Ethos Swing
- hypothetical · Annual Return (Compounded)
- 6.7%
- Max Drawdown
- 26.7%
- Trades
- 18
- Win Trades
- 55.6%
- Profit Factor
- 2.50
- Win Months
- 11.4%
About this strategy
Ethos Swing is a market timing strategy that aims to place trades at medium term reversal areas in the S&P 500. This is a macro focused strategy which uses a number of sentiment, market breadth, economic strength and volatility indicators to forecast major reversal areas in the S&P.
This system only executes long trades in two ETFs: UPRO and SPXU. Both are ProShares 3x leveraged funds that attempt to replicate the performance of the S&P 500 index, but in opposite directions. Trades are placed in UPRO when the system believes the market is rising and SPXU when declining. Subscribers can expect to be in one of these two ETFs 95% of the time and in cash the other 5%. Since this system is designed to find medium term swings you can plan on placing a modest 5-15 trades per year. More trades are placed when the market is in a range and fewer when it’s trending.
Ethos Swing is compatible with IRA and other retirement accounts since it only holds long positions in popular ETFs. Annual commissions are low because very few trades are placed throughout the year. The ETFs I trade are extremely liquid making this strategy easily scalable for account sizes from $10,000 to over a million dollars. This strategy is compatible with AutoTrading and manual trading on Collective2. If you decide to manually trade Ethos Swing you can choose to trade ETFs pairs with less leverage, and therefore smaller draw downs and less risk, such as SSO/SDS (2x leverage), SPY/SH (no leverage), or even ES futures and mutual funds.
I detail every trade in advance and email my Ethos Update every weekend to subscribers. It summarizes the economic events of the previous week and explains what my strategy is forecasting for the upcoming week.
Please note this strategy that has a fantastic history on C2 of beating the S&P 500 by many multiples over several years and through major market corrections. Even though I employ strict risk controls there will be realistic draw downs in the area of 25%. You will find strategies on C2 with better performance and lower draw downs, but these are usually newer strategies that blow up on the first market pullback. Please keep that in mind when comparing Ethos Swing to newer strategies with a limited trading history.
Please visit http://ethosportfolio.com/strategies/ethos-swing/ for more information and to view the FAQ. Message me on C2 or via email at info@ethosportfolio.com if you have any other questions about my Ethos Swing strategy.
- Strategy Type: Medium term market reversal
- Account Compatibility: Any stock trading account (IRA and retirement account friendly)
- Instruments Traded: UPRO and SPXU - Long Only
- Trading Times: Only during live US market hours
- Position Sizing: Usually 100% of capital on each trade (depending on market volatility)
- Positions Held Overnight: Yes
- Positions Held Through Weekends: Yes
- Average Holding Time: 3 Weeks - 4 Months
- Number of Trades per Year: 5 - 15
- Update Messages: Every weekend / Early notification if a trade is planned (where possible)
This system only executes long trades in two ETFs: UPRO and SPXU. Both are ProShares 3x leveraged funds that attempt to replicate the performance of the S&P 500 index, but in opposite directions. Trades are placed in UPRO when the system believes the market is rising and SPXU when declining. Subscribers can expect to be in one of these two ETFs 95% of the time and in cash the other 5%. Since this system is designed to find medium term swings you can plan on placing a modest 5-15 trades per year. More trades are placed when the market is in a range and fewer when it’s trending.
Ethos Swing is compatible with IRA and other retirement accounts since it only holds long positions in popular ETFs. Annual commissions are low because very few trades are placed throughout the year. The ETFs I trade are extremely liquid making this strategy easily scalable for account sizes from $10,000 to over a million dollars. This strategy is compatible with AutoTrading and manual trading on Collective2. If you decide to manually trade Ethos Swing you can choose to trade ETFs pairs with less leverage, and therefore smaller draw downs and less risk, such as SSO/SDS (2x leverage), SPY/SH (no leverage), or even ES futures and mutual funds.
I detail every trade in advance and email my Ethos Update every weekend to subscribers. It summarizes the economic events of the previous week and explains what my strategy is forecasting for the upcoming week.
Please note this strategy that has a fantastic history on C2 of beating the S&P 500 by many multiples over several years and through major market corrections. Even though I employ strict risk controls there will be realistic draw downs in the area of 25%. You will find strategies on C2 with better performance and lower draw downs, but these are usually newer strategies that blow up on the first market pullback. Please keep that in mind when comparing Ethos Swing to newer strategies with a limited trading history.
Please visit http://ethosportfolio.com/strategies/ethos-swing/ for more information and to view the FAQ. Message me on C2 or via email at info@ethosportfolio.com if you have any other questions about my Ethos Swing strategy.
