Eliran Strategy
- hypothetical · Annual Return (Compounded)
- -42.5%
- Max Drawdown
- 98.4%
- Trades
- 172
- Win Trades
- 85.5%
- Profit Factor
- 0.80
- Win Months
- 25.0%
About this strategy
I keep monitoring by magnifying glass my open positions to prevent any potential account crashes. Rather than using stop losses, I always set take profits for each position. My goal is to achieve profit margins ranging from 500 to 2000 USD per day, depending on market conditions. In addition to trading CL contracts,
To close a position in profit, my strategy looks for price changes of around 0.10 to 0.60 pip on CL. The key for this approach is analyzing the volume profile of the market.
In addition to monitoring open positions, setting take profits, and analyzing the volume profile of the market, I also use technical analysis to identify the best entry points for my trades. By studying the graphs and charts, I can pinpoint potential support and resistance levels, identify trends, and make informed decisions about when to enter and exit positions. This helps me to maximize profits and minimize risk.
To effectively follow this strategy, it's recommended to have at least 100K in capital. However, it is possible to manage with 50K capital by using the auto trade settings and setting the maximum futures contract to 1.
I also have five portfolios, each with a varying degree of risk. These portfolios consist of ETFs from different sectors, and they are named ETFs 1 to 5.
If you're interested, I can provide a link to learn more.
Please feel free to contact me with any questions or concerns you may have, 24/7.
Looking forward to hearing from you soon!
Best regards,
Eliran :)
To close a position in profit, my strategy looks for price changes of around 0.10 to 0.60 pip on CL. The key for this approach is analyzing the volume profile of the market.
In addition to monitoring open positions, setting take profits, and analyzing the volume profile of the market, I also use technical analysis to identify the best entry points for my trades. By studying the graphs and charts, I can pinpoint potential support and resistance levels, identify trends, and make informed decisions about when to enter and exit positions. This helps me to maximize profits and minimize risk.
To effectively follow this strategy, it's recommended to have at least 100K in capital. However, it is possible to manage with 50K capital by using the auto trade settings and setting the maximum futures contract to 1.
I also have five portfolios, each with a varying degree of risk. These portfolios consist of ETFs from different sectors, and they are named ETFs 1 to 5.
If you're interested, I can provide a link to learn more.
Please feel free to contact me with any questions or concerns you may have, 24/7.
Looking forward to hearing from you soon!
Best regards,
Eliran :)
Momentum Commodities
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2022 | 0.9 | -2.0 | -1.1 | ||||||||||
| 2023 | 9.2 | 5.1 | 34.0 | 7.5 | 17.0 | -5.2 | -17.9 | -0.2 | -2.2 | 2.3 | -2.0 | 4.4 | 53.5 |
| 2024 | -0.2 | -0.2 | -14.0 | -0.3 | 0.0 | 504.8 | 0.0 | -0.0 | -0.0 | -0.0 | 415.1 | ||
| 2025 | -62.0 | -4.2 | -9.3 | -89.6 | 0.0 | -10.0 | -0.9 | 0.0 | 0.0 | 0.0 | |||
| 2026 | 0.0 | -3.8 | 0.0 |
Statistics
Overview
| Strategy began | 11/25/2022 |
|---|---|
| Suggested Minimum Capital | $50,000 |
| Age | 46 months |
| C2 Rank | 172 |
| What it trades | Futures |
| # Trades | 172 |
| # Profitable | 147 |
| % Profitable | 85.5% |
| Avg trade duration | 20.4 days |
| Max peak-to-valley drawdown | 98.4% |
| drawdown period | Jan 01, 2025 - June 13, 2026 |
| Annual Return (Compounded) | -42.5% |
| Avg win | $1,143 |
| Avg loss | $8,133 |
Ratios
| W:L ratio | 0.83 |
|---|---|
| Sharpe Ratio | 0.25 |
| Sortino Ratio | 1.11 |
| Calmar Ratio | -0.56 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.16 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 89.8% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -177.2% |
Return Statistics
