Yugas-Futures
- hypothetical · Annual Return (Compounded)
- 5.7%
- Max Drawdown
- 54.2%
- Trades
- 672
- Win Trades
- 47.3%
- Profit Factor
- 1.10
- Win Months
- 19.6%
About this strategy
*since micro future has rolled out hence we will be trading micro futures max quantity per trade will be 10 micro which will be equal to 1 mini future, this will help me to have more control over the risk and max SL will not exceed over $400 for any trade. i am going to divide micro in 2 units, 1 unit =5 micro to avoid too much moving parts and calculations, so depending on risk either 1 or 2 units will be traded, not at any given point in trade i will exceed 2 units and max risk of $400 per trade* rest trading system remains same as explained below*
SYSTEM SETUP.
. Trading with strict SL, the moment trade is taken SL is set.
. Focus is on trading YM. lot size 1 contract, client can scale up depending on there account size(tip:assign min 15k for 1 lot and scale up 1 lot per 15k)
. Trade can last from few mins to 1 day. sometimes trade can be taken overnight if risk to reward is high.
. given the current volatility suggested amount is min 15k.
. expected DD are 35%. and appx. 7 losers in a row.
SYSTEM GOAL.
My Goal is to make 200-300 points, with 1 contract per month, within the DD range, my focus is on trading just 1 contract and not scaling or compounding, its all up-to the client,depending on their account size and risk tolerance to scale.
MONEY MANAGEMENT RULES.
assign $15k per lot, if we reach our goal of 200-300 points MOM it will be appx 7% and above profits, and appx 70% and above profits YOY on $15k .contract can be doubled if we reach YOY target. This is hypothetical assumption of-course there will be DD months that`s where risk management comes in place.
*TRADING IS MARATHON NOT A SPRINT* *THIS SYSTEM IS NOT HOLY GRAIL*
*TRADING IS RISKY AND NOTHING IS GUARANTEED THERE IS VERY HIGH PROBABILITY OF LOSING CAPITAL*
SYSTEM SETUP.
. Trading with strict SL, the moment trade is taken SL is set.
. Focus is on trading YM. lot size 1 contract, client can scale up depending on there account size(tip:assign min 15k for 1 lot and scale up 1 lot per 15k)
. Trade can last from few mins to 1 day. sometimes trade can be taken overnight if risk to reward is high.
. given the current volatility suggested amount is min 15k.
. expected DD are 35%. and appx. 7 losers in a row.
SYSTEM GOAL.
My Goal is to make 200-300 points, with 1 contract per month, within the DD range, my focus is on trading just 1 contract and not scaling or compounding, its all up-to the client,depending on their account size and risk tolerance to scale.
MONEY MANAGEMENT RULES.
assign $15k per lot, if we reach our goal of 200-300 points MOM it will be appx 7% and above profits, and appx 70% and above profits YOY on $15k .contract can be doubled if we reach YOY target. This is hypothetical assumption of-course there will be DD months that`s where risk management comes in place.
*TRADING IS MARATHON NOT A SPRINT* *THIS SYSTEM IS NOT HOLY GRAIL*
*TRADING IS RISKY AND NOTHING IS GUARANTEED THERE IS VERY HIGH PROBABILITY OF LOSING CAPITAL*
Trend-following Short Term
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2018 | 9.8 | 28.9 | 2.1 | -1.7 | -3.8 | -18.2 | 35.9 | 29.8 | 39.0 | 174.2 | |||
| 2019 | 4.7 | 3.0 | -0.5 | -5.0 | 5.8 | 1.7 | -1.9 | -4.8 | -3.0 | -0.1 | -8.1 | 3.2 | -6.0 |
| 2020 | 4.3 | 9.1 | -0.8 | -10.9 | 4.7 | -0.3 | -0.3 | -0.3 | 2.6 | 6.8 | -0.3 | -0.3 | 13.7 |
| 2021 | -0.3 | -0.3 | -0.3 | -0.3 | 0.6 | -5.0 | 1.9 | -0.7 | -0.3 | 0.0 | -0.3 | -0.6 | -5.5 |
| 2022 | 3.5 | 2.0 | -41.7 | -6.9 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -42.7 |
| 2023 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2024 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2025 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2026 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
Statistics
Overview
| Strategy began | 4/17/2018 |
|---|---|
| Suggested Minimum Capital | $10,000 |
| Age | 102 months |