- Strategy Type: Medium term market reversal
- Account Compatibility: Any stock trading account (IRA and retirement account friendly)
- Instruments Traded: UPRO and SPXU - Long Only
- Trading Times: Only during live US market hours
- Position Sizing: Usually 100% of capital on each trade (depending on market volatility)
- Positions Held Overnight: Yes
- Positions Held Through Weekends: Yes
- Average Holding Time: 3 Weeks - 4 Months
- Number of Trades per Year: 5 - 15
- Update Messages: Every weekend / Early notification if a trade is planned (where possible)
Short-term Reversal
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2019 | -0.8 | -2.4 | 8.4 | 1.5 | 18.0 | 9.3 | 5.3 | 44.7 | |||||
| 2020 | -0.3 | 12.1 | 0.3 | -11.4 | -4.2 | -8.2 | 11.8 | 15.7 | -10.1 | 20.6 | -10.0 | 0.0 | 10.2 |
| 2021 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2022 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 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 | 0.0 | 0.0 |
Statistics
Overview
| Strategy began | 6/30/2019 |
|---|---|
| Suggested Minimum Capital | $10,000 |
| Age | 87 months |
| What it trades | Stocks |
| # Trades | 18 |
| # Profitable | 10 |
| % Profitable | 55.6% |
| Avg trade duration | 25.0 days |
| Max peak-to-valley drawdown | 26.7% |
| drawdown period | March 26, 2020 - June 23, 2020 |
| Annual Return (Compounded) | 6.7% |
| Avg win | $1,224 |
| Avg loss | $612 |
Ratios
| W:L ratio | 2.52 |
|---|---|
| Sharpe Ratio | 0.39 |
| Sortino Ratio | 0.58 |
| Calmar Ratio | 1.30 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.00 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 158.1% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -100.0% |
Return Statistics
| Ann Return (w trading costs) | 6.7% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.1% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 8.0% |
Slump
| Current Slump as Pcnt Equity | 12.1% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.8% |
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 | 31.5% |
|---|---|
| Chance of 20% account loss | 5.5% |
| 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 | $612 |
|---|---|
| Avg Win | $1,224 |
| # Winners | 10 |
| Sum Trade PL (losers) | $4,896 |
| Sum Trade PL (winners) | $12,241 |
| Num Months Winners | 10 |
| # Losers | 8 |
| % Winners | 55.6% |
Dividends
| Dividends Received in Model Acct | 79 |
|---|
Age
| Num Months filled monthly returns table | 88 |
|---|
Frequency
| Avg Position Time (mins) | 36058.33 |
|---|---|
| Avg Position Time (hrs) | 600.97 |
| Avg Trade Length | 25 |
| Last Trade Ago | 2122 |
Leverage
| Daily leverage (average) | 1.96 |
|---|---|
| Daily leverage (max) | 3.01 |
Regression
| Alpha | 0.01 |
|---|---|
| Beta | 0 |
| Treynor Index | -18.43 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.03 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.05 |
| MAE:Equity, average, losing trades | 0.06 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.02 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 1.09 |
| MAE:PL (avg, all trades) | -0.67 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.17 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.22 |
| Hold-and-Hope Ratio | 0.92 |
RATIO STATISTICS
| Mean | 0.27 |
|---|---|
| SD | 0.23 |
| Sharpe ratio (Glass type estimate) | 1.15 |
| Sharpe ratio (Hedges UMVUE) | 1.12 |
| df | 24 |
| t | 1.67 |
| p | 0.05 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.25 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.54 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.28 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.51 |
| Sortino ratio | 2.59 |
| Upside Potential Ratio | 4.24 |
| Upside part of mean | 0.44 |
| Downside part of mean | -0.17 |
| Upside SD | 0.22 |
| Downside SD | 0.10 |
| N nonnegative terms | 10 |
| N negative terms | 15 |
| N of observations | 25 |
| Mean of predictor | 0.41 |
| Mean of criterion | 0.27 |
| SD of predictor | 0.31 |
| SD of criterion | 0.23 |
| Covariance | -0.02 |
| r | -0.27 |
| b (slope, estimate of beta) | -0.20 |
| a (intercept, estimate of alpha) | 0.35 |
| Mean Square Error | 0.05 |
| DF error | 23 |
| t(b) | -1.36 |
| p(b) | 0.91 |
| t(a) | 2.08 |
| p(a) | 0.02 |
| Lowerbound of 95% confidence interval for beta | -0.52 |
| Upperbound of 95% confidence interval for beta | 0.11 |
| Lowerbound of 95% confidence interval for alpha | 0.00 |
| Upperbound of 95% confidence interval for alpha | 0.70 |