| Ann Return (w trading costs) | -42.5% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | -0.4% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | -27.2% |
Slump
| Current Slump as Pcnt Equity | 6244.8% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.5% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.9% |
| Percent Trades Options | 0.0% |
| Short Options - Percent Covered | 100.0% |
| Percent Trades Stocks | 0.1% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 100.0% |
|---|---|
| Chance of 20% account loss | 100.0% |
| Chance of 30% account loss | 100.0% |
| Chance of 40% account loss | 100.0% |
| Chance of 50% account loss | 100.0% |
| Chance of 60% account loss (Monte Carlo) | 100.0% |
| Chance of 70% account loss (Monte Carlo) | 100.0% |
| Chance of 80% account loss (Monte Carlo) | 58.5% |
| Chance of 90% account loss (Monte Carlo) | 38.0% |
| Chance of 100% account loss (Monte Carlo) | 0.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Popularity
| Popularity (Today) | 0 |
|---|---|
| Popularity (Last 6 weeks) | 316 |
| C2 Score | 172 |
| 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 | $8,132 |
|---|---|
| Avg Win | $1,143 |
| # Winners | 147 |
| Sum Trade PL (losers) | $203,300 |
| Sum Trade PL (winners) | $167,954 |
| Num Months Winners | 9 |
| # Losers | 25 |
| % Winners | 85.5% |
Dividends
| Dividends Received in Model Acct | 337 |
|---|
Age
| Num Months filled monthly returns table | 44 |
|---|
Frequency
| Avg Position Time (mins) | 29212.25 |
|---|---|
| Avg Position Time (hrs) | 486.87 |
| Avg Trade Length | 20.30 |
| Last Trade Ago | 513 |
Leverage
| Daily leverage (average) | 8.58 |
|---|---|
| Daily leverage (max) | 25.17 |
Regression
| Alpha | 0.10 |
|---|---|
| Beta | 2.76 |
| Treynor Index | 0.08 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.02 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.14 |
| MAE:Equity, average, losing trades | 0.05 |
| 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 | 3.32 |
| MAE:PL (avg, all trades) | 2.27 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 62.07 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 87.23 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.82 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.20 |
| Hold-and-Hope Ratio | -0.20 |
RATIO STATISTICS
| Mean | 1.12 |
|---|---|
| SD | 1.05 |
| Sharpe ratio (Glass type estimate) | 1.07 |
| Sharpe ratio (Hedges UMVUE) | 1.02 |
| df | 16 |
| t | 1.27 |
| p | 0.35 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.63 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.74 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.67 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.70 |
| Sortino ratio | 5.74 |
| Upside Potential Ratio | 7.42 |
| Upside part of mean | 1.45 |
| Downside part of mean | -0.33 |
| Upside SD | 1.05 |
| Downside SD | 0.20 |
| N nonnegative terms | 10 |
| N negative terms | 7 |
| N of observations | 17 |
| Mean of predictor | 0.27 |
| Mean of criterion | 1.12 |
| SD of predictor | 0.21 |
| SD of criterion | 1.05 |
| Covariance | 0.11 |
| r | 0.51 |
| b (slope, estimate of beta) | 2.48 |
| a (intercept, estimate of alpha) | 0.44 |
| Mean Square Error | 0.87 |
| DF error | 15 |
| t(b) | 2.28 |
| p(b) | 0.19 |
| t(a) | 0.53 |
| p(a) | 0.41 |
| Lowerbound of 95% confidence interval for beta | 0.16 |
| Upperbound of 95% confidence interval for beta | 4.80 |
| Lowerbound of 95% confidence interval for alpha | -1.34 |
| Upperbound of 95% confidence interval for alpha | 2.23 |
| Treynor index (mean / b) | 0.45 |
| Jensen alpha (a) | 0.44 |
| Mean | 0.76 |
| SD | 0.74 |
| Sharpe ratio (Glass type estimate) | 1.03 |
| Sharpe ratio (Hedges UMVUE) | 0.98 |
| df | 16 |
| t | 1.22 |
| p | 0.35 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.67 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.70 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.70 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.66 |
| Sortino ratio | 3.63 |
| Upside Potential Ratio | 5.30 |
| Upside part of mean | 1.11 |
| Downside part of mean | -0.35 |
