Adaptive Global Macro
- hypothetical · Annual Return (Compounded)
- -7.0%
- Max Drawdown
- 52.0%
- Trades
- 38
- Win Trades
- 57.9%
- Profit Factor
- 0.60
- Win Months
- 45.1%
About this strategy
CORE PRINCIPLE
The strategy is based on the core idea that capital flows from an asset class to another, and such shifts in capital allocation occur according to the perceived economic conditions. The strategy employs proprietary quantitative tools to detect such shifts in probabilistic terms and creating a portfolio weight scheme that maximize the probability of being allocated in the strong assets in which capital is flowing. This compounds with a rigorous systematic risk management procedure that aims to deliver stable return over time, with little or no correlation to the market.
INVESTMENT PROCEDURE
Phase 1 - Information Processing
After having processed all relevant market informations, the model estimates the probabilities for each asset class to be the most performing.
Phase 2 - Weighting Scheme
A rigorous risk management procedure outputs the weights that maximize the chance of stable growth, given the probabilities estimated in Phase 1.
Phase 3 - Exposure
A self-learning system elaborates the relevant informations to estimate the current market conditions and the probabilities of tail events to unfold in the future. Such probabilities are then assembled into a market risk score, according to which portfolio exposure may be set in a range 0%-200% to improve the performances in
risk-off periods and reduce losses in risk-on phases.
PORTFOLIO MANAGEMENT
Traded Instruments
The model trades asset class ETFs, which include Domestic/International-Developed/Emerging Equities, Government/Corporate-ShortTerm/LongTerm-AAA/BB Bonds, Energy/Agriculture/Raw Materials Commodities, Gold and precious metals, Currencies. To gain exposure grater than 100% levered ETFs may be traded.
Trade Frequency
The average holding period is 1 month, the model trades about 4/5 ETFs per month. During period of extreme volatility holding frequency may shorten, resulting in a faster adapting allocation.
PERFORMANCE
In the backtest period (1985-2018), 91.2% of the trailing 12 month periods exhibited positive cumulative returns, the extent of the worst loss recorded has been 16%, and its length before recovery 17 months.
What you should expect from this strategy: mild losses in the range 4%-11% on average (range of 90% of the historical losses 1985-2018) and fast recovery time (90% of historical losses were recovered within 12 months).
The average historical return has been around 15% p.a., net of trading commissions.
-----------
"Backtesting data is hypothetical and it has not been verified by C2."
The strategy is based on the core idea that capital flows from an asset class to another, and such shifts in capital allocation occur according to the perceived economic conditions. The strategy employs proprietary quantitative tools to detect such shifts in probabilistic terms and creating a portfolio weight scheme that maximize the probability of being allocated in the strong assets in which capital is flowing. This compounds with a rigorous systematic risk management procedure that aims to deliver stable return over time, with little or no correlation to the market.
INVESTMENT PROCEDURE
Phase 1 - Information Processing
After having processed all relevant market informations, the model estimates the probabilities for each asset class to be the most performing.
Phase 2 - Weighting Scheme
A rigorous risk management procedure outputs the weights that maximize the chance of stable growth, given the probabilities estimated in Phase 1.
Phase 3 - Exposure
A self-learning system elaborates the relevant informations to estimate the current market conditions and the probabilities of tail events to unfold in the future. Such probabilities are then assembled into a market risk score, according to which portfolio exposure may be set in a range 0%-200% to improve the performances in
risk-off periods and reduce losses in risk-on phases.
PORTFOLIO MANAGEMENT
Traded Instruments
The model trades asset class ETFs, which include Domestic/International-Developed/Emerging Equities, Government/Corporate-ShortTerm/LongTerm-AAA/BB Bonds, Energy/Agriculture/Raw Materials Commodities, Gold and precious metals, Currencies. To gain exposure grater than 100% levered ETFs may be traded.
Trade Frequency
The average holding period is 1 month, the model trades about 4/5 ETFs per month. During period of extreme volatility holding frequency may shorten, resulting in a faster adapting allocation.
PERFORMANCE
In the backtest period (1985-2018), 91.2% of the trailing 12 month periods exhibited positive cumulative returns, the extent of the worst loss recorded has been 16%, and its length before recovery 17 months.
What you should expect from this strategy: mild losses in the range 4%-11% on average (range of 90% of the historical losses 1985-2018) and fast recovery time (90% of historical losses were recovered within 12 months).
