ETF Leverage Reversal
- hypothetical · Annual Return (Compounded)
- 13.5%
- Max Drawdown
- 37.9%
- Trades
- 74
- Win Trades
- 81.1%
- Profit Factor
- 1.60
- Win Months
- 63.4%
About this strategy
Broker issued leveraged 3x ETFs always loose money in long term, that is how brokers and hedge funds get sustainable income by creating these investment tools. This algorithmic system uses the same strategy and auto adjusts based on the market conditions. It uses leveraged ETFs and shorts the opposite pairs: BULL vs BEAR ETFs. Adjustments are done to keep the pairs in sync to ensure, they track each other.
System every once in a while takes profits and re-invests into most active leveraged ETFs. To ensure there is plenty barrow-able shares, system uses most active ETFs. When subscribed, ensure to join open trades as we keep them managed rather than re-entering.
I trade Gold Bear/Bull pair which happens to have good liquidity to barrow shares. The pair also has good stability in terms of avoiding jerk reactions, Gold has been fairly stable compared to market conditions which seem to be too much emotional.
System evaluates the pairs periodically and makes adjustments in the favor of market directions to maximize profits. I keep the pair at close proximity to keep the disparity low, but avoid out of cycle adjustment. It has been times, I have let the pairs off up to 50% from each other based on market conditions, they tend to stabilize in time.
Please look at the comparison chart of pair in Yahoo Finance or other interactive charts to get an idea of how the system will behave.
My expectation is fairly stable sometimes boring system which has a proven track record as it is already a tool that investment brokers heavily favor and keep generating opposing leveraged ETFs.
System every once in a while takes profits and re-invests into most active leveraged ETFs. To ensure there is plenty barrow-able shares, system uses most active ETFs. When subscribed, ensure to join open trades as we keep them managed rather than re-entering.
I trade Gold Bear/Bull pair which happens to have good liquidity to barrow shares. The pair also has good stability in terms of avoiding jerk reactions, Gold has been fairly stable compared to market conditions which seem to be too much emotional.
System evaluates the pairs periodically and makes adjustments in the favor of market directions to maximize profits. I keep the pair at close proximity to keep the disparity low, but avoid out of cycle adjustment. It has been times, I have let the pairs off up to 50% from each other based on market conditions, they tend to stabilize in time.
Please look at the comparison chart of pair in Yahoo Finance or other interactive charts to get an idea of how the system will behave.
My expectation is fairly stable sometimes boring system which has a proven track record as it is already a tool that investment brokers heavily favor and keep generating opposing leveraged ETFs.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2016 | 0.8 | -0.9 | -1.4 | 21.3 | 9.0 | -9.0 | 14.6 | 35.8 | |||||
| 2017 | 7.2 | 4.2 | 10.3 | -4.8 | 3.4 | 5.6 | 1.8 | -0.3 | 1.4 | -0.6 | 1.3 | 1.9 | 35.0 |
| 2018 | 4.7 | 3.1 | 1.5 | 0.7 | 0.8 | -0.3 | -0.2 | -7.0 | 0.9 | 2.7 | -1.2 | 21.1 | 27.7 |
| 2019 | 10.5 | 2.3 | 2.4 | 0.9 | -3.9 | 10.1 | 1.7 | -3.4 | 10.3 | 1.2 | 0.3 | -1.3 | 34.0 |
| 2020 | 1.4 | 3.4 | -28.7 | 28.9 | 0.2 | 9.6 | -9.1 | 7.7 | 4.9 | 2.0 | 11.1 | 0.8 | 24.2 |
| 2021 | 2.4 | -6.6 | -5.6 | -8.4 | 4.6 | 25.0 | 0.8 | -0.5 | -3.2 | 4.3 | 0.2 | 0.1 | 9.8 |
| 2022 | 0.3 | 2.9 | 0.9 | 0.5 | 0.1 | -1.5 | -1.6 | -2.1 | 0.9 | 0.4 | 8.0 | 1.0 | 10.0 |
