Data Analytics Futures
Trades Own Strategy BrokerTransmit
- hypothetical · Annual Return (Compounded)
- 63.6%
- Max Drawdown
- 83.4%
- Trades
- 465
- Win Trades
- 52.0%
- Profit Factor
- 1.30
- Win Months
- 50.0%
About this strategy
The signals from this strategy are generated from a proprietary data science model that uses aspects of machine learning, predictive analytics, prescriptive analytics (optimization) and simulation. The model identifies the trend on market open and follows it, reversing as needed if the trend changes. Typically, 1 position will be taken a day, with no positions held overnight. We are currently trading 3 MES per position and will increase this over time as enough profits are earned to meet the margin requirements for larger positions.
Pros:
1) The trading system has been derived from market data from 2009 onwards and is designed to be profitable in all market situations, regardless of news, volatility, black swan events etc.
2) Profits will be taken after following a trend, on the 1st confirmed reversal sign, so we allow profits to run and exit on uncertainty.
3) All trades will have 2 stop losses - we will exit the trade if either one is triggered.
a) a hard stop set immediately upon entering a position, based on the type of trade entered and current market volatility.
b) a manual stop loss based on price action.
4) All positions are fully managed by the trade leader. There will be no instances where a trade is left unmanaged.
5) All trades are on MES, one of the most liquid instruments in the market, hence expect slippage to be minimal.
Cons:
1) Since the trading system is based off data, there will be instances where a new scenario occurs that has not been encountered in the training dataset before. Most losses in the trading system are due to this issue. When this occurs, the model will be updated to account for the new scenario. New historical data is also being added to the training model daily. The current accuracy of the model is resulting in a trading system that delivers a consistent profit on a monthly basis. This accuracy will slowly improve as more data and scenarios are incorporated.
2) There will be days where the market is directionless for the entire session. This is different from low volatility. You can have low volatility days with a direction and high volatility days without direction. On such directionless days, either no trade is taken, or a small loss/breakeven will result.
Pros:
1) The trading system has been derived from market data from 2009 onwards and is designed to be profitable in all market situations, regardless of news, volatility, black swan events etc.
2) Profits will be taken after following a trend, on the 1st confirmed reversal sign, so we allow profits to run and exit on uncertainty.
3) All trades will have 2 stop losses - we will exit the trade if either one is triggered.
a) a hard stop set immediately upon entering a position, based on the type of trade entered and current market volatility.
b) a manual stop loss based on price action.
4) All positions are fully managed by the trade leader. There will be no instances where a trade is left unmanaged.
5) All trades are on MES, one of the most liquid instruments in the market, hence expect slippage to be minimal.
Cons:
1) Since the trading system is based off data, there will be instances where a new scenario occurs that has not been encountered in the training dataset before. Most losses in the trading system are due to this issue. When this occurs, the model will be updated to account for the new scenario. New historical data is also being added to the training model daily. The current accuracy of the model is resulting in a trading system that delivers a consistent profit on a monthly basis. This accuracy will slowly improve as more data and scenarios are incorporated.
2) There will be days where the market is directionless for the entire session. This is different from low volatility. You can have low volatility days with a direction and high volatility days without direction. On such directionless days, either no trade is taken, or a small loss/breakeven will result.