| Upside SD | 0.72 |
| Downside SD | 0.21 |
| N nonnegative terms | 10 |
| N negative terms | 7 |
| N of observations | 17 |
| Mean of predictor | 0.25 |
| Mean of criterion | 0.76 |
| SD of predictor | 0.21 |
| SD of criterion | 0.74 |
| Covariance | 0.06 |
| r | 0.42 |
| b (slope, estimate of beta) | 1.51 |
| a (intercept, estimate of alpha) | 0.39 |
| Mean Square Error | 0.49 |
| DF error | 15 |
| t(b) | 1.78 |
| p(b) | 0.24 |
| t(a) | 0.62 |
| p(a) | 0.40 |
| Lowerbound of 95% confidence interval for beta | -0.30 |
| Upperbound of 95% confidence interval for beta | 3.32 |
| Lowerbound of 95% confidence interval for alpha | -0.94 |
| Upperbound of 95% confidence interval for alpha | 1.71 |
| Treynor index (mean / b) | 0.51 |
| Jensen alpha (a) | 0.39 |
| VaR(95%) | 0.25 |
| Expected Shortfall on VaR | 0.31 |
| VaR(95%) | 0.06 |
| Expected Shortfall on VaR | 0.11 |
| Mean | 2.29 |
| SD | 3.94 |
| Sharpe ratio (Glass type estimate) | 0.58 |
| Sharpe ratio (Hedges UMVUE) | 0.58 |
| df | 389 |
| t | 0.71 |
| p | 0.24 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.03 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.19 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.03 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.19 |
| Sortino ratio | 2.55 |
| Upside Potential Ratio | 4.77 |
| Upside part of mean | 4.29 |
| Downside part of mean | -1.99 |
| Upside SD | 3.84 |
| Downside SD | 0.90 |
| N nonnegative terms | 130 |
| N negative terms | 260 |
| N of observations | 390 |
| Mean of predictor | 0.33 |
| Mean of criterion | 2.29 |
| SD of predictor | 0.22 |
| SD of criterion | 3.94 |
| Covariance | 0.08 |
| r | 0.09 |
| b (slope, estimate of beta) | 1.57 |
| a (intercept, estimate of alpha) | 1.77 |
| Mean Square Error | 15.48 |
| DF error | 388 |
| t(b) | 1.73 |
| p(b) | 0.04 |
| t(a) | 0.55 |
| p(a) | 0.29 |
| Lowerbound of 95% confidence interval for beta | -0.21 |
| Upperbound of 95% confidence interval for beta | 3.34 |
| Lowerbound of 95% confidence interval for alpha | -4.60 |
| Upperbound of 95% confidence interval for alpha | 8.14 |
| Treynor index (mean / b) | 1.46 |
| Jensen alpha (a) | 1.77 |
| Mean | -0.80 |
| SD | 2.42 |
| Sharpe ratio (Glass type estimate) | -0.33 |
| Sharpe ratio (Hedges UMVUE) | -0.33 |
| df | 389 |
| t | -0.40 |
| p | 0.66 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.94 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.28 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.94 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.28 |
| Sortino ratio | -0.41 |
| Upside Potential Ratio | 1.18 |
| Upside part of mean | 2.29 |
| Downside part of mean | -3.09 |
| Upside SD | 1.44 |
| Downside SD | 1.94 |
| N nonnegative terms | 130 |
| N negative terms | 260 |
| N of observations | 390 |
| Mean of predictor | 0.31 |
| Mean of criterion | -0.80 |
| SD of predictor | 0.21 |
| SD of criterion | 2.42 |
| Covariance | -0.20 |
| r | -0.38 |
| b (slope, estimate of beta) | -4.37 |
| a (intercept, estimate of alpha) | 0.56 |
| Mean Square Error | 5.00 |
| DF error | 388 |
| t(b) | -8.16 |
| p(b) | 1 |
| t(a) | 0.30 |
| p(a) | 0.38 |
| Lowerbound of 95% confidence interval for beta | -5.42 |
| Upperbound of 95% confidence interval for beta | -3.32 |
| Lowerbound of 95% confidence interval for alpha | -3.06 |
| Upperbound of 95% confidence interval for alpha | 4.17 |
| Treynor index (mean / b) | 0.18 |
| Jensen alpha (a) | 0.56 |
| VaR(95%) | 0.22 |
| Expected Shortfall on VaR | 0.27 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.05 |
| Mean | 5.94 |
| SD | 6.81 |
| Sharpe ratio (Glass type estimate) | 0.87 |
| Sharpe ratio (Hedges UMVUE) | 0.87 |
| df | 130 |
| t | 0.62 |
| p | 0.47 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.90 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.65 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.91 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.64 |
| Sortino ratio | 3.87 |
| Upside Potential Ratio | 6.37 |
| Upside part of mean | 9.79 |
| Downside part of mean | -3.84 |
