HistoryRepeatsItself
- hypothetical · Annual Return (Compounded)
- -70.5%
- Max Drawdown
- 97.7%
- Trades
- 265
- Win Trades
- 78.9%
- Profit Factor
- 0.90
- Win Months
- 13.0%
About this strategy
=============
(Important Update: HRI system has been declared as futures-only strategy starting with March 21, 2020)
Futures:
I have a broad interest in index and commodity futures. Dow Jones, S&P and DAX are the main indexes I usually follow along with a few more European indices plus Russia, Japan and of course China. As to the commodities side, I'm interested in trading both agro-commodities (mainly COFFEE, COCOA and WHEAT) as well as precious & industrial metals (GOLD, SILVER, PLATINUM, COPPER, ZINC, ALUMINIUM etc.). I'm not very much into oil markets but if my system detects a "winner-trade", sometimes I trade oil futures.
How I trade?
============
The style can be summarized as fairly classic and TA (technical analysis) oriented, although feedback from global and local economic sources are always being taken into account during the decision process. The system is very opportunistic (based on multi-timeframe level TA) so that positions can be closed and re-opened frequently. I usually try to compose a portfolio that has a variety among the instruments in various levels and usually carry positions which can be divided into short, mid-term and long-term positions. While waiting for more advantageous prices for long-term positions system can exploit some intra-day opportunities.
When I trade?
============
I have a full-time academic position in a state university in Turkey, I'm a Turkish citizen and I live in Turkey . I have some advantages in this regard, as I usually get already out of office and be at my home office when markets open in US. Usually, I'm on-and-off online during the whole trading day. You can reach me at any time of the day for questions and I always try my best to return as quickly as possible.
Where I trade?
==============
I have also some disadvantages because I live in Turkey. I can't open an US brokerage account and as a result I can't apply for TOS certificate for my system. I have an account at an European brokerage firm's London branch, where Turkish authorities used to allow Turkish citizens to open account at foreign brokers back then. I'm sorry for not providing TOS but alas, things got worse here :(
FAQ
==============
Q1) "Why has that big draw-down occurred during the first months of your system?"
A1) I'm totally aware that my system shows an non-negligible DD during the first months of its life. The main reason for such a big DD occurred that I wasn't maintaining the system back then, at all. I had no subscribers and my perspective at trading on C2 has changed dramatically since I realized that I need to keep a good record of trades compared to the first times I started this strategy. If I had the chance to go back in time I would totally close my account during the times when I had no time to maintaining it and re-open when I found that time. Currently, I have developed the self-determination in the favor of being a disciplined and well-focused C2 strategy provider so that I can easily assure you that it won't happen again.
Q2) "Was it a one-time thing or can it occur again?"
A2) Yes it was only a one time thing. No, it can't happen again as I'm actively maintaining my system and even in the worst case scenarios there are stop-losses points for every position I open which were not existing back then.
Q3) "Was it due to your system's dynamics or nature?/ Can this system cause this big DDs all the time?"
A3) No, it was not caused by my system's nature. As I have stated above, it was just because I wasn't actively maintaining the system. Moreover, the system currently running under this same brand name is not the same one running back then.
Q4) "Is your system completely auto or manual or what?"
A4) The "HistoryRepeatsItself" system is manual as it depends on signals generated by a combination of TA indicators in a platform of my choice. I manually enter the orders here once I take signals from my custom combination of indicators.
Q5) "Are you a fundamental or technical trader?"
A5) One would call me technical -even a quant sort of- trader as I'm an academics on quantitative methods myself and very much related with computer programming and trading interrelation for long years even before the hype started on algorithmic and HFC trading. But my current system here is an uncomplicated one which merely depends on technical analysis patterns although I'm constantly refreshing my decision paradigms with macroeconomic and financial news.
Q6) "What are your purposes as a trader?"
A6) My current purpose as a trader is to make enough money to make a living on trading without need for an academic full time position in my case. I'm taking my C2 trading record very seriously since I made this decision.
Q7) "If your system is so great why are you on C2?"
A7) Unfortunately, I haven't got enough capital like most of the traders on this platform. Otherwise, most probably I wouldn't be here and just minding my own business.
