ASCENDANT TY STATIC
- hypothetical · Annual Return (Compounded)
- 4.9%
- Max Drawdown
- 46.7%
- Trades
- 52
- Win Trades
- 88.5%
- Profit Factor
- 2.70
- Win Months
- 7.0%
About this strategy
Ascendant TY Static primarily trades the 10 Year Treasury Note futures symbol TY, and the U.S. Dollar Index symbol DX on an opportunistic basis. The suggested minimum capital required to trade the programme is $20,000 USD.
(Some brokers use the symbol ZN for the TY)
The programme differs from Ascendant TY in that it will only trade 1 contract per signal regardless of the growth of the model account, making it easier to follow with Autotrade for accounts that are smaller than what Ascendant TY has grown to.
Please note that because TY Static will always trade only 1 contract per signal, but the model portfolio will grow as normal, your performance will differ from the model assuming you increase your contract size in increments of $20,000 USD as your account grows. Example: Once your account is $40,000 USD you could trade 200% of the programme signals with 2 contracts per signal vs. 1 if you wish, and so on.
The TY programme employs proprietary genetic algorithms and machine learning that exploit inflection points in their respective markets.
Ascendant TY systems begin with a capped subscriber base. TY is traded live by members so the fills are monitored by Cambridge and as long as it is apparent all subscribers are experiencing efficient fills and liquidity TY Static can remain open, but if there is any degradation detected, it may be closed to new subscribers at any time and a wait list established.
This description is offered for informational purposes only. A decision to become a member of Ascendant should be centered on your own circumstances and a dispassionate evaluation of Ascendant TY Static performance. Cambridge Research subscribes to the common view that alternative assets (futures trading/private equity/venture capital) should represent no more than 15-20% of your investable assets.
Thank you for your interest in Ascendant.
Cambridge Research
(Some brokers use the symbol ZN for the TY)
The programme differs from Ascendant TY in that it will only trade 1 contract per signal regardless of the growth of the model account, making it easier to follow with Autotrade for accounts that are smaller than what Ascendant TY has grown to.
Please note that because TY Static will always trade only 1 contract per signal, but the model portfolio will grow as normal, your performance will differ from the model assuming you increase your contract size in increments of $20,000 USD as your account grows. Example: Once your account is $40,000 USD you could trade 200% of the programme signals with 2 contracts per signal vs. 1 if you wish, and so on.
The TY programme employs proprietary genetic algorithms and machine learning that exploit inflection points in their respective markets.
Ascendant TY systems begin with a capped subscriber base. TY is traded live by members so the fills are monitored by Cambridge and as long as it is apparent all subscribers are experiencing efficient fills and liquidity TY Static can remain open, but if there is any degradation detected, it may be closed to new subscribers at any time and a wait list established.
This description is offered for informational purposes only. A decision to become a member of Ascendant should be centered on your own circumstances and a dispassionate evaluation of Ascendant TY Static performance. Cambridge Research subscribes to the common view that alternative assets (futures trading/private equity/venture capital) should represent no more than 15-20% of your investable assets.
Thank you for your interest in Ascendant.
