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Iris Fx

Created by:
UserRemoved216
UserRemoved216
Started:   11/2011
Forex
Last trade:   1,568 days ago

Subscription terms. You can subscribe to this system for free.

5.2%
Annual Return (Compounded)
19.8%
Max Drawdown
82
Num Trades
45.1%
Win Trades
1.3 : 1
Profit Factor
5.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                                                                      +33.1%+6.0%+41.1%
2012+5.7%(15.5%)  -    -    -    -    -    -    -    -    -    -  (10.7%)
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -                                            0.0

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.

This strategy has placed 73 trades in real-life brokerage accounts. Show AutoTrade data Hide AutoTrade data
Long
Short
Both
Win
Loss
Both

Trading Record

Download CSV
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/13/12 19:41 AUD/USD SHORT 1 1.07165 2/14 5:02 1.07083 0.26%
Trade id #70568815
Max drawdown($7)
Time2/13/12 20:01
Quant open-1
Worst price1.07236
Drawdown as % of equity-0.26%
$7
Includes Typical Commission and AutoTrade Fees trade costs of $1.00
2/13/12 18:54 USD/CHF LONG 1 0.91886 2/14 5:00 0.91553 1.35%
Trade id #70567863
Max drawdown($36)
Time2/14/12 5:00
Quant open0
Worst price0.91553
Drawdown as % of equity-1.35%
($37)
Includes Typical Commission and AutoTrade Fees trade costs of $1.00
2/12/12 18:53 EUR/USD LONG 1 1.32332 2/13 18:49 1.31520 3.27%
Trade id #70515976
Max drawdown($89)
Time2/13/12 18:41
Quant open1
Worst price1.31442
Drawdown as % of equity-3.27%
($82)
Includes Typical Commission and AutoTrade Fees trade costs of $1.00
2/12/12 23:54 AUD/USD LONG 1 1.07413 2/13 17:51 1.07208 0.76%
Trade id #70520863
Max drawdown($21)
Time2/13/12 2:06
Quant open1
Worst price1.07203
Drawdown as % of equity-0.76%
($22)
Includes Typical Commission and AutoTrade Fees trade costs of $1.00
2/12/12 23:56 USD/CHF SHORT 1 0.91282 2/13 15:06 0.91631 1.4%
Trade id #70520907
Max drawdown($38)
Time2/13/12 15:06
Quant open0
Worst price0.91631
Drawdown as % of equity-1.40%
($39)
Includes Typical Commission and AutoTrade Fees trade costs of $1.00
2/8/12 10:49 GBP/USD LONG 1 1.58126 2/10 8:23 1.57680 1.56%
Trade id #70406269
Max drawdown($47)
Time2/10/12 8:17
Quant open1
Worst price1.57654
Drawdown as % of equity-1.56%
($46)
Includes Typical Commission and AutoTrade Fees trade costs of $1.00
2/9/12 19:57 AUD/USD LONG 1 1.07660 2/10 8:23 1.06404 4.2%
Trade id #70469709
Max drawdown($127)
Time2/10/12 7:17
Quant open1
Worst price1.06390
Drawdown as % of equity-4.20%
($127)
Includes Typical Commission and AutoTrade Fees trade costs of $1.00
2/7/12 11:00 EUR/USD LONG 1 1.32426 2/10 8:21 1.31725 2.32%
Trade id #70369731
Max drawdown($70)
Time2/10/12 8:21
