Newtons Pebbles
- hypothetical · Annual Return (Compounded)
- 87.0%
- Max Drawdown
- 53.5%
- Trades
- 729
- Win Trades
- 68.4%
- Profit Factor
- 1.10
- Win Months
- 13.1%
About this strategy
This is an autotrade strategy running from NinjaTrader. Started Sept. 1, 2021 (no trades in August). I set it up to trade 2 NQ contracts. I suggest a minimum account size of $50,000. You may follow it with 2 MNQ if you wish using a minimum account size of $5,000.
Positions will be created with either 1 or 2 contracts. Sometimes the position is reversed. Trades begin as early as 2:50 AM UTC-5 ( New York ). Some trades are very short scalp style. Others last a few minutes and many last a good part of the day. All positions are closed by 3 PM UTC-5.
There are two possible configurations for stops losses.
Presently I'm using an algorithm that finds the latest completed price action swing and places the stop near there as long as it's at least 1/3 of 1 percent of the contract price away from the entry price.
An optional configuration that's not presently enabled works as follows:
1. A hard stop loss at 1/3 of 1 percent of the contract price. As an example, if the contract price is 15,000 then the stop loss is 52 points ( 15000 x 0.0035 )
Positions are created with 2 possible entries. The stop loss will have a separate stop for each of the entries.
2. A soft stop triggered at 1/4 of 1 percent of the contract price. When the soft stop is hit an aggressive trailing target is submitted in an attempt to exit the position at a better price than the hard stop.
Again this 2nd algorithm for the stop loss orders is not presently in play but I may switch to it in the future.
As I continue to discover improvements I'll make announcements about the changes.
The name, Newton’s Pebbles, has a 3 fold meaning. A tribute to Sir Isaac Newton, renaissance scientist mathematician and co-founder of calculus. The name “calculus” is from a Latin word that literally means “small pebble”. Calculus was perhaps named “small pebble” because of the small pebbles used to construct the calculators of the day, the abacus. Finally, Newton is given credit for a quote involving small pebbles, although there is some controversy surrounding that. Google for Newton’s Pebbles and you’ll see.
Positions will be created with either 1 or 2 contracts. Sometimes the position is reversed. Trades begin as early as 2:50 AM UTC-5 ( New York ). Some trades are very short scalp style. Others last a few minutes and many last a good part of the day. All positions are closed by 3 PM UTC-5.
There are two possible configurations for stops losses.
Presently I'm using an algorithm that finds the latest completed price action swing and places the stop near there as long as it's at least 1/3 of 1 percent of the contract price away from the entry price.
An optional configuration that's not presently enabled works as follows:
1. A hard stop loss at 1/3 of 1 percent of the contract price. As an example, if the contract price is 15,000 then the stop loss is 52 points ( 15000 x 0.0035 )
Positions are created with 2 possible entries. The stop loss will have a separate stop for each of the entries.
2. A soft stop triggered at 1/4 of 1 percent of the contract price. When the soft stop is hit an aggressive trailing target is submitted in an attempt to exit the position at a better price than the hard stop.
Again this 2nd algorithm for the stop loss orders is not presently in play but I may switch to it in the future.
As I continue to discover improvements I'll make announcements about the changes.
The name, Newton’s Pebbles, has a 3 fold meaning. A tribute to Sir Isaac Newton, renaissance scientist mathematician and co-founder of calculus. The name “calculus” is from a Latin word that literally means “small pebble”. Calculus was perhaps named “small pebble” because of the small pebbles used to construct the calculators of the day, the abacus. Finally, Newton is given credit for a quote involving small pebbles, although there is some controversy surrounding that. Google for Newton’s Pebbles and you’ll see.