| What it trades | Futures |
| # Trades | 672 |
| # Profitable | 318 |
| % Profitable | 47.3% |
| Avg trade duration | 6.1 hours |
| Max peak-to-valley drawdown | 54.2% |
| drawdown period | Feb 22, 2022 - March 29, 2022 |
| Annual Return (Compounded) | 5.7% |
| Avg win | $486 |
| Avg loss | $393 |
Ratios
| W:L ratio | 1.11 |
|---|---|
| Sharpe Ratio | 0.23 |
| Sortino Ratio | 0.33 |
| Calmar Ratio | 0.79 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.09 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 180.5% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -124.5% |
Return Statistics
| Ann Return (w trading costs) | 5.7% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.1% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 11.8% |
Slump
| Current Slump as Pcnt Equity | 109.0% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.5% |
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 | 55.5% |
|---|---|
| Chance of 20% account loss | 41.5% |
| Chance of 30% account loss | 24.0% |
| Chance of 40% account loss | 10.5% |
| Chance of 50% account loss | 4.5% |
| Chance of 60% account loss (Monte Carlo) | 0.5% |
| Chance of 70% account loss (Monte Carlo) | 0.5% |
| 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 | $393 |
|---|---|
| Avg Win | $486 |
| # Winners | 318 |
| Sum Trade PL (losers) | $139,183 |
| Sum Trade PL (winners) | $154,686 |
| Num Months Winners | 20 |
| # Losers | 354 |
| % Winners | 47.3% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 102 |
|---|
Frequency
| Avg Position Time (mins) | 367.57 |
|---|---|
| Avg Position Time (hrs) | 6.13 |
| Avg Trade Length | 0.30 |
| Last Trade Ago | 1609 |
Leverage
| Daily leverage (average) | 6.78 |
|---|---|
| Daily leverage (max) | 35.13 |
Regression
| Alpha | 0.02 |
|---|---|
| Beta | -0.13 |
| Treynor Index | -0.15 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.02 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.01 |
| MAE:Equity, average, losing trades | 0.02 |
| 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 | 10.98 |
| MAE:PL (avg, all trades) | 0 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 17.09 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 44.31 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.48 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.14 |
| Hold-and-Hope Ratio | 0.09 |
RATIO STATISTICS
| Mean | 0.36 |
|---|---|
| SD | 0.53 |
| Sharpe ratio (Glass type estimate) | 0.68 |
| Sharpe ratio (Hedges UMVUE) | 0.66 |
| df | 41 |
| t | 1.26 |
| p | 0.11 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.39 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.73 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.39 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.72 |
| Sortino ratio | 1.67 |
| Upside Potential Ratio | 2.91 |
| Upside part of mean | 0.63 |
| Downside part of mean | -0.27 |
| Upside SD | 0.49 |
| Downside SD | 0.22 |
| N nonnegative terms | 20 |
| N negative terms | 22 |
| N of observations | 42 |
| Mean of predictor | 0.30 |
| Mean of criterion | 0.36 |
| SD of predictor | 0.28 |
| SD of criterion | 0.53 |
| Covariance | -0.02 |
| r | -0.15 |
| b (slope, estimate of beta) | -0.29 |
| a (intercept, estimate of alpha) | 0.45 |
| Mean Square Error | 0.29 |
| DF error | 40 |
| t(b) | -0.95 |
| p(b) | 0.83 |
| t(a) | 1.49 |
| p(a) | 0.07 |
| Lowerbound of 95% confidence interval for beta | -0.89 |
| Upperbound of 95% confidence interval for beta | 0.32 |
| Lowerbound of 95% confidence interval for alpha | -0.16 |
| Upperbound of 95% confidence interval for alpha | 1.05 |
| Treynor index (mean / b) | -1.26 |
| Jensen alpha (a) | 0.45 |
| Mean | 0.24 |
| SD | 0.47 |
| Sharpe ratio (Glass type estimate) | 0.51 |
| Sharpe ratio (Hedges UMVUE) | 0.50 |
| df | 41 |
| t | 0.95 |
| p | 0.18 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.55 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.56 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.56 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.55 |
