000
Percentage of outliers low
0.24069
Mean of outliers low
0.98806
Number of outliers high
83.00000
Percentage of outliers high
0.23782
Mean of outliers high
1.00926
Extreme Value Index (moments method)
0.46322
VaR(95%) (moments method)
0.00456
Expected Shortfall (moments method)
0.01126
Extreme Value Index (regression method)
0.53600
VaR(95%) (regression method)
0.00994
Expected Shortfall (regression method)
0.02971
Number of observations
10.00000
Minimum
0.00211
Quartile 1
0.00627
Median
0.01378
Quartile 3
0.03102
Maximum
0.33580
Mean of quarter 1
0.00347
Mean of quarter 2
0.01013
Mean of quarter 3
0.01422
Mean of quarter 4
0.15760
Inter Quartile Range
0.02475
Number outliers low
0.00000
Percentage of outliers low
0.00000
Mean of outliers low
0.00000
Number of outliers high
2.00000
Percentage of outliers high
0.20000
Mean of outliers high
0.21810
Extreme Value Index (moments method)
1.45520
VaR(95%) (moments method)
0.12295
Expected Shortfall (moments method)
0.13080
Extreme Value Index (regression method)
0.88372
VaR(95%) (regression method)
0.38751
Expected Shortfall (regression method)
3.82121
Annualized return (arithmetic extrapolation)
0.23311
Compounded annual return (geometric extrapolation)
0.23354
Calmar ratio (compounded annual return / max draw down)
0.69549
Compounded annual return / average of 25% largest draw downs
1.48188
Compounded annual return / Expected Shortfall lognormal
7.82348
0.00000
0.00000
Mean
0.67426
SD
0.32154
Sharpe ratio (Glass type estimate)
2.09698
Sharpe ratio (Hedges UMVUE)
2.08777
df
171.00000
t
1.48279
p
0.57158
Lowerbound of 95% confidence interval for Sharpe Ratio
4.87473
Upperbound of 95% confidence interval for Sharpe Ratio
0.68668
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
4.86840
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
0.69285
Sortino ratio
2.47369
Upside Potential Ratio
1.68386
Upside part of mean
0.45897
Downside part of mean
1.13323
Upside SD
0.17266
Downside SD
0.27257
N nonnegative terms
12.00000
N negative terms
160.00000
N of observations
172.00000
Mean of predictor
0.56408
Mean of criterion
0.67426
SD of predictor
0.19625
SD of criterion
0.32154
Covariance
0.00918
r
0.14545
b (slope, estimate of beta)
0.23830
a (intercept, estimate of alpha)
0.53983
Mean Square Error
0.10179
DF error
170.00000
t(b)
1.91676
p(b)
0.57272
t(a)
1.18223
p(a)
0.54515
Lowerbound of 95% confidence interval for beta
0.48372
Upperbound of 95% confidence interval for beta
0.00712
Lowerbound of 95% confidence interval for alpha
1.44122
Upperbound of 95% confidence interval for alpha
0.36155
Treynor index (mean / b)
2.82946
Jensen alpha (a)
0.53983
Mean
0.72818
SD
0.33033
Sharpe ratio (Glass type estimate)
2.20442
Sharpe ratio (Hedges UMVUE)
2.19474
df
171.00000
t
1.55876
p
0.57518
Lowerbound of 95% confidence interval for Sharpe Ratio
4.98289
Upperbound of 95% confidence interval for Sharpe Ratio
0.58039
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
4.97629
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
0.58681
Sortino ratio
2.52998
Upside Potential Ratio
1.54590
Upside part of mean
0.44494
Downside part of mean
1.17313
Upside SD
0.16487
Downside SD
0.28782
N nonnegative terms
12.00000
N negative terms
160.00000
N of observations
172.00000
Mean of predictor
0.54457
Mean of criterion
0.72818
SD of predictor
0.19556
SD of criterion
0.33033
Covariance
0.00948
r
0.14675
b (slope, estimate of beta)
0.24788
a (intercept, estimate of alpha)
0.59319
Mean Square Error
0.10740
DF error
170.00000
t(b)
1.93432
p(b)
0.57337
t(a)
1.26567
p(a)
0.54831
Lowerbound of 95% confidence interval for beta
0.50085
Upperbound of 95% confidence interval for beta
0.00509
Lowerbound of 95% confidence interval for alpha
1.51837
Upperbound of 95% confidence interval for alpha
0.33199
Treynor index (mean / b)
2.93762
Jensen alpha (a)
0.59319
VaR(95%)
0.03092
Expected Shortfall on VaR
0.03809
VaR(95%)
0.01096
Expected Shortfall on VaR
0.02411
Number of observations
172.00000
Minimum
0.85780
Quartile 1
1.00000
Median
1.00000
Quartile 3
1.00000
Maximum
1.11137
Mean of quarter 1
0.98693
Mean of quarter 2
1.00000
Mean of quarter 3
1.00000
Mean of quarter 4
1.00534
Inter Quartile Range
0.00000
Number outliers low
20.00000
Percentage of outliers low
0.11628
Mean of outliers low
0.97190
Number of outliers high
12.00000
Percentage of outliers high
0.06977
Mean of outliers high
1.01915
Extreme Value Index (moments method)
0.03654
VaR(95%) (moments method)
0.00273
Expected Shortfall (moments method)
0.00519
Extreme Value Index (regression method)
0.45906
VaR(95%) (regression method)
0.01419
Expected Shortfall (regression method)
0.05164
Number of observations
1.00000
Minimum
0.30852
Quartile 1
0.30852
Median
0.30852
Quartile 3
0.30852
Maximum
0.30852
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
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
Annualized return (arithmetic extrapolation)
0.60341
Compounded annual return (geometric extrapolation)
0.51239
Calmar ratio (compounded annual return / max draw down)
1.66077
Compounded annual return / average of 25% largest draw downs
0.00000
Compounded annual return / Expected Shortfall lognormal
13.45280