Not Used
- hypothetical · Annual Return (Compounded)
- 0.0%
- Max Drawdown
- 100.0%
- Trades
- 325
- Win Trades
- 47.4%
- Profit Factor
- 0.80
- Win Months
- 25.0%
About this strategy
Golden Stone Quant is a system to generate trading signal for Nasdaq-100 Index based product such as 1x ETF QQQ, 2x ETF QLD and mini-Future.
The system follows trends of QLD, uses QLD/QID position to achieve profit in bear market, while still beats the market in bull market.
The trading action takes place at around 1-2 minutes before market close if position change is needed. Same as the issuing of trading signals.
QLD/QID is used to in my own trading account. For subscribers could use 1xETF or 3xETF subject to leverage preference.
For subscribers prefer low leverage, 1 x ETF could be used.
New update (2017-03-27)
=========================
The system has been upgraded since Jan 2017 to handle volatility better. The result since Jan 2017 looks very positive, with over 27% YTD return
website: https://goldenstonefund.wixsite.com/index
Wechat ID: goldenstonefund
金石量化系统是一个产生纳指-100 (Nasdaq-100) 交易买卖信号 的量化交易信号系统。
交易策略: 确保在熊市里取得正回报，同时在在牛市仍取得高于市场基准（纳斯达克）的回报。
系统核心: 系统性的结合多个不同的技术分析策略，包括趋势追随(Trend following) 和市场时机选择(Market timing)，连同广泛的统计技术，从而达到稳定的收益，同时保持较低水平的风险。
系统根据QLD当天的价格变动，于收市前1到2分钟进行仓位调整, 同时向订阅者发布交易信号。
系统目前系统采用纳斯达-100 2xETF QLD 作为回报计算基准。喜好低风险的客户,可选择使用 1xETF。同样，喜好高回报/高风险的客户,可选择使用 3xETF, 或指数期货。
2017年3月27日更新
================================
系统于2017年初进行过一次调整，以降低波动率。2017年到目前的累计回报为27%
官网: https://goldenstonefund.wixsite.com/index
电邮: [email protected]
微信订阅号: goldenstonefund
The system follows trends of QLD, uses QLD/QID position to achieve profit in bear market, while still beats the market in bull market.
The trading action takes place at around 1-2 minutes before market close if position change is needed. Same as the issuing of trading signals.
QLD/QID is used to in my own trading account. For subscribers could use 1xETF or 3xETF subject to leverage preference.
For subscribers prefer low leverage, 1 x ETF could be used.
New update (2017-03-27)
=========================
The system has been upgraded since Jan 2017 to handle volatility better. The result since Jan 2017 looks very positive, with over 27% YTD return
website: https://goldenstonefund.wixsite.com/index
Wechat ID: goldenstonefund
金石量化系统是一个产生纳指-100 (Nasdaq-100) 交易买卖信号 的量化交易信号系统。
交易策略: 确保在熊市里取得正回报，同时在在牛市仍取得高于市场基准（纳斯达克）的回报。
系统核心: 系统性的结合多个不同的技术分析策略，包括趋势追随(Trend following) 和市场时机选择(Market timing)，连同广泛的统计技术，从而达到稳定的收益，同时保持较低水平的风险。
系统根据QLD当天的价格变动，于收市前1到2分钟进行仓位调整, 同时向订阅者发布交易信号。
系统目前系统采用纳斯达-100 2xETF QLD 作为回报计算基准。喜好低风险的客户,可选择使用 1xETF。同样，喜好高回报/高风险的客户,可选择使用 3xETF, 或指数期货。
2017年3月27日更新
================================
系统于2017年初进行过一次调整，以降低波动率。2017年到目前的累计回报为27%
官网: https://goldenstonefund.wixsite.com/index
电邮: [email protected]
微信订阅号: goldenstonefund
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2015 | -0.2 | 2.9 | 2.7 | ||||||||||
| 2016 | 29.8 | 5.8 | -3.2 | -7.8 | 3.5 | -6.5 | -1.1 | -3.1 | -15.5 | -5.3 | 24.6 | -19.0 | -8.2 |
| 2017 | 10.3 | 9.3 | 4.3 | 5.3 | -6.2 | 2.7 | 5.7 | 16.1 | -1.5 | -6.3 | -8.9 | 0.2 | 31.9 |
| 2018 | -6.4 | -16.7 | 5.4 | -3.6 | -10.1 | -2.5 | -7.8 | -8.3 | -2.3 | 16.1 | 2.1 | 33.6 | -9.1 |
| 2019 | -22.1 | -13.0 | -6.3 | -12.7 | 4.2 | -0.5 | -7.8 | 4.5 | -2.6 | -10.9 | -6.0 | -10.8 | -59.8 |
| 2020 | -5.5 | -15.7 | 35.4 | -37.2 | -13.0 | -19.0 | -21.9 | -26.9 | 15.6 | 2.8 | -30.9 | -16.7 | -81.4 |
| 2021 | -4.3 | -1.8 | -7.2 | -28.6 | 5.0 | -28.6 | -18.8 | -6.7 | 11.6 | -43.3 | -11.6 | -55.2 | -91.1 |
| 2022 | 222.7 | 39.5 | -47.9 | 178.5 | -1.2 | 39.4 | -45.2 | 26.9 | 47.5 | -13.6 | -25.7 | 40.3 | 732.1 |
