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These are hypothetical performance results that have certain inherent limitations. Learn more

Beetlejuice

Created by:
QuantStrategies
QuantStrategies
Started:   11/2011
Futures
Last trade:   1,653 days ago

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

-45.2%
Annual Return (Compounded)
100.0%
Max Drawdown
315
Num Trades
42.5%
Win Trades
0.8 : 1
Profit Factor
31.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
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%)+5.1%+11.0%(8.2%)+36.6%
2016+3.3%(0.8%)(10.2%)(2.9%)+7.4%+1.9%+2.0%(4.2%)                        (4.5%)

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.

Open positions are hidden from non-subscribers.

Long
Short
Both
Win
Loss
Both

Trading Record

Download CSV Show More detailsShow fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/26/12 9:05 QCLH2 CRUDE OIL LONG 6 101.12 2/21 9:02 103.25 32.68%
Trade id #70014914
Max drawdown($11,340)
Time1/26/12 14:24
Quant open6
Worst price99.23
Drawdown as % of equity-32.68%
$12,696
Includes Typical Commission and AutoTrade Fees trade costs of $83.76
1/26/12 3:56 QCLH2 CRUDE OIL SHORT 6 99.53 1/26 9:05 101.12 27.66%
Trade id #70008950
Max drawdown($9,600)
Time1/26/12 9:05
Quant open-6
Worst price101.13
Drawdown as % of equity-27.66%
($9,624)
Includes Typical Commission and AutoTrade Fees trade costs of $83.76
1/25/12 14:03 XGH2 DAX INDEX LONG 2 6451.00 1/26 3:56 6448.50 2.43%
Trade id #69990253
Max drawdown($875)
Time1/26/12 3:36
Quant open2
Worst price6433.50
Drawdown as % of equity-2.43%
($168)
Includes Typical Commission and AutoTrade Fees trade costs of $27.92
1/24/12 15:35 XGH2 DAX INDEX LONG 2 6423.00 1/24 15:49 6422.00 0.6%
Trade id #69959906
Max drawdown($250)
Time1/24/12 15:44
Quant open2
Worst price6418.00
Drawdown as % of equity-0.60%
($84)
Includes Typical Commission and AutoTrade Fees trade costs of $27.92
1/24/12 6:31 XGH2 DAX INDEX SHORT 2 6356.00 1/24 7:32 6375.00 3.65%
Trade id #69944031
Max drawdown($1,525)
Time1/24/12 7:21
Quant open-2
Worst price6386.50
Drawdown as % of equity-3.65%
($1,089)
Includes Typical Commission and AutoTrade Fees trade costs of $27.92
1/23/12 10:04 QCLH2 CRUDE OIL LONG 6 99.62 1/24 6:30 99.09 10.4%
Trade id #69916234
Max drawdown($4,980)
Time1/23/12 11:45
Quant open6
Worst price98.79
Drawdown as % of equity-10.40%
($3,264)
Includes Typical Commission and AutoTrade Fees trade costs of $83.76
1/19/12 13:04 QCLH2 CRUDE OIL SHORT 6 100.53 1/23 10:04 99.62 8.82%
Trade id #69849414
Max drawdown($2,880)
Time1/19/12 14:06
Quant open-6
Worst price101.01
Drawdown as % of equity-8.82%
$5,376
Includes Typical Commission and AutoTrade Fees trade costs of $83.76
1/19/12 13:02 QCLG2 CRUDE OIL SHORT 12 100.29 1/19 13:02 100.28 n/a ($48)
Includes Typical Commission and AutoTrade Fees trade costs of $167.52
