Freestyle ES/GC Trading
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Try AutoTrade for free. We'll give you $100,000 in a Simulated Broker Account to AutoTrade Freestyle ES/GC Trading.
Free AutoTradeJan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2011  +13.5%  (40.9%)  +1.0%  (0.4%)    (32.5%)  
2012  (0.4%)  (0.4%)  (0.7%)  (0.4%)  (0.4%)  (0.4%)  (0.4%)  (0.4%)  (0.4%)  (0.4%)  (0.4%)  (0.4%)  (4.8%) 
2013  (0.4%)  (0.4%)    (0.8%)  (0.4%)  (0.4%)  (0.4%)  (0.4%)  (0.4%)  (0.4%)  (0.4%)  (0.4%)  (4.7%) 
2014  (0.4%)  (0.4%)  (0.4%)  (0.4%)  (0.4%)  (0.4%)  (0.4%)  (0.4%)  (0.4%)  (0.4%)  (0.4%)  (0.4%)  (4.9%) 
2015  (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.
Started  $30,000  
Buy Power  $22,515  
Cash  $22,515  
Equity  $0  
Cumulative $  ($7,484)  
Total System Equity  $22,515  
Margined  $0  
Open P/L  $0 
Closed Trades
CSVOpened ET  B/S  #  Symbol  Price  Closed  Price  DD  P/L  

10/26/11 21:22  SELL  10  @ESZ1  EMINI S&P 500  1248.38  10/27 8:05  1267.50  32.21%

($9,703) Includes Typical Broker Commission and AutoTrade Fees trade costs of $139.60 

10/25/11 10:56  SELL  5  @ESZ1  EMINI S&P 500  1236.50  10/26 11:37  1224.25  3.88%

$2,993 Includes Typical Broker Commission and AutoTrade Fees trade costs of $69.80 

10/12/11 12:17  SELL  5  @ESZ1  EMINI S&P 500  1206.50  10/13 1:56  1196.00  9%

$2,555 Includes Typical Broker Commission and AutoTrade Fees trade costs of $69.80 

10/3/11 15:47  SELL  5  @ESZ1  EMINI S&P 500  1102.50  10/4 3:34  1084.50  4.85%

$4,430 Includes Typical Broker Commission and AutoTrade Fees trade costs of $69.80 

9/28/11 13:14  SELL  2  QGCZ1  Gold 100 oz  1618.1  9/28 16:22  1614.9  2.54%

$612 Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92 

9/26/11 22:42  SELL  2  QGCZ1  Gold 100 oz  1646.0  9/26 22:45  1645.7  1.42%

$32 Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92 

9/19/11 11:02  BUY  2  QGCZ1  Gold 100 oz  1790.2  9/23 8:44  1686.0  66.43%

($20,868) Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92 

9/15/11 15:26  BUY  5  @ESZ1  EMINI S&P 500  1198.75  9/16 9:27  1206.75  2.52%

$1,930 Includes Typical Broker Commission and AutoTrade Fees trade costs of $69.80 

9/15/11 9:06  BUY  5  @ESZ1  EMINI S&P 500  1191.00  9/15 11:21  1191.50  4.49%

$55 Includes Typical Broker Commission and AutoTrade Fees trade costs of $69.80 

9/14/11 0:22  SELL  1  QGCZ1  Gold 100 oz  1838.0  9/14 2:43  1827.0  0.46%

$1,086 Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

9/13/11 3:10  BUY  5  @ESZ1  EMINI S&P 500  1155.25  9/13 15:19  1160.50  11.23%

$1,243 Includes Typical Broker Commission and AutoTrade Fees trade costs of $69.80 

9/12/11 2:30  BUY  5  @ESU1  EMINI S&P 500  1141.25  9/12 9:08  1142.00  8.19%

$118 Includes Typical Broker Commission and AutoTrade Fees trade costs of $69.80 

9/9/11 8:59  BUY  5  @ESU1  EMINI S&P 500  1180.25  9/9 11:23  1160.25  12.86%

($5,070) Includes Typical Broker Commission and AutoTrade Fees trade costs of $69.80 

