Strategy began
7/16/2012
Age
31 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  Jan 28, 2015
Annual Return (Compounded)
14.0%
Avg win
$1,161
Avg loss
$3,348
W:L ratio
0.50:1
Open PL
$0.00
Open PL (start day)
$0.00
Open PL Change $
$0.00
Open PL Change %
n/a
Close PL
($11,825)
Closed PL (start day)
($11,825)
Closed PL Change $
$0.00
Closed PL Change %
n/a
Equity
$38,175
Equity (start day)
$38,175
Equity Change $
$0.00
Equity Change %
n/a
Age
926
# Trades
17
Avg Trade Length
11.5
Profit Factor
0.5
Sortino Ratio
1.182
Calmar Ratio
0.631
Ann Return (w trading costs)
14.0%
Sharpe Ratio
0.986
Ann Return (Compnd, No Fees)
10.1%
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
13.33%
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
0.22260
SD
0.25868
Sharpe ratio (Glass type estimate)
0.86052
Sharpe ratio (Hedges UMVUE)
0.80540
df
12.00000
t
0.89566
p
0.62516
Lowerbound of 95% confidence interval for Sharpe Ratio
2.75702
Upperbound of 95% confidence interval for Sharpe Ratio
1.07023
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
2.71584
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
1.10504
Sortino ratio
0.92480
Upside Potential Ratio
0.60778
Upside part of mean
0.14629
Downside part of mean
0.36889
Upside SD
0.08922
Downside SD
0.24070
N nonnegative terms
4.00000
N negative terms
9.00000
N of observations
13.00000
Mean of predictor
0.36449
Mean of criterion
0.22260
SD of predictor
0.13451
SD of criterion
0.25868
Covariance
0.01263
r
0.36287
b (slope, estimate of beta)
0.69781
a (intercept, estimate of alpha)
0.03175
Mean Square Error
0.06338
DF error
11.00000
t(b)
1.29154
p(b)
0.88850
t(a)
0.10178
p(a)
0.46038
Lowerbound of 95% confidence interval for beta
1.88700
Upperbound of 95% confidence interval for beta
0.49137
Lowerbound of 95% confidence interval for alpha
0.65477
Upperbound of 95% confidence interval for alpha
0.71826
Treynor index (mean / b)
0.31899
Jensen alpha (a)
0.03175
Mean
0.25904
SD
0.27885
Sharpe ratio (Glass type estimate)
0.92893
Sharpe ratio (Hedges UMVUE)
0.86943
df
12.00000
t
0.96687
p
0.63442
Lowerbound of 95% confidence interval for Sharpe Ratio
2.82917
Upperbound of 95% confidence interval for Sharpe Ratio
1.00810
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
2.78436
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
1.04550
Sortino ratio
0.98015
Upside Potential Ratio
0.53859
Upside part of mean
0.14234
Downside part of mean
0.40137
Upside SD
0.08675
Downside SD
0.26428
N nonnegative terms
4.00000
N negative terms
9.00000
N of observations
13.00000
Mean of predictor
0.35105
Mean of criterion
0.25904
SD of predictor
0.12876
SD of criterion
0.27885
Covariance
0.01319
r
0.36746
b (slope, estimate of beta)
0.79580
a (intercept, estimate of alpha)
0.02033
Mean Square Error
0.07337
DF error
11.00000
t(b)
1.31041
p(b)
0.89162
t(a)
0.06043
p(a)
0.47645
Lowerbound of 95% confidence interval for beta
2.13245
Upperbound of 95% confidence interval for beta
0.54085
Lowerbound of 95% confidence interval for alpha
0.72013
Upperbound of 95% confidence interval for alpha
0.76079
Treynor index (mean / b)
0.32550
Jensen alpha (a)
0.02033
VaR(95%)
0.14272
Expected Shortfall on VaR
0.17071
VaR(95%)
0.08601
Expected Shortfall on VaR
0.16909
Number of observations
13.00000
Minimum
0.81548
Quartile 1
0.97964
Median
1.00000
Quartile 3
1.00104
Maximum
1.06394
Mean of quarter 1
0.90196
Mean of quarter 2
1.00000
Mean of quarter 3
1.00035
Mean of quarter 4
1.05359
Inter Quartile Range
0.02140
Number outliers low
2.00000
Percentage of outliers low
0.15385
Mean of outliers low
0.82538
Number of outliers high
3.00000
Percentage of outliers high
0.23077
Mean of outliers high
1.05359
Extreme Value Index (moments method)
0.81300
VaR(95%) (moments method)
0.11094
Expected Shortfall (moments method)
0.66430
Extreme Value Index (regression method)
0.48362
VaR(95%) (regression method)
0.08256
Expected Shortfall (regression method)
0.18483
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)
0.21831
Compounded annual return (geometric extrapolation)
0.22049
Calmar ratio (compounded annual return / max draw down)
0.65972
Compounded annual return / average of 25% largest draw downs
0.65972
Compounded annual return / Expected Shortfall lognormal
1.29156
0.00000
0.00000
Mean
0.21693
SD
0.24565
Sharpe ratio (Glass type estimate)
0.88309
Sharpe ratio (Hedges UMVUE)
0.88138
df
389.00000
t
0.94028
p
0.82617
