Fundamental Income Generator
- hypothetical · Annual Return (Compounded)
- 5.7%
- Max Drawdown
- 42.8%
- Trades
- 483
- Win Trades
- 80.5%
- Profit Factor
- 1.80
- Win Months
- 66.9%
About this strategy
Fundamental Analysis
The system aims at finding well established companies with predictable and stable earning power and substantial competitive advantages, based on a bottom-up fundamental analysis, which their stocks are traded at or below their economic intrinsic value. The system then tries to find mispriced options on such stocks and thereby exploit the price discrepancy. Also, a certain diversification among the underlying companies is kept to somewhat mitigate company specific or sector specific risks.
Use of Options to Generate Income
The focus is on companies that their stock prices are not expected to decline substantially rather than to predict certain price appreciations of such stocks. In such situations the fundamental views can be better reflected through options rather than through outright stock purchases. In these cases the system uses the options (mainly puts) to sell premiums and, hopefully, generating income. However, it should be emphasized that the system, as any trading system, cannot guarantee profits and substantial losses may occur.
Trading Method
The system is focused on fundamental research and finding the best ideas and let them work and to benefit from the options time decay, so that the length of each trade is expected to be a few weeks and not less than that. The trades are entered manually during the regular trading hours in the U.S. The strategy is not based on speculations, day trading, or technical analysis. As most of the trades include shorting options they are made in a margin account. The system tries that at any time the margin requirements of the systems account will not exceed 60% of the accounts equity.
Risks
Even stock prices of good companies may totally collapse due to various reasons, so that alongside a chance for profits there is also a substantial risk of loss and there is no guarantee of any profits as a result of using this trading system. Any potential subscriber should be well aware of this fact and decide for himself if he is willing to take such risk.
The system aims at finding well established companies with predictable and stable earning power and substantial competitive advantages, based on a bottom-up fundamental analysis, which their stocks are traded at or below their economic intrinsic value. The system then tries to find mispriced options on such stocks and thereby exploit the price discrepancy. Also, a certain diversification among the underlying companies is kept to somewhat mitigate company specific or sector specific risks.
Use of Options to Generate Income
The focus is on companies that their stock prices are not expected to decline substantially rather than to predict certain price appreciations of such stocks. In such situations the fundamental views can be better reflected through options rather than through outright stock purchases. In these cases the system uses the options (mainly puts) to sell premiums and, hopefully, generating income. However, it should be emphasized that the system, as any trading system, cannot guarantee profits and substantial losses may occur.
Trading Method
The system is focused on fundamental research and finding the best ideas and let them work and to benefit from the options time decay, so that the length of each trade is expected to be a few weeks and not less than that. The trades are entered manually during the regular trading hours in the U.S. The strategy is not based on speculations, day trading, or technical analysis. As most of the trades include shorting options they are made in a margin account. The system tries that at any time the margin requirements of the systems account will not exceed 60% of the accounts equity.
Risks
Even stock prices of good companies may totally collapse due to various reasons, so that alongside a chance for profits there is also a substantial risk of loss and there is no guarantee of any profits as a result of using this trading system. Any potential subscriber should be well aware of this fact and decide for himself if he is willing to take such risk.