9/9/11 4:42  BUY  5  @ESU1  EMINI S&P 500  1180.50  9/9 8:15  1183.00  1.63%

$555 Includes Typical Broker Commission and AutoTrade Fees trade costs of $69.80 

9/8/11 14:26  SELL  2  @ESU1  EMINI S&P 500  1184.75  9/8 19:20  1188.00  1.37%

($353) Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92 

9/8/11 13:46  BUY  2  @ESU1  EMINI S&P 500  1186.50  9/8 13:51  1187.00  0.3%

$22 Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92 

9/8/11 9:36  BUY  1  QGCZ1  Gold 100 oz  1858.0  9/8 13:14  1860.0  2.15%

$186 Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

9/8/11 9:43  SELL  2  @ESU1  EMINI S&P 500  1197.50  9/8 12:55  1197.00  1.52%

$22 Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92 

9/8/11 7:55  BUY  1  QGCZ1  Gold 100 oz  1854.7  9/8 9:26  1867.0  3.14%

$1,216 Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

9/8/11 8:37  BUY  2  @ESU1  EMINI S&P 500  1189.25  9/8 9:14  1190.50  0.8%

$97 Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92 

9/8/11 8:23  SELL  4  @ESU1  EMINI S&P 500  1192.75  9/8 8:27  1192.00  0%

$94 Includes Typical Broker Commission and AutoTrade Fees trade costs of $55.84 

9/7/11 21:41  SELL  4  @ESU1  EMINI S&P 500  1199.50  9/8 8:16  1193.25  1.55%

$1,194 Includes Typical Broker Commission and AutoTrade Fees trade costs of $55.84 

9/7/11 12:31  BUY  4  @ESU1  EMINI S&P 500  1189.50  9/7 16:31  1199.50  0.27%

$1,944 Includes Typical Broker Commission and AutoTrade Fees trade costs of $55.84 

9/7/11 10:08  SELL  4  @ESU1  EMINI S&P 500  1186.88  9/7 12:30  1189.00  1.15%

($481) Includes Typical Broker Commission and AutoTrade Fees trade costs of $55.84 

9/6/11 16:49  SELL  6  @ESU1  EMINI S&P 500  1170.92  9/7 9:32  1176.50  7.71%

($1,759) Includes Typical Broker Commission and AutoTrade Fees trade costs of $83.76 

9/6/11 13:49  SELL  4  @ESU1  EMINI S&P 500  1160.00  9/6 14:37  1159.00  1.54%

$144 Includes Typical Broker Commission and AutoTrade Fees trade costs of $55.84 

9/2/11 8:47  BUY  1  QGCZ1  Gold 100 oz  1871.8  9/6 11:23  1872.2  2.37%

$26 Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

9/6/11 4:02  SELL  1  @ESU1  EMINI S&P 500  1152.00  9/6 7:48  1146.00  0.55%

$286 Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

9/5/11 11:29  SELL  1  @ESU1  EMINI S&P 500  1146.00  9/5 20:22  1140.25  n/a  $274 Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