1/19/12 10:52 QCLG2 CRUDE OIL LONG 12 101.57 1/19 13:02 100.29 36.08%
Trade id #69843001
Max drawdown($18,000)
Time1/19/12 12:48
Quant open12
Worst price100.07
Drawdown as % of equity-36.08%
($15,528)
Includes Typical Commission and AutoTrade Fees trade costs of $167.52
1/18/12 13:53 QCLG2 CRUDE OIL SHORT 14 100.48 1/19 10:52 101.56 38%
Trade id #69812822
Max drawdown($18,960)
Time1/19/12 9:07
Quant open-12
Worst price102.06
Drawdown as % of equity-38.00%
($15,315)
Includes Typical Commission and AutoTrade Fees trade costs of $195.44
1/18/12 7:50 QCLG2 CRUDE OIL LONG 14 101.49 1/18 13:53 100.48 25.62%
Trade id #69795442
Max drawdown($23,100)
Time1/18/12 11:51
Quant open14
Worst price99.84
Drawdown as % of equity-25.62%
($14,335)
Includes Typical Commission and AutoTrade Fees trade costs of $195.44
1/18/12 5:06 QCLG2 CRUDE OIL SHORT 14 100.97 1/18 5:47 101.50 8.23%
Trade id #69792471
Max drawdown($7,420)
Time1/18/12 5:47
Quant open0
Worst price101.50
Drawdown as % of equity-8.23%
($7,615)
Includes Typical Commission and AutoTrade Fees trade costs of $195.44
1/18/12 5:02 QCLG2 CRUDE OIL LONG 14 101.04 1/18 5:06 100.97 1.4%
Trade id #69792363
Max drawdown($1,260)
Time1/18/12 5:04
Quant open14
Worst price100.95
Drawdown as % of equity-1.40%
($1,175)
Includes Typical Commission and AutoTrade Fees trade costs of $195.44
1/18/12 4:48 QCLG2 CRUDE OIL SHORT 14 100.92 1/18 5:02 101.04 2.77%
Trade id #69792175
Max drawdown($2,500)
Time1/18/12 4:58
Quant open-14
Worst price101.10
Drawdown as % of equity-2.77%
($1,855)
Includes Typical Commission and AutoTrade Fees trade costs of $195.44
1/18/12 3:19 QCLG2 CRUDE OIL SHORT 18 100.74 1/18 4:47 100.96 7.92%
Trade id #69790429
Max drawdown($7,140)
Time1/18/12 4:42
Quant open-18
Worst price101.14
Drawdown as % of equity-7.92%
($4,151)
Includes Typical Commission and AutoTrade Fees trade costs of $251.28
1/18/12 3:16 QCLG2 CRUDE OIL LONG 6 100.66 1/18 3:19 100.63 0.21%
Trade id #69790337
Max drawdown($180)
Time1/18/12 3:19
Quant open0
Worst price100.63
Drawdown as % of equity-0.21%
($264)
Includes Typical Commission and AutoTrade Fees trade costs of $83.76
1/18/12 1:56 QCLG2 CRUDE OIL SHORT 16 101.18 1/18 3:14 100.85 3.21%
Trade id #69787748
Max drawdown($2,800)
Time1/18/12 2:34
Quant open-16
Worst price101.36
Drawdown as % of equity-3.21%
$5,057
Includes Typical Commission and AutoTrade Fees trade costs of $223.36
1/17/12 16:00 QCLG2 CRUDE OIL LONG 14 100.79 1/18 1:54 101.14 0.47%
Trade id #69773287
Max drawdown($360)
Time1/17/12 16:04
Quant open14
Worst price100.76
Drawdown as % of equity-0.47%
$4,765
Includes Typical Commission and AutoTrade Fees trade costs of $195.44
1/17/12 12:02 QCLG2 CRUDE OIL LONG 20 100.45 1/17 15:53 100.74 6.01%
Trade id #69762100
Max drawdown($6,800)
Time1/17/12 12:51
Quant open20
Worst price100.11
Drawdown as % of equity-6.01%
$5,581
Includes Typical Commission and AutoTrade Fees trade costs of $279.20
