3x SPX BULL - BEAR QUANT
- hypothetical · Annual Return (Compounded)
- 0.0%
- Max Drawdown
- 100.0%
- Trades
- 50
- Win Trades
- 44.0%
- Profit Factor
- 0.60
- Win Months
- 34.0%
About this strategy
My 3x SPX BULL & BEAR QUANT STRATEGY and 3x QQQ BULL & BEAR QUANT STRATEGY are quantitative market-timing strategies designed to identify recurring patterns and relationships between several market data variables. The primary data drivers are the VIX to SPX, VXN to QQQ, Stochastic Indicators, and resistance & support levels. Additionally, there are many other mathematical analyses involved.
Acknowledging nothing works 100% of the time, 3x SPX BULL & BEAR QUANT STRATEGY and 3x QQQ BULL & BEAR QUANT STRATEGY are designed to capture the trending moves of the market, which should generate a significantly larger return than the sum of all losses over time. I use statistical analysis to predict market movements, thus predicting when to buy or sell. My disciplined quantitative process should result in significant outperformance over time.
My back tests for the 3x SPX BULL & BEAR QUANT STRATEGY and 3x QQQ BULL & BEAR QUANT STRATEGY from their inception dates have resulted in a positive return for every rolling 6, 9, and 12-month periods for both strategies. The rolling 3-month periods have resulted in a positive return +98% of the time for both strategies. The rolling 1-month periods have resulted in a positive return +90% of the time for both strategies. From inception 3x SPX BULL & BEAR QUANT STRATEGY has an overall BUY / SELL success rate of +65% and 3x QQQ BULL & BEAR QUANT STRATEGY has an overall BUY / SELL success rate of +69%. The back tests are from the inception date of June 24, 2009 for the 3x SPX BULL & BEAR QUANT STRATEGY and February 9, 2010 for the 3x QQQ BULL & BEAR QUANT STRATEGY through July 25, 2022.
METHODOLOGY FOR BACK TEST PERFORMANCE FOR 3x SPX BULL & BEAR QUANT STRATEGY AND 3x QQQ BULL & BEAR QUANT STRATEGY
• Every formula is consistent from the inception date to the present and there is absolutely no forward looking to calculate the data.
• June 24, 2009 is when UPRO and SPXS were available to trade and is the inception date of the back tested performance.
• February 9, 2010 is when TQQQ and SQQQ were each available to trade and is the inception date of the back tested performance.
• All BUY, SELL and HOLD signals are determined at the closing price of the trading day.
• All BUYs and SELLs are assumed to be bought or sold at the closing price of the following trading day of the BUY or SELL signal.
• In actual practice, the BUY or SELL happens at or near the market open the next trading day after the previous trading day’s BUY or SELL signal.
• 3x SPX BULL & BEAR QUANT STRATEGY will hold SPX 3x Long (ETF UPRO) or SPX 3x Short (ETF SPXS).
• 3x QQQ BULL & BEAR QUANT STRATEGY will hold (ETF TQQQ) or QQQ 3x Short (ETF SQQQ).
BACK TESTED PERFORMANCE - Back tested results not verified by Collective2.
Acknowledging nothing works 100% of the time, 3x SPX BULL & BEAR QUANT STRATEGY and 3x QQQ BULL & BEAR QUANT STRATEGY are designed to capture the trending moves of the market, which should generate a significantly larger return than the sum of all losses over time. I use statistical analysis to predict market movements, thus predicting when to buy or sell. My disciplined quantitative process should result in significant outperformance over time.
My back tests for the 3x SPX BULL & BEAR QUANT STRATEGY and 3x QQQ BULL & BEAR QUANT STRATEGY from their inception dates have resulted in a positive return for every rolling 6, 9, and 12-month periods for both strategies. The rolling 3-month periods have resulted in a positive return +98% of the time for both strategies. The rolling 1-month periods have resulted in a positive return +90% of the time for both strategies. From inception 3x SPX BULL & BEAR QUANT STRATEGY has an overall BUY / SELL success rate of +65% and 3x QQQ BULL & BEAR QUANT STRATEGY has an overall BUY / SELL success rate of +69%. The back tests are from the inception date of June 24, 2009 for the 3x SPX BULL & BEAR QUANT STRATEGY and February 9, 2010 for the 3x QQQ BULL & BEAR QUANT STRATEGY through July 25, 2022.
