PASSIVE 100
- hypothetical · Annual Return (Compounded)
- -1.7%
- Max Drawdown
- 17.7%
- Trades
- 167
- Win Trades
- 71.9%
- Profit Factor
- 0.90
- Win Months
- 0.0%
About this strategy
PASSIVE is a discretionary DAY trading strategy that focuses mostly on MNQ and MES (Micro E- Mini Index Futures).
Trade Time:
• All trading activities start after the US opening bell and all operations will be closed at least 16 Minutes before the US closing bell.
• I have enabled ''Daily Auto-Close Time (ET) at 15.44'' from Trade leader C2 Setting. The reason for closing all trades 16 minutes early is because some ‘’Discount Brokers’’ expect all trades to be closed 15 minutes before US closing bell.
Objectives:
• As its name indicates, this strategy is designed to produce passive income for investors while the strategy is actively managed by Trade Leader on a discretionary basis.
• The primary objective of the strategy is organic capital growth while maintaining reasonable risk management.
• In terms of Risk Management, the objective is to keep the drawdown less than 10% of the Starting equity of the Strategy (C2 model capital). Just for information, PASSIVE's Initial Capital is US$50,000.
• Regarding ROI, I will try to produce 10%+ in a calendar month based on Initial Capital, but actual results may vary. ROI aim is based on the Strategy’s initial C2 Model capital.
Risk Warning: Please see "Day-Trading Risk by www.finra.org"
for more information, please visit – https://www.finra.org/rules-guidance/rulebooks/finra-rules/2270
It is always better to keep an eye on your capital on daily basis to see if the strategy provides what you expected.
Capital Requirement:
• Though the Strategy’s Initial capital is US$50,000, an investor can follow it at 100% scaling with Capital of anything around USD10,000+ if the investor uses any of the discount Brokers supported by C2; Example: Ninja Trader-Dorman/Philip, Gain Capital-Daniel’s trading or Tradovate etc.
• Though trading with less Capital through Discount Broker is desirable to small investors, I should remind you that trading with less capital carries more risk and may lead to margin call if market goes against the trades suddenly.
• If Investor prefers to start with 50% scaling, around US$5000+ is good enough capital with any of the above-mentioned Brokers.
• Investors with Interactive Brokers may require more capital because IBKR requires Day trading margins as per CME’s guidelines.
• I have no affiliation with any of the brokers mentioned above. Please do your own due diligence and, if required, seek help from a ‘’Registered Investment Advisor’’ in your Domicile.
• This link may be useful to US based investors - - https://www.investor.gov/.
Order Types and Stop-Loss & Take Profit:
• Orders could be executed at ''Market price or at Limit orders'' to Enter/Exit a Trade.
• No standard/pre-defined SL/TP is used in each trade, limit orders are executed based on the market conditions at the discretion of the Trade Leader.
• If you like to follow my strategy at 100% scaling, for additional safety, I recommend that you set your Maximum allowed contract size = 4.
• For 50% scaling, set your Maximum allowed contract size = 2.
• For 200% scaling, , set your Maximum allowed contract size = 8 and so on..
Since this is a discretionary strategy, I can’t rule out human error and keeping additional safety at C2 level is always safe.
Trading Cost:
There are two types of Trading cost involved in Auto-Trading PASSIVE.
1. Broker side trading cost
2. C2 side Trading cost.
Broker side trading cost:
• Typically, ‘’Exchange Fee, Commission, Clearing and NFA Fees’’ come under Broker side trading cost and this may be charged automatically from your brokerage account itself daily.
• There may be around 3 to 10+ trades per each trading day. The average trading cost is around $1.50 to $1.75+ per each MNQ/MES. On average, we assume trading cost = $1.65/MNQ
• For example, if 5 trades are executed in a day with minimum contacts traded per lot, then the trading cost = 5 x 2 x $1.65 = $16.5
• If the Gross profit for the day is $300, then the Net profit for the day = $300 - $16.5 = $283.5
C2 side Trading cost:
There are two types of cost involved on C2 side trading cost.
1. The strategy Subscription fee, which is recurring fee monthly. PASSIVE cost $99/month.
2. C2 Investor Trading Plan fee (Check INVESTORS): The minimum fee is $49/month, and the maximum is $299/month.
IRA accounts:
• IRA accounts can be used to follow this strategy, please check with a Qualified Investment Advisor.
