Juicy x 3
- hypothetical · Annual Return (Compounded)
- 12.7%
- Max Drawdown
- 70.5%
- Trades
- 114
- Win Trades
- 58.8%
- Profit Factor
- 1.80
- Win Months
- 57.1%
About this strategy
This strategy trades in 3 different leveraged ETF's. Signals are provided before the open each day. So this is a good strategy for IRA investors, or those who only want to manage trades once a day. System and signals are 100% algorithmic.
**New Subscribers should typically enter open positions, but it is ultimately up to you.
2 Year Back tested Results as of 8/25/2020
All Trades
Starting Capital $100,000.00
Ending Capital $762,187.44
Net Profit $662,187.44
Net Profit % 662.19%
Annualized Gain % 176.65%
Exposure 50.90%
Total Commission $0.00
Return on Cash $0.00
Margin Interest Paid $0.00
Dividends Received $0.00
Number of Trades 125
Average Profit $5,297.50
Average Profit % 5.38%
Average Bars Held 6.78
Winning Trades 88
Win Rate 70.40%
Gross Profit $978,106.24
Average Profit $11,114.84
Average Profit % 10.84%
Average Bars Held 7.67
Max Consecutive Winners 11
Losing Trades 37
Loss Rate 29.60%
Gross Loss ($315,918.80)
Average Loss ($8,538.35)
Average Loss % -7.60%
Average Bars Held 4.68
Max Consecutive Losses 4
Maximum Drawdown ($57,100.29)
Maximum Drawdown Date 7/7/2020
Maximum Drawdown % -11.81%
Maximum Drawdown % Date 9/3/2019
Sharpe Ratio 2.7
Profit Factor 3.1
Recovery Factor 11.6
Payoff Ratio 1.43
Profit / Total Bars $1,316.48
*Short Trades: This system will never go short. This was the first system I published on c2 and while setting up auto trading I tested broker connect as well as subscriber auto-trade. During that testing/configuration I made a mistake and caused the one short trade you see in the record.
**New Subscribers should typically enter open positions, but it is ultimately up to you.
2 Year Back tested Results as of 8/25/2020
All Trades
Starting Capital $100,000.00
Ending Capital $762,187.44
Net Profit $662,187.44
Net Profit % 662.19%
Annualized Gain % 176.65%
Exposure 50.90%
Total Commission $0.00
Return on Cash $0.00
Margin Interest Paid $0.00
Dividends Received $0.00
Number of Trades 125
Average Profit $5,297.50
Average Profit % 5.38%
Average Bars Held 6.78
Winning Trades 88
Win Rate 70.40%
Gross Profit $978,106.24
Average Profit $11,114.84
Average Profit % 10.84%
Average Bars Held 7.67
Max Consecutive Winners 11
Losing Trades 37
Loss Rate 29.60%
Gross Loss ($315,918.80)
Average Loss ($8,538.35)
Average Loss % -7.60%
Average Bars Held 4.68
Max Consecutive Losses 4
Maximum Drawdown ($57,100.29)
Maximum Drawdown Date 7/7/2020
Maximum Drawdown % -11.81%
Maximum Drawdown % Date 9/3/2019
Sharpe Ratio 2.7
Profit Factor 3.1
Recovery Factor 11.6
Payoff Ratio 1.43
Profit / Total Bars $1,316.48
*Short Trades: This system will never go short. This was the first system I published on c2 and while setting up auto trading I tested broker connect as well as subscriber auto-trade. During that testing/configuration I made a mistake and caused the one short trade you see in the record.
