ES Daily Cache
- hypothetical · Annual Return (Compounded)
- 0.0%
- Max Drawdown
- 100.0%
- Trades
- 28
- Win Trades
- 89.3%
- Profit Factor
- 0.50
- Win Months
- 5.0%
About this strategy
With over a decade of trading experience, we developed a software system many years ago which can accurately show buying and selling signals for trading stock and futures markets. We use signals generated from this computer system for predicting the Dow Jones e-mini market trend (YM) and had set up A Strategy for YM for trading YM futures, ES Daily Cache for trading e-mini ES futures and UDOW Trend Signals for trading DJIA ETFs in an IRA friendly way. The current strategy is for trading e-mini ES futures for S&P 500. Concepts of Nobel Prize winners have been incorporated in our algorithm.
Besides issuing trading signals to our subscribers, we also trade our own account according to these signals. We recommend the use of an autotrade desk to execute trades accordingly. It will minimise the hardship of monitoring the market when one is not readily available to do the trades.
The trades can be reversed when an opposite signal is given, so the trade is almost always on.
Normally the average no. of ES contracts traded is 3 to 4 for each trade and there could be 4 trades in a day, with positions lessened closer to the end of trading days, depending on market conditions. To cater to volatile market conditions, please always reserve contingency funds for a total of 6 to 7 contracts to leverage the market. The margin required is around $50,000 on average. Please set your scaling factor as 50% or less if you wish to trade a maximum of 3 contracts only, each contract requiring margin around $8000 if you trade with Interactive Brokers.
Besides issuing trading signals to our subscribers, we also trade our own account according to these signals. We recommend the use of an autotrade desk to execute trades accordingly. It will minimise the hardship of monitoring the market when one is not readily available to do the trades.
The trades can be reversed when an opposite signal is given, so the trade is almost always on.
Normally the average no. of ES contracts traded is 3 to 4 for each trade and there could be 4 trades in a day, with positions lessened closer to the end of trading days, depending on market conditions. To cater to volatile market conditions, please always reserve contingency funds for a total of 6 to 7 contracts to leverage the market. The margin required is around $50,000 on average. Please set your scaling factor as 50% or less if you wish to trade a maximum of 3 contracts only, each contract requiring margin around $8000 if you trade with Interactive Brokers.
Trend-following
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2018 | 1.6 | 22.0 | -4.0 | 39.4 | 30.1 | 3.9 | -71.7 | -135.6 | -2.7 | -123.2 | |||
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 2026 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
Statistics
Overview
| Strategy began | 4/5/2018 |
|---|---|
| Suggested Minimum Capital | $50,000 |
| Age | 102 months |
| What it trades | Futures |
| # Trades | 28 |
| # Profitable | 25 |
| % Profitable | 89.3% |
| Avg trade duration | 7.5 days |
| Max peak-to-valley drawdown | 100.0% |
| drawdown period | Nov 20, 2018 - Dec 02, 2018 |
| Cumul. Return | -122.6% |
| Avg win | $2,632 |
| Avg loss | $40,910 |
Ratios
| W:L ratio | 0.54 |
|---|---|
| Sharpe Ratio | -0.39 |
| Sortino Ratio | -0.52 |
| Calmar Ratio | -1.00 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.46 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 185.1% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -124.8% |
Return Statistics
| Ann Return (w trading costs) | 0.0% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | -1.2% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 0.0% |
Slump
| Current Slump as Pcnt Equity | — |
|---|---|
| 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% |
| Short Options - Percent Covered | 100.0% |