| 2023 | 1.5 | -1.8 | 2.9 | 0.3 | -0.3 | 0.2 | 0.4 | -0.5 | -1.2 | 1.0 | 1.6 | 0.6 | 4.5 |
| 2024 | -1.1 | -1.0 | 2.3 | 0.7 | 0.1 | 0.4 | -0.1 | -0.0 | -0.3 | 0.3 | 0.8 | 0.5 | 2.6 |
| 2025 | -0.5 | -0.4 | -1.2 | -1.1 | -0.6 | -0.3 | -0.4 | -4.7 | -11.3 | 5.9 | -10.7 | -2.5 | -25.6 |
| 2026 | 0.0 | 1.3 | 3.0 | 12.1 | 3.7 | 6.5 | -21.9 | 5.7 | -2.5 |
Statistics
Overview
| Strategy began | 6/19/2016 |
|---|---|
| Suggested Minimum Capital | $25,000 |
| Age | 124 months |
| What it trades | Stocks |
| # Trades | 74 |
| # Profitable | 60 |
| % Profitable | 81.1% |
| Avg trade duration | 105.3 days |
| Max peak-to-valley drawdown | 37.9% |
| drawdown period | Dec 23, 2024 - March 07, 2026 |
| Annual Return (Compounded) | 13.5% |
| Avg win | $2,969 |
| Avg loss | $7,763 |
Ratios
| W:L ratio | 1.63 |
|---|---|
| Sharpe Ratio | 0.53 |
| Sortino Ratio | 0.78 |
| Calmar Ratio | 0.72 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.08 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 266.5% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -4.6% |
Return Statistics
| Ann Return (w trading costs) | 13.5% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.1% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 13.7% |
Slump
| Current Slump as Pcnt Equity | 38.0% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.2% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.0% |
| Short Options - Percent Covered | 100.0% |
| Percent Trades Stocks | 1.0% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 34.0% |
|---|---|
| Chance of 20% account loss | 14.0% |
| Chance of 30% account loss | 3.0% |
| Chance of 40% account loss | 1.0% |
| 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% |
| Chance of 100% account loss (Monte Carlo) | 100.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Popularity
| Popularity (Today) | 0 |
|---|---|
| Popularity (Last 6 weeks) | 320 |
| Popularity (7 days, Percentile 1000 scale) | 0 |
Trading Style
| Any stock shorts? 0/1 | 1 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $7,763 |
|---|---|
| Avg Win | $2,969 |
| # Winners | 60 |
| Sum Trade PL (losers) | $108,682 |
| Sum Trade PL (winners) | $178,165 |
| Num Months Winners | 78 |
| # Losers | 14 |
| % Winners | 81.1% |
Dividends
| Dividends Received in Model Acct | -1422 |
|---|
Age
| Num Months filled monthly returns table | 124 |
|---|
Frequency
| Avg Position Time (mins) | 151624.61 |
|---|---|
| Avg Position Time (hrs) | 2527.08 |
| Avg Trade Length | 105.30 |
| Last Trade Ago | 1902 |
Leverage
| Daily leverage (average) | 2.63 |
|---|---|
| Daily leverage (max) | 5.78 |
Regression
| Alpha | 0.03 |
|---|---|
| Beta | 0.09 |
| Treynor Index | 0.39 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.16 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.10 |
| MAE:Equity, average, losing trades | 0.22 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.14 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 7.37 |
| MAE:PL (avg, all trades) | 2.12 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 15.26 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 61.97 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 1.76 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.71 |
| Hold-and-Hope Ratio | 0.16 |
RATIO STATISTICS
| Mean | 0.28 |
|---|---|
| SD | 0.30 |
| Sharpe ratio (Glass type estimate) | 0.94 |
| Sharpe ratio (Hedges UMVUE) | 0.93 |
| df | 67 |
| t | 2.24 |
| p | 0.01 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.10 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.78 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.09 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.77 |
| Sortino ratio | 2.00 |