1/17/12 10:41 QCLG2 CRUDE OIL SHORT 20 99.70 1/17 12:02 100.45 13.26%
Trade id #69756666
Max drawdown($15,000)
Time1/17/12 12:02
Quant open0
Worst price100.45
Drawdown as % of equity-13.26%
($15,279)
Includes Typical Commission and AutoTrade Fees trade costs of $279.20
1/17/12 5:42 QCLG2 CRUDE OIL LONG 20 100.64 1/17 10:41 99.70 16.97%
Trade id #69743704
Max drawdown($19,200)
Time1/17/12 10:41
Quant open20
Worst price99.68
Drawdown as % of equity-16.97%
($19,079)
Includes Typical Commission and AutoTrade Fees trade costs of $279.20
1/17/12 5:33 QCLG2 CRUDE OIL SHORT 10 100.61 1/17 5:42 100.68 0.97%
Trade id #69743426
Max drawdown($1,100)
Time1/17/12 5:37
Quant open-10
Worst price100.72
Drawdown as % of equity-0.97%
($840)
Includes Typical Commission and AutoTrade Fees trade costs of $139.60
1/17/12 2:11 QCLG2 CRUDE OIL LONG 10 100.57 1/17 5:33 100.61 1.7%
Trade id #69740275
Max drawdown($1,900)
Time1/17/12 3:38
Quant open10
Worst price100.38
Drawdown as % of equity-1.70%
$260
Includes Typical Commission and AutoTrade Fees trade costs of $139.60
1/16/12 11:28 QCLG2 CRUDE OIL LONG 20 99.74 1/16 18:23 99.49 4.4%
Trade id #69729892
Max drawdown($5,000)
Time1/16/12 18:23
Quant open0
Worst price99.49
Drawdown as % of equity-4.40%
($5,279)
Includes Typical Commission and AutoTrade Fees trade costs of $279.20
1/16/12 11:18 QCLG2 CRUDE OIL LONG 10 99.62 1/16 11:27 99.70 0.18%
Trade id #69729721
Max drawdown($200)
Time1/16/12 11:20
Quant open10
Worst price99.60
Drawdown as % of equity-0.18%
$660
Includes Typical Commission and AutoTrade Fees trade costs of $139.60
1/16/12 10:31 XGH2 DAX INDEX LONG 4 6213.00 1/16 11:17 6224.88 1.14%
Trade id #69729044
Max drawdown($1,300)
Time1/16/12 10:47
Quant open4
Worst price6200.00
Drawdown as % of equity-1.14%
$1,271
Includes Typical Commission and AutoTrade Fees trade costs of $55.84
1/16/12 10:22 QCLG2 CRUDE OIL SHORT 20 99.35 1/16 10:31 99.39 0.7%
Trade id #69728869
Max drawdown($800)
Time1/16/12 10:24
Quant open-20
Worst price99.39
Drawdown as % of equity-0.70%
($1,079)
Includes Typical Commission and AutoTrade Fees trade costs of $279.20
1/16/12 9:53 QCLG2 CRUDE OIL SHORT 10 99.49 1/16 10:20 99.39 1.14%
Trade id #69728425
Max drawdown($1,300)
Time1/16/12 10:03
Quant open-10
Worst price99.62
Drawdown as % of equity-1.14%
$860
Includes Typical Commission and AutoTrade Fees trade costs of $139.60
1/13/12 14:02 QCLG2 CRUDE OIL SHORT 50 98.73 1/13 15:14 98.77 3.62%
Trade id #69707557
Max drawdown($4,288)
Time1/13/12 14:28
Quant open-20
Worst price98.93
Drawdown as % of equity-3.62%
($3,048)
Includes Typical Commission and AutoTrade Fees trade costs of $698.00
1/13/12 13:21 QCLG2 CRUDE OIL SHORT 20 98.26 1/13 13:46 98.50 4.05%
Trade id #69706201
Max drawdown($4,800)
Time1/13/12 13:46
Quant open0
Worst price98.50
Drawdown as % of equity-4.05%
($5,079)
Includes Typical Commission and AutoTrade Fees trade costs of $279.20