| 2023 | -34.5 | 2.5 | -26.5 | -26.9 | -70.0 | -104.5 | -2511.4 | -32.6 | -179.8 | 10.9 | -298.3 | -63.9 | -124.9 |
| 2024 | -27.6 | -15.2 | -6.7 | -27.7 | -35.5 | -34.9 | -7.0 | -1.4 | -8.9 | -1.8 | -6.2 | -9.9 | |
| 2025 | -1.8 | -2.8 | -20.9 | -4.6 | -35.3 | -8.3 | -2.7 | -1.4 | -4.6 | -6.2 | -4.6 | -3.9 | |
| 2026 | -1.4 | -2.1 | -4.5 | -12.6 | -6.1 | -0.2 | -4.8 | -5.9 | -2.1 | -4.6 |
Statistics
Overview
| Strategy began | 11/25/2015 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 133 months |
| What it trades | Stocks |
| # Trades | 325 |
| # Profitable | 154 |
| % Profitable | 47.4% |
| Avg trade duration | 12.1 days |
| Max peak-to-valley drawdown | 100.0% |
| drawdown period | Aug 17, 2023 - Sept 26, 2026 |
| Annual Return (Compounded) | 0.0% |
| Avg win | $2,533 |
| Avg loss | $2,811 |
Ratios
| W:L ratio | 0.82 |
|---|---|
| Sharpe Ratio | -0.41 |
| Sortino Ratio | -0.41 |
| Calmar Ratio | -0.47 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.50 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 253.9% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -368.3% |
Return Statistics
| Ann Return (w trading costs) | 0.0% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | -16.6% |
Slump
| Current Slump as Pcnt Equity | — |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.8% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.0% |
| Percent Trades Stocks | 1.0% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 100.0% |
|---|---|
| Chance of 20% account loss | 100.0% |
| Chance of 30% account loss | 100.0% |
| Chance of 40% account loss | 100.0% |
| Chance of 50% account loss | 0.0% |
| Chance of 60% account loss (Monte Carlo) | 0.0% |
| Chance of 70% account loss (Monte Carlo) | 0.0% |
| Chance of 80% account loss (Monte Carlo) | 0.0% |
| Chance of 90% account loss (Monte Carlo) | 0.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Popularity
| Popularity (Today) | 0 |
|---|---|
| Popularity (Last 6 weeks) | 0 |
| Popularity (7 days, Percentile 1000 scale) | 0 |
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $2,811 |
|---|---|
| Avg Win | $2,533 |
| # Winners | 154 |
| Sum Trade PL (losers) | $480,653 |
| Sum Trade PL (winners) | $390,055 |
| Num Months Winners | 32 |
| # Losers | 171 |
| % Winners | 47.4% |
Dividends
| Dividends Received in Model Acct | 4240 |
|---|
Age
| Num Months filled monthly returns table | 92 |
|---|
Frequency
| Avg Position Time (mins) | 17438.22 |
|---|---|
| Avg Position Time (hrs) | 290.64 |
| Avg Trade Length | 12.10 |
| Last Trade Ago | 3156 |
Regression
| Alpha | 0 |
|---|---|
| Beta | -3.78 |
| Treynor Index | 0 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.02 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.06 |
| MAE:Equity, average, losing trades | 0.03 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.01 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | -7.36 |
| MAE:PL (avg, all trades) | -1.04 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 45.03 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 22.31 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.42 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.37 |
| Hold-and-Hope Ratio | -0.02 |
RATIO STATISTICS
| Mean | -0.41 |
|---|---|
| SD | 0.49 |
| Sharpe ratio (Glass type estimate) | -0.84 |
| Sharpe ratio (Hedges UMVUE) | -0.82 |
| df | 41 |
| t | -1.57 |
| p | 0.94 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.90 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.23 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.89 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.24 |
