Quantex Efficient
- hypothetical · Annual Return (Compounded)
- 9.8%
- Max Drawdown
- 53.5%
- Trades
- 196
- Win Trades
- 56.6%
- Profit Factor
- 2
- Win Months
- 57.6%
About this strategy
As of December 1, 2022, we are incorporating some improvements to the Original strategy (Misti Strategy), especially related to risk management. These mechanisms have been developed and implemented by Quantex Capital, a company dedicated to the development of investment strategies.
Quantex Efficient is an Adaptive Asset Allocation (AAA) Strategy
*Adaptive Asset Allocation (AAA) is based on the Nobel Prize winning portfolio theory of Markowitz (1952).
*AAA combines asset's momentum, volatilities, and cross-correlations for building diversified investment portfolios.
*In a tactical application AAA exploits momentum for crash detection and results in consistent returns at mitigated risk levels.
*In up-trending markets capital is allocated into offensive assets, like stocks, some ETFs, REITs, and commodities, while during market sell-offs especially intermediate US-treasuries are in vogue or ETFs and Stocks with low correlation.
This strategy opens the possibility of capturing high returns in the short term of the leveraged ETFs. Through the use of ETFs with a low correlation between them, we seek to identify market anomalies with a Low ratio: Risk / Reward.
Through a quantitative methodology called "Adaptive Asset Allocation" (AAA), this strategy allows to adapt each month, both the composition of the portfolio and the size of each position. In this way, it seeks to maximize profitability over the medium term and control portfolio volatility.
The system has been backtested since 2011 and in this testing has produced consistently profitable results.
Backtesting data is hypothetical and it has not been verified by C2.
Our system generates around 50 trades a year. This is not a high frequency system, we would expect 4 trades per month on average. This is a purely mechanical system with no discretionary elements. If you wish to receive the results of the Back Testing applied to this strategy, feel free to request them.
I invite you to see an additional strategy that has been recording similar results: https://collective2.com/editSystem/125401215
Quantex Efficient is an Adaptive Asset Allocation (AAA) Strategy
*Adaptive Asset Allocation (AAA) is based on the Nobel Prize winning portfolio theory of Markowitz (1952).
*AAA combines asset's momentum, volatilities, and cross-correlations for building diversified investment portfolios.
*In a tactical application AAA exploits momentum for crash detection and results in consistent returns at mitigated risk levels.
*In up-trending markets capital is allocated into offensive assets, like stocks, some ETFs, REITs, and commodities, while during market sell-offs especially intermediate US-treasuries are in vogue or ETFs and Stocks with low correlation.
This strategy opens the possibility of capturing high returns in the short term of the leveraged ETFs. Through the use of ETFs with a low correlation between them, we seek to identify market anomalies with a Low ratio: Risk / Reward.
Through a quantitative methodology called "Adaptive Asset Allocation" (AAA), this strategy allows to adapt each month, both the composition of the portfolio and the size of each position. In this way, it seeks to maximize profitability over the medium term and control portfolio volatility.
The system has been backtested since 2011 and in this testing has produced consistently profitable results.
Backtesting data is hypothetical and it has not been verified by C2.
Our system generates around 50 trades a year. This is not a high frequency system, we would expect 4 trades per month on average. This is a purely mechanical system with no discretionary elements. If you wish to receive the results of the Back Testing applied to this strategy, feel free to request them.