Statistics

  • Strategy began
    11/30/2011
  • Starting Unit Size
    $100,000
  • Strategy Age (days)
    1734.77
  • Age
    58 months ago
  • What it trades
    Futures
  • # Trades
    315
  • # Profitable
    134
  • % Profitable
    42.50%
  • Avg trade duration
    4.2 hours
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Jan 20, 2012 - Feb 02, 2012
  • Annual Return (Compounded)
    -45.2%
  • Avg win
    $2,436
  • Avg loss
    $2,140
  • Model Account Values (Raw)
  • Cash
    $38,988
  • Margin Used
    $0
  • Buying Power
    $38,988
  • Ratios
  • W:L ratio
    0.84:1
  • Sharpe Ratio
    -0.432
  • Sortino Ratio
    -0.554
  • Calmar Ratio
    -0.463
  • Daily Change
  • Open PL
    $0.00
  • Open PL (start day)
    $0.00
  • Open PL Change $
    $0.00
  • Open PL Change %
    n/a
  • Close PL
    ($61,011)
  • Closed PL (start day)
    ($61,011)
  • Closed PL Change $
    ($0.25)
  • Closed PL Change %
    n/a
  • Equity
    $38,988
  • Equity (start day)
    $38,989
  • Equity Change $
    ($0.25)
  • Equity Change %
    n/a
  • Return Statistics
  • Ann Return (w trading costs)
    -45.2%
  • Ann Return (Compnd, No Fees)
    -17.9%
  • Risk of Ruin (Monte-Carlo)
  • 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
    100.00%
  • Chance of 50% account loss
    100.00%
  • 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
    $2,141
  • Avg Win
    $2,436
  • # Winners
    134
  • # Losers
    181
  • % Winners
    42.5%
  • Frequency
  • Avg Position Time (mins)
    250.78
  • Avg Position Time (hrs)
    4.18
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    1652
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.29612
  • SD
    0.67421
  • Sharpe ratio (Glass type estimate)
    -0.43921
  • Sharpe ratio (Hedges UMVUE)
    -0.42061
  • df
    18.00000
  • t
    -0.55266
  • p
    0.56459
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.99735
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.13091
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.98428
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.14306
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.53671
  • Upside Potential Ratio
    0.67783
  • Upside part of mean
    0.37398
  • Downside part of mean
    -0.67010
  • Upside SD
    0.36542
  • Downside SD
    0.55173
  • N nonnegative terms
    8.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.32527
  • Mean of criterion
    -0.29612
  • SD of predictor
    0.15326
  • SD of criterion
    0.67421
  • Covariance
    -0.00326
  • r
    -0.03157
  • b (slope, estimate of beta)
    -0.13890
  • a (intercept, estimate of alpha)
    -0.25094
  • Mean Square Error
    0.48082
  • DF error
    17.00000
  • t(b)
    -0.13024
  • p(b)
    0.52010
  • t(a)
    -0.38538
  • p(a)
    0.55916
  • Lowerbound of 95% confidence interval for beta
    -2.38889
  • Upperbound of 95% confidence interval for beta
    2.11109
  • Lowerbound of 95% confidence interval for alpha
    -1.62476
  • Upperbound of 95% confidence interval for alpha
    1.12287
  • Treynor index (mean / b)
    2.13197
  • Jensen alpha (a)
    -0.25094
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.60268
  • SD
    0.87602
  • Sharpe ratio (Glass type estimate)
    -0.68797
  • Sharpe ratio (Hedges UMVUE)
    -0.65884
  • df
    18.00000
  • t
    -0.86568
  • p
    0.59996
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.25223
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.89482
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.23125
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.91358
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.73842
  • Upside Potential Ratio
    0.39446
  • Upside part of mean
    0.32195
  • Downside part of mean
    -0.92463
  • Upside SD
    0.30190
  • Downside SD
    0.81617
  • N nonnegative terms
    8.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.31044
  • Mean of criterion
    -0.60268
  • SD of predictor
    0.14594
  • SD of criterion
    0.87602
  • Covariance
    -0.00686
  • r
    -0.05369
  • b (slope, estimate of beta)