Commodities Financials / Indexes
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2018 | 0.5 | 0.5 | |||||||||||
| 2019 | -3.9 | -24.1 | -4.3 | -9.4 | 9.1 | 35.0 | 18.2 | 34.8 | 1.2 | 32.1 | -1.3 | 0.8 | 97.3 |
| 2020 | -10.7 | 23.8 | 21.4 | 9.5 | -12.9 | -6.8 | 2.6 | -0.5 | 0.0 | -14.4 | -8.4 | -93.0 | |
| 2021 | -9.2 | -10.1 | -1.8 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -19.7 |
| 2022 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2023 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2024 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2025 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 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 | 12/16/2018 |
|---|---|
| Suggested Minimum Capital | $12,000 |
| Age | 94 months |
| What it trades | Futures, Forex |
| # Trades | 265 |
| # Profitable | 209 |
| % Profitable | 78.9% |
| Avg trade duration | 5.1 days |
| Max peak-to-valley drawdown | 97.7% |
| drawdown period | April 14, 2020 - Sept 18, 2020 |
| Annual Return (Compounded) | -70.5% |
| Avg win | $259 |
| Avg loss | $1,090 |
Ratios
| W:L ratio | 0.89 |
|---|---|
| Sharpe Ratio | -0.22 |
| Sortino Ratio | -0.24 |
| Calmar Ratio | -0.35 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.00 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 192.0% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -143.4% |
Return Statistics
| Ann Return (w trading costs) | -70.5% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | -0.7% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | -10.4% |
Slump
| Current Slump as Pcnt Equity | 2657.6% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.8% |
Instruments
| Percent Trades Forex | 0.3% |
|---|---|
| Percent Trades Futures | 0.6% |
| Percent Trades Options | 0.0% |
| Short Options - Percent Covered | 100.0% |
| Percent Trades Stocks | 0.1% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 66.0% |
|---|---|
| Chance of 20% account loss | 35.5% |
| Chance of 30% account loss | 14.0% |
| Chance of 40% account loss | 8.0% |
| Chance of 50% account loss | 1.0% |
| 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 | 0.1% |
|---|
Popularity
| Popularity (Today) | 445 |
|---|---|
| Popularity (Last 6 weeks) | 604 |
| Popularity (7 days, Percentile 1000 scale) | 294 |
Trading Style
| Any stock shorts? 0/1 | 1 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $1,090 |
|---|---|
| Avg Win | $259 |
| # Winners | 209 |
| Sum Trade PL (losers) | $61,013 |
| Sum Trade PL (winners) | $54,131 |
| Num Months Winners | 12 |
| # Losers | 56 |
| % Winners | 78.9% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 93 |
|---|
Frequency
| Avg Position Time (mins) | 7337 |
|---|---|
| Avg Position Time (hrs) | 122.28 |
| Avg Trade Length | 5.10 |
| Last Trade Ago | 2005 |
Leverage
| Daily leverage (average) | 3.98 |
|---|---|
| Daily leverage (max) | 12.80 |
Regression
| Alpha | -0.03 |
|---|---|
| Beta | 0.01 |
| Treynor Index | -3.44 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.02 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0 |
| 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 | -7.54 |
| MAE:PL (avg, all trades) | 0.65 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 78.03 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 51.75 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.71 |
| Avg(MAE) / Avg(PL) - Losing trades | -0.74 |
| Hold-and-Hope Ratio | -0.13 |
RATIO STATISTICS
| Mean | 0.80 |
|---|---|
| SD | 0.74 |
| Sharpe ratio (Glass type estimate) | 1.08 |
| Sharpe ratio (Hedges UMVUE) | 1.04 |
| df | 19 |
| t | 1.39 |
