AceTrader
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Free AutoTradeJan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2012  +0.5%  +5.4%  (5.7%)  +7.5%  +4.1%  (0.5%)  +11.3%  
2013  (11%)  (5.6%)  (18.6%)  (3.9%)  (0.3%)  (0.3%)  (0.3%)  (0.3%)  (0.3%)  (0.3%)  (0.3%)  (0.3%)  (36%) 
2014  (0.3%)  (0.3%)  (0.3%)  (0.3%)  (0.3%)  (0.3%)  (0.3%)  (0.3%)  (0.3%)  (0.3%)  (0.3%)  (0.3%)  (4%) 
2015  (0.4%)  (0.4%)  (0.4%)  (0.4%)  (0.4%)  (0.4%)  (0.4%)  (0.4%) 
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  $50,000  
Buy Power  $38,175  
Cash  $38,175  
Equity  $0  
Cumulative $  ($11,825)  
Total System Equity  $38,175  
Margined  $0  
Open P/L  $0 
Closed Trades
CSVOpened ET  B/S  #  Symbol  Price  Closed  Price  DD  P/L  

1/2/13 10:46  SELL  4  @ESH3  EMINI S&P 500  1468.50  3/15 12:11  1561.25  49.02%

($18,606) Includes Typical Broker Commission and AutoTrade Fees trade costs of $55.84 

12/10/12 2:26  SELL  1  @ESZ2  EMINI S&P 500  1414.50  12/21 8:18  1426.75  3.23%

($627) Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

11/28/12 20:03  SELL  2  @ESZ2  EMINI S&P 500  1409.38  12/3 15:07  1410.75  2.58%

($166) Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92 

11/14/12 14:57  BUY  2  @ESZ2  EMINI S&P 500  1354.00  11/21 9:43  1388.25  2.54%

$3,397 Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92 

11/12/12 21:15  SELL  2  @ESZ2  EMINI S&P 500  1371.25  11/14 11:22  1366.00  2.87%

$497 Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92 

11/9/12 1:14  BUY  1  @ESZ2  EMINI S&P 500  1380.75  11/12 21:14  1371.00  1.62%

($502) Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

11/9/12 1:13  SELL  1  @ESZ2  EMINI S&P 500  1380.50  11/9 1:14  1380.75  0.02%

($27) Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

11/5/12 13:22  BUY  1  @ESZ2  EMINI S&P 500  1407.00  11/6 11:52  1425.00  0.02%

$886 Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

10/11/12 12:45  SELL  3  @ESZ2  EMINI S&P 500  1424.42  11/5 13:22  1410.50  5.53%

$2,046 Includes Typical Broker Commission and AutoTrade Fees trade costs of $41.88 

10/2/12 8:01  SELL  2  @ESZ2  EMINI S&P 500  1443.75  10/3 3:18  1437.75  0.4%

$572 Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92 

9/20/12 12:11  BUY  1  @ESZ2  EMINI S&P 500  1451.50  9/25 12:10  1453.00  0.67%

$61 Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

9/11/12 10:59  SELL  1  @CDZ2  CANADIAN DOLLAR  1.0264  9/20 7:41  1.0194  1.96%

$686 Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

8/28/12 21:31  SELL  3  @ESU2  EMINI S&P 500  1416.92  9/20 7:40  1438.42  11.93%

($3,267) Includes Typical Broker Commission and AutoTrade Fees trade costs of $41.88 