    -0.32227
  • a (intercept, estimate of alpha)
    -0.50263
  • Mean Square Error
    0.81021
  • DF error
    17.00000
  • t(b)
    -0.22169
  • p(b)
    0.53416
  • t(a)
    -0.59427
  • p(a)
    0.59051
  • Lowerbound of 95% confidence interval for beta
    -3.38935
  • Upperbound of 95% confidence interval for beta
    2.74481
  • Lowerbound of 95% confidence interval for alpha
    -2.28712
  • Upperbound of 95% confidence interval for alpha
    1.28186
  • Treynor index (mean / b)
    1.87009
  • Jensen alpha (a)
    -0.50263
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.37261
  • Expected Shortfall on VaR
    0.43313
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.13818
  • Expected Shortfall on VaR
    0.29823
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    19.00000
  • Minimum
    0.38628
  • Quartile 1
    0.98480
  • Median
    1.00000
  • Quartile 3
    1.01430
  • Maximum
    1.45688
  • Mean of quarter 1
    0.79247
  • Mean of quarter 2
    0.99716
  • Mean of quarter 3
    1.00900
  • Mean of quarter 4
    1.11256
  • Inter Quartile Range
    0.02950
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.10526
  • Mean of outliers low
    0.53581
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.05263
  • Mean of outliers high
    1.45688
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.10836
  • VaR(95%) (moments method)
    0.15979
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.42429
  • VaR(95%) (regression method)
    0.30379
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.73527
  • Quartile 1
    0.73527
  • Median
    0.73527
  • Quartile 3
    0.73527
  • Maximum
    0.73527
  • 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)
    -0.38449
  • Compounded annual return (geometric extrapolation)
    -0.44718
  • Calmar ratio (compounded annual return / max draw down)
    -0.60819
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.03244
  • 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
    0.31512
  • SD
    1.35710
  • Sharpe ratio (Glass type estimate)
    0.23220
  • Sharpe ratio (Hedges UMVUE)
    0.23189
  • df
    557.00000
  • t
    0.29574
  • p
    0.38377
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.30682
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.77110
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.30707
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.77085
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.37079
  • Upside Potential Ratio
    3.84170
  • Upside part of mean
    3.26493
  • Downside part of mean
    -2.94980
  • Upside SD
    1.05662
  • Downside SD
    0.84986
  • N nonnegative terms
    195.00000
  • N negative terms
    363.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    558.00000
  • Mean of predictor
    0.35445
  • Mean of criterion
    0.31512
  • SD of predictor
    0.21431
  • SD of criterion
    1.35710
  • Covariance
    -0.00004
  • r
    -0.00014
  • b (slope, estimate of beta)
    -0.00087
  • a (intercept, estimate of alpha)
    0.31543
  • Mean Square Error
    1.84504
  • DF error
    556.00000
  • t(b)
    -0.00325
  • p(b)
    0.50130
  • t(a)
    0.29459
  • p(a)
    0.38421
  • Lowerbound of 95% confidence interval for beta
    -0.52838
  • Upperbound of 95% confidence interval for beta
    0.52663
  • Lowerbound of 95% confidence interval for alpha
    -1.78777
  • Upperbound of 95% confidence interval for alpha
    2.41864
  • Treynor index (mean / b)
    -360.84500
  • Jensen alpha (a)
    0.31543
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.59321
  • SD
    1.37060
  • Sharpe ratio (Glass type estimate)
    -0.43281
  • Sharpe ratio (Hedges UMVUE)
    -0.43223
  • df
    557.00000
  • t
    -0.55123
  • p
    0.70915
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.97179
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.10643
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.97134
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.10688
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.55421