METHODOLOGY FOR BACK TEST PERFORMANCE FOR 3x SPX BULL & BEAR QUANT STRATEGY AND 3x QQQ BULL & BEAR QUANT STRATEGY
• Every formula is consistent from the inception date to the present and there is absolutely no forward looking to calculate the data.
• June 24, 2009 is when UPRO and SPXS were available to trade and is the inception date of the back tested performance.
• February 9, 2010 is when TQQQ and SQQQ were each available to trade and is the inception date of the back tested performance.
• All BUY, SELL and HOLD signals are determined at the closing price of the trading day.
• All BUYs and SELLs are assumed to be bought or sold at the closing price of the following trading day of the BUY or SELL signal.
• In actual practice, the BUY or SELL happens at or near the market open the next trading day after the previous trading day’s BUY or SELL signal.
• 3x SPX BULL & BEAR QUANT STRATEGY will hold SPX 3x Long (ETF UPRO) or SPX 3x Short (ETF SPXS).
• 3x QQQ BULL & BEAR QUANT STRATEGY will hold (ETF TQQQ) or QQQ 3x Short (ETF SQQQ).
BACK TESTED PERFORMANCE - Back tested results not verified by Collective2.
Trend-following
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2022 | 8.3 | -0.6 | 52.6 | 2.4 | -26.5 | -9.1 | 12.3 | ||||||
| 2023 | -15.5 | -17.8 | -8.7 | 7.3 | -2.2 | 4.7 | -16.8 | 19.0 | 10.9 | 6.8 | -24.4 | -15.4 | -47.8 |
| 2024 | -6.6 | -17.6 | -12.1 | 15.7 | -13.7 | -15.6 | -0.3 | 30.4 | -39.5 | -3.9 | -17.4 | 4.1 | -62.9 |
| 2025 | -2.3 | 17.4 | 24.2 | 10.9 | -39.2 | -16.7 | -33.7 | -11.1 | -22.2 | -37.6 | 11.1 | 5.4 | -73.2 |
| 2026 | -17.4 | -3.7 | 87.1 | 0.0 | -108.7 | -316.7 | -403.2 | -3.9 | -123.8 |
Statistics
Overview
| Strategy began | 7/11/2022 |
|---|---|
| Suggested Minimum Capital | $25,000 |
| Age | 51 months |
| What it trades | Stocks |
| # Trades | 50 |
| # Profitable | 22 |
| % Profitable | 44.0% |
| Avg trade duration | 29.0 days |
| Max peak-to-valley drawdown | 100.0% |
| drawdown period | Aug 10, 2026 - Aug 11, 2026 |
| Annual Return (Compounded) | 0.0% |
| Avg win | $1,342 |
| Avg loss | $1,952 |
Ratios
| W:L ratio | 0.58 |
|---|---|
| Sharpe Ratio | -0.73 |
| Sortino Ratio | -0.74 |
| Calmar Ratio | -0.88 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.37 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 98.1% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -200.5% |
Return Statistics
| Ann Return (w trading costs) | 0.0% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | -46.1% |
Slump
| Current Slump as Pcnt Equity | — |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.9% |
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 | 100.0% |
|---|---|
| Chance of 20% account loss | 100.0% |
| Chance of 30% account loss | 85.0% |
| Chance of 40% account loss | 41.5% |
| Chance of 50% account loss | 13.5% |
| Chance of 60% account loss (Monte Carlo) | 1.5% |
| Chance of 70% account loss (Monte Carlo) | 0.5% |
| Chance of 80% account loss (Monte Carlo) | 0.0% |
| Chance of 90% account loss (Monte Carlo) | 0.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Popularity
| Popularity (Today) | 0 |
|---|---|
| Popularity (Last 6 weeks) | 0 |
