ARK Micro
- hypothetical · Annual Return (Compounded)
- 0.0%
- Max Drawdown
- 100.0%
- Trades
- 186
- Win Trades
- 82.8%
- Profit Factor
- 0.10
- Win Months
- 41.2%
About this strategy
I have done a lot of work on my mistakes. This is more from the field of psychology. Bugs have been fixed. The system has become more reliable and stable. During this time, I have optimized my system, leaving only the best algorithms there and optimized risk management. I believe in my system.
Attention! Depending on your risk preferences, after subscribing to the system, I definitely recommend setting a risk limit of no more than 5-10-15-20%. This is a must!
1) ARK Micro (micro fx futures CME) + 5.8%*, max dd - 8.8% | https://collective2.com/details/151021571 | Maximum monthly loss no more than 10%. Trading according to the system of currency futures micro GBP/USD, micro EUR/USD, micro AUD/USD, micro JPY/USD, micro CAD/USD, micro CHF/USD. Suggested Minimum Capital 7,500 - 15,000 USD
2) Internet trading experience since 2006. Manual trading system, based on the use of advanced mathematical algorithms that generate accurate entry and exit signals, as well as on the analysis of intraday bulletins of currency futures of the Chicago Mercantile Exchange (CME Group) - British Pound Futures, Euro FX Futures, Australian Dollar Futures, Japanese Yen Futures, Swiss Franc Futures, Canadian Dollar Futures. Trading is carried out both on the trend and on reversals, on currency futures G10 CME Group. Each trade is protected by a stop loss. Not martingale. The plan and goal for the future is to open my own hedge fund.
3) My public verified trading results myfxbook | 2011 + 12.11% | 2012 + 105.51% | 2013 + 272.49% | 2014 + 182.49% | 2015 + 121.17% | 2016 + 65.57% | 2017 + 18.24% | 2018 + 88.6% | 2019 +16.5%
4) Attention! To be honest, this is not my first profile here. I had great periods here when the number of paid subscribers was about 100, and the amount under management was about 7 million US dollars (this is the period from February 2018 to July 2019). In 2018, a profit of 88% was shown, but then 95% of clients left due to a profit of 16% per year!!! From experience, I can say that low drawdowns and moderate profits (10-25% per year) are of little interest to anyone here, and when you start showing such a result, 80-90 percent of clients leave. Strategies with high profits are very popular, which subsequently lead to large drawdowns. This is a pattern and a vicious circle. The more profit, the greater the drawdown awaits you in the future. That's why I started using my system with aggressive risks, which led to a series of failures.
5) From November 2021 to October 2022, I had the ARK system here, until May 2022 there was a stable increase in clients, excellent results for six months, profit over 250%, the number of paid subscribers is just over 100, funds are 15 million USD. Then I started trading more conservatively (less risky) and the number of subscribers decreased by 9 times in 3 months!!! I started trading again, but more aggressively and this eventually led to a mistake, there was a big drawdown when selling USD / JPY due to high leverage, the idea was correct to sell 145-147-150 take profit 135-133 -131, but very poor execution led to a loss. I am the only one to blame for this and there is no excuse for this.
6) In 2024, at the moment, my M8888 system managed to show excellent results of 420% with a maximum drawdown of 42%. But the bet on aggressive trading eventually led to a large drawdown. It was obvious and a matter of time. Now there is a profit of 230% with a drawdown of 70%. I understand that such results are of no interest to anyone. An adequate balance of risk and profit is needed.
7) You can see the archive of my systems for 2018-2024 on my website.
Useful recommendations when copying my system “ARK Micro” (micro FX futures CME):
1) Do not idealize the results of my trading. Stable every month for a long period of time, at least over a period of several years, you are unlikely to receive a plus every month, this is not a bank deposit. There will be periods of subsidence, since everything in this world is cyclical and the results in trading are no exception, after growth always follows a decline or for some time there is a stagnation in growth and this should be perceived normally.
2) Diversify your savings - do not put all your eggs in one basket.
3) Constantly and continuously monitor the results, it is desirable to do this several times a week, so you will be calmer.