Short Term Financials / Indexes
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 77.8 | 77.8 | |||||||||||
| 2025 | -12.8 | 28.5 | 39.6 | -66.5 | -15.4 | 28.4 | 1.0 | -21.7 | -5.7 | 142.3 | -5.5 | -9.1 | -11.6 |
| 2026 | -3.4 | -6.9 | 75.5 | 27.0 | -45.2 | -18.7 | 32.2 | 12.1 | 13.6 | 50.5 |
Statistics
Overview
| Strategy began | 12/12/2024 |
|---|---|
| Suggested Minimum Capital | $25,000 |
| Age | 21 months |
| C2 Rank | 319 |
| What it trades | Futures |
| # Trades | 465 |
| # Profitable | 242 |
| % Profitable | 52.0% |
| Avg trade duration | 2.0 hours |
| Max peak-to-valley drawdown | 83.4% |
| drawdown period | April 04, 2025 - Sept 22, 2025 |
| Annual Return (Compounded) | 63.6% |
| Avg win | $253 |
| Avg loss | $215 |
Ratios
| W:L ratio | 1.28 |
|---|---|
| Sharpe Ratio | 0.81 |
| Sortino Ratio | 1.24 |
| Calmar Ratio | 3.13 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.19 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 26.8% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 109.8% |
Return Statistics
| Ann Return (w trading costs) | 63.6% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.6% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 171.2% |
Slump
| Current Slump as Pcnt Equity | 54.4% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.8% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 1.0% |
| Percent Trades Options | 0.0% |
| Short Options - Percent Covered | 100.0% |
| Percent Trades Stocks | 0.0% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 48.5% |
|---|---|
| Chance of 20% account loss | 22.0% |
| Chance of 30% account loss | 10.5% |
| Chance of 40% account loss | 3.5% |
| 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 | 0.0% |
|---|
Popularity
| Popularity (Today) | 0 |
|---|---|
| Popularity (Last 6 weeks) | 783 |
| C2 Score | 319 |
| Popularity (7 days, Percentile 1000 scale) | 450 |
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 187137 |
|---|---|
| TOS percent | 100.0% |
Win / Loss
| Avg Loss | $215 |
|---|---|
| Avg Win | $253 |
| # Winners | 242 |
| Sum Trade PL (losers) | $47,987 |
| Sum Trade PL (winners) | $61,191 |
| Num Months Winners | 11 |
| # Losers | 223 |
| % Winners | 52.0% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 22 |
|---|
Frequency
| Avg Position Time (mins) | 117.73 |
|---|---|
| Avg Position Time (hrs) | 1.96 |
| Avg Trade Length | 0.10 |
| Last Trade Ago | 0 |
Leverage
| Daily leverage (average) | 16.14 |
|---|---|
| Daily leverage (max) | 45.46 |
Regression
| Alpha | 0.32 |
|---|---|
| Beta | -1.20 |
| Treynor Index | -0.23 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.04 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.10 |
| MAE:Equity, average, losing trades | 0.06 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.02 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | -100.96 |
| MAE:PL (avg, all trades) | -0.48 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 54.91 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 46.50 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.45 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.23 |
| Hold-and-Hope Ratio | -0.01 |
RATIO STATISTICS
| Mean | 1.46 |
|---|---|
| SD | 0.97 |
| Sharpe ratio (Glass type estimate) | 1.51 |
| Sharpe ratio (Hedges UMVUE) | 1.44 |
| df | 18 |
| t | 1.90 |
| p | 0.30 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.14 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.12 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.18 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.07 |