| Upside Potential Ratio | 3.35 |
| Upside part of mean | 0.47 |
| Downside part of mean | -0.19 |
| Upside SD | 0.27 |
| Downside SD | 0.14 |
| N nonnegative terms | 44 |
| N negative terms | 24 |
| N of observations | 68 |
| Mean of predictor | 0.21 |
| Mean of criterion | 0.28 |
| SD of predictor | 0.19 |
| SD of criterion | 0.30 |
| Covariance | -0.00 |
| r | -0.08 |
| b (slope, estimate of beta) | -0.14 |
| a (intercept, estimate of alpha) | 0.31 |
| Mean Square Error | 0.09 |
| DF error | 66 |
| t(b) | -0.69 |
| p(b) | 0.75 |
| t(a) | 2.33 |
| p(a) | 0.01 |
| Lowerbound of 95% confidence interval for beta | -0.53 |
| Upperbound of 95% confidence interval for beta | 0.26 |
| Lowerbound of 95% confidence interval for alpha | 0.04 |
| Upperbound of 95% confidence interval for alpha | 0.58 |
| Treynor index (mean / b) | -2.07 |
| Jensen alpha (a) | 0.31 |
| Mean | 0.24 |
| SD | 0.28 |
| Sharpe ratio (Glass type estimate) | 0.84 |
| Sharpe ratio (Hedges UMVUE) | 0.83 |
| df | 67 |
| t | 1.99 |
| p | 0.03 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.00 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.67 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.01 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.66 |
| Sortino ratio | 1.56 |
| Upside Potential Ratio | 2.88 |
| Upside part of mean | 0.44 |
| Downside part of mean | -0.20 |
| Upside SD | 0.25 |
| Downside SD | 0.15 |
| N nonnegative terms | 44 |
| N negative terms | 24 |
| N of observations | 68 |
| Mean of predictor | 0.20 |
| Mean of criterion | 0.24 |
| SD of predictor | 0.18 |
| SD of criterion | 0.28 |
| Covariance | -0.00 |
| r | -0.08 |
| b (slope, estimate of beta) | -0.12 |
| a (intercept, estimate of alpha) | 0.26 |
| Mean Square Error | 0.08 |
| DF error | 66 |
| t(b) | -0.65 |
| p(b) | 0.74 |
| t(a) | 2.08 |
| p(a) | 0.02 |
| Lowerbound of 95% confidence interval for beta | -0.51 |
| Upperbound of 95% confidence interval for beta | 0.26 |
| Lowerbound of 95% confidence interval for alpha | 0.01 |
| Upperbound of 95% confidence interval for alpha | 0.51 |
| Treynor index (mean / b) | -1.91 |
| Jensen alpha (a) | 0.26 |
| VaR(95%) | 0.11 |
| Expected Shortfall on VaR | 0.14 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.06 |
| Mean | 0.24 |
| SD | 0.27 |
| Sharpe ratio (Glass type estimate) | 0.90 |
| Sharpe ratio (Hedges UMVUE) | 0.90 |
| df | 1487 |
| t | 2.14 |
| p | 0.46 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.07 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.72 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.07 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.72 |
| Sortino ratio | 1.33 |
| Upside Potential Ratio | 6.62 |
| Upside part of mean | 1.19 |
| Downside part of mean | -0.95 |
| Upside SD | 0.20 |
| Downside SD | 0.18 |
| N nonnegative terms | 781 |
| N negative terms | 707 |
| N of observations | 1488 |
| Mean of predictor | 0.23 |
| Mean of criterion | 0.24 |
| SD of predictor | 0.23 |
| SD of criterion | 0.27 |
| Covariance | 0.01 |
| r | 0.11 |
| b (slope, estimate of beta) | 0.13 |
| a (intercept, estimate of alpha) | 0.21 |
| Mean Square Error | 0.07 |
| DF error | 1486 |
| t(b) | 4.40 |
| p(b) | 0.44 |
| t(a) | 1.88 |
| p(a) | 0.48 |
| Lowerbound of 95% confidence interval for beta | 0.07 |
| Upperbound of 95% confidence interval for beta | 0.19 |
| Lowerbound of 95% confidence interval for alpha | -0.01 |
| Upperbound of 95% confidence interval for alpha | 0.43 |
| Treynor index (mean / b) | 1.82 |
| Jensen alpha (a) | 0.21 |
| Mean | 0.20 |
| SD | 0.27 |
| Sharpe ratio (Glass type estimate) | 0.76 |
| Sharpe ratio (Hedges UMVUE) | 0.76 |
| df | 1487 |
