The Kamishiro
- hypothetical · Annual Return (Compounded)
- 26.1%
- Max Drawdown
- 80.4%
- Trades
- 7
- Win Trades
- 85.7%
- Profit Factor
- 9.80
- Win Months
- 58.5%
About this strategy
Calm and Steady. IRA and TFSA Friendly.
When subscribed, ensure to join open trades as we normally keep them managed rather than re-entering (you must do this). If unsubscribed Collective2 will make it seem like the strategy does not have many closed trades because it only counts a complete trade if entire position is liquidated. In reality there will be 8-12 buy/sell signals a year with partial positions remaining open for more profits.
This strategy does not trade frequently, and does not take short positions. The goal is returns much greater than buy and hold "the market", while still maintaining reasonable drawdowns during period of economic hardship. This strategy is about steady and long lasting wealth creation. I calculated you could start with as little as 4K and still be profitable factoring in autorade fees and commissions.
Using a proprietary method, and mathematical formula's back tested against indexes all the way back to the 80's which included several stock market crashes, this strategy is great for those who wish to accumulate wealth greater than standard buy and hold, but also want to mitigate the risk that comes with that. I offer this for a low price due to the fact that it does not trade frequently. You will find pricing is VERY competitive against other collective2 strategies with lesser yearly returns, more exposure to margin, worse Sharpe ratios etc. It is true in this case that more trading does NOT equal better. This is a full mirror of one of my own tax free retirement accounts with my own real money. Please note Leverage calculation on C2 is WRONG. I am not using any account margin for these positions. It is a cash account.
Benefits:
- IRA/TFSA Friendly (tax free accounts).
- Low entry cost barrier (could be as small as 4K to still be profitable with autorade fees and commission factored in).
- Saves on commissions as strategy does not over trade.
- Not affected by PDT Rule as it only does a few trades a year.
- Supports Cash accounts (no chance of margin call).
- Calculated and backtested long term CAGR of around 40%. This is comparable to famed Renaissance Technologies "Medallion Fund", but without their extremely high 5/44 fee structure (backtesting data is hypothetical and it has not been verified by C2).
Some will find this strategy extremely boring and may feel they are not getting their money's worth due to the infrequent trades. If what you care about is the bottom line (which you should), the end result is a small fee for a much higher CAGR than the SP500. This strategy has been TOS 100% since day one. Don't be fooled by other strategies that weren't even active for the Covid-19 draw down of Feb 2020, or other strategy managers who have tried to hide their draw downs by resetting the strategy record.
"Unless you can watch your stock holding decline by 50% without becoming panic stricken, you should not be in the market." - Warren Buffet
When subscribed, ensure to join open trades as we normally keep them managed rather than re-entering (you must do this). If unsubscribed Collective2 will make it seem like the strategy does not have many closed trades because it only counts a complete trade if entire position is liquidated. In reality there will be 8-12 buy/sell signals a year with partial positions remaining open for more profits.
This strategy does not trade frequently, and does not take short positions. The goal is returns much greater than buy and hold "the market", while still maintaining reasonable drawdowns during period of economic hardship. This strategy is about steady and long lasting wealth creation. I calculated you could start with as little as 4K and still be profitable factoring in autorade fees and commissions.
Using a proprietary method, and mathematical formula's back tested against indexes all the way back to the 80's which included several stock market crashes, this strategy is great for those who wish to accumulate wealth greater than standard buy and hold, but also want to mitigate the risk that comes with that. I offer this for a low price due to the fact that it does not trade frequently. You will find pricing is VERY competitive against other collective2 strategies with lesser yearly returns, more exposure to margin, worse Sharpe ratios etc. It is true in this case that more trading does NOT equal better. This is a full mirror of one of my own tax free retirement accounts with my own real money. Please note Leverage calculation on C2 is WRONG. I am not using any account margin for these positions. It is a cash account.
Benefits:
- IRA/TFSA Friendly (tax free accounts).
- Low entry cost barrier (could be as small as 4K to still be profitable with autorade fees and commission factored in).
- Saves on commissions as strategy does not over trade.
- Not affected by PDT Rule as it only does a few trades a year.
- Supports Cash accounts (no chance of margin call).