4) Understand that profitability is not linear, it is not a bank deposit, that income received in the past cannot serve as a guarantee of receiving such income in the future.
5) Do not worry and don’t share your feelings with me about where the market will go or what you think is wrong at the moment (I don’t have a psychological session service), because there is a stop loss for every deal , there is a risk limit. Excessive anxiety only ruins the result.
6) There are periods, several trading sessions, several trading weeks when there is no trading activity, this is normal. Permanent presence in the market and constant trading in no way affects the better profit, does not make it anymore, sometimes just a few trading sessions make the result for a whole month. You need to be able to wait, work out only clear signals and then the result will be much better.
7) There is a possibility that you may lose some or all of your investments and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with foreign exchange trading and seek advice from an independent financial advisor if you have any doubts.
Michael
April 1, 2025
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 5.8 | 13.8 | 10.4 | 2.0 | 13.9 | -1.6 | -8.7 | -66.3 | 14.8 | 39.1 | -25.4 | ||
| 2026 | -2603.6 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -2603.6 |
Statistics
Overview
| Strategy began | 3/5/2025 |
|---|---|
| Suggested Minimum Capital | $15,000 |
| Age | 18 months |
| What it trades | Futures |
| # Trades | 186 |
| # Profitable | 154 |
| % Profitable | 82.8% |
| Avg trade duration | 5.3 days |
| Max peak-to-valley drawdown | 100.0% |
| drawdown period | Nov 30, 2025 - Jan 24, 2026 |
| Annual Return (Compounded) | 0.0% |
| Avg win | $114 |
| Avg loss | $9,701 |
Ratios
| W:L ratio | 0.06 |
|---|---|
| Sharpe Ratio | -0.89 |
| Sortino Ratio | -0.89 |
| Calmar Ratio | -1 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.01 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 31.3% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -2001.0% |
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) | 0.0% |
Slump
| Current Slump as Pcnt Equity | — |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.6% |
Instruments
| Percent Trades Forex | 0.1% |
|---|---|
| Percent Trades Futures | 0.9% |
| 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 | 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 | 69.5% |
| Chance of 60% account loss (Monte Carlo) | 13.0% |
| 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% |
| Chance of 100% account loss (Monte Carlo) | 0.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Popularity
| Popularity (Today) | 0 |
|---|---|
| Popularity (Last 6 weeks) | 446 |
| 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 | $9,701 |
|---|---|
| Avg Win | $114 |
| # Winners | 154 |
| Sum Trade PL (losers) | $310,446 |
| Sum Trade PL (winners) | $17,625 |
| Num Months Winners | 7 |
| # Losers | 32 |
| % Winners | 82.8% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 11 |
|---|
Frequency
| Avg Position Time (mins) | 7612.70 |
|---|---|
| Avg Position Time (hrs) | 126.88 |
| Avg Trade Length | 5.30 |
| Last Trade Ago | 306 |
Leverage
| Daily leverage (average) | 6.97 |
|---|---|
| Daily leverage (max) | 35.96 |
Regression
| Alpha | 0 |
|---|---|
| Beta | -0.15 |
| Treynor Index | 0 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.02 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 1.07 |
| MAE:Equity, average, losing trades | 0.10 |
| 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 | -18.42 |