| Treynor index (mean / b) | -1.30 |
| Jensen alpha (a) | 0.35 |
| Mean | 0.24 |
| SD | 0.22 |
| Sharpe ratio (Glass type estimate) | 1.07 |
| Sharpe ratio (Hedges UMVUE) | 1.04 |
| df | 24 |
| t | 1.54 |
| p | 0.07 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.33 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.45 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.35 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.42 |
| Sortino ratio | 2.25 |
| Upside Potential Ratio | 3.89 |
| Upside part of mean | 0.41 |
| Downside part of mean | -0.17 |
| Upside SD | 0.20 |
| Downside SD | 0.11 |
| N nonnegative terms | 10 |
| N negative terms | 15 |
| N of observations | 25 |
| Mean of predictor | 0.36 |
| Mean of criterion | 0.24 |
| SD of predictor | 0.31 |
| SD of criterion | 0.22 |
| Covariance | -0.02 |
| r | -0.26 |
| b (slope, estimate of beta) | -0.19 |
| a (intercept, estimate of alpha) | 0.31 |
| Mean Square Error | 0.05 |
| DF error | 23 |
| t(b) | -1.30 |
| p(b) | 0.90 |
| t(a) | 1.90 |
| p(a) | 0.03 |
| Lowerbound of 95% confidence interval for beta | -0.49 |
| Upperbound of 95% confidence interval for beta | 0.11 |
| Lowerbound of 95% confidence interval for alpha | -0.03 |
| Upperbound of 95% confidence interval for alpha | 0.64 |
| Treynor index (mean / b) | -1.26 |
| Jensen alpha (a) | 0.31 |
| VaR(95%) | 0.08 |
| Expected Shortfall on VaR | 0.11 |
| VaR(95%) | 0.04 |
| Expected Shortfall on VaR | 0.07 |
| Mean | 0.26 |
| SD | 0.20 |
| Sharpe ratio (Glass type estimate) | 1.29 |
| Sharpe ratio (Hedges UMVUE) | 1.29 |
| df | 551 |
| t | 1.88 |
| p | 0.03 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.06 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.64 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.06 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.64 |
| Sortino ratio | 1.95 |
| Upside Potential Ratio | 7.93 |
| Upside part of mean | 1.04 |
| Downside part of mean | -0.78 |
| Upside SD | 0.15 |
| Downside SD | 0.13 |
| N nonnegative terms | 194 |
| N negative terms | 358 |
| N of observations | 552 |
| Mean of predictor | 0.48 |
| Mean of criterion | 0.26 |
| SD of predictor | 0.34 |
| SD of criterion | 0.20 |
| Covariance | -0.00 |
| r | -0.01 |
| b (slope, estimate of beta) | -0.00 |
| a (intercept, estimate of alpha) | 0.26 |
| Mean Square Error | 0.04 |
| DF error | 550 |
| t(b) | -0.12 |
| p(b) | 0.55 |
| t(a) | 1.88 |
| p(a) | 0.03 |
| Lowerbound of 95% confidence interval for beta | -0.05 |
| Upperbound of 95% confidence interval for beta | 0.05 |
| Lowerbound of 95% confidence interval for alpha | -0.01 |
| Upperbound of 95% confidence interval for alpha | 0.53 |
| Treynor index (mean / b) | -85.73 |
| Jensen alpha (a) | 0.26 |
| Mean | 0.24 |
| SD | 0.20 |
| Sharpe ratio (Glass type estimate) | 1.19 |
| Sharpe ratio (Hedges UMVUE) | 1.19 |
| df | 551 |
| t | 1.73 |
| p | 0.04 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.16 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.55 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.16 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.54 |
| Sortino ratio | 1.77 |
| Upside Potential Ratio | 7.73 |
| Upside part of mean | 1.03 |
| Downside part of mean | -0.79 |
| Upside SD | 0.15 |
| Downside SD | 0.13 |
| N nonnegative terms | 194 |
| N negative terms | 358 |
| N of observations | 552 |
| Mean of predictor | 0.42 |
| Mean of criterion | 0.24 |
| SD of predictor | 0.34 |
| SD of criterion | 0.20 |
| Covariance | -0.00 |
| r | -0.00 |
| b (slope, estimate of beta) | -0.00 |
| a (intercept, estimate of alpha) | 0.24 |
| Mean Square Error | 0.04 |
| DF error | 550 |
| t(b) | -0.06 |
| p(b) | 0.52 |
| t(a) | 1.73 |
| p(a) | 0.04 |
| Lowerbound of 95% confidence interval for beta | -0.05 |
| Upperbound of 95% confidence interval for beta | 0.05 |
| Lowerbound of 95% confidence interval for alpha | -0.03 |
| Upperbound of 95% confidence interval for alpha | 0.50 |
| Treynor index (mean / b) | -154.04 |
| Jensen alpha (a) | 0.24 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.02 |
| 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 | 1.04 |
| Mean of criterion | -0.03 |
| SD of predictor | 0.45 |
| 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 | 0.94 |
| Mean of criterion | -0.03 |
| SD of predictor | 0.45 |
| 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) | -6808745619226624 |
| p(a) | 1 |
