Beetlejuice
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Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2011    (74.3%)  (74.3%)  
2012  (179.7%)  (125.8%)        (37.4%)              (87.1%) 
2013                          0.0 
2014    (32.7%)  (2.5%)  (1.8%)  +13.1%  (5%)  +17.3%  +13.5%  +19.3%  +3.7%  +5.3%  +10.1%  +32.2% 
2015  +27.2%  +2.1%  +8.2%  (8%)  +6.0%  (5.5%)  +5.7%  (4.9%)  (2.1%)  (2.3%)  +24.5% 
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  $100,000  
Buy Power  $38,731  
Cash  $38,731  
Equity  $0  
Cumulative $  ($61,269)  
Total System Equity  $38,731  
Margined  $0  
Open P/L  $0 
Closed Trades
CSVOpened ET  B/S  #  Symbol  Price  Closed  Price  DD  P/L  

1/26/12 9:05  BUY  6  QCLH2  CRUDE OIL  101.12  2/21 9:02  103.25  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%

($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%

($170) 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%

($85) 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%

($1,107) 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%

($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%

$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%

($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%

($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%

($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%

($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%

($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%

($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%

($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%

($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%

$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%

$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%

$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%

($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%

($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%

($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%

$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%

($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%

$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%

$1,293 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%

($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%

$860 Includes Typical Broker Commission and AutoTrade Fees trade costs of $139.60 

1/13/12 14:02  SELL  50  QCLG2  CRUDE OIL  98.72  1/13 15:14  98.77  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%