• Some useful link - https://www.interactivebrokers.com/en/index.php?f=14429
Trade Time:
• All trading activities start after the US opening bell and all operations will be closed at least 16 Minutes before the US closing bell.
• I have enabled ''Daily Auto-Close Time (ET) at 15.44'' from Trade leader C2 Setting. The reason for closing all trades 16 minutes early is because some ‘’Discount Brokers’’ expect all trades to be closed 15 minutes before US closing bell.
Objectives:
• As its name indicates, this strategy is designed to produce passive income for investors while the strategy is actively managed by Trade Leader on a discretionary basis.
• The primary objective of the strategy is organic capital growth while maintaining reasonable risk management.
• In terms of Risk Management, the objective is to keep the drawdown less than 10% of the Starting equity of the Strategy (C2 model capital). Just for information, PASSIVE's Initial Capital is US$50,000.
• Regarding ROI, I will try to produce 10%+ in a calendar month based on Initial Capital, but actual results may vary. ROI aim is based on the Strategy’s initial C2 Model capital.
Risk Warning: Please see "Day-Trading Risk by www.finra.org"
for more information, please visit – https://www.finra.org/rules-guidance/rulebooks/finra-rules/2270
It is always better to keep an eye on your capital on daily basis to see if the strategy provides what you expected.
Capital Requirement:
• Though the Strategy’s Initial capital is US$50,000, an investor can follow it at 100% scaling with Capital of anything around USD10,000+ if the investor uses any of the discount Brokers supported by C2; Example: Ninja Trader-Dorman/Philip, Gain Capital-Daniel’s trading or Tradovate etc.
• Though trading with less Capital through Discount Broker is desirable to small investors, I should remind you that trading with less capital carries more risk and may lead to margin call if market goes against the trades suddenly.
• If Investor prefers to start with 50% scaling, around US$5000+ is good enough capital with any of the above-mentioned Brokers.
• Investors with Interactive Brokers may require more capital because IBKR requires Day trading margins as per CME’s guidelines.
• I have no affiliation with any of the brokers mentioned above. Please do your own due diligence and, if required, seek help from a ‘’Registered Investment Advisor’’ in your Domicile.
• This link may be useful to US based investors - - https://www.investor.gov/.
Order Types and Stop-Loss & Take Profit:
• Orders could be executed at ''Market price or at Limit orders'' to Enter/Exit a Trade.
• No standard/pre-defined SL/TP is used in each trade, limit orders are executed based on the market conditions at the discretion of the Trade Leader.
• If you like to follow my strategy at 100% scaling, for additional safety, I recommend that you set your Maximum allowed contract size = 4.
• For 50% scaling, set your Maximum allowed contract size = 2.
• For 200% scaling, , set your Maximum allowed contract size = 8 and so on..
Since this is a discretionary strategy, I can’t rule out human error and keeping additional safety at C2 level is always safe.
Trading Cost:
There are two types of Trading cost involved in Auto-Trading PASSIVE.
1. Broker side trading cost
2. C2 side Trading cost.
Broker side trading cost:
• Typically, ‘’Exchange Fee, Commission, Clearing and NFA Fees’’ come under Broker side trading cost and this may be charged automatically from your brokerage account itself daily.
• There may be around 3 to 10+ trades per each trading day. The average trading cost is around $1.50 to $1.75+ per each MNQ/MES. On average, we assume trading cost = $1.65/MNQ
• For example, if 5 trades are executed in a day with minimum contacts traded per lot, then the trading cost = 5 x 2 x $1.65 = $16.5
• If the Gross profit for the day is $300, then the Net profit for the day = $300 - $16.5 = $283.5
C2 side Trading cost:
There are two types of cost involved on C2 side trading cost.
1. The strategy Subscription fee, which is recurring fee monthly. PASSIVE cost $99/month.
2. C2 Investor Trading Plan fee (Check INVESTORS): The minimum fee is $49/month, and the maximum is $299/month.
IRA accounts:
• IRA accounts can be used to follow this strategy, please check with a Qualified Investment Advisor.