Cambridge Research
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2016 | -10.8 | 19.5 | 23.7 | 16.3 | -16.7 | 18.4 | 27.5 | 5.2 | -12.1 | -5.8 | -19.5 | 35.3 | |
| 2017 | 12.9 | 0.2 | 8.7 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 22.9 |
| 2018 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2019 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2020 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2021 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2022 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2023 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2024 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2025 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2026 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
Statistics
Overview
| Strategy began | 2/5/2016 |
|---|---|
| Suggested Minimum Capital | $20,000 |
| Age | 129 months |
| What it trades | Futures |
| # Trades | 52 |
| # Profitable | 46 |
| % Profitable | 88.5% |
| Avg trade duration | 11.9 days |
| Max peak-to-valley drawdown | 46.7% |
| drawdown period | Nov 09, 2016 - Dec 15, 2016 |
| Annual Return (Compounded) | 4.9% |
| Avg win | $698 |
| Avg loss | $2,009 |
Ratios
| W:L ratio | 2.66 |
|---|---|
| Sharpe Ratio | 0.21 |
| Sortino Ratio | 0.33 |
| Calmar Ratio | 0.95 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.05 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 308.0% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -241.5% |
Return Statistics
| Ann Return (w trading costs) | 4.9% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 6.8% |
Slump
| Current Slump as Pcnt Equity | 38.0% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.9% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 1.0% |
| Percent Trades Options | 0.0% |
| Percent Trades Stocks | 0.0% |
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 | 20.0% |
| 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 | $2,009 |
|---|---|
| Avg Win | $698 |
| # Winners | 46 |
| Sum Trade PL (losers) | $12,054 |
| Sum Trade PL (winners) | $32,109 |
| Num Months Winners | 9 |
| # Losers | 6 |
| % Winners | 88.5% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 128 |
|---|
Frequency
| Avg Position Time (mins) | 17124.78 |
|---|---|
| Avg Position Time (hrs) | 285.41 |
| Avg Trade Length | 11.90 |
| Last Trade Ago | 3452 |
Regression
| Alpha | 0.01 |
|---|---|
| Beta | 0.06 |
| Treynor Index | 0.24 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.08 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.22 |
| MAE:Equity, average, losing trades | 0.17 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.07 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 5.24 |
| MAE:PL (avg, all trades) | -0.24 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 96.78 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 64.44 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 2.35 |
| Avg(MAE) / Avg(PL) - Losing trades | -2.34 |
| Hold-and-Hope Ratio | 0.19 |
RATIO STATISTICS
| Mean | 0.40 |
|---|---|
| SD | 0.51 |
| Sharpe ratio (Glass type estimate) | 0.80 |
| Sharpe ratio (Hedges UMVUE) | 0.77 |
| df | 25 |
| t | 1.17 |
| p | 0.13 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.56 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.14 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.58 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.12 |
| Sortino ratio | 2.12 |
| Upside Potential Ratio | 3.33 |
| Upside part of mean | 0.64 |
| Downside part of mean | -0.23 |
| Upside SD | 0.48 |
| Downside SD | 0.19 |
| N nonnegative terms | 8 |
| N negative terms | 18 |
| N of observations | 26 |
| Mean of predictor | 0.61 |
| Mean of criterion | 0.40 |
| SD of predictor | 0.28 |
| SD of criterion | 0.51 |
| Covariance | -0.02 |
| r | -0.14 |
| b (slope, estimate of beta) | -0.25 |
| a (intercept, estimate of alpha) | 0.56 |
| Mean Square Error | 0.26 |
| DF error | 24 |
| t(b) | -0.68 |
| p(b) | 0.75 |
| t(a) | 1.34 |
| p(a) | 0.10 |
| Lowerbound of 95% confidence interval for beta | -1.02 |