8/14/12 12:34  SELL  2  @ESU2  EMINI S&P 500  1412.25  8/27 10:47  1402.88  2.43%

$910 Includes Typical Broker Commission and AutoTrade Fees trade costs of $27.92 

7/30/12 11:55  BUY  1  @ESU2  EMINI S&P 500  1378.50  8/14 12:20  1404.75  1.73%

$1,299 Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

7/24/12 12:57  BUY  1  @ESU2  EMINI S&P 500  1330.25  7/26 8:31  1351.25  0.91%

$1,036 Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 

7/20/12 10:03  BUY  1  @ESU2  EMINI S&P 500  1364.50  7/22 18:10  1356.25  0.98%

($427) Includes Typical Broker Commission and AutoTrade Fees trade costs of $13.96 
Statistics
 Strategy began7/16/2012
 Age38 months ago
 What it tradesFutures
 # Trades17
 # Profitable10
 % Profitable58.80%
 Avg trade duration11.5 days
 Max peaktovalley drawdown41.42%
 drawdown periodNov 21, 2012  Aug 12, 2015
 Annual Return (Compounded)12.2%
 Avg win$1,161
 Avg loss$3,348
 W:L ratio0.50:1
 Open PL$0.00
 Open PL (start day)$0.00
 Open PL Change $$0.00
 Open PL Change %n/a
 Close PL($11,825)
 Closed PL (start day)($11,825)
 Closed PL Change $$0.00
 Closed PL Change %n/a
 Equity$38,175
 Equity (start day)$38,175
 Equity Change $$0.00
 Equity Change %n/a
 GENERAL STATISTICS
 Age1140
 # Trades17
 Starting Unit Size50000
 Avg Trade Length11.5
 PROFIT
 Profit Factor0.5
 SORTINO STATISTICS
 Sortino Ratio1.077
 CALMAR STATISTICS
 Calmar Ratio0.526
 Ann Return (w trading costs)12.2%
 SHARPE STATISTICS
 Sharpe Ratio0.899
 Ann Return (Compnd, No Fees)8.2%
 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 lossn/a
 PROFIT STATISTICS
 APD0.30
 DRAW DOWN STATISTICS
 Max Drawdown41.4%
 POPULARITY STATISTICS
 Popularity (Today)0
 Popularity (Last 6 weeks)0
 TOS STATISTICS
 Trades Own System?0
 TOS percentn/a
 BILLING STATISTICS
 Subscription Price$120
 Billing Period (days)30
 Trial Days10
 WIN STATISTICS
 Avg Loss$3,348
 Avg Win$1,161
 # Winners10
 # Losers7
 % Winners58.8%
 TIME STATISTICS
 Avg Position Time (mins)16555.70
 Avg Position Time (hrs)275.93
 Last Trade Ago898
 OWNER STATISTICS
 Developer
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio
 Mean0.18273
 SD0.23269
 Sharpe ratio (Glass type estimate)0.78529
 Sharpe ratio (Hedges UMVUE)0.74525
 df15.00000
 t0.90678
 p0.64386
 Lowerbound of 95% confidence interval for Sharpe Ratio2.49275
 Upperbound of 95% confidence interval for Sharpe Ratio0.94741
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.46345
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.97295
 Statistics related to Sortino ratio
 Sortino ratio0.84220
 Upside Potential Ratio0.54784
 Upside part of mean0.11886
 Downside part of mean0.30159
 Upside SD0.08042
 Downside SD0.21696
 N nonnegative terms4.00000
 N negative terms12.00000
 Statistics related to linear regression on benchmark
 N of observations16.00000
 Mean of predictor0.31211
 Mean of criterion0.18273
 SD of predictor0.13379
 SD of criterion0.23269
 Covariance0.01091
 r0.35030
 b (slope, estimate of beta)0.60924
 a (intercept, estimate of alpha)0.00742
 Mean Square Error0.05089
 DF error14.00000
 t(b)1.39938
 p(b)0.67515
 t(a)0.03119
 p(a)0.49583
 Lowerbound of 95% confidence interval for beta1.54299
 Upperbound of 95% confidence interval for beta0.32452
 Lowerbound of 95% confidence interval for alpha0.50298
 Upperbound of 95% confidence interval for alpha0.51783
 Treynor index (mean / b)0.29993
 Jensen alpha (a)0.00742
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.21233
 SD0.25109
 Sharpe ratio (Glass type estimate)0.84564
 Sharpe ratio (Hedges UMVUE)0.80251
 df15.00000
 t0.97646
 p0.65407
 Lowerbound of 95% confidence interval for Sharpe Ratio2.55582
 Upperbound of 95% confidence interval for Sharpe Ratio0.89155
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.52401
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.91898
 Statistics related to Sortino ratio
 Sortino ratio0.89132
 Upside Potential Ratio0.48547
 Upside part of mean0.11565
 Downside part of mean0.32798
 Upside SD0.07819
 Downside SD0.23822
 N nonnegative terms4.00000