Quant open0
Worst price1.31725
Drawdown as % of equity-2.32%
($71)
Includes Typical Commission and AutoTrade Fees trade costs of $1.00
2/7/12 11:00 USD/CHF SHORT 1 0.91274 2/10 7:16 0.91667 1.42%
Trade id #70369770
Max drawdown($43)
Time2/10/12 7:16
Quant open0
Worst price0.91667
Drawdown as % of equity-1.42%
($44)
Includes Typical Commission and AutoTrade Fees trade costs of $1.00
2/5/12 20:33 USD/JPY LONG 1 76.560 2/7 10:41 76.867 0.23%
Trade id #70268457
Max drawdown($7)
Time2/6/12 13:36
Quant open1
Worst price76.504
Drawdown as % of equity-0.23%
$39
Includes Typical Commission and AutoTrade Fees trade costs of $1.00
2/2/12 6:50 EUR/USD SHORT 3 1.31256 2/7 10:11 1.30959 2.34%
Trade id #70196659
Max drawdown($68)
Time2/3/12 8:32
Quant open-1
Worst price1.32046
Drawdown as % of equity-2.34%
$86
Includes Typical Commission and AutoTrade Fees trade costs of $3.00
2/1/12 4:32 EUR/USD LONG 2 1.31509 2/2 4:00 1.31301 1.38%
Trade id #70154468
Max drawdown($42)
Time2/2/12 4:00
Quant open0
Worst price1.31301
Drawdown as % of equity-1.38%
($44)
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
2/1/12 9:21 USD/CHF SHORT 1 0.91556 2/2 3:10 0.91680 0.46%
Trade id #70162372
Max drawdown($14)
Time2/2/12 3:10
Quant open0
Worst price0.91680
Drawdown as % of equity-0.46%
($15)
Includes Typical Commission and AutoTrade Fees trade costs of $1.00
1/31/12 23:25 USD/CHF LONG 1 0.92159 2/1 4:29 0.91839 1.14%
Trade id #70147997
Max drawdown($35)
Time2/1/12 4:29
Quant open0
Worst price0.91839
Drawdown as % of equity-1.14%
($36)
Includes Typical Commission and AutoTrade Fees trade costs of $1.00
1/31/12 10:54 EUR/USD SHORT 1 1.30867 2/1 4:14 1.31080 0.68%
Trade id #70127458
Max drawdown($21)
Time2/1/12 4:14
Quant open0
Worst price1.31080
Drawdown as % of equity-0.68%
($22)
Includes Typical Commission and AutoTrade Fees trade costs of $1.00
1/31/12 5:39 GBP/JPY LONG 1 120.443 1/31 10:42 119.967 1.99%
Trade id #70117667
Max drawdown($62)
Time1/31/12 10:42
Quant open0
Worst price119.967
Drawdown as % of equity-1.99%
($63)
Includes Typical Commission and AutoTrade Fees trade costs of $1.00
1/29/12 22:25 AUD/USD LONG 1 1.06104 1/30 5:15 1.05263 2.69%
Trade id #70073520
Max drawdown($84)
Time1/30/12 5:15
Quant open0
Worst price1.05263
Drawdown as % of equity-2.69%
($85)
Includes Typical Commission and AutoTrade Fees trade costs of $1.00
1/26/12 18:49 EUR/USD LONG 1 1.31070 1/27 14:05 1.32094 1%
Trade id #70033234
Max drawdown($30)
Time1/26/12 19:32
Quant open1
Worst price1.30765
Drawdown as % of equity-1.00%
$101
Includes Typical Commission and AutoTrade Fees trade costs of $1.00
1/27/12 11:00 AUD/USD LONG 1 1.06286 1/27 14:05 1.06515 0.09%
Trade id #70052860
Max drawdown($2)
Time1/27/12 11:02
Quant open1
Worst price1.06257
Drawdown as % of equity-0.09%
$22
