International Value
- hypothetical · Annual Return (Compounded)
- 25.0%
- Max Drawdown
- 79.5%
- Trades
- 185
- Win Trades
- 67.0%
- Profit Factor
- 2.50
- Win Months
- 61.5%
About this strategy
The Strategy invests in International stocks with perceived low valuations, stable business, or emerging growth opportunities.
The Strategy utilizes investments across all major market sectors with a focus on companies that have a market capitalization greater than ~$1.5B, with the majority of holdings significantly above $10B.
Margin is not required to emulate the International Value Strategy, however, we recommend investors consider enabling margin. From time to time we may incorporate small amounts of leverage in the strategy. The strategy DOES NOT sell securities short.
Trading stops are utilized to limit the downside in each position. On average the strategy's total downside risk is targeted at 15-20% of the value of the total holdings, with some positions above and some positions below this average level.
While no system can guarantee risk-free or low-risk trading, and while unforeseen events can cause you to lose money, we do make an effort to control risk.
The Strategy utilizes investments across all major market sectors with a focus on companies that have a market capitalization greater than ~$1.5B, with the majority of holdings significantly above $10B.
Margin is not required to emulate the International Value Strategy, however, we recommend investors consider enabling margin. From time to time we may incorporate small amounts of leverage in the strategy. The strategy DOES NOT sell securities short.
Trading stops are utilized to limit the downside in each position. On average the strategy's total downside risk is targeted at 15-20% of the value of the total holdings, with some positions above and some positions below this average level.
While no system can guarantee risk-free or low-risk trading, and while unforeseen events can cause you to lose money, we do make an effort to control risk.
Non-hedged Equity
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2018 | -0.5 | 0.1 | -7.1 | -7.5 | |||||||||
| 2019 | 14.0 | 10.6 | 5.1 | 0.4 | -4.5 | 8.6 | 7.5 | -5.5 | 5.9 | 8.7 | 15.1 | 8.7 | 101.8 |
| 2020 | -9.0 | -19.4 | -45.4 | 29.6 | 13.5 | 12.7 | 11.1 | 3.6 | -0.0 | -7.3 | 10.2 | 18.5 | -7.6 |
| 2021 | 47.1 | -11.7 | 5.7 | 9.6 | 11.6 | -9.9 | 9.4 | -6.8 | -10.0 | 8.0 | -4.0 | 2.9 | 48.1 |
| 2022 | 0.9 | 23.6 | -0.8 | -15.8 | -15.9 | -16.3 | 4.6 | -6.6 | -3.1 | 0.3 | 15.6 | -2.9 | -21.9 |
| 2023 | 10.3 | -7.1 | 10.2 | 6.0 | -12.2 | 1.0 | 6.4 | -7.1 | -6.1 | -2.9 | 6.5 | 2.6 | 4.5 |
| 2024 | 4.2 | 2.2 | 17.7 | -0.4 | -1.2 | -11.9 | 8.3 | -2.7 | 5.0 | 22.0 | 0.5 | -1.9 | 44.8 |
| 2025 | 6.0 | 3.6 | 8.3 | 2.3 | 0.0 | 2.9 | 4.2 | 4.9 | 8.4 | 3.8 | 5.6 | 3.6 | 68.5 |
| 2026 | 34.9 | -7.6 | -5.1 | 0.2 | -3.9 | -13.9 | 4.7 | 14.6 | -3.0 | 14.2 |
Statistics
Overview
| Strategy began | 10/29/2018 |
|---|---|
| Suggested Minimum Capital | $25,000 |
| Age | 96 months |
| What it trades | Stocks |
| # Trades | 185 |
| # Profitable | 124 |
| % Profitable | 67.0% |
| Avg trade duration | 188.9 days |
| Max peak-to-valley drawdown | 79.5% |
| drawdown period | March 08, 2022 - May 18, 2024 |
| Annual Return (Compounded) | 25.0% |
| Avg win | $1,639 |
| Avg loss | $1,425 |
Ratios
| W:L ratio | 2.51 |
|---|---|
| Sharpe Ratio | 0.62 |
| Sortino Ratio | 0.91 |