9/2/11 8:34  BUY  2  @ESU1  EMINI S&P 500  1180.00  9/2 8:44  1185.00  n/a  $472 Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92 
Statistics
 Strategy began8/23/2011
 Age48 months ago
 What it tradesFutures
 # Trades44
 # Profitable38
 % Profitable86.40%
 Avg trade duration10.0 hours
 Max peaktovalley drawdown63.22%
 drawdown periodSept 21, 2011  July 29, 2015
 Annual Return (Compounded)13.4%
 Avg win$798.49
 Avg loss$6,304
 W:L ratio0.80:1
 Open PL$0.00
 Open PL (start day)$0.00
 Open PL Change $$0.00
 Open PL Change %n/a
 Close PL($7,484)
 Closed PL (start day)($7,485)
 Closed PL Change $$0.02
 Closed PL Change %n/a
 Equity$22,515
 Equity (start day)$22,515
 Equity Change $$0.02
 Equity Change %n/a
 GENERAL STATISTICS
 Age1439
 # Trades44
 Starting Unit Size30000
 Avg Trade Length0.4
 PROFIT
 Profit Factor0.8
 SORTINO STATISTICS
 Sortino Ratio0.453
 CALMAR STATISTICS
 Calmar Ratio0.364
 Ann Return (w trading costs)13.4%
 SHARPE STATISTICS
 Sharpe Ratio0.380
 Ann Return (Compnd, No Fees)7.0%
 Chance of 10% account loss100.00%
 Chance of 20% account loss100.00%
 Chance of 30% account loss100.00%
 Chance of 40% account loss100.00%
 Chance of 50% account loss100.00%
 PROFIT STATISTICS
 APD0.09
 DRAW DOWN STATISTICS
 Max Drawdown63.2%
 POPULARITY STATISTICS
 Popularity (Today)0
 Popularity (Last 6 weeks)0
 TOS STATISTICS
 Trades Own System?0
 TOS percentn/a
 BILLING STATISTICS
 Subscription Price$75
 Billing Period (days)30
 Trial Days7
 WIN STATISTICS
 Avg Loss$6,305
 Avg Win$798
 # Winners38
 # Losers6
 % Winners86.4%
 TIME STATISTICS
 Avg Position Time (mins)601.93
 Avg Position Time (hrs)10.03
 Last Trade Ago1374
 OWNER STATISTICS
 Developer
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio
 Mean0.18433
 SD0.27653
 Sharpe ratio (Glass type estimate)0.66660
 Sharpe ratio (Hedges UMVUE)0.63261
 df15.00000
 t0.76973
 p0.62331
 Lowerbound of 95% confidence interval for Sharpe Ratio2.36961
 Upperbound of 95% confidence interval for Sharpe Ratio1.05797
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.34502
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.07979
 Statistics related to Sortino ratio
 Sortino ratio0.76933
 Upside Potential Ratio0.47278
 Upside part of mean0.11328
 Downside part of mean0.29761
 Upside SD0.13080
 Downside SD0.23960
 N nonnegative terms1.00000
 N negative terms15.00000
 Statistics related to linear regression on benchmark
 N of observations16.00000
 Mean of predictor0.46541
 Mean of criterion0.18433
 SD of predictor0.22912
 SD of criterion0.27653
 Covariance0.01562
 r0.24655
 b (slope, estimate of beta)0.29757
 a (intercept, estimate of alpha)0.04584
 Mean Square Error0.07695
 DF error14.00000
 t(b)0.95191
 p(b)0.62328
 t(a)0.16322
 p(a)0.52179
 Lowerbound of 95% confidence interval for beta0.96804
 Upperbound of 95% confidence interval for beta0.37290
 Lowerbound of 95% confidence interval for alpha0.64821
 Upperbound of 95% confidence interval for alpha0.55653
 Treynor index (mean / b)0.61945
 Jensen alpha (a)0.04584
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.22521
 SD0.29626
 Sharpe ratio (Glass type estimate)0.76018
 Sharpe ratio (Hedges UMVUE)0.72142
 df15.00000
 t0.87778
 p0.63956
 Lowerbound of 95% confidence interval for Sharpe Ratio2.46664
 Upperbound of 95% confidence interval for Sharpe Ratio0.97069
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.43831
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.99548
 Statistics related to Sortino ratio
 Sortino ratio0.84110
 Upside Potential Ratio0.39370
 Upside part of mean0.10542
 Downside part of mean0.33063
 Upside SD0.12172
 Downside SD0.26776
 N nonnegative terms1.00000
 N negative terms15.00000
 Statistics related to linear regression on benchmark
 N of observations16.00000
 Mean of predictor0.43390
 Mean of criterion0.22521
 SD of predictor0.21737
 SD of criterion0.29626
