Trend Countertrend V1
- hypothetical · Annual Return (Compounded)
- -2.5%
- Max Drawdown
- 58.7%
- Trades
- 129
- Win Trades
- 61.2%
- Profit Factor
- 1.10
- Win Months
- 21.7%
About this strategy
This system is a mix of trend following and countertrend trading using SVXY, VXX and TQQQ (an ETF aiming for daily 3x leverage of the Nasdaq-100 index). Changes were made to the system after XIV was scheduled for liquidation in February 2018. Trend following trades may last weeks to months, but may sometimes last only 1-2 days. There will be periods, which can last weeks or longer, when this portion of the strategy is in cash. Countertrend trades are initiated only during periods when the Nasdaq-100 is determined to be oversold or VXX is determined to be overbought and technical trading criteria are met. Most countertrend trades will typically last from 1 day to 1 week, but may last weeks or longer. The majority of time the countertrend portion of this strategy will likely be spent in the safety of cash.
Trading frequency varies depending upon market conditions. Because this strategy is non-diversified, trades using leverage and volatile financial instruments, and there are no stop losses used, it is highly risky. Traders may decide to adjust the strategy or limit the proportion of funds allocated to this strategy based upon their own risk tolerance. Trading signals will generally be issued at the open or during the last 5 minutes of active trading, from 3:55PM-4:00PM, but this may occasionally vary.
Although mostly a technical strategy, I may subjectively choose not to initiate a trade, vary the exact date or time of a trade, or vary the degree of leverage or proportion of funds allocated to a given trade or position. I am not a professional trader or money manager.
This system is based on the opinion that the combination of trend following and countertrend trading provides for a nice balanced strategy for navigating the market.
Trading frequency varies depending upon market conditions. Because this strategy is non-diversified, trades using leverage and volatile financial instruments, and there are no stop losses used, it is highly risky. Traders may decide to adjust the strategy or limit the proportion of funds allocated to this strategy based upon their own risk tolerance. Trading signals will generally be issued at the open or during the last 5 minutes of active trading, from 3:55PM-4:00PM, but this may occasionally vary.
Although mostly a technical strategy, I may subjectively choose not to initiate a trade, vary the exact date or time of a trade, or vary the degree of leverage or proportion of funds allocated to a given trade or position. I am not a professional trader or money manager.
This system is based on the opinion that the combination of trend following and countertrend trading provides for a nice balanced strategy for navigating the market.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2016 | -0.6 | -1.7 | 10.0 | 3.5 | 11.2 | ||||||||
| 2017 | 15.5 | 1.8 | 11.5 | -1.8 | -3.9 | 3.3 | 4.9 | 3.8 | 4.8 | 10.3 | 3.4 | 7.6 | 79.3 |
| 2018 | 4.5 | -10.6 | 0.1 | -1.5 | 2.0 | -0.7 | 0.2 | 1.9 | 2.1 | -7.8 | -9.0 | 2.7 | -16.2 |
| 2019 | 3.0 | 4.1 | -7.1 | 4.5 | 2.9 | -1.4 | 3.7 | -5.9 | -1.6 | 7.5 | 7.2 | -0.4 | 16.3 |
| 2020 | -1.4 | -31.0 | -41.9 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -60.5 |
| 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 | ||
| 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 | 9/17/2016 |
|---|---|
| Suggested Minimum Capital | $10,000 |
| Age | 121 months |
| What it trades | Stocks |
| # Trades | 129 |
| # Profitable | 79 |
| % Profitable | 61.2% |
| Avg trade duration | 9.3 days |
| Max peak-to-valley drawdown | 58.7% |
| drawdown period | Jan 21, 2020 - March 30, 2020 |
| Annual Return (Compounded) | -2.5% |
| Avg win | $400 |
| Avg loss | $571 |
Ratios
| W:L ratio | 1.11 |
|---|---|
| Sharpe Ratio | -0.20 |
| Sortino Ratio | -0.24 |
| Calmar Ratio | 0.13 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.25 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 258.6% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -24.1% |