- Calculated and backtested long term CAGR of around 40%. This is comparable to famed Renaissance Technologies "Medallion Fund", but without their extremely high 5/44 fee structure (backtesting data is hypothetical and it has not been verified by C2).
Some will find this strategy extremely boring and may feel they are not getting their money's worth due to the infrequent trades. If what you care about is the bottom line (which you should), the end result is a small fee for a much higher CAGR than the SP500. This strategy has been TOS 100% since day one. Don't be fooled by other strategies that weren't even active for the Covid-19 draw down of Feb 2020, or other strategy managers who have tried to hide their draw downs by resetting the strategy record.
"Unless you can watch your stock holding decline by 50% without becoming panic stricken, you should not be in the market." - Warren Buffet
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2019 | 0.0 | 0.0 | |||||||||||
| 2020 | 15.0 | -0.9 | -10.0 | 27.2 | 9.0 | 12.3 | 18.4 | 14.0 | -12.5 | -10.8 | 21.9 | 6.8 | 119.3 |
| 2021 | -4.0 | -6.7 | -6.5 | 20.1 | -4.1 | 13.7 | 14.5 | 10.5 | -16.0 | 21.9 | 1.2 | 7.6 | 54.6 |
| 2022 | -29.8 | -10.3 | 3.5 | -26.4 | -20.6 | -20.8 | 10.5 | 6.0 | -32.2 | -2.9 | 9.9 | -20.7 | -79.7 |
| 2023 | 32.1 | -8.4 | 24.1 | 4.9 | 20.1 | 14.7 | 5.5 | -13.7 | -7.4 | -1.6 | 24.3 | 16.7 | 161.3 |
| 2024 | 10.8 | 12.9 | -2.7 | -8.6 | 15.9 | 12.2 | -10.4 | 2.0 | 4.8 | 6.3 | 4.0 | 7.6 | 65.0 |
| 2025 | -2.5 | 8.3 | -24.5 | -27.2 | 44.7 | 15.1 | 7.9 | 3.5 | 12.2 | 13.2 | -12.1 | 5.7 | 27.3 |
| 2026 | 0.6 | -8.3 | -10.1 | 30.4 | 42.3 | -12.9 | -7.3 | 2.1 | 0.0 | 26.8 |
Statistics
Overview
| Strategy began | 12/2/2019 |
|---|---|
| Suggested Minimum Capital | $12,000 |
| Age | 82 months |
| What it trades | Stocks |
| # Trades | 7 |
| # Profitable | 6 |
| % Profitable | 85.7% |
| Avg trade duration | 696.4 days |
| Max peak-to-valley drawdown | 80.4% |
| drawdown period | Nov 18, 2021 - Nov 03, 2022 |
| Annual Return (Compounded) | 26.1% |
| Avg win | $8,392 |
| Avg loss | $5,277 |
Ratios
| W:L ratio | 9.83 |
|---|---|
| Sharpe Ratio | 0.56 |
| Sortino Ratio | 0.84 |
| Calmar Ratio | 1.36 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.66 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 145.9% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 234.3% |
Return Statistics
| Ann Return (w trading costs) | 26.1% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.3% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 26.3% |
Slump
| Current Slump as Pcnt Equity | 21.3% |
|---|---|
| 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 | 49.0% |
|---|---|
| Chance of 20% account loss | 24.0% |
| Chance of 30% account loss | 6.0% |
| Chance of 40% account loss | 4.5% |
| 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 | $5,277 |
|---|---|
| Avg Win | $8,392 |
| # Winners | 6 |
| Sum Trade PL (losers) | $5,277 |
| Sum Trade PL (winners) | $50,351 |
| Num Months Winners | 49 |
| # Losers | 1 |
| % Winners | 85.7% |
Dividends
| Dividends Received in Model Acct | 1525 |
|---|
Age
| Num Months filled monthly returns table | 82 |
|---|
Frequency
| Avg Position Time (mins) | 1002773.81 |
|---|---|
| Avg Position Time (hrs) | 16712.90 |
| Avg Trade Length | 696.40 |
| Last Trade Ago | 1867 |
Leverage
| Daily leverage (average) | 2.40 |
|---|---|
| Daily leverage (max) | 3.90 |
Regression
| Alpha | 0.03 |
|---|---|
| Beta | 1.79 |