| Sortino ratio | -0.98 |
| Upside Potential Ratio | 0.98 |
| Upside part of mean | 0.41 |
| Downside part of mean | -0.82 |
| Upside SD | 0.27 |
| Downside SD | 0.42 |
| N nonnegative terms | 17 |
| N negative terms | 25 |
| N of observations | 42 |
| Mean of predictor | 0.37 |
| Mean of criterion | -0.41 |
| SD of predictor | 0.26 |
| SD of criterion | 0.49 |
| Covariance | -0.07 |
| r | -0.59 |
| b (slope, estimate of beta) | -1.11 |
| a (intercept, estimate of alpha) | 0.00 |
| Mean Square Error | 0.16 |
| DF error | 40 |
| t(b) | -4.58 |
| p(b) | 1.00 |
| t(a) | 0.00 |
| p(a) | 0.50 |
| Lowerbound of 95% confidence interval for beta | -1.59 |
| Upperbound of 95% confidence interval for beta | -0.62 |
| Lowerbound of 95% confidence interval for alpha | -0.47 |
| Upperbound of 95% confidence interval for alpha | 0.47 |
| Treynor index (mean / b) | 0.37 |
| Jensen alpha (a) | 0.00 |
| Mean | -0.56 |
| SD | 0.55 |
| Sharpe ratio (Glass type estimate) | -1.02 |
| Sharpe ratio (Hedges UMVUE) | -1.00 |
| df | 41 |
| t | -1.91 |
| p | 0.97 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -2.08 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.06 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -2.07 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.07 |
| Sortino ratio | -1.09 |
| Upside Potential Ratio | 0.75 |
| Upside part of mean | 0.38 |
| Downside part of mean | -0.94 |
| Upside SD | 0.24 |
| Downside SD | 0.51 |
| N nonnegative terms | 17 |
| N negative terms | 25 |
| N of observations | 42 |
| Mean of predictor | 0.34 |
| Mean of criterion | -0.56 |
| SD of predictor | 0.24 |
| SD of criterion | 0.55 |
| Covariance | -0.08 |
| r | -0.57 |
| b (slope, estimate of beta) | -1.28 |
| a (intercept, estimate of alpha) | -0.12 |
| Mean Square Error | 0.21 |
| DF error | 40 |
| t(b) | -4.42 |
| p(b) | 1.00 |
| t(a) | -0.48 |
| p(a) | 0.68 |
| Lowerbound of 95% confidence interval for beta | -1.86 |
| Upperbound of 95% confidence interval for beta | -0.69 |
| Lowerbound of 95% confidence interval for alpha | -0.65 |
| Upperbound of 95% confidence interval for alpha | 0.40 |
| Treynor index (mean / b) | 0.43 |
| Jensen alpha (a) | -0.12 |
| VaR(95%) | 0.26 |
| Expected Shortfall on VaR | 0.31 |
| VaR(95%) | 0.18 |
| Expected Shortfall on VaR | 0.31 |
| Mean | -0.48 |
| SD | 0.40 |
| Sharpe ratio (Glass type estimate) | -1.22 |
| Sharpe ratio (Hedges UMVUE) | -1.22 |
| df | 930 |
| t | -2.29 |
| p | 0.99 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -2.26 |
| Upperbound of 95% confidence interval for Sharpe Ratio | -0.18 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -2.26 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.17 |
| Sortino ratio | -1.63 |
| Upside Potential Ratio | 6.04 |
| Upside part of mean | 1.79 |
| Downside part of mean | -2.27 |
| Upside SD | 0.27 |
| Downside SD | 0.30 |
| N nonnegative terms | 440 |
| N negative terms | 491 |
| N of observations | 931 |
| Mean of predictor | 0.40 |
| Mean of criterion | -0.48 |
| SD of predictor | 0.26 |
| SD of criterion | 0.40 |
| Covariance | -0.07 |
| r | -0.64 |
| b (slope, estimate of beta) | -0.98 |
| a (intercept, estimate of alpha) | -0.09 |
| Mean Square Error | 0.09 |
| DF error | 929 |
| t(b) | -25.65 |
| p(b) | 1 |
| t(a) | -0.55 |
| p(a) | 0.71 |
| Lowerbound of 95% confidence interval for beta | -1.06 |
| Upperbound of 95% confidence interval for beta | -0.91 |
| Lowerbound of 95% confidence interval for alpha | -0.41 |
| Upperbound of 95% confidence interval for alpha | 0.23 |
| Treynor index (mean / b) | 0.49 |