| Upside SD | 6.61 |
| Downside SD | 1.54 |
| N nonnegative terms | 26 |
| N negative terms | 105 |
| N of observations | 131 |
| Mean of predictor | 0.78 |
| Mean of criterion | 5.94 |
| SD of predictor | 0.32 |
| SD of criterion | 6.81 |
| Covariance | 0.21 |
| r | 0.10 |
| b (slope, estimate of beta) | 2.05 |
| a (intercept, estimate of alpha) | 4.35 |
| Mean Square Error | 46.25 |
| DF error | 129 |
| t(b) | 1.11 |
| p(b) | 0.44 |
| t(a) | 0.45 |
| p(a) | 0.47 |
| Lowerbound of 95% confidence interval for beta | -1.61 |
| Upperbound of 95% confidence interval for beta | 5.70 |
| Lowerbound of 95% confidence interval for alpha | -14.89 |
| Upperbound of 95% confidence interval for alpha | 23.59 |
| Treynor index (mean / b) | 2.91 |
| Jensen alpha (a) | 4.35 |
| Mean | -3.19 |
| SD | 4.16 |
| 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 | -0.95 |
| Upside Potential Ratio | 1.17 |
| Upside part of mean | 3.90 |
| Downside part of mean | -7.09 |
| Upside SD | 2.46 |
| Downside SD | 3.34 |
| N nonnegative terms | 26 |
| N negative terms | 105 |
| N of observations | 131 |
| Mean of predictor | 0.73 |
| Mean of criterion | -3.19 |
| SD of predictor | 0.30 |
| SD of criterion | 4.16 |
| Covariance | -0.59 |
| r | -0.46 |
| b (slope, estimate of beta) | -6.35 |
| a (intercept, estimate of alpha) | 1.46 |
| Mean Square Error | 13.68 |
| DF error | 129 |
| t(b) | -5.94 |
| p(b) | 0.78 |
| t(a) | 0.28 |
| p(a) | 0.48 |
| Lowerbound of 95% confidence interval for beta | -8.46 |
| VAR (95 Confidence Intrvl) | 0.22 |
| Upperbound of 95% confidence interval for beta | -4.23 |
| Lowerbound of 95% confidence interval for alpha | -9.01 |
| Upperbound of 95% confidence interval for alpha | 11.92 |
| Treynor index (mean / b) | 0.50 |
| Jensen alpha (a) | 1.46 |
| VaR(95%) | 0.35 |
| Expected Shortfall on VaR | 0.42 |
| VaR(95%) | 0.04 |
| Expected Shortfall on VaR | 0.10 |
ORDER STATISTICS
| Number of observations | 17 |
|---|---|
| Minimum | 0.84 |
| Quartile 1 | 0.97 |
| Median | 1.03 |
| Quartile 3 | 1.09 |
| Maximum | 2.17 |
| Mean of quarter 1 | 0.91 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.06 |
| Mean of quarter 4 | 1.44 |
| Inter Quartile Range | 0.12 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 2 |
| Percentage of outliers high | 0.12 |
| Mean of outliers high | 1.78 |
| Extreme Value Index (moments method) | -0.11 |
| VaR(95%) (moments method) | 0.08 |
| Expected Shortfall (moments method) | 0.10 |
| Extreme Value Index (regression method) | -0.92 |
| VaR(95%) (regression method) | 0.09 |
| Expected Shortfall (regression method) | 0.10 |
| Number of observations | 390 |
| Minimum | 0.12 |
| Quartile 1 | 1.00 |
| Median | 1 |
| Quartile 3 | 1.00 |
| Maximum | 5.68 |
| Mean of quarter 1 | 0.97 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.06 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 43 |
| Percentage of outliers low | 0.11 |
| Mean of outliers low | 0.94 |
| Number of outliers high | 45 |
| Percentage of outliers high | 0.12 |
| Mean of outliers high | 1.13 |
| Extreme Value Index (moments method) | 0.83 |
| VaR(95%) (moments method) | 0.02 |
| Expected Shortfall (moments method) | 0.10 |
| Extreme Value Index (regression method) | 0.72 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.06 |
| Number of observations | 131 |
| Minimum | 0.12 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 5.68 |
| Mean of quarter 1 | 0.94 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.15 |
| Inter Quartile Range | 0 |
| Number outliers low | 27 |
| Percentage of outliers low | 0.21 |
| Mean of outliers low | 0.93 |
| Number of outliers high | 27 |
| Percentage of outliers high | 0.21 |
| Mean of outliers high | 1.18 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 1.33 |
| VaR(95%) (regression method) | 0.02 |
| Expected Shortfall (regression method) | 0 |
DRAW DOWN STATISTICS
| Number of observations | 2 |
|---|---|
| Minimum | 0.02 |
| Quartile 1 | 0.09 |
| Median | 0.15 |
| Quartile 3 | 0.21 |
| Maximum | 0.28 |