| Calmar Ratio | 0.52 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.40 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 187.4% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 289.1% |
Return Statistics
| Ann Return (w trading costs) | 25.0% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.2% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 26.2% |
Slump
| Current Slump as Pcnt Equity | 18.1% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.1% |
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 | 80.5% |
|---|---|
| Chance of 20% account loss | 77.0% |
| Chance of 30% account loss | 68.0% |
| Chance of 40% account loss | 55.0% |
| Chance of 50% account loss | 45.0% |
| Chance of 60% account loss (Monte Carlo) | 30.5% |
| Chance of 70% account loss (Monte Carlo) | 20.0% |
| Chance of 80% account loss (Monte Carlo) | 8.0% |
| Chance of 90% account loss (Monte Carlo) | 1.5% |
| Chance of 100% 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 | $1,425 |
|---|---|
| Avg Win | $1,639 |
| # Winners | 124 |
| Sum Trade PL (losers) | $86,936 |
| Sum Trade PL (winners) | $203,200 |
| Num Months Winners | 60 |
| # Losers | 61 |
| % Winners | 67.0% |
Dividends
| Dividends Received in Model Acct | 15154 |
|---|
Age
| Num Months filled monthly returns table | 96 |
|---|
Frequency
| Avg Position Time (mins) | 272053.06 |
|---|---|
| Avg Position Time (hrs) | 4534.22 |
| Avg Trade Length | 188.90 |
| Last Trade Ago | 624 |
Leverage
| Daily leverage (average) | 1.62 |
|---|---|
| Daily leverage (max) | 2.26 |
Regression
| Alpha | 0.05 |
|---|---|
| Beta | 0.73 |
| Treynor Index | 0.10 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.02 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.05 |
| MAE:Equity, average, losing trades | 0.04 |
| 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 | 1.37 |
| MAE:PL (avg, all trades) | 1.97 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 3.21 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 14.84 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.22 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.18 |
| Hold-and-Hope Ratio | 0.79 |
RATIO STATISTICS
| Mean | 0.41 |
|---|---|
| SD | 0.53 |
| Sharpe ratio (Glass type estimate) | 0.77 |
| Sharpe ratio (Hedges UMVUE) | 0.76 |
| df | 74 |
| t | 1.92 |
| p | 0.03 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.03 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.56 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.03 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.55 |
| Sortino ratio | 1.80 |
| Upside Potential Ratio | 3.25 |
| Upside part of mean | 0.73 |
| Downside part of mean | -0.33 |
| Upside SD | 0.49 |
| Downside SD | 0.23 |
| N nonnegative terms | 45 |
| N negative terms | 30 |
| N of observations | 75 |
| Mean of predictor | 0.15 |
| Mean of criterion | 0.41 |
| SD of predictor | 0.23 |
| SD of criterion | 0.53 |
| Covariance | 0.09 |
| r | 0.74 |
| b (slope, estimate of beta) | 1.71 |
| a (intercept, estimate of alpha) | 0.15 |
| Mean Square Error | 0.13 |
| DF error | 73 |
| t(b) | 9.35 |
| p(b) | 0 |
| t(a) | 1.00 |
| p(a) | 0.16 |
| Lowerbound of 95% confidence interval for beta | 1.35 |
| Upperbound of 95% confidence interval for beta | 2.08 |
| Lowerbound of 95% confidence interval for alpha | -0.14 |
| Upperbound of 95% confidence interval for alpha | 0.44 |
| Treynor index (mean / b) | 0.24 |