Return Statistics
| Ann Return (w trading costs) | -2.5% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | -0.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 2.7% |
Slump
| Current Slump as Pcnt Equity | 178.3% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.9% |
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 | 19.0% |
|---|---|
| Chance of 20% account loss | 2.5% |
| Chance of 30% account loss | 0.0% |
| Chance of 40% account loss | 0.0% |
| 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) | 578 |
|---|---|
| Popularity (Last 6 weeks) | 872 |
| Popularity (7 days, Percentile 1000 scale) | 771 |
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $571 |
|---|---|
| Avg Win | $400 |
| # Winners | 79 |
| Sum Trade PL (losers) | $28,563 |
| Sum Trade PL (winners) | $31,603 |
| Num Months Winners | 27 |
| # Losers | 50 |
| % Winners | 61.2% |
Dividends
| Dividends Received in Model Acct | 6 |
|---|
Age
| Num Months filled monthly returns table | 121 |
|---|
Frequency
| Avg Position Time (mins) | 13368.90 |
|---|---|
| Avg Position Time (hrs) | 222.82 |
| Avg Trade Length | 9.30 |
| Last Trade Ago | 2366 |
Leverage
| Daily leverage (average) | 0.87 |
|---|---|
| Daily leverage (max) | 2.57 |
Regression
| Alpha | -0.02 |
|---|---|
| Beta | 0.21 |
| Treynor Index | -0.04 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.03 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.02 |
| MAE:Equity, average, losing trades | 0.07 |
| 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 | 20.97 |
| MAE:PL (avg, all trades) | -1.42 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 71.75 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 14.97 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.40 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.78 |
| Hold-and-Hope Ratio | 0.05 |
RATIO STATISTICS
| Mean | 0.18 |
|---|---|
| SD | 0.23 |
| Sharpe ratio (Glass type estimate) | 0.79 |
| Sharpe ratio (Hedges UMVUE) | 0.77 |
| df | 40 |
| t | 1.46 |
| p | 0.08 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.29 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.86 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.30 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.85 |
| Sortino ratio | 1.08 |
| Upside Potential Ratio | 2.43 |
| Upside part of mean | 0.40 |
| Downside part of mean | -0.22 |
| Upside SD | 0.16 |
| Downside SD | 0.16 |
| N nonnegative terms | 29 |
| N negative terms | 12 |
| N of observations | 41 |
| Mean of predictor | 0.08 |
| Mean of criterion | 0.18 |
| SD of predictor | 0.12 |
| SD of criterion | 0.23 |
| Covariance | 0.01 |
| r | 0.54 |
| b (slope, estimate of beta) | 1.01 |
| a (intercept, estimate of alpha) | 0.10 |
| Mean Square Error | 0.04 |
| DF error | 39 |
| t(b) | 4.01 |
| p(b) | 0.00 |
| t(a) | 0.93 |
| p(a) | 0.18 |
| Lowerbound of 95% confidence interval for beta | 0.50 |
| Upperbound of 95% confidence interval for beta | 1.52 |
| Lowerbound of 95% confidence interval for alpha | -0.12 |
| Upperbound of 95% confidence interval for alpha | 0.31 |
| Treynor index (mean / b) | 0.18 |
| Jensen alpha (a) | 0.10 |
| Mean | 0.15 |
| SD | 0.24 |
| Sharpe ratio (Glass type estimate) | 0.63 |
| Sharpe ratio (Hedges UMVUE) | 0.62 |
| df | 40 |
| t | 1.17 |
| p | 0.12 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.44 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.70 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.45 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.69 |
| Sortino ratio | 0.83 |
| Upside Potential Ratio | 2.12 |
| Upside part of mean | 0.39 |
| Downside part of mean | -0.24 |
| Upside SD | 0.15 |
| Downside SD | 0.18 |
| N nonnegative terms | 29 |
| N negative terms | 12 |
| N of observations | 41 |
| Mean of predictor | 0.07 |
| Mean of criterion | 0.15 |
| SD of predictor | 0.12 |
| SD of criterion | 0.24 |
| Covariance | 0.02 |
| r | 0.55 |
| b (slope, estimate of beta) | 1.07 |
| a (intercept, estimate of alpha) | 0.07 |
| Mean Square Error | 0.04 |