| Upperbound of 95% confidence interval for beta | 0.51 |
| Lowerbound of 95% confidence interval for alpha | -0.30 |
| Upperbound of 95% confidence interval for alpha | 1.42 |
| Treynor index (mean / b) | -1.59 |
| Jensen alpha (a) | 0.56 |
| Mean | 0.30 |
| SD | 0.45 |
| Sharpe ratio (Glass type estimate) | 0.66 |
| Sharpe ratio (Hedges UMVUE) | 0.64 |
| df | 25 |
| t | 0.97 |
| p | 0.17 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.69 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.00 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.70 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.99 |
| Sortino ratio | 1.40 |
| Upside Potential Ratio | 2.59 |
| Upside part of mean | 0.55 |
| Downside part of mean | -0.25 |
| Upside SD | 0.39 |
| Downside SD | 0.21 |
| N nonnegative terms | 8 |
| N negative terms | 18 |
| N of observations | 26 |
| Mean of predictor | 0.56 |
| Mean of criterion | 0.30 |
| SD of predictor | 0.26 |
| SD of criterion | 0.45 |
| Covariance | -0.01 |
| r | -0.12 |
| b (slope, estimate of beta) | -0.21 |
| a (intercept, estimate of alpha) | 0.41 |
| Mean Square Error | 0.20 |
| DF error | 24 |
| t(b) | -0.59 |
| p(b) | 0.72 |
| t(a) | 1.13 |
| p(a) | 0.13 |
| Lowerbound of 95% confidence interval for beta | -0.92 |
| Upperbound of 95% confidence interval for beta | 0.51 |
| Lowerbound of 95% confidence interval for alpha | -0.34 |
| Upperbound of 95% confidence interval for alpha | 1.16 |
| Treynor index (mean / b) | -1.44 |
| Jensen alpha (a) | 0.41 |
| VaR(95%) | 0.17 |
| Expected Shortfall on VaR | 0.21 |
| VaR(95%) | 0.05 |
| Expected Shortfall on VaR | 0.11 |
| Mean | 0.36 |
| SD | 0.40 |
| Sharpe ratio (Glass type estimate) | 0.90 |
| Sharpe ratio (Hedges UMVUE) | 0.90 |
| df | 588 |
| t | 1.36 |
| p | 0.09 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.40 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.21 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.41 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.21 |
| Sortino ratio | 1.44 |
| Upside Potential Ratio | 6.54 |
| Upside part of mean | 1.65 |
| Downside part of mean | -1.28 |
| Upside SD | 0.31 |
| Downside SD | 0.25 |
| N nonnegative terms | 133 |
| N negative terms | 456 |
| N of observations | 589 |
| Mean of predictor | 0.66 |
| Mean of criterion | 0.36 |
| SD of predictor | 0.34 |
| SD of criterion | 0.40 |
| Covariance | 0.01 |
| r | 0.04 |
| b (slope, estimate of beta) | 0.05 |
| a (intercept, estimate of alpha) | 0.33 |
| Mean Square Error | 0.16 |
| DF error | 587 |
| t(b) | 1.02 |
| p(b) | 0.16 |
| t(a) | 1.23 |
| p(a) | 0.11 |
| Lowerbound of 95% confidence interval for beta | -0.05 |
| Upperbound of 95% confidence interval for beta | 0.15 |
| Lowerbound of 95% confidence interval for alpha | -0.20 |
| Upperbound of 95% confidence interval for alpha | 0.86 |
| Treynor index (mean / b) | 7.36 |
| Jensen alpha (a) | 0.33 |
| Mean | 0.28 |
| SD | 0.40 |
| Sharpe ratio (Glass type estimate) | 0.71 |
| Sharpe ratio (Hedges UMVUE) | 0.71 |
| df | 588 |
| t | 1.07 |
| p | 0.14 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.60 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.02 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.60 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.02 |
| Sortino ratio | 1.08 |
| Upside Potential Ratio | 6.11 |
| Upside part of mean | 1.60 |
| Downside part of mean | -1.32 |
| Upside SD | 0.30 |
| Downside SD | 0.26 |
| N nonnegative terms | 133 |
| N negative terms | 456 |
| N of observations | 589 |
| Mean of predictor | 0.60 |
| Mean of criterion | 0.28 |
| SD of predictor | 0.35 |
| SD of criterion | 0.40 |
| Covariance | 0.01 |
| r | 0.04 |
| b (slope, estimate of beta) | 0.05 |
| a (intercept, estimate of alpha) | 0.25 |
| Mean Square Error | 0.16 |
| DF error | 587 |
| t(b) | 1.05 |
| p(b) | 0.15 |
| t(a) | 0.95 |
| p(a) | 0.17 |
| Lowerbound of 95% confidence interval for beta | -0.04 |
| Upperbound of 95% confidence interval for beta | 0.14 |
| Lowerbound of 95% confidence interval for alpha | -0.27 |
| Upperbound of 95% confidence interval for alpha | 0.78 |