  • Upside Potential Ratio
    2.65832
  • Upside part of mean
    2.84539
  • Downside part of mean
    -3.43860
  • Upside SD
    0.85471
  • Downside SD
    1.07037
  • N nonnegative terms
    195.00000
  • N negative terms
    363.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    558.00000
  • Mean of predictor
    0.33129
  • Mean of criterion
    -0.59321
  • SD of predictor
    0.21473
  • SD of criterion
    1.37060
  • Covariance
    -0.00222
  • r
    -0.00756
  • b (slope, estimate of beta)
    -0.04824
  • a (intercept, estimate of alpha)
    -0.57723
  • Mean Square Error
    1.88183
  • DF error
    556.00000
  • t(b)
    -0.17821
  • p(b)
    0.57069
  • t(a)
    -0.53407
  • p(a)
    0.70325
  • Lowerbound of 95% confidence interval for beta
    -0.57994
  • Upperbound of 95% confidence interval for beta
    0.48346
  • Lowerbound of 95% confidence interval for alpha
    -2.70021
  • Upperbound of 95% confidence interval for alpha
    1.54575
  • Treynor index (mean / b)
    12.29690
  • Jensen alpha (a)
    -0.57723
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11598
  • Expected Shortfall on VaR
    0.14254
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02253
  • Expected Shortfall on VaR
    0.05205
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    558.00000
  • Minimum
    0.48522
  • Quartile 1
    0.99944
  • Median
    1.00000
  • Quartile 3
    1.00124
  • Maximum
    1.78205
  • Mean of quarter 1
    0.96598
  • Mean of quarter 2
    0.99991
  • Mean of quarter 3
    1.00024
  • Mean of quarter 4
    1.03763
  • Inter Quartile Range
    0.00180
  • Number outliers low
    71.00000
  • Percentage of outliers low
    0.12724
  • Mean of outliers low
    0.93466
  • Number of outliers high
    71.00000
  • Percentage of outliers high
    0.12724
  • Mean of outliers high
    1.07190
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.74205
  • VaR(95%) (moments method)
    0.01486
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.31403
  • VaR(95%) (regression method)
    0.01013
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00745
  • Quartile 1
    0.01448
  • Median
    0.01916
  • Quartile 3
    0.25472
  • Maximum
    0.95441
  • Mean of quarter 1
    0.00745
  • Mean of quarter 2
    0.01683
  • Mean of quarter 3
    0.02149
  • Mean of quarter 4
    0.95441
  • Inter Quartile Range
    0.24023
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    0.95441
  • 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)
    -0.37714
  • Compounded annual return (geometric extrapolation)
    -0.44193
  • Calmar ratio (compounded annual return / max draw down)
    -0.46304
  • Compounded annual return / average of 25% largest draw downs
    -0.46304
  • Compounded annual return / Expected Shortfall lognormal
    -3.10032
  • 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
    -0.00493
  • SD
    0.07368
  • Sharpe ratio (Glass type estimate)
    -0.06692
  • Sharpe ratio (Hedges UMVUE)
    -0.06663
  • df
    171.00000
  • t
    -0.04732
  • p
    0.50230
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.83874
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.70490
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.83844
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.70519
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.09136
  • Upside Potential Ratio
    9.42868
  • Upside part of mean
    0.50885
  • Downside part of mean
    -0.51378
  • Upside SD
    0.04984
  • Downside SD
    0.05397
  • N nonnegative terms
    87.00000
  • N negative terms
    85.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.14502
  • Mean of criterion
    -0.00493
  • SD of predictor
    0.26158
  • SD of criterion
    0.07368
  • Covariance
    0.00422
  • r
    0.21894
  • b (slope, estimate of beta)
    0.06167
  • a (intercept, estimate of alpha)
    -0.01387
  • Mean Square Error
    0.00520
  • DF error
    170.00000
  • t(b)
    2.92566
  • p(b)
    0.39053
  • t(a)
    -0.13600
  • p(a)
    0.50521
  • Lowerbound of 95% confidence interval for beta