| p | 0.31 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.49 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.62 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.52 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.59 |
| Sortino ratio | 2.74 |
| Upside Potential Ratio | 4.50 |
| Upside part of mean | 1.31 |
| Downside part of mean | -0.51 |
| Upside SD | 0.70 |
| Downside SD | 0.29 |
| N nonnegative terms | 12 |
| N negative terms | 8 |
| N of observations | 20 |
| Mean of predictor | 0.17 |
| Mean of criterion | 0.80 |
| SD of predictor | 0.20 |
| SD of criterion | 0.74 |
| Covariance | -0.07 |
| r | -0.46 |
| b (slope, estimate of beta) | -1.71 |
| a (intercept, estimate of alpha) | 1.09 |
| Mean Square Error | 0.46 |
| DF error | 18 |
| t(b) | -2.20 |
| p(b) | 0.73 |
| t(a) | 2.02 |
| p(a) | 0.29 |
| Lowerbound of 95% confidence interval for beta | -3.34 |
| Upperbound of 95% confidence interval for beta | -0.08 |
| Lowerbound of 95% confidence interval for alpha | -0.05 |
| Upperbound of 95% confidence interval for alpha | 2.22 |
| Treynor index (mean / b) | -0.47 |
| Jensen alpha (a) | 1.09 |
| Mean | 0.56 |
| SD | 0.66 |
| Sharpe ratio (Glass type estimate) | 0.85 |
| Sharpe ratio (Hedges UMVUE) | 0.82 |
| df | 19 |
| t | 1.10 |
| p | 0.35 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.70 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.38 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.72 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.36 |
| Sortino ratio | 1.73 |
| Upside Potential Ratio | 3.46 |
| Upside part of mean | 1.12 |
| Downside part of mean | -0.56 |
| Upside SD | 0.58 |
| Downside SD | 0.32 |
| N nonnegative terms | 12 |
| N negative terms | 8 |
| N of observations | 20 |
| Mean of predictor | 0.15 |
| Mean of criterion | 0.56 |
| SD of predictor | 0.21 |
| SD of criterion | 0.66 |
| Covariance | -0.06 |
| r | -0.45 |
| b (slope, estimate of beta) | -1.39 |
| a (intercept, estimate of alpha) | 0.76 |
| Mean Square Error | 0.36 |
| DF error | 18 |
| t(b) | -2.15 |
| p(b) | 0.73 |
| t(a) | 1.60 |
| p(a) | 0.32 |
| Lowerbound of 95% confidence interval for beta | -2.75 |
| Upperbound of 95% confidence interval for beta | -0.03 |
| Lowerbound of 95% confidence interval for alpha | -0.24 |
| Upperbound of 95% confidence interval for alpha | 1.76 |
| Treynor index (mean / b) | -0.40 |
| Jensen alpha (a) | 0.76 |
| VaR(95%) | 0.23 |
| Expected Shortfall on VaR | 0.29 |
| VaR(95%) | 0.09 |
| Expected Shortfall on VaR | 0.17 |
| Mean | 0.16 |
| SD | 0.80 |
| Sharpe ratio (Glass type estimate) | 0.20 |
| Sharpe ratio (Hedges UMVUE) | 0.20 |
| df | 440 |
| t | 0.26 |
| p | 0.40 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.31 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.71 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.31 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.71 |
| Sortino ratio | 0.23 |
| Upside Potential Ratio | 4.07 |
| Upside part of mean | 2.86 |
| Downside part of mean | -2.70 |
| Upside SD | 0.38 |
| Downside SD | 0.70 |
| N nonnegative terms | 217 |
| N negative terms | 224 |
| N of observations | 441 |
| Mean of predictor | 0.23 |
| Mean of criterion | 0.16 |
| SD of predictor | 0.29 |
| SD of criterion | 0.80 |
| Covariance | 0.01 |
| r | 0.05 |
| b (slope, estimate of beta) | 0.13 |
| a (intercept, estimate of alpha) | 0.08 |
| Mean Square Error | 0.64 |
| DF error | 439 |
| t(b) | 0.98 |
| p(b) | 0.16 |
| t(a) | 0.22 |
| p(a) | 0.41 |
| Lowerbound of 95% confidence interval for beta | -0.13 |
| Upperbound of 95% confidence interval for beta | 0.39 |