| Popularity (7 days, Percentile 1000 scale) | 0 |
Trading Style
| Any stock shorts? 0/1 | 1 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $1,952 |
|---|---|
| Avg Win | $1,342 |
| # Winners | 22 |
| Sum Trade PL (losers) | $54,644 |
| Sum Trade PL (winners) | $29,522 |
| Num Months Winners | 17 |
| # Losers | 28 |
| % Winners | 44.0% |
Dividends
| Dividends Received in Model Acct | 2021 |
|---|
Age
| Num Months filled monthly returns table | 48 |
|---|
Frequency
| Avg Position Time (mins) | 41723.15 |
|---|---|
| Avg Position Time (hrs) | 695.39 |
| Avg Trade Length | 29 |
| Last Trade Ago | 1145 |
Leverage
| Daily leverage (average) | 3.15 |
|---|---|
| Daily leverage (max) | 4.17 |
Regression
| Alpha | 0 |
|---|---|
| Beta | -3.40 |
| Treynor Index | 0 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.13 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.04 |
| MAE:Equity, average, losing trades | 0.21 |
| 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 | -2.93 |
| MAE:PL (avg, all trades) | -0.05 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.38 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.18 |
| Hold-and-Hope Ratio | -0.48 |
RATIO STATISTICS
| Mean | -1.03 |
|---|---|
| SD | 0.78 |
| Sharpe ratio (Glass type estimate) | -1.32 |
| Sharpe ratio (Hedges UMVUE) | -1.25 |
| df | 15 |
| t | -1.52 |
| p | 0.73 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.06 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.46 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.01 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.50 |
| Sortino ratio | -1.40 |
| Upside Potential Ratio | 0.66 |
| Upside part of mean | 0.49 |
| Downside part of mean | -1.52 |
| Upside SD | 0.34 |
| Downside SD | 0.74 |
| N nonnegative terms | 5 |
| N negative terms | 11 |
| N of observations | 16 |
| Mean of predictor | 0.44 |
| Mean of criterion | -1.03 |
| SD of predictor | 0.27 |
| SD of criterion | 0.78 |
| Covariance | -0.17 |
| r | -0.80 |
| b (slope, estimate of beta) | -2.29 |
| a (intercept, estimate of alpha) | -0.02 |
| Mean Square Error | 0.24 |
| DF error | 14 |
| t(b) | -4.95 |
| p(b) | 0.90 |
| t(a) | -0.04 |
| p(a) | 0.50 |
| Lowerbound of 95% confidence interval for beta | -3.29 |
| Upperbound of 95% confidence interval for beta | -1.30 |
| Lowerbound of 95% confidence interval for alpha | -1.03 |
| Upperbound of 95% confidence interval for alpha | 0.99 |
| Treynor index (mean / b) | 0.45 |
| Jensen alpha (a) | -0.02 |
| Mean | -1.52 |
| SD | 1.06 |
| Sharpe ratio (Glass type estimate) | -1.44 |
| Sharpe ratio (Hedges UMVUE) | -1.37 |
| df | 15 |
| t | -1.67 |
| p | 0.74 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.19 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.35 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.14 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.40 |
| Sortino ratio | -1.42 |
| Upside Potential Ratio | 0.41 |
| Upside part of mean | 0.44 |
| Downside part of mean | -1.96 |
| Upside SD | 0.30 |
| Downside SD | 1.07 |
| N nonnegative terms | 5 |
| N negative terms | 11 |
| N of observations | 16 |
| Mean of predictor | 0.40 |
| Mean of criterion | -1.52 |