| 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 | 100.0% |
| Chance of 60% account loss (Monte Carlo) | 100.0% |
| Chance of 70% account loss (Monte Carlo) | 100.0% |
| Chance of 80% account loss (Monte Carlo) | 100.0% |
| Chance of 90% account loss (Monte Carlo) | 100.0% |
| Chance of 100% account loss (Monte Carlo) | 100.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Popularity
| Popularity (Today) | 648 |
|---|---|
| Popularity (Last 6 weeks) | 974 |
| Popularity (7 days, Percentile 1000 scale) | 807 |
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $40,910 |
|---|---|
| Avg Win | $2,632 |
| # Winners | 25 |
| Sum Trade PL (losers) | $122,731 |
| Sum Trade PL (winners) | $65,810 |
| Num Months Winners | 5 |
| # Losers | 3 |
| % Winners | 89.3% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 8 |
|---|
Frequency
| Avg Position Time (mins) | 10806.05 |
|---|---|
| Avg Position Time (hrs) | 180.10 |
| Avg Trade Length | 7.50 |
| Last Trade Ago | 2838 |
Regression
| Alpha | 0 |
|---|---|
| Beta | 7.52 |
| Treynor Index | 0 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.10 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0 |
| MAE:Equity, average, losing trades | 0.05 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.10 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | -4.90 |
| MAE:PL (avg, all trades) | 3.68 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 77.56 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 87.98 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 2.16 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.11 |
| Hold-and-Hope Ratio | -0.20 |
RATIO STATISTICS
| Mean | 0.49 |
|---|---|
| SD | 1.10 |
| Sharpe ratio (Glass type estimate) | 0.44 |
| Sharpe ratio (Hedges UMVUE) | 0.39 |
| df | 6 |
| t | 0.34 |
| p | 0.37 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -2.15 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.00 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -2.19 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.96 |
| Sortino ratio | 0.62 |
| Upside Potential Ratio | 2.06 |
| Upside part of mean | 1.65 |
| Downside part of mean | -1.16 |
| Upside SD | 0.65 |
| Downside SD | 0.80 |
| N nonnegative terms | 5 |
| N negative terms | 2 |
| N of observations | 7 |
| Mean of predictor | 0.06 |
| Mean of criterion | 0.49 |
| SD of predictor | 0.10 |
| SD of criterion | 1.10 |
| Covariance | 0.10 |
| r | 0.93 |
| b (slope, estimate of beta) | 10.74 |
| a (intercept, estimate of alpha) | -0.18 |
| Mean Square Error | 0.21 |
| DF error | 5 |
| t(b) | 5.46 |
| p(b) | 0.00 |
| t(a) | -0.30 |
| p(a) | 0.61 |
| Lowerbound of 95% confidence interval for beta | 5.69 |
| Upperbound of 95% confidence interval for beta | 15.79 |
| Lowerbound of 95% confidence interval for alpha | -1.76 |
| Upperbound of 95% confidence interval for alpha | 1.39 |
| Treynor index (mean / b) | 0.05 |
| Jensen alpha (a) | -0.18 |
| Mean | -0.25 |
| SD | 1.46 |
| Sharpe ratio (Glass type estimate) | -0.17 |
| Sharpe ratio (Hedges UMVUE) | -0.15 |
| df | 6 |
| t | -0.13 |
| p | 0.55 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -2.73 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.40 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -2.72 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.42 |
| Sortino ratio | -0.20 |
| Upside Potential Ratio | 1.20 |
| Upside part of mean | 1.47 |
| Downside part of mean | -1.72 |
| Upside SD | 0.57 |
| Downside SD | 1.22 |
| N nonnegative terms | 5 |
| N negative terms | 2 |
| N of observations | 7 |
| Mean of predictor | 0.06 |
| Mean of criterion | -0.25 |
| SD of predictor | 0.10 |
| SD of criterion | 1.46 |
| Covariance | 0.13 |
| r | 0.91 |
| b (slope, estimate of beta) | 13.91 |
| a (intercept, estimate of alpha) | -1.07 |
| Mean Square Error | 0.43 |
| DF error | 5 |
| t(b) | 4.97 |
| p(b) | 0.00 |
| t(a) | -1.22 |
| p(a) | 0.86 |
| Lowerbound of 95% confidence interval for beta | 6.72 |