| Lowerbound of 95% confidence interval for alpha | -1.08 |
| Upperbound of 95% confidence interval for alpha | 1.35 |
| Treynor index (mean / b) | 1.26 |
| Jensen alpha (a) | 0.13 |
| Mean | -0.53 |
| SD | 1.48 |
| Sharpe ratio (Glass type estimate) | -0.36 |
| Sharpe ratio (Hedges UMVUE) | -0.36 |
| df | 440 |
| t | -0.46 |
| p | 0.68 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.87 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.15 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.87 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.15 |
| Sortino ratio | -0.37 |
| Upside Potential Ratio | 1.94 |
| Upside part of mean | 2.79 |
| Downside part of mean | -3.33 |
| Upside SD | 0.37 |
| Downside SD | 1.44 |
| N nonnegative terms | 217 |
| N negative terms | 224 |
| N of observations | 441 |
| Mean of predictor | 0.19 |
| Mean of criterion | -0.53 |
| SD of predictor | 0.29 |
| SD of criterion | 1.48 |
| Covariance | 0.03 |
| r | 0.06 |
| b (slope, estimate of beta) | 0.31 |
| a (intercept, estimate of alpha) | -0.59 |
| Mean Square Error | 2.20 |
| DF error | 439 |
| t(b) | 1.24 |
| p(b) | 0.11 |
| t(a) | -0.52 |
| p(a) | 0.70 |
| Lowerbound of 95% confidence interval for beta | -0.18 |
| Upperbound of 95% confidence interval for beta | 0.79 |
| Lowerbound of 95% confidence interval for alpha | -2.84 |
| Upperbound of 95% confidence interval for alpha | 1.66 |
| Treynor index (mean / b) | -1.74 |
| Jensen alpha (a) | -0.59 |
| VaR(95%) | 0.14 |
| Expected Shortfall on VaR | 0.17 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.05 |
| Mean | -1.37 |
| SD | 1.23 |
| Sharpe ratio (Glass type estimate) | -1.11 |
| Sharpe ratio (Hedges UMVUE) | -1.11 |
| df | 130 |
| t | -0.79 |
| p | 0.53 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.89 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.66 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.88 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.67 |
| Sortino ratio | -1.14 |
| Upside Potential Ratio | 1.34 |
| Upside part of mean | 1.61 |
| Downside part of mean | -2.98 |
| Upside SD | 0.25 |
| Downside SD | 1.20 |
| N nonnegative terms | 45 |
| N negative terms | 86 |
| N of observations | 131 |
| Mean of predictor | 0.87 |
| Mean of criterion | -1.37 |
| SD of predictor | 0.34 |
| SD of criterion | 1.23 |
| Covariance | 0.05 |
| r | 0.11 |
| b (slope, estimate of beta) | 0.41 |
| a (intercept, estimate of alpha) | -1.73 |
| Mean Square Error | 1.51 |
| DF error | 129 |
| t(b) | 1.28 |
| p(b) | 0.43 |
| t(a) | -0.98 |
| p(a) | 0.55 |
| Lowerbound of 95% confidence interval for beta | -0.22 |
| Upperbound of 95% confidence interval for beta | 1.04 |
| Lowerbound of 95% confidence interval for alpha | -5.21 |
| Upperbound of 95% confidence interval for alpha | 1.75 |
| Treynor index (mean / b) | -3.35 |
| Jensen alpha (a) | -1.73 |
| Mean | -3.40 |
| SD | 2.61 |
| Sharpe ratio (Glass type estimate) | -1.30 |
| Sharpe ratio (Hedges UMVUE) | -1.30 |
| df | 130 |
| t | -0.92 |
| p | 0.54 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -4.08 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.47 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -4.07 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.48 |
| Sortino ratio | -1.31 |
| Upside Potential Ratio | 0.61 |
| Upside part of mean | 1.58 |
| Downside part of mean | -4.98 |
| Upside SD | 0.24 |
| Downside SD | 2.59 |
| N nonnegative terms | 45 |
| N negative terms | 86 |
| N of observations | 131 |
| Mean of predictor | 0.81 |
| Mean of criterion | -3.40 |
| SD of predictor | 0.33 |
| SD of criterion | 2.61 |