I invite you to see an additional strategy that has been recording similar results: https://collective2.com/editSystem/125401215
Hedged Equity Trend-following
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2019 | -0.0 | 1.3 | 2.1 | 1.2 | 4.6 | ||||||||
| 2020 | 4.0 | -4.4 | 11.9 | 7.1 | 1.6 | 2.9 | 8.9 | 0.9 | -3.0 | -4.7 | 6.8 | 1.4 | 37.0 |
| 2021 | -2.3 | -2.1 | 0.5 | 5.6 | -0.5 | 4.6 | 3.4 | 2.7 | -5.9 | 7.4 | 1.1 | 1.6 | 16.3 |
| 2022 | -7.2 | -4.2 | -1.4 | -14.0 | -0.8 | -4.3 | 2.0 | -1.2 | -1.6 | -3.2 | -0.2 | -0.9 | -32.0 |
| 2023 | 0.5 | -2.2 | 3.5 | 1.0 | 3.3 | 6.0 | 4.7 | -4.7 | -8.9 | -4.2 | 17.0 | 8.5 | 24.3 |
| 2024 | 2.3 | 8.7 | 2.4 | -8.0 | 7.9 | 7.7 | -1.3 | 2.1 | 3.6 | -12.8 | 4.7 | -3.8 | 11.7 |
| 2025 | 2.7 | -0.1 | -8.8 | -1.4 | 6.3 | 7.4 | 2.0 | 1.1 | 4.8 | 8.1 | -2.9 | -2.2 | 16.8 |
| 2026 | 0.6 | 0.5 | -0.2 | 0.6 | 6.4 | -0.9 | -6.0 | 3.5 | 0.0 | 4.2 |
Statistics
Overview
| Strategy began | 9/18/2019 |
|---|---|
| Suggested Minimum Capital | $15,000 |
| Age | 85 months |
| What it trades | Stocks |
| # Trades | 196 |
| # Profitable | 111 |
| % Profitable | 56.6% |
| Avg trade duration | 60.7 days |
| Max peak-to-valley drawdown | 53.5% |
| drawdown period | July 10, 2024 - July 27, 2025 |
| Annual Return (Compounded) | 9.8% |
| Avg win | $542 |
| Avg loss | $387 |
Ratios
| W:L ratio | 1.98 |
|---|---|
| Sharpe Ratio | 0.36 |
| Sortino Ratio | 0.58 |
| Calmar Ratio | 0.42 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.31 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 152.9% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -62.3% |
Return Statistics
| Ann Return (w trading costs) | 9.8% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.1% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 11.7% |
Slump
| Current Slump as Pcnt Equity | 4.1% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.0% |
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 | 70.0% |
|---|---|
| Chance of 20% account loss | 43.5% |
| Chance of 30% account loss | 27.0% |
| Chance of 40% account loss | 14.0% |
| Chance of 50% account loss | 2.5% |
| Chance of 60% account loss (Monte Carlo) | 0.5% |
| 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) | 502 |
| Popularity (7 days, Percentile 1000 scale) | 0 |
Trading Style
| Any stock shorts? 0/1 | 1 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $388 |
|---|---|
| Avg Win | $536 |
| # Winners | 111 |
| Sum Trade PL (losers) | $33,010 |
| Sum Trade PL (winners) | $59,510 |
| Num Months Winners | 50 |
| # Losers | 85 |
| % Winners | 56.6% |
Dividends
| Dividends Received in Model Acct | 2543 |
|---|
Age
| Num Months filled monthly returns table | 85 |
|---|
Frequency
| Avg Position Time (mins) | 87390.10 |
|---|---|
| Avg Position Time (hrs) | 1456.50 |
| Avg Trade Length | 60.70 |
| Last Trade Ago | 92 |
Leverage
| Daily leverage (average) | 1.34 |
|---|---|
| Daily leverage (max) | 2.71 |
Regression
| Alpha | 0.01 |
|---|---|
| Beta | 0.35 |
| Treynor Index | 0.08 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.01 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.05 |
| MAE:Equity, average, losing trades | 0.02 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.01 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 3.69 |
| MAE:PL (avg, all trades) | -0.20 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.49 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.72 |
| Hold-and-Hope Ratio | 0.28 |
RATIO STATISTICS
| Mean | 0.11 |
|---|---|
| SD | 0.16 |
| Sharpe ratio (Glass type estimate) | 0.65 |
| Sharpe ratio (Hedges UMVUE) | 0.64 |
| df | 78 |
| t | 1.66 |