| Upperbound of 95% confidence interval for beta | 21.10 |
| Lowerbound of 95% confidence interval for alpha | -3.31 |
| Upperbound of 95% confidence interval for alpha | 1.18 |
| Treynor index (mean / b) | -0.02 |
| Jensen alpha (a) | -1.07 |
| VaR(95%) | 0.51 |
| Expected Shortfall on VaR | 0.58 |
| VaR(95%) | 0.15 |
| Expected Shortfall on VaR | 0.34 |
| Mean | 242.37 |
| SD | 199.05 |
| Sharpe ratio (Glass type estimate) | 1.22 |
| Sharpe ratio (Hedges UMVUE) | 1.21 |
| df | 172 |
| t | 0.99 |
| p | 0.46 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.20 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.63 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.20 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.63 |
| Sortino ratio | 119.48 |
| Upside Potential Ratio | 124.50 |
| Upside part of mean | 252.55 |
| Downside part of mean | -10.18 |
| Upside SD | 199.03 |
| Downside SD | 2.03 |
| N nonnegative terms | 93 |
| N negative terms | 80 |
| N of observations | 173 |
| Mean of predictor | 0.04 |
| Mean of criterion | 242.37 |
| SD of predictor | 0.14 |
| SD of criterion | 199.05 |
| Covariance | 0.85 |
| r | 0.03 |
| b (slope, estimate of beta) | 44.56 |
| a (intercept, estimate of alpha) | 100.30 |
| Mean Square Error | 39815.94 |
| DF error | 171 |
| t(b) | 0.41 |
| p(b) | 0.48 |
| t(a) | 0.98 |
| p(a) | 0.45 |
| Lowerbound of 95% confidence interval for beta | -172.59 |
| Upperbound of 95% confidence interval for beta | 261.70 |
| Lowerbound of 95% confidence interval for alpha | -244.34 |
| Upperbound of 95% confidence interval for alpha | 725.27 |
| Treynor index (mean / b) | 5.44 |
| Jensen alpha (a) | 240.47 |
| Mean | -16.38 |
| SD | 15.47 |
| Sharpe ratio (Glass type estimate) | -1.06 |
| Sharpe ratio (Hedges UMVUE) | -1.05 |
| df | 172 |
| t | -0.86 |
| p | 0.53 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.47 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.36 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.47 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.36 |
| Sortino ratio | -1.16 |
| Upside Potential Ratio | 1.04 |
| Upside part of mean | 14.59 |
| Downside part of mean | -30.98 |
| Upside SD | 6.37 |
| Downside SD | 14.09 |
| N nonnegative terms | 93 |
| N negative terms | 80 |
| N of observations | 173 |
| Mean of predictor | 0.03 |
| Mean of criterion | -16.38 |
| SD of predictor | 0.14 |
| SD of criterion | 15.47 |
| Covariance | 0.43 |
| r | 0.20 |
| b (slope, estimate of beta) | 22.18 |
| a (intercept, estimate of alpha) | -17.12 |
| Mean Square Error | 231.24 |
| DF error | 171 |
| t(b) | 2.65 |
| p(b) | 0.37 |
| t(a) | -0.91 |
| p(a) | 0.54 |
| Lowerbound of 95% confidence interval for beta | 5.68 |
| Upperbound of 95% confidence interval for beta | 38.69 |
| Lowerbound of 95% confidence interval for alpha | -54.06 |
| Upperbound of 95% confidence interval for alpha | 19.82 |
| Treynor index (mean / b) | -0.74 |
| Jensen alpha (a) | -17.12 |
| VaR(95%) | 0.80 |
| Expected Shortfall on VaR | 0.86 |
| VaR(95%) | 0.08 |
| Expected Shortfall on VaR | 0.19 |
| Mean | 319.17 |
| SD | 228.76 |
| Sharpe ratio (Glass type estimate) | 1.40 |
| Sharpe ratio (Hedges UMVUE) | 1.39 |
| df | 130 |
| t | 0.99 |
| p | 0.46 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.38 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.17 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.39 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.16 |
| Sortino ratio | 138.67 |
| Upside Potential Ratio | 143.87 |
| Upside part of mean | 331.15 |
| Downside part of mean | -11.98 |
| Upside SD | 228.72 |
| Downside SD | 2.30 |
| N nonnegative terms | 68 |
| N negative terms | 63 |
| N of observations | 131 |
| Mean of predictor | -0.01 |
| Mean of criterion | 319.17 |
| SD of predictor | 0.14 |
| SD of criterion | 228.76 |
| Covariance | 1.16 |
| r | 0.04 |
| b (slope, estimate of beta) | 57.86 |
| a (intercept, estimate of alpha) | 319.65 |
| Mean Square Error | 52667.47 |
| DF error | 129 |
| t(b) | 0.41 |