| Sortino ratio | 0.93 |
| Upside Potential Ratio | 2.08 |
| Upside part of mean | 0.54 |
| Downside part of mean | -0.30 |
| Upside SD | 0.40 |
| Downside SD | 0.26 |
| N nonnegative terms | 20 |
| N negative terms | 22 |
| N of observations | 42 |
| Mean of predictor | 0.26 |
| Mean of criterion | 0.24 |
| SD of predictor | 0.27 |
| SD of criterion | 0.47 |
| Covariance | -0.02 |
| r | -0.15 |
| b (slope, estimate of beta) | -0.26 |
| a (intercept, estimate of alpha) | 0.31 |
| Mean Square Error | 0.23 |
| DF error | 40 |
| t(b) | -0.95 |
| p(b) | 0.83 |
| t(a) | 1.17 |
| p(a) | 0.13 |
| Lowerbound of 95% confidence interval for beta | -0.82 |
| Upperbound of 95% confidence interval for beta | 0.29 |
| Lowerbound of 95% confidence interval for alpha | -0.23 |
| Upperbound of 95% confidence interval for alpha | 0.84 |
| Treynor index (mean / b) | -0.91 |
| Jensen alpha (a) | 0.31 |
| VaR(95%) | 0.19 |
| Expected Shortfall on VaR | 0.23 |
| VaR(95%) | 0.05 |
| Expected Shortfall on VaR | 0.11 |
| Mean | 0.30 |
| SD | 0.34 |
| Sharpe ratio (Glass type estimate) | 0.87 |
| Sharpe ratio (Hedges UMVUE) | 0.87 |
| df | 921 |
| t | 1.63 |
| p | 0.05 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.18 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.92 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.18 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.91 |
| Sortino ratio | 1.33 |
| Upside Potential Ratio | 5.95 |
| Upside part of mean | 1.32 |
| Downside part of mean | -1.03 |
| Upside SD | 0.26 |
| Downside SD | 0.22 |
| N nonnegative terms | 296 |
| N negative terms | 626 |
| N of observations | 922 |
| Mean of predictor | 0.31 |
| Mean of criterion | 0.30 |
| SD of predictor | 0.29 |
| SD of criterion | 0.34 |
| Covariance | -0.01 |
| r | -0.12 |
| b (slope, estimate of beta) | -0.14 |
| a (intercept, estimate of alpha) | 0.34 |
| Mean Square Error | 0.11 |
| DF error | 920 |
| t(b) | -3.58 |
| p(b) | 1.00 |
| t(a) | 1.88 |
| p(a) | 0.03 |
| Lowerbound of 95% confidence interval for beta | -0.22 |
| Upperbound of 95% confidence interval for beta | -0.06 |
| Lowerbound of 95% confidence interval for alpha | -0.02 |
| Upperbound of 95% confidence interval for alpha | 0.70 |
| Treynor index (mean / b) | -2.12 |
| Jensen alpha (a) | 0.34 |
| Mean | 0.24 |
| SD | 0.34 |
| Sharpe ratio (Glass type estimate) | 0.69 |
| Sharpe ratio (Hedges UMVUE) | 0.69 |
| df | 921 |
| t | 1.30 |
| p | 0.10 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.35 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.74 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.35 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.74 |
| Sortino ratio | 1.00 |
| Upside Potential Ratio | 5.45 |
| Upside part of mean | 1.29 |
| Downside part of mean | -1.05 |
| Upside SD | 0.25 |
| Downside SD | 0.24 |
| N nonnegative terms | 296 |
| N negative terms | 626 |
| N of observations | 922 |
| Mean of predictor | 0.27 |
| Mean of criterion | 0.24 |
| SD of predictor | 0.29 |
| SD of criterion | 0.34 |
| Covariance | -0.01 |
| r | -0.11 |
| b (slope, estimate of beta) | -0.14 |
| a (intercept, estimate of alpha) | 0.27 |
| Mean Square Error | 0.12 |
| DF error | 920 |
| t(b) | -3.50 |
| p(b) | 1.00 |
| t(a) | 1.51 |
| p(a) | 0.07 |
| Lowerbound of 95% confidence interval for beta | -0.21 |
| Upperbound of 95% confidence interval for beta | -0.06 |
| Lowerbound of 95% confidence interval for alpha | -0.08 |
| Upperbound of 95% confidence interval for alpha | 0.63 |
| Treynor index (mean / b) | -1.74 |
| Jensen alpha (a) | 0.27 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.04 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| Mean | -0.03 |
| SD | 0 |
| Sharpe ratio (Glass type estimate) | 0 |
| Sharpe ratio (Hedges UMVUE) | 0 |
| df | 0 |
| t | 0 |
| p | 0 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0 |
| Sortino ratio | -16.19 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | -0.03 |
| Upside SD | 0 |
| Downside SD | 0.00 |