The average historical return has been around 15% p.a., net of trading commissions.
-----------
"Backtesting data is hypothetical and it has not been verified by C2."
Macro / Fundamental
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2019 | 1.3 | -1.2 | 2.8 | 7.3 | 1.2 | 7.1 | -2.8 | 1.7 | -1.0 | -0.9 | 16.0 | ||
| 2020 | -6.5 | -6.7 | 5.9 | 0.4 | -12.4 | -1.4 | -0.1 | 0.7 | -2.2 | -1.7 | -4.2 | -9.1 | -32.4 |
| 2021 | -6.1 | 0.7 | 5.6 | -4.5 | 2.2 | -7.1 | 0.4 | -4.2 | -0.1 | 5.3 | 2.0 | 0.4 | -6.3 |
| 2022 | 14.0 | -0.4 | -5.8 | 7.6 | -0.5 | -0.7 | -4.3 | -0.0 | 3.4 | -7.7 | -5.7 | 0.7 | -1.4 |
| 2023 | -2.8 | 6.1 | 0.3 | -1.9 | 1.2 | 0.7 | -1.3 | -0.5 | 4.0 | 7.2 | -2.1 | -11.7 | -2.3 |
| 2024 | -0.7 | -1.9 | 2.4 | 5.7 | -4.7 | -3.1 | 0.5 | -3.9 | 1.9 | 0.5 | 1.8 | 3.9 | 1.9 |
| 2025 | -2.3 | 0.4 | 7.6 | -1.5 | -0.0 | -2.2 | -3.5 | -3.6 | 1.3 | -5.1 | -2.7 | 0.1 | -11.5 |
| 2026 | 1.0 | 0.2 | 1.0 | -2.9 | -1.0 | -2.3 | -3.8 | -1.6 | 0.3 | -8.9 |
Statistics
Overview
| Strategy began | 3/22/2019 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 91 months |
| What it trades | Stocks |
| # Trades | 38 |
| # Profitable | 22 |
| % Profitable | 57.9% |
| Avg trade duration | 220.2 days |
| Max peak-to-valley drawdown | 52.0% |
| drawdown period | Sept 04, 2019 - Aug 28, 2026 |
| Annual Return (Compounded) | -7.0% |
| Avg win | $2,125 |
| Avg loss | $5,628 |
Ratios
| W:L ratio | 0.56 |
|---|---|
| Sharpe Ratio | -0.44 |
| Sortino Ratio | -0.58 |
| Calmar Ratio | -0.45 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.32 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 171.1% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -212.9% |
Return Statistics
| Ann Return (w trading costs) | -7.0% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | -0.1% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | -6.6% |
Slump
| Current Slump as Pcnt Equity | 107.6% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.9% |
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 | 0.0% |
|---|---|
| Chance of 20% account loss | 0.0% |
| Chance of 30% account loss | 0.0% |
| Chance of 40% account loss | 0.0% |
| Chance of 50% account loss | 0.0% |
| Chance of 60% account loss (Monte Carlo) | 0.0% |
| Chance of 70% account loss (Monte Carlo) | 0.0% |
| Chance of 80% account loss (Monte Carlo) | 0.0% |
| Chance of 90% account loss (Monte Carlo) | 0.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Popularity
| Popularity (Today) | 0 |
|---|---|
| Popularity (Last 6 weeks) | 0 |
| Popularity (7 days, Percentile 1000 scale) | 0 |
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $5,628 |
|---|---|
| Avg Win | $2,125 |
| # Winners | 22 |
| Sum Trade PL (losers) | $90,042 |
| Sum Trade PL (winners) | $46,755 |
| Num Months Winners | 41 |
| # Losers | 16 |
| % Winners | 57.9% |
Dividends
| Dividends Received in Model Acct | 3492 |
|---|
Age
| Num Months filled monthly returns table | 91 |
|---|
Frequency
| Avg Position Time (mins) | 317068.88 |
|---|---|
| Avg Position Time (hrs) | 5284.48 |
| Avg Trade Length | 220.20 |
| Last Trade Ago | 2323 |
Leverage
| Daily leverage (average) | 1.94 |
|---|---|
| Daily leverage (max) | 3.04 |
Regression
| Alpha | -0.01 |
|---|---|
| Beta | -0.26 |
| Treynor Index | 0.09 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.04 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0 |
| MAE:Equity, average, losing trades | 0.09 |
| 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 | -2.52 |