| Treynor Index | 0.06 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.10 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.30 |
| MAE:Equity, average, losing trades | 0.30 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.07 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 0.29 |
| MAE:PL (avg, all trades) | 0.65 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.09 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.30 |
| Hold-and-Hope Ratio | 10.51 |
RATIO STATISTICS
| Mean | 1.08 |
|---|---|
| SD | 0.92 |
| Sharpe ratio (Glass type estimate) | 1.18 |
| Sharpe ratio (Hedges UMVUE) | 1.15 |
| df | 25 |
| t | 1.74 |
| p | 0.05 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.20 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.54 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.22 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.51 |
| Sortino ratio | 2.55 |
| Upside Potential Ratio | 4.16 |
| Upside part of mean | 1.76 |
| Downside part of mean | -0.68 |
| Upside SD | 0.85 |
| Downside SD | 0.42 |
| N nonnegative terms | 19 |
| N negative terms | 7 |
| N of observations | 26 |
| Mean of predictor | 0.42 |
| Mean of criterion | 1.08 |
| SD of predictor | 0.30 |
| SD of criterion | 0.92 |
| Covariance | 0.22 |
| r | 0.81 |
| b (slope, estimate of beta) | 2.48 |
| a (intercept, estimate of alpha) | 0.03 |
| Mean Square Error | 0.30 |
| DF error | 24 |
| t(b) | 6.74 |
| p(b) | 0 |
| t(a) | 0.08 |
| p(a) | 0.47 |
| Lowerbound of 95% confidence interval for beta | 1.72 |
| Upperbound of 95% confidence interval for beta | 3.24 |
| Lowerbound of 95% confidence interval for alpha | -0.80 |
| Upperbound of 95% confidence interval for alpha | 0.87 |
| Treynor index (mean / b) | 0.44 |
| Jensen alpha (a) | 0.03 |
| Mean | 0.69 |
| SD | 0.85 |
| Sharpe ratio (Glass type estimate) | 0.82 |
| Sharpe ratio (Hedges UMVUE) | 0.80 |
| df | 25 |
| t | 1.21 |
| p | 0.12 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.54 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.16 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.55 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.15 |
| Sortino ratio | 1.37 |
| Upside Potential Ratio | 2.93 |
| Upside part of mean | 1.49 |
| Downside part of mean | -0.79 |
| Upside SD | 0.69 |
| Downside SD | 0.51 |
| N nonnegative terms | 19 |
| N negative terms | 7 |
| N of observations | 26 |
| Mean of predictor | 0.37 |
| Mean of criterion | 0.69 |
| SD of predictor | 0.29 |
| SD of criterion | 0.85 |
| Covariance | 0.19 |
| r | 0.78 |
| b (slope, estimate of beta) | 2.27 |
| a (intercept, estimate of alpha) | -0.16 |
| Mean Square Error | 0.29 |
| DF error | 24 |
| t(b) | 6.08 |
| p(b) | 0 |
| t(a) | -0.40 |
| p(a) | 0.65 |
| Lowerbound of 95% confidence interval for beta | 1.50 |
| Upperbound of 95% confidence interval for beta | 3.05 |
| Lowerbound of 95% confidence interval for alpha | -0.97 |
| Upperbound of 95% confidence interval for alpha | 0.66 |
| Treynor index (mean / b) | 0.31 |
| Jensen alpha (a) | -0.16 |
| VaR(95%) | 0.29 |
| Expected Shortfall on VaR | 0.36 |
| VaR(95%) | 0.08 |
| Expected Shortfall on VaR | 0.19 |
| Mean | 1.12 |
| SD | 0.94 |
| Sharpe ratio (Glass type estimate) | 1.20 |
| Sharpe ratio (Hedges UMVUE) | 1.20 |
| df | 571 |
| t | 1.77 |
| p | 0.04 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.13 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.53 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.13 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.52 |