 N negative terms12.00000
 Statistics related to linear regression on benchmark
 N of observations16.00000
 Mean of predictor0.30003
 Mean of criterion0.21233
 SD of predictor0.12881
 SD of criterion0.25109
 Covariance0.01147
 r0.35472
 b (slope, estimate of beta)0.69147
 a (intercept, estimate of alpha)0.00487
 Mean Square Error0.05905
 DF error14.00000
 t(b)1.41955
 p(b)0.67736
 t(a)0.01900
 p(a)0.50254
 Lowerbound of 95% confidence interval for beta1.73620
 Upperbound of 95% confidence interval for beta0.35327
 Lowerbound of 95% confidence interval for alpha0.55440
 Upperbound of 95% confidence interval for alpha0.54466
 Treynor index (mean / b)0.30707
 Jensen alpha (a)0.00487
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.12796
 Expected Shortfall on VaR0.15367
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.07365
 Expected Shortfall on VaR0.14871
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations16.00000
 Minimum0.81548
 Quartile 10.99491
 Median1.00000
 Quartile 31.00026
 Maximum1.06394
 Mean of quarter 10.90196
 Mean of quarter 21.00000
 Mean of quarter 31.00000
 Mean of quarter 41.04045
 Inter Quartile Range0.00535
 Number outliers low4.00000
 Percentage of outliers low0.25000
 Mean of outliers low0.90196
 Number of outliers high3.00000
 Percentage of outliers high0.18750
 Mean of outliers high1.05359
 Risk estimates for a oneperiod unit investment (based on Ex
 Extreme Value Index (moments method)0.81300
 VaR(95%) (moments method)0.09117
 Expected Shortfall (moments method)0.55857
 Extreme Value Index (regression method)0.48362
 VaR(95%) (regression method)0.07277
 Expected Shortfall (regression method)0.16588
 DRAW DOWN STATISTICS
 Quartiles of draw downs
 Number of observations2.00000
 Minimum0.02037
 Quartile 10.09883
 Median0.17729
 Quartile 30.25575
 Maximum0.33421
 Mean of quarter 10.02037
 Mean of quarter 20.00000
 Mean of quarter 30.00000
 Mean of quarter 40.33421
 Inter Quartile Range0.15692
 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)0.17738
 Compounded annual return (geometric extrapolation)0.18322
 Calmar ratio (compounded annual return / max draw down)0.54821
 Compounded annual return / average of 25% largest draw downs0.54821
 Compounded annual return / Expected Shortfall lognormal1.19225
 0.00000
 0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio
 Mean0.17883
 SD0.22188
 Sharpe ratio (Glass type estimate)0.80596
 Sharpe ratio (Hedges UMVUE)0.80469
 df477.00000
 t0.95005
 p0.82872
 Lowerbound of 95% confidence interval for Sharpe Ratio2.46906
 Upperbound of 95% confidence interval for Sharpe Ratio0.85790
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.46817
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.85879
 Statistics related to Sortino ratio
 Sortino ratio0.99025
 Upside Potential Ratio3.05320
 Upside part of mean0.55137
 Downside part of mean0.73020
 Upside SD0.12888
 Downside SD0.18059
 N nonnegative terms83.00000
 N negative terms395.00000
 Statistics related to linear regression on benchmark
 N of observations478.00000
 Mean of predictor0.28399
 Mean of criterion0.17883
 SD of predictor0.18542
 SD of criterion0.22188
 Covariance0.00484
 r0.11755
 b (slope, estimate of beta)0.14067
 a (intercept, estimate of alpha)0.13888
 Mean Square Error0.04865
 DF error476.00000
 t(b)2.58251
 p(b)0.99495
 t(a)0.73967
 p(a)0.77007
 Lowerbound of 95% confidence interval for beta0.24770
 Upperbound of 95% confidence interval for beta0.03364
 Lowerbound of 95% confidence interval for alpha0.50782
 Upperbound of 95% confidence interval for alpha0.23006
 Treynor index (mean / b)1.27129
 Jensen alpha (a)0.13888
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.20415
 SD0.22679
 Sharpe ratio (Glass type estimate)0.90014
 Sharpe ratio (Hedges UMVUE)0.89872
 df477.00000
 t1.06107
 p0.85540
 Lowerbound of 95% confidence interval for Sharpe Ratio2.56336
 Upperbound of 95% confidence interval for Sharpe Ratio0.76399
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.56240