| Sortino ratio | 3.34 |
| Upside Potential Ratio | 4.93 |
| Upside part of mean | 2.16 |
| Downside part of mean | -0.70 |
| Upside SD | 0.94 |
| Downside SD | 0.44 |
| N nonnegative terms | 13 |
| N negative terms | 6 |
| N of observations | 19 |
| Mean of predictor | 0.14 |
| Mean of criterion | 1.46 |
| SD of predictor | 0.17 |
| SD of criterion | 0.97 |
| Covariance | -0.03 |
| r | -0.16 |
| b (slope, estimate of beta) | -0.89 |
| a (intercept, estimate of alpha) | 1.59 |
| Mean Square Error | 0.97 |
| DF error | 17 |
| t(b) | -0.67 |
| p(b) | 0.60 |
| t(a) | 1.97 |
| p(a) | 0.23 |
| Lowerbound of 95% confidence interval for beta | -3.70 |
| Upperbound of 95% confidence interval for beta | 1.91 |
| Lowerbound of 95% confidence interval for alpha | -0.11 |
| Upperbound of 95% confidence interval for alpha | 3.29 |
| Treynor index (mean / b) | -1.63 |
| Jensen alpha (a) | 1.59 |
| Mean | 0.99 |
| SD | 0.92 |
| Sharpe ratio (Glass type estimate) | 1.07 |
| Sharpe ratio (Hedges UMVUE) | 1.03 |
| df | 18 |
| t | 1.35 |
| p | 0.35 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.54 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.66 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.56 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.62 |
| Sortino ratio | 1.79 |
| Upside Potential Ratio | 3.28 |
| Upside part of mean | 1.82 |
| Downside part of mean | -0.83 |
| Upside SD | 0.76 |
| Downside SD | 0.55 |
| N nonnegative terms | 13 |
| N negative terms | 6 |
| N of observations | 19 |
| Mean of predictor | 0.13 |
| Mean of criterion | 0.99 |
| SD of predictor | 0.17 |
| SD of criterion | 0.92 |
| Covariance | -0.01 |
| r | -0.06 |
| b (slope, estimate of beta) | -0.34 |
| a (intercept, estimate of alpha) | 1.04 |
| Mean Square Error | 0.90 |
| DF error | 17 |
| t(b) | -0.26 |
| p(b) | 0.54 |
| t(a) | 1.34 |
| p(a) | 0.31 |
| Lowerbound of 95% confidence interval for beta | -3.11 |
| Upperbound of 95% confidence interval for beta | 2.43 |
| Lowerbound of 95% confidence interval for alpha | -0.59 |
| Upperbound of 95% confidence interval for alpha | 2.67 |
| Treynor index (mean / b) | -2.91 |
| Jensen alpha (a) | 1.04 |
| VaR(95%) | 0.30 |
| Expected Shortfall on VaR | 0.37 |
| VaR(95%) | 0.10 |
| Expected Shortfall on VaR | 0.21 |
| Mean | 1.20 |
| SD | 0.59 |
| Sharpe ratio (Glass type estimate) | 2.04 |
| Sharpe ratio (Hedges UMVUE) | 2.04 |
| df | 434 |
| t | 2.63 |
| p | 0.00 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.52 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.57 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.51 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.57 |
| Sortino ratio | 3.08 |
| Upside Potential Ratio | 9.16 |
| Upside part of mean | 3.56 |
| Downside part of mean | -2.36 |
| Upside SD | 0.44 |
| Downside SD | 0.39 |
| N nonnegative terms | 241 |
| N negative terms | 194 |
| N of observations | 435 |
| Mean of predictor | 0.13 |
| Mean of criterion | 1.20 |
| SD of predictor | 0.17 |
| SD of criterion | 0.59 |
| Covariance | -0.02 |
| r | -0.18 |
| b (slope, estimate of beta) | -0.63 |
| a (intercept, estimate of alpha) | 1.28 |
| Mean Square Error | 0.33 |
| DF error | 433 |
| t(b) | -3.84 |
| p(b) | 1.00 |
| t(a) | 2.85 |
| p(a) | 0.00 |
| Lowerbound of 95% confidence interval for beta | -0.95 |
| Upperbound of 95% confidence interval for beta | -0.31 |
| Lowerbound of 95% confidence interval for alpha | 0.40 |
