Mammoth
- hypothetical · Annual Return (Compounded)
- 35.3%
- Max Drawdown
- 79.8%
- Trades
- 37
- Win Trades
- 45.9%
- Profit Factor
- 75.80
- Win Months
- 63.3%
About this strategy
The Mammoth Investment strategy seeks to take advantage of mid-term trends in order to minimize trades and reduce losses from excessive trading. Risk Management is an essential element of the Mammoth Investment strategy. In order to be successful in the long term, risk must be managed in a manner to provide profits yet not cause excessive losses.
Strategy trades leveraged Index, Sector Specific, and Commodity ETF"s such as TQQQ, UPRO, URTY, UGL, and UYG. System enters trades with average in techniques to reduce risk.
Risk is limited to approximately 2% of account equity per trade.
FAQ's:
1. Are your system’s signals discretionary or are they algo driven with signals generated automatically?
Discretionary. We evaluate daily charts as well as longer time frames. News events such as earnings, OPEC meetings, political events, etc play a role in our actions.
2. Is it best to auto trade the system?
Auto trade is not required, but may be useful if you cannot trade signals manually during the day.
3. Does the system hold long positions only?
Only Longs, but does take short positions with Short ETF's.
4. Does the system utilize margin and if so how much?
No margin is used as it is provided using the leveraged ETF's.
5. Are target prices to sell given for each trade?
No targets, just market action.
6. Are stop losses given for each trade?
Stop loss orders are used to limit a loss to the 2% of equity level.
7. Does the system add to losing positions?
Never adds to losers.
8. How long will you hold a losing position before closing it and accepting a loss?
Max Risk per trade is set at 2% of account equity but is usually less.
9. Do you have a strategy for preventing a large system drawdown?
We invest in various markets to distribute risk and reduce the exposure to a single market.
Strategy trades leveraged Index, Sector Specific, and Commodity ETF"s such as TQQQ, UPRO, URTY, UGL, and UYG. System enters trades with average in techniques to reduce risk.
Risk is limited to approximately 2% of account equity per trade.
FAQ's:
1. Are your system’s signals discretionary or are they algo driven with signals generated automatically?
Discretionary. We evaluate daily charts as well as longer time frames. News events such as earnings, OPEC meetings, political events, etc play a role in our actions.
2. Is it best to auto trade the system?
Auto trade is not required, but may be useful if you cannot trade signals manually during the day.
3. Does the system hold long positions only?
Only Longs, but does take short positions with Short ETF's.
4. Does the system utilize margin and if so how much?
No margin is used as it is provided using the leveraged ETF's.
5. Are target prices to sell given for each trade?
No targets, just market action.
6. Are stop losses given for each trade?
Stop loss orders are used to limit a loss to the 2% of equity level.
7. Does the system add to losing positions?
Never adds to losers.
8. How long will you hold a losing position before closing it and accepting a loss?
Max Risk per trade is set at 2% of account equity but is usually less.
9. Do you have a strategy for preventing a large system drawdown?
We invest in various markets to distribute risk and reduce the exposure to a single market.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2016 | 3.2 | 9.2 | -1.6 | 10.9 | |||||||||
| 2017 | -0.1 | 11.4 | -3.2 | -0.2 | 7.8 | -6.6 | 6.3 | 5.0 | -1.1 | 13.6 | 3.1 | 3.7 | 45.2 |