| t | 1.81 |
| p | 0.47 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.06 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.58 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.06 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.58 |
| Sortino ratio | 1.09 |
| Upside Potential Ratio | 6.27 |
| Upside part of mean | 1.17 |
| Downside part of mean | -0.97 |
| Upside SD | 0.19 |
| Downside SD | 0.19 |
| N nonnegative terms | 781 |
| N negative terms | 707 |
| N of observations | 1488 |
| Mean of predictor | 0.20 |
| Mean of criterion | 0.20 |
| SD of predictor | 0.23 |
| SD of criterion | 0.27 |
| Covariance | 0.01 |
| r | 0.11 |
| b (slope, estimate of beta) | 0.13 |
| a (intercept, estimate of alpha) | 0.18 |
| Mean Square Error | 0.07 |
| DF error | 1486 |
| t(b) | 4.31 |
| p(b) | 0.44 |
| t(a) | 1.59 |
| p(a) | 0.48 |
| Lowerbound of 95% confidence interval for beta | 0.07 |
| Upperbound of 95% confidence interval for beta | 0.19 |
| Lowerbound of 95% confidence interval for alpha | -0.04 |
| Upperbound of 95% confidence interval for alpha | 0.40 |
| Treynor index (mean / b) | 1.58 |
| Jensen alpha (a) | 0.18 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.03 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| Mean | -0.12 |
| SD | 0.50 |
| Sharpe ratio (Glass type estimate) | -0.25 |
| Sharpe ratio (Hedges UMVUE) | -0.25 |
| df | 130 |
| t | -0.18 |
| p | 0.51 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.02 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.52 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.02 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.52 |
| Sortino ratio | -0.36 |
| Upside Potential Ratio | 5.47 |
| Upside part of mean | 1.90 |
| Downside part of mean | -2.02 |
| Upside SD | 0.35 |
| Downside SD | 0.35 |
| N nonnegative terms | 62 |
| N negative terms | 69 |
| N of observations | 131 |
| Mean of predictor | 1.52 |
| Mean of criterion | -0.12 |
| SD of predictor | 0.41 |
| SD of criterion | 0.50 |
| Covariance | 0.02 |
| r | 0.10 |
| b (slope, estimate of beta) | 0.12 |
| a (intercept, estimate of alpha) | -0.30 |
| Mean Square Error | 0.25 |
| DF error | 129 |
| t(b) | 1.10 |
| p(b) | 0.44 |
| t(a) | -0.42 |
| p(a) | 0.52 |
| Lowerbound of 95% confidence interval for beta | -0.09 |
| Upperbound of 95% confidence interval for beta | 0.33 |
| Lowerbound of 95% confidence interval for alpha | -1.73 |
| Upperbound of 95% confidence interval for alpha | 1.13 |
| Treynor index (mean / b) | -1.06 |
| Jensen alpha (a) | -0.30 |
| Mean | -0.25 |
| SD | 0.50 |
| Sharpe ratio (Glass type estimate) | -0.50 |
| Sharpe ratio (Hedges UMVUE) | -0.49 |
| df | 130 |
| t | -0.35 |
| p | 0.52 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.27 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.28 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.27 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.28 |
| Sortino ratio | -0.68 |
| Upside Potential Ratio | 5.07 |
| Upside part of mean | 1.84 |
| Downside part of mean | -2.08 |
| Upside SD | 0.34 |
| Downside SD | 0.36 |
| N nonnegative terms | 62 |
| N negative terms | 69 |
| N of observations | 131 |
| Mean of predictor | 1.44 |
| Mean of criterion | -0.25 |
| SD of predictor | 0.41 |
| SD of criterion | 0.50 |
| Covariance | 0.02 |
| r | 0.09 |
| b (slope, estimate of beta) | 0.11 |
| a (intercept, estimate of alpha) | -0.40 |
| Mean Square Error | 0.25 |
| DF error | 129 |
| t(b) | 0.99 |
| p(b) | 0.44 |
| t(a) | -0.55 |
| p(a) | 0.53 |
| Lowerbound of 95% confidence interval for beta | -0.10 |
| VAR (95 Confidence Intrvl) | 0.03 |
| Upperbound of 95% confidence interval for beta | 0.31 |