| p | 0.05 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.12 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.42 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.13 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.41 |
| Sortino ratio | 1.04 |
| Upside Potential Ratio | 2.63 |
| Upside part of mean | 0.27 |
| Downside part of mean | -0.16 |
| Upside SD | 0.13 |
| Downside SD | 0.10 |
| N nonnegative terms | 47 |
| N negative terms | 32 |
| N of observations | 79 |
| Mean of predictor | 0.14 |
| Mean of criterion | 0.11 |
| SD of predictor | 0.22 |
| SD of criterion | 0.16 |
| Covariance | 0.02 |
| r | 0.62 |
| b (slope, estimate of beta) | 0.47 |
| a (intercept, estimate of alpha) | 0.04 |
| Mean Square Error | 0.02 |
| DF error | 77 |
| t(b) | 7.01 |
| p(b) | 0 |
| t(a) | 0.75 |
| p(a) | 0.23 |
| Lowerbound of 95% confidence interval for beta | 0.34 |
| Upperbound of 95% confidence interval for beta | 0.61 |
| Lowerbound of 95% confidence interval for alpha | -0.06 |
| Upperbound of 95% confidence interval for alpha | 0.14 |
| Treynor index (mean / b) | 0.22 |
| Jensen alpha (a) | 0.04 |
| Mean | 0.09 |
| SD | 0.16 |
| Sharpe ratio (Glass type estimate) | 0.57 |
| Sharpe ratio (Hedges UMVUE) | 0.56 |
| df | 78 |
| t | 1.46 |
| p | 0.07 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.20 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.33 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.21 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.33 |
| Sortino ratio | 0.87 |
| Upside Potential Ratio | 2.43 |
| Upside part of mean | 0.26 |
| Downside part of mean | -0.17 |
| Upside SD | 0.12 |
| Downside SD | 0.11 |
| N nonnegative terms | 47 |
| N negative terms | 32 |
| N of observations | 79 |
| Mean of predictor | 0.12 |
| Mean of criterion | 0.09 |
| SD of predictor | 0.23 |
| SD of criterion | 0.16 |
| Covariance | 0.02 |
| r | 0.58 |
| b (slope, estimate of beta) | 0.41 |
| a (intercept, estimate of alpha) | 0.04 |
| Mean Square Error | 0.02 |
| DF error | 77 |
| t(b) | 6.21 |
| p(b) | 0 |
| t(a) | 0.85 |
| p(a) | 0.20 |
| Lowerbound of 95% confidence interval for beta | 0.28 |
| Upperbound of 95% confidence interval for beta | 0.54 |
| Lowerbound of 95% confidence interval for alpha | -0.06 |
| Upperbound of 95% confidence interval for alpha | 0.15 |
| Treynor index (mean / b) | 0.23 |
| Jensen alpha (a) | 0.04 |
| VaR(95%) | 0.07 |
| Expected Shortfall on VaR | 0.09 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.06 |
| Mean | 0.10 |
| SD | 0.14 |
| Sharpe ratio (Glass type estimate) | 0.73 |
| Sharpe ratio (Hedges UMVUE) | 0.72 |
| df | 1727 |
| t | 1.86 |
| p | 0.47 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.04 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.49 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.04 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.49 |
| Sortino ratio | 1.03 |
| Upside Potential Ratio | 8.64 |
| Upside part of mean | 0.83 |
| Downside part of mean | -0.73 |
| Upside SD | 0.10 |
| Downside SD | 0.10 |
| N nonnegative terms | 939 |
| N negative terms | 789 |
| N of observations | 1728 |
| Mean of predictor | 0.14 |
| Mean of criterion | 0.10 |
| SD of predictor | 0.20 |
| SD of criterion | 0.14 |
| Covariance | 0.01 |
| r | 0.47 |
| b (slope, estimate of beta) | 0.32 |
| a (intercept, estimate of alpha) | 0.06 |
| Mean Square Error | 0.01 |
| DF error | 1726 |
| t(b) | 22.02 |
| p(b) | 0.27 |
| t(a) | 1.20 |
| p(a) | 0.49 |
| Lowerbound of 95% confidence interval for beta | 0.29 |
| Upperbound of 95% confidence interval for beta | 0.34 |