| 2018 | 27.7 | -6.2 | -13.4 | 2.8 | 18.6 | -0.9 | 11.7 | 8.2 | 1.6 | -26.6 | -18.8 | -14.5 | -21.6 |
| 2019 | 19.1 | 19.1 | 7.9 | 19.2 | -5.8 | 1.7 | 5.0 | -8.6 | -1.3 | 15.4 | 7.1 | 22.4 | 150.9 |
| 2020 | 8.8 | -9.8 | -60.1 | 76.5 | 31.8 | 13.4 | 27.1 | 30.1 | -26.3 | 2.6 | 33.8 | 11.1 | 92.1 |
| 2021 | 3.6 | -1.4 | 7.5 | 14.6 | -6.7 | 14.5 | 16.2 | 3.2 | -10.6 | 17.4 | 9.6 | 2.5 | 90.4 |
| 2022 | -32.2 | -7.0 | 10.5 | -34.0 | -15.6 | -24.4 | 12.0 | 10.6 | -32.5 | 1.6 | 7.4 | -23.7 | -79.6 |
| 2023 | 23.0 | 7.6 | 26.8 | -0.0 | 22.8 | 12.0 | 13.6 | -11.8 | -8.0 | -13.4 | 43.5 | 15.3 | 204.8 |
| 2024 | 11.6 | 4.4 | 3.7 | -16.0 | 26.1 | 13.6 | -12.0 | 5.3 | 2.9 | 6.0 | 6.8 | 3.9 | 63.1 |
| 2025 | 2.6 | -1.5 | -23.8 | -14.4 | 25.3 | 9.7 | 19.3 | 3.7 | 11.4 | 3.6 | -2.9 | 2.8 | 29.3 |
| 2026 | 1.7 | -10.8 | -14.4 | 39.9 | 47.1 | -16.3 | -1.4 | 0.0 | -1.4 | 30.0 |
Statistics
Overview
| Strategy began | 10/25/2016 |
|---|---|
| Suggested Minimum Capital | $25,000 |
| Age | 120 months |
| What it trades | Stocks |
| # Trades | 37 |
| # Profitable | 17 |
| % Profitable | 45.9% |
| Avg trade duration | 102.1 days |
| Max peak-to-valley drawdown | 79.8% |
| drawdown period | Nov 17, 2021 - Dec 30, 2022 |
| Annual Return (Compounded) | 35.3% |
| Avg win | $27,436 |
| Avg loss | $315 |
Ratios
| W:L ratio | 75.75 |
|---|---|
| Sharpe Ratio | 0.65 |
| Sortino Ratio | 0.98 |
| Calmar Ratio | 3.25 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.83 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 257.3% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 1620.9% |
Return Statistics
| Ann Return (w trading costs) | 35.3% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.4% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 35.2% |
Slump
| Current Slump as Pcnt Equity | 23.5% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.0% |
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 | 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) | 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 | $315 |
|---|---|
| Avg Win | $27,436 |
| # Winners | 17 |
| Sum Trade PL (losers) | $6,292 |
| Sum Trade PL (winners) | $466,417 |
| Num Months Winners | 77 |
| # Losers | 20 |
| % Winners | 46.0% |
Dividends
| Dividends Received in Model Acct | 10212 |
|---|
Age
| Num Months filled monthly returns table | 120 |
|---|
Frequency
| Avg Position Time (mins) | 147092.22 |
|---|---|
| Avg Position Time (hrs) | 2451.54 |
| Avg Trade Length | 102.10 |
| Last Trade Ago | 3340 |
Regression
| Alpha | 0.03 |
|---|---|
| Beta | 2.81 |
| Treynor Index | 0.05 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.01 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.01 |
| MAE:Equity, average, losing trades | 0.01 |
| 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 | 0.03 |
| MAE:PL (avg, all trades) | -0.43 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 4.03 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 6.31 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.01 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.01 |
| Hold-and-Hope Ratio | 0.70 |
RATIO STATISTICS
| Mean | 2.17 |
|---|---|
| SD | 1.47 |
| Sharpe ratio (Glass type estimate) | 1.48 |
| Sharpe ratio (Hedges UMVUE) | 1.44 |
| df | 27 |
| t | 2.26 |
| p | 0.02 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.12 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.81 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.10 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.77 |
| Sortino ratio | 4.09 |
| Upside Potential Ratio | 5.20 |
| Upside part of mean | 2.76 |
| Downside part of mean | -0.59 |