• Some useful link - https://www.interactivebrokers.com/en/index.php?f=14429
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2021 | -1.8 | -6.5 | 0.0 | 0.0 | 0.0 | -8.2 | |||||||
| 2022 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2023 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2024 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2025 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2026 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
Statistics
Overview
| Strategy began | 8/3/2021 |
|---|---|
| Suggested Minimum Capital | $50,000 |
| Age | 62 months |
| What it trades | Futures |
| # Trades | 167 |
| # Profitable | 120 |
| % Profitable | 71.9% |
| Avg trade duration | 21.3 minutes |
| Max peak-to-valley drawdown | 17.7% |
| drawdown period | Aug 27, 2021 - Sept 02, 2021 |
| Annual Return (Compounded) | -1.7% |
| Avg win | $142 |
| Avg loss | $407 |
Ratios
| W:L ratio | 0.89 |
|---|---|
| Sharpe Ratio | -0.71 |
| Sortino Ratio | -0.80 |
| Calmar Ratio | -0.53 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.00 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 72.7% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -82.0% |
Return Statistics
| Ann Return (w trading costs) | -1.7% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | -0.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | -0.9% |
Slump
| Current Slump as Pcnt Equity | 16.5% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 1.0% |
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 | 36.5% |
|---|---|
| Chance of 20% account loss | 1.0% |
| Chance of 30% account loss | 0.0% |
| Chance of 40% account loss | 0.0% |
| Chance of 50% account loss | 0.0% |
| Chance of 60% account loss (Monte Carlo) | 0.0% |
| Chance of 70% account loss (Monte Carlo) | 0.0% |
| Chance of 80% account loss (Monte Carlo) | 0.0% |
| Chance of 90% account loss (Monte Carlo) | 0.0% |
Automation
| Percentage Signals Automated | 1.2% |
|---|
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 | $407 |
|---|---|
| Avg Win | $142 |
| # Winners | 120 |
| Sum Trade PL (losers) | $19,129 |
| Sum Trade PL (winners) | $17,008 |
| Num Months Winners | 0 |
| # Losers | 47 |
| % Winners | 71.9% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 61 |
|---|
Frequency
| Avg Position Time (mins) | 21.25 |
|---|---|
| Avg Position Time (hrs) | 0.35 |
| Avg Trade Length | 0 |
| Last Trade Ago | 1823 |
Leverage
| Daily leverage (average) | 7.52 |
|---|---|
| Daily leverage (max) | 31.16 |
Regression
| Alpha | -0.01 |
|---|---|
| Beta | 0 |
| Treynor Index | 18.90 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.01 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0 |
| MAE:Equity, average, losing trades | 0.01 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | -4.15 |
| MAE:PL (avg, all trades) | -0.04 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.76 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.39 |
| Hold-and-Hope Ratio | -0.24 |
RATIO STATISTICS
| Mean | -0.09 |
|---|---|
| SD | 0.04 |
| Sharpe ratio (Glass type estimate) | -2.51 |
| Sharpe ratio (Hedges UMVUE) | -2.27 |
| df | 8 |
| t | -2.17 |
| p | 0.97 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -5.02 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.12 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -4.79 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.26 |
| Sortino ratio | -2.11 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | -0.09 |
| Upside SD | 0 |
| Downside SD | 0.04 |
| N nonnegative terms | 0 |
| N negative terms | 9 |
| N of observations | 9 |
| Mean of predictor | 0.65 |
| Mean of criterion | -0.09 |
| SD of predictor | 0.41 |
| SD of criterion | 0.04 |
| Covariance | 0.00 |
| r | 0.30 |
| b (slope, estimate of beta) | 0.03 |
| a (intercept, estimate of alpha) | -0.11 |
| Mean Square Error | 0.00 |
| DF error | 7 |
| t(b) | 0.82 |
| p(b) | 0.22 |
| t(a) | -2.27 |
| p(a) | 0.97 |