| Jensen alpha (a) | -0.09 |
| Mean | -0.56 |
| SD | 0.40 |
| Sharpe ratio (Glass type estimate) | -1.41 |
| Sharpe ratio (Hedges UMVUE) | -1.41 |
| df | 930 |
| t | -2.66 |
| p | 1.00 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -2.45 |
| Upperbound of 95% confidence interval for Sharpe Ratio | -0.37 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -2.45 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.37 |
| Sortino ratio | -1.84 |
| Upside Potential Ratio | 5.72 |
| Upside part of mean | 1.75 |
| Downside part of mean | -2.32 |
| Upside SD | 0.26 |
| Downside SD | 0.31 |
| N nonnegative terms | 440 |
| N negative terms | 491 |
| N of observations | 931 |
| Mean of predictor | 0.37 |
| Mean of criterion | -0.56 |
| SD of predictor | 0.26 |
| SD of criterion | 0.40 |
| Covariance | -0.07 |
| r | -0.64 |
| b (slope, estimate of beta) | -0.98 |
| a (intercept, estimate of alpha) | -0.20 |
| Mean Square Error | 0.09 |
| DF error | 929 |
| t(b) | -25.39 |
| p(b) | 1 |
| t(a) | -1.25 |
| p(a) | 0.89 |
| Lowerbound of 95% confidence interval for beta | -1.05 |
| Upperbound of 95% confidence interval for beta | -0.90 |
| Lowerbound of 95% confidence interval for alpha | -0.52 |
| Upperbound of 95% confidence interval for alpha | 0.12 |
| Treynor index (mean / b) | 0.58 |
| Jensen alpha (a) | -0.20 |
| VaR(95%) | 0.04 |
| Expected Shortfall on VaR | 0.05 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.04 |
| Mean | -0.85 |
| SD | 0.49 |
| Sharpe ratio (Glass type estimate) | -1.73 |
| Sharpe ratio (Hedges UMVUE) | -1.72 |
| df | 130 |
| t | -1.23 |
| p | 0.55 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -4.51 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.05 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -4.50 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.06 |
| Sortino ratio | -2.39 |
| Upside Potential Ratio | 6.21 |
| Upside part of mean | 2.21 |
| Downside part of mean | -3.06 |
| Upside SD | 0.34 |
| Downside SD | 0.36 |
| N nonnegative terms | 53 |
| N negative terms | 78 |
| N of observations | 131 |
| Mean of predictor | 1.20 |
| Mean of criterion | -0.85 |
| SD of predictor | 0.45 |
| SD of criterion | 0.49 |
| Covariance | -0.18 |
| r | -0.83 |
| b (slope, estimate of beta) | -0.90 |
| a (intercept, estimate of alpha) | 0.23 |
| Mean Square Error | 0.08 |
| DF error | 129 |
| t(b) | -16.78 |
| p(b) | 0.96 |
| t(a) | 0.58 |
| p(a) | 0.47 |
| Lowerbound of 95% confidence interval for beta | -1.01 |
| Upperbound of 95% confidence interval for beta | -0.80 |
| Lowerbound of 95% confidence interval for alpha | -0.55 |
| Upperbound of 95% confidence interval for alpha | 1.01 |
| Treynor index (mean / b) | 0.94 |
| Jensen alpha (a) | 0.23 |
| Mean | -0.97 |
| SD | 0.49 |
| Sharpe ratio (Glass type estimate) | -1.98 |
| Sharpe ratio (Hedges UMVUE) | -1.97 |
| df | 130 |
| t | -1.40 |
| p | 0.56 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -4.76 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.81 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -4.75 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.81 |
| Sortino ratio | -2.65 |
| Upside Potential Ratio | 5.87 |
| Upside part of mean | 2.15 |
| Downside part of mean | -3.12 |
| Upside SD | 0.33 |
| Downside SD | 0.37 |
| N nonnegative terms | 53 |
| N negative terms | 78 |
| N of observations | 131 |
| Mean of predictor | 1.09 |
| Mean of criterion | -0.97 |
| SD of predictor | 0.45 |
| SD of criterion | 0.49 |
| Covariance | -0.18 |
| r | -0.83 |
| b (slope, estimate of beta) | -0.90 |
| a (intercept, estimate of alpha) | 0.01 |