| Mean of quarter 1 | 0.02 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.28 |
| Inter Quartile Range | 0.13 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 18 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.02 |
| Quartile 3 | 0.03 |
| Maximum | 0.96 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.02 |
| Mean of quarter 3 | 0.03 |
| Mean of quarter 4 | 0.29 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 3 |
| Percentage of outliers high | 0.17 |
| Mean of outliers high | 0.46 |
| Extreme Value Index (moments method) | 1.10 |
| VaR(95%) (moments method) | 0.26 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 1.71 |
| VaR(95%) (regression method) | 0.54 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 2 |
| Minimum | 0.19 |
| Quartile 1 | 0.38 |
| Median | 0.57 |
| Quartile 3 | 0.77 |
| Maximum | 0.96 |
| Mean of quarter 1 | 0.19 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.96 |
| Inter Quartile Range | 0.39 |
| 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? | -398615904 |
| Max Equity Drawdown (num days) | 528 |
| Last 4 Months - Pcnt Negative | 0.8% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 1.46 |
|---|---|
| Compounded annual return (geometric extrapolation) | 1.21 |
| Calmar ratio (compounded annual return / max draw down) | 4.37 |
| Compounded annual return / average of 25% largest draw downs | 4.37 |
| Compounded annual return / Expected Shortfall lognormal | 3.85 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.46 |
| Compounded annual return (geometric extrapolation) | -0.54 |
| Calmar ratio (compounded annual return / max draw down) | -0.56 |
| Compounded annual return / average of 25% largest draw downs | -1.83 |
| Compounded annual return / Expected Shortfall lognormal | -2.02 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -1.59 |
| Compounded annual return (geometric extrapolation) | -0.96 |
| Calmar ratio (compounded annual return / max draw down) | -1.00 |
| Compounded annual return / average of 25% largest draw downs | -1.00 |
| Compounded annual return / Expected Shortfall lognormal | -2.30 |
Trading record
Placed 192 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| QCL J4 | short | 5 | Mar 13, 2024 | Apr 7, 2025 | $74,840 |
| QCL H5 | short | 3 | Jan 30, 2025 | Jan 31, 2025 | $756 |
| QCL H5 | short | 3 | Jan 29, 2025 | Jan 30, 2025 | $1,476 |
| QCL H5 | short | 3 | Jan 29, 2025 | Jan 29, 2025 | $306 |
| MNQ H5 | long | 2 | Jan 27, 2025 | Jan 29, 2025 | $1,995 |
| QCL J4 | short | 2 | Mar 13, 2024 | Mar 13, 2024 | $584 |
| QCL G4 | long | 2 | Dec 19, 2023 | Dec 21, 2023 | $3,384 |
| QCL Z3 | long | 2 | Oct 30, 2023 | Nov 6, 2023 | ($6,936) |
| QCL Z3 | short | 3 | Oct 27, 2023 | Oct 30, 2023 | ($774) |
| QCL X3 | short | 3 | Oct 12, 2023 | Oct 12, 2023 | $966 |
| QCL X3 | long | 3 | Oct 12, 2023 | Oct 12, 2023 | $306 |
| QCL X3 | short | 2 | Oct 12, 2023 | Oct 12, 2023 | $1,364 |
| QCL X3 | short | 3 | Oct 4, 2023 | Oct 6, 2023 | $5,586 |
| QCL X3 | short | 2 | Sep 28, 2023 | Sep 29, 2023 | $1,984 |
| QCL X3 | short | 2 | Sep 28, 2023 | Sep 28, 2023 | $584 |
| QCL X3 | long | 2 | Sep 21, 2023 | Sep 21, 2023 | $544 |
| QCL X3 | short | 2 | Sep 21, 2023 | Sep 21, 2023 | $584 |
| QCL X3 | long | 2 | Sep 21, 2023 | Sep 21, 2023 | $84 |
| QCL X3 | short | 2 | Sep 21, 2023 | Sep 21, 2023 | $584 |
| QCL X3 | short | 3 | Sep 20, 2023 | Sep 21, 2023 | $2,076 |
| QCL X3 | long | 2 | Sep 20, 2023 | Sep 20, 2023 | $124 |
| QCL X3 | short | 2 | Sep 20, 2023 | Sep 20, 2023 | $724 |
| QCL V3 | short | 2 | Sep 5, 2023 | Sep 15, 2023 | ($7,216) |
| QCL V3 | long | 2 | Sep 5, 2023 | Sep 5, 2023 | ($1,516) |
| QCL U3 | short | 2 | Jul 19, 2023 | Jul 24, 2023 | ($5,687) |
| QCL Q3 | short | 3 | Jul 6, 2023 | Jul 11, 2023 | ($11,012) |
| QCL Q3 | short | 1 | Jul 6, 2023 | Jul 6, 2023 | $300 |
| QCL Q3 | short | 2 | Jul 4, 2023 | Jul 6, 2023 | $4 |
| QCL Q3 | short | 2 | Jul 3, 2023 | Jul 3, 2023 | $348 |
| QCL Q3 | long | 1 | Jun 30, 2023 | Jun 30, 2023 | $102 |
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.