Stella Capital 500 Plus
- hypothetical · Annual Return (Compounded)
- -1.5%
- Max Drawdown
- 58.7%
- Trades
- 103
- Win Trades
- 58.3%
- Profit Factor
- 1
- Win Months
- 19.7%
About this strategy
[Published on 16 September 2022]
Dear Fellow Investors. Firstly, thank you to all Investors who have subscribed to my strategies.
As a Trade Leader, I am an investor first and foremost and trade my strategies. Therefore, the objective to profit from trading aligns with that of fellow Investors. I use this strategy as part of my portfolio equities overlay to provide execution and market diversification.
The strategies I manage have over 23 years of development and continue to be a work-in-progress.
COMMUNICATION
As a subscriber, you will receive periodic messages regarding POSITION SIZING and TRADE CLOSES. You will also receive occasional strategy development updates and observation messages. Hopefully, you will find these messages interesting and please understand that none of these general messages is personal advice.
STRATEGY
The Stella Capital 500 Plus strategy trades long or short positions in futures markets using the ES e-mini futures contract and seeks to enter one high probability trade a day. The strategy is suitable for account balances above US$100,000. For account balances under US$100,000, please see the Stella Capital 50 Plus strategy (https://collective2.com/details/135195328).
Stops and Targets cover all trades. My strategy goals are to limit uncontrolled drawdowns and consecutive losses and maximise successive wins.
POSITION SIZING
Position sizing is a significant risk/cash management element of the strategy's performance, which can vary.
The strategy's 1X position sizing per trade is 3 X 1 ES e-mini futures contract per US$100,000 in the account balance, risking approximately US$1,000 per ES e-mini futures contract or US$3,000 per trade.
Please understand that under sizing, your trade position is more conservative.
Thank you for your interest and prosperous trading!
IMPORTANT NOTICES
Though the above information was current when published, it does change daily. The Trade Leader does not assume responsibility for updating the above information.
The Trade Leader has not verified and does not assume responsibility for any simulated or hypothetical performance results published by C2. The Trade Leader does not make any representations or warranties regarding their accuracy, fairness, or completeness.
By subscribing to the C2 platform and copying the Trade Leader's strategy, you acknowledge that:
(1) You have read and understood the important notices published on the C2 website and at the bottom of the strategy description page;
(2) The Trade Leader does not provide individual advice to Investors, and nothing the Trade Leader publishes is considered personal advice or is acted on by you as individual advice;
(3) You are trading with money you can afford to lose and that you have received individual professional advice regarding the appropriateness to your circumstances of subscribing to the C2 platform and copying the Trade Leader's strategy;
(4) The Trade Leader does not assume any responsibility for any risks or losses you sustain by subscribing to the C2 platform or copying the Trade Leader's strategy; and
(5) The Trade Leader is publishing non-personalized information via the C2 website, which you can choose to act upon or not.
Please read the important notices posted on the C2 website and at the bottom of this strategy description page.
Dear Fellow Investors. Firstly, thank you to all Investors who have subscribed to my strategies.
As a Trade Leader, I am an investor first and foremost and trade my strategies. Therefore, the objective to profit from trading aligns with that of fellow Investors. I use this strategy as part of my portfolio equities overlay to provide execution and market diversification.
The strategies I manage have over 23 years of development and continue to be a work-in-progress.
COMMUNICATION
As a subscriber, you will receive periodic messages regarding POSITION SIZING and TRADE CLOSES. You will also receive occasional strategy development updates and observation messages. Hopefully, you will find these messages interesting and please understand that none of these general messages is personal advice.
STRATEGY
The Stella Capital 500 Plus strategy trades long or short positions in futures markets using the ES e-mini futures contract and seeks to enter one high probability trade a day. The strategy is suitable for account balances above US$100,000. For account balances under US$100,000, please see the Stella Capital 50 Plus strategy (https://collective2.com/details/135195328).
Stops and Targets cover all trades. My strategy goals are to limit uncontrolled drawdowns and consecutive losses and maximise successive wins.
POSITION SIZING
Position sizing is a significant risk/cash management element of the strategy's performance, which can vary.
The strategy's 1X position sizing per trade is 3 X 1 ES e-mini futures contract per US$100,000 in the account balance, risking approximately US$1,000 per ES e-mini futures contract or US$3,000 per trade.