| DF error | 39 |
| t(b) | 4.06 |
| p(b) | 0.00 |
| t(a) | 0.67 |
| p(a) | 0.25 |
| Lowerbound of 95% confidence interval for beta | 0.53 |
| Upperbound of 95% confidence interval for beta | 1.60 |
| Lowerbound of 95% confidence interval for alpha | -0.15 |
| Upperbound of 95% confidence interval for alpha | 0.30 |
| Treynor index (mean / b) | 0.14 |
| Jensen alpha (a) | 0.07 |
| VaR(95%) | 0.10 |
| Expected Shortfall on VaR | 0.12 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.07 |
| Mean | 0.07 |
| SD | 0.20 |
| Sharpe ratio (Glass type estimate) | 0.34 |
| Sharpe ratio (Hedges UMVUE) | 0.34 |
| df | 915 |
| t | 0.63 |
| p | 0.26 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.71 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.39 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.71 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.39 |
| Sortino ratio | 0.43 |
| Upside Potential Ratio | 6.33 |
| Upside part of mean | 1.02 |
| Downside part of mean | -0.95 |
| Upside SD | 0.12 |
| Downside SD | 0.16 |
| N nonnegative terms | 480 |
| N negative terms | 436 |
| N of observations | 916 |
| Mean of predictor | 0.03 |
| Mean of criterion | 0.07 |
| SD of predictor | 0.19 |
| SD of criterion | 0.20 |
| Covariance | 0.01 |
| r | 0.33 |
| b (slope, estimate of beta) | 0.35 |
| a (intercept, estimate of alpha) | 0.00 |
| Mean Square Error | 0.04 |
| DF error | 914 |
| t(b) | 10.64 |
| p(b) | 0 |
| t(a) | 0.56 |
| p(a) | 0.29 |
| Lowerbound of 95% confidence interval for beta | 0.28 |
| Upperbound of 95% confidence interval for beta | 0.41 |
| Lowerbound of 95% confidence interval for alpha | -0.14 |
| Upperbound of 95% confidence interval for alpha | 0.26 |
| Treynor index (mean / b) | 0.20 |
| Jensen alpha (a) | 0.06 |
| Mean | 0.05 |
| SD | 0.21 |
| Sharpe ratio (Glass type estimate) | 0.23 |
| Sharpe ratio (Hedges UMVUE) | 0.23 |
| df | 915 |
| t | 0.44 |
| p | 0.33 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.81 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.28 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.82 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.28 |
| Sortino ratio | 0.29 |
| Upside Potential Ratio | 6.12 |
| Upside part of mean | 1.01 |
| Downside part of mean | -0.96 |
| Upside SD | 0.12 |
| Downside SD | 0.17 |
| N nonnegative terms | 480 |
| N negative terms | 436 |
| N of observations | 916 |
| Mean of predictor | 0.01 |
| Mean of criterion | 0.05 |
| SD of predictor | 0.20 |
| SD of criterion | 0.21 |
| Covariance | 0.01 |
| r | 0.34 |
| b (slope, estimate of beta) | 0.36 |
| a (intercept, estimate of alpha) | 0.04 |
| Mean Square Error | 0.04 |
| DF error | 914 |
| t(b) | 10.89 |
| p(b) | 0 |
| t(a) | 0.42 |
| p(a) | 0.34 |
| Lowerbound of 95% confidence interval for beta | 0.29 |
| Upperbound of 95% confidence interval for beta | 0.42 |
| Lowerbound of 95% confidence interval for alpha | -0.16 |
| Upperbound of 95% confidence interval for alpha | 0.25 |
| Treynor index (mean / b) | 0.14 |
| Jensen alpha (a) | 0.04 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.03 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| Mean | -0.96 |
| SD | 0.29 |
| Sharpe ratio (Glass type estimate) | -3.35 |
| Sharpe ratio (Hedges UMVUE) | -3.33 |
| df | 130 |
| t | -2.37 |
| p | 0.60 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -6.14 |
| Upperbound of 95% confidence interval for Sharpe Ratio | -0.54 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -6.13 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.53 |
| Sortino ratio | -3.45 |
| Upside Potential Ratio | 2.63 |
| Upside part of mean | 0.73 |
| Downside part of mean | -1.70 |
| Upside SD | 0.09 |
| Downside SD | 0.28 |
| N nonnegative terms | 65 |
| N negative terms | 66 |
| N of observations | 131 |
| Mean of predictor | -0.31 |
| Mean of criterion | -0.96 |
| SD of predictor | 0.41 |
| SD of criterion | 0.29 |
| Covariance | 0.06 |
| r | 0.49 |
| b (slope, estimate of beta) | 0.34 |
| a (intercept, estimate of alpha) | -0.86 |
| Mean Square Error | 0.06 |
| DF error | 129 |