 Covariance0.01562
 r0.24254
 b (slope, estimate of beta)0.33055
 a (intercept, estimate of alpha)0.08179
 Mean Square Error0.08851
 DF error14.00000
 t(b)0.93542
 p(b)0.62127
 t(a)0.27278
 p(a)0.53636
 Lowerbound of 95% confidence interval for beta1.08847
 Upperbound of 95% confidence interval for beta0.42736
 Lowerbound of 95% confidence interval for alpha0.72483
 Upperbound of 95% confidence interval for alpha0.56126
 Treynor index (mean / b)0.68132
 Jensen alpha (a)0.08179
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.14738
 Expected Shortfall on VaR0.17690
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.08307
 Expected Shortfall on VaR0.16958
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations16.00000
 Minimum0.77598
 Quartile 11.00000
 Median1.00000
 Quartile 31.00000
 Maximum1.15187
 Mean of quarter 10.90391
 Mean of quarter 21.00000
 Mean of quarter 31.00000
 Mean of quarter 41.03797
 Inter Quartile Range0.00000
 Number outliers low2.00000
 Percentage of outliers low0.12500
 Mean of outliers low0.80781
 Number of outliers high1.00000
 Percentage of outliers high0.06250
 Mean of outliers high1.15187
 Risk estimates for a oneperiod 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)2.33244
 VaR(95%) (regression method)0.33532
 Expected Shortfall (regression method)0.34840
 DRAW DOWN STATISTICS
 Quartiles of draw downs
 Number of observations1.00000
 Minimum0.34845
 Quartile 10.34845
 Median0.34845
 Quartile 30.34845
 Maximum0.34845
 Mean of quarter 10.00000
 Mean of quarter 20.00000
 Mean of quarter 30.00000
 Mean of quarter 40.00000
 Inter Quartile Range0.00000
 Number outliers low0.00000
 Percentage of outliers low0.00000
 Mean of outliers low0.00000
 Number of outliers high0.00000
 Percentage of outliers high0.00000
 Mean of outliers high0.00000
 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)0.18713
 Compounded annual return (geometric extrapolation)0.19367
 Calmar ratio (compounded annual return / max draw down)0.55580
 Compounded annual return / average of 25% largest draw downs0.00000
 Compounded annual return / Expected Shortfall lognormal1.09478
 0.00000
 0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio
 Mean0.06102
 SD0.54333
 Sharpe ratio (Glass type estimate)0.11231
 Sharpe ratio (Hedges UMVUE)0.11213
 df475.00000
 t0.13211
 p0.55252
 Lowerbound of 95% confidence interval for Sharpe Ratio1.77851
 Upperbound of 95% confidence interval for Sharpe Ratio1.55389
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.77833
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.55407
 Statistics related to Sortino ratio
 Sortino ratio0.14442
 Upside Potential Ratio2.07858
 Upside part of mean0.87826
 Downside part of mean0.93929
 Upside SD0.34069
 Downside SD0.42253
 N nonnegative terms23.00000
 N negative terms453.00000
 Statistics related to linear regression on benchmark
 N of observations476.00000
 Mean of predictor0.44689
 Mean of criterion0.06102
 SD of predictor0.23489
 SD of criterion0.54333
 Covariance0.00400
 r0.03135
 b (slope, estimate of beta)0.07252
 a (intercept, estimate of alpha)0.09343
 Mean Square Error0.29554
 DF error474.00000
 t(b)0.68291
 p(b)0.24750
 t(a)0.20110
 p(a)0.57965
 Lowerbound of 95% confidence interval for beta0.13615
 Upperbound of 95% confidence interval for beta0.28119
 Lowerbound of 95% confidence interval for alpha1.00633
 Upperbound of 95% confidence interval for alpha0.81947
 Treynor index (mean / b)0.84144
 Jensen alpha (a)0.09343
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.21737
 SD0.57063
 Sharpe ratio (Glass type estimate)0.38094
 Sharpe ratio (Hedges UMVUE)0.38033
 df475.00000
 t0.44810
 p0.67286
 Lowerbound of 95% confidence interval for Sharpe Ratio2.04715
 Upperbound of 95% confidence interval for Sharpe Ratio1.28558
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.04669