| MAE:PL (avg, all trades) | 1.68 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 79.87 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 26.44 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.41 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.14 |
| Hold-and-Hope Ratio | -0.61 |
RATIO STATISTICS
| Mean | -0.22 |
|---|---|
| SD | 0.24 |
| Sharpe ratio (Glass type estimate) | -0.90 |
| Sharpe ratio (Hedges UMVUE) | -0.87 |
| df | 22 |
| t | -1.24 |
| p | 0.89 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -2.33 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.55 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -2.31 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.57 |
| Sortino ratio | -1.02 |
| Upside Potential Ratio | 1.02 |
| Upside part of mean | 0.22 |
| Downside part of mean | -0.43 |
| Upside SD | 0.12 |
| Downside SD | 0.21 |
| N nonnegative terms | 9 |
| N negative terms | 14 |
| N of observations | 23 |
| Mean of predictor | 0.53 |
| Mean of criterion | -0.22 |
| SD of predictor | 0.35 |
| SD of criterion | 0.24 |
| Covariance | -0.05 |
| r | -0.62 |
| b (slope, estimate of beta) | -0.43 |
| a (intercept, estimate of alpha) | 0.01 |
| Mean Square Error | 0.04 |
| DF error | 21 |
| t(b) | -3.63 |
| p(b) | 0.87 |
| t(a) | 0.04 |
| p(a) | 0.49 |
| Lowerbound of 95% confidence interval for beta | -0.67 |
| Upperbound of 95% confidence interval for beta | -0.18 |
| Lowerbound of 95% confidence interval for alpha | -0.31 |
| Upperbound of 95% confidence interval for alpha | 0.33 |
| Treynor index (mean / b) | 0.51 |
| Jensen alpha (a) | 0.01 |
| Mean | -0.25 |
| SD | 0.25 |
| Sharpe ratio (Glass type estimate) | -0.99 |
| Sharpe ratio (Hedges UMVUE) | -0.96 |
| df | 22 |
| t | -1.37 |
| p | 0.91 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -2.42 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.47 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -2.40 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.49 |
| Sortino ratio | -1.09 |
| Upside Potential Ratio | 0.91 |
| Upside part of mean | 0.21 |
| Downside part of mean | -0.46 |
| Upside SD | 0.12 |
| Downside SD | 0.23 |
| N nonnegative terms | 9 |
| N negative terms | 14 |
| N of observations | 23 |
| Mean of predictor | 0.46 |
| Mean of criterion | -0.25 |
| SD of predictor | 0.34 |
| SD of criterion | 0.25 |
| Covariance | -0.05 |
| r | -0.61 |
| b (slope, estimate of beta) | -0.45 |
| a (intercept, estimate of alpha) | -0.04 |
| Mean Square Error | 0.04 |
| DF error | 21 |
| t(b) | -3.53 |
| p(b) | 0.86 |
| t(a) | -0.27 |
| p(a) | 0.54 |
| Lowerbound of 95% confidence interval for beta | -0.72 |
| Upperbound of 95% confidence interval for beta | -0.19 |
| Lowerbound of 95% confidence interval for alpha | -0.37 |
| Upperbound of 95% confidence interval for alpha | 0.29 |
| Treynor index (mean / b) | 0.55 |
| Jensen alpha (a) | -0.04 |
| VaR(95%) | 0.13 |
| Expected Shortfall on VaR | 0.16 |
| VaR(95%) | 0.09 |
| Expected Shortfall on VaR | 0.16 |
| Mean | -0.24 |
| SD | 0.30 |
| Sharpe ratio (Glass type estimate) | -0.82 |
| Sharpe ratio (Hedges UMVUE) | -0.82 |
| df | 510 |
| t | -1.15 |
| p | 0.87 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -2.23 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.58 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -2.22 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.58 |
| Sortino ratio | -1.09 |
| Upside Potential Ratio | 6.09 |
| Upside part of mean | 1.36 |
| Downside part of mean | -1.60 |
| Upside SD | 0.20 |
| Downside SD | 0.22 |
| N nonnegative terms | 260 |
| N negative terms | 251 |
| N of observations | 511 |
| Mean of predictor | 0.55 |
| Mean of criterion | -0.24 |
| SD of predictor | 0.35 |
| SD of criterion | 0.30 |