Includes Typical Commission and AutoTrade Fees trade costs of $1.00
1/20/12 9:46 EUR/USD LONG 1 1.29237 1/26 4:54 1.31641 1.79%
Trade id #69877016
Max drawdown($49)
Time1/22/12 17:45
Quant open1
Worst price1.28743
Drawdown as % of equity-1.79%
$239
Includes Typical Commission and AutoTrade Fees trade costs of $1.00
1/23/12 20:24 USD/CAD SHORT 1 1.00812 1/26 4:52 1.00018 2.32%
Trade id #69932912
Max drawdown($65)
Time1/25/12 7:35
Quant open-1
Worst price1.01469
Drawdown as % of equity-2.32%
$78
Includes Typical Commission and AutoTrade Fees trade costs of $1.00
1/19/12 22:35 USD/CAD LONG 1 1.01327 1/20 9:18 1.01352 0.46%
Trade id #69864368
Max drawdown($12)
Time1/20/12 2:35
Quant open1
Worst price1.01199
Drawdown as % of equity-0.46%
$1
Includes Typical Commission and AutoTrade Fees trade costs of $1.00
1/18/12 3:34 EUR/USD SHORT 1 1.27392 1/19 4:35 1.29000 5.81%
Trade id #69790788
Max drawdown($161)
Time1/19/12 4:35
Quant open0
Worst price1.29000
Drawdown as % of equity-5.81%
($162)
Includes Typical Commission and AutoTrade Fees trade costs of $1.00
1/18/12 9:09 USD/JPY LONG 1 76.847 1/18 16:45 76.739 0.48%
Trade id #69799952
Max drawdown($14)
Time1/18/12 16:45
Quant open0
Worst price76.739
Drawdown as % of equity-0.48%
($15)
Includes Typical Commission and AutoTrade Fees trade costs of $1.00
1/17/12 8:44 GBP/USD SHORT 1 1.53808 1/17 19:36 1.53442 0.14%
Trade id #69748231
Max drawdown($3)
Time1/17/12 8:47
Quant open-1
Worst price1.53847
Drawdown as % of equity-0.14%
$36
Includes Typical Commission and AutoTrade Fees trade costs of $1.00
1/17/12 2:57 GBP/USD LONG 1 1.53688 1/17 8:43 1.53798 0.55%
Trade id #69740890
Max drawdown($15)
Time1/17/12 4:30
Quant open1
Worst price1.53531
Drawdown as % of equity-0.55%
$10
Includes Typical Commission and AutoTrade Fees trade costs of $1.00
1/13/12 9:09 USD/CHF LONG 1 0.95196 1/16 23:08 0.95029 0.62%
Trade id #69694354
Max drawdown($18)
Time1/16/12 22:51
Quant open1
Worst price0.95017
Drawdown as % of equity-0.62%
($19)
Includes Typical Commission and AutoTrade Fees trade costs of $1.00
1/15/12 19:00 USD/JPY LONG 1 76.916 1/16 22:48 76.703 0.97%
Trade id #69717881
Max drawdown($29)
Time1/16/12 10:01
Quant open1
Worst price76.691
Drawdown as % of equity-0.97%
($29)
Includes Typical Commission and AutoTrade Fees trade costs of $1.00
1/16/12 2:45 EUR/USD SHORT 1 1.26628 1/16 21:51 1.27328 2.31%
Trade id #69723324
Max drawdown($70)
Time1/16/12 21:51
Quant open0
Worst price1.27328
Drawdown as % of equity-2.31%
($71)
Includes Typical Commission and AutoTrade Fees trade costs of $1.00
1/13/12 9:18 AUD/USD SHORT 2 1.02858 1/16 11:17 1.03370 3.4%
Trade id #69694624
Max drawdown($103)
Time1/16/12 11:17
Quant open0
Worst price1.03370
Drawdown as % of equity-3.40%
($105)
Includes Typical Commission and AutoTrade Fees trade costs of $2.00