| Lowerbound of 95% confidence interval for alpha | -0.04 |
| Upperbound of 95% confidence interval for alpha | 0.15 |
| Treynor index (mean / b) | 0.31 |
| Jensen alpha (a) | 0.06 |
| Mean | 0.09 |
| SD | 0.14 |
| Sharpe ratio (Glass type estimate) | 0.66 |
| Sharpe ratio (Hedges UMVUE) | 0.66 |
| df | 1727 |
| t | 1.68 |
| p | 0.47 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.11 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.42 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.11 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.42 |
| Sortino ratio | 0.92 |
| Upside Potential Ratio | 8.51 |
| Upside part of mean | 0.83 |
| Downside part of mean | -0.74 |
| Upside SD | 0.10 |
| Downside SD | 0.10 |
| N nonnegative terms | 939 |
| N negative terms | 789 |
| N of observations | 1728 |
| Mean of predictor | 0.11 |
| Mean of criterion | 0.09 |
| SD of predictor | 0.20 |
| SD of criterion | 0.14 |
| Covariance | 0.01 |
| r | 0.47 |
| b (slope, estimate of beta) | 0.31 |
| a (intercept, estimate of alpha) | 0.05 |
| Mean Square Error | 0.01 |
| DF error | 1726 |
| t(b) | 21.98 |
| p(b) | 0.27 |
| t(a) | 1.14 |
| p(a) | 0.49 |
| Lowerbound of 95% confidence interval for beta | 0.29 |
| Upperbound of 95% confidence interval for beta | 0.34 |
| Lowerbound of 95% confidence interval for alpha | -0.04 |
| Upperbound of 95% confidence interval for alpha | 0.15 |
| Treynor index (mean / b) | 0.29 |
| Jensen alpha (a) | 0.05 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
| Mean | 0.07 |
| SD | 0.11 |
| Sharpe ratio (Glass type estimate) | 0.63 |
| Sharpe ratio (Hedges UMVUE) | 0.63 |
| df | 130 |
| t | 0.45 |
| p | 0.48 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -2.14 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.41 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -2.14 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.40 |
| Sortino ratio | 0.92 |
| Upside Potential Ratio | 8.21 |
| Upside part of mean | 0.64 |
| Downside part of mean | -0.57 |
| Upside SD | 0.08 |
| Downside SD | 0.08 |
| N nonnegative terms | 64 |
| N negative terms | 67 |
| N of observations | 131 |
| Mean of predictor | 0.22 |
| Mean of criterion | 0.07 |
| SD of predictor | 0.14 |
| SD of criterion | 0.11 |
| Covariance | 0.01 |
| r | 0.66 |
| b (slope, estimate of beta) | 0.54 |
| a (intercept, estimate of alpha) | -0.05 |
| Mean Square Error | 0.01 |
| DF error | 129 |
| t(b) | 10.07 |
| p(b) | 0.11 |
| t(a) | -0.38 |
| p(a) | 0.52 |
| Lowerbound of 95% confidence interval for beta | 0.43 |
| Upperbound of 95% confidence interval for beta | 0.64 |
| Lowerbound of 95% confidence interval for alpha | -0.29 |
| Upperbound of 95% confidence interval for alpha | 0.19 |
| Treynor index (mean / b) | 0.13 |
| Jensen alpha (a) | -0.05 |
| Mean | 0.07 |
| SD | 0.11 |
| Sharpe ratio (Glass type estimate) | 0.58 |
| Sharpe ratio (Hedges UMVUE) | 0.57 |
| df | 130 |
| t | 0.41 |
| p | 0.48 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -2.20 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.35 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -2.20 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.35 |
| Sortino ratio | 0.83 |
| Upside Potential Ratio | 8.10 |
| Upside part of mean | 0.64 |
| Downside part of mean | -0.58 |
| Upside SD | 0.08 |
| Downside SD | 0.08 |
| N nonnegative terms | 64 |
| N negative terms | 67 |
| N of observations | 131 |
| Mean of predictor | 0.21 |
| Mean of criterion | 0.07 |
| SD of predictor | 0.14 |
| SD of criterion | 0.11 |
| Covariance | 0.01 |
| r | 0.66 |
| b (slope, estimate of beta) | 0.54 |
| a (intercept, estimate of alpha) | -0.05 |