| Treynor index (mean / b) | 5.65 |
| Jensen alpha (a) | 0.25 |
| VaR(95%) | 0.04 |
| Expected Shortfall on VaR | 0.05 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.03 |
| Mean | -0.03 |
| SD | 0 |
| Sharpe ratio (Glass type estimate) | 0 |
| Sharpe ratio (Hedges UMVUE) | 0 |
| df | 0 |
| t | 0 |
| p | 0 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0 |
| Sortino ratio | -16.19 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | -0.03 |
| Upside SD | 0 |
| Downside SD | 0.00 |
| N nonnegative terms | 0 |
| N negative terms | 131 |
| N of observations | 131 |
| Mean of predictor | 1.26 |
| Mean of criterion | -0.03 |
| SD of predictor | 0.49 |
| SD of criterion | 0 |
| Covariance | 0 |
| r | 0 |
| b (slope, estimate of beta) | 0 |
| a (intercept, estimate of alpha) | 0 |
| Mean Square Error | 0 |
| DF error | 0 |
| t(b) | 0 |
| p(b) | 0 |
| t(a) | 0 |
| p(a) | 0 |
| Lowerbound of 95% confidence interval for beta | 0 |
| Upperbound of 95% confidence interval for beta | 0 |
| Lowerbound of 95% confidence interval for alpha | 0 |
| Upperbound of 95% confidence interval for alpha | 0 |
| Treynor index (mean / b) | 0 |
| Jensen alpha (a) | 0 |
| Mean | -0.03 |
| SD | 0 |
| Sharpe ratio (Glass type estimate) | -9.74841826823373e+15 |
| Sharpe ratio (Hedges UMVUE) | -9.69206937105203e+15 |
| df | 130 |
| t | -6893172865105920 |
| p | 1 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.08701574255084e+16 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | -8513981316595712 |
| Sortino ratio | -16.19 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | -0.03 |
| Upside SD | 0 |
| Downside SD | 0.00 |
| N nonnegative terms | 0 |
| N negative terms | 131 |
| N of observations | 131 |
| Mean of predictor | 1.14 |
| Mean of criterion | -0.03 |
| SD of predictor | 0.49 |
| SD of criterion | 0 |
| Covariance | 0 |
| r | 0 |
| b (slope, estimate of beta) | 0 |
| a (intercept, estimate of alpha) | -0.03 |
| Mean Square Error | 0 |
| DF error | 129 |
| t(b) | 0 |
| p(b) | 0.50 |
| t(a) | -6796515162980352 |
| p(a) | 1 |
| Lowerbound of 95% confidence interval for beta | 0 |
| VAR (95 Confidence Intrvl) | 0.04 |
| Upperbound of 95% confidence interval for beta | 0 |
| Lowerbound of 95% confidence interval for alpha | -0.03 |
| Upperbound of 95% confidence interval for alpha | -0.03 |
| Treynor index (mean / b) | 6.39462085997683e+31 |
| Jensen alpha (a) | -0.03 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.00 |
| VaR(95%) | 0 |
| Expected Shortfall on VaR | 0 |
ORDER STATISTICS
| Number of observations | 26 |
|---|---|
| Minimum | 0.79 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1.04 |
| Maximum | 1.49 |
| Mean of quarter 1 | 0.93 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1.01 |
| Mean of quarter 4 | 1.19 |
| Inter Quartile Range | 0.04 |
| Number outliers low | 3 |
| Percentage of outliers low | 0.12 |
| Mean of outliers low | 0.85 |
| Number of outliers high | 4 |
| Percentage of outliers high | 0.15 |
| Mean of outliers high | 1.30 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | -0.37 |
| VaR(95%) (regression method) | 0.13 |
| Expected Shortfall (regression method) | 0.18 |
| Number of observations | 589 |
| Minimum | 0.85 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.17 |
| Mean of quarter 1 | 0.98 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.03 |
| Inter Quartile Range | 0 |
| Number outliers low | 105 |
| Percentage of outliers low | 0.18 |
| Mean of outliers low | 0.97 |
| Number of outliers high | 133 |
| Percentage of outliers high | 0.23 |
| Mean of outliers high | 1.03 |
| Extreme Value Index (moments method) | -1.42 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.00 |
| Extreme Value Index (regression method) | -0.08 |
| VaR(95%) (regression method) | 0.02 |
| Expected Shortfall (regression method) | 0.04 |
| Number of observations | 131 |
| Minimum | 1 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1 |
| Mean of quarter 1 | 1 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1 |