| Mean Square Error | 0.08 |
| DF error | 129 |
| t(b) | -16.62 |
| p(b) | 0.96 |
| t(a) | 0.02 |
| p(a) | 0.50 |
| Lowerbound of 95% confidence interval for beta | -1.00 |
| VAR (95 Confidence Intrvl) | 0.04 |
| Upperbound of 95% confidence interval for beta | -0.79 |
| Lowerbound of 95% confidence interval for alpha | -0.78 |
| Upperbound of 95% confidence interval for alpha | 0.79 |
| Treynor index (mean / b) | 1.08 |
| Jensen alpha (a) | 0.01 |
| VaR(95%) | 0.05 |
| Expected Shortfall on VaR | 0.06 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.05 |
ORDER STATISTICS
| Number of observations | 42 |
|---|---|
| Minimum | 0.56 |
| Quartile 1 | 0.89 |
| Median | 0.97 |
| Quartile 3 | 1.05 |
| Maximum | 1.38 |
| Mean of quarter 1 | 0.80 |
| Mean of quarter 2 | 0.94 |
| Mean of quarter 3 | 1.02 |
| Mean of quarter 4 | 1.11 |
| Inter Quartile Range | 0.16 |
| Number outliers low | 2 |
| Percentage of outliers low | 0.05 |
| Mean of outliers low | 0.58 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.02 |
| Mean of outliers high | 1.38 |
| Extreme Value Index (moments method) | 0.39 |
| VaR(95%) (moments method) | 0.24 |
| Expected Shortfall (moments method) | 0.41 |
| Extreme Value Index (regression method) | 0.48 |
| VaR(95%) (regression method) | 0.21 |
| Expected Shortfall (regression method) | 0.37 |
| Number of observations | 931 |
| Minimum | 0.86 |
| Quartile 1 | 0.99 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.14 |
| Mean of quarter 1 | 0.97 |
| Mean of quarter 2 | 0.99 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.02 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 46 |
| Percentage of outliers low | 0.05 |
| Mean of outliers low | 0.94 |
| Number of outliers high | 43 |
| Percentage of outliers high | 0.05 |
| Mean of outliers high | 1.06 |
| Extreme Value Index (moments method) | 0.30 |
| VaR(95%) (moments method) | 0.03 |
| Expected Shortfall (moments method) | 0.05 |
| Extreme Value Index (regression method) | 0.13 |
| VaR(95%) (regression method) | 0.03 |
| Expected Shortfall (regression method) | 0.04 |
| Number of observations | 131 |
| Minimum | 0.91 |
| Quartile 1 | 0.98 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.11 |
| Mean of quarter 1 | 0.96 |
| Mean of quarter 2 | 0.99 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.03 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 7 |
| Percentage of outliers low | 0.05 |
| Mean of outliers low | 0.93 |
| Number of outliers high | 10 |
| Percentage of outliers high | 0.08 |
| Mean of outliers high | 1.07 |
| Extreme Value Index (moments method) | 0.19 |
| VaR(95%) (moments method) | 0.04 |
| Expected Shortfall (moments method) | 0.06 |
| Extreme Value Index (regression method) | 0.10 |
| VaR(95%) (regression method) | 0.04 |
| Expected Shortfall (regression method) | 0.05 |
DRAW DOWN STATISTICS
| Number of observations | 3 |
|---|---|
| Minimum | 0.07 |
| Quartile 1 | 0.14 |
| Median | 0.21 |
| Quartile 3 | 0.56 |
| Maximum | 0.92 |
| Mean of quarter 1 | 0.07 |
| Mean of quarter 2 | 0.21 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.92 |
| Inter Quartile Range | 0.42 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 12 |
| Minimum | 0.00 |
| Quartile 1 | 0.03 |
| Median | 0.04 |
| Quartile 3 | 0.07 |
| Maximum | 0.92 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.04 |
| Mean of quarter 3 | 0.05 |
| Mean of quarter 4 | 0.45 |
| Inter Quartile Range | 0.04 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 2 |
| Percentage of outliers high | 0.17 |
| Mean of outliers high | 0.62 |
| Extreme Value Index (moments method) | -2.92 |