Statistics

  • Strategy began
    11/12/2011
  • Starting Unit Size
    $2,000
  • Strategy Age (days)
    1658.02
  • Age
    55 months ago
  • What it trades
    Forex
  • # Trades
    82
  • # Profitable
    37
  • % Profitable
    45.10%
  • Avg trade duration
    1.3 days
  • Max peak-to-valley drawdown
    19.8%
  • drawdown period
    Jan 13, 2012 - Feb 14, 2012
  • Annual Return (Compounded)
    5.2%
  • Avg win
    $77.05
  • Avg loss
    $49.84
  • Ratios
  • W:L ratio
    1.27:1
  • Sharpe Ratio
    0.629
  • Sortino Ratio
    1.115
  • Calmar Ratio
    0.986
  • Daily Change
  • Close PL
    $615.32
  • Closed PL (start day)
    $615.00
  • Closed PL Change $
    $0.32
  • Closed PL Change %
    0.05%
  • Equity
    $2,615
  • Equity (start day)
    $2,615
  • Equity Change $
    $0.32
  • Equity Change %
    0.01%
  • Return Statistics
  • Ann Return (w trading costs)
    5.2%
  • Ann Return (Compnd, No Fees)
    6.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    6.67%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $50
  • Avg Win
    $77
  • # Winners
    37
  • # Losers
    45
  • % Winners
    45.1%
  • Frequency
  • Avg Position Time (mins)
    1940.97
  • Avg Position Time (hrs)
    32.35
  • Avg Trade Length
    1.3 days
  • Last Trade Ago
    1564
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20541
  • SD
    0.32325
  • Sharpe ratio (Glass type estimate)
    0.63545
  • Sharpe ratio (Hedges UMVUE)
    0.60854
  • df
    18.00000
  • t
    0.79959
  • p
    0.40740
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.94434
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.19804
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.96172
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.17879
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.59057
  • Upside Potential Ratio
    2.53392
  • Upside part of mean
    0.32724
  • Downside part of mean
    -0.12183
  • Upside SD
    0.29297
  • Downside SD
    0.12914
  • N nonnegative terms
    2.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.31329
  • Mean of criterion
    0.20541
  • SD of predictor
    0.15573
  • SD of criterion
    0.32325
  • Covariance
    -0.00615
  • r
    -0.12222
  • b (slope, estimate of beta)
    -0.25370
  • a (intercept, estimate of alpha)
    0.28489
  • Mean Square Error
    0.10899
  • DF error
    17.00000
  • t(b)
    -0.50772
  • p(b)
    0.57761
  • t(a)
    0.93250
  • p(a)
    0.36071
  • Lowerbound of 95% confidence interval for beta
    -1.30793
  • Upperbound of 95% confidence interval for beta
    0.80053
  • Lowerbound of 95% confidence interval for alpha
    -0.35969
  • Upperbound of 95% confidence interval for alpha
    0.92947
  • Treynor index (mean / b)
    -0.80967
  • Jensen alpha (a)
    0.28489
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15939
  • SD
    0.29970
  • Sharpe ratio (Glass type estimate)
    0.53183
  • Sharpe ratio (Hedges UMVUE)
    0.50930
  • df
    18.00000
  • t
    0.66920
  • p
    0.42210
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.04253
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.09176
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.05718
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.07578
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.13388
  • Upside Potential Ratio
    2.06623
  • Upside part of mean
    0.29045
  • Downside part of mean
    -0.13106
  • Upside SD
    0.25971
  • Downside SD
    0.14057
  • N nonnegative terms
    2.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.29853
  • Mean of criterion
    0.15939
  • SD of predictor
    0.14739
  • SD of criterion
    0.29970
  • Covariance
    -0.00511
  • r
    -0.11572
  • b (slope, estimate of beta)
    -0.23530
  • a (intercept, estimate of alpha)
    0.22963
  • Mean Square Error
    0.09383
  • DF error
    17.00000
  • t(b)
    -0.48036
  • p(b)
    0.57351
  • t(a)
    0.80862
  • p(a)
    0.37824
  • Lowerbound of 95% confidence interval for beta
    -1.26877
  • Upperbound of 95% confidence interval for beta
    0.79817
  • Lowerbound of 95% confidence interval for alpha
    -0.36951
  • Upperbound of 95% confidence interval for alpha
    0.82877
  • Treynor index (mean / b)
    -0.67737
  • Jensen alpha (a)
    0.22963
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12105
  • Expected Shortfall on VaR
    0.15182
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03300
  • Expected Shortfall on VaR
    0.07127
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    19.00000
  • Minimum
    0.83949
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.28879
  • Mean of quarter 1
    0.96424
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.10396
  • Inter Quartile Range
    0.00000
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.10526
  • Mean of outliers low
    0.91060
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.10526
  • Mean of outliers high
    1.25989
  • 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)
    1.95999
  • VaR(95%) (regression method)
    0.06414
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.17586
  • Quartile 1
    0.17586
  • Median
    0.17586
  • Quartile 3
    0.17586
  • Maximum
    0.17586
  • 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)
    0.19421
  • Compounded annual return (geometric extrapolation)
    0.18452
  • Calmar ratio (compounded annual return / max draw down)
    1.04925
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    1.21537
  • 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
    0.18538
  • SD
    0.25129
  • Sharpe ratio (Glass type estimate)
    0.73772
  • Sharpe ratio (Hedges UMVUE)
    0.73673
  • df
    559.00000
  • t
    0.94126
  • p
    0.17349
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79936