| Lowerbound of 95% confidence interval for alpha | -1.82 |
| Upperbound of 95% confidence interval for alpha | 1.02 |
| Treynor index (mean / b) | -2.34 |
| Jensen alpha (a) | -0.40 |
| VaR(95%) | 0.05 |
| Expected Shortfall on VaR | 0.06 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.04 |
ORDER STATISTICS
| Number of observations | 68 |
|---|---|
| Minimum | 0.78 |
| Quartile 1 | 1.00 |
| Median | 1.01 |
| Quartile 3 | 1.04 |
| Maximum | 1.35 |
| Mean of quarter 1 | 0.94 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.02 |
| Mean of quarter 4 | 1.13 |
| Inter Quartile Range | 0.04 |
| Number outliers low | 6 |
| Percentage of outliers low | 0.09 |
| Mean of outliers low | 0.89 |
| Number of outliers high | 9 |
| Percentage of outliers high | 0.13 |
| Mean of outliers high | 1.19 |
| Extreme Value Index (moments method) | -0.47 |
| VaR(95%) (moments method) | 0.02 |
| Expected Shortfall (moments method) | 0.02 |
| Extreme Value Index (regression method) | -0.23 |
| VaR(95%) (regression method) | 0.07 |
| Expected Shortfall (regression method) | 0.09 |
| Number of observations | 1488 |
| Minimum | 0.86 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.00 |
| Maximum | 1.16 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.02 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 114 |
| Percentage of outliers low | 0.08 |
| Mean of outliers low | 0.97 |
| Number of outliers high | 137 |
| Percentage of outliers high | 0.09 |
| Mean of outliers high | 1.03 |
| Extreme Value Index (moments method) | 0.66 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.04 |
| Extreme Value Index (regression method) | 0.36 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.02 |
| Number of observations | 131 |
| Minimum | 0.88 |
| Quartile 1 | 1.00 |
| Median | 1 |
| Quartile 3 | 1.00 |
| Maximum | 1.16 |
| Mean of quarter 1 | 0.97 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.03 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 15 |
| Percentage of outliers low | 0.11 |
| Mean of outliers low | 0.95 |
| Number of outliers high | 12 |
| Percentage of outliers high | 0.09 |
| Mean of outliers high | 1.06 |
| Extreme Value Index (moments method) | 0.94 |
| VaR(95%) (moments method) | 0.03 |
| Expected Shortfall (moments method) | 0.45 |
| Extreme Value Index (regression method) | 0.80 |
| VaR(95%) (regression method) | 0.02 |
| Expected Shortfall (regression method) | 0.13 |
DRAW DOWN STATISTICS
| Number of observations | 14 |
|---|---|
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.04 |
| Quartile 3 | 0.11 |
| Maximum | 0.22 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.02 |
| Mean of quarter 3 | 0.07 |
| Mean of quarter 4 | 0.17 |
| Inter Quartile Range | 0.11 |
| 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) | -7.14 |
| VaR(95%) (moments method) | 0.18 |
| Expected Shortfall (moments method) | 0.18 |
| Extreme Value Index (regression method) | -1.58 |
| VaR(95%) (regression method) | 0.24 |
| Expected Shortfall (regression method) | 0.25 |
| Number of observations | 136 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.00 |
| Quartile 3 | 0.01 |
| Maximum | 0.36 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.00 |
| Mean of quarter 3 | 0.01 |
| Mean of quarter 4 | 0.07 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 16 |
| Percentage of outliers high | 0.12 |
| Mean of outliers high | 0.13 |
| Extreme Value Index (moments method) | 0.94 |
| VaR(95%) (moments method) | 0.07 |
| Expected Shortfall (moments method) | 1.33 |
| Extreme Value Index (regression method) | 0.86 |
| VaR(95%) (regression method) | 0.05 |