Lowerbound of 95% confidence interval for Sharpe Ratio
2.72432
Upperbound of 95% confidence interval for Sharpe Ratio
0.95927
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
2.72317
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
0.96041
Sortino ratio
1.08506
Upside Potential Ratio
3.38016
Upside part of mean
0.67578
Downside part of mean
0.89272
Upside SD
0.14268
Downside SD
0.19993
N nonnegative terms
83.00000
N negative terms
307.00000
N of observations
390.00000
Mean of predictor
0.34951
Mean of criterion
0.21693
SD of predictor
0.17003
SD of criterion
0.24565
Covariance
0.00589
r
0.14103
b (slope, estimate of beta)
0.20375
a (intercept, estimate of alpha)
0.14572
Mean Square Error
0.05930
DF error
388.00000
t(b)
2.80595
p(b)
0.99736
t(a)
0.63328
p(a)
0.73654
Lowerbound of 95% confidence interval for beta
0.34652
Upperbound of 95% confidence interval for beta
0.06099
Lowerbound of 95% confidence interval for alpha
0.59813
Upperbound of 95% confidence interval for alpha
0.30669
Treynor index (mean / b)
1.06470
Jensen alpha (a)
0.14572
Mean
0.24796
SD
0.25108
Sharpe ratio (Glass type estimate)
0.98760
Sharpe ratio (Hedges UMVUE)
0.98569
df
389.00000
t
1.05156
p
0.85317
Lowerbound of 95% confidence interval for Sharpe Ratio
2.82905
Upperbound of 95% confidence interval for Sharpe Ratio
0.85507
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
2.82774
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
0.85636
Sortino ratio
1.18191
Upside Potential Ratio
3.17460
Upside part of mean
0.66603
Downside part of mean
0.91400
Upside SD
0.13799
Downside SD
0.20980
N nonnegative terms
83.00000
N negative terms
307.00000
N of observations
390.00000
Mean of predictor
0.33500
Mean of criterion
0.24796
SD of predictor
0.16922
SD of criterion
0.25108
Covariance
0.00603
r
0.14201
b (slope, estimate of beta)
0.21071
a (intercept, estimate of alpha)
0.17738
Mean Square Error
0.06193
DF error
388.00000
t(b)
2.82589
p(b)
0.99752
t(a)
0.75463
p(a)
0.77454
Lowerbound of 95% confidence interval for beta
0.35731
Upperbound of 95% confidence interval for beta
0.06411
Lowerbound of 95% confidence interval for alpha
0.63951
Upperbound of 95% confidence interval for alpha
0.28475
Treynor index (mean / b)
1.17682
Jensen alpha (a)
0.17738
VaR(95%)
0.02273
Expected Shortfall on VaR
0.02823
VaR(95%)
0.00776
Expected Shortfall on VaR
0.01722
Number of observations
390.00000
Minimum
0.85780
Quartile 1
1.00000
Median
1.00000
Quartile 3
1.00000
Maximum
1.11137
Mean of quarter 1
0.98976
Mean of quarter 2
1.00000
Mean of quarter 3
1.00000
Mean of quarter 4
1.00784
Inter Quartile Range
0.00000
Number outliers low
84.00000
Percentage of outliers low
0.21538
Mean of outliers low
0.98806
Number of outliers high
83.00000
Percentage of outliers high
0.21282
Mean of outliers high
1.00926
Extreme Value Index (moments method)
0.46322
VaR(95%) (moments method)
0.00417
Expected Shortfall (moments method)
0.01054
Extreme Value Index (regression method)
0.53600
VaR(95%) (regression method)
0.00896
Expected Shortfall (regression method)
0.02758
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)
0.20861
Compounded annual return (geometric extrapolation)
0.21181
Calmar ratio (compounded annual return / max draw down)
0.63076
Compounded annual return / average of 25% largest draw downs
1.34397
Compounded annual return / Expected Shortfall lognormal
7.50410
0.00000
0.00000
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
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
N of observations
172.00000
Mean of predictor
0.42613
Mean of criterion
0.00995
SD of predictor
0.20616
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
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
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
N of observations
172.00000
Mean of predictor
0.40487
Mean of criterion
0.00995
SD of predictor
0.20526
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)
22136900000000000.00000
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)
147729000000000008502577507336192.00000
Jensen alpha (a)
0.00995
VaR(95%)
0.00003
Expected Shortfall on VaR
0.00003
VaR(95%)
0.00000
Expected Shortfall on VaR
0.00000
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
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
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
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)
0.00000
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