| Jensen alpha (a) | 0.15 |
| Mean | 0.29 |
| SD | 0.45 |
| Sharpe ratio (Glass type estimate) | 0.64 |
| Sharpe ratio (Hedges UMVUE) | 0.63 |
| df | 74 |
| t | 1.60 |
| p | 0.06 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.15 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.43 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.16 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.42 |
| Sortino ratio | 1.13 |
| Upside Potential Ratio | 2.52 |
| Upside part of mean | 0.65 |
| Downside part of mean | -0.36 |
| Upside SD | 0.38 |
| Downside SD | 0.26 |
| N nonnegative terms | 45 |
| N negative terms | 30 |
| N of observations | 75 |
| Mean of predictor | 0.13 |
| Mean of criterion | 0.29 |
| SD of predictor | 0.22 |
| SD of criterion | 0.45 |
| Covariance | 0.07 |
| r | 0.68 |
| b (slope, estimate of beta) | 1.42 |
| a (intercept, estimate of alpha) | 0.11 |
| Mean Square Error | 0.11 |
| DF error | 73 |
| t(b) | 7.85 |
| p(b) | 0 |
| t(a) | 0.81 |
| p(a) | 0.21 |
| Lowerbound of 95% confidence interval for beta | 1.06 |
| Upperbound of 95% confidence interval for beta | 1.79 |
| Lowerbound of 95% confidence interval for alpha | -0.16 |
| Upperbound of 95% confidence interval for alpha | 0.38 |
| Treynor index (mean / b) | 0.20 |
| Jensen alpha (a) | 0.11 |
| VaR(95%) | 0.17 |
| Expected Shortfall on VaR | 0.22 |
| VaR(95%) | 0.05 |
| Expected Shortfall on VaR | 0.12 |
| Mean | 0.32 |
| SD | 0.33 |
| Sharpe ratio (Glass type estimate) | 0.97 |
| Sharpe ratio (Hedges UMVUE) | 0.97 |
| df | 1648 |
| t | 2.43 |
| p | 0.47 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.19 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.75 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.18 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.75 |
| Sortino ratio | 1.41 |
| Upside Potential Ratio | 7.96 |
| Upside part of mean | 1.79 |
| Downside part of mean | -1.47 |
| Upside SD | 0.24 |
| Downside SD | 0.22 |
| N nonnegative terms | 898 |
| N negative terms | 751 |
| N of observations | 1649 |
| Mean of predictor | 0.17 |
| Mean of criterion | 0.32 |
| SD of predictor | 0.22 |
| SD of criterion | 0.33 |
| Covariance | 0.03 |
| r | 0.41 |
| b (slope, estimate of beta) | 0.61 |
| a (intercept, estimate of alpha) | 0.22 |
| Mean Square Error | 0.09 |
| DF error | 1647 |
| t(b) | 18.44 |
| p(b) | 0.24 |
| t(a) | 1.81 |
| p(a) | 0.47 |
| Lowerbound of 95% confidence interval for beta | 0.55 |
| Upperbound of 95% confidence interval for beta | 0.68 |
| Lowerbound of 95% confidence interval for alpha | -0.02 |
| Upperbound of 95% confidence interval for alpha | 0.45 |
| Treynor index (mean / b) | 0.52 |
| Jensen alpha (a) | 0.22 |
| Mean | 0.26 |
| SD | 0.33 |
| Sharpe ratio (Glass type estimate) | 0.80 |
| Sharpe ratio (Hedges UMVUE) | 0.80 |
| df | 1648 |
| t | 2.01 |
| p | 0.48 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.02 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.58 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.02 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.58 |
| Sortino ratio | 1.13 |
| Upside Potential Ratio | 7.54 |
| Upside part of mean | 1.76 |
| Downside part of mean | -1.50 |
| Upside SD | 0.23 |
| Downside SD | 0.23 |
| N nonnegative terms | 898 |
| N negative terms | 751 |
| N of observations | 1649 |
| Mean of predictor | 0.14 |
| Mean of criterion | 0.26 |
| SD of predictor | 0.22 |