| Lowerbound of 95% confidence interval for beta | -0.05 |
| Upperbound of 95% confidence interval for beta | 0.10 |
| Lowerbound of 95% confidence interval for alpha | -0.22 |
| Upperbound of 95% confidence interval for alpha | 0.00 |
| Treynor index (mean / b) | -3.44 |
| Jensen alpha (a) | -0.11 |
| Mean | -0.09 |
| SD | 0.04 |
| Sharpe ratio (Glass type estimate) | -2.50 |
| Sharpe ratio (Hedges UMVUE) | -2.26 |
| df | 8 |
| t | -2.16 |
| p | 0.97 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -5.00 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.12 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -4.77 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.26 |
| Sortino ratio | -2.11 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | -0.09 |
| Upside SD | 0 |
| Downside SD | 0.04 |
| N nonnegative terms | 0 |
| N negative terms | 9 |
| N of observations | 9 |
| Mean of predictor | 0.56 |
| Mean of criterion | -0.09 |
| SD of predictor | 0.40 |
| SD of criterion | 0.04 |
| Covariance | 0.00 |
| r | 0.27 |
| b (slope, estimate of beta) | 0.03 |
| a (intercept, estimate of alpha) | -0.11 |
| Mean Square Error | 0.00 |
| DF error | 7 |
| t(b) | 0.75 |
| p(b) | 0.24 |
| t(a) | -2.23 |
| p(a) | 0.97 |
| Lowerbound of 95% confidence interval for beta | -0.05 |
| Upperbound of 95% confidence interval for beta | 0.11 |
| Lowerbound of 95% confidence interval for alpha | -0.22 |
| Upperbound of 95% confidence interval for alpha | 0.01 |
| Treynor index (mean / b) | -3.63 |
| Jensen alpha (a) | -0.11 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.03 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.04 |
| Mean | -0.09 |
| SD | 0.09 |
| Sharpe ratio (Glass type estimate) | -1.00 |
| Sharpe ratio (Hedges UMVUE) | -0.99 |
| df | 207 |
| t | -0.89 |
| p | 0.81 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.20 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.21 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.19 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.21 |
| Sortino ratio | -1.17 |
| Upside Potential Ratio | 1.81 |
| Upside part of mean | 0.13 |
| Downside part of mean | -0.22 |
| Upside SD | 0.04 |
| Downside SD | 0.07 |
| N nonnegative terms | 13 |
| N negative terms | 195 |
| N of observations | 208 |
| Mean of predictor | 0.76 |
| Mean of criterion | -0.09 |
| SD of predictor | 0.42 |
| SD of criterion | 0.09 |
| Covariance | 0.00 |
| r | 0.01 |
| b (slope, estimate of beta) | 0.00 |
| a (intercept, estimate of alpha) | -0.09 |
| Mean Square Error | 0.01 |
| DF error | 206 |
| t(b) | 0.07 |
| p(b) | 0.47 |
| t(a) | -0.89 |
| p(a) | 0.81 |
| Lowerbound of 95% confidence interval for beta | -0.03 |
| Upperbound of 95% confidence interval for beta | 0.03 |
| Lowerbound of 95% confidence interval for alpha | -0.28 |
| Upperbound of 95% confidence interval for alpha | 0.10 |
| Treynor index (mean / b) | -80.47 |
| Jensen alpha (a) | -0.09 |
| Mean | -0.09 |
| SD | 0.09 |
| Sharpe ratio (Glass type estimate) | -1.03 |
| Sharpe ratio (Hedges UMVUE) | -1.03 |
| df | 207 |
| t | -0.92 |
| p | 0.82 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.23 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.17 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.23 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.18 |
| Sortino ratio | -1.20 |
| Upside Potential Ratio | 1.76 |
| Upside part of mean | 0.13 |
| Downside part of mean | -0.22 |
| Upside SD | 0.04 |
| Downside SD | 0.07 |
| N nonnegative terms | 13 |
| N negative terms | 195 |
| N of observations | 208 |
| Mean of predictor | 0.67 |
| Mean of criterion | -0.09 |
| SD of predictor | 0.42 |
| SD of criterion | 0.09 |
| Covariance | 0.00 |
| r | 0.00 |
| b (slope, estimate of beta) | 0.00 |
| a (intercept, estimate of alpha) | -0.09 |
| Mean Square Error | 0.01 |
| DF error | 206 |
| t(b) | 0.07 |
| p(b) | 0.47 |
| t(a) | -0.92 |
| p(a) | 0.82 |
| Lowerbound of 95% confidence interval for beta | -0.03 |