| Mean Square Error | 0.01 |
| DF error | 129 |
| t(b) | 10.11 |
| p(b) | 0.11 |
| t(a) | -0.39 |
| p(a) | 0.52 |
| Lowerbound of 95% confidence interval for beta | 0.43 |
| VAR (95 Confidence Intrvl) | 0.01 |
| Upperbound of 95% confidence interval for beta | 0.64 |
| Lowerbound of 95% confidence interval for alpha | -0.29 |
| Upperbound of 95% confidence interval for alpha | 0.19 |
| Treynor index (mean / b) | 0.12 |
| Jensen alpha (a) | -0.05 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
ORDER STATISTICS
| Number of observations | 79 |
|---|---|
| Minimum | 0.88 |
| Quartile 1 | 0.98 |
| Median | 1.01 |
| Quartile 3 | 1.03 |
| Maximum | 1.16 |
| Mean of quarter 1 | 0.95 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.02 |
| Mean of quarter 4 | 1.07 |
| Inter Quartile Range | 0.05 |
| Number outliers low | 3 |
| Percentage of outliers low | 0.04 |
| Mean of outliers low | 0.89 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.01 |
| Mean of outliers high | 1.16 |
| Extreme Value Index (moments method) | 0.42 |
| VaR(95%) (moments method) | 0.05 |
| Expected Shortfall (moments method) | 0.09 |
| Extreme Value Index (regression method) | 0.47 |
| VaR(95%) (regression method) | 0.04 |
| Expected Shortfall (regression method) | 0.07 |
| Number of observations | 1728 |
| Minimum | 0.96 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.05 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 57 |
| Percentage of outliers low | 0.03 |
| Mean of outliers low | 0.98 |
| Number of outliers high | 45 |
| Percentage of outliers high | 0.03 |
| Mean of outliers high | 1.02 |
| Extreme Value Index (moments method) | 0.05 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.01 |
| Extreme Value Index (regression method) | -0.07 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.01 |
| Number of observations | 131 |
| Minimum | 0.97 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.00 |
| Maximum | 1.03 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 6 |
| Percentage of outliers low | 0.05 |
| Mean of outliers low | 0.98 |
| Number of outliers high | 6 |
| Percentage of outliers high | 0.05 |
| Mean of outliers high | 1.02 |
| Extreme Value Index (moments method) | -0.21 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.01 |
| Extreme Value Index (regression method) | -0.22 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.01 |
DRAW DOWN STATISTICS
| Number of observations | 12 |
|---|---|
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.02 |
| Quartile 3 | 0.04 |
| Maximum | 0.29 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.03 |
| Mean of quarter 4 | 0.20 |
| Inter Quartile Range | 0.03 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 2 |
| Percentage of outliers high | 0.17 |
| Mean of outliers high | 0.27 |
| Extreme Value Index (moments method) | -167.60 |
| VaR(95%) (moments method) | 0.14 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | -3.03 |
| VaR(95%) (regression method) | 0.49 |
| Expected Shortfall (regression method) | 0.49 |
| Number of observations | 52 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.01 |
| Quartile 3 | 0.03 |
| Maximum | 0.30 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.02 |
| Mean of quarter 4 | 0.10 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 8 |
| Percentage of outliers high | 0.15 |
| Mean of outliers high | 0.14 |
| Extreme Value Index (moments method) | 0.32 |
| VaR(95%) (moments method) | 0.09 |
| Expected Shortfall (moments method) | 0.17 |
| Extreme Value Index (regression method) | 0.29 |
| VaR(95%) (regression method) | 0.11 |