| SD of predictor | 0.26 |
| SD of criterion | 1.06 |
| Covariance | -0.22 |
| r | -0.78 |
| b (slope, estimate of beta) | -3.16 |
| a (intercept, estimate of alpha) | -0.25 |
| Mean Square Error | 0.47 |
| DF error | 14 |
| t(b) | -4.69 |
| p(b) | 0.89 |
| t(a) | -0.39 |
| p(a) | 0.55 |
| Lowerbound of 95% confidence interval for beta | -4.60 |
| Upperbound of 95% confidence interval for beta | -1.71 |
| Lowerbound of 95% confidence interval for alpha | -1.65 |
| Upperbound of 95% confidence interval for alpha | 1.14 |
| Treynor index (mean / b) | 0.48 |
| Jensen alpha (a) | -0.25 |
| VaR(95%) | 0.47 |
| Expected Shortfall on VaR | 0.53 |
| VaR(95%) | 0.35 |
| Expected Shortfall on VaR | 0.58 |
| Mean | -1.43 |
| SD | 0.93 |
| Sharpe ratio (Glass type estimate) | -1.54 |
| Sharpe ratio (Hedges UMVUE) | -1.53 |
| df | 358 |
| t | -1.80 |
| p | 0.96 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.21 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.14 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.21 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.14 |
| Sortino ratio | -1.88 |
| Upside Potential Ratio | 4.42 |
| Upside part of mean | 3.37 |
| Downside part of mean | -4.80 |
| Upside SD | 0.54 |
| Downside SD | 0.76 |
| N nonnegative terms | 157 |
| N negative terms | 202 |
| N of observations | 359 |
| Mean of predictor | 0.51 |
| Mean of criterion | -1.43 |
| SD of predictor | 0.28 |
| SD of criterion | 0.93 |
| Covariance | -0.19 |
| r | -0.74 |
| b (slope, estimate of beta) | -2.43 |
| a (intercept, estimate of alpha) | -0.18 |
| Mean Square Error | 0.40 |
| DF error | 357 |
| t(b) | -20.52 |
| p(b) | 1 |
| t(a) | -0.34 |
| p(a) | 0.63 |
| Lowerbound of 95% confidence interval for beta | -2.67 |
| Upperbound of 95% confidence interval for beta | -2.20 |
| Lowerbound of 95% confidence interval for alpha | -1.25 |
| Upperbound of 95% confidence interval for alpha | 0.89 |
| Treynor index (mean / b) | 0.59 |
| Jensen alpha (a) | -0.18 |
| Mean | -1.91 |
| SD | 1.00 |
| Sharpe ratio (Glass type estimate) | -1.91 |
| Sharpe ratio (Hedges UMVUE) | -1.90 |
| df | 358 |
| t | -2.23 |
| p | 0.99 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.59 |
| Upperbound of 95% confidence interval for Sharpe Ratio | -0.23 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.58 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.22 |
| Sortino ratio | -2.18 |
| Upside Potential Ratio | 3.69 |
| Upside part of mean | 3.24 |
| Downside part of mean | -5.15 |
| Upside SD | 0.50 |
| Downside SD | 0.88 |
| N nonnegative terms | 157 |
| N negative terms | 202 |
| N of observations | 359 |
| Mean of predictor | 0.47 |
| Mean of criterion | -1.91 |
| SD of predictor | 0.28 |
| SD of criterion | 1.00 |
| Covariance | -0.21 |
| r | -0.74 |
| b (slope, estimate of beta) | -2.67 |
| a (intercept, estimate of alpha) | -0.65 |
| Mean Square Error | 0.46 |
| DF error | 357 |
| t(b) | -20.76 |
| p(b) | 1 |
| t(a) | -1.11 |
| p(a) | 0.87 |
| Lowerbound of 95% confidence interval for beta | -2.92 |
| Upperbound of 95% confidence interval for beta | -2.42 |
| Lowerbound of 95% confidence interval for alpha | -1.79 |