Trend-following Sector: Technology
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2020 | 23.4 | -11.4 | -7.6 | 9.7 | 7.7 | 19.5 | |||||||
| 2021 | -6.6 | -1.4 | 6.8 | 5.1 | 5.2 | 8.5 | -3.1 | 12.7 | -11.3 | 25.4 | 1.8 | -4.7 | 38.8 |
| 2022 | -10.6 | -14.1 | -17.8 | -13.7 | -5.3 | -23.7 | 25.0 | -10.7 | -22.3 | 17.2 | 9.2 | -10.9 | -61.0 |
| 2023 | 22.0 | -4.7 | -12.0 | 9.3 | 7.1 | 9.2 | 15.0 | -12.4 | 0.9 | -11.8 | 27.1 | 11.7 | 66.5 |
| 2024 | 11.5 | 16.6 | 3.1 | -8.3 | 13.3 | 9.4 | -4.2 | 7.8 | 4.4 | 6.1 | 17.6 | -4.6 | 95.6 |
| 2025 | -4.6 | 0.0 | -14.2 | 7.2 | 0.0 | ||||||||
| 2026 | -15.1 | -0.3 | 7.6 | 7.6 | 1.7 | -1.6 |
Statistics
Overview
| Strategy began | 8/5/2020 |
|---|---|
| Suggested Minimum Capital | $20,000 |
| Age | 74 months |
| What it trades | Stocks |
| # Trades | 114 |
| # Profitable | 67 |
| % Profitable | 58.8% |
| Avg trade duration | 54.1 days |
| Max peak-to-valley drawdown | 70.5% |
| drawdown period | Nov 08, 2021 - Oct 12, 2022 |
| Annual Return (Compounded) | 12.7% |
| Avg win | $726 |
| Avg loss | $590 |
Ratios
| W:L ratio | 1.83 |
|---|---|
| Sharpe Ratio | 0.42 |
| Sortino Ratio | 0.60 |
| Calmar Ratio | 0.60 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.55 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 128.5% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -24.7% |
Return Statistics
| Ann Return (w trading costs) | 12.7% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.1% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 13.3% |
Slump
| Current Slump as Pcnt Equity | 17.1% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.2% |
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 | 37.5% |
|---|---|
| Chance of 20% account loss | 10.5% |
| Chance of 30% account loss | 0.5% |
| 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 | 56.0% |
|---|
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 | $590 |
|---|---|
| Avg Win | $726 |
| # Winners | 67 |
| Sum Trade PL (losers) | $27,736 |
| Sum Trade PL (winners) | $48,673 |
| Num Months Winners | 36 |
| # Losers | 47 |
| % Winners | 58.8% |
Dividends
| Dividends Received in Model Acct | 2032 |
|---|
Age
| Num Months filled monthly returns table | 65 |
|---|
Frequency
| Avg Position Time (mins) | 77919.27 |
|---|---|
| Avg Position Time (hrs) | 1298.65 |
| Avg Trade Length | 54.10 |
| Last Trade Ago | 1846 |
Leverage
| Daily leverage (average) | 1.76 |
|---|---|
| Daily leverage (max) | 3.13 |
Regression
| Alpha | 0 |
|---|---|
| Beta | 1.34 |
| Treynor Index | 0.04 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.03 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.01 |
| MAE:Equity, average, losing trades | 0.02 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.03 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 1.91 |
| MAE:PL (avg, all trades) | -0.86 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.64 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.25 |
| Hold-and-Hope Ratio | 0.47 |
RATIO STATISTICS
| Mean | 0.65 |
|---|---|
| SD | 0.82 |
| Sharpe ratio (Glass type estimate) | 0.80 |
| Sharpe ratio (Hedges UMVUE) | 0.77 |
| df | 22 |
| t | 1.11 |
| p | 0.14 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.65 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.23 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.66 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.21 |
| Sortino ratio | 1.77 |
| Upside Potential Ratio | 3.28 |
| Upside part of mean | 1.21 |
| Downside part of mean | -0.56 |
| Upside SD | 0.73 |
| Downside SD | 0.37 |