| Expected Shortfall (regression method) | 0.38 |
| Number of observations | 13 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.01 |
| Quartile 3 | 0.02 |
| Maximum | 0.36 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.02 |
| Mean of quarter 4 | 0.13 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.08 |
| Mean of outliers high | 0.36 |
| Extreme Value Index (moments method) | 1.20 |
| VaR(95%) (moments method) | 0.11 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 9.75 |
| VaR(95%) (regression method) | 1.53 |
| Expected Shortfall (regression method) | 0 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -473787264 |
| Max Equity Drawdown (num days) | 439 |
| Last 4 Months - Pcnt Negative | 0.2% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.62 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.30 |
| Calmar ratio (compounded annual return / max draw down) | 1.38 |
| Compounded annual return / average of 25% largest draw downs | 1.75 |
| Compounded annual return / Expected Shortfall lognormal | 2.20 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.48 |
| Compounded annual return (geometric extrapolation) | 0.26 |
| Calmar ratio (compounded annual return / max draw down) | 0.72 |
| Compounded annual return / average of 25% largest draw downs | 3.63 |
| Compounded annual return / Expected Shortfall lognormal | 7.94 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.21 |
| Compounded annual return (geometric extrapolation) | -0.20 |
| Calmar ratio (compounded annual return / max draw down) | -0.54 |
| Compounded annual return / average of 25% largest draw downs | -1.46 |
| Compounded annual return / Expected Shortfall lognormal | -3.16 |
Trading record
Placed 125 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| SPCE | long | 1000 | Feb 22, 2021 | Jun 25, 2021 | $2,412 |
| DUST | short | 1230 | Feb 12, 2021 | Jun 14, 2021 | $6,001 |
| NUGT | short | 395 | Feb 12, 2021 | Jun 14, 2021 | ($3,953) |
| SPCE | long | 500 | Feb 18, 2021 | Feb 19, 2021 | $1,378 |
| NUGT | short | 572 | Nov 30, 2020 | Feb 4, 2021 | $978 |
| DUST | short | 1500 | Nov 30, 2020 | Feb 4, 2021 | $2,497 |
| DUST | short | 670 | Jun 8, 2020 | Nov 30, 2020 | $6,545 |
| NUGT | short | 355 | Jun 8, 2020 | Nov 30, 2020 | ($230) |
| NCLH | long | 1000 | Jun 11, 2020 | Nov 30, 2020 | $5,803 |
| COP | long | 1500 | Mar 16, 2020 | Jun 5, 2020 | $29,757 |
| CENX | long | 5000 | Mar 11, 2020 | Mar 16, 2020 | ($4,067) |
| DUST | short | 3125 | Mar 3, 2020 | Mar 16, 2020 | ($38,363) |
| NUGT | short | 684 | Mar 3, 2020 | Mar 16, 2020 | $16,022 |
| INTC | long | 350 | Feb 28, 2020 | Mar 13, 2020 | ($2,441) |
| CENX | long | 5000 | Mar 9, 2020 | Mar 10, 2020 | $1,031 |
| DUST | short | 2874 | Feb 14, 2020 | Feb 27, 2020 | $611 |
| NUGT | short | 576 | Feb 14, 2020 | Feb 27, 2020 | $344 |
| DUST | short | 1937 | Nov 11, 2019 | Feb 11, 2020 | $4,079 |
| NUGT | short | 626 | Nov 11, 2019 | Feb 11, 2020 | ($2,728) |
| CENX | long | 1200 | Jan 30, 2020 | Feb 6, 2020 | $655 |
| NUGT | short | 640 | Oct 18, 2019 | Nov 5, 2019 | $459 |
| DUST | short | 2800 | Oct 18, 2019 | Nov 5, 2019 | $99 |
| DUST | short | 1875 | Jul 10, 2019 | Oct 15, 2019 | $4,977 |
| NUGT | short | 780 | Jul 10, 2019 | Oct 15, 2019 | $313 |
| CENX | long | 2000 | Aug 29, 2019 | Sep 9, 2019 | $1,073 |
| INTC | long | 300 | Aug 6, 2019 | Aug 30, 2019 | $102 |
| INTC | long | 500 | Apr 26, 2019 | Jul 10, 2019 | ($1,676) |
| CENX | long | 4000 | Jun 10, 2019 | Jul 10, 2019 | $4,493 |
| DUST | short | 950 | Apr 22, 2019 | Jun 10, 2019 | $3,649 |
| NUGT | short | 1203 | Apr 22, 2019 | Jun 10, 2019 | ($2,673) |
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.