| N nonnegative terms | 0 |
| N negative terms | 131 |
| N of observations | 131 |
| Mean of predictor | 1.47 |
| Mean of criterion | -0.03 |
| SD of predictor | 0.43 |
| SD of criterion | 0 |
| Covariance | 0 |
| r | 0 |
| b (slope, estimate of beta) | 0 |
| a (intercept, estimate of alpha) | 0 |
| Mean Square Error | 0 |
| DF error | 0 |
| t(b) | 0 |
| p(b) | 0 |
| t(a) | 0 |
| p(a) | 0 |
| Lowerbound of 95% confidence interval for beta | 0 |
| Upperbound of 95% confidence interval for beta | 0 |
| Lowerbound of 95% confidence interval for alpha | 0 |
| Upperbound of 95% confidence interval for alpha | 0 |
| Treynor index (mean / b) | 0 |
| Jensen alpha (a) | 0 |
| Mean | -0.03 |
| SD | 0 |
| Sharpe ratio (Glass type estimate) | -9.74841826823373e+15 |
| Sharpe ratio (Hedges UMVUE) | -9.69206937105203e+15 |
| df | 130 |
| t | -6893172865105920 |
| p | 1 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.08701574255084e+16 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | -8513981316595712 |
| Sortino ratio | -16.19 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | -0.03 |
| Upside SD | 0 |
| Downside SD | 0.00 |
| N nonnegative terms | 0 |
| N negative terms | 131 |
| N of observations | 131 |
| Mean of predictor | 1.37 |
| Mean of criterion | -0.03 |
| SD of predictor | 0.44 |
| SD of criterion | 0 |
| Covariance | 0 |
| r | 0 |
| b (slope, estimate of beta) | 0 |
| a (intercept, estimate of alpha) | -0.03 |
| Mean Square Error | 0 |
| DF error | 129 |
| t(b) | 0 |
| p(b) | 0.50 |
| t(a) | -6739267007021056 |
| p(a) | 1 |
| Lowerbound of 95% confidence interval for beta | 0 |
| VAR (95 Confidence Intrvl) | 0.03 |
| Upperbound of 95% confidence interval for beta | 0 |
| Lowerbound of 95% confidence interval for alpha | -0.03 |
| Upperbound of 95% confidence interval for alpha | -0.03 |
| Treynor index (mean / b) | 3.98887105177224e+31 |
| Jensen alpha (a) | -0.03 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.00 |
| VaR(95%) | 0 |
| Expected Shortfall on VaR | 0 |
ORDER STATISTICS
| Number of observations | 42 |
|---|---|
| Minimum | 0.64 |
| Quartile 1 | 0.98 |
| Median | 1 |
| Quartile 3 | 1.03 |
| Maximum | 1.67 |
| Mean of quarter 1 | 0.92 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.01 |
| Mean of quarter 4 | 1.19 |
| Inter Quartile Range | 0.05 |
| Number outliers low | 2 |
| Percentage of outliers low | 0.05 |
| Mean of outliers low | 0.76 |
| Number of outliers high | 4 |
| Percentage of outliers high | 0.10 |
| Mean of outliers high | 1.42 |
| Extreme Value Index (moments method) | 0.55 |
| VaR(95%) (moments method) | 0.08 |
| Expected Shortfall (moments method) | 0.19 |
| Extreme Value Index (regression method) | 0.83 |
| VaR(95%) (regression method) | 0.09 |
| Expected Shortfall (regression method) | 0.49 |
| Number of observations | 922 |
| Minimum | 0.78 |
| Quartile 1 | 1.00 |
| Median | 1 |
| Quartile 3 | 1.00 |
| Maximum | 1.18 |
| Mean of quarter 1 | 0.98 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.02 |
| Inter Quartile Range | 0.00 |
| Number outliers low | 126 |
| Percentage of outliers low | 0.14 |
| Mean of outliers low | 0.98 |
| Number of outliers high | 135 |
| Percentage of outliers high | 0.15 |
| Mean of outliers high | 1.03 |
| Extreme Value Index (moments method) | 0.34 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.01 |
| Extreme Value Index (regression method) | 0.37 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.03 |
| Number of observations | 131 |
| Minimum | 1 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1 |
| Mean of quarter 1 | 1 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1 |
| Inter Quartile Range | 0 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
DRAW DOWN STATISTICS
| Number of observations | 8 |
|---|---|
| Minimum | 0.01 |
| Quartile 1 | 0.03 |
| Median | 0.07 |
| Quartile 3 | 0.13 |
| Maximum | 0.36 |
| Mean of quarter 1 | 0.02 |
| Mean of quarter 2 | 0.04 |
| Mean of quarter 3 | 0.11 |
| Mean of quarter 4 | 0.26 |