| Upperbound of 95% confidence interval for beta | 0.03 |
| Lowerbound of 95% confidence interval for alpha | -0.28 |
| Upperbound of 95% confidence interval for alpha | 0.10 |
| Treynor index (mean / b) | -92.44 |
| Jensen alpha (a) | -0.09 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.01 |
| Mean | -0.03 |
| SD | 0 |
| Sharpe ratio (Glass type estimate) | 0 |
| Sharpe ratio (Hedges UMVUE) | 0 |
| df | 0 |
| t | 0 |
| p | 0 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0 |
| Sortino ratio | -16.19 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | -0.03 |
| Upside SD | 0 |
| Downside SD | 0.00 |
| N nonnegative terms | 0 |
| N negative terms | 131 |
| N of observations | 131 |
| Mean of predictor | 1.22 |
| Mean of criterion | -0.03 |
| SD of predictor | 0.50 |
| SD of criterion | 0 |
| Covariance | 0 |
| r | 0 |
| b (slope, estimate of beta) | 0 |
| a (intercept, estimate of alpha) | 0 |
| Mean Square Error | 0 |
| DF error | 0 |
| t(b) | 0 |
| p(b) | 0 |
| t(a) | 0 |
| p(a) | 0 |
| Lowerbound of 95% confidence interval for beta | 0 |
| Upperbound of 95% confidence interval for beta | 0 |
| Lowerbound of 95% confidence interval for alpha | 0 |
| Upperbound of 95% confidence interval for alpha | 0 |
| Treynor index (mean / b) | 0 |
| Jensen alpha (a) | 0 |
| Mean | -0.03 |
| SD | 0 |
| Sharpe ratio (Glass type estimate) | -9.74841826823373e+15 |
| Sharpe ratio (Hedges UMVUE) | -9.69206937105203e+15 |
| df | 130 |
| t | -6893172865105920 |
| p | 1 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.08701574255084e+16 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | -8513981316595712 |
| Sortino ratio | -16.19 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | -0.03 |
| Upside SD | 0 |
| Downside SD | 0.00 |
| N nonnegative terms | 0 |
| N negative terms | 131 |
| N of observations | 131 |
| Mean of predictor | 1.10 |
| Mean of criterion | -0.03 |
| SD of predictor | 0.50 |
| SD of criterion | 0 |
| Covariance | 0 |
| r | 0 |
| b (slope, estimate of beta) | 0 |
| a (intercept, estimate of alpha) | -0.03 |
| Mean Square Error | 0 |
| DF error | 129 |
| t(b) | 0 |
| p(b) | 0.50 |
| t(a) | -6804032429490176 |
| p(a) | 1 |
| Lowerbound of 95% confidence interval for beta | 0 |
| VAR (95 Confidence Intrvl) | 0.01 |
| Upperbound of 95% confidence interval for beta | 0 |
| Lowerbound of 95% confidence interval for alpha | -0.03 |
| Upperbound of 95% confidence interval for alpha | -0.03 |
| Treynor index (mean / b) | 1.19683443370904e+32 |
| Jensen alpha (a) | -0.03 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.00 |
| VaR(95%) | 0 |
| Expected Shortfall on VaR | 0 |
ORDER STATISTICS
| Number of observations | 9 |
|---|---|
| Minimum | 0.98 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1 |
| Mean of quarter 1 | 0.98 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1 |
| Inter Quartile Range | 0 |
| Number outliers low | 2 |
| Percentage of outliers low | 0.22 |
| Mean of outliers low | 0.98 |
| 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) | -5.01 |
| VaR(95%) (regression method) | 0.07 |
| Expected Shortfall (regression method) | 0.07 |
| Number of observations | 208 |
| Minimum | 0.96 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.03 |
| Mean of quarter 1 | 1.00 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.00 |
| Inter Quartile Range | 0 |
| Number outliers low | 11 |
| Percentage of outliers low | 0.05 |
| Mean of outliers low | 0.99 |
| Number of outliers high | 13 |
| Percentage of outliers high | 0.06 |
| Mean of outliers high | 1.01 |
| Extreme Value Index (moments method) | -0.83 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.00 |
| Extreme Value Index (regression method) | 0.01 |
| VaR(95%) (regression method) | 0.00 |
| Expected Shortfall (regression method) | 0.01 |
| Number of observations | 131 |
| Minimum | 1 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1 |
| Mean of quarter 1 | 1 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1 |
| Inter Quartile Range | 0 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
DRAW DOWN STATISTICS
| Number of observations | 1 |
|---|---|
| Minimum | 0.05 |
| Quartile 1 | 0.05 |
| Median | 0.05 |
| Quartile 3 | 0.05 |
| Maximum | 0.05 |
| Mean of quarter 1 | 0 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0 |
| Inter Quartile Range | 0 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 4 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.02 |
| Quartile 3 | 0.04 |
| Maximum | 0.11 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.02 |
| Mean of quarter 4 | 0.11 |
| Inter Quartile Range | 0.04 |
| 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 | 0.11 |
| 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 | 0 |
| Minimum | 0 |
| Quartile 1 | 0 |
| Median | 0 |
| Quartile 3 | 0 |
| Maximum | 0 |
| Mean of quarter 1 | 0 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0 |
| Inter Quartile Range | 0 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -460979424 |
| Max Equity Drawdown (num days) | 6 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | -0.06 |
|---|---|
| Compounded annual return (geometric extrapolation) | -0.06 |
| Calmar ratio (compounded annual return / max draw down) | -1.32 |
| Compounded annual return / average of 25% largest draw downs | 0 |
| Compounded annual return / Expected Shortfall lognormal | -2.13 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.06 |
| Compounded annual return (geometric extrapolation) | -0.06 |
| Calmar ratio (compounded annual return / max draw down) | -0.53 |
| Compounded annual return / average of 25% largest draw downs | -0.53 |
| Compounded annual return / Expected Shortfall lognormal | -5.25 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0 |
| Compounded annual return (geometric extrapolation) | 0 |
| Calmar ratio (compounded annual return / max draw down) | 0 |
| Compounded annual return / average of 25% largest draw downs | 0 |
| Compounded annual return / Expected Shortfall lognormal | 0 |
Trading record
Placed 330 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| NQ U1 | long | 4 | Sep 3, 2021 | Sep 3, 2021 | $568 |
| NQ U1 | long | 4 | Sep 2, 2021 | Sep 2, 2021 | ($4,862) |
| NQ U1 | short | 2 | Sep 1, 2021 | Sep 1, 2021 | $1,624 |
| NQ U1 | short | 5 | Aug 31, 2021 | Aug 31, 2021 | ($2,797) |
| NQ U1 | short | 2 | Aug 31, 2021 | Aug 31, 2021 | $952 |
| NQ U1 | long | 1 | Aug 31, 2021 | Aug 31, 2021 | ($34) |
| NQ U1 | short | 2 | Aug 31, 2021 | Aug 31, 2021 | $804 |
| NQ U1 | short | 1 | Aug 31, 2021 | Aug 31, 2021 | $512 |
| NQ U1 | short | 2 | Aug 30, 2021 | Aug 30, 2021 | ($746) |
| NQ U1 | long | 2 | Aug 30, 2021 | Aug 30, 2021 | ($176) |
| NQ U1 | short | 3 | Aug 30, 2021 | Aug 30, 2021 | ($736) |
| NQ U1 | long | 2 | Aug 30, 2021 | Aug 30, 2021 | ($371) |
| NQ U1 | short | 1 | Aug 30, 2021 | Aug 30, 2021 | ($31) |
| NQ U1 | short | 2 | Aug 30, 2021 | Aug 30, 2021 | $342 |
| NQ U1 | short | 2 | Aug 30, 2021 | Aug 30, 2021 | ($215) |
| NQ U1 | short | 2 | Aug 30, 2021 | Aug 30, 2021 | $558 |
| NQ U1 | short | 2 | Aug 30, 2021 | Aug 30, 2021 | $361 |
| NQ U1 | short | 2 | Aug 30, 2021 | Aug 30, 2021 | ($1,788) |
| NQ U1 | short | 2 | Aug 30, 2021 | Aug 30, 2021 | ($1,029) |
| NQ U1 | short | 1 | Aug 27, 2021 | Aug 27, 2021 | $177 |
| NQ U1 | short | 2 | Aug 27, 2021 | Aug 27, 2021 | $231 |
| NQ U1 | long | 1 | Aug 27, 2021 | Aug 27, 2021 | $294 |
| NQ U1 | short | 1 | Aug 27, 2021 | Aug 27, 2021 | $125 |
| NQ U1 | long | 1 | Aug 27, 2021 | Aug 27, 2021 | $395 |
| NQ U1 | long | 3 | Aug 27, 2021 | Aug 27, 2021 | $482 |
| NQ U1 | short | 1 | Aug 27, 2021 | Aug 27, 2021 | ($192) |
| NQ U1 | short | 1 | Aug 27, 2021 | Aug 27, 2021 | $223 |
| NQ U1 | long | 1 | Aug 26, 2021 | Aug 26, 2021 | $133 |
| NQ U1 | long | 1 | Aug 26, 2021 | Aug 26, 2021 | $118 |
| NQ U1 | short | 2 | Aug 26, 2021 | Aug 26, 2021 | $475 |
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.