| Covariance | -0.03 |
| r | -0.28 |
| b (slope, estimate of beta) | -0.23 |
| a (intercept, estimate of alpha) | -0.12 |
| Mean Square Error | 0.08 |
| DF error | 509 |
| t(b) | -6.56 |
| p(b) | 1 |
| t(a) | -0.56 |
| p(a) | 0.71 |
| Lowerbound of 95% confidence interval for beta | -0.30 |
| Upperbound of 95% confidence interval for beta | -0.16 |
| Lowerbound of 95% confidence interval for alpha | -0.52 |
| Upperbound of 95% confidence interval for alpha | 0.29 |
| Treynor index (mean / b) | 1.04 |
| Jensen alpha (a) | -0.12 |
| Mean | -0.29 |
| SD | 0.30 |
| Sharpe ratio (Glass type estimate) | -0.97 |
| Sharpe ratio (Hedges UMVUE) | -0.97 |
| df | 510 |
| t | -1.35 |
| p | 0.91 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -2.37 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.44 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -2.37 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.44 |
| Sortino ratio | -1.26 |
| Upside Potential Ratio | 5.87 |
| Upside part of mean | 1.34 |
| Downside part of mean | -1.63 |
| Upside SD | 0.19 |
| Downside SD | 0.23 |
| N nonnegative terms | 260 |
| N negative terms | 251 |
| N of observations | 511 |
| Mean of predictor | 0.48 |
| Mean of criterion | -0.29 |
| SD of predictor | 0.35 |
| SD of criterion | 0.30 |
| Covariance | -0.03 |
| r | -0.28 |
| b (slope, estimate of beta) | -0.23 |
| a (intercept, estimate of alpha) | -0.17 |
| Mean Square Error | 0.08 |
| DF error | 509 |
| t(b) | -6.54 |
| p(b) | 1 |
| t(a) | -0.85 |
| p(a) | 0.80 |
| Lowerbound of 95% confidence interval for beta | -0.30 |
| Upperbound of 95% confidence interval for beta | -0.16 |
| Lowerbound of 95% confidence interval for alpha | -0.58 |
| Upperbound of 95% confidence interval for alpha | 0.23 |
| Treynor index (mean / b) | 1.23 |
| Jensen alpha (a) | -0.17 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.04 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.03 |
| Mean | -0.60 |
| SD | 0.39 |
| Sharpe ratio (Glass type estimate) | -1.56 |
| Sharpe ratio (Hedges UMVUE) | -1.55 |
| df | 130 |
| t | -1.10 |
| p | 0.55 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -4.33 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.22 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -4.33 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.23 |
| Sortino ratio | -2.08 |
| Upside Potential Ratio | 6.79 |
| Upside part of mean | 1.97 |
| Downside part of mean | -2.57 |
| Upside SD | 0.26 |
| Downside SD | 0.29 |
| N nonnegative terms | 56 |
| N negative terms | 75 |
| N of observations | 131 |
| Mean of predictor | 1.16 |
| Mean of criterion | -0.60 |
| SD of predictor | 0.45 |
| SD of criterion | 0.39 |
| Covariance | -0.08 |
| r | -0.45 |
| b (slope, estimate of beta) | -0.38 |
| a (intercept, estimate of alpha) | -0.16 |
| Mean Square Error | 0.12 |
| DF error | 129 |
| t(b) | -5.70 |
| p(b) | 0.78 |
| t(a) | -0.32 |
| p(a) | 0.52 |
| Lowerbound of 95% confidence interval for beta | -0.52 |
| Upperbound of 95% confidence interval for beta | -0.25 |
| Lowerbound of 95% confidence interval for alpha | -1.14 |
| Upperbound of 95% confidence interval for alpha | 0.83 |
| Treynor index (mean / b) | 1.57 |
| Jensen alpha (a) | -0.16 |
| Mean | -0.68 |
| SD | 0.39 |
| Sharpe ratio (Glass type estimate) | -1.75 |
| Sharpe ratio (Hedges UMVUE) | -1.74 |
| df | 130 |
| t | -1.24 |
| p | 0.55 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -4.52 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.04 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -4.52 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.04 |