| N nonnegative terms | 15 |
| N negative terms | 8 |
| N of observations | 23 |
| Mean of predictor | 0.30 |
| Mean of criterion | 0.65 |
| SD of predictor | 0.25 |
| SD of criterion | 0.82 |
| Covariance | 0.19 |
| r | 0.94 |
| b (slope, estimate of beta) | 3.11 |
| a (intercept, estimate of alpha) | -0.28 |
| Mean Square Error | 0.09 |
| DF error | 21 |
| t(b) | 12.21 |
| p(b) | 0.01 |
| t(a) | -1.25 |
| p(a) | 0.67 |
| Lowerbound of 95% confidence interval for beta | 2.58 |
| Upperbound of 95% confidence interval for beta | 3.63 |
| Lowerbound of 95% confidence interval for alpha | -0.75 |
| Upperbound of 95% confidence interval for alpha | 0.19 |
| Treynor index (mean / b) | 0.21 |
| Jensen alpha (a) | -0.28 |
| Mean | 0.37 |
| SD | 0.73 |
| Sharpe ratio (Glass type estimate) | 0.51 |
| Sharpe ratio (Hedges UMVUE) | 0.49 |
| df | 22 |
| t | 0.70 |
| p | 0.24 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.92 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.93 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.93 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.91 |
| Sortino ratio | 0.85 |
| Upside Potential Ratio | 2.33 |
| Upside part of mean | 1.02 |
| Downside part of mean | -0.64 |
| Upside SD | 0.58 |
| Downside SD | 0.44 |
| N nonnegative terms | 15 |
| N negative terms | 8 |
| N of observations | 23 |
| Mean of predictor | 0.27 |
| Mean of criterion | 0.37 |
| SD of predictor | 0.24 |
| SD of criterion | 0.73 |
| Covariance | 0.16 |
| r | 0.93 |
| b (slope, estimate of beta) | 2.88 |
| a (intercept, estimate of alpha) | -0.41 |
| Mean Square Error | 0.08 |
| DF error | 21 |
| t(b) | 11.23 |
| p(b) | 0.01 |
| t(a) | -1.88 |
| p(a) | 0.74 |
| Lowerbound of 95% confidence interval for beta | 2.35 |
| Upperbound of 95% confidence interval for beta | 3.41 |
| Lowerbound of 95% confidence interval for alpha | -0.86 |
| Upperbound of 95% confidence interval for alpha | 0.04 |
| Treynor index (mean / b) | 0.13 |
| Jensen alpha (a) | -0.41 |
| VaR(95%) | 0.27 |
| Expected Shortfall on VaR | 0.33 |
| VaR(95%) | 0.08 |
| Expected Shortfall on VaR | 0.18 |
| Mean | 0.48 |
| SD | 0.58 |
| Sharpe ratio (Glass type estimate) | 0.83 |
| Sharpe ratio (Hedges UMVUE) | 0.83 |
| df | 516 |
| t | 1.17 |
| p | 0.12 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.57 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.23 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.57 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.23 |
| Sortino ratio | 1.19 |
| Upside Potential Ratio | 7.85 |
| Upside part of mean | 3.19 |
| Downside part of mean | -2.71 |
| Upside SD | 0.42 |
| Downside SD | 0.41 |
| N nonnegative terms | 280 |
| N negative terms | 237 |
| N of observations | 517 |
| Mean of predictor | 0.42 |
| Mean of criterion | 0.48 |
| SD of predictor | 0.27 |
| SD of criterion | 0.58 |
| Covariance | 0.09 |
| r | 0.54 |
| b (slope, estimate of beta) | 1.15 |
| a (intercept, estimate of alpha) | -0.00 |
| Mean Square Error | 0.24 |
| DF error | 515 |
| t(b) | 14.66 |
| p(b) | 0 |
| t(a) | -0.00 |
| p(a) | 0.50 |
| Lowerbound of 95% confidence interval for beta | 1.00 |
| Upperbound of 95% confidence interval for beta | 1.30 |
| Lowerbound of 95% confidence interval for alpha | -0.69 |
| Upperbound of 95% confidence interval for alpha | 0.69 |
| Treynor index (mean / b) | 0.42 |
| Jensen alpha (a) | -0.00 |
| Mean | 0.31 |
| SD | 0.59 |
| Sharpe ratio (Glass type estimate) | 0.53 |
| Sharpe ratio (Hedges UMVUE) | 0.53 |
| df | 516 |
| t | 0.75 |