Short Term
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2021 | -1.2 | 17.8 | 49.7 | 17.0 | 20.3 | 145.1 | |||||||
| 2022 | 1.1 | 15.2 | -2.9 | 11.7 | -12.4 | -2.6 | -7.4 | -22.4 | 4.9 | 0.0 | 0.0 | 0.0 | -18.8 |
| 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 | 8/31/2021 |
|---|---|
| Suggested Minimum Capital | $25,000 |
| Age | 61 months |
| What it trades | Futures |
| # Trades | 729 |
| # Profitable | 499 |
| % Profitable | 68.4% |
| Avg trade duration | 51.1 minutes |
| Max peak-to-valley drawdown | 53.5% |
| drawdown period | May 05, 2022 - Sept 02, 2022 |
| Annual Return (Compounded) | 87.0% |
| Avg win | $789 |
| Avg loss | $1,549 |
Ratios
| W:L ratio | 1.10 |
|---|---|
| Sharpe Ratio | 0.44 |
| Sortino Ratio | 0.76 |
| Calmar Ratio | 2.03 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.04 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 68.8% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 118.4% |
Return Statistics
| Ann Return (w trading costs) | 87.0% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.9% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 19.9% |
Slump
| Current Slump as Pcnt Equity | 96.0% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.9% |
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 | 76.0% |
|---|---|
| Chance of 20% account loss | 48.5% |
| Chance of 30% account loss | 30.0% |
| Chance of 40% account loss | 19.0% |
| Chance of 50% account loss | 5.0% |
| 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 | 100.0% |
|---|
Popularity
| Popularity (Today) | 0 |
|---|---|
| Popularity (Last 6 weeks) | 908 |
| Popularity (7 days, Percentile 1000 scale) | 695 |
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $1,549 |
|---|---|
| Avg Win | $789 |
| # Winners | 499 |
| Sum Trade PL (losers) | $356,344 |
| Sum Trade PL (winners) | $393,714 |
| Num Months Winners | 8 |
| # Losers | 230 |
| % Winners | 68.4% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 61 |
|---|
Frequency
| Avg Position Time (mins) | 51.13 |
|---|---|
| Avg Position Time (hrs) | 0.85 |
| Avg Trade Length | 0 |
| Last Trade Ago | 1436 |
Leverage
| Daily leverage (average) | 9.44 |
|---|---|
| Daily leverage (max) | 28.44 |
Regression
| Alpha | 0.05 |
|---|---|
| Beta | -0.07 |
| Treynor Index | -0.67 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.02 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.01 |
| MAE:Equity, average, losing trades | 0.03 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.01 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | -27.40 |
| MAE:PL (avg, all trades) | 4.82 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.59 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.22 |
| Hold-and-Hope Ratio | -0.04 |
RATIO STATISTICS
| Mean | 1.24 |
|---|---|
| SD | 0.65 |
| Sharpe ratio (Glass type estimate) | 1.90 |
| Sharpe ratio (Hedges UMVUE) | 1.77 |
| df | 11 |
| t | 1.90 |
| p | 0.04 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.25 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.97 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.33 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.86 |
| Sortino ratio | 8.29 |
| Upside Potential Ratio | 10.08 |
| Upside part of mean | 1.51 |
| Downside part of mean | -0.27 |
| Upside SD | 0.71 |
| Downside SD | 0.15 |
| N nonnegative terms | 8 |
| N negative terms | 4 |
| N of observations | 12 |
| Mean of predictor | -0.15 |
| Mean of criterion | 1.24 |