| Upside SD | 1.48 |
| Downside SD | 0.53 |
| N nonnegative terms | 20 |
| N negative terms | 8 |
| N of observations | 28 |
| Mean of predictor | 0.57 |
| Mean of criterion | 2.17 |
| SD of predictor | 0.35 |
| SD of criterion | 1.47 |
| Covariance | 0.48 |
| r | 0.93 |
| b (slope, estimate of beta) | 3.95 |
| a (intercept, estimate of alpha) | -0.08 |
| Mean Square Error | 0.28 |
| DF error | 26 |
| t(b) | 13.35 |
| p(b) | 0 |
| t(a) | -0.20 |
| p(a) | 0.58 |
| Lowerbound of 95% confidence interval for beta | 3.34 |
| Upperbound of 95% confidence interval for beta | 4.56 |
| Lowerbound of 95% confidence interval for alpha | -0.87 |
| Upperbound of 95% confidence interval for alpha | 0.72 |
| Treynor index (mean / b) | 0.55 |
| Jensen alpha (a) | -0.08 |
| Mean | 1.26 |
| SD | 1.27 |
| Sharpe ratio (Glass type estimate) | 1.00 |
| Sharpe ratio (Hedges UMVUE) | 0.97 |
| df | 27 |
| t | 1.52 |
| p | 0.07 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.32 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.30 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.34 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.28 |
| Sortino ratio | 1.56 |
| Upside Potential Ratio | 2.59 |
| Upside part of mean | 2.10 |
| Downside part of mean | -0.83 |
| Upside SD | 1.01 |
| Downside SD | 0.81 |
| N nonnegative terms | 20 |
| N negative terms | 8 |
| N of observations | 28 |
| Mean of predictor | 0.50 |
| Mean of criterion | 1.26 |
| SD of predictor | 0.33 |
| SD of criterion | 1.27 |
| Covariance | 0.40 |
| r | 0.94 |
| b (slope, estimate of beta) | 3.61 |
| a (intercept, estimate of alpha) | -0.54 |
| Mean Square Error | 0.18 |
| DF error | 26 |
| t(b) | 14.67 |
| p(b) | 0 |
| t(a) | -1.79 |
| p(a) | 0.96 |
| Lowerbound of 95% confidence interval for beta | 3.11 |
| Upperbound of 95% confidence interval for beta | 4.12 |
| Lowerbound of 95% confidence interval for alpha | -1.17 |
| Upperbound of 95% confidence interval for alpha | 0.08 |
| Treynor index (mean / b) | 0.35 |
| Jensen alpha (a) | -0.54 |
| VaR(95%) | 0.39 |
| Expected Shortfall on VaR | 0.47 |
| VaR(95%) | 0.07 |
| Expected Shortfall on VaR | 0.18 |
| Mean | 2.00 |
| SD | 1.21 |
| Sharpe ratio (Glass type estimate) | 1.65 |
| Sharpe ratio (Hedges UMVUE) | 1.65 |
| df | 614 |
| t | 2.53 |
| p | 0.01 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.37 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.93 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.37 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.93 |
| Sortino ratio | 2.50 |
| Upside Potential Ratio | 8.22 |
| Upside part of mean | 6.59 |
| Downside part of mean | -4.58 |
| Upside SD | 0.92 |
| Downside SD | 0.80 |
| N nonnegative terms | 359 |
| N negative terms | 256 |
| N of observations | 615 |
| Mean of predictor | 0.57 |
| Mean of criterion | 2.00 |
| SD of predictor | 0.34 |
| SD of criterion | 1.21 |
| Covariance | 0.35 |
| r | 0.85 |
| b (slope, estimate of beta) | 3.01 |
| a (intercept, estimate of alpha) | 0.28 |
| Mean Square Error | 0.42 |
| DF error | 613 |
| t(b) | 39.18 |
| p(b) | 0 |
| t(a) | 0.66 |
| p(a) | 0.25 |
| Lowerbound of 95% confidence interval for beta | 2.86 |
| Upperbound of 95% confidence interval for beta | 3.16 |
| Lowerbound of 95% confidence interval for alpha | -0.55 |
| Upperbound of 95% confidence interval for alpha | 1.12 |
| Treynor index (mean / b) | 0.67 |
| Jensen alpha (a) | 0.28 |
| Mean | 1.25 |
| SD | 1.24 |
| Sharpe ratio (Glass type estimate) | 1.01 |
| Sharpe ratio (Hedges UMVUE) | 1.01 |
| df | 614 |
| t | 1.55 |