Covered Calls
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2012 | -0.9 | 0.9 | 1.6 | 1.6 | |||||||||
| 2013 | 4.8 | -0.1 | 3.1 | 1.7 | 3.0 | -1.7 | 1.5 | -0.2 | 5.3 | 1.9 | 3.7 | 0.3 | 25.6 |
| 2014 | -6.4 | 4.8 | 1.4 | 1.8 | 1.5 | 1.1 | -0.8 | 3.9 | -1.5 | 1.0 | 1.4 | -2.2 | 5.5 |
| 2015 | -4.6 | 8.1 | -2.4 | 1.0 | 1.1 | -1.6 | 3.8 | -8.3 | 0.2 | 11.8 | 1.5 | 0.1 | 9.7 |
| 2016 | -6.9 | 4.5 | 7.7 | 3.2 | 3.0 | 0.0 | 2.5 | 3.2 | -1.1 | 1.6 | 1.2 | 1.2 | 21.0 |
| 2017 | 1.7 | 3.9 | -0.6 | 1.4 | -0.3 | 2.5 | 1.8 | -6.9 | 2.7 | -1.0 | 1.1 | 3.3 | 9.4 |
| 2018 | 0.6 | -5.9 | -9.2 | -2.8 | 0.9 | 6.2 | 3.3 | 0.4 | -3.5 | -8.6 | -5.8 | -18.4 | -37.0 |
| 2019 | 20.2 | 2.7 | 2.2 | 2.6 | -0.3 | -1.9 | 2.0 | -2.4 | -1.6 | 3.6 | 3.6 | 1.6 | 35.1 |
| 2020 | 0.0 | -2.1 | -10.4 | 5.5 | 3.3 | 0.0 | 10.4 | 1.4 | 7.0 | ||||
| 2021 | -0.3 | 0.5 | 2.9 | 0.5 | 0.4 | 0.5 | 0.7 | 0.8 | -1.6 | -1.1 | 0.0 | 1.1 | 4.6 |
| 2022 | -0.7 | -2.6 | 0.6 | 0.2 | -0.4 | -3.9 | 0.7 | 0.5 | -1.9 | -0.2 | 0.3 | 0.6 | -6.7 |
| 2023 | 0.9 | 1.4 | 0.6 | 2.0 | 0.2 | 1.0 | 0.4 | -0.6 | 0.3 | 0.6 | 0.5 | 0.1 | 7.3 |
| 2024 | 1.8 | 3.2 | 0.9 | -2.0 | 1.8 | 1.0 | 0.4 | 2.0 | 0.4 | 0.3 | 1.6 | -0.1 | 11.7 |
| 2025 | 2.4 | 0.9 | -1.6 | -1.9 | 3.2 | 2.5 | 1.1 | 1.0 | 0.3 | -1.1 | -4.8 | 1.9 | 3.7 |
| 2026 | 0.4 | 1.8 | -2.4 | 2.0 | 0.7 | -2.5 | -0.2 | 0.7 |
Statistics
Overview
| Strategy began | 10/7/2012 |
|---|---|
| Suggested Minimum Capital | $25,000 |
| Age | 169 months |
| What it trades | Options |
| # Trades | 483 |
| # Profitable | 389 |
| % Profitable | 80.5% |
| Avg trade duration | 102.9 days |
| Max peak-to-valley drawdown | 42.8% |
| drawdown period | Jan 23, 2018 - Dec 24, 2018 |
| Annual Return (Compounded) | 5.7% |
| Avg win | $218 |
| Avg loss | $533 |
Ratios
| W:L ratio | 1.77 |
|---|---|
| Sharpe Ratio | 0.29 |
| Sortino Ratio | 0.39 |
| Calmar Ratio | 0.38 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.41 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 425.0% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -311.2% |
Return Statistics
| Ann Return (w trading costs) | 5.7% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.1% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 6.9% |
Slump
| Current Slump as Pcnt Equity | 4.3% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.1% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.9% |
| Short Options - Percent Covered | 2.5% |
| Percent Trades Stocks | 0.1% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 43.0% |
|---|---|
| Chance of 20% account loss | 12.0% |
| Chance of 30% account loss | 5.0% |
| Chance of 40% account loss | 0.0% |
| 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% |
| Chance of 100% account loss (Monte Carlo) | — |
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 | $533 |
|---|---|
| Avg Win | $218 |
| # Winners | 389 |
| Sum Trade PL (losers) | $50,126 |
| Sum Trade PL (winners) | $84,974 |
| Num Months Winners | 111 |
| # Losers | 94 |
| % Winners | 80.5% |
Dividends
| Dividends Received in Model Acct | 3881 |
|---|
Age
| Num Months filled monthly returns table | 163 |
|---|
Frequency
| Avg Position Time (mins) | 195898.80 |
|---|---|
| Avg Position Time (hrs) | 3264.98 |
| Avg Trade Length | 136 |
| Last Trade Ago | 2080 |
Regression
| Alpha | 0 |
|---|---|
| Beta | 0.32 |
| Treynor Index | 0.04 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.01 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.02 |
| MAE:Equity, average, losing trades | 0.02 |
| 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 | 14.01 |
| MAE:PL (avg, all trades) | 0.08 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 48.83 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 20.62 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 1.31 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.15 |
| Hold-and-Hope Ratio | 0.02 |
RATIO STATISTICS
| Mean | 0.11 |
|---|---|
| SD | 0.15 |
| Sharpe ratio (Glass type estimate) | 0.73 |