| SD of criterion | 0.33 |
| Covariance | 0.03 |
| r | 0.42 |
| b (slope, estimate of beta) | 0.62 |
| a (intercept, estimate of alpha) | 0.18 |
| Mean Square Error | 0.09 |
| DF error | 1647 |
| t(b) | 18.91 |
| p(b) | 0.24 |
| t(a) | 1.47 |
| p(a) | 0.48 |
| Lowerbound of 95% confidence interval for beta | 0.56 |
| Upperbound of 95% confidence interval for beta | 0.69 |
| Lowerbound of 95% confidence interval for alpha | -0.06 |
| Upperbound of 95% confidence interval for alpha | 0.41 |
| Treynor index (mean / b) | 0.42 |
| Jensen alpha (a) | 0.18 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.04 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.03 |
| Mean | 1.87 |
| SD | 0.59 |
| Sharpe ratio (Glass type estimate) | 3.17 |
| Sharpe ratio (Hedges UMVUE) | 3.15 |
| df | 130 |
| t | 2.24 |
| p | 0.40 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.36 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 5.96 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.35 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 5.95 |
| Sortino ratio | 5.85 |
| Upside Potential Ratio | 11.54 |
| Upside part of mean | 3.68 |
| Downside part of mean | -1.82 |
| Upside SD | 0.51 |
| Downside SD | 0.32 |
| N nonnegative terms | 82 |
| N negative terms | 49 |
| N of observations | 131 |
| Mean of predictor | 0.73 |
| Mean of criterion | 1.87 |
| SD of predictor | 0.35 |
| SD of criterion | 0.59 |
| Covariance | 0.05 |
| r | 0.25 |
| b (slope, estimate of beta) | 0.42 |
| a (intercept, estimate of alpha) | 1.55 |
| Mean Square Error | 0.33 |
| DF error | 129 |
| t(b) | 2.95 |
| p(b) | 0.34 |
| t(a) | 1.90 |
| p(a) | 0.40 |
| Lowerbound of 95% confidence interval for beta | 0.14 |
| Upperbound of 95% confidence interval for beta | 0.71 |
| Lowerbound of 95% confidence interval for alpha | -0.06 |
| Upperbound of 95% confidence interval for alpha | 3.17 |
| Treynor index (mean / b) | 4.39 |
| Jensen alpha (a) | 1.55 |
| Mean | 1.69 |
| SD | 0.57 |
| Sharpe ratio (Glass type estimate) | 2.96 |
| Sharpe ratio (Hedges UMVUE) | 2.94 |
| df | 130 |
| t | 2.09 |
| p | 0.41 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.16 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 5.75 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.15 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 5.74 |
| Sortino ratio | 5.08 |
| Upside Potential Ratio | 10.69 |
| Upside part of mean | 3.56 |
| Downside part of mean | -1.87 |
| Upside SD | 0.47 |
| Downside SD | 0.33 |
| N nonnegative terms | 82 |
| N negative terms | 49 |
| N of observations | 131 |
| Mean of predictor | 0.67 |
| Mean of criterion | 1.69 |
| SD of predictor | 0.35 |
| SD of criterion | 0.57 |
| Covariance | 0.05 |
| r | 0.25 |
| b (slope, estimate of beta) | 0.42 |
| a (intercept, estimate of alpha) | 1.41 |
| Mean Square Error | 0.31 |
| DF error | 129 |
| t(b) | 2.99 |
| p(b) | 0.34 |
| t(a) | 1.78 |
| p(a) | 0.40 |
| Lowerbound of 95% confidence interval for beta | 0.14 |
| VAR (95 Confidence Intrvl) | 0.03 |
| Upperbound of 95% confidence interval for beta | 0.70 |
| Lowerbound of 95% confidence interval for alpha | -0.15 |
| Upperbound of 95% confidence interval for alpha | 2.98 |
| Treynor index (mean / b) | 4.05 |
| Jensen alpha (a) | 1.41 |
| VaR(95%) | 0.05 |
| Expected Shortfall on VaR | 0.06 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.03 |
ORDER STATISTICS