Please understand that under sizing, your trade position is more conservative.
Thank you for your interest and prosperous trading!
IMPORTANT NOTICES
Though the above information was current when published, it does change daily. The Trade Leader does not assume responsibility for updating the above information.
The Trade Leader has not verified and does not assume responsibility for any simulated or hypothetical performance results published by C2. The Trade Leader does not make any representations or warranties regarding their accuracy, fairness, or completeness.
By subscribing to the C2 platform and copying the Trade Leader's strategy, you acknowledge that:
(1) You have read and understood the important notices published on the C2 website and at the bottom of the strategy description page;
(2) The Trade Leader does not provide individual advice to Investors, and nothing the Trade Leader publishes is considered personal advice or is acted on by you as individual advice;
(3) You are trading with money you can afford to lose and that you have received individual professional advice regarding the appropriateness to your circumstances of subscribing to the C2 platform and copying the Trade Leader's strategy;
(4) The Trade Leader does not assume any responsibility for any risks or losses you sustain by subscribing to the C2 platform or copying the Trade Leader's strategy; and
(5) The Trade Leader is publishing non-personalized information via the C2 website, which you can choose to act upon or not.
Please read the important notices posted on the C2 website and at the bottom of this strategy description page.
Macro / Fundamental
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2021 | 4.3 | 0.6 | 21.0 | -15.5 | 2.6 | 0.9 | 8.0 | 5.5 | 7.6 | 36.2 | |||
| 2022 | 19.5 | 3.3 | 7.6 | 17.3 | -3.8 | -2.7 | -2.8 | -6.3 | -4.3 | -18.9 | 16.0 | -14.9 | 1.7 |
| 2023 | -12.6 | -23.9 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -33.5 |
| 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 | 4/17/2021 |
|---|---|
| Suggested Minimum Capital | $50,000 |
| Age | 66 months |
| What it trades | Futures |
| # Trades | 103 |
| # Profitable | 60 |
| % Profitable | 58.3% |
| Avg trade duration | 1.7 days |
| Max peak-to-valley drawdown | 58.7% |
| drawdown period | May 02, 2022 - Jan 10, 2023 |
| Annual Return (Compounded) | -1.5% |
| Avg win | $2,354 |
| Avg loss | $3,262 |
Ratios
| W:L ratio | 1.01 |
|---|---|
| Sharpe Ratio | -0.05 |
| Sortino Ratio | -0.07 |
| Calmar Ratio | 0.02 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.00 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 82.5% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -92.3% |
Return Statistics
| Ann Return (w trading costs) | -1.5% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | -0.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 0.4% |
Slump
| Current Slump as Pcnt Equity | 134.3% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.8% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 1.0% |
| Percent Trades Options | 0.0% |
| Short Options - Percent Covered | 100.0% |
| Percent Trades Stocks | 0.0% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 92.0% |
|---|---|
| Chance of 20% account loss | 67.0% |
| Chance of 30% account loss | 41.5% |
| Chance of 40% account loss | 19.0% |
| Chance of 50% account loss | 3.0% |
| Chance of 60% account loss (Monte Carlo) | 1.0% |
| 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 | 74.8% |
|---|
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 | $3,262 |
|---|---|
| Avg Win | $2,354 |
| # Winners | 60 |
| Sum Trade PL (losers) | $140,286 |
| Sum Trade PL (winners) | $141,256 |
| Num Months Winners | 13 |
| # Losers | 43 |
| % Winners | 58.2% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 66 |