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.76495
 Statistics related to Sortino ratio
 Sortino ratio1.07725
 Upside Potential Ratio2.86753
 Upside part of mean0.54341
 Downside part of mean0.74756
 Upside SD0.12465
 Downside SD0.18951
 N nonnegative terms83.00000
 N negative terms395.00000
 Statistics related to linear regression on benchmark
 N of observations478.00000
 Mean of predictor0.26681
 Mean of criterion0.20415
 SD of predictor0.18468
 SD of criterion0.22679
 Covariance0.00496
 r0.11840
 b (slope, estimate of beta)0.14540
 a (intercept, estimate of alpha)0.16535
 Mean Square Error0.05082
 DF error476.00000
 t(b)2.60148
 p(b)0.99521
 t(a)0.86200
 p(a)0.80544
 Lowerbound of 95% confidence interval for beta0.25523
 Upperbound of 95% confidence interval for beta0.03558
 Lowerbound of 95% confidence interval for alpha0.54228
 Upperbound of 95% confidence interval for alpha0.21158
 Treynor index (mean / b)1.40401
 Jensen alpha (a)0.16535
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.02049
 Expected Shortfall on VaR0.02548
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.00655
 Expected Shortfall on VaR0.01459
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations478.00000
 Minimum0.85780
 Quartile 11.00000
 Median1.00000
 Quartile 31.00000
 Maximum1.11137
 Mean of quarter 10.99164
 Mean of quarter 21.00000
 Mean of quarter 31.00000
 Mean of quarter 41.00640
 Inter Quartile Range0.00000
 Number outliers low84.00000
 Percentage of outliers low0.17573
 Mean of outliers low0.98806
 Number of outliers high83.00000
 Percentage of outliers high0.17364
 Mean of outliers high1.00926
 Risk estimates for a oneperiod unit investment (based on Ex
 Extreme Value Index (moments method)0.46322
 VaR(95%) (moments method)0.00351
 Expected Shortfall (moments method)0.00930
 Extreme Value Index (regression method)0.53600
 VaR(95%) (regression method)0.00730
 Expected Shortfall (regression method)0.02400
 DRAW DOWN STATISTICS
 Quartiles of draw downs
 Number of observations10.00000
 Minimum0.00211
 Quartile 10.00627
 Median0.01378
 Quartile 30.03102
 Maximum0.33580
 Mean of quarter 10.00347
 Mean of quarter 20.01013
 Mean of quarter 30.01422
 Mean of quarter 40.15760
 Inter Quartile Range0.02475
 Number outliers low0.00000
 Percentage of outliers low0.00000
 Mean of outliers low0.00000
 Number of outliers high2.00000
 Percentage of outliers high0.20000
 Mean of outliers high0.21810
 Risk estimates based on draw downs (based on Extreme Value T
 Extreme Value Index (moments method)1.45520
 VaR(95%) (moments method)0.12295
 Expected Shortfall (moments method)0.13080
 Extreme Value Index (regression method)0.88372
 VaR(95%) (regression method)0.38751
 Expected Shortfall (regression method)3.82121
 COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.17020
 Compounded annual return (geometric extrapolation)0.17650
 Calmar ratio (compounded annual return / max draw down)0.52562
 Compounded annual return / average of 25% largest draw downs1.11995
 Compounded annual return / Expected Shortfall lognormal6.92831
 0.00000
 0.00000
 Analysis based on DAILY values, last 6 months only
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio
 Mean0.00995
 SD0.00000
 Sharpe ratio (Glass type estimate)0.00000
 Sharpe ratio (Hedges UMVUE)0.00000
 df0.00000
 t0.00000
 p0.00000
 Lowerbound of 95% confidence interval for Sharpe Ratio0.00000
 Upperbound of 95% confidence interval for Sharpe Ratio0.00000
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.00000
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.00000
 Statistics related to Sortino ratio
 Sortino ratio18.54720
 Upside Potential Ratio0.00000
 Upside part of mean0.00000
 Downside part of mean0.00995
 Upside SD0.00000
 Downside SD0.00054
 N nonnegative terms0.00000
 N negative terms172.00000
 Statistics related to linear regression on benchmark
 N of observations172.00000
 Mean of predictor0.03522
 Mean of criterion0.00995
 SD of predictor0.21993
 SD of criterion0.00000
 Covariance0.00000
 r0.00000