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.27416
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80002
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.27349
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.36784
  • Upside Potential Ratio
    5.32405
  • Upside part of mean
    0.72157
  • Downside part of mean
    -0.53619
  • Upside SD
    0.21158
  • Downside SD
    0.13553
  • N nonnegative terms
    37.00000
  • N negative terms
    523.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    560.00000
  • Mean of predictor
    0.31052
  • Mean of criterion
    0.18538
  • SD of predictor
    0.21901
  • SD of criterion
    0.25129
  • Covariance
    -0.00317
  • r
    -0.05756
  • b (slope, estimate of beta)
    -0.06605
  • a (intercept, estimate of alpha)
    0.20589
  • Mean Square Error
    0.06305
  • DF error
    558.00000
  • t(b)
    -1.36206
  • p(b)
    0.91314
  • t(a)
    1.04315
  • p(a)
    0.14867
  • Lowerbound of 95% confidence interval for beta
    -0.16131
  • Upperbound of 95% confidence interval for beta
    0.02920
  • Lowerbound of 95% confidence interval for alpha
    -0.18180
  • Upperbound of 95% confidence interval for alpha
    0.59359
  • Treynor index (mean / b)
    -2.80667
  • Jensen alpha (a)
    0.20589
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15475
  • SD
    0.24583
  • Sharpe ratio (Glass type estimate)
    0.62950
  • Sharpe ratio (Hedges UMVUE)
    0.62866
  • df
    559.00000
  • t
    0.80318
  • p
    0.21111
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.90735
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.16584
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90793
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.16525
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.11518
  • Upside Potential Ratio
    5.04734
  • Upside part of mean
    0.70040
  • Downside part of mean
    -0.54565
  • Upside SD
    0.20282
  • Downside SD
    0.13877
  • N nonnegative terms
    37.00000
  • N negative terms
    523.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    560.00000
  • Mean of predictor
    0.28649
  • Mean of criterion
    0.15475
  • SD of predictor
    0.21869
  • SD of criterion
    0.24583
  • Covariance
    -0.00303
  • r
    -0.05632
  • b (slope, estimate of beta)
    -0.06331
  • a (intercept, estimate of alpha)
    0.17289
  • Mean Square Error
    0.06035
  • DF error
    558.00000
  • t(b)
    -1.33246
  • p(b)
    0.90837
  • t(a)
    0.89570
  • p(a)
    0.18540
  • Lowerbound of 95% confidence interval for beta
    -0.15663
  • Upperbound of 95% confidence interval for beta
    0.03002
  • Lowerbound of 95% confidence interval for alpha
    -0.20625
  • Upperbound of 95% confidence interval for alpha
    0.55202
  • Treynor index (mean / b)
    -2.44442
  • Jensen alpha (a)
    0.17289
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02113
  • Expected Shortfall on VaR
    0.02652
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00520
  • Expected Shortfall on VaR
    0.01148
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    560.00000
  • Minimum
    0.92922
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.14804
  • Mean of quarter 1
    0.99387
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00840
  • Inter Quartile Range
    0.00000
  • Number outliers low
    45.00000
  • Percentage of outliers low
    0.08036
  • Mean of outliers low
    0.98094
  • Number of outliers high
    37.00000
  • Percentage of outliers high
    0.06607
  • Mean of outliers high
    1.03178
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.35222
  • VaR(95%) (moments method)
    0.00179
  • Expected Shortfall (moments method)
    0.00346
  • Extreme Value Index (regression method)
    -0.02311
  • VaR(95%) (regression method)
    0.00575
  • Expected Shortfall (regression method)
    0.01620
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.01036
  • Quartile 1
    0.02302
  • Median
    0.04636
  • Quartile 3
    0.09157
  • Maximum
    0.18153
  • Mean of quarter 1
    0.01548
  • Mean of quarter 2
    0.03621
  • Mean of quarter 3
    0.06298
  • Mean of quarter 4
    0.13839
  • Inter Quartile Range
    0.06855
  • 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)
    -3.79105
  • VaR(95%) (moments method)
    0.15588
  • Expected Shortfall (moments method)
    0.15612
  • Extreme Value Index (regression method)
    -0.62008
  • VaR(95%) (regression method)
    0.19582
  • Expected Shortfall (regression method)
    0.21574
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.18889
  • Compounded annual return (geometric extrapolation)
    0.17904
  • Calmar ratio (compounded annual return / max draw down)
    0.98626
  • Compounded annual return / average of 25% largest draw downs
    1.29376
  • Compounded annual return / Expected Shortfall lognormal
    6.75121
  • 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
    0.09913
  • Mean of criterion
    -0.00995
  • SD of predictor
    0.26350
  • 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
    0.06467
  • Mean of criterion
    -0.00995
  • SD of predictor
    0.26316
  • 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)
    -22260500000000000.00000
  • 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)
    -662279999999999969743229931225088.00000
  • 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

Statistics

Strategy began
2011-11-12
Minimum Capital Required
$2,000
# Trades
82
# Profitable
37
% Profitable
45.1%
Correlation S&P500
-0.169
Sharpe Ratio
0.629

Latest

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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 size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • 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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