| t(b) | 6.30 |
| p(b) | 0.20 |
| t(a) | -2.40 |
| p(a) | 0.63 |
| Lowerbound of 95% confidence interval for beta | 0.23 |
| Upperbound of 95% confidence interval for beta | 0.45 |
| Lowerbound of 95% confidence interval for alpha | -1.56 |
| Upperbound of 95% confidence interval for alpha | -0.15 |
| Treynor index (mean / b) | -2.83 |
| Jensen alpha (a) | -0.86 |
| Mean | -1.01 |
| SD | 0.30 |
| Sharpe ratio (Glass type estimate) | -3.40 |
| Sharpe ratio (Hedges UMVUE) | -3.38 |
| df | 130 |
| t | -2.41 |
| p | 0.60 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -6.20 |
| Upperbound of 95% confidence interval for Sharpe Ratio | -0.59 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -6.19 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.58 |
| Sortino ratio | -3.49 |
| Upside Potential Ratio | 2.54 |
| Upside part of mean | 0.73 |
| Downside part of mean | -1.74 |
| Upside SD | 0.09 |
| Downside SD | 0.29 |
| N nonnegative terms | 65 |
| N negative terms | 66 |
| N of observations | 131 |
| Mean of predictor | -0.39 |
| Mean of criterion | -1.01 |
| SD of predictor | 0.41 |
| SD of criterion | 0.30 |
| Covariance | 0.06 |
| r | 0.50 |
| b (slope, estimate of beta) | 0.35 |
| a (intercept, estimate of alpha) | -0.87 |
| Mean Square Error | 0.07 |
| DF error | 129 |
| t(b) | 6.48 |
| p(b) | 0.20 |
| t(a) | -2.38 |
| p(a) | 0.63 |
| Lowerbound of 95% confidence interval for beta | 0.25 |
| VAR (95 Confidence Intrvl) | 0.02 |
| Upperbound of 95% confidence interval for beta | 0.46 |
| Lowerbound of 95% confidence interval for alpha | -1.59 |
| Upperbound of 95% confidence interval for alpha | -0.15 |
| Treynor index (mean / b) | -2.84 |
| Jensen alpha (a) | -0.87 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.04 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.03 |
ORDER STATISTICS
| Number of observations | 41 |
|---|---|
| Minimum | 0.76 |
| Quartile 1 | 0.98 |
| Median | 1.03 |
| Quartile 3 | 1.06 |
| Maximum | 1.11 |
| Mean of quarter 1 | 0.93 |
| Mean of quarter 2 | 1.02 |
| Mean of quarter 3 | 1.05 |
| Mean of quarter 4 | 1.08 |
| Inter Quartile Range | 0.08 |
| Number outliers low | 1 |
| Percentage of outliers low | 0.02 |
| Mean of outliers low | 0.76 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0.31 |
| VaR(95%) (moments method) | 0.06 |
| Expected Shortfall (moments method) | 0.11 |
| Extreme Value Index (regression method) | 0.37 |
| VaR(95%) (regression method) | 0.06 |
| Expected Shortfall (regression method) | 0.12 |
| Number of observations | 916 |
| Minimum | 0.90 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.05 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 54 |
| Percentage of outliers low | 0.06 |
| Mean of outliers low | 0.97 |
| Number of outliers high | 28 |
| Percentage of outliers high | 0.03 |
| Mean of outliers high | 1.03 |
| Extreme Value Index (moments method) | 0.53 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.03 |
| Extreme Value Index (regression method) | 0.33 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.02 |
| Number of observations | 131 |
| Minimum | 0.91 |
| Quartile 1 | 1.00 |
| Median | 1 |
| Quartile 3 | 1.00 |
| Maximum | 1.03 |
| Mean of quarter 1 | 0.98 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 13 |
| Percentage of outliers low | 0.10 |
| Mean of outliers low | 0.95 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.01 |
| Mean of outliers high | 1.03 |
| Extreme Value Index (moments method) | 0.87 |
| VaR(95%) (moments method) | 0.02 |
| Expected Shortfall (moments method) | 0.19 |
| Extreme Value Index (regression method) | 0.39 |
| VaR(95%) (regression method) | 0.02 |
| Expected Shortfall (regression method) | 0.04 |
DRAW DOWN STATISTICS
| Number of observations | 3 |
|---|---|
| Minimum | 0.04 |
| Quartile 1 | 0.09 |
| Median | 0.15 |
| Quartile 3 | 0.20 |
| Maximum | 0.26 |
| Mean of quarter 1 | 0.04 |
| Mean of quarter 2 | 0.15 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.26 |
| 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) | 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 | 52 |