| Sortino ratio | 1.89 |
| Upside Potential Ratio | 8.17 |
| Upside part of mean | 4.87 |
| Downside part of mean | -3.74 |
| Upside SD | 0.73 |
| Downside SD | 0.60 |
| N nonnegative terms | 327 |
| N negative terms | 245 |
| N of observations | 572 |
| Mean of predictor | 0.44 |
| Mean of criterion | 1.12 |
| SD of predictor | 0.34 |
| SD of criterion | 0.94 |
| Covariance | 0.20 |
| r | 0.64 |
| b (slope, estimate of beta) | 1.77 |
| a (intercept, estimate of alpha) | 0.34 |
| Mean Square Error | 0.52 |
| DF error | 570 |
| t(b) | 19.79 |
| p(b) | 0 |
| t(a) | 0.70 |
| p(a) | 0.24 |
| Lowerbound of 95% confidence interval for beta | 1.60 |
| Upperbound of 95% confidence interval for beta | 1.95 |
| Lowerbound of 95% confidence interval for alpha | -0.62 |
| Upperbound of 95% confidence interval for alpha | 1.31 |
| Treynor index (mean / b) | 0.63 |
| Jensen alpha (a) | 0.34 |
| Mean | 0.70 |
| SD | 0.92 |
| Sharpe ratio (Glass type estimate) | 0.76 |
| Sharpe ratio (Hedges UMVUE) | 0.76 |
| df | 571 |
| t | 1.13 |
| p | 0.13 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.57 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.09 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.57 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.09 |
| Sortino ratio | 1.08 |
| Upside Potential Ratio | 7.16 |
| Upside part of mean | 4.64 |
| Downside part of mean | -3.94 |
| Upside SD | 0.65 |
| Downside SD | 0.65 |
| N nonnegative terms | 327 |
| N negative terms | 245 |
| N of observations | 572 |
| Mean of predictor | 0.38 |
| Mean of criterion | 0.70 |
| SD of predictor | 0.34 |
| SD of criterion | 0.92 |
| Covariance | 0.20 |
| r | 0.64 |
| b (slope, estimate of beta) | 1.74 |
| a (intercept, estimate of alpha) | 0.03 |
| Mean Square Error | 0.49 |
| DF error | 570 |
| t(b) | 20.02 |
| p(b) | 0 |
| t(a) | 0.07 |
| p(a) | 0.47 |
| Lowerbound of 95% confidence interval for beta | 1.57 |
| Upperbound of 95% confidence interval for beta | 1.91 |
| Lowerbound of 95% confidence interval for alpha | -0.90 |
| Upperbound of 95% confidence interval for alpha | 0.97 |
| Treynor index (mean / b) | 0.40 |
| Jensen alpha (a) | 0.03 |
| VaR(95%) | 0.09 |
| Expected Shortfall on VaR | 0.11 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.06 |
| Mean | 3.15 |
| SD | 1.70 |
| Sharpe ratio (Glass type estimate) | 1.85 |
| Sharpe ratio (Hedges UMVUE) | 1.84 |
| df | 130 |
| t | 1.31 |
| p | 0.44 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.93 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.63 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.94 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.62 |
| Sortino ratio | 3.19 |
| Upside Potential Ratio | 11.37 |
| Upside part of mean | 11.24 |
| Downside part of mean | -8.09 |
| Upside SD | 1.39 |
| Downside SD | 0.99 |
| N nonnegative terms | 67 |
| N negative terms | 64 |
| N of observations | 131 |
| Mean of predictor | 1.24 |
| Mean of criterion | 3.15 |
| SD of predictor | 0.46 |
| SD of criterion | 1.70 |
| Covariance | 0.66 |
| r | 0.84 |
| b (slope, estimate of beta) | 3.14 |
| a (intercept, estimate of alpha) | -0.76 |
| Mean Square Error | 0.84 |
| DF error | 129 |
| t(b) | 17.81 |
| p(b) | 0.04 |
| t(a) | -0.57 |
| p(a) | 0.53 |
| Lowerbound of 95% confidence interval for beta | 2.79 |
| Upperbound of 95% confidence interval for beta | 3.49 |
| Lowerbound of 95% confidence interval for alpha | -3.36 |
| Upperbound of 95% confidence interval for alpha | 1.85 |