| SD of predictor | 0.19 |
| SD of criterion | 0.65 |
| Covariance | 0.03 |
| r | 0.20 |
| b (slope, estimate of beta) | 0.70 |
| a (intercept, estimate of alpha) | 1.35 |
| Mean Square Error | 0.45 |
| DF error | 10 |
| t(b) | 0.65 |
| p(b) | 0.26 |
| t(a) | 1.95 |
| p(a) | 0.04 |
| Lowerbound of 95% confidence interval for beta | -1.69 |
| Upperbound of 95% confidence interval for beta | 3.08 |
| Lowerbound of 95% confidence interval for alpha | -0.19 |
| Upperbound of 95% confidence interval for alpha | 2.89 |
| Treynor index (mean / b) | 1.78 |
| Jensen alpha (a) | 1.35 |
| Mean | 1.03 |
| SD | 0.56 |
| Sharpe ratio (Glass type estimate) | 1.86 |
| Sharpe ratio (Hedges UMVUE) | 1.73 |
| df | 11 |
| t | 1.86 |
| p | 0.05 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.28 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.93 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.36 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.82 |
| Sortino ratio | 6.54 |
| Upside Potential Ratio | 8.31 |
| Upside part of mean | 1.31 |
| Downside part of mean | -0.28 |
| Upside SD | 0.59 |
| Downside SD | 0.16 |
| N nonnegative terms | 8 |
| N negative terms | 4 |
| N of observations | 12 |
| Mean of predictor | -0.17 |
| Mean of criterion | 1.03 |
| SD of predictor | 0.19 |
| SD of criterion | 0.56 |
| Covariance | 0.02 |
| r | 0.16 |
| b (slope, estimate of beta) | 0.46 |
| a (intercept, estimate of alpha) | 1.11 |
| Mean Square Error | 0.33 |
| DF error | 10 |
| t(b) | 0.50 |
| p(b) | 0.31 |
| t(a) | 1.86 |
| p(a) | 0.05 |
| Lowerbound of 95% confidence interval for beta | -1.59 |
| Upperbound of 95% confidence interval for beta | 2.51 |
| Lowerbound of 95% confidence interval for alpha | -0.22 |
| Upperbound of 95% confidence interval for alpha | 2.44 |
| Treynor index (mean / b) | 2.25 |
| Jensen alpha (a) | 1.11 |
| VaR(95%) | 0.16 |
| Expected Shortfall on VaR | 0.22 |
| VaR(95%) | 0.04 |
| Expected Shortfall on VaR | 0.08 |
| Mean | 1.02 |
| SD | 0.64 |
| Sharpe ratio (Glass type estimate) | 1.61 |
| Sharpe ratio (Hedges UMVUE) | 1.61 |
| df | 279 |
| t | 1.67 |
| p | 0.05 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.29 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.51 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.29 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.51 |
| Sortino ratio | 2.84 |
| Upside Potential Ratio | 10.30 |
| Upside part of mean | 3.71 |
| Downside part of mean | -2.69 |
| Upside SD | 0.53 |
| Downside SD | 0.36 |
| N nonnegative terms | 148 |
| N negative terms | 132 |
| N of observations | 280 |
| Mean of predictor | -0.21 |
| Mean of criterion | 1.02 |
| SD of predictor | 0.21 |
| SD of criterion | 0.64 |
| Covariance | -0.01 |
| r | -0.08 |
| b (slope, estimate of beta) | -0.23 |
| a (intercept, estimate of alpha) | 0.78 |
| Mean Square Error | 0.40 |
| DF error | 278 |
| t(b) | -1.30 |
| p(b) | 0.90 |
| t(a) | 1.59 |
| p(a) | 0.06 |
| Lowerbound of 95% confidence interval for beta | -0.58 |
| Upperbound of 95% confidence interval for beta | 0.12 |
| Lowerbound of 95% confidence interval for alpha | -0.23 |
| Upperbound of 95% confidence interval for alpha | 2.19 |
| Treynor index (mean / b) | -4.43 |
| Jensen alpha (a) | 0.98 |
| Mean | 0.83 |
| SD | 0.62 |
| Sharpe ratio (Glass type estimate) | 1.33 |
| Sharpe ratio (Hedges UMVUE) | 1.33 |
| df | 279 |
| t | 1.38 |