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.28603
 Statistics related to Sortino ratio
 Sortino ratio0.45282
 Upside Potential Ratio1.72409
 Upside part of mean0.82765
 Downside part of mean1.04502
 Upside SD0.30761
 Downside SD0.48005
 N nonnegative terms23.00000
 N negative terms453.00000
 Statistics related to linear regression on benchmark
 N of observations476.00000
 Mean of predictor0.41911
 Mean of criterion0.21737
 SD of predictor0.23473
 SD of criterion0.57063
 Covariance0.00350
 r0.02614
 b (slope, estimate of beta)0.06354
 a (intercept, estimate of alpha)0.24400
 Mean Square Error0.32608
 DF error474.00000
 t(b)0.56923
 p(b)0.28473
 t(a)0.50032
 p(a)0.69146
 Lowerbound of 95% confidence interval for beta0.15580
 Upperbound of 95% confidence interval for beta0.28288
 Lowerbound of 95% confidence interval for alpha1.20231
 Upperbound of 95% confidence interval for alpha0.71431
 Treynor index (mean / b)3.42107
 Jensen alpha (a)0.24400
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.04995
 Expected Shortfall on VaR0.06202
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.00919
 Expected Shortfall on VaR0.02085
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations476.00000
 Minimum0.71782
 Quartile 11.00000
 Median1.00000
 Quartile 31.00000
 Maximum1.31774
 Mean of quarter 10.98919
 Mean of quarter 21.00000
 Mean of quarter 31.00000
 Mean of quarter 41.01022
 Inter Quartile Range0.00000
 Number outliers low14.00000
 Percentage of outliers low0.02941
 Mean of outliers low0.90810
 Number of outliers high23.00000
 Percentage of outliers high0.04832
 Mean of outliers high1.05287
 Risk estimates for a oneperiod 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)0.52380
 VaR(95%) (regression method)0.01347
 Expected Shortfall (regression method)0.00000
 DRAW DOWN STATISTICS
 Quartiles of draw downs
 Number of observations6.00000
 Minimum0.00438
 Quartile 10.01940
 Median0.07209
 Quartile 30.15029
 Maximum0.51506
 Mean of quarter 10.00965
 Mean of quarter 20.03281
 Mean of quarter 30.11137
 Mean of quarter 40.33916
 Inter Quartile Range0.13090
 Number outliers low0.00000
 Percentage of outliers low0.00000
 Mean of outliers low0.00000
 Number of outliers high1.00000
 Percentage of outliers high0.16667
 Mean of outliers high0.51506
 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)0.18031
 Compounded annual return (geometric extrapolation)0.18732
 Calmar ratio (compounded annual return / max draw down)0.36369
 Compounded annual return / average of 25% largest draw downs0.55231
 Compounded annual return / Expected Shortfall lognormal3.02027
 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
 Mean0.00995
 SD0.00000
 Sharpe ratio (Glass type estimate)0.00000
 Sharpe ratio (Hedges UMVUE)0.00000
 df0.00000
 t0.00000
 p0.00000
 Lowerbound of 95% confidence interval for Sharpe Ratio0.00000
 Upperbound of 95% confidence interval for Sharpe Ratio0.00000
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.00000
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.00000
 Statistics related to Sortino ratio
 Sortino ratio18.54720
 Upside Potential Ratio0.00000
 Upside part of mean0.00000
 Downside part of mean0.00995
 Upside SD0.00000
 Downside SD0.00054
 N nonnegative terms0.00000
 N negative terms172.00000
 Statistics related to linear regression on benchmark
 N of observations172.00000
 Mean of predictor0.14672
 Mean of criterion0.00995
 SD of predictor0.17274
 SD of criterion0.00000
 Covariance0.00000
 r0.00000
 b (slope, estimate of beta)0.00000
 a (intercept, estimate of alpha)0.00000
 Mean Square Error0.00000
 DF error0.00000
 t(b)0.00000
 p(b)0.00000
 t(a)0.00000
 p(a)0.00000
 Lowerbound of 95% confidence interval for beta0.00000
 Upperbound of 95% confidence interval for beta0.00000
 Lowerbound of 95% confidence interval for alpha0.00000
 Upperbound of 95% confidence interval for alpha0.00000