| Lowerbound of 95% confidence interval for beta | 0 |
| VAR (95 Confidence Intrvl) | 0.02 |
| 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) | -3.19347968256528e+32 |
| 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 | 25 |
|---|---|
| Minimum | 0.92 |
| Quartile 1 | 1.00 |
| Median | 1 |
| Quartile 3 | 1.08 |
| Maximum | 1.16 |
| Mean of quarter 1 | 0.95 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1.04 |
| Mean of quarter 4 | 1.12 |
| 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) | -3.80 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.01 |
| Extreme Value Index (regression method) | -1.39 |
| VaR(95%) (regression method) | 0.05 |
| Expected Shortfall (regression method) | 0.05 |
| Number of observations | 552 |
| Minimum | 0.95 |
| Quartile 1 | 1.00 |
| Median | 1 |
| Quartile 3 | 1.00 |
| Maximum | 1.05 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.02 |
| Inter Quartile Range | 0.00 |
| Number outliers low | 78 |
| Percentage of outliers low | 0.14 |
| Mean of outliers low | 0.98 |
| Number of outliers high | 70 |
| Percentage of outliers high | 0.13 |
| Mean of outliers high | 1.02 |
| Extreme Value Index (moments method) | -0.37 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.00 |
| Extreme Value Index (regression method) | 0.02 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.02 |
| 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 | 5 |
|---|---|
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.06 |
| Quartile 3 | 0.07 |
| Maximum | 0.17 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.06 |
| Mean of quarter 3 | 0.07 |
| Mean of quarter 4 | 0.17 |
| Inter Quartile Range | 0.06 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.20 |
| Mean of outliers high | 0.17 |
| 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 | 29 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.01 |
| Quartile 3 | 0.05 |
| Maximum | 0.23 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.03 |
| Mean of quarter 4 | 0.11 |
| Inter Quartile Range | 0.05 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 2 |
| Percentage of outliers high | 0.07 |
| Mean of outliers high | 0.21 |
| Extreme Value Index (moments method) | 0.41 |
| VaR(95%) (moments method) | 0.12 |
| Expected Shortfall (moments method) | 0.23 |
| Extreme Value Index (regression method) | 0.67 |
| VaR(95%) (regression method) | 0.12 |
| Expected Shortfall (regression method) | 0.32 |
| 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? | -447198240 |
| Max Equity Drawdown (num days) | 89 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.36 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.31 |
| Calmar ratio (compounded annual return / max draw down) | 1.78 |
| Compounded annual return / average of 25% largest draw downs | 1.78 |
| Compounded annual return / Expected Shortfall lognormal | 2.86 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.35 |
| Compounded annual return (geometric extrapolation) | 0.30 |
| Calmar ratio (compounded annual return / max draw down) | 1.30 |
| Compounded annual return / average of 25% largest draw downs | 2.71 |
| Compounded annual return / Expected Shortfall lognormal | 12.59 |
| 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 37 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| SPXU | long | 1400 | Oct 13, 2020 | Nov 9, 2020 | $519 |
| UPRO | long | 200 | Jun 30, 2020 | Oct 13, 2020 | $3,266 |
| SPXU | long | 570 | Jun 11, 2020 | Jun 30, 2020 | ($197) |
| UPRO | long | 140 | Jun 5, 2020 | Jun 11, 2020 | ($754) |
| SPXU | long | 225 | Apr 15, 2020 | Jun 3, 2020 | ($1,327) |
| SPXU | long | 150 | Apr 3, 2020 | Apr 7, 2020 | ($1,162) |
| SPXU | long | 150 | Apr 1, 2020 | Apr 3, 2020 | ($50) |
| UPRO | long | 225 | Mar 24, 2020 | Mar 27, 2020 | $762 |
| SPXU | long | 160 | Mar 3, 2020 | Mar 4, 2020 | ($367) |
| SPXU | long | 300 | Feb 25, 2020 | Mar 2, 2020 | $924 |
| UPRO | long | 100 | Feb 3, 2020 | Feb 20, 2020 | $634 |
| UPRO | long | 200 | Jan 28, 2020 | Jan 31, 2020 | ($424) |
| SPXU | long | 750 | Jan 24, 2020 | Jan 28, 2020 | $75 |
| UPRO | long | 300 | Oct 9, 2019 | Jan 24, 2020 | $3,768 |
| SPXU | long | 410 | Sep 24, 2019 | Oct 9, 2019 | $427 |
| UPRO | long | 200 | Aug 15, 2019 | Sep 24, 2019 | $1,168 |
| SPXU | long | 330 | Aug 2, 2019 | Aug 15, 2019 | $640 |
| UPRO | long | 175 | Jul 3, 2019 | Aug 2, 2019 | ($645) |
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.