| Upperbound of 95% confidence interval for alpha | 0.50 |
| Treynor index (mean / b) | 0.72 |
| Jensen alpha (a) | -0.65 |
| VaR(95%) | 0.10 |
| Expected Shortfall on VaR | 0.13 |
| VaR(95%) | 0.04 |
| Expected Shortfall on VaR | 0.09 |
| Mean | -3.77 |
| SD | 1.44 |
| Sharpe ratio (Glass type estimate) | -2.63 |
| Sharpe ratio (Hedges UMVUE) | -2.61 |
| df | 130 |
| t | -1.86 |
| p | 0.58 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -5.41 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.17 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -5.40 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.18 |
| Sortino ratio | -3.14 |
| Upside Potential Ratio | 4.16 |
| Upside part of mean | 5.00 |
| Downside part of mean | -8.77 |
| Upside SD | 0.81 |
| Downside SD | 1.20 |
| N nonnegative terms | 58 |
| N negative terms | 73 |
| N of observations | 131 |
| Mean of predictor | 1.22 |
| Mean of criterion | -3.77 |
| SD of predictor | 0.38 |
| SD of criterion | 1.44 |
| Covariance | -0.51 |
| r | -0.93 |
| b (slope, estimate of beta) | -3.50 |
| a (intercept, estimate of alpha) | 0.49 |
| Mean Square Error | 0.29 |
| DF error | 129 |
| t(b) | -27.95 |
| p(b) | 0.99 |
| t(a) | 0.63 |
| p(a) | 0.46 |
| Lowerbound of 95% confidence interval for beta | -3.75 |
| Upperbound of 95% confidence interval for beta | -3.25 |
| Lowerbound of 95% confidence interval for alpha | -1.05 |
| Upperbound of 95% confidence interval for alpha | 2.04 |
| Treynor index (mean / b) | 1.08 |
| Jensen alpha (a) | 0.49 |
| Mean | -4.94 |
| SD | 1.55 |
| Sharpe ratio (Glass type estimate) | -3.18 |
| Sharpe ratio (Hedges UMVUE) | -3.16 |
| df | 130 |
| t | -2.25 |
| p | 0.60 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -5.97 |
| Upperbound of 95% confidence interval for Sharpe Ratio | -0.37 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -5.96 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.36 |
| Sortino ratio | -3.54 |
| Upside Potential Ratio | 3.37 |
| Upside part of mean | 4.71 |
| Downside part of mean | -9.65 |
| Upside SD | 0.74 |
| Downside SD | 1.40 |
| N nonnegative terms | 58 |
| N negative terms | 73 |
| N of observations | 131 |
| Mean of predictor | 1.15 |
| Mean of criterion | -4.94 |
| SD of predictor | 0.37 |
| SD of criterion | 1.55 |
| Covariance | -0.54 |
| r | -0.93 |
| b (slope, estimate of beta) | -3.88 |
| a (intercept, estimate of alpha) | -0.50 |
| Mean Square Error | 0.33 |
| DF error | 129 |
| t(b) | -28.61 |
| p(b) | 0.99 |
| t(a) | -0.60 |
| p(a) | 0.53 |
| Lowerbound of 95% confidence interval for beta | -4.14 |
| VAR (95 Confidence Intrvl) | 0.10 |
| Upperbound of 95% confidence interval for beta | -3.61 |
| Lowerbound of 95% confidence interval for alpha | -2.14 |
| Upperbound of 95% confidence interval for alpha | 1.14 |
| Treynor index (mean / b) | 1.27 |
| Jensen alpha (a) | -0.50 |
| VaR(95%) | 0.16 |
| Expected Shortfall on VaR | 0.19 |
| VaR(95%) | 0.08 |
| Expected Shortfall on VaR | 0.16 |
ORDER STATISTICS
| Number of observations | 16 |
|---|---|
| Minimum | 0.36 |
| Quartile 1 | 0.85 |
| Median | 0.93 |
| Quartile 3 | 1.02 |
| Maximum | 1.35 |
| Mean of quarter 1 | 0.64 |