| Number of observations | 75 |
|---|---|
| Minimum | 0.67 |
| Quartile 1 | 0.97 |
| Median | 1.02 |
| Quartile 3 | 1.08 |
| Maximum | 1.99 |
| Mean of quarter 1 | 0.90 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.05 |
| Mean of quarter 4 | 1.19 |
| Inter Quartile Range | 0.11 |
| Number outliers low | 3 |
| Percentage of outliers low | 0.04 |
| Mean of outliers low | 0.74 |
| Number of outliers high | 2 |
| Percentage of outliers high | 0.03 |
| Mean of outliers high | 1.67 |
| Extreme Value Index (moments method) | 0.40 |
| VaR(95%) (moments method) | 0.09 |
| Expected Shortfall (moments method) | 0.18 |
| Extreme Value Index (regression method) | 0.56 |
| VaR(95%) (regression method) | 0.10 |
| Expected Shortfall (regression method) | 0.27 |
| Number of observations | 1649 |
| Minimum | 0.84 |
| Quartile 1 | 0.99 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.24 |
| 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 | 0.02 |
| Number outliers low | 59 |
| Percentage of outliers low | 0.04 |
| Mean of outliers low | 0.95 |
| Number of outliers high | 60 |
| Percentage of outliers high | 0.04 |
| Mean of outliers high | 1.05 |
| Extreme Value Index (moments method) | 0.38 |
| VaR(95%) (moments method) | 0.02 |
| Expected Shortfall (moments method) | 0.04 |
| Extreme Value Index (regression method) | 0.32 |
| VaR(95%) (regression method) | 0.02 |
| Expected Shortfall (regression method) | 0.03 |
| Number of observations | 131 |
| Minimum | 0.88 |
| Quartile 1 | 0.99 |
| Median | 1.00 |
| Quartile 3 | 1.02 |
| Maximum | 1.24 |
| Mean of quarter 1 | 0.97 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.01 |
| Mean of quarter 4 | 1.05 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 6 |
| Percentage of outliers low | 0.05 |
| Mean of outliers low | 0.92 |
| Number of outliers high | 10 |
| Percentage of outliers high | 0.08 |
| Mean of outliers high | 1.09 |
| Extreme Value Index (moments method) | 0.71 |
| VaR(95%) (moments method) | 0.02 |
| Expected Shortfall (moments method) | 0.09 |
| Extreme Value Index (regression method) | 0.37 |
| VaR(95%) (regression method) | 0.02 |
| Expected Shortfall (regression method) | 0.05 |
DRAW DOWN STATISTICS
| Number of observations | 8 |
|---|---|
| Minimum | 0.01 |
| Quartile 1 | 0.05 |
| Median | 0.08 |
| Quartile 3 | 0.24 |
| Maximum | 0.47 |
| Mean of quarter 1 | 0.02 |
| Mean of quarter 2 | 0.06 |
| Mean of quarter 3 | 0.14 |
| Mean of quarter 4 | 0.44 |
| Inter Quartile Range | 0.20 |
| 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 | 55 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.02 |
| Quartile 3 | 0.04 |
| Maximum | 0.65 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.02 |
| Mean of quarter 4 | 0.18 |
| Inter Quartile Range | 0.04 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 7 |
| Percentage of outliers high | 0.13 |
| Mean of outliers high | 0.29 |
| Extreme Value Index (moments method) | 0.62 |
| VaR(95%) (moments method) | 0.17 |
| Expected Shortfall (moments method) | 0.51 |
| Extreme Value Index (regression method) | 0.54 |
| VaR(95%) (regression method) | 0.21 |
| Expected Shortfall (regression method) | 0.55 |
| Number of observations | 13 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.02 |
| Quartile 3 | 0.05 |
| Maximum | 0.26 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.02 |
| Mean of quarter 3 | 0.04 |
| Mean of quarter 4 | 0.15 |