| p | 0.06 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.27 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.29 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.27 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.29 |
| Sortino ratio | 1.37 |
| Upside Potential Ratio | 6.79 |
| Upside part of mean | 6.22 |
| Downside part of mean | -4.97 |
| Upside SD | 0.84 |
| Downside SD | 0.92 |
| N nonnegative terms | 359 |
| N negative terms | 256 |
| N of observations | 615 |
| Mean of predictor | 0.51 |
| Mean of criterion | 1.25 |
| SD of predictor | 0.34 |
| SD of criterion | 1.24 |
| Covariance | 0.36 |
| r | 0.85 |
| b (slope, estimate of beta) | 3.07 |
| a (intercept, estimate of alpha) | -0.32 |
| Mean Square Error | 0.42 |
| DF error | 613 |
| t(b) | 40.03 |
| p(b) | 0 |
| t(a) | -0.76 |
| p(a) | 0.78 |
| Lowerbound of 95% confidence interval for beta | 2.92 |
| Upperbound of 95% confidence interval for beta | 3.22 |
| Lowerbound of 95% confidence interval for alpha | -1.16 |
| Upperbound of 95% confidence interval for alpha | 0.51 |
| Treynor index (mean / b) | 0.41 |
| Jensen alpha (a) | -0.32 |
| VaR(95%) | 0.11 |
| Expected Shortfall on VaR | 0.14 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.08 |
| Mean | 4.59 |
| SD | 1.83 |
| Sharpe ratio (Glass type estimate) | 2.51 |
| Sharpe ratio (Hedges UMVUE) | 2.50 |
| df | 130 |
| t | 1.78 |
| p | 0.42 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.28 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 5.29 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.29 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 5.28 |
| Sortino ratio | 3.96 |
| Upside Potential Ratio | 11.67 |
| Upside part of mean | 13.52 |
| Downside part of mean | -8.93 |
| Upside SD | 1.43 |
| Downside SD | 1.16 |
| N nonnegative terms | 82 |
| N negative terms | 49 |
| N of observations | 131 |
| Mean of predictor | 1.42 |
| Mean of criterion | 4.59 |
| SD of predictor | 0.47 |
| SD of criterion | 1.83 |
| Covariance | 0.75 |
| r | 0.87 |
| b (slope, estimate of beta) | 3.34 |
| a (intercept, estimate of alpha) | -0.15 |
| Mean Square Error | 0.84 |
| DF error | 129 |
| t(b) | 19.75 |
| p(b) | 0.03 |
| t(a) | -0.12 |
| p(a) | 0.51 |
| Lowerbound of 95% confidence interval for beta | 3.00 |
| Upperbound of 95% confidence interval for beta | 3.67 |
| Lowerbound of 95% confidence interval for alpha | -2.76 |
| Upperbound of 95% confidence interval for alpha | 2.45 |
| Treynor index (mean / b) | 1.38 |
| Jensen alpha (a) | -0.15 |
| Mean | 2.91 |
| SD | 1.83 |
| Sharpe ratio (Glass type estimate) | 1.59 |
| Sharpe ratio (Hedges UMVUE) | 1.58 |
| df | 130 |
| t | 1.13 |
| p | 0.45 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.19 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.37 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.20 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.36 |
| Sortino ratio | 2.26 |
| Upside Potential Ratio | 9.79 |
| Upside part of mean | 12.62 |
| Downside part of mean | -9.70 |
| Upside SD | 1.30 |
| Downside SD | 1.29 |
| N nonnegative terms | 82 |
| N negative terms | 49 |
| N of observations | 131 |
| Mean of predictor | 1.31 |
| Mean of criterion | 2.91 |
| SD of predictor | 0.48 |
| SD of criterion | 1.83 |
| Covariance | 0.77 |
| r | 0.88 |
| b (slope, estimate of beta) | 3.35 |
| a (intercept, estimate of alpha) | -1.46 |
| Mean Square Error | 0.79 |
| DF error | 129 |
| t(b) | 20.56 |
| p(b) | 0.03 |
| t(a) | -1.14 |
| p(a) | 0.56 |
| Lowerbound of 95% confidence interval for beta | 3.03 |
| VAR (95 Confidence Intrvl) | 0.11 |
| Upperbound of 95% confidence interval for beta | 3.67 |
| Lowerbound of 95% confidence interval for alpha | -3.98 |