| Inter Quartile Range | 0.10 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.12 |
| Mean of outliers high | 0.36 |
| 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 | 30 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.02 |
| Quartile 3 | 0.07 |
| Maximum | 0.39 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.03 |
| Mean of quarter 4 | 0.19 |
| Inter Quartile Range | 0.07 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 3 |
| Percentage of outliers high | 0.10 |
| Mean of outliers high | 0.30 |
| Extreme Value Index (moments method) | -0.55 |
| VaR(95%) (moments method) | 0.18 |
| Expected Shortfall (moments method) | 0.21 |
| Extreme Value Index (regression method) | -0.35 |
| VaR(95%) (regression method) | 0.18 |
| Expected Shortfall (regression method) | 0.22 |
| Number of observations | 0 |
| Minimum | 0 |
| Quartile 1 | 0 |
| Median | 0 |
| Quartile 3 | 0 |
| Maximum | 0 |
| Mean of quarter 1 | 0 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0 |
| Inter Quartile Range | 0 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -583173568 |
| Max Equity Drawdown (num days) | 35 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.44 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.31 |
| Calmar ratio (compounded annual return / max draw down) | 0.86 |
| Compounded annual return / average of 25% largest draw downs | 1.18 |
| Compounded annual return / Expected Shortfall lognormal | 1.33 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.44 |
| Compounded annual return (geometric extrapolation) | 0.30 |
| Calmar ratio (compounded annual return / max draw down) | 0.79 |
| Compounded annual return / average of 25% largest draw downs | 1.64 |
| Compounded annual return / Expected Shortfall lognormal | 7.29 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0 |
| Compounded annual return (geometric extrapolation) | 0 |
| Calmar ratio (compounded annual return / max draw down) | 0 |
| Compounded annual return / average of 25% largest draw downs | 0 |
| Compounded annual return / Expected Shortfall lognormal | 0 |
Trading record
Placed 251 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| MYM M2 | long | 20 | Apr 8, 2022 | Apr 8, 2022 | ($209) |
| MYM M2 | long | 20 | Apr 8, 2022 | Apr 8, 2022 | ($369) |
| MYM M2 | short | 20 | Apr 7, 2022 | Apr 8, 2022 | ($489) |
| MYM M2 | long | 20 | Apr 7, 2022 | Apr 7, 2022 | ($179) |
| MYM M2 | short | 30 | Apr 7, 2022 | Apr 7, 2022 | $502 |
| MYM M2 | short | 20 | Apr 7, 2022 | Apr 7, 2022 | ($199) |
| MYM M2 | short | 15 | Apr 7, 2022 | Apr 7, 2022 | ($82) |
| MYM M2 | short | 10 | Apr 6, 2022 | Apr 6, 2022 | ($519) |
| MYM M2 | short | 30 | Apr 6, 2022 | Apr 6, 2022 | $1,637 |
| MYM M2 | short | 20 | Apr 5, 2022 | Apr 5, 2022 | ($1,019) |
| MYM M2 | long | 20 | Apr 5, 2022 | Apr 5, 2022 | ($769) |
| MYM M2 | short | 20 | Apr 1, 2022 | Apr 1, 2022 | $952 |
| MYM M2 | short | 20 | Apr 1, 2022 | Apr 1, 2022 | ($429) |
| MYM M2 | short | 20 | Mar 31, 2022 | Mar 31, 2022 | $1,447 |
| MYM M2 | long | 10 | Mar 31, 2022 | Mar 31, 2022 | ($209) |
| MYM M2 | long | 15 | Mar 30, 2022 | Mar 30, 2022 | ($432) |
| MYM M2 | short | 10 | Mar 30, 2022 | Mar 30, 2022 | ($279) |
| MYM M2 | long | 20 | Mar 29, 2022 | Mar 29, 2022 | $1,131 |
| MYM M2 | long | 20 | Mar 29, 2022 | Mar 29, 2022 | $151 |
| MYM M2 | short | 20 | Mar 28, 2022 | Mar 28, 2022 | ($1,379) |
| MYM M2 | long | 15 | Mar 28, 2022 | Mar 28, 2022 | $16 |
| MYM M2 | short | 10 | Mar 24, 2022 | Mar 24, 2022 | ($204) |
| MYM M2 | short | 15 | Mar 24, 2022 | Mar 24, 2022 | ($4) |
| MYM Z2 | short | 10 | Mar 24, 2022 | Mar 24, 2022 | ($14,134) |
| MYM M2 | long | 10 | Mar 24, 2022 | Mar 24, 2022 | ($49) |
| MYM M2 | short | 11 | Mar 24, 2022 | Mar 24, 2022 | ($416) |
| MYM M2 | short | 10 | Mar 23, 2022 | Mar 23, 2022 | $646 |
| MYM M2 | short | 8 | Mar 23, 2022 | Mar 23, 2022 | $406 |
| MYM M2 | short | 10 | Mar 23, 2022 | Mar 23, 2022 | $696 |
| MYM M2 | long | 15 | Mar 22, 2022 | Mar 22, 2022 | $746 |
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.