| p | 0.08 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.57 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.23 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.57 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.23 |
| Sortino ratio | 2.22 |
| Upside Potential Ratio | 9.60 |
| Upside part of mean | 3.58 |
| Downside part of mean | -2.76 |
| Upside SD | 0.50 |
| Downside SD | 0.37 |
| N nonnegative terms | 148 |
| N negative terms | 132 |
| N of observations | 280 |
| Mean of predictor | -0.23 |
| Mean of criterion | 0.83 |
| SD of predictor | 0.22 |
| SD of criterion | 0.62 |
| Covariance | -0.01 |
| r | -0.08 |
| b (slope, estimate of beta) | -0.22 |
| a (intercept, estimate of alpha) | 0.78 |
| Mean Square Error | 0.38 |
| DF error | 278 |
| t(b) | -1.27 |
| p(b) | 0.90 |
| t(a) | 1.29 |
| p(a) | 0.10 |
| Lowerbound of 95% confidence interval for beta | -0.56 |
| Upperbound of 95% confidence interval for beta | 0.12 |
| Lowerbound of 95% confidence interval for alpha | -0.41 |
| Upperbound of 95% confidence interval for alpha | 1.96 |
| Treynor index (mean / b) | -3.78 |
| Jensen alpha (a) | 0.78 |
| VaR(95%) | 0.06 |
| Expected Shortfall on VaR | 0.07 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.05 |
| Mean | -0.27 |
| SD | 0.56 |
| Sharpe ratio (Glass type estimate) | -0.48 |
| Sharpe ratio (Hedges UMVUE) | -0.48 |
| df | 130 |
| t | -0.34 |
| p | 0.51 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.25 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.29 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.25 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.29 |
| Sortino ratio | -0.78 |
| Upside Potential Ratio | 8.04 |
| Upside part of mean | 2.76 |
| Downside part of mean | -3.03 |
| Upside SD | 0.44 |
| Downside SD | 0.34 |
| N nonnegative terms | 60 |
| N negative terms | 71 |
| N of observations | 131 |
| Mean of predictor | -0.47 |
| Mean of criterion | -0.27 |
| SD of predictor | 0.25 |
| SD of criterion | 0.56 |
| Covariance | -0.02 |
| r | -0.17 |
| b (slope, estimate of beta) | -0.38 |
| a (intercept, estimate of alpha) | -0.45 |
| Mean Square Error | 0.31 |
| DF error | 129 |
| t(b) | -1.99 |
| p(b) | 0.61 |
| t(a) | -0.57 |
| p(a) | 0.53 |
| Lowerbound of 95% confidence interval for beta | -0.76 |
| Upperbound of 95% confidence interval for beta | -0.00 |
| Lowerbound of 95% confidence interval for alpha | -2.01 |
| Upperbound of 95% confidence interval for alpha | 1.11 |
| Treynor index (mean / b) | 0.70 |
| Jensen alpha (a) | -0.45 |
| Mean | -0.42 |
| SD | 0.55 |
| Sharpe ratio (Glass type estimate) | -0.77 |
| Sharpe ratio (Hedges UMVUE) | -0.76 |
| df | 130 |
| t | -0.54 |
| p | 0.52 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.54 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.01 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.54 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.01 |
| Sortino ratio | -1.19 |
| Upside Potential Ratio | 7.58 |
| Upside part of mean | 2.67 |
| Downside part of mean | -3.09 |
| Upside SD | 0.42 |
| Downside SD | 0.35 |
| N nonnegative terms | 60 |
| N negative terms | 71 |
| N of observations | 131 |
| Mean of predictor | -0.50 |
| Mean of criterion | -0.42 |
| SD of predictor | 0.25 |
| SD of criterion | 0.55 |
| Covariance | -0.02 |
| r | -0.17 |
| b (slope, estimate of beta) | -0.37 |
| a (intercept, estimate of alpha) | -0.61 |
| Mean Square Error | 0.29 |
| DF error | 129 |
| t(b) | -1.97 |
| p(b) | 0.61 |
| t(a) | -0.79 |
| p(a) | 0.54 |