|---|
Frequency
| Avg Position Time (mins) | 2423.27 |
|---|---|
| Avg Position Time (hrs) | 40.39 |
| Avg Trade Length | 1.70 |
| Last Trade Ago | 1302 |
Leverage
| Daily leverage (average) | 6.20 |
|---|---|
| Daily leverage (max) | 20.55 |
Regression
| Alpha | 0 |
|---|---|
| Beta | 0 |
| Treynor Index | 2.57 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.04 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.20 |
| 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 | -34.97 |
| MAE:PL (avg, all trades) | -0.07 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.57 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.21 |
| Hold-and-Hope Ratio | -0.03 |
RATIO STATISTICS
| Mean | 0.08 |
|---|---|
| SD | 0.45 |
| Sharpe ratio (Glass type estimate) | 0.17 |
| Sharpe ratio (Hedges UMVUE) | 0.17 |
| df | 24 |
| t | 0.25 |
| p | 0.40 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.19 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.53 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.19 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.53 |
| Sortino ratio | 0.27 |
| Upside Potential Ratio | 2.06 |
| Upside part of mean | 0.59 |
| Downside part of mean | -0.51 |
| Upside SD | 0.33 |
| Downside SD | 0.29 |
| N nonnegative terms | 8 |
| N negative terms | 17 |
| N of observations | 25 |
| Mean of predictor | 0.22 |
| Mean of criterion | 0.08 |
| SD of predictor | 0.23 |
| SD of criterion | 0.45 |
| Covariance | -0.01 |
| r | -0.14 |
| b (slope, estimate of beta) | -0.26 |
| a (intercept, estimate of alpha) | 0.14 |
| Mean Square Error | 0.21 |
| DF error | 23 |
| t(b) | -0.66 |
| p(b) | 0.74 |
| t(a) | 0.42 |
| p(a) | 0.34 |
| Lowerbound of 95% confidence interval for beta | -1.08 |
| Upperbound of 95% confidence interval for beta | 0.56 |
| Lowerbound of 95% confidence interval for alpha | -0.54 |
| Upperbound of 95% confidence interval for alpha | 0.81 |
| Treynor index (mean / b) | -0.30 |
| Jensen alpha (a) | 0.14 |
| Mean | -0.02 |
| SD | 0.45 |
| Sharpe ratio (Glass type estimate) | -0.04 |
| Sharpe ratio (Hedges UMVUE) | -0.04 |
| df | 24 |
| t | -0.06 |
| p | 0.52 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.40 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.32 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.40 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.32 |
| Sortino ratio | -0.06 |
| Upside Potential Ratio | 1.67 |
| Upside part of mean | 0.54 |
| Downside part of mean | -0.56 |
| Upside SD | 0.30 |
| Downside SD | 0.32 |
| N nonnegative terms | 8 |
| N negative terms | 17 |
| N of observations | 25 |
| Mean of predictor | 0.20 |
| Mean of criterion | -0.02 |
| SD of predictor | 0.23 |
| SD of criterion | 0.45 |
| Covariance | -0.01 |
| r | -0.12 |
| b (slope, estimate of beta) | -0.24 |
| a (intercept, estimate of alpha) | 0.03 |
| Mean Square Error | 0.21 |
| DF error | 23 |
| t(b) | -0.58 |
| p(b) | 0.72 |
| t(a) | 0.09 |
| p(a) | 0.47 |
| Lowerbound of 95% confidence interval for beta | -1.10 |
| Upperbound of 95% confidence interval for beta | 0.61 |
| Lowerbound of 95% confidence interval for alpha | -0.65 |
| Upperbound of 95% confidence interval for alpha | 0.71 |
| Treynor index (mean / b) | 0.08 |
| Jensen alpha (a) | 0.03 |
| VaR(95%) | 0.19 |
| Expected Shortfall on VaR | 0.24 |
| VaR(95%) | 0.12 |
| Expected Shortfall on VaR | 0.22 |
| Mean | 0.03 |
| SD | 0.32 |
| Sharpe ratio (Glass type estimate) | 0.10 |
| Sharpe ratio (Hedges UMVUE) | 0.10 |
| df | 563 |
| t | 0.15 |
| p | 0.44 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.23 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.44 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.23 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.44 |