| p(b) | 0.48 |
| t(a) | 0.98 |
| p(a) | 0.45 |
| Lowerbound of 95% confidence interval for beta | -222.96 |
| Upperbound of 95% confidence interval for beta | 338.68 |
| Lowerbound of 95% confidence interval for alpha | -322.49 |
| Upperbound of 95% confidence interval for alpha | 961.80 |
| Treynor index (mean / b) | 5.52 |
| Jensen alpha (a) | 319.65 |
| Mean | -22.34 |
| SD | 17.77 |
| Sharpe ratio (Glass type estimate) | -1.26 |
| Sharpe ratio (Hedges UMVUE) | -1.25 |
| df | 130 |
| t | -0.89 |
| p | 0.54 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -4.03 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.52 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -4.03 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.53 |
| Sortino ratio | -1.38 |
| Upside Potential Ratio | 1.05 |
| Upside part of mean | 17.02 |
| Downside part of mean | -39.37 |
| Upside SD | 7.30 |
| Downside SD | 16.18 |
| N nonnegative terms | 68 |
| N negative terms | 63 |
| N of observations | 131 |
| Mean of predictor | -0.02 |
| Mean of criterion | -22.34 |
| SD of predictor | 0.14 |
| SD of criterion | 17.77 |
| Covariance | 0.53 |
| r | 0.21 |
| b (slope, estimate of beta) | 26.39 |
| a (intercept, estimate of alpha) | -21.86 |
| Mean Square Error | 303.99 |
| DF error | 129 |
| t(b) | 2.46 |
| p(b) | 0.37 |
| t(a) | -0.89 |
| p(a) | 0.55 |
| Lowerbound of 95% confidence interval for beta | 5.12 |
| VAR (95 Confidence Intrvl) | 0.65 |
| Upperbound of 95% confidence interval for beta | 47.65 |
| Lowerbound of 95% confidence interval for alpha | -70.65 |
| Upperbound of 95% confidence interval for alpha | 26.93 |
| Treynor index (mean / b) | -0.85 |
| Jensen alpha (a) | -21.86 |
| VaR(95%) | 0.85 |
| Expected Shortfall on VaR | 0.90 |
| VaR(95%) | 0.10 |
| Expected Shortfall on VaR | 0.22 |
ORDER STATISTICS
| Number of observations | 7 |
|---|---|
| Minimum | 0.39 |
| Quartile 1 | 0.98 |
| Median | 1.11 |
| Quartile 3 | 1.22 |
| Maximum | 1.37 |
| Mean of quarter 1 | 0.66 |
| Mean of quarter 2 | 1.07 |
| Mean of quarter 3 | 1.22 |
| Mean of quarter 4 | 1.30 |
| Inter Quartile Range | 0.24 |
| Number outliers low | 1 |
| Percentage of outliers low | 0.14 |
| Mean of outliers low | 0.39 |
| 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 | 173 |
| Minimum | 0.00 |
| Quartile 1 | 0.98 |
| Median | 1 |
| Quartile 3 | 1.03 |
| Maximum | 162.73 |
| Mean of quarter 1 | 0.86 |
| Mean of quarter 2 | 0.99 |
| Mean of quarter 3 | 1.01 |
| Mean of quarter 4 | 4.87 |
| Inter Quartile Range | 0.05 |
| Number outliers low | 18 |
| Percentage of outliers low | 0.10 |
| Mean of outliers low | 0.72 |
| Number of outliers high | 11 |
| Percentage of outliers high | 0.06 |
| Mean of outliers high | 15.96 |
| Extreme Value Index (moments method) | 0.82 |
| VaR(95%) (moments method) | 0.13 |
| Expected Shortfall (moments method) | 0.78 |
| Extreme Value Index (regression method) | 0.34 |
| VaR(95%) (regression method) | 0.10 |
| Expected Shortfall (regression method) | 0.19 |
| Number of observations | 131 |
| Minimum | 0.00 |
| Quartile 1 | 0.97 |
| Median | 1 |
| Quartile 3 | 1.03 |
| Maximum | 162.73 |
| Mean of quarter 1 | 0.83 |
| Mean of quarter 2 | 0.99 |
| Mean of quarter 3 | 1.01 |
| Mean of quarter 4 | 6.01 |
| Inter Quartile Range | 0.05 |
| Number outliers low | 15 |
| Percentage of outliers low | 0.11 |
| Mean of outliers low | 0.69 |
| Number of outliers high | 8 |
| Percentage of outliers high | 0.06 |
| Mean of outliers high | 21.50 |
| Extreme Value Index (moments method) | 0.77 |
| VaR(95%) (moments method) | 0.14 |
| Expected Shortfall (moments method) | 0.71 |
| Extreme Value Index (regression method) | 0.13 |
| VaR(95%) (regression method) | 0.12 |
| Expected Shortfall (regression method) | 0.20 |
DRAW DOWN STATISTICS
| Number of observations | 2 |
|---|---|
| Minimum | 0.07 |
| Quartile 1 | 0.20 |
| Median | 0.34 |
| Quartile 3 | 0.47 |
| Maximum | 0.61 |
| Mean of quarter 1 | 0.07 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.61 |