| Sortino ratio | -2.29 |
| Upside Potential Ratio | 6.52 |
| Upside part of mean | 1.93 |
| Downside part of mean | -2.61 |
| Upside SD | 0.25 |
| Downside SD | 0.30 |
| N nonnegative terms | 56 |
| N negative terms | 75 |
| N of observations | 131 |
| Mean of predictor | 1.05 |
| Mean of criterion | -0.68 |
| SD of predictor | 0.45 |
| SD of criterion | 0.39 |
| Covariance | -0.08 |
| r | -0.45 |
| b (slope, estimate of beta) | -0.38 |
| a (intercept, estimate of alpha) | -0.27 |
| Mean Square Error | 0.12 |
| DF error | 129 |
| t(b) | -5.67 |
| p(b) | 0.77 |
| t(a) | -0.55 |
| p(a) | 0.53 |
| Lowerbound of 95% confidence interval for beta | -0.52 |
| VAR (95 Confidence Intrvl) | 0.03 |
| Upperbound of 95% confidence interval for beta | -0.25 |
| Lowerbound of 95% confidence interval for alpha | -1.26 |
| Upperbound of 95% confidence interval for alpha | 0.71 |
| Treynor index (mean / b) | 1.77 |
| Jensen alpha (a) | -0.27 |
| VaR(95%) | 0.04 |
| Expected Shortfall on VaR | 0.05 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.04 |
ORDER STATISTICS
| Number of observations | 23 |
|---|---|
| Minimum | 0.83 |
| Quartile 1 | 0.95 |
| Median | 0.99 |
| Quartile 3 | 1.03 |
| Maximum | 1.09 |
| Mean of quarter 1 | 0.90 |
| Mean of quarter 2 | 0.97 |
| Mean of quarter 3 | 1.01 |
| Mean of quarter 4 | 1.07 |
| Inter Quartile Range | 0.08 |
| 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) | 0.09 |
| VaR(95%) (moments method) | 0.11 |
| Expected Shortfall (moments method) | 0.15 |
| Extreme Value Index (regression method) | -0.22 |
| VaR(95%) (regression method) | 0.12 |
| Expected Shortfall (regression method) | 0.15 |
| Number of observations | 511 |
| Minimum | 0.91 |
| Quartile 1 | 0.99 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.08 |
| 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 | 0.01 |
| Number outliers low | 39 |
| Percentage of outliers low | 0.08 |
| Mean of outliers low | 0.96 |
| Number of outliers high | 31 |
| Percentage of outliers high | 0.06 |
| Mean of outliers high | 1.04 |
| Extreme Value Index (moments method) | 0.28 |
| VaR(95%) (moments method) | 0.02 |
| Expected Shortfall (moments method) | 0.03 |
| Extreme Value Index (regression method) | 0.03 |
| VaR(95%) (regression method) | 0.02 |
| Expected Shortfall (regression method) | 0.03 |
| Number of observations | 131 |
| Minimum | 0.93 |
| Quartile 1 | 0.99 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.06 |
| Mean of quarter 1 | 0.97 |
| Mean of quarter 2 | 0.99 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.03 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 7 |
| Percentage of outliers low | 0.05 |
| Mean of outliers low | 0.94 |
| Number of outliers high | 6 |
| Percentage of outliers high | 0.05 |
| Mean of outliers high | 1.06 |
| Extreme Value Index (moments method) | 0.26 |
| VaR(95%) (moments method) | 0.03 |
| Expected Shortfall (moments method) | 0.05 |
| Extreme Value Index (regression method) | -0.06 |
| VaR(95%) (regression method) | 0.03 |
| Expected Shortfall (regression method) | 0.03 |
DRAW DOWN STATISTICS
| Number of observations | 2 |
|---|---|
| Minimum | 0.01 |
| Quartile 1 | 0.12 |
| Median | 0.23 |
| Quartile 3 | 0.34 |
| Maximum | 0.46 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.46 |
| Inter Quartile Range | 0.22 |
| 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 | 9 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.01 |
| Quartile 3 | 0.03 |
| Maximum | 0.50 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.00 |
| Mean of quarter 3 | 0.02 |
| Mean of quarter 4 | 0.27 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.11 |