| Upperbound of 95% confidence interval for alpha | 1.06 |
| Treynor index (mean / b) | 0.87 |
| Jensen alpha (a) | -1.46 |
| VaR(95%) | 0.16 |
| Expected Shortfall on VaR | 0.20 |
| VaR(95%) | 0.06 |
| Expected Shortfall on VaR | 0.13 |
ORDER STATISTICS
| Number of observations | 28 |
|---|---|
| Minimum | 0.34 |
| Quartile 1 | 1.00 |
| Median | 1.09 |
| Quartile 3 | 1.29 |
| Maximum | 2.66 |
| Mean of quarter 1 | 0.81 |
| Mean of quarter 2 | 1.04 |
| Mean of quarter 3 | 1.16 |
| Mean of quarter 4 | 1.73 |
| Inter Quartile Range | 0.29 |
| Number outliers low | 1 |
| Percentage of outliers low | 0.04 |
| Mean of outliers low | 0.34 |
| Number of outliers high | 3 |
| Percentage of outliers high | 0.11 |
| Mean of outliers high | 2.07 |
| Extreme Value Index (moments method) | 0.93 |
| VaR(95%) (moments method) | 0.08 |
| Expected Shortfall (moments method) | 1.33 |
| Extreme Value Index (regression method) | 0.95 |
| VaR(95%) (regression method) | 0.25 |
| Expected Shortfall (regression method) | 6.81 |
| Number of observations | 615 |
| Minimum | 0.55 |
| Quartile 1 | 0.99 |
| Median | 1.00 |
| Quartile 3 | 1.03 |
| Maximum | 1.46 |
| Mean of quarter 1 | 0.93 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.01 |
| Mean of quarter 4 | 1.09 |
| Inter Quartile Range | 0.03 |
| Number outliers low | 63 |
| Percentage of outliers low | 0.10 |
| Mean of outliers low | 0.87 |
| Number of outliers high | 68 |
| Percentage of outliers high | 0.11 |
| Mean of outliers high | 1.14 |
| Extreme Value Index (moments method) | 0.81 |
| VaR(95%) (moments method) | 0.05 |
| Expected Shortfall (moments method) | 0.30 |
| Extreme Value Index (regression method) | 0.29 |
| VaR(95%) (regression method) | 0.06 |
| Expected Shortfall (regression method) | 0.12 |
| Number of observations | 131 |
| Minimum | 0.66 |
| Quartile 1 | 0.95 |
| Median | 1.02 |
| Quartile 3 | 1.08 |
| Maximum | 1.39 |
| Mean of quarter 1 | 0.87 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.05 |
| Mean of quarter 4 | 1.15 |
| Inter Quartile Range | 0.13 |
| Number outliers low | 2 |
| Percentage of outliers low | 0.02 |
| Mean of outliers low | 0.71 |
| Number of outliers high | 3 |
| Percentage of outliers high | 0.02 |
| Mean of outliers high | 1.33 |
| Extreme Value Index (moments method) | -0.36 |
| VaR(95%) (moments method) | 0.12 |
| Expected Shortfall (moments method) | 0.14 |
| Extreme Value Index (regression method) | -0.32 |
| VaR(95%) (regression method) | 0.13 |
| Expected Shortfall (regression method) | 0.16 |
DRAW DOWN STATISTICS
| Number of observations | 7 |
|---|---|
| Minimum | 0.00 |
| Quartile 1 | 0.02 |
| Median | 0.03 |
| Quartile 3 | 0.25 |
| Maximum | 0.70 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.03 |
| Mean of quarter 3 | 0.06 |
| Mean of quarter 4 | 0.57 |
| Inter Quartile Range | 0.23 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.14 |
| Mean of outliers high | 0.70 |
| 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 | 38 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.03 |
| Quartile 3 | 0.16 |
| Maximum | 0.80 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.02 |
| Mean of quarter 3 | 0.08 |
| Mean of quarter 4 | 0.39 |
| Inter Quartile Range | 0.15 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 4 |
| Percentage of outliers high | 0.11 |
| Mean of outliers high | 0.62 |
| Extreme Value Index (moments method) | -0.09 |
| VaR(95%) (moments method) | 0.38 |
| Expected Shortfall (moments method) | 0.50 |
| Extreme Value Index (regression method) | 0.17 |
| VaR(95%) (regression method) | 0.38 |
| Expected Shortfall (regression method) | 0.55 |