| Upperbound of 95% confidence interval for alpha | 2.16 |
| Treynor index (mean / b) | -1.92 |
| Jensen alpha (a) | 1.28 |
| Mean | 1.02 |
| SD | 0.60 |
| Sharpe ratio (Glass type estimate) | 1.71 |
| Sharpe ratio (Hedges UMVUE) | 1.70 |
| df | 434 |
| t | 2.20 |
| p | 0.01 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.18 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.23 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.18 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.23 |
| Sortino ratio | 2.41 |
| Upside Potential Ratio | 8.18 |
| Upside part of mean | 3.47 |
| Downside part of mean | -2.45 |
| Upside SD | 0.42 |
| Downside SD | 0.42 |
| N nonnegative terms | 241 |
| N negative terms | 194 |
| N of observations | 435 |
| Mean of predictor | 0.12 |
| Mean of criterion | 1.02 |
| SD of predictor | 0.17 |
| SD of criterion | 0.60 |
| Covariance | -0.02 |
| r | -0.18 |
| b (slope, estimate of beta) | -0.64 |
| a (intercept, estimate of alpha) | 1.09 |
| Mean Square Error | 0.35 |
| DF error | 433 |
| t(b) | -3.84 |
| p(b) | 1.00 |
| t(a) | 2.39 |
| p(a) | 0.01 |
| Lowerbound of 95% confidence interval for beta | -0.97 |
| Upperbound of 95% confidence interval for beta | -0.31 |
| Lowerbound of 95% confidence interval for alpha | 0.20 |
| Upperbound of 95% confidence interval for alpha | 1.99 |
| Treynor index (mean / b) | -1.59 |
| Jensen alpha (a) | 1.09 |
| VaR(95%) | 0.06 |
| Expected Shortfall on VaR | 0.07 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.04 |
| Mean | 0.90 |
| SD | 0.39 |
| Sharpe ratio (Glass type estimate) | 2.28 |
| Sharpe ratio (Hedges UMVUE) | 2.27 |
| df | 130 |
| t | 1.61 |
| p | 0.43 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.51 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 5.06 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.52 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 5.05 |
| Sortino ratio | 3.41 |
| Upside Potential Ratio | 11.32 |
| Upside part of mean | 2.99 |
| Downside part of mean | -2.09 |
| Upside SD | 0.30 |
| Downside SD | 0.26 |
| N nonnegative terms | 77 |
| N negative terms | 54 |
| N of observations | 131 |
| Mean of predictor | 0.20 |
| Mean of criterion | 0.90 |
| SD of predictor | 0.14 |
| SD of criterion | 0.39 |
| Covariance | -0.00 |
| r | -0.08 |
| b (slope, estimate of beta) | -0.21 |
| a (intercept, estimate of alpha) | 0.94 |
| Mean Square Error | 0.16 |
| DF error | 129 |
| t(b) | -0.86 |
| p(b) | 0.55 |
| t(a) | 1.68 |
| p(a) | 0.41 |
| Lowerbound of 95% confidence interval for beta | -0.70 |
| Upperbound of 95% confidence interval for beta | 0.28 |
| Lowerbound of 95% confidence interval for alpha | -0.17 |
| Upperbound of 95% confidence interval for alpha | 2.05 |
| Treynor index (mean / b) | -4.23 |
| Jensen alpha (a) | 0.94 |
| Mean | 0.82 |
| SD | 0.40 |
| Sharpe ratio (Glass type estimate) | 2.08 |
| Sharpe ratio (Hedges UMVUE) | 2.06 |
| df | 130 |
| t | 1.47 |
| p | 0.44 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.71 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.86 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.72 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.85 |
| Sortino ratio | 3.05 |
| Upside Potential Ratio | 10.92 |
| Upside part of mean | 2.95 |
| Downside part of mean | -2.12 |
| Upside SD | 0.29 |
| Downside SD | 0.27 |
| N nonnegative terms | 77 |
| N negative terms | 54 |
| N of observations | 131 |
| Mean of predictor | 0.19 |
| Mean of criterion | 0.82 |
| SD of predictor | 0.14 |
| SD of criterion | 0.40 |