| Sortino ratio | 0.15 |
| Upside Potential Ratio | 5.44 |
| Upside part of mean | 1.22 |
| Downside part of mean | -1.18 |
| Upside SD | 0.24 |
| Downside SD | 0.22 |
| N nonnegative terms | 136 |
| N negative terms | 428 |
| N of observations | 564 |
| Mean of predictor | 0.29 |
| Mean of criterion | 0.03 |
| SD of predictor | 0.27 |
| SD of criterion | 0.32 |
| Covariance | 0.00 |
| r | 0.00 |
| b (slope, estimate of beta) | 0.01 |
| a (intercept, estimate of alpha) | 0.03 |
| Mean Square Error | 0.11 |
| DF error | 562 |
| t(b) | 0.11 |
| p(b) | 0.46 |
| t(a) | 0.14 |
| p(a) | 0.44 |
| Lowerbound of 95% confidence interval for beta | -0.09 |
| Upperbound of 95% confidence interval for beta | 0.10 |
| Lowerbound of 95% confidence interval for alpha | -0.40 |
| Upperbound of 95% confidence interval for alpha | 0.47 |
| Treynor index (mean / b) | 6.20 |
| Jensen alpha (a) | 0.03 |
| Mean | -0.02 |
| SD | 0.32 |
| Sharpe ratio (Glass type estimate) | -0.06 |
| Sharpe ratio (Hedges UMVUE) | -0.06 |
| df | 563 |
| t | -0.09 |
| p | 0.54 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.40 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.28 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.40 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.28 |
| Sortino ratio | -0.08 |
| Upside Potential Ratio | 5.16 |
| Upside part of mean | 1.19 |
| Downside part of mean | -1.21 |
| Upside SD | 0.23 |
| Downside SD | 0.23 |
| N nonnegative terms | 136 |
| N negative terms | 428 |
| N of observations | 564 |
| Mean of predictor | 0.25 |
| Mean of criterion | -0.02 |
| SD of predictor | 0.27 |
| SD of criterion | 0.32 |
| Covariance | 0.00 |
| r | 0.01 |
| b (slope, estimate of beta) | 0.01 |
| a (intercept, estimate of alpha) | -0.02 |
| Mean Square Error | 0.10 |
| DF error | 562 |
| t(b) | 0.14 |
| p(b) | 0.44 |
| t(a) | -0.10 |
| p(a) | 0.54 |
| Lowerbound of 95% confidence interval for beta | -0.09 |
| Upperbound of 95% confidence interval for beta | 0.11 |
| Lowerbound of 95% confidence interval for alpha | -0.46 |
| Upperbound of 95% confidence interval for alpha | 0.41 |
| Treynor index (mean / b) | -2.71 |
| Jensen alpha (a) | -0.02 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.04 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.03 |
| Mean | -0.32 |
| SD | 0.30 |
| Sharpe ratio (Glass type estimate) | -1.06 |
| Sharpe ratio (Hedges UMVUE) | -1.06 |
| df | 130 |
| t | -0.75 |
| p | 0.53 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.83 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.72 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.83 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.72 |
| Sortino ratio | -1.46 |
| Upside Potential Ratio | 2.43 |
| Upside part of mean | 0.53 |
| Downside part of mean | -0.85 |
| Upside SD | 0.21 |
| Downside SD | 0.22 |
| N nonnegative terms | 8 |
| N negative terms | 123 |
| N of observations | 131 |
| Mean of predictor | 1.36 |
| Mean of criterion | -0.32 |
| SD of predictor | 0.42 |
| SD of criterion | 0.30 |
| Covariance | -0.00 |
| r | -0.01 |
| b (slope, estimate of beta) | -0.00 |
| a (intercept, estimate of alpha) | -0.31 |
| Mean Square Error | 0.09 |
| DF error | 129 |
| t(b) | -0.08 |
| p(b) | 0.50 |
| t(a) | -0.72 |
| p(a) | 0.54 |
| Lowerbound of 95% confidence interval for beta | -0.13 |
| Upperbound of 95% confidence interval for beta | 0.12 |
| Lowerbound of 95% confidence interval for alpha | -1.17 |
| Upperbound of 95% confidence interval for alpha | 0.55 |
| Treynor index (mean / b) | 65.42 |
| Jensen alpha (a) | -0.31 |
| Mean | -0.36 |
| SD | 0.30 |
| Sharpe ratio (Glass type estimate) | -1.21 |
| Sharpe ratio (Hedges UMVUE) | -1.21 |
| df | 130 |
| t | -0.86 |