| Inter Quartile Range | 0.04 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.08 |
| Mean of outliers high | 0.26 |
| Extreme Value Index (moments method) | -0.56 |
| VaR(95%) (moments method) | 0.13 |
| Expected Shortfall (moments method) | 0.15 |
| Extreme Value Index (regression method) | 0.52 |
| VaR(95%) (regression method) | 0.20 |
| Expected Shortfall (regression method) | 0.47 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -419540448 |
| Max Equity Drawdown (num days) | 802 |
| Last 4 Months - Pcnt Negative | 0.5% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 1.01 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.37 |
| Calmar ratio (compounded annual return / max draw down) | 0.79 |
| Compounded annual return / average of 25% largest draw downs | 0.85 |
| Compounded annual return / Expected Shortfall lognormal | 1.72 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.84 |
| Compounded annual return (geometric extrapolation) | 0.34 |
| Calmar ratio (compounded annual return / max draw down) | 0.52 |
| Compounded annual return / average of 25% largest draw downs | 1.91 |
| Compounded annual return / Expected Shortfall lognormal | 8.45 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 2.73 |
| Compounded annual return (geometric extrapolation) | 4.60 |
| Calmar ratio (compounded annual return / max draw down) | 17.95 |
| Compounded annual return / average of 25% largest draw downs | 30.63 |
| Compounded annual return / Expected Shortfall lognormal | 71.50 |
Trading record
Placed 893 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| RUM | long | 1500 | Mar 26, 2024 | Dec 23, 2024 | $3,126 |
| BABA | long | 100 | Sep 24, 2024 | Oct 23, 2024 | $672 |
| SMR | long | 600 | Jul 16, 2024 | Sep 19, 2024 | ($1,559) |
| JXI | long | 150 | Apr 11, 2024 | Sep 19, 2024 | $1,526 |
| CCJ | long | 175 | Jul 5, 2024 | Sep 18, 2024 | ($1,663) |
| MEOH | long | 150 | Feb 8, 2024 | Sep 10, 2024 | ($798) |
| NVDS | long | 250 | Apr 25, 2024 | Aug 29, 2024 | ($7,180) |
| CPER | long | 150 | Mar 28, 2024 | Aug 2, 2024 | $101 |
| DJT | long | 350 | Mar 5, 2024 | Jul 15, 2024 | $2,954 |
| THLLY | long | 150 | Mar 11, 2024 | Jun 27, 2024 | $171 |
| XYLD | long | 225 | Jan 11, 2024 | May 23, 2024 | $62 |
| TSLQ | long | 250 | Apr 29, 2024 | May 23, 2024 | $411 |
| MDT | long | 95 | Mar 18, 2024 | Apr 29, 2024 | ($88) |
| FMX | long | 85 | Jan 11, 2024 | Apr 17, 2024 | ($360) |
| INDA | long | 75 | Dec 12, 2023 | Apr 17, 2024 | $271 |
| EWP | long | 150 | Dec 14, 2023 | Apr 16, 2024 | $63 |
| EWO | long | 150 | Dec 12, 2023 | Apr 16, 2024 | $66 |
| VEU | long | 100 | Dec 12, 2023 | Apr 16, 2024 | $215 |
| PDBC | long | 200 | Dec 14, 2023 | Apr 15, 2024 | $60 |
| ECH | long | 100 | Mar 4, 2024 | Apr 12, 2024 | $103 |
| ARGT | long | 50 | Dec 12, 2023 | Apr 12, 2024 | $248 |
| GXG | long | 150 | Jan 11, 2024 | Apr 12, 2024 | $400 |
| AEM | long | 50 | Aug 11, 2023 | Apr 9, 2024 | $670 |
| JPMB | long | 100 | Dec 14, 2023 | Mar 27, 2024 | ($34) |
| ALLE | long | 35 | Aug 11, 2023 | Mar 19, 2024 | $410 |
| DWAC | long | 100 | Feb 5, 2024 | Feb 15, 2024 | $965 |
| DWAC | long | 100 | Jan 12, 2024 | Jan 23, 2024 | $3,770 |
| ICLR | long | 10 | Aug 17, 2023 | Dec 12, 2023 | $157 |
| STNE | long | 125 | Aug 11, 2023 | Dec 12, 2023 | $15 |
| BB | long | 250 | Aug 28, 2023 | Oct 23, 2023 | ($402) |
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.