 Treynor index (mean / b)0.00000
 Jensen alpha (a)0.00000
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.00995
 SD0.00000
 Sharpe ratio (Glass type estimate)31576300000000000.00000
 Sharpe ratio (Hedges UMVUE)31437600000000000.00000
 df171.00000
 t22327800000000000.00000
 p1.00000
 Lowerbound of 95% confidence interval for Sharpe Ratio0.00000
 Upperbound of 95% confidence interval for Sharpe Ratio0.00000
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation34769500000000000.00000
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation28105800000000000.00000
 Statistics related to Sortino ratio
 Sortino ratio18.54720
 Upside Potential Ratio0.00000
 Upside part of mean0.00000
 Downside part of mean0.00995
 Upside SD0.00000
 Downside SD0.00054
 N nonnegative terms0.00000
 N negative terms172.00000
 Statistics related to linear regression on benchmark
 N of observations172.00000
 Mean of predictor0.13184
 Mean of criterion0.00995
 SD of predictor0.17291
 SD of criterion0.00000
 Covariance0.00000
 r0.00000
 b (slope, estimate of beta)0.00000
 a (intercept, estimate of alpha)0.00995
 Mean Square Error0.00000
 DF error170.00000
 t(b)0.00000
 p(b)0.50000
 t(a)22243600000000000.00000
 p(a)1.00000
 Lowerbound of 95% confidence interval for beta0.00000
 Upperbound of 95% confidence interval for beta0.00000
 Lowerbound of 95% confidence interval for alpha0.00995
 Upperbound of 95% confidence interval for alpha0.00995
 Treynor index (mean / b)150662000000000004779845749833728.00000
 Jensen alpha (a)0.00995
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.00003
 Expected Shortfall on VaR0.00003
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.00000
 Expected Shortfall on VaR0.00000
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations172.00000
 Minimum1.00000
 Quartile 11.00000
 Median1.00000
 Quartile 31.00000
 Maximum1.00000
 Mean of quarter 11.00000
 Mean of quarter 21.00000
 Mean of quarter 31.00000
 Mean of quarter 41.00000
 Inter Quartile Range0.00000
 Number outliers low0.00000
 Percentage of outliers low0.00000
 Mean of outliers low0.00000
 Number of outliers high0.00000
 Percentage of outliers high0.00000
 Mean of outliers high0.00000
 Risk estimates for a oneperiod 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 observations0.00000
 Minimum0.00000
 Quartile 10.00000
 Median0.00000
 Quartile 30.00000
 Maximum0.00000
 Mean of quarter 10.00000
 Mean of quarter 20.00000
 Mean of quarter 30.00000
 Mean of quarter 40.00000
 Inter Quartile Range0.00000
 Number outliers low0.00000
 Percentage of outliers low0.00000
 Mean of outliers low0.00000
 Number of outliers high0.00000
 Percentage of outliers high0.00000
 Mean of outliers high0.00000
 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 downs0.00000
 Compounded annual return / Expected Shortfall lognormal0.00000
Strategy Description
Faq1. What's your educational background?
Master in Electrical Engineering, Master in Bio Engieering, PhD Candidate ABD (all but dissertation) in Electrical Engineering.
2. What's your trading experience
More than 11 years' personal trading experience. 3 years' trader and partner of a stock trading firm.
3. What's your trading methodology/philosophy?
Enter conservatively, exit aggressively. The system is mainly based on pattern analysis. Correlation analysis, fuzzy decision are also applied into the system development.
4. How's the system risk/drawdown control?
The system uses different size based on the confidence lelvel, trading plan. Average down is used when appropriate.
5. How's the customer relationship?
I will do my best to answer subscriber's question promptly.
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 underor overcompensated 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 pertrade 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.