($5,079) Includes Typical Broker Commission and AutoTrade Fees trade costs of $279.20 
Statistics
 Strategy began11/30/2011
 Age47 months ago
 What it tradesFutures
 # Trades316
 # Profitable135
 % Profitable42.70%
 Avg trade duration5.2 hours
 Max peaktovalley drawdown100%
 drawdown periodJan 20, 2012  Feb 02, 2012
 Annual Return (Compounded)52.8%
 Avg win$2,418
 Avg loss$2,142
 W:L ratio0.84:1
 Open PL$0.00
 Open PL (start day)$0.00
 Open PL Change $$0.00
 Open PL Change %n/a
 Close PL($61,268)
 Closed PL (start day)($61,269)
 Closed PL Change $$0.01
 Closed PL Change %n/a
 Equity$38,731
 Equity (start day)$38,731
 Equity Change $$0.01
 Equity Change %n/a
 GENERAL STATISTICS
 Age1413
 # Trades316
 Starting Unit Size100000
 Avg Trade Length0.2
 PROFIT
 Profit Factor0.8
 SORTINO STATISTICS
 Sortino Ratio0.594
 CALMAR STATISTICS
 Calmar Ratio0.512
 Ann Return (w trading costs)52.8%
 SHARPE STATISTICS
 Sharpe Ratio0.463
 Ann Return (Compnd, No Fees)21.7%
 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
 APD0.11
 DRAW DOWN STATISTICS
 Max Drawdown100.0%
 POPULARITY STATISTICS
 Popularity (Today)0
 Popularity (Last 6 weeks)0
 TOS STATISTICS
 Trades Own System?0
 TOS percentn/a
 BILLING STATISTICS
 Subscription Price$0
 Billing Period (days)30
 Trial Days0
 WIN STATISTICS
 Avg Loss$2,143
 Avg Win$2,419
 # Winners135
 # Losers181
 % Winners42.7%
 TIME STATISTICS
 Avg Position Time (mins)314.97
 Avg Position Time (hrs)5.25
 Last Trade Ago1330
 OWNER STATISTICS
 Developer
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio
 Mean0.35042
 SD0.73725
 Sharpe ratio (Glass type estimate)0.47531
 Sharpe ratio (Hedges UMVUE)0.45107
 df15.00000
 t0.54884
 p0.58903
 Lowerbound of 95% confidence interval for Sharpe Ratio2.17327
 Upperbound of 95% confidence interval for Sharpe Ratio1.23817
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.15611
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.25396
 Statistics related to Sortino ratio
 Sortino ratio0.58292
 Upside Potential Ratio0.72097
 Upside part of mean0.43341
 Downside part of mean0.78383
 Upside SD0.39802
 Downside SD0.60115
 N nonnegative terms7.00000
 N negative terms9.00000
 Statistics related to linear regression on benchmark
 N of observations16.00000
 Mean of predictor0.38621
 Mean of criterion0.35042
 SD of predictor0.15595
 SD of criterion0.73725
 Covariance0.00189
 r0.01646
 b (slope, estimate of beta)0.07779
 a (intercept, estimate of alpha)0.32038
 Mean Square Error0.58221
 DF error14.00000
 t(b)0.06158
 p(b)0.50823
 t(a)0.39004
 p(a)0.55184
 Lowerbound of 95% confidence interval for beta2.78730
 Upperbound of 95% confidence interval for beta2.63172
 Lowerbound of 95% confidence interval for alpha2.08211
 Upperbound of 95% confidence interval for alpha1.44136
 Treynor index (mean / b)4.50467
 Jensen alpha (a)0.32038
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.71433
 SD0.95582
 Sharpe ratio (Glass type estimate)0.74735
 Sharpe ratio (Hedges UMVUE)0.70924
 df15.00000
 t0.86296
 p0.63735
 Lowerbound of 95% confidence interval for Sharpe Ratio2.45325
 Upperbound of 95% confidence interval for Sharpe Ratio0.98264
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.42548
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.00701
 Statistics related to Sortino ratio
 Sortino ratio0.80321
 Upside Potential Ratio0.41796
 Upside part of mean0.37171
 Downside part of mean1.08604
 Upside SD0.32876
 Downside SD0.88935
 N nonnegative terms7.00000
 N negative terms9.00000
 Statistics related to linear regression on benchmark
 N of observations16.00000
 Mean of predictor0.36943
 Mean of criterion0.71433
 SD of predictor0.14785
 SD of criterion0.95582
 Covariance0.00437
 r0.03096
 b (slope, estimate of beta)0.20011
 a (intercept, estimate of alpha)0.64040
 Mean Square Error0.97792
 DF error14.00000
 t(b)0.11588
 p(b)0.51548
 t(a)0.59967
 p(a)0.57913
 Lowerbound of 95% confidence interval for beta3.90397
 Upperbound of 95% confidence interval for beta3.50374
 Lowerbound of 95% confidence interval for alpha2.93086
 Upperbound of 95% confidence interval for alpha1.65005
 Treynor index (mean / b)3.56962
 Jensen alpha (a)0.64040
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.40153
 Expected Shortfall on VaR0.46403
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.15921
 Expected Shortfall on VaR0.33863
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations16.00000
 Minimum0.38628
 Quartile 10.97516
 Median1.00000
 Quartile 31.01595
 Maximum1.45688
 Mean of quarter 10.74575
 Mean of quarter 20.99483
 Mean of quarter 31.00900
 Mean of quarter 41.13692
 Inter Quartile Range0.04079
 Number outliers low2.00000
 Percentage of outliers low0.12500
 Mean of outliers low0.53581
 Number of outliers high1.00000
 Percentage of outliers high0.06250
 Mean of outliers high1.45688
 Risk estimates for a oneperiod unit investment (based on Ex
 Extreme Value Index (moments method)0.85973
 VaR(95%) (moments method)0.19809
 Expected Shortfall (moments method)1.64896