| VaR(95%) (moments method) | 0.32 |
| Expected Shortfall (moments method) | 0.32 |
| Extreme Value Index (regression method) | 0.45 |
| VaR(95%) (regression method) | 0.91 |
| Expected Shortfall (regression method) | 2.24 |
| Number of observations | 1 |
| Minimum | 0.50 |
| Quartile 1 | 0.50 |
| Median | 0.50 |
| Quartile 3 | 0.50 |
| Maximum | 0.50 |
| Mean of quarter 1 | 0 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0 |
| Inter Quartile Range | 0 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -611563712 |
| Max Equity Drawdown (num days) | 1136 |
| Last 4 Months - Pcnt Negative | 1.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | -0.24 |
|---|---|
| Compounded annual return (geometric extrapolation) | -0.43 |
| Calmar ratio (compounded annual return / max draw down) | -0.47 |
| Compounded annual return / average of 25% largest draw downs | -0.47 |
| Compounded annual return / Expected Shortfall lognormal | -1.38 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.24 |
| Compounded annual return (geometric extrapolation) | -0.43 |
| Calmar ratio (compounded annual return / max draw down) | -0.47 |
| Compounded annual return / average of 25% largest draw downs | -0.96 |
| Compounded annual return / Expected Shortfall lognormal | -8.35 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.77 |
| Compounded annual return (geometric extrapolation) | -0.62 |
| Calmar ratio (compounded annual return / max draw down) | -1.24 |
| Compounded annual return / average of 25% largest draw downs | 0 |
| Compounded annual return / Expected Shortfall lognormal | -9.71 |
Trading record
Placed 123 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| QLD | long | 2160 | Mar 9, 2018 | Mar 12, 2018 | $1,321 |
| QID | long | 9030 | Mar 1, 2018 | Mar 9, 2018 | ($10,209) |
| QLD | long | 1315 | Mar 1, 2018 | Mar 1, 2018 | ($2,504) |
| QID | long | 9465 | Feb 27, 2018 | Mar 1, 2018 | $2,551 |
| QLD | long | 1255 | Feb 23, 2018 | Feb 27, 2018 | $748 |
| QID | long | 9260 | Feb 21, 2018 | Feb 23, 2018 | ($1,394) |
| QLD | long | 1275 | Feb 20, 2018 | Feb 21, 2018 | $1,959 |
| QID | long | 8910 | Feb 16, 2018 | Feb 20, 2018 | $1,153 |
| QLD | long | 2480 | Feb 15, 2018 | Feb 16, 2018 | $1,159 |
| QID | long | 8680 | Feb 14, 2018 | Feb 15, 2018 | ($5,387) |
| QLD | long | 1375 | Feb 13, 2018 | Feb 14, 2018 | $3,336 |
| QID | long | 8060 | Feb 9, 2018 | Feb 13, 2018 | ($2,262) |
| QLD | long | 1445 | Feb 9, 2018 | Feb 9, 2018 | $1,599 |
| QID | long | 7855 | Feb 8, 2018 | Feb 9, 2018 | ($1,183) |
| QLD | long | 1480 | Feb 7, 2018 | Feb 8, 2018 | ($8,456) |
| QID | long | 9140 | Feb 6, 2018 | Feb 7, 2018 | ($2,381) |
| QLD | long | 1535 | Feb 2, 2018 | Feb 6, 2018 | ($10,965) |
| QID | long | 10870 | Feb 1, 2018 | Feb 2, 2018 | $2,821 |
| QLD | long | 1470 | Jan 31, 2018 | Feb 1, 2018 | ($1,798) |
| QID | long | 11195 | Jan 30, 2018 | Jan 31, 2018 | ($889) |
| QLD | long | 1465 | Jan 26, 2018 | Jan 30, 2018 | ($3,067) |
| QID | long | 11580 | Jan 24, 2018 | Jan 26, 2018 | ($3,711) |
| QLD | long | 1550 | Jan 23, 2018 | Jan 24, 2018 | ($1,788) |
| QID | long | 11890 | Jan 22, 2018 | Jan 23, 2018 | ($3,334) |
| QID | long | 11700 | Jan 18, 2018 | Jan 19, 2018 | ($824) |
| QLD | long | 1665 | Jan 16, 2018 | Jan 18, 2018 | $2,792 |
| QID | long | 11230 | Jan 11, 2018 | Jan 16, 2018 | ($1,577) |
| QLD | long | 1700 | Jan 10, 2018 | Jan 11, 2018 | $1,695 |
| QID | long | 10920 | Jan 3, 2018 | Jan 10, 2018 | ($4,264) |
| QLD | long | 3610 | Dec 29, 2017 | Jan 3, 2018 | $6,650 |
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.