| Treynor index (mean / b) | 1.00 |
| Jensen alpha (a) | -0.76 |
| Mean | 1.79 |
| SD | 1.63 |
| Sharpe ratio (Glass type estimate) | 1.10 |
| Sharpe ratio (Hedges UMVUE) | 1.09 |
| df | 130 |
| t | 0.78 |
| p | 0.47 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.68 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.87 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.68 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.87 |
| Sortino ratio | 1.66 |
| Upside Potential Ratio | 9.66 |
| Upside part of mean | 10.43 |
| Downside part of mean | -8.63 |
| Upside SD | 1.22 |
| Downside SD | 1.08 |
| N nonnegative terms | 67 |
| N negative terms | 64 |
| N of observations | 131 |
| Mean of predictor | 1.14 |
| Mean of criterion | 1.79 |
| SD of predictor | 0.46 |
| SD of criterion | 1.63 |
| Covariance | 0.63 |
| r | 0.85 |
| b (slope, estimate of beta) | 3.06 |
| a (intercept, estimate of alpha) | -1.69 |
| Mean Square Error | 0.72 |
| DF error | 129 |
| t(b) | 18.71 |
| p(b) | 0.03 |
| t(a) | -1.39 |
| p(a) | 0.58 |
| Lowerbound of 95% confidence interval for beta | 2.74 |
| VAR (95 Confidence Intrvl) | 0.09 |
| Upperbound of 95% confidence interval for beta | 3.39 |
| Lowerbound of 95% confidence interval for alpha | -4.10 |
| Upperbound of 95% confidence interval for alpha | 0.71 |
| Treynor index (mean / b) | 0.59 |
| Jensen alpha (a) | -1.69 |
| VaR(95%) | 0.15 |
| Expected Shortfall on VaR | 0.18 |
| VaR(95%) | 0.07 |
| Expected Shortfall on VaR | 0.14 |
ORDER STATISTICS
| Number of observations | 26 |
|---|---|
| Minimum | 0.63 |
| Quartile 1 | 0.96 |
| Median | 1.06 |
| Quartile 3 | 1.19 |
| Maximum | 1.68 |
| Mean of quarter 1 | 0.79 |
| Mean of quarter 2 | 1.03 |
| Mean of quarter 3 | 1.12 |
| Mean of quarter 4 | 1.42 |
| Inter Quartile Range | 0.22 |
| Number outliers low | 1 |
| Percentage of outliers low | 0.04 |
| Mean of outliers low | 0.63 |
| Number of outliers high | 2 |
| Percentage of outliers high | 0.08 |
| Mean of outliers high | 1.65 |
| Extreme Value Index (moments method) | -5.42 |
| VaR(95%) (moments method) | 0.14 |
| Expected Shortfall (moments method) | 0.14 |
| Extreme Value Index (regression method) | -0.91 |
| VaR(95%) (regression method) | 0.24 |
| Expected Shortfall (regression method) | 0.27 |
| Number of observations | 572 |
| Minimum | 0.73 |
| Quartile 1 | 0.99 |
| Median | 1.00 |
| Quartile 3 | 1.02 |
| Maximum | 1.61 |
| Mean of quarter 1 | 0.95 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.01 |
| Mean of quarter 4 | 1.06 |
| Inter Quartile Range | 0.03 |
| Number outliers low | 37 |
| Percentage of outliers low | 0.06 |
| Mean of outliers low | 0.88 |
| Number of outliers high | 42 |
| Percentage of outliers high | 0.07 |
| Mean of outliers high | 1.12 |
| Extreme Value Index (moments method) | 0.37 |
| VaR(95%) (moments method) | 0.04 |
| Expected Shortfall (moments method) | 0.08 |
| Extreme Value Index (regression method) | 0.17 |
| VaR(95%) (regression method) | 0.05 |
| Expected Shortfall (regression method) | 0.08 |
| Number of observations | 131 |
| Minimum | 0.74 |
| Quartile 1 | 0.96 |
| Median | 1.00 |
| Quartile 3 | 1.06 |
| Maximum | 1.61 |
| Mean of quarter 1 | 0.89 |
| Mean of quarter 2 | 0.98 |
| Mean of quarter 3 | 1.04 |
| Mean of quarter 4 | 1.13 |
| Inter Quartile Range | 0.11 |
| Number outliers low | 2 |
| Percentage of outliers low | 0.02 |
| Mean of outliers low | 0.76 |
| Number of outliers high | 3 |
| Percentage of outliers high | 0.02 |
| Mean of outliers high | 1.37 |