| MAE:PL (avg, all trades) | -0.06 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 1.23 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.73 |
| Hold-and-Hope Ratio | -5.78 |
RATIO STATISTICS
| Mean | 0.28 |
|---|---|
| SD | 0.92 |
| Sharpe ratio (Glass type estimate) | 0.30 |
| Sharpe ratio (Hedges UMVUE) | 0.28 |
| df | 8 |
| t | 0.26 |
| p | 0.40 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.97 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.56 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.99 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.54 |
| Sortino ratio | 0.45 |
| Upside Potential Ratio | 2.16 |
| Upside part of mean | 1.36 |
| Downside part of mean | -1.08 |
| Upside SD | 0.61 |
| Downside SD | 0.63 |
| N nonnegative terms | 6 |
| N negative terms | 3 |
| N of observations | 9 |
| Mean of predictor | 0.21 |
| Mean of criterion | 0.28 |
| SD of predictor | 0.16 |
| SD of criterion | 0.92 |
| Covariance | -0.02 |
| r | -0.14 |
| b (slope, estimate of beta) | -0.83 |
| a (intercept, estimate of alpha) | 0.46 |
| Mean Square Error | 0.96 |
| DF error | 7 |
| t(b) | -0.38 |
| p(b) | 0.64 |
| t(a) | 0.38 |
| p(a) | 0.36 |
| Lowerbound of 95% confidence interval for beta | -5.94 |
| Upperbound of 95% confidence interval for beta | 4.29 |
| Lowerbound of 95% confidence interval for alpha | -2.43 |
| Upperbound of 95% confidence interval for alpha | 3.34 |
| Treynor index (mean / b) | -0.34 |
| Jensen alpha (a) | 0.46 |
| Mean | -0.15 |
| SD | 1.02 |
| Sharpe ratio (Glass type estimate) | -0.14 |
| Sharpe ratio (Hedges UMVUE) | -0.13 |
| df | 8 |
| t | -0.12 |
| p | 0.55 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -2.40 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.12 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -2.39 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.13 |
| Sortino ratio | -0.18 |
| Upside Potential Ratio | 1.49 |
| Upside part of mean | 1.20 |
| Downside part of mean | -1.35 |
| Upside SD | 0.53 |
| Downside SD | 0.81 |
| N nonnegative terms | 6 |
| N negative terms | 3 |
| N of observations | 9 |
| Mean of predictor | 0.20 |
| Mean of criterion | -0.15 |
| SD of predictor | 0.16 |
| SD of criterion | 1.02 |
| Covariance | -0.02 |
| r | -0.11 |
| b (slope, estimate of beta) | -0.71 |
| a (intercept, estimate of alpha) | -0.01 |
| Mean Square Error | 1.18 |
| DF error | 7 |
| t(b) | -0.30 |
| p(b) | 0.61 |
| t(a) | -0.00 |
| p(a) | 0.50 |
| Lowerbound of 95% confidence interval for beta | -6.39 |
| Upperbound of 95% confidence interval for beta | 4.97 |
| Lowerbound of 95% confidence interval for alpha | -3.18 |
| Upperbound of 95% confidence interval for alpha | 3.17 |
| Treynor index (mean / b) | 0.21 |
| Jensen alpha (a) | -0.01 |
| VaR(95%) | 0.39 |
| Expected Shortfall on VaR | 0.46 |
| VaR(95%) | 0.16 |
| Expected Shortfall on VaR | 0.33 |
| Mean | -1.21 |
| SD | 1.28 |
| Sharpe ratio (Glass type estimate) | -0.94 |
| Sharpe ratio (Hedges UMVUE) | -0.94 |
| df | 208 |
| t | -0.84 |
| p | 0.80 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.14 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.25 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.14 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.26 |
| Sortino ratio | -1.01 |
| Upside Potential Ratio | 2.38 |
| Upside part of mean | 2.86 |
| Downside part of mean | -4.06 |
| Upside SD | 0.44 |
| Downside SD | 1.20 |
| N nonnegative terms | 111 |
| N negative terms | 98 |
| N of observations | 209 |
| Mean of predictor | 0.20 |
| Mean of criterion | -1.21 |
| SD of predictor | 0.20 |
| SD of criterion | 1.28 |
| Covariance | -0.01 |
| r | -0.05 |