| p | 0.23 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.86 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.93 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.86 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.93 |
| Sortino ratio | 0.73 |
| Upside Potential Ratio | 7.26 |
| Upside part of mean | 3.11 |
| Downside part of mean | -2.80 |
| Upside SD | 0.40 |
| Downside SD | 0.43 |
| N nonnegative terms | 280 |
| N negative terms | 237 |
| N of observations | 517 |
| Mean of predictor | 0.38 |
| Mean of criterion | 0.31 |
| SD of predictor | 0.27 |
| SD of criterion | 0.59 |
| Covariance | 0.09 |
| r | 0.56 |
| b (slope, estimate of beta) | 1.23 |
| a (intercept, estimate of alpha) | -0.16 |
| Mean Square Error | 0.24 |
| DF error | 515 |
| t(b) | 15.28 |
| p(b) | 0 |
| t(a) | -0.46 |
| p(a) | 0.68 |
| Lowerbound of 95% confidence interval for beta | 1.07 |
| Upperbound of 95% confidence interval for beta | 1.39 |
| Lowerbound of 95% confidence interval for alpha | -0.84 |
| Upperbound of 95% confidence interval for alpha | 0.52 |
| Treynor index (mean / b) | 0.25 |
| Jensen alpha (a) | -0.16 |
| VaR(95%) | 0.06 |
| Expected Shortfall on VaR | 0.07 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.05 |
| Mean | 2.11 |
| SD | 0.89 |
| Sharpe ratio (Glass type estimate) | 2.38 |
| Sharpe ratio (Hedges UMVUE) | 2.36 |
| df | 130 |
| t | 1.68 |
| p | 0.43 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.41 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 5.16 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.42 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 5.15 |
| Sortino ratio | 3.93 |
| Upside Potential Ratio | 11.77 |
| Upside part of mean | 6.31 |
| Downside part of mean | -4.20 |
| Upside SD | 0.71 |
| Downside SD | 0.54 |
| N nonnegative terms | 74 |
| N negative terms | 57 |
| N of observations | 131 |
| Mean of predictor | 1.34 |
| Mean of criterion | 2.11 |
| SD of predictor | 0.45 |
| SD of criterion | 0.89 |
| Covariance | 0.19 |
| r | 0.49 |
| b (slope, estimate of beta) | 0.97 |
| a (intercept, estimate of alpha) | 0.81 |
| Mean Square Error | 0.60 |
| DF error | 129 |
| t(b) | 6.38 |
| p(b) | 0.20 |
| t(a) | 0.72 |
| p(a) | 0.46 |
| Lowerbound of 95% confidence interval for beta | 0.67 |
| Upperbound of 95% confidence interval for beta | 1.27 |
| Lowerbound of 95% confidence interval for alpha | -1.40 |
| Upperbound of 95% confidence interval for alpha | 3.01 |
| Treynor index (mean / b) | 2.17 |
| Jensen alpha (a) | 0.81 |
| Mean | 1.72 |
| SD | 0.88 |
| Sharpe ratio (Glass type estimate) | 1.95 |
| Sharpe ratio (Hedges UMVUE) | 1.94 |
| df | 130 |
| t | 1.38 |
| p | 0.44 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.83 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.73 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.84 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.73 |
| Sortino ratio | 3.05 |
| Upside Potential Ratio | 10.80 |
| Upside part of mean | 6.07 |
| Downside part of mean | -4.35 |
| Upside SD | 0.68 |
| Downside SD | 0.56 |
| N nonnegative terms | 74 |
| N negative terms | 57 |
| N of observations | 131 |
| Mean of predictor | 1.24 |
| Mean of criterion | 1.72 |
| SD of predictor | 0.43 |
| SD of criterion | 0.88 |
| Covariance | 0.19 |
| r | 0.51 |
| b (slope, estimate of beta) | 1.06 |
| a (intercept, estimate of alpha) | 0.40 |
| Mean Square Error | 0.57 |
| DF error | 129 |
| t(b) | 6.78 |
| p(b) | 0.19 |
| t(a) | 0.37 |
| p(a) | 0.48 |
| Lowerbound of 95% confidence interval for beta | 0.75 |
| VAR (95 Confidence Intrvl) | 0.06 |
| Upperbound of 95% confidence interval for beta | 1.36 |