| Extreme Value Index (moments method) | 0.13 |
| VaR(95%) (moments method) | 0.10 |
| Expected Shortfall (moments method) | 0.15 |
| Extreme Value Index (regression method) | 0.08 |
| VaR(95%) (regression method) | 0.10 |
| Expected Shortfall (regression method) | 0.14 |
DRAW DOWN STATISTICS
| Number of observations | 4 |
|---|---|
| Minimum | 0.05 |
| Quartile 1 | 0.14 |
| Median | 0.18 |
| Quartile 3 | 0.30 |
| Maximum | 0.67 |
| Mean of quarter 1 | 0.05 |
| Mean of quarter 2 | 0.18 |
| Mean of quarter 3 | 0.18 |
| Mean of quarter 4 | 0.67 |
| Inter Quartile Range | 0.16 |
| 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 | 0.67 |
| 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 | 33 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.03 |
| Quartile 3 | 0.08 |
| Maximum | 0.78 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.06 |
| Mean of quarter 4 | 0.29 |
| Inter Quartile Range | 0.08 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 5 |
| Percentage of outliers high | 0.15 |
| Mean of outliers high | 0.38 |
| Extreme Value Index (moments method) | 0.17 |
| VaR(95%) (moments method) | 0.23 |
| Expected Shortfall (moments method) | 0.37 |
| Extreme Value Index (regression method) | 0.33 |
| VaR(95%) (regression method) | 0.32 |
| Expected Shortfall (regression method) | 0.60 |
| Number of observations | 9 |
| Minimum | 0.04 |
| Quartile 1 | 0.07 |
| Median | 0.11 |
| Quartile 3 | 0.26 |
| Maximum | 0.67 |
| Mean of quarter 1 | 0.05 |
| Mean of quarter 2 | 0.09 |
| Mean of quarter 3 | 0.24 |
| Mean of quarter 4 | 0.55 |
| Inter Quartile Range | 0.18 |
| 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 | 0.67 |
| Extreme Value Index (moments method) | -4.96 |
| VaR(95%) (moments method) | 0.49 |
| Expected Shortfall (moments method) | 0.49 |
| Extreme Value Index (regression method) | -0.65 |
| VaR(95%) (regression method) | 0.76 |
| Expected Shortfall (regression method) | 0.85 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -498611552 |
| Max Equity Drawdown (num days) | 350 |
| Last 4 Months - Pcnt Negative | 0.5% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 1.75 |
|---|---|
| Compounded annual return (geometric extrapolation) | 1.06 |
| Calmar ratio (compounded annual return / max draw down) | 1.57 |
| Compounded annual return / average of 25% largest draw downs | 1.57 |
| Compounded annual return / Expected Shortfall lognormal | 2.97 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 1.78 |
| Compounded annual return (geometric extrapolation) | 1.07 |
| Calmar ratio (compounded annual return / max draw down) | 1.36 |
| Compounded annual return / average of 25% largest draw downs | 3.72 |
| Compounded annual return / Expected Shortfall lognormal | 9.91 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 2.97 |
| Compounded annual return (geometric extrapolation) | 5.18 |
| Calmar ratio (compounded annual return / max draw down) | 7.72 |
| Compounded annual return / average of 25% largest draw downs | 9.35 |
| Compounded annual return / Expected Shortfall lognormal | 28.57 |
Trading record
Placed 40 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| TQQQ | long | 23 | Dec 30, 2019 | Dec 30, 2019 | $21 |
| TQQQ | long | 23 | Dec 24, 2019 | Dec 24, 2019 | $1 |
| TQQQ | long | 56 | Dec 23, 2019 | Dec 23, 2019 | $2 |
| TMF | long | 150 | Dec 18, 2019 | Dec 19, 2019 | $32 |
| TQQQ | long | 24 | Dec 19, 2019 | Dec 19, 2019 | $15 |
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.