| b (slope, estimate of beta) | -0.36 |
| a (intercept, estimate of alpha) | -1.14 |
| Mean Square Error | 1.63 |
| DF error | 207 |
| t(b) | -0.79 |
| p(b) | 0.78 |
| t(a) | -0.79 |
| p(a) | 0.79 |
| Lowerbound of 95% confidence interval for beta | -1.24 |
| Upperbound of 95% confidence interval for beta | 0.53 |
| Lowerbound of 95% confidence interval for alpha | -3.96 |
| Upperbound of 95% confidence interval for alpha | 1.69 |
| Treynor index (mean / b) | 3.39 |
| Jensen alpha (a) | -1.14 |
| Mean | -12.08 |
| SD | 10.68 |
| Sharpe ratio (Glass type estimate) | -1.13 |
| Sharpe ratio (Hedges UMVUE) | -1.13 |
| df | 208 |
| t | -1.01 |
| p | 0.84 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.33 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.07 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.32 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.07 |
| Sortino ratio | -1.13 |
| Upside Potential Ratio | 0.26 |
| Upside part of mean | 2.77 |
| Downside part of mean | -14.85 |
| Upside SD | 0.41 |
| Downside SD | 10.67 |
| N nonnegative terms | 111 |
| N negative terms | 98 |
| N of observations | 209 |
| Mean of predictor | 0.18 |
| Mean of criterion | -12.08 |
| SD of predictor | 0.20 |
| SD of criterion | 10.68 |
| Covariance | -0.07 |
| r | -0.03 |
| b (slope, estimate of beta) | -1.88 |
| a (intercept, estimate of alpha) | -11.75 |
| Mean Square Error | 114.53 |
| DF error | 207 |
| t(b) | -0.49 |
| p(b) | 0.69 |
| t(a) | -0.98 |
| p(a) | 0.84 |
| Lowerbound of 95% confidence interval for beta | -9.37 |
| Upperbound of 95% confidence interval for beta | 5.62 |
| Lowerbound of 95% confidence interval for alpha | -35.41 |
| Upperbound of 95% confidence interval for alpha | 11.91 |
| Treynor index (mean / b) | 6.44 |
| Jensen alpha (a) | -11.75 |
| VaR(95%) | 0.68 |
| Expected Shortfall on VaR | 0.75 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.08 |
| Mean | -2.66 |
| SD | 1.59 |
| Sharpe ratio (Glass type estimate) | -1.68 |
| Sharpe ratio (Hedges UMVUE) | -1.67 |
| df | 130 |
| t | -1.18 |
| p | 0.55 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -4.45 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.11 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -4.45 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.11 |
| Sortino ratio | -1.77 |
| Upside Potential Ratio | 2.04 |
| Upside part of mean | 3.07 |
| Downside part of mean | -5.73 |
| Upside SD | 0.51 |
| Downside SD | 1.51 |
| N nonnegative terms | 60 |
| N negative terms | 71 |
| N of observations | 131 |
| Mean of predictor | 0.19 |
| Mean of criterion | -2.66 |
| SD of predictor | 0.11 |
| SD of criterion | 1.59 |
| Covariance | -0.01 |
| r | -0.05 |
| b (slope, estimate of beta) | -0.70 |
| a (intercept, estimate of alpha) | -2.53 |
| Mean Square Error | 2.53 |
| DF error | 129 |
| t(b) | -0.57 |
| p(b) | 0.53 |
| t(a) | -1.12 |
| p(a) | 0.56 |
| Lowerbound of 95% confidence interval for beta | -3.12 |
| Upperbound of 95% confidence interval for beta | 1.72 |
| Lowerbound of 95% confidence interval for alpha | -7.00 |
| Upperbound of 95% confidence interval for alpha | 1.94 |
| Treynor index (mean / b) | 3.82 |
| Jensen alpha (a) | -2.53 |
| Mean | -19.97 |
| SD | 13.49 |
| Sharpe ratio (Glass type estimate) | -1.48 |
| Sharpe ratio (Hedges UMVUE) | -1.47 |
| df | 130 |
| t | -1.05 |
| p | 0.55 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -4.26 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.30 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -4.25 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.31 |
| Sortino ratio | -1.48 |
| Upside Potential Ratio | 0.22 |