 b (slope, estimate of beta)0.00000
 a (intercept, estimate of alpha)0.00000
 Mean Square Error0.00000
 DF error0.00000
 t(b)0.00000
 p(b)0.00000
 t(a)0.00000
 p(a)0.00000
 Lowerbound of 95% confidence interval for beta0.00000
 Upperbound of 95% confidence interval for beta0.00000
 Lowerbound of 95% confidence interval for alpha0.00000
 Upperbound of 95% confidence interval for alpha0.00000
 Treynor index (mean / b)0.00000
 Jensen alpha (a)0.00000
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.00995
 SD0.00000
 Sharpe ratio (Glass type estimate)31576300000000000.00000
 Sharpe ratio (Hedges UMVUE)31437600000000000.00000
 df171.00000
 t22327800000000000.00000
 p1.00000
 Lowerbound of 95% confidence interval for Sharpe Ratio0.00000
 Upperbound of 95% confidence interval for Sharpe Ratio0.00000
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation34769500000000000.00000
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation28105800000000000.00000
 Statistics related to Sortino ratio
 Sortino ratio18.54720
 Upside Potential Ratio0.00000
 Upside part of mean0.00000
 Downside part of mean0.00995
 Upside SD0.00000
 Downside SD0.00054
 N nonnegative terms0.00000
 N negative terms172.00000
 Statistics related to linear regression on benchmark
 N of observations172.00000
 Mean of predictor0.01128
 Mean of criterion0.00995
 SD of predictor0.21922
 SD of criterion0.00000
 Covariance0.00000
 r0.00000
 b (slope, estimate of beta)0.00000
 a (intercept, estimate of alpha)0.00995
 Mean Square Error0.00000
 DF error170.00000
 t(b)0.00000
 p(b)0.50000
 t(a)22262400000000000.00000
 p(a)1.00000
 Lowerbound of 95% confidence interval for beta0.00000
 Upperbound of 95% confidence interval for beta0.00000
 Lowerbound of 95% confidence interval for alpha0.00995
 Upperbound of 95% confidence interval for alpha0.00995
 Treynor index (mean / b)281340999999999994380115689603072.00000
 Jensen alpha (a)0.00995
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.00003
 Expected Shortfall on VaR0.00003
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.00000
 Expected Shortfall on VaR0.00000
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations172.00000
 Minimum1.00000
 Quartile 11.00000
 Median1.00000
 Quartile 31.00000
 Maximum1.00000
 Mean of quarter 11.00000
 Mean of quarter 21.00000
 Mean of quarter 31.00000
 Mean of quarter 41.00000
 Inter Quartile Range0.00000
 Number outliers low0.00000
 Percentage of outliers low0.00000
 Mean of outliers low0.00000
 Number of outliers high0.00000
 Percentage of outliers high0.00000
 Mean of outliers high0.00000
 Risk estimates for a oneperiod unit investment (based on Ex
 Extreme Value Index (moments method)0.00000
 VaR(95%) (moments method)0.00000
 Expected Shortfall (moments method)0.00000
 Extreme Value Index (regression method)0.00000
 VaR(95%) (regression method)0.00000
 Expected Shortfall (regression method)0.00000
 DRAW DOWN STATISTICS
 Quartiles of draw downs
 Number of observations0.00000
 Minimum0.00000
 Quartile 10.00000
 Median0.00000
 Quartile 30.00000
 Maximum0.00000
 Mean of quarter 10.00000
 Mean of quarter 20.00000
 Mean of quarter 30.00000
 Mean of quarter 40.00000
 Inter Quartile Range0.00000
 Number outliers low0.00000
 Percentage of outliers low0.00000
 Mean of outliers low0.00000
 Number of outliers high0.00000
 Percentage of outliers high0.00000
 Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T
 Extreme Value Index (moments method)0.00000
 VaR(95%) (moments method)0.00000
 Expected Shortfall (moments method)0.00000
 Extreme Value Index (regression method)0.00000
 VaR(95%) (regression method)0.00000
 Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.00000
 Compounded annual return (geometric extrapolation)0.00000
 Calmar ratio (compounded annual return / max draw down)0.00000
 Compounded annual return / average of 25% largest draw downs0.00000
 Compounded annual return / Expected Shortfall lognormal0.00000
Strategy Description
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.