| Covariance | -0.00 |
| r | -0.08 |
| b (slope, estimate of beta) | -0.21 |
| a (intercept, estimate of alpha) | 0.86 |
| Mean Square Error | 0.16 |
| DF error | 129 |
| t(b) | -0.86 |
| p(b) | 0.55 |
| t(a) | 1.54 |
| p(a) | 0.41 |
| Lowerbound of 95% confidence interval for beta | -0.70 |
| VAR (95 Confidence Intrvl) | 0.06 |
| Upperbound of 95% confidence interval for beta | 0.28 |
| Lowerbound of 95% confidence interval for alpha | -0.25 |
| Upperbound of 95% confidence interval for alpha | 1.97 |
| Treynor index (mean / b) | -3.86 |
| Jensen alpha (a) | 0.86 |
| VaR(95%) | 0.04 |
| Expected Shortfall on VaR | 0.05 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.03 |
ORDER STATISTICS
| Number of observations | 19 |
|---|---|
| Minimum | 0.54 |
| Quartile 1 | 0.91 |
| Median | 1.13 |
| Quartile 3 | 1.28 |
| Maximum | 1.63 |
| Mean of quarter 1 | 0.79 |
| Mean of quarter 2 | 1.04 |
| Mean of quarter 3 | 1.21 |
| Mean of quarter 4 | 1.47 |
| Inter Quartile Range | 0.36 |
| 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) | 0.44 |
| VaR(95%) (moments method) | 0.24 |
| Expected Shortfall (moments method) | 0.46 |
| Extreme Value Index (regression method) | 1.26 |
| VaR(95%) (regression method) | 0.25 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 435 |
| Minimum | 0.73 |
| Quartile 1 | 0.99 |
| Median | 1.00 |
| Quartile 3 | 1.02 |
| Maximum | 1.18 |
| Mean of quarter 1 | 0.97 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.01 |
| Mean of quarter 4 | 1.04 |
| Inter Quartile Range | 0.03 |
| Number outliers low | 8 |
| Percentage of outliers low | 0.02 |
| Mean of outliers low | 0.88 |
| Number of outliers high | 14 |
| Percentage of outliers high | 0.03 |
| Mean of outliers high | 1.11 |
| Extreme Value Index (moments method) | 0.29 |
| VaR(95%) (moments method) | 0.03 |
| Expected Shortfall (moments method) | 0.05 |
| Extreme Value Index (regression method) | 0.10 |
| VaR(95%) (regression method) | 0.03 |
| Expected Shortfall (regression method) | 0.05 |
| Number of observations | 131 |
| Minimum | 0.94 |
| Quartile 1 | 0.99 |
| Median | 1.01 |
| Quartile 3 | 1.02 |
| Maximum | 1.06 |
| Mean of quarter 1 | 0.97 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.01 |
| Mean of quarter 4 | 1.03 |
| Inter Quartile Range | 0.03 |
| Number outliers low | 1 |
| Percentage of outliers low | 0.01 |
| Mean of outliers low | 0.94 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0.04 |
| VaR(95%) (moments method) | 0.03 |
| Expected Shortfall (moments method) | 0.04 |
| Extreme Value Index (regression method) | -0.35 |
| VaR(95%) (regression method) | 0.03 |
| Expected Shortfall (regression method) | 0.04 |
DRAW DOWN STATISTICS
| Number of observations | 3 |
|---|---|
| Minimum | 0.06 |
| Quartile 1 | 0.14 |
| Median | 0.22 |
| Quartile 3 | 0.39 |
| Maximum | 0.55 |
| Mean of quarter 1 | 0.06 |
| Mean of quarter 2 | 0.22 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.55 |
| Inter Quartile Range | 0.25 |
| 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 | 19 |
| Minimum | 0.00 |
| Quartile 1 | 0.03 |
| Median | 0.07 |
| Quartile 3 | 0.13 |
| Maximum | 0.59 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.05 |
| Mean of quarter 3 | 0.09 |
| Mean of quarter 4 | 0.27 |
| Inter Quartile Range | 0.10 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 2 |
| Percentage of outliers high | 0.11 |
| Mean of outliers high | 0.44 |
| Extreme Value Index (moments method) | 0.48 |
| VaR(95%) (moments method) | 0.31 |