| Mean of outliers high | 0.50 |
| Extreme Value Index (moments method) | 1.30 |
| VaR(95%) (moments method) | 0.23 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 4.09 |
| VaR(95%) (regression method) | 1.96 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 3 |
| Minimum | 0.01 |
| Quartile 1 | 0.05 |
| Median | 0.10 |
| Quartile 3 | 0.22 |
| Maximum | 0.35 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.10 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.35 |
| Inter Quartile Range | 0.17 |
| 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? | -413936160 |
| Max Equity Drawdown (num days) | 2550 |
| Last 4 Months - Pcnt Negative | 0.8% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | -0.18 |
|---|---|
| Compounded annual return (geometric extrapolation) | -0.20 |
| Calmar ratio (compounded annual return / max draw down) | -0.44 |
| Compounded annual return / average of 25% largest draw downs | -0.44 |
| Compounded annual return / Expected Shortfall lognormal | -1.27 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.20 |
| Compounded annual return (geometric extrapolation) | -0.23 |
| Calmar ratio (compounded annual return / max draw down) | -0.45 |
| Compounded annual return / average of 25% largest draw downs | -0.84 |
| Compounded annual return / Expected Shortfall lognormal | -5.98 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.56 |
| Compounded annual return (geometric extrapolation) | -0.48 |
| Calmar ratio (compounded annual return / max draw down) | -1.36 |
| Compounded annual return / average of 25% largest draw downs | -1.36 |
| Compounded annual return / Expected Shortfall lognormal | -9.43 |
Trading record
Placed 16 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| TLT | long | 5 | Mar 31, 2020 | May 1, 2020 | $11 |
| GLD | long | 16 | Mar 31, 2020 | May 1, 2020 | $178 |
| IEF | long | 608 | Mar 31, 2020 | May 1, 2020 | $123 |
| UST | long | 1302 | Feb 28, 2020 | Mar 31, 2020 | $6,101 |
| UGL | long | 60 | Feb 28, 2020 | Mar 31, 2020 | ($14) |
| UBT | long | 17 | Feb 28, 2020 | Mar 31, 2020 | $165 |
| SPXL | long | 639 | Jan 31, 2020 | Feb 28, 2020 | ($12,204) |
| UGLD | long | 157 | Jan 31, 2020 | Feb 28, 2020 | ($656) |
| TMF | long | 386 | Jan 31, 2020 | Feb 28, 2020 | $2,605 |
| TYD | long | 551 | Jan 31, 2020 | Feb 28, 2020 | $2,722 |
| UPV | long | 314 | Jan 2, 2020 | Jan 31, 2020 | ($1,403) |
| UBR | long | 251 | Jan 2, 2020 | Jan 31, 2020 | ($4,608) |
| EZJ | long | 1049 | Jan 2, 2020 | Jan 31, 2020 | ($2,995) |
| SSO | long | 55 | Jan 2, 2020 | Jan 31, 2020 | ($106) |
| EURL | long | 212 | Nov 29, 2019 | Jan 2, 2020 | $912 |
| TMF | long | 1237 | Nov 29, 2019 | Jan 2, 2020 | ($2,182) |
| TYD | long | 240 | Nov 6, 2019 | Jan 2, 2020 | ($335) |
| JPNL | long | 349 | Nov 1, 2019 | Jan 2, 2020 | $622 |
| SPXL | long | 500 | Nov 1, 2019 | Jan 2, 2020 | $4,696 |
| UGLD | long | 267 | Nov 1, 2019 | Nov 29, 2019 | ($3,991) |
| UST | long | 391 | Sep 30, 2019 | Nov 1, 2019 | ($127) |
| UBT | long | 285 | Sep 30, 2019 | Nov 1, 2019 | ($986) |
| URE | long | 60 | Sep 30, 2019 | Nov 1, 2019 | $1 |
| UGL | long | 179 | Sep 30, 2019 | Nov 1, 2019 | $359 |
| EZJ | long | 1007 | Sep 30, 2019 | Nov 1, 2019 | $2,895 |
| TYD | long | 899 | Aug 30, 2019 | Sep 30, 2019 | ($2,354) |
| SPXL | long | 518 | Aug 30, 2019 | Sep 30, 2019 | $1,395 |
| TMF | long | 713 | Aug 30, 2019 | Sep 30, 2019 | ($2,287) |
| UST | long | 911 | Jul 31, 2019 | Aug 30, 2019 | $4,331 |
| UBT | long | 835 | May 31, 2019 | Aug 30, 2019 | $5,963 |
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.