| Sharpe ratio (Hedges UMVUE) | 0.73 |
| df | 87 |
| t | 1.99 |
| p | 0.03 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.00 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.46 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.00 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.46 |
| Sortino ratio | 1.12 |
| Upside Potential Ratio | 2.52 |
| Upside part of mean | 0.25 |
| Downside part of mean | -0.14 |
| Upside SD | 0.12 |
| Downside SD | 0.10 |
| N nonnegative terms | 61 |
| N negative terms | 27 |
| N of observations | 88 |
| Mean of predictor | 0.21 |
| Mean of criterion | 0.11 |
| SD of predictor | 0.22 |
| SD of criterion | 0.15 |
| Covariance | 0.02 |
| r | 0.70 |
| b (slope, estimate of beta) | 0.48 |
| a (intercept, estimate of alpha) | 0.01 |
| Mean Square Error | 0.01 |
| DF error | 86 |
| t(b) | 8.97 |
| p(b) | 0 |
| t(a) | 0.28 |
| p(a) | 0.39 |
| Lowerbound of 95% confidence interval for beta | 0.37 |
| Upperbound of 95% confidence interval for beta | 0.59 |
| Lowerbound of 95% confidence interval for alpha | -0.07 |
| Upperbound of 95% confidence interval for alpha | 0.10 |
| Treynor index (mean / b) | 0.23 |
| Jensen alpha (a) | 0.01 |
| Mean | 0.10 |
| SD | 0.15 |
| Sharpe ratio (Glass type estimate) | 0.65 |
| Sharpe ratio (Hedges UMVUE) | 0.65 |
| df | 87 |
| t | 1.77 |
| p | 0.04 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.08 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.38 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.08 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.38 |
| Sortino ratio | 0.95 |
| Upside Potential Ratio | 2.34 |
| Upside part of mean | 0.25 |
| Downside part of mean | -0.15 |
| Upside SD | 0.11 |
| Downside SD | 0.11 |
| N nonnegative terms | 61 |
| N negative terms | 27 |
| N of observations | 88 |
| Mean of predictor | 0.18 |
| Mean of criterion | 0.10 |
| SD of predictor | 0.20 |
| SD of criterion | 0.15 |
| Covariance | 0.02 |
| r | 0.71 |
| b (slope, estimate of beta) | 0.53 |
| a (intercept, estimate of alpha) | 0.00 |
| Mean Square Error | 0.01 |
| DF error | 86 |
| t(b) | 9.32 |
| p(b) | 0 |
| t(a) | 0.05 |
| p(a) | 0.48 |
| Lowerbound of 95% confidence interval for beta | 0.42 |
| Upperbound of 95% confidence interval for beta | 0.64 |
| Lowerbound of 95% confidence interval for alpha | -0.08 |
| Upperbound of 95% confidence interval for alpha | 0.08 |
| Treynor index (mean / b) | 0.19 |
| Jensen alpha (a) | 0.00 |
| VaR(95%) | 0.06 |
| Expected Shortfall on VaR | 0.08 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.04 |
| Mean | 0.11 |
| SD | 0.15 |
| Sharpe ratio (Glass type estimate) | 0.73 |
| Sharpe ratio (Hedges UMVUE) | 0.73 |
| df | 1932 |
| t | 1.98 |
| p | 0.48 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.01 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.45 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.01 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.45 |
| Sortino ratio | 0.97 |
| Upside Potential Ratio | 6.60 |
| Upside part of mean | 0.74 |
| Downside part of mean | -0.63 |
| Upside SD | 0.10 |
| Downside SD | 0.11 |
| N nonnegative terms | 1103 |
| N negative terms | 830 |
| N of observations | 1933 |
| Mean of predictor | 0.22 |
| Mean of criterion | 0.11 |
| SD of predictor | 0.23 |
| SD of criterion | 0.15 |
| Covariance | 0.01 |
| r | 0.42 |
| b (slope, estimate of beta) | 0.28 |
| a (intercept, estimate of alpha) | 0.05 |
| Mean Square Error | 0.02 |
| DF error | 1931 |
| t(b) | 20.15 |
| p(b) | 0.24 |
| t(a) | 0.97 |
| p(a) | 0.49 |
| Lowerbound of 95% confidence interval for beta | 0.25 |
| Upperbound of 95% confidence interval for beta | 0.30 |
| Lowerbound of 95% confidence interval for alpha | -0.05 |
| Upperbound of 95% confidence interval for alpha | 0.15 |
| Treynor index (mean / b) | 0.40 |
| Jensen alpha (a) | 0.05 |
| Mean | 0.10 |
| SD | 0.15 |
| Sharpe ratio (Glass type estimate) | 0.65 |