| Minimum | 0 |
| Quartile 1 | 0.00 |
| Median | 0.01 |
| Quartile 3 | 0.02 |
| Maximum | 0.49 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.00 |
| Mean of quarter 3 | 0.01 |
| Mean of quarter 4 | 0.10 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 5 |
| Percentage of outliers high | 0.10 |
| Mean of outliers high | 0.19 |
| Extreme Value Index (moments method) | 0.74 |
| VaR(95%) (moments method) | 0.10 |
| Expected Shortfall (moments method) | 0.40 |
| Extreme Value Index (regression method) | 0.92 |
| VaR(95%) (regression method) | 0.09 |
| Expected Shortfall (regression method) | 1.13 |
| Number of observations | 12 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.01 |
| Quartile 3 | 0.01 |
| Maximum | 0.49 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.00 |
| Mean of quarter 3 | 0.01 |
| Mean of quarter 4 | 0.19 |
| Inter Quartile Range | 0.01 |
| 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 | 0.27 |
| Extreme Value Index (moments method) | 0.73 |
| VaR(95%) (moments method) | 0.09 |
| Expected Shortfall (moments method) | 0.44 |
| Extreme Value Index (regression method) | 2.63 |
| VaR(95%) (regression method) | 0.53 |
| Expected Shortfall (regression method) | 0 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -247285232 |
| Max Equity Drawdown (num days) | 69 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.25 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.19 |
| Calmar ratio (compounded annual return / max draw down) | 0.75 |
| Compounded annual return / average of 25% largest draw downs | 0.75 |
| Compounded annual return / Expected Shortfall lognormal | 1.62 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.09 |
| Compounded annual return (geometric extrapolation) | 0.08 |
| Calmar ratio (compounded annual return / max draw down) | 0.16 |
| Compounded annual return / average of 25% largest draw downs | 0.82 |
| Compounded annual return / Expected Shortfall lognormal | 3.07 |
| 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) | -1.27 |
| Compounded annual return / average of 25% largest draw downs | -3.33 |
| Compounded annual return / Expected Shortfall lognormal | -15.35 |
Trading record
Placed 208 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| SVXY | long | 478 | Feb 11, 2020 | Mar 18, 2020 | ($8,379) |
| TQQQ | long | 75 | Feb 21, 2020 | Feb 28, 2020 | ($3,021) |
| SVXY | long | 246 | Feb 6, 2020 | Feb 10, 2020 | ($229) |
| TQQQ | long | 86 | Jan 31, 2020 | Feb 3, 2020 | $340 |
| SVXY | long | 253 | Dec 12, 2019 | Jan 31, 2020 | $722 |
| TQQQ | long | 82 | Jan 24, 2020 | Jan 28, 2020 | ($125) |
| TQQQ | long | 91 | Dec 30, 2019 | Jan 2, 2020 | $256 |
| SVXY | long | 456 | Oct 14, 2019 | Dec 11, 2019 | $1,833 |
| TQQQ | long | 102 | Dec 2, 2019 | Dec 3, 2019 | ($160) |
| SVXY | long | 28 | Oct 2, 2019 | Oct 7, 2019 | $52 |
| TQQQ | long | 125 | Oct 2, 2019 | Oct 3, 2019 | $242 |
| TQQQ | long | 124 | Sep 27, 2019 | Sep 30, 2019 | $205 |
| SVXY | long | 260 | Sep 24, 2019 | Sep 30, 2019 | ($564) |
| TQQQ | long | 118 | Sep 24, 2019 | Sep 25, 2019 | $268 |
| VXX | long | 266 | Sep 4, 2019 | Sep 5, 2019 | ($351) |
| TQQQ | long | 122 | Sep 3, 2019 | Sep 4, 2019 | $287 |
| VXX | long | 261 | Aug 26, 2019 | Aug 30, 2019 | ($326) |
| TQQQ | long | 130 | Aug 23, 2019 | Aug 26, 2019 | $316 |
| VXX | long | 274 | Aug 19, 2019 | Aug 22, 2019 | ($487) |
| TQQQ | long | 129 | Aug 14, 2019 | Aug 15, 2019 | ($24) |
| TQQQ | long | 123 | Aug 12, 2019 | Aug 13, 2019 | $435 |
| SVXY | long | 528 | Jun 28, 2019 | Aug 8, 2019 | $690 |
| TQQQ | long | 112 | Jul 31, 2019 | Aug 6, 2019 | ($934) |
| TQQQ | long | 110 | Jul 19, 2019 | Jul 22, 2019 | $183 |
| TQQQ | long | 119 | Jun 25, 2019 | Jun 27, 2019 | $182 |
| VXX | long | 252 | May 24, 2019 | Jun 5, 2019 | $116 |
| TQQQ | long | 141 | May 31, 2019 | Jun 4, 2019 | $62 |
| TQQQ | long | 133 | May 28, 2019 | May 29, 2019 | ($205) |
| TQQQ | long | 132 | May 23, 2019 | May 24, 2019 | $122 |
| SVXY | long | 274 | May 22, 2019 | May 24, 2019 | ($177) |
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.