| Upside part of mean | 2.95 |
| Downside part of mean | -22.92 |
| Upside SD | 0.48 |
| Downside SD | 13.48 |
| N nonnegative terms | 60 |
| N negative terms | 71 |
| N of observations | 131 |
| Mean of predictor | 0.18 |
| Mean of criterion | -19.97 |
| SD of predictor | 0.11 |
| SD of criterion | 13.49 |
| Covariance | -0.10 |
| r | -0.07 |
| b (slope, estimate of beta) | -7.76 |
| a (intercept, estimate of alpha) | -18.58 |
| Mean Square Error | 182.48 |
| DF error | 129 |
| t(b) | -0.75 |
| p(b) | 0.54 |
| t(a) | -0.97 |
| p(a) | 0.55 |
| Lowerbound of 95% confidence interval for beta | -28.32 |
| VAR (95 Confidence Intrvl) | 0.68 |
| Upperbound of 95% confidence interval for beta | 12.81 |
| Lowerbound of 95% confidence interval for alpha | -56.56 |
| Upperbound of 95% confidence interval for alpha | 19.40 |
| Treynor index (mean / b) | 2.57 |
| Jensen alpha (a) | -18.58 |
| VaR(95%) | 0.76 |
| Expected Shortfall on VaR | 0.83 |
| VaR(95%) | 0.05 |
| Expected Shortfall on VaR | 0.12 |
ORDER STATISTICS
| Number of observations | 9 |
|---|---|
| Minimum | 0.55 |
| Quartile 1 | 0.94 |
| Median | 1.06 |
| Quartile 3 | 1.22 |
| Maximum | 1.40 |
| Mean of quarter 1 | 0.73 |
| Mean of quarter 2 | 1.04 |
| Mean of quarter 3 | 1.16 |
| Mean of quarter 4 | 1.32 |
| Inter Quartile Range | 0.27 |
| 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) | -37.99 |
| VaR(95%) (moments method) | 0.16 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | -1.64 |
| VaR(95%) (regression method) | 0.60 |
| Expected Shortfall (regression method) | 0.62 |
| Number of observations | 209 |
| Minimum | 0.00 |
| Quartile 1 | 0.99 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.19 |
| Mean of quarter 1 | 0.94 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.04 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 22 |
| Percentage of outliers low | 0.11 |
| Mean of outliers low | 0.89 |
| Number of outliers high | 19 |
| Percentage of outliers high | 0.09 |
| Mean of outliers high | 1.07 |
| Extreme Value Index (moments method) | 0.68 |
| VaR(95%) (moments method) | 0.04 |
| Expected Shortfall (moments method) | 0.16 |
| Extreme Value Index (regression method) | 0.39 |
| VaR(95%) (regression method) | 0.04 |
| Expected Shortfall (regression method) | 0.09 |
| Number of observations | 131 |
| Minimum | 0.00 |
| Quartile 1 | 0.98 |
| Median | 1 |
| Quartile 3 | 1.01 |
| Maximum | 1.19 |
| Mean of quarter 1 | 0.92 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.04 |
| Inter Quartile Range | 0.03 |
| Number outliers low | 11 |
| Percentage of outliers low | 0.08 |
| Mean of outliers low | 0.82 |
| Number of outliers high | 10 |
| Percentage of outliers high | 0.08 |
| Mean of outliers high | 1.10 |
| Extreme Value Index (moments method) | 0.63 |
| VaR(95%) (moments method) | 0.07 |
| Expected Shortfall (moments method) | 0.21 |
| Extreme Value Index (regression method) | 0.51 |
| VaR(95%) (regression method) | 0.06 |
| Expected Shortfall (regression method) | 0.14 |
DRAW DOWN STATISTICS
| Number of observations | 2 |
|---|---|
| Minimum | 0.06 |
| Quartile 1 | 0.19 |
| Median | 0.33 |
| Quartile 3 | 0.47 |
| Maximum | 0.61 |
| Mean of quarter 1 | 0.06 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.61 |
| Inter Quartile Range | 0.28 |
| 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 | 17 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.01 |
| Quartile 3 | 0.06 |
| Maximum | 1.00 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.04 |
| Mean of quarter 4 | 0.31 |
| Inter Quartile Range | 0.05 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.06 |