| Expected Shortfall (regression method) | 0.20 |
| Number of observations | 12 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.00 |
| Quartile 3 | 0.01 |
| Maximum | 0.08 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.00 |
| Mean of quarter 3 | 0.00 |
| Mean of quarter 4 | 0.04 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 2 |
| Percentage of outliers high | 0.17 |
| Mean of outliers high | 0.05 |
| Extreme Value Index (moments method) | -0.37 |
| VaR(95%) (moments method) | 0.03 |
| Expected Shortfall (moments method) | 0.04 |
| Extreme Value Index (regression method) | 1.43 |
| VaR(95%) (regression method) | 0.08 |
| Expected Shortfall (regression method) | 0 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -476968992 |
| Max Equity Drawdown (num days) | 382 |
| Last 4 Months - Pcnt Negative | 0.5% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.18 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.13 |
| Calmar ratio (compounded annual return / max draw down) | 0.43 |
| Compounded annual return / average of 25% largest draw downs | 0.64 |
| Compounded annual return / Expected Shortfall lognormal | 1.50 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.18 |
| Compounded annual return (geometric extrapolation) | 0.12 |
| Calmar ratio (compounded annual return / max draw down) | 0.42 |
| Compounded annual return / average of 25% largest draw downs | 1.24 |
| Compounded annual return / Expected Shortfall lognormal | 7.37 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.10 |
| Compounded annual return (geometric extrapolation) | 0.10 |
| Calmar ratio (compounded annual return / max draw down) | 1.19 |
| Compounded annual return / average of 25% largest draw downs | 2.63 |
| Compounded annual return / Expected Shortfall lognormal | 6.94 |
Trading record
Placed 97 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| ARKW | long | 11 | Jan 6, 2026 | May 1, 2026 | ($81) |
| TLT | long | 93 | Dec 5, 2024 | Feb 27, 2026 | ($74) |
| TMF | long | 217 | Dec 5, 2024 | Feb 27, 2026 | ($522) |
| QQQ | long | 53 | Nov 4, 2024 | Feb 27, 2026 | $3,098 |
| TQQQ | long | 70 | Nov 4, 2024 | Jan 6, 2026 | $756 |
| SPXL | long | 10 | Nov 4, 2024 | Jan 6, 2026 | $483 |
| QLD | long | 154 | Nov 4, 2024 | Jan 6, 2026 | $2,221 |
| SSO | long | 122 | Nov 4, 2024 | Jan 6, 2026 | $1,408 |
| SPY | long | 18 | Nov 4, 2024 | Jan 6, 2026 | $1,925 |
| TQQQ | long | 11 | Sep 3, 2024 | Nov 1, 2024 | $71 |
| SPXL | long | 6 | Sep 3, 2024 | Nov 1, 2024 | $62 |
| QLD | long | 90 | Sep 3, 2024 | Nov 1, 2024 | $568 |
| SSO | long | 37 | Sep 3, 2024 | Nov 1, 2024 | $149 |
| QQQ | long | 20 | Sep 3, 2024 | Nov 1, 2024 | $376 |
| SPY | long | 14 | Sep 3, 2024 | Nov 1, 2024 | $210 |
| TMF | long | 545 | Aug 1, 2024 | Nov 1, 2024 | ($5,585) |
| SSO | long | 49 | Aug 1, 2024 | Sep 3, 2024 | $16 |
| SPY | long | 16 | Aug 1, 2024 | Sep 3, 2024 | $52 |
| SPXL | long | 9 | Aug 1, 2024 | Sep 3, 2024 | ($6) |
| TQQQ | long | 18 | Aug 1, 2024 | Sep 3, 2024 | ($71) |
| QQQ | long | 25 | Aug 1, 2024 | Sep 3, 2024 | ($107) |
| QLD | long | 90 | Aug 1, 2024 | Sep 3, 2024 | ($264) |
| TQQQ | long | 35 | Jul 1, 2024 | Aug 1, 2024 | ($128) |
| SPXL | long | 12 | Jul 1, 2024 | Aug 1, 2024 | $80 |
| QLD | long | 90 | Jul 1, 2024 | Aug 1, 2024 | ($244) |
| SSO | long | 63 | Jul 1, 2024 | Aug 1, 2024 | $165 |
| QQQ | long | 33 | Jul 1, 2024 | Aug 1, 2024 | ($162) |
| SPY | long | 18 | Jul 1, 2024 | Aug 1, 2024 | $194 |
| TQQQ | long | 40 | May 13, 2024 | Jul 1, 2024 | $518 |
| SPXL | long | 13 | May 13, 2024 | Jul 1, 2024 | $176 |
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.