| Number of observations | 15 |
| Minimum | 0.01 |
| Quartile 1 | 0.05 |
| Median | 0.16 |
| Quartile 3 | 0.30 |
| Maximum | 0.52 |
| Mean of quarter 1 | 0.02 |
| Mean of quarter 2 | 0.09 |
| Mean of quarter 3 | 0.21 |
| Mean of quarter 4 | 0.42 |
| Inter Quartile Range | 0.26 |
| 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) | -0.57 |
| VaR(95%) (moments method) | 0.48 |
| Expected Shortfall (moments method) | 0.53 |
| Extreme Value Index (regression method) | -1.27 |
| VaR(95%) (regression method) | 0.45 |
| Expected Shortfall (regression method) | 0.46 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -413026304 |
| Max Equity Drawdown (num days) | 408 |
| Last 4 Months - Pcnt Negative | 0.8% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 8.31 |
|---|---|
| Compounded annual return (geometric extrapolation) | 2.64 |
| Calmar ratio (compounded annual return / max draw down) | 3.75 |
| Compounded annual return / average of 25% largest draw downs | 4.62 |
| Compounded annual return / Expected Shortfall lognormal | 5.58 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 8.13 |
| Compounded annual return (geometric extrapolation) | 2.59 |
| Calmar ratio (compounded annual return / max draw down) | 3.25 |
| Compounded annual return / average of 25% largest draw downs | 6.62 |
| Compounded annual return / Expected Shortfall lognormal | 18.31 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 6.70 |
| Compounded annual return (geometric extrapolation) | 17.92 |
| Calmar ratio (compounded annual return / max draw down) | 34.17 |
| Compounded annual return / average of 25% largest draw downs | 42.99 |
| Compounded annual return / Expected Shortfall lognormal | 90.31 |
Trading record
Placed 42 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| TQQQ | long | 304 | Jun 15, 2017 | Jun 29, 2017 | ($1,958) |
| TQQQ | long | 78 | Jun 14, 2017 | Jun 14, 2017 | ($230) |
| SCO | long | 160 | Jun 2, 2017 | Jun 14, 2017 | $807 |
| TQQQ | long | 236 | Apr 17, 2017 | Jun 9, 2017 | $2,350 |
| GLL | long | 100 | May 1, 2017 | May 15, 2017 | $299 |
| FAS | long | 170 | May 1, 2017 | May 11, 2017 | ($261) |
| UPRO | long | 80 | Mar 28, 2017 | Apr 13, 2017 | ($241) |
| TQQQ | long | 172 | Mar 27, 2017 | Apr 11, 2017 | ($307) |
| UPRO | long | 80 | Mar 24, 2017 | Mar 27, 2017 | ($302) |
| TQQQ | long | 88 | Mar 24, 2017 | Mar 27, 2017 | ($246) |
| TQQQ | long | 175 | Mar 9, 2017 | Mar 21, 2017 | ($328) |
| UPRO | long | 160 | Jan 3, 2017 | Mar 21, 2017 | $1,675 |
| TQQQ | long | 95 | Feb 1, 2017 | Feb 21, 2017 | $898 |
| UYG | long | 75 | Jan 30, 2017 | Feb 21, 2017 | $681 |
| GLL | long | 83 | Jan 26, 2017 | Jan 31, 2017 | ($271) |
| BIS | long | 215 | Jan 17, 2017 | Jan 25, 2017 | $43 |
| SKF | long | 225 | Jan 17, 2017 | Jan 24, 2017 | ($136) |
| SCO | long | 200 | Jan 19, 2017 | Jan 20, 2017 | ($352) |
| UGL | long | 200 | Dec 27, 2016 | Jan 12, 2017 | $632 |
| TQQQ | long | 98 | Jan 4, 2017 | Jan 12, 2017 | $406 |
| UCO | long | 580 | Dec 16, 2016 | Jan 9, 2017 | ($148) |
| BIS | long | 185 | Dec 22, 2016 | Dec 23, 2016 | ($108) |
| BIB | long | 155 | Dec 14, 2016 | Dec 22, 2016 | ($189) |
| BOIL | long | 370 | Dec 14, 2016 | Dec 15, 2016 | ($236) |
| BIS | long | 200 | Nov 23, 2016 | Dec 7, 2016 | $702 |
| SQQQ | long | 510 | Dec 1, 2016 | Dec 7, 2016 | ($20) |
| TECS | long | 360 | Dec 5, 2016 | Dec 7, 2016 | ($224) |
| SRTY | long | 470 | Dec 1, 2016 | Dec 5, 2016 | ($389) |
| TECL | long | 140 | Nov 17, 2016 | Nov 28, 2016 | $242 |
| SCO | long | 70 | Nov 10, 2016 | Nov 15, 2016 | ($238) |
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.