| p | 0.54 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.99 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.56 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.98 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.57 |
| Sortino ratio | -1.61 |
| Upside Potential Ratio | 2.25 |
| Upside part of mean | 0.51 |
| Downside part of mean | -0.87 |
| Upside SD | 0.20 |
| Downside SD | 0.23 |
| N nonnegative terms | 8 |
| N negative terms | 123 |
| N of observations | 131 |
| Mean of predictor | 1.27 |
| Mean of criterion | -0.36 |
| SD of predictor | 0.41 |
| SD of criterion | 0.30 |
| Covariance | -0.00 |
| r | -0.00 |
| b (slope, estimate of beta) | -0.00 |
| a (intercept, estimate of alpha) | -0.36 |
| Mean Square Error | 0.09 |
| DF error | 129 |
| t(b) | -0.05 |
| p(b) | 0.50 |
| t(a) | -0.83 |
| p(a) | 0.55 |
| Lowerbound of 95% confidence interval for beta | -0.13 |
| VAR (95 Confidence Intrvl) | 0.03 |
| Upperbound of 95% confidence interval for beta | 0.12 |
| Lowerbound of 95% confidence interval for alpha | -1.22 |
| Upperbound of 95% confidence interval for alpha | 0.50 |
| Treynor index (mean / b) | 119.57 |
| Jensen alpha (a) | -0.36 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.04 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
ORDER STATISTICS
| Number of observations | 25 |
|---|---|
| Minimum | 0.74 |
| Quartile 1 | 0.95 |
| Median | 1.00 |
| Quartile 3 | 1.07 |
| Maximum | 1.26 |
| Mean of quarter 1 | 0.87 |
| Mean of quarter 2 | 0.98 |
| Mean of quarter 3 | 1.02 |
| Mean of quarter 4 | 1.19 |
| Inter Quartile Range | 0.12 |
| Number outliers low | 2 |
| Percentage of outliers low | 0.08 |
| Mean of outliers low | 0.75 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.04 |
| Mean of outliers high | 1.26 |
| Extreme Value Index (moments method) | 0.36 |
| VaR(95%) (moments method) | 0.14 |
| Expected Shortfall (moments method) | 0.26 |
| Extreme Value Index (regression method) | -0.56 |
| VaR(95%) (regression method) | 0.13 |
| Expected Shortfall (regression method) | 0.14 |
| Number of observations | 564 |
| Minimum | 0.90 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.13 |
| Mean of quarter 1 | 0.98 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.02 |
| Inter Quartile Range | 0 |
| Number outliers low | 121 |
| Percentage of outliers low | 0.21 |
| Mean of outliers low | 0.98 |
| Number of outliers high | 136 |
| Percentage of outliers high | 0.24 |
| Mean of outliers high | 1.02 |
| Extreme Value Index (moments method) | 0.14 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.01 |
| Extreme Value Index (regression method) | 0.13 |
| VaR(95%) (regression method) | 0.02 |
| Expected Shortfall (regression method) | 0.03 |
| Number of observations | 131 |
| Minimum | 0.91 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.13 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0 |
| Number outliers low | 12 |
| Percentage of outliers low | 0.09 |
| Mean of outliers low | 0.97 |
| Number of outliers high | 8 |
| Percentage of outliers high | 0.06 |
| Mean of outliers high | 1.03 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0.04 |
| VaR(95%) (regression method) | 0.02 |
| Expected Shortfall (regression method) | 0.04 |
DRAW DOWN STATISTICS
| Number of observations | 5 |
|---|---|
| Minimum | 0.00 |
| Quartile 1 | 0.02 |
| Median | 0.06 |
| Quartile 3 | 0.07 |
| Maximum | 0.53 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.06 |
| Mean of quarter 3 | 0.07 |
| Mean of quarter 4 | 0.53 |
| Inter Quartile Range | 0.05 |
| 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 | 0.53 |
| 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 | 14 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.03 |
| Quartile 3 | 0.05 |
| Maximum | 0.53 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.02 |