| Mean of outliers high | 1.00 |
| Extreme Value Index (moments method) | 1.09 |
| VaR(95%) (moments method) | 0.28 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 2.75 |
| VaR(95%) (regression method) | 0.37 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 8 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.01 |
| Quartile 3 | 0.04 |
| Maximum | 1.00 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.00 |
| Mean of quarter 3 | 0.02 |
| Mean of quarter 4 | 0.53 |
| Inter Quartile Range | 0.04 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.12 |
| Mean of outliers high | 1.00 |
| 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? | -406734944 |
| Max Equity Drawdown (num days) | 55 |
| Last 4 Months - Pcnt Negative | 0.5% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | -0.11 |
|---|---|
| Compounded annual return (geometric extrapolation) | -0.11 |
| Calmar ratio (compounded annual return / max draw down) | -0.18 |
| Compounded annual return / average of 25% largest draw downs | -0.18 |
| Compounded annual return / Expected Shortfall lognormal | -0.24 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -1.25 |
| Compounded annual return (geometric extrapolation) | -1.00 |
| Calmar ratio (compounded annual return / max draw down) | -1.00 |
| Compounded annual return / average of 25% largest draw downs | -3.22 |
| Compounded annual return / Expected Shortfall lognormal | -1.34 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -2.00 |
| Compounded annual return (geometric extrapolation) | -1 |
| Calmar ratio (compounded annual return / max draw down) | -1.00 |
| Compounded annual return / average of 25% largest draw downs | -1.88 |
| Compounded annual return / Expected Shortfall lognormal | -1.21 |
Trading record
Placed 562 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| JE Z5 | long | 1 | Oct 28, 2025 | Oct 28, 2025 | $67 |
| JY Z5 | long | 4 | Oct 17, 2025 | Oct 26, 2025 | ($5,707) |
| JE Z5 | short | 1 | Oct 16, 2025 | Oct 19, 2025 | ($8) |
| JY Z5 | long | 2 | Oct 15, 2025 | Oct 16, 2025 | $197 |
| JE Z5 | long | 1 | Oct 16, 2025 | Oct 16, 2025 | $105 |
| JE Z5 | short | 1 | Oct 15, 2025 | Oct 16, 2025 | $142 |
| JY Z5 | long | 2 | Oct 15, 2025 | Oct 15, 2025 | $409 |
| JE Z5 | long | 1 | Oct 15, 2025 | Oct 15, 2025 | $92 |
| BP Z5 | long | 1 | Oct 15, 2025 | Oct 15, 2025 | $148 |
| JE Z5 | short | 1 | Oct 15, 2025 | Oct 15, 2025 | $48 |
| JE Z5 | long | 1 | Oct 10, 2025 | Oct 15, 2025 | $267 |
| BP Z5 | long | 1 | Oct 14, 2025 | Oct 15, 2025 | $98 |
| JY Z5 | long | 2 | Oct 10, 2025 | Oct 14, 2025 | $947 |
| JY Z5 | long | 1 | Oct 7, 2025 | Oct 10, 2025 | $367 |
| BP Z5 | long | 6 | Sep 17, 2025 | Oct 9, 2025 | ($6,353) |
| MJY Z5 | long | 2 | Sep 18, 2025 | Oct 7, 2025 | ($655) |
| JE Z5 | long | 1 | Sep 17, 2025 | Oct 7, 2025 | ($1,889) |
| M6B Z5 | long | 1 | Oct 3, 2025 | Oct 5, 2025 | ($12) |
| M6B Z5 | long | 1 | Oct 2, 2025 | Oct 3, 2025 | $27 |
| M6B Z5 | long | 1 | Sep 30, 2025 | Oct 1, 2025 | $17 |
| BP Z5 | long | 1 | Sep 17, 2025 | Sep 17, 2025 | $67 |
| JE Z5 | long | 1 | Sep 17, 2025 | Sep 17, 2025 | $80 |
| JE Z5 | long | 1 | Sep 16, 2025 | Sep 16, 2025 | $111 |
| JE Z5 | short | 2 | Sep 16, 2025 | Sep 16, 2025 | ($122) |
| JY Z5 | long | 1 | Sep 9, 2025 | Sep 16, 2025 | $230 |
| JE Z5 | long | 1 | Sep 12, 2025 | Sep 12, 2025 | $73 |
| JE Z5 | long | 2 | Sep 9, 2025 | Sep 11, 2025 | $122 |
| JE Z5 | long | 1 | Sep 9, 2025 | Sep 9, 2025 | $211 |
| MJY U5 | long | 3 | Sep 7, 2025 | Sep 8, 2025 | $103 |
| M6B U5 | long | 6 | Sep 4, 2025 | Sep 4, 2025 | $94 |
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.