| 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 |
DRAW DOWN STATISTICS
| Number of observations | 3 |
|---|---|
| Minimum | 0.01 |
| Quartile 1 | 0.09 |
| Median | 0.17 |
| Quartile 3 | 0.22 |
| Maximum | 0.26 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.17 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.26 |
| Inter Quartile Range | 0.13 |
| 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 | 22 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.04 |
| Quartile 3 | 0.15 |
| Maximum | 0.38 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.03 |
| Mean of quarter 3 | 0.08 |
| Mean of quarter 4 | 0.24 |
| Inter Quartile Range | 0.14 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.05 |
| Mean of outliers high | 0.38 |
| Extreme Value Index (moments method) | -0.09 |
| VaR(95%) (moments method) | 0.26 |
| Expected Shortfall (moments method) | 0.32 |
| Extreme Value Index (regression method) | 0.36 |
| VaR(95%) (regression method) | 0.30 |
| Expected Shortfall (regression method) | 0.46 |
| Number of observations | 0 |
| Minimum | 0 |
| Quartile 1 | 0 |
| Median | 0 |
| Quartile 3 | 0 |
| Maximum | 0 |
| 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? | -457771584 |
| Max Equity Drawdown (num days) | 36 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.47 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.38 |
| Calmar ratio (compounded annual return / max draw down) | 1.45 |
| Compounded annual return / average of 25% largest draw downs | 1.45 |
| Compounded annual return / Expected Shortfall lognormal | 1.79 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.45 |
| Compounded annual return (geometric extrapolation) | 0.37 |
| Calmar ratio (compounded annual return / max draw down) | 0.95 |
| Compounded annual return / average of 25% largest draw downs | 1.55 |
| Compounded annual return / Expected Shortfall lognormal | 7.54 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0 |
| Compounded annual return (geometric extrapolation) | 0 |
| Calmar ratio (compounded annual return / max draw down) | 0 |
| Compounded annual return / average of 25% largest draw downs | 0 |
| Compounded annual return / Expected Shortfall lognormal | 0 |
Trading record
Placed 234 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| TY H7 | long | 4 | Nov 28, 2016 | Mar 22, 2017 | ($99) |
| DX Z6 | short | 1 | Nov 11, 2016 | Dec 19, 2016 | ($4,243) |
| TY Z6 | long | 4 | Nov 9, 2016 | Nov 28, 2016 | ($6,610) |
| TY Z6 | short | 1 | Nov 8, 2016 | Nov 9, 2016 | $977 |
| DX Z6 | short | 6 | Oct 3, 2016 | Nov 8, 2016 | $453 |
| TY Z6 | short | 1 | Nov 2, 2016 | Nov 8, 2016 | $492 |
| TY Z6 | long | 1 | Nov 1, 2016 | Nov 1, 2016 | $492 |
| TY Z6 | short | 4 | Sep 21, 2016 | Oct 27, 2016 | $2,639 |
| DX Z6 | short | 1 | Sep 16, 2016 | Sep 20, 2016 | $222 |
| TY Z6 | long | 2 | Sep 9, 2016 | Sep 15, 2016 | $1,205 |
| DX Z6 | long | 1 | Sep 8, 2016 | Sep 9, 2016 | $782 |
| TY Z6 | short | 3 | Sep 6, 2016 | Sep 8, 2016 | $836 |
| TY Z6 | short | 2 | Aug 22, 2016 | Aug 26, 2016 | $1,141 |
| DX U6 | long | 3 | Aug 16, 2016 | Aug 26, 2016 | $386 |
| DX Z6 | long | 1 | Aug 22, 2016 | Aug 26, 2016 | $447 |
| TY U6 | short | 2 | Aug 9, 2016 | Aug 16, 2016 | $1,233 |
| DX U6 | long | 1 | Aug 10, 2016 | Aug 11, 2016 | $348 |
| DX U6 | long | 1 | Jul 29, 2016 | Aug 5, 2016 | $442 |
| TY U6 | short | 9 | Jun 2, 2016 | Aug 5, 2016 | $1,463 |
| DX U6 | short | 5 | Jul 4, 2016 | Jul 29, 2016 | $1,758 |
| DX U6 | short | 1 | Jun 14, 2016 | Jun 15, 2016 | $262 |
| DX U6 | short | 2 | Jun 10, 2016 | Jun 13, 2016 | $295 |
| DX M6 | long | 2 | Jun 3, 2016 | Jun 10, 2016 | $44 |
| TY U6 | long | 4 | May 24, 2016 | Jun 2, 2016 | $1,277 |
| DX M6 | short | 3 | May 27, 2016 | Jun 1, 2016 | $573 |
| DX M6 | long | 1 | May 26, 2016 | May 27, 2016 | $192 |
| TY M6 | long | 3 | May 17, 2016 | May 26, 2016 | ($1,088) |
| DX M6 | short | 3 | May 18, 2016 | May 26, 2016 | $553 |
| DX M6 | short | 1 | May 13, 2016 | May 17, 2016 | $322 |
| DX M6 | long | 1 | May 11, 2016 | May 12, 2016 | $292 |
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.