| Expected Shortfall (moments method) | 0.64 |
| Extreme Value Index (regression method) | 1.52 |
| VaR(95%) (regression method) | 0.37 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 5 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.02 |
| Quartile 3 | 0.10 |
| Maximum | 0.29 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.02 |
| Mean of quarter 3 | 0.10 |
| Mean of quarter 4 | 0.29 |
| 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 | 0.29 |
| 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? | -398803360 |
| Max Equity Drawdown (num days) | 171 |
| Last 4 Months - Pcnt Negative | 0.2% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 2.55 |
|---|---|
| Compounded annual return (geometric extrapolation) | 1.78 |
| Calmar ratio (compounded annual return / max draw down) | 3.21 |
| Compounded annual return / average of 25% largest draw downs | 3.21 |
| Compounded annual return / Expected Shortfall lognormal | 4.79 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 2.83 |
| Compounded annual return (geometric extrapolation) | 1.85 |
| Calmar ratio (compounded annual return / max draw down) | 3.14 |
| Compounded annual return / average of 25% largest draw downs | 6.94 |
| Compounded annual return / Expected Shortfall lognormal | 26.61 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 1.06 |
| Compounded annual return (geometric extrapolation) | 1.34 |
| Calmar ratio (compounded annual return / max draw down) | 4.56 |
| Compounded annual return / average of 25% largest draw downs | 4.56 |
| Compounded annual return / Expected Shortfall lognormal | 29.00 |
Trading record
Placed 942 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| MES U6 | short | 4 | Sep 8, 2026 | Sep 8, 2026 | $35 |
| MES U6 | long | 4 | Sep 4, 2026 | Sep 4, 2026 | $220 |
| MES U6 | short | 4 | Sep 4, 2026 | Sep 4, 2026 | ($15) |
| MES U6 | long | 4 | Sep 3, 2026 | Sep 3, 2026 | $370 |
| MES U6 | long | 4 | Sep 2, 2026 | Sep 2, 2026 | $415 |
| MES U6 | long | 4 | Sep 1, 2026 | Sep 1, 2026 | $155 |
| MES U6 | short | 4 | Aug 31, 2026 | Aug 31, 2026 | ($50) |
| MES U6 | short | 4 | Aug 28, 2026 | Aug 28, 2026 | $630 |
| MES U6 | long | 4 | Aug 28, 2026 | Aug 28, 2026 | ($130) |
| MES U6 | long | 4 | Aug 27, 2026 | Aug 27, 2026 | ($40) |
| MES U6 | short | 4 | Aug 25, 2026 | Aug 25, 2026 | $95 |
| MES U6 | long | 4 | Aug 24, 2026 | Aug 24, 2026 | $185 |
| MES U6 | short | 4 | Aug 24, 2026 | Aug 24, 2026 | ($20) |
| MES U6 | long | 4 | Aug 20, 2026 | Aug 20, 2026 | ($225) |
| MES U6 | short | 4 | Aug 19, 2026 | Aug 19, 2026 | $380 |
| MES U6 | short | 4 | Aug 18, 2026 | Aug 18, 2026 | $30 |
| MES U6 | short | 4 | Aug 14, 2026 | Aug 14, 2026 | $230 |
| MES U6 | short | 4 | Aug 14, 2026 | Aug 14, 2026 | $10 |
| MES U6 | long | 4 | Aug 13, 2026 | Aug 13, 2026 | $90 |
| MES U6 | short | 4 | Aug 12, 2026 | Aug 12, 2026 | ($300) |
| MES U6 | short | 4 | Aug 10, 2026 | Aug 10, 2026 | ($115) |
| MES U6 | long | 4 | Aug 10, 2026 | Aug 10, 2026 | ($355) |
| MES U6 | long | 4 | Aug 6, 2026 | Aug 6, 2026 | ($35) |
| MES U6 | short | 4 | Aug 6, 2026 | Aug 6, 2026 | ($315) |
| MES U6 | short | 4 | Aug 5, 2026 | Aug 5, 2026 | $575 |
| MES U6 | long | 4 | Aug 3, 2026 | Aug 3, 2026 | $370 |
| MES U6 | short | 4 | Jul 31, 2026 | Jul 31, 2026 | ($581) |
| MES U6 | long | 4 | Jul 30, 2026 | Jul 30, 2026 | $458 |
| MES U6 | long | 4 | Jul 29, 2026 | Jul 29, 2026 | $421 |
| MES U6 | short | 4 | Jul 28, 2026 | Jul 28, 2026 | ($858) |
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.