| Lowerbound of 95% confidence interval for alpha | -1.75 |
| Upperbound of 95% confidence interval for alpha | 2.55 |
| Treynor index (mean / b) | 1.62 |
| Jensen alpha (a) | 0.40 |
| VaR(95%) | 0.08 |
| Expected Shortfall on VaR | 0.10 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.07 |
ORDER STATISTICS
| Number of observations | 23 |
|---|---|
| Minimum | 0.65 |
| Quartile 1 | 0.98 |
| Median | 1.04 |
| Quartile 3 | 1.07 |
| Maximum | 1.71 |
| Mean of quarter 1 | 0.83 |
| Mean of quarter 2 | 1.01 |
| Mean of quarter 3 | 1.06 |
| Mean of quarter 4 | 1.33 |
| Inter Quartile Range | 0.09 |
| Number outliers low | 3 |
| Percentage of outliers low | 0.13 |
| Mean of outliers low | 0.72 |
| Number of outliers high | 3 |
| Percentage of outliers high | 0.13 |
| Mean of outliers high | 1.55 |
| Extreme Value Index (moments method) | -3.34 |
| VaR(95%) (moments method) | 0.10 |
| Expected Shortfall (moments method) | 0.10 |
| Extreme Value Index (regression method) | -0.06 |
| VaR(95%) (regression method) | 0.17 |
| Expected Shortfall (regression method) | 0.26 |
| Number of observations | 517 |
| Minimum | 0.83 |
| Quartile 1 | 0.99 |
| Median | 1.00 |
| Quartile 3 | 1.02 |
| Maximum | 1.17 |
| Mean of quarter 1 | 0.96 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.01 |
| Mean of quarter 4 | 1.04 |
| Inter Quartile Range | 0.03 |
| Number outliers low | 27 |
| Percentage of outliers low | 0.05 |
| Mean of outliers low | 0.91 |
| Number of outliers high | 26 |
| Percentage of outliers high | 0.05 |
| Mean of outliers high | 1.09 |
| Extreme Value Index (moments method) | 0.41 |
| VaR(95%) (moments method) | 0.04 |
| Expected Shortfall (moments method) | 0.07 |
| Extreme Value Index (regression method) | 0.22 |
| VaR(95%) (regression method) | 0.03 |
| Expected Shortfall (regression method) | 0.05 |
| Number of observations | 131 |
| Minimum | 0.86 |
| Quartile 1 | 0.98 |
| Median | 1.01 |
| Quartile 3 | 1.03 |
| Maximum | 1.17 |
| Mean of quarter 1 | 0.94 |
| Mean of quarter 2 | 0.99 |
| Mean of quarter 3 | 1.02 |
| Mean of quarter 4 | 1.08 |
| Inter Quartile Range | 0.05 |
| Number outliers low | 6 |
| Percentage of outliers low | 0.05 |
| Mean of outliers low | 0.89 |
| Number of outliers high | 8 |
| Percentage of outliers high | 0.06 |
| Mean of outliers high | 1.13 |
| Extreme Value Index (moments method) | -0.11 |
| VaR(95%) (moments method) | 0.05 |
| Expected Shortfall (moments method) | 0.06 |
| Extreme Value Index (regression method) | -0.01 |
| VaR(95%) (regression method) | 0.05 |
| Expected Shortfall (regression method) | 0.07 |
DRAW DOWN STATISTICS
| Number of observations | 3 |
|---|---|
| Minimum | 0.01 |
| Quartile 1 | 0.05 |
| Median | 0.09 |
| Quartile 3 | 0.33 |
| Maximum | 0.57 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.09 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.57 |
| Inter Quartile Range | 0.28 |
| 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 | 18 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.02 |
| Quartile 3 | 0.09 |
| Maximum | 0.67 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.06 |
| Mean of quarter 4 | 0.27 |
| Inter Quartile Range | 0.08 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 3 |
| Percentage of outliers high | 0.17 |
| Mean of outliers high | 0.39 |
| Extreme Value Index (moments method) | 0.04 |
| VaR(95%) (moments method) | 0.24 |
| Expected Shortfall (moments method) | 0.34 |
| Extreme Value Index (regression method) | 0.58 |
| VaR(95%) (regression method) | 0.43 |
| Expected Shortfall (regression method) | 1.17 |