| Covariance | 0.10 |
| r | 0.12 |
| b (slope, estimate of beta) | 0.90 |
| a (intercept, estimate of alpha) | -4.13 |
| Mean Square Error | 6.75 |
| DF error | 129 |
| t(b) | 1.32 |
| p(b) | 0.43 |
| t(a) | -1.11 |
| p(a) | 0.56 |
| Lowerbound of 95% confidence interval for beta | -0.45 |
| VAR (95 Confidence Intrvl) | 0.12 |
| Upperbound of 95% confidence interval for beta | 2.25 |
| Lowerbound of 95% confidence interval for alpha | -11.48 |
| Upperbound of 95% confidence interval for alpha | 3.22 |
| Treynor index (mean / b) | -3.77 |
| Jensen alpha (a) | -4.13 |
| VaR(95%) | 0.24 |
| Expected Shortfall on VaR | 0.29 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.07 |
ORDER STATISTICS
| Number of observations | 20 |
|---|---|
| Minimum | 0.75 |
| Quartile 1 | 0.95 |
| Median | 1.03 |
| Quartile 3 | 1.12 |
| Maximum | 1.55 |
| Mean of quarter 1 | 0.84 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.07 |
| Mean of quarter 4 | 1.36 |
| Inter Quartile Range | 0.18 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 3 |
| Percentage of outliers high | 0.15 |
| Mean of outliers high | 1.49 |
| Extreme Value Index (moments method) | -1.76 |
| VaR(95%) (moments method) | 0.17 |
| Expected Shortfall (moments method) | 0.17 |
| Extreme Value Index (regression method) | -0.32 |
| VaR(95%) (regression method) | 0.21 |
| Expected Shortfall (regression method) | 0.26 |
| Number of observations | 441 |
| Minimum | 0.16 |
| Quartile 1 | 0.99 |
| Median | 1 |
| Quartile 3 | 1.01 |
| Maximum | 1.17 |
| Mean of quarter 1 | 0.96 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.01 |
| Mean of quarter 4 | 1.04 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 12 |
| Percentage of outliers low | 0.03 |
| Mean of outliers low | 0.87 |
| Number of outliers high | 28 |
| Percentage of outliers high | 0.06 |
| Mean of outliers high | 1.08 |
| Extreme Value Index (moments method) | 0.36 |
| VaR(95%) (moments method) | 0.03 |
| Expected Shortfall (moments method) | 0.06 |
| Extreme Value Index (regression method) | 0.06 |
| VaR(95%) (regression method) | 0.03 |
| Expected Shortfall (regression method) | 0.04 |
| Number of observations | 131 |
| Minimum | 0.16 |
| Quartile 1 | 0.99 |
| Median | 1 |
| Quartile 3 | 1.01 |
| Maximum | 1.08 |
| Mean of quarter 1 | 0.96 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.02 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 9 |
| Percentage of outliers low | 0.07 |
| Mean of outliers low | 0.87 |
| Number of outliers high | 11 |
| Percentage of outliers high | 0.08 |
| Mean of outliers high | 1.05 |
| Extreme Value Index (moments method) | 0.84 |
| VaR(95%) (moments method) | 0.03 |
| Expected Shortfall (moments method) | 0.18 |
| Extreme Value Index (regression method) | 0.71 |
| VaR(95%) (regression method) | 0.02 |
| Expected Shortfall (regression method) | 0.08 |
DRAW DOWN STATISTICS
| Number of observations | 3 |
|---|---|
| Minimum | 0.19 |
| Quartile 1 | 0.20 |
| Median | 0.20 |
| Quartile 3 | 0.29 |
| Maximum | 0.38 |
| Mean of quarter 1 | 0.19 |
| Mean of quarter 2 | 0.20 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.38 |
| Inter Quartile Range | 0.09 |
| 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 | 20 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.05 |
| Quartile 3 | 0.12 |
| Maximum | 0.87 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.02 |
| Mean of quarter 3 | 0.08 |
| Mean of quarter 4 | 0.37 |
| Inter Quartile Range | 0.10 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 2 |
| Percentage of outliers high | 0.10 |
| Mean of outliers high | 0.67 |