| Lowerbound of 95% confidence interval for beta | -0.74 |
| VAR (95 Confidence Intrvl) | 0.05 |
| Upperbound of 95% confidence interval for beta | 0.00 |
| Lowerbound of 95% confidence interval for alpha | -2.13 |
| Upperbound of 95% confidence interval for alpha | 0.92 |
| Treynor index (mean / b) | 1.14 |
| Jensen alpha (a) | -0.61 |
| VaR(95%) | 0.06 |
| Expected Shortfall on VaR | 0.07 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.05 |
ORDER STATISTICS
| Number of observations | 12 |
|---|---|
| Minimum | 0.88 |
| Quartile 1 | 0.96 |
| Median | 1.06 |
| Quartile 3 | 1.19 |
| Maximum | 1.57 |
| Mean of quarter 1 | 0.93 |
| Mean of quarter 2 | 1.01 |
| Mean of quarter 3 | 1.14 |
| Mean of quarter 4 | 1.35 |
| Inter Quartile Range | 0.23 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.08 |
| Mean of outliers high | 1.57 |
| Extreme Value Index (moments method) | 0.45 |
| VaR(95%) (moments method) | 0.09 |
| Expected Shortfall (moments method) | 0.16 |
| Extreme Value Index (regression method) | 7.16 |
| VaR(95%) (regression method) | 0.27 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 280 |
| Minimum | 0.88 |
| Quartile 1 | 0.99 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.22 |
| Mean of quarter 1 | 0.96 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.01 |
| Mean of quarter 4 | 1.05 |
| Inter Quartile Range | 0.03 |
| Number outliers low | 14 |
| Percentage of outliers low | 0.05 |
| Mean of outliers low | 0.92 |
| Number of outliers high | 25 |
| Percentage of outliers high | 0.09 |
| Mean of outliers high | 1.09 |
| Extreme Value Index (moments method) | -0.08 |
| VaR(95%) (moments method) | 0.03 |
| Expected Shortfall (moments method) | 0.04 |
| Extreme Value Index (regression method) | -0.12 |
| VaR(95%) (regression method) | 0.04 |
| Expected Shortfall (regression method) | 0.05 |
| Number of observations | 131 |
| Minimum | 0.92 |
| Quartile 1 | 0.98 |
| Median | 1 |
| Quartile 3 | 1.01 |
| Maximum | 1.16 |
| Mean of quarter 1 | 0.96 |
| Mean of quarter 2 | 0.99 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.04 |
| Inter Quartile Range | 0.03 |
| Number outliers low | 2 |
| Percentage of outliers low | 0.02 |
| Mean of outliers low | 0.92 |
| Number of outliers high | 6 |
| Percentage of outliers high | 0.05 |
| Mean of outliers high | 1.11 |
| Extreme Value Index (moments method) | -0.00 |
| VaR(95%) (moments method) | 0.04 |
| Expected Shortfall (moments method) | 0.05 |
| Extreme Value Index (regression method) | -0.03 |
| VaR(95%) (regression method) | 0.04 |
| Expected Shortfall (regression method) | 0.05 |
DRAW DOWN STATISTICS
| Number of observations | 3 |
|---|---|
| Minimum | 0.04 |
| Quartile 1 | 0.04 |
| Median | 0.05 |
| Quartile 3 | 0.11 |
| Maximum | 0.17 |
| Mean of quarter 1 | 0.04 |
| Mean of quarter 2 | 0.05 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.17 |
| Inter Quartile Range | 0.06 |
| 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 | 15 |
| Minimum | 0.00 |
| Quartile 1 | 0.02 |
| Median | 0.07 |
| Quartile 3 | 0.15 |
| Maximum | 0.43 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.05 |
| Mean of quarter 3 | 0.13 |
| Mean of quarter 4 | 0.25 |
| Inter Quartile Range | 0.13 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.07 |
| Mean of outliers high | 0.43 |
| Extreme Value Index (moments method) | -0.11 |
| VaR(95%) (moments method) | 0.27 |
| Expected Shortfall (moments method) | 0.34 |
| Extreme Value Index (regression method) | 0.70 |