| Sharpe ratio (Hedges UMVUE) | 0.65 |
| df | 1932 |
| t | 1.76 |
| p | 0.48 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.07 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.37 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.07 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.37 |
| Sortino ratio | 0.85 |
| Upside Potential Ratio | 6.40 |
| Upside part of mean | 0.74 |
| Downside part of mean | -0.64 |
| Upside SD | 0.10 |
| Downside SD | 0.12 |
| N nonnegative terms | 1103 |
| N negative terms | 830 |
| N of observations | 1933 |
| Mean of predictor | 0.19 |
| Mean of criterion | 0.10 |
| SD of predictor | 0.24 |
| SD of criterion | 0.15 |
| Covariance | 0.02 |
| r | 0.42 |
| b (slope, estimate of beta) | 0.27 |
| a (intercept, estimate of alpha) | 0.05 |
| Mean Square Error | 0.02 |
| DF error | 1931 |
| t(b) | 20.45 |
| p(b) | 0.24 |
| t(a) | 0.90 |
| p(a) | 0.49 |
| Lowerbound of 95% confidence interval for beta | 0.24 |
| Upperbound of 95% confidence interval for beta | 0.30 |
| Lowerbound of 95% confidence interval for alpha | -0.05 |
| Upperbound of 95% confidence interval for alpha | 0.15 |
| Treynor index (mean / b) | 0.36 |
| Jensen alpha (a) | 0.05 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.01 |
| Mean | 0.23 |
| SD | 0.14 |
| Sharpe ratio (Glass type estimate) | 1.64 |
| Sharpe ratio (Hedges UMVUE) | 1.63 |
| df | 130 |
| t | 1.16 |
| p | 0.45 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.14 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.42 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.15 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.41 |
| Sortino ratio | 2.37 |
| Upside Potential Ratio | 9.11 |
| Upside part of mean | 0.89 |
| Downside part of mean | -0.66 |
| Upside SD | 0.10 |
| Downside SD | 0.10 |
| N nonnegative terms | 75 |
| N negative terms | 56 |
| N of observations | 131 |
| Mean of predictor | 1.04 |
| Mean of criterion | 0.23 |
| SD of predictor | 0.50 |
| SD of criterion | 0.14 |
| Covariance | 0.04 |
| r | 0.50 |
| b (slope, estimate of beta) | 0.14 |
| a (intercept, estimate of alpha) | 0.08 |
| Mean Square Error | 0.01 |
| DF error | 129 |
| t(b) | 6.57 |
| p(b) | 0.20 |
| t(a) | 0.49 |
| p(a) | 0.47 |
| Lowerbound of 95% confidence interval for beta | 0.10 |
| Upperbound of 95% confidence interval for beta | 0.18 |
| Lowerbound of 95% confidence interval for alpha | -0.26 |
| Upperbound of 95% confidence interval for alpha | 0.43 |
| Treynor index (mean / b) | 1.64 |
| Jensen alpha (a) | 0.08 |
| Mean | 0.22 |
| SD | 0.14 |
| Sharpe ratio (Glass type estimate) | 1.57 |
| Sharpe ratio (Hedges UMVUE) | 1.56 |
| df | 130 |
| t | 1.11 |
| p | 0.45 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.21 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.34 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.22 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.34 |
| Sortino ratio | 2.24 |
| Upside Potential Ratio | 8.96 |
| Upside part of mean | 0.88 |
| Downside part of mean | -0.66 |
| Upside SD | 0.10 |
| Downside SD | 0.10 |
| N nonnegative terms | 75 |
| N negative terms | 56 |
| N of observations | 131 |
| Mean of predictor | 0.91 |
| Mean of criterion | 0.22 |
| SD of predictor | 0.51 |
| SD of criterion | 0.14 |
| Covariance | 0.04 |
| r | 0.50 |
| b (slope, estimate of beta) | 0.14 |
| a (intercept, estimate of alpha) | 0.09 |
| Mean Square Error | 0.01 |
| DF error | 129 |
| t(b) | 6.61 |
| p(b) | 0.19 |
| t(a) | 0.54 |
| p(a) | 0.47 |
| Lowerbound of 95% confidence interval for beta | 0.10 |
| VAR (95 Confidence Intrvl) | 0.01 |
| Upperbound of 95% confidence interval for beta | 0.18 |
| Lowerbound of 95% confidence interval for alpha | -0.25 |
| Upperbound of 95% confidence interval for alpha | 0.44 |
| Treynor index (mean / b) | 1.58 |
| Jensen alpha (a) | 0.09 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
ORDER STATISTICS
| Number of observations | 88 |
|---|---|
| Minimum | 