| Extreme Value Index (moments method) | 0.30 |
| VaR(95%) (moments method) | 0.35 |
| Expected Shortfall (moments method) | 0.63 |
| Extreme Value Index (regression method) | 0.83 |
| VaR(95%) (regression method) | 0.56 |
| Expected Shortfall (regression method) | 3.61 |
| Number of observations | 4 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.04 |
| Quartile 3 | 0.26 |
| Maximum | 0.87 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.06 |
| Mean of quarter 4 | 0.87 |
| Inter Quartile Range | 0.25 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.25 |
| Mean of outliers high | 0.87 |
| 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? | -402284928 |
| Max Equity Drawdown (num days) | 157 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 1.00 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.80 |
| Calmar ratio (compounded annual return / max draw down) | 2.12 |
| Compounded annual return / average of 25% largest draw downs | 2.12 |
| Compounded annual return / Expected Shortfall lognormal | 2.76 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.34 |
| Compounded annual return (geometric extrapolation) | -0.40 |
| Calmar ratio (compounded annual return / max draw down) | -0.46 |
| Compounded annual return / average of 25% largest draw downs | -1.06 |
| Compounded annual return / Expected Shortfall lognormal | -2.28 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -1.63 |
| Compounded annual return (geometric extrapolation) | -0.97 |
| Calmar ratio (compounded annual return / max draw down) | -1.11 |
| Compounded annual return / average of 25% largest draw downs | -1.11 |
| Compounded annual return / Expected Shortfall lognormal | -3.32 |
Trading record
Placed 232 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| QG Q0 | long | 6 | Jun 8, 2020 | Mar 4, 2021 | ($27,748) |
| SB N0 | short | 2 | May 29, 2020 | May 29, 2020 | ($262) |
| QI N0 | short | 1 | May 28, 2020 | May 28, 2020 | $55 |
| CC N0 | short | 1 | May 27, 2020 | May 27, 2020 | ($78) |
| MYM M0 | short | 9 | May 15, 2020 | May 26, 2020 | ($6,580) |
| YM M0 | long | 2 | May 25, 2020 | May 26, 2020 | $2,437 |
| YM M0 | long | 2 | May 20, 2020 | May 20, 2020 | ($276) |
| MYM M0 | short | 1 | May 15, 2020 | May 15, 2020 | $21 |
| QI N0 | short | 1 | May 15, 2020 | May 15, 2020 | ($239) |
| QI N0 | short | 1 | May 14, 2020 | May 14, 2020 | ($133) |
| QG M0 | long | 2 | May 14, 2020 | May 14, 2020 | $159 |
| QI N0 | short | 1 | May 14, 2020 | May 14, 2020 | ($39) |
| YM M0 | short | 1 | May 13, 2020 | May 13, 2020 | $192 |
| W N0 | long | 2 | May 13, 2020 | May 13, 2020 | ($966) |
| QO M0 | long | 2 | May 11, 2020 | May 12, 2020 | $57 |
| QO M0 | long | 2 | May 11, 2020 | May 11, 2020 | $32 |
| QO M0 | long | 1 | May 11, 2020 | May 11, 2020 | $37 |
| QI N0 | short | 1 | May 11, 2020 | May 11, 2020 | $17 |
| CC K0 | long | 1 | Apr 29, 2020 | May 11, 2020 | ($218) |
| QO M0 | long | 2 | May 11, 2020 | May 11, 2020 | $104 |
| QI N0 | short | 1 | May 8, 2020 | May 8, 2020 | $315 |
| QI N0 | short | 1 | May 8, 2020 | May 8, 2020 | ($60) |
| W N0 | long | 2 | May 4, 2020 | May 8, 2020 | $367 |
| SB N0 | short | 2 | May 5, 2020 | May 6, 2020 | $62 |
| QI N0 | short | 1 | May 3, 2020 | May 3, 2020 | $180 |
| KC N0 | short | 1 | Apr 29, 2020 | Apr 29, 2020 | $367 |
| QO M0 | long | 2 | Apr 27, 2020 | Apr 27, 2020 | ($516) |
| YM M0 | short | 1 | Apr 24, 2020 | Apr 24, 2020 | ($548) |
| YM M0 | short | 1 | Apr 23, 2020 | Apr 24, 2020 | ($63) |
| YM M0 | short | 1 | Apr 23, 2020 | Apr 23, 2020 | $117 |
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.