| Inter Quartile Range | 0.27 |
| 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 | 11 |
| Minimum | 0.00 |
| Quartile 1 | 0.03 |
| Median | 0.10 |
| Quartile 3 | 0.20 |
| Maximum | 1.00 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.07 |
| Mean of quarter 3 | 0.15 |
| Mean of quarter 4 | 0.52 |
| Inter Quartile Range | 0.18 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.09 |
| Mean of outliers high | 1.00 |
| Extreme Value Index (moments method) | -0.09 |
| VaR(95%) (moments method) | 0.51 |
| Expected Shortfall (moments method) | 0.70 |
| Extreme Value Index (regression method) | 1.54 |
| VaR(95%) (regression method) | 1.09 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 6 |
| Minimum | 0.03 |
| Quartile 1 | 0.09 |
| Median | 0.11 |
| Quartile 3 | 0.29 |
| Maximum | 1.00 |
| Mean of quarter 1 | 0.06 |
| Mean of quarter 2 | 0.10 |
| Mean of quarter 3 | 0.12 |
| Mean of quarter 4 | 0.67 |
| Inter Quartile Range | 0.20 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.17 |
| Mean of outliers high | 1.00 |
| 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? | -98 |
| Max Equity Drawdown (num days) | 12 |
| Last 4 Months - Pcnt Negative | 0.5% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | -0.23 |
|---|---|
| Compounded annual return (geometric extrapolation) | -0.22 |
| Calmar ratio (compounded annual return / max draw down) | -0.37 |
| Compounded annual return / average of 25% largest draw downs | -0.37 |
| Compounded annual return / Expected Shortfall lognormal | -0.38 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -1.51 |
| Compounded annual return (geometric extrapolation) | -1 |
| Calmar ratio (compounded annual return / max draw down) | -1.00 |
| Compounded annual return / average of 25% largest draw downs | -1.91 |
| Compounded annual return / Expected Shortfall lognormal | -1.16 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -2.00 |
| Compounded annual return (geometric extrapolation) | -1 |
| Calmar ratio (compounded annual return / max draw down) | -1.00 |
| Compounded annual return / average of 25% largest draw downs | -1.49 |
| Compounded annual return / Expected Shortfall lognormal | -1.11 |
Trading record
Placed 144 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| ES Z8 | long | 19 | Oct 4, 2018 | Nov 22, 2018 | ($120,793) |
| ES Z8 | long | 6 | Sep 24, 2018 | Oct 3, 2018 | $102 |
| ES Z8 | long | 3 | Sep 20, 2018 | Sep 21, 2018 | $2,829 |
| ES Z8 | short | 2 | Sep 19, 2018 | Sep 20, 2018 | ($441) |
| ES Z8 | long | 9 | Sep 17, 2018 | Sep 19, 2018 | $920 |
| ES U8 | long | 8 | Aug 30, 2018 | Sep 14, 2018 | ($1,729) |
| ES U8 | long | 10 | Aug 27, 2018 | Aug 30, 2018 | $2,995 |
| ES U8 | long | 6 | Aug 23, 2018 | Aug 24, 2018 | $4,252 |
| ES U8 | short | 2 | Aug 22, 2018 | Aug 23, 2018 | $259 |
| ES U8 | long | 4 | Aug 22, 2018 | Aug 22, 2018 | $1,468 |
| ES U8 | long | 3 | Aug 20, 2018 | Aug 21, 2018 | $1,551 |
| ES U8 | long | 3 | Aug 20, 2018 | Aug 20, 2018 | $51 |
| ES U8 | long | 15 | Aug 8, 2018 | Aug 17, 2018 | $618 |
| ES U8 | long | 10 | Jul 27, 2018 | Aug 7, 2018 | $8,195 |
| ES U8 | long | 66 | Jun 12, 2018 | Jul 27, 2018 | $9,697 |
| ES U8 | long | 4 | Jun 8, 2018 | Jun 11, 2018 | $5,718 |
| ES M8 | long | 16 | May 22, 2018 | Jun 8, 2018 | $4,297 |
| ES M8 | long | 6 | May 16, 2018 | May 21, 2018 | $2,027 |
| ES M8 | long | 4 | May 15, 2018 | May 16, 2018 | $1,368 |
| ES M8 | short | 3 | May 10, 2018 | May 15, 2018 | $614 |
| ES M8 | long | 28 | Apr 18, 2018 | May 10, 2018 | $9,214 |
| ES M8 | long | 2 | Apr 17, 2018 | Apr 17, 2018 | $1,109 |
| ES M8 | long | 2 | Apr 16, 2018 | Apr 17, 2018 | $109 |
| ES M8 | long | 4 | Apr 13, 2018 | Apr 16, 2018 | $2,943 |
| ES M8 | long | 6 | Apr 11, 2018 | Apr 13, 2018 | $2,277 |
| ES M8 | long | 1 | Apr 10, 2018 | Apr 10, 2018 | $405 |
| ES M8 | long | 1 | Apr 9, 2018 | Apr 9, 2018 | $1,055 |
| ES M8 | long | 1 | Apr 5, 2018 | Apr 6, 2018 | $17 |
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.