| Mean of quarter 2 | 0.89 |
| Mean of quarter 3 | 0.97 |
| Mean of quarter 4 | 1.16 |
| Inter Quartile Range | 0.18 |
| Number outliers low | 1 |
| Percentage of outliers low | 0.06 |
| Mean of outliers low | 0.36 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.06 |
| Mean of outliers high | 1.35 |
| Extreme Value Index (moments method) | -0.68 |
| VaR(95%) (moments method) | 0.37 |
| Expected Shortfall (moments method) | 0.43 |
| Extreme Value Index (regression method) | 0.08 |
| VaR(95%) (regression method) | 0.55 |
| Expected Shortfall (regression method) | 0.85 |
| Number of observations | 359 |
| Minimum | 0.61 |
| Quartile 1 | 0.98 |
| Median | 1 |
| Quartile 3 | 1.02 |
| Maximum | 1.30 |
| Mean of quarter 1 | 0.94 |
| Mean of quarter 2 | 0.99 |
| Mean of quarter 3 | 1.01 |
| Mean of quarter 4 | 1.05 |
| Inter Quartile Range | 0.03 |
| Number outliers low | 26 |
| Percentage of outliers low | 0.07 |
| Mean of outliers low | 0.86 |
| Number of outliers high | 13 |
| Percentage of outliers high | 0.04 |
| Mean of outliers high | 1.13 |
| Extreme Value Index (moments method) | 0.61 |
| VaR(95%) (moments method) | 0.06 |
| Expected Shortfall (moments method) | 0.18 |
| Extreme Value Index (regression method) | 0.60 |
| VaR(95%) (regression method) | 0.06 |
| Expected Shortfall (regression method) | 0.16 |
| Number of observations | 131 |
| Minimum | 0.61 |
| Quartile 1 | 0.97 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.30 |
| Mean of quarter 1 | 0.88 |
| Mean of quarter 2 | 0.99 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.07 |
| Inter Quartile Range | 0.05 |
| Number outliers low | 13 |
| Percentage of outliers low | 0.10 |
| Mean of outliers low | 0.80 |
| Number of outliers high | 6 |
| Percentage of outliers high | 0.05 |
| Mean of outliers high | 1.20 |
| Extreme Value Index (moments method) | 0.20 |
| VaR(95%) (moments method) | 0.11 |
| Expected Shortfall (moments method) | 0.17 |
| Extreme Value Index (regression method) | 0.10 |
| VaR(95%) (regression method) | 0.14 |
| Expected Shortfall (regression method) | 0.21 |
DRAW DOWN STATISTICS
| Number of observations | 1 |
|---|---|
| Minimum | 0.91 |
| Quartile 1 | 0.91 |
| Median | 0.91 |
| Quartile 3 | 0.91 |
| Maximum | 0.91 |
| 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 | 9 |
| Minimum | 0.01 |
| Quartile 1 | 0.02 |
| Median | 0.03 |
| Quartile 3 | 0.13 |
| Maximum | 0.96 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.02 |
| Mean of quarter 3 | 0.09 |
| Mean of quarter 4 | 0.55 |
| Inter Quartile Range | 0.11 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.11 |
| Mean of outliers high | 0.96 |
| Extreme Value Index (moments method) | 0.96 |
| VaR(95%) (moments method) | 0.58 |
| Expected Shortfall (moments method) | 14.06 |
| Extreme Value Index (regression method) | 5.38 |
| VaR(95%) (regression method) | 6.49 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 4 |
| Minimum | 0.02 |
| Quartile 1 | 0.04 |
| Median | 0.12 |
| Quartile 3 | 0.37 |
| Maximum | 0.93 |
| Mean of quarter 1 | 0.02 |
| Mean of quarter 2 | 0.04 |
| Mean of quarter 3 | 0.19 |
| Mean of quarter 4 | 0.93 |
| Inter Quartile Range | 0.34 |