    0.02006
  • Upperbound of 95% confidence interval for beta
    0.10328
  • Lowerbound of 95% confidence interval for alpha
    -0.21525
  • Upperbound of 95% confidence interval for alpha
    0.18750
  • Treynor index (mean / b)
    -0.07995
  • Jensen alpha (a)
    -0.01387
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00763
  • SD
    0.07372
  • Sharpe ratio (Glass type estimate)
    -0.10351
  • Sharpe ratio (Hedges UMVUE)
    -0.10306
  • df
    171.00000
  • t
    -0.07319
  • p
    0.50356
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.87523
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.66842
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.87488
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.66877
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.14086
  • Upside Potential Ratio
    9.36944
  • Upside part of mean
    0.50759
  • Downside part of mean
    -0.51523
  • Upside SD
    0.04968
  • Downside SD
    0.05418
  • N nonnegative terms
    87.00000
  • N negative terms
    85.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.11072
  • Mean of criterion
    -0.00763
  • SD of predictor
    0.26312
  • SD of criterion
    0.07372
  • Covariance
    0.00428
  • r
    0.22059
  • b (slope, estimate of beta)
    0.06181
  • a (intercept, estimate of alpha)
    -0.01447
  • Mean Square Error
    0.00520
  • DF error
    170.00000
  • t(b)
    2.94880
  • p(b)
    0.38970
  • t(a)
    -0.14188
  • p(a)
    0.50544
  • Lowerbound of 95% confidence interval for beta
    0.02043
  • Upperbound of 95% confidence interval for beta
    0.10318
  • Lowerbound of 95% confidence interval for alpha
    -0.21585
  • Upperbound of 95% confidence interval for alpha
    0.18690
  • Treynor index (mean / b)
    -0.12347
  • Jensen alpha (a)
    -0.01447
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00654
  • Expected Shortfall on VaR
    0.00819
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00343
  • Expected Shortfall on VaR
    0.00655
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.98735
  • Quartile 1
    0.99777
  • Median
    1.00006
  • Quartile 3
    1.00230
  • Maximum
    1.01139
  • Mean of quarter 1
    0.99500
  • Mean of quarter 2
    0.99909
  • Mean of quarter 3
    1.00115
  • Mean of quarter 4
    1.00482
  • Inter Quartile Range
    0.00454
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.02907
  • Mean of outliers low
    0.98917
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.01744
  • Mean of outliers high
    1.01031
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21018
  • VaR(95%) (moments method)
    0.00518
  • Expected Shortfall (moments method)
    0.00790
  • Extreme Value Index (regression method)
    0.11918
  • VaR(95%) (regression method)
    0.00467
  • Expected Shortfall (regression method)
    0.00652
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00033
  • Quartile 1
    0.00180
  • Median
    0.00327
  • Quartile 3
    0.01883
  • Maximum
    0.03440
  • Mean of quarter 1
    0.00033
  • Mean of quarter 2
    0.00327
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.03440
  • Inter Quartile Range
    0.01703
  • 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)
    0.00232
  • Compounded annual return (geometric extrapolation)
    0.00232
  • Calmar ratio (compounded annual return / max draw down)
    0.06751
  • Compounded annual return / average of 25% largest draw downs
    0.06751
  • Compounded annual return / Expected Shortfall lognormal
    0.28366

Strategy Description

WARNING: NEVER ALLOCATE TO THIS STRATEGY MORE THAN 10% OF YOUR GLOBAL ASSETS

Absolute Return Focused

Not Buy and Hold

Risk and Money Management modeled

Statistics

Strategy began
2011-11-30
Minimum Capital Required
$100,000
# Trades
315
# Profitable
134
% Profitable
42.5%
Correlation S&P500
-0.023
Sharpe Ratio
-0.432

Latest

#PERSONNAME#
subscribed on #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

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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