 Extreme Value Index (regression method)1.51357
 VaR(95%) (regression method)0.39047
 Expected Shortfall (regression method)0.00000
 DRAW DOWN STATISTICS
 Quartiles of draw downs
 Number of observations1.00000
 Minimum0.73527
 Quartile 10.73527
 Median0.73527
 Quartile 30.73527
 Maximum0.73527
 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)0.45679
 Compounded annual return (geometric extrapolation)0.50559
 Calmar ratio (compounded annual return / max draw down)0.68762
 Compounded annual return / average of 25% largest draw downs0.00000
 Compounded annual return / Expected Shortfall lognormal1.08956
 0.00000
 0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio
 Mean0.36116
 SD1.45405
 Sharpe ratio (Glass type estimate)0.24838
 Sharpe ratio (Hedges UMVUE)0.24800
 df485.00000
 t0.29523
 p0.38397
 Lowerbound of 95% confidence interval for Sharpe Ratio1.40072
 Upperbound of 95% confidence interval for Sharpe Ratio1.89734
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.40103
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.89703
 Statistics related to Sortino ratio
 Sortino ratio0.39671
 Upside Potential Ratio4.03407
 Upside part of mean3.67261
 Downside part of mean3.31145
 Upside SD1.13203
 Downside SD0.91040
 N nonnegative terms156.00000
 N negative terms330.00000
 Statistics related to linear regression on benchmark
 N of observations486.00000
 Mean of predictor0.35099
 Mean of criterion0.36116
 SD of predictor0.20197
 SD of criterion1.45405
 Covariance0.00045
 r0.00155
 b (slope, estimate of beta)0.01113
 a (intercept, estimate of alpha)0.36507
 Mean Square Error2.11864
 DF error484.00000
 t(b)0.03401
 p(b)0.51356
 t(a)0.29681
 p(a)0.38337
 Lowerbound of 95% confidence interval for beta0.65411
 Upperbound of 95% confidence interval for beta0.63186
 Lowerbound of 95% confidence interval for alpha2.05166
 Upperbound of 95% confidence interval for alpha2.78179
 Treynor index (mean / b)32.45280
 Jensen alpha (a)0.36507
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.68134
 SD1.46848
 Sharpe ratio (Glass type estimate)0.46397
 Sharpe ratio (Hedges UMVUE)0.46325
 df485.00000
 t0.55148
 p0.70922
 Lowerbound of 95% confidence interval for Sharpe Ratio2.11296
 Upperbound of 95% confidence interval for Sharpe Ratio1.18547
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.11247
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.18596
 Statistics related to Sortino ratio
 Sortino ratio0.59416
 Upside Potential Ratio2.78280
 Upside part of mean3.19110
 Downside part of mean3.87244
 Upside SD0.91564
 Downside SD1.14672
 N nonnegative terms156.00000
 N negative terms330.00000
 Statistics related to linear regression on benchmark
 N of observations486.00000
 Mean of predictor0.33042
 Mean of criterion0.68134
 SD of predictor0.20231
 SD of criterion1.46848
 Covariance0.00297
 r0.01000
 b (slope, estimate of beta)0.07256
 a (intercept, estimate of alpha)0.65736
 Mean Square Error2.16069
 DF error484.00000
 t(b)0.21993
 p(b)0.58699
 t(a)0.52950
 p(a)0.70165
 Lowerbound of 95% confidence interval for beta0.72081
 Upperbound of 95% confidence interval for beta0.57570
 Lowerbound of 95% confidence interval for alpha3.09671
 Upperbound of 95% confidence interval for alpha1.78198
 Treynor index (mean / b)9.39028
 Jensen alpha (a)0.65736
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.12384
 Expected Shortfall on VaR0.15200
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.02605
 Expected Shortfall on VaR0.05972
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations486.00000
 Minimum0.48522
 Quartile 10.99956
 Median1.00000
 Quartile 31.00101
 Maximum1.78205
 Mean of quarter 10.96178
 Mean of quarter 20.99995
 Mean of quarter 31.00013
 Mean of quarter 41.04244
 Inter Quartile Range0.00145
 Number outliers low68.00000
 Percentage of outliers low0.13992
 Mean of outliers low0.93251
 Number of outliers high70.00000
 Percentage of outliers high0.14403
 Mean of outliers high1.07253
 Risk estimates for a oneperiod unit investment (based on Ex
 Extreme Value Index (moments method)1.89509
 VaR(95%) (moments method)0.01601
 Expected Shortfall (moments method)0.00000
 Extreme Value Index (regression method)1.33509
 VaR(95%) (regression method)0.01204
 Expected Shortfall (regression method)0.00000
 DRAW DOWN STATISTICS
 Quartiles of draw downs
 Number of observations4.00000
 Minimum0.00745
 Quartile 10.01448
 Median0.01916
 Quartile 30.25472
 Maximum0.95441
 Mean of quarter 10.00745
 Mean of quarter 20.01683
 Mean of quarter 30.02149
 Mean of quarter 40.95441
 Inter Quartile Range0.24023
 Number outliers low0.00000
 Percentage of outliers low0.00000
 Mean of outliers low0.00000
 Number of outliers high1.00000
 Percentage of outliers high0.25000
 Mean of outliers high0.95441
 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)0.43367
 Compounded annual return (geometric extrapolation)0.48900
 Calmar ratio (compounded annual return / max draw down)0.51236
 Compounded annual return / average of 25% largest draw downs0.51236