| Mean of quarter 3 | 0.04 |
| Mean of quarter 4 | 0.21 |
| Inter Quartile Range | 0.04 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 3 |
| Percentage of outliers high | 0.21 |
| Mean of outliers high | 0.26 |
| Extreme Value Index (moments method) | -0.20 |
| VaR(95%) (moments method) | 0.15 |
| Expected Shortfall (moments method) | 0.21 |
| Extreme Value Index (regression method) | 0.86 |
| VaR(95%) (regression method) | 0.41 |
| Expected Shortfall (regression method) | 3.34 |
| Number of observations | 3 |
| Minimum | 0.00 |
| Quartile 1 | 0.04 |
| Median | 0.07 |
| Quartile 3 | 0.17 |
| Maximum | 0.27 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.07 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.27 |
| Inter Quartile Range | 0.14 |
| 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? | -465459264 |
| Max Equity Drawdown (num days) | 253 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.01 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.01 |
| Calmar ratio (compounded annual return / max draw down) | 0.02 |
| Compounded annual return / average of 25% largest draw downs | 0.02 |
| Compounded annual return / Expected Shortfall lognormal | 0.04 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.01 |
| Compounded annual return (geometric extrapolation) | 0.01 |
| Calmar ratio (compounded annual return / max draw down) | 0.02 |
| Compounded annual return / average of 25% largest draw downs | 0.04 |
| Compounded annual return / Expected Shortfall lognormal | 0.21 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.31 |
| Compounded annual return (geometric extrapolation) | -0.29 |
| Calmar ratio (compounded annual return / max draw down) | -1.04 |
| Compounded annual return / average of 25% largest draw downs | -1.04 |
| Compounded annual return / Expected Shortfall lognormal | -7.36 |
Trading record
Placed 147 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| US H3 | long | 17 | Jan 8, 2023 | Feb 12, 2023 | ($4,761) |
| US H3 | short | 5 | Jan 2, 2023 | Jan 6, 2023 | ($20,509) |
| US H3 | long | 5 | Dec 26, 2022 | Jan 2, 2023 | ($10,665) |
| US H3 | long | 5 | Dec 19, 2022 | Dec 26, 2022 | ($16,446) |
| US H3 | long | 9 | Dec 11, 2022 | Dec 16, 2022 | $10,522 |
| US H3 | long | 9 | Dec 4, 2022 | Dec 9, 2022 | $2,272 |
| US H3 | long | 12 | Nov 28, 2022 | Dec 2, 2022 | $8,935 |
| ES Z2 | long | 5 | Nov 30, 2022 | Nov 30, 2022 | $148 |
| ES Z2 | long | 5 | Nov 29, 2022 | Nov 29, 2022 | ($228) |
| US Z2 | long | 5 | Nov 27, 2022 | Nov 28, 2022 | ($415) |
| ES Z2 | long | 5 | Nov 28, 2022 | Nov 28, 2022 | $85 |
| ES Z2 | long | 5 | Nov 25, 2022 | Nov 25, 2022 | $23 |
| US Z2 | long | 4 | Nov 20, 2022 | Nov 24, 2022 | $7,468 |
| ES Z2 | long | 5 | Nov 24, 2022 | Nov 24, 2022 | ($228) |
| ES Z2 | long | 5 | Nov 23, 2022 | Nov 23, 2022 | $273 |
| ES Z2 | long | 2 | Oct 23, 2022 | Oct 23, 2022 | ($3,291) |
| ES Z2 | short | 3 | Oct 20, 2022 | Oct 21, 2022 | ($3,337) |
| ES Z2 | short | 3 | Oct 20, 2022 | Oct 20, 2022 | ($1,412) |
| ES Z2 | short | 3 | Oct 19, 2022 | Oct 19, 2022 | $414 |
| ES Z2 | long | 3 | Oct 17, 2022 | Oct 17, 2022 | $351 |
| ES Z2 | long | 3 | Oct 13, 2022 | Oct 14, 2022 | ($3,137) |
| ES Z2 | short | 2 | Oct 13, 2022 | Oct 13, 2022 | $184 |
| ES Z2 | short | 3 | Oct 11, 2022 | Oct 11, 2022 | ($3,312) |
| ES Z2 | short | 3 | Oct 7, 2022 | Oct 7, 2022 | ($2,819) |
| ES Z2 | long | 3 | Oct 5, 2022 | Oct 5, 2022 | ($3,387) |
| ES Z2 | long | 3 | Oct 3, 2022 | Oct 4, 2022 | $3,456 |
| ES Z2 | short | 3 | Oct 2, 2022 | Oct 2, 2022 | $119 |
| ES Z2 | short | 3 | Sep 30, 2022 | Sep 30, 2022 | $201 |
| ES Z2 | short | 3 | Sep 27, 2022 | Sep 28, 2022 | ($1,369) |
| ES Z2 | short | 3 | Sep 27, 2022 | Sep 27, 2022 | $519 |
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.