| Number of observations | 12 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.08 |
| Quartile 3 | 0.22 |
| Maximum | 0.31 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.04 |
| Mean of quarter 3 | 0.15 |
| Mean of quarter 4 | 0.27 |
| Inter Quartile Range | 0.20 |
| 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) | -0.99 |
| VaR(95%) (moments method) | 0.30 |
| Expected Shortfall (moments method) | 0.31 |
| Extreme Value Index (regression method) | 0.47 |
| VaR(95%) (regression method) | 0.31 |
| Expected Shortfall (regression method) | 0.43 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -508816608 |
| Max Equity Drawdown (num days) | 338 |
| Last 4 Months - Pcnt Negative | 0.2% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.60 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.49 |
| Calmar ratio (compounded annual return / max draw down) | 0.87 |
| Compounded annual return / average of 25% largest draw downs | 0.87 |
| Compounded annual return / Expected Shortfall lognormal | 1.48 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.49 |
| Compounded annual return (geometric extrapolation) | 0.41 |
| Calmar ratio (compounded annual return / max draw down) | 0.60 |
| Compounded annual return / average of 25% largest draw downs | 1.48 |
| Compounded annual return / Expected Shortfall lognormal | 5.73 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 2.78 |
| Compounded annual return (geometric extrapolation) | 4.72 |
| Calmar ratio (compounded annual return / max draw down) | 15.07 |
| Compounded annual return / average of 25% largest draw downs | 17.20 |
| Compounded annual return / Expected Shortfall lognormal | 47.28 |
Trading record
Placed 179 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| FNGU | long | 251 | May 18, 2021 | Aug 12, 2021 | $2,209 |
| SPXL | long | 70 | Aug 4, 2021 | Aug 12, 2021 | $208 |
| SPXL | long | 71 | Jul 23, 2021 | Aug 2, 2021 | $150 |
| FAS | long | 87 | Jul 12, 2021 | Jul 21, 2021 | ($260) |
| SPXL | long | 75 | Jul 12, 2021 | Jul 16, 2021 | $25 |
| SPXL | long | 79 | Jun 22, 2021 | Jun 29, 2021 | $399 |
| SPXL | long | 82 | Jun 15, 2021 | Jun 21, 2021 | ($440) |
| SPXL | long | 82 | Jun 7, 2021 | Jun 11, 2021 | $91 |
| FAS | long | 70 | May 17, 2021 | Jun 10, 2021 | $101 |
| TQQQ | long | 77 | May 5, 2021 | May 27, 2021 | $23 |
| FAS | long | 79 | Apr 26, 2021 | May 12, 2021 | $1,143 |
| SPXL | long | 73 | May 6, 2021 | May 12, 2021 | ($259) |
| TQQQ | long | 69 | Apr 22, 2021 | Apr 29, 2021 | $241 |
| SPXL | long | 71 | Apr 22, 2021 | Apr 29, 2021 | $215 |
| FAZ | long | 260 | Apr 21, 2021 | Apr 22, 2021 | ($439) |
| SPXL | long | 72 | Apr 16, 2021 | Apr 20, 2021 | ($176) |
| TQQQ | long | 70 | Apr 16, 2021 | Apr 20, 2021 | ($254) |
| FAS | long | 85 | Apr 12, 2021 | Apr 15, 2021 | $95 |
| FAS | long | 87 | Mar 25, 2021 | Apr 8, 2021 | $1,001 |
| TQQQ | long | 77 | Mar 26, 2021 | Apr 7, 2021 | $1,254 |
| SPXL | long | 85 | Mar 26, 2021 | Mar 31, 2021 | $228 |
| SPXL | long | 87 | Mar 23, 2021 | Mar 25, 2021 | ($326) |
| TQQQ | long | 79 | Mar 23, 2021 | Mar 25, 2021 | ($663) |
| FAZ | long | 207 | Mar 22, 2021 | Mar 24, 2021 | $269 |
| SPXL | long | 96 | Mar 16, 2021 | Mar 19, 2021 | ($365) |
| TQQQ | long | 80 | Mar 5, 2021 | Mar 19, 2021 | $278 |
| FAS | long | 55 | Mar 8, 2021 | Mar 16, 2021 | $262 |
| SPXL | long | 109 | Mar 5, 2021 | Mar 12, 2021 | $823 |
| FAS | long | 58 | Mar 2, 2021 | Mar 5, 2021 | $47 |
| FAS | long | 99 | Feb 25, 2021 | Feb 26, 2021 | ($564) |
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.