 Compounded annual return / Expected Shortfall lognormal3.21719
 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
 Mean0.14018
 SD0.06801
 Sharpe ratio (Glass type estimate)2.06114
 Sharpe ratio (Hedges UMVUE)2.05209
 df171.00000
 t1.45745
 p0.42963
 Lowerbound of 95% confidence interval for Sharpe Ratio0.72222
 Upperbound of 95% confidence interval for Sharpe Ratio4.83859
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.72824
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.83241
 Statistics related to Sortino ratio
 Sortino ratio3.17849
 Upside Potential Ratio12.19340
 Upside part of mean0.53775
 Downside part of mean0.39758
 Upside SD0.05206
 Downside SD0.04410
 N nonnegative terms91.00000
 N negative terms81.00000
 Statistics related to linear regression on benchmark
 N of observations172.00000
 Mean of predictor0.07854
 Mean of criterion0.14018
 SD of predictor0.22804
 SD of criterion0.06801
 Covariance0.00431
 r0.27810
 b (slope, estimate of beta)0.08294
 a (intercept, estimate of alpha)0.13367
 Mean Square Error0.00429
 DF error170.00000
 t(b)3.77489
 p(b)0.36095
 t(a)1.44231
 p(a)0.44503
 Lowerbound of 95% confidence interval for beta0.03957
 Upperbound of 95% confidence interval for beta0.12631
 Lowerbound of 95% confidence interval for alpha0.04928
 Upperbound of 95% confidence interval for alpha0.31661
 Treynor index (mean / b)1.69013
 Jensen alpha (a)0.13367
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.13785
 SD0.06798
 Sharpe ratio (Glass type estimate)2.02788
 Sharpe ratio (Hedges UMVUE)2.01897
 df171.00000
 t1.43393
 p0.43074
 Lowerbound of 95% confidence interval for Sharpe Ratio0.75510
 Upperbound of 95% confidence interval for Sharpe Ratio4.80505
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.76108
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.79902
 Statistics related to Sortino ratio
 Sortino ratio3.11497
 Upside Potential Ratio12.12080
 Upside part of mean0.53639
 Downside part of mean0.39854
 Upside SD0.05187
 Downside SD0.04425
 N nonnegative terms91.00000
 N negative terms81.00000
 Statistics related to linear regression on benchmark
 N of observations172.00000
 Mean of predictor0.05249
 Mean of criterion0.13785
 SD of predictor0.22928
 SD of criterion0.06798
 Covariance0.00437
 r0.28006
 b (slope, estimate of beta)0.08303
 a (intercept, estimate of alpha)0.13349
 Mean Square Error0.00428
 DF error170.00000
 t(b)3.80380
 p(b)0.35997
 t(a)1.44213
 p(a)0.44503
 Lowerbound of 95% confidence interval for beta0.03994
 Upperbound of 95% confidence interval for beta0.12612
 Lowerbound of 95% confidence interval for alpha0.04923
 Upperbound of 95% confidence interval for alpha0.31621
 Treynor index (mean / b)1.66020
 Jensen alpha (a)0.13349
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.00561
 Expected Shortfall on VaR0.00713
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.00256
 Expected Shortfall on VaR0.00507
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations172.00000
 Minimum0.98831
 Quartile 10.99841
 Median1.00020
 Quartile 31.00254
 Maximum1.01494
 Mean of quarter 10.99593
 Mean of quarter 20.99951
 Mean of quarter 31.00140
 Mean of quarter 41.00491
 Inter Quartile Range0.00413
 Number outliers low4.00000
 Percentage of outliers low0.02326
 Mean of outliers low0.99016
 Number of outliers high3.00000
 Percentage of outliers high0.01744
 Mean of outliers high1.01182
 Risk estimates for a oneperiod unit investment (based on Ex
 Extreme Value Index (moments method)0.13051
 VaR(95%) (moments method)0.00405
 Expected Shortfall (moments method)0.00583
 Extreme Value Index (regression method)0.11315
 VaR(95%) (regression method)0.00419
 Expected Shortfall (regression method)0.00600
 DRAW DOWN STATISTICS
 Quartiles of draw downs
 Number of observations13.00000
 Minimum0.00003
 Quartile 10.00047
 Median0.00147
 Quartile 30.00637
 Maximum0.03294
 Mean of quarter 10.00029
 Mean of quarter 20.00095
 Mean of quarter 30.00444
 Mean of quarter 40.01749
 Inter Quartile Range0.00590
 Number outliers low0.00000
 Percentage of outliers low0.00000
 Mean of outliers low0.00000
 Number of outliers high1.00000
 Percentage of outliers high0.07692
 Mean of outliers high0.03294
 Risk estimates based on draw downs (based on Extreme Value T
 Extreme Value Index (moments method)0.35248
 VaR(95%) (moments method)0.01702
 Expected Shortfall (moments method)0.03094
 Extreme Value Index (regression method)1.27585
 VaR(95%) (regression method)0.02768
 Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.15340
 Compounded annual return (geometric extrapolation)0.15928
 Calmar ratio (compounded annual return / max draw down)4.83496
 Compounded annual return / average of 25% largest draw downs9.10641
 Compounded annual return / Expected Shortfall lognormal22.33070
Strategy Description
WARNING: NEVER ALLOCATE TO THIS STRATEGY MORE THAN 10% OF YOUR GLOBAL ASSETSAbsolute 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 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.