| 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 | 0.93 |
| 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? | -408881344 |
| Max Equity Drawdown (num days) | 1 |
| Last 4 Months - Pcnt Negative | 0.5% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | -0.65 |
|---|---|
| Compounded annual return (geometric extrapolation) | -0.78 |
| Calmar ratio (compounded annual return / max draw down) | -0.85 |
| Compounded annual return / average of 25% largest draw downs | 0 |
| Compounded annual return / Expected Shortfall lognormal | -1.47 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.67 |
| Compounded annual return (geometric extrapolation) | -0.85 |
| Calmar ratio (compounded annual return / max draw down) | -0.88 |
| Compounded annual return / average of 25% largest draw downs | -1.54 |
| Compounded annual return / Expected Shortfall lognormal | -6.72 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -1.83 |
| Compounded annual return (geometric extrapolation) | -0.99 |
| Calmar ratio (compounded annual return / max draw down) | -1.07 |
| Compounded annual return / average of 25% largest draw downs | -1.07 |
| Compounded annual return / Expected Shortfall lognormal | -5.10 |
Trading record
Placed 12 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| UPRO | long | 470 | Jul 19, 2023 | Jul 20, 2023 | ($582) |
| SPXS | long | 1825 | Jul 17, 2023 | Jul 19, 2023 | ($881) |
| UPRO | long | 500 | Jul 12, 2023 | Jul 17, 2023 | $375 |
| SPXS | long | 1750 | Jul 11, 2023 | Jul 12, 2023 | ($1,038) |
| UPRO | long | 540 | Jun 30, 2023 | Jul 11, 2023 | ($270) |
| SPXS | long | 1775 | Jun 15, 2023 | Jun 30, 2023 | ($1,319) |
| UPRO | long | 585 | Jun 9, 2023 | Jun 15, 2023 | $1,048 |
| SPXS | long | 1620 | Jun 6, 2023 | Jun 9, 2023 | ($621) |
| UPRO | long | 605 | Jun 1, 2023 | Jun 6, 2023 | $1,610 |
| SPXS | long | 1415 | May 31, 2023 | Jun 1, 2023 | ($189) |
| UPRO | long | 600 | May 23, 2023 | May 31, 2023 | $73 |
| SPXS | short | 1415 | May 23, 2023 | May 23, 2023 | ($19) |
| SPXS | long | 1415 | May 18, 2023 | May 23, 2023 | ($415) |
| UPRO | long | 625 | May 10, 2023 | May 17, 2023 | $70 |
| SPXS | long | 1360 | May 2, 2023 | May 10, 2023 | $430 |
| UPRO | long | 590 | Apr 27, 2023 | May 2, 2023 | $1,240 |
| SPXS | long | 1195 | Mar 28, 2023 | Mar 30, 2023 | ($1,391) |
| UPRO | long | 690 | Mar 23, 2023 | Mar 24, 2023 | ($626) |
| SPXS | long | 1225 | Mar 17, 2023 | Mar 23, 2023 | ($765) |
| UPRO | long | 715 | Mar 13, 2023 | Mar 17, 2023 | $1,532 |
| SPXS | long | 1050 | Mar 10, 2023 | Mar 13, 2023 | $762 |
| UPRO | long | 650 | Feb 28, 2023 | Mar 10, 2023 | ($1,260) |
| SPXS | long | 1160 | Feb 23, 2023 | Feb 28, 2023 | $273 |
| UPRO | long | 590 | Feb 9, 2023 | Feb 9, 2023 | ($1,232) |
| SPXS | long | 1360 | Feb 6, 2023 | Feb 9, 2023 | ($576) |
| UPRO | long | 615 | Feb 2, 2023 | Feb 6, 2023 | ($725) |
| SPXS | long | 1440 | Jan 31, 2023 | Feb 2, 2023 | ($2,698) |
| UPRO | long | 740 | Jan 23, 2023 | Jan 31, 2023 | $913 |
| UPRO | long | 725 | Jan 17, 2023 | Jan 17, 2023 | ($331) |
| SPXS | long | 1365 | Dec 30, 2022 | Jan 17, 2023 | ($3,718) |
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.