| VaR(95%) (regression method) | 0.34 |
| Expected Shortfall (regression method) | 0.97 |
| Number of observations | 5 |
| Minimum | 0.00 |
| Quartile 1 | 0.03 |
| Median | 0.03 |
| Quartile 3 | 0.13 |
| Maximum | 0.43 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.03 |
| Mean of quarter 3 | 0.13 |
| Mean of quarter 4 | 0.43 |
| Inter Quartile Range | 0.10 |
| 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 | 0.43 |
| 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? | -338804928 |
| Max Equity Drawdown (num days) | 120 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 1.89 |
|---|---|
| Compounded annual return (geometric extrapolation) | 1.89 |
| Calmar ratio (compounded annual return / max draw down) | 11.39 |
| Compounded annual return / average of 25% largest draw downs | 11.39 |
| Compounded annual return / Expected Shortfall lognormal | 8.76 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 1.40 |
| Compounded annual return (geometric extrapolation) | 1.35 |
| Calmar ratio (compounded annual return / max draw down) | 3.16 |
| Compounded annual return / average of 25% largest draw downs | 5.39 |
| Compounded annual return / Expected Shortfall lognormal | 18.51 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.36 |
| Compounded annual return (geometric extrapolation) | -0.32 |
| Calmar ratio (compounded annual return / max draw down) | -0.76 |
| Compounded annual return / average of 25% largest draw downs | -0.76 |
| Compounded annual return / Expected Shortfall lognormal | -4.72 |
Trading record
Placed 1124 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| NQ Z2 | short | 2 | Sep 23, 2022 | Sep 23, 2022 | ($141) |
| NQ Z2 | short | 2 | Sep 23, 2022 | Sep 23, 2022 | $1,999 |
| NQ Z2 | short | 1 | Sep 22, 2022 | Sep 22, 2022 | $317 |
| NQ Z2 | long | 2 | Sep 22, 2022 | Sep 22, 2022 | $454 |
| NQ Z2 | short | 2 | Sep 22, 2022 | Sep 22, 2022 | ($4,826) |
| NQ Z2 | long | 1 | Sep 21, 2022 | Sep 21, 2022 | $32 |
| NQ Z2 | long | 1 | Sep 21, 2022 | Sep 21, 2022 | ($13) |
| NQ Z2 | short | 2 | Sep 20, 2022 | Sep 20, 2022 | $99 |
| NQ Z2 | short | 1 | Sep 20, 2022 | Sep 20, 2022 | ($23) |
| NQ Z2 | short | 1 | Sep 20, 2022 | Sep 20, 2022 | $127 |
| NQ Z2 | long | 1 | Sep 19, 2022 | Sep 19, 2022 | $77 |
| NQ Z2 | long | 1 | Sep 16, 2022 | Sep 16, 2022 | ($23) |
| NQ Z2 | long | 2 | Sep 15, 2022 | Sep 15, 2022 | ($956) |
| NQ Z2 | long | 1 | Sep 15, 2022 | Sep 15, 2022 | $997 |
| NQ Z2 | short | 2 | Sep 15, 2022 | Sep 15, 2022 | $1,504 |
| NQ Z2 | long | 2 | Sep 15, 2022 | Sep 15, 2022 | ($1,962) |
| NQ Z2 | short | 1 | Sep 15, 2022 | Sep 15, 2022 | ($32) |
| NQ Z2 | long | 2 | Sep 14, 2022 | Sep 14, 2022 | ($2,305) |
| NQ Z2 | long | 2 | Sep 14, 2022 | Sep 14, 2022 | ($3,136) |
| NQ Z2 | short | 2 | Sep 14, 2022 | Sep 14, 2022 | ($2,706) |
| NQ Z2 | short | 1 | Sep 13, 2022 | Sep 13, 2022 | $322 |
| NQ Z2 | short | 1 | Sep 13, 2022 | Sep 13, 2022 | $322 |
| NQ Z2 | short | 1 | Sep 13, 2022 | Sep 13, 2022 | $697 |
| NQ Z2 | short | 2 | Sep 12, 2022 | Sep 12, 2022 | ($76) |
| NQ Z2 | long | 2 | Sep 12, 2022 | Sep 12, 2022 | ($131) |
| NQ U2 | short | 2 | Sep 9, 2022 | Sep 9, 2022 | ($3,236) |
| NQ U2 | long | 1 | Sep 8, 2022 | Sep 8, 2022 | $72 |
| NQ U2 | short | 2 | Sep 8, 2022 | Sep 8, 2022 | ($3,961) |
| NQ U2 | short | 1 | Sep 8, 2022 | Sep 8, 2022 | $1,027 |
| NQ U2 | short | 1 | Sep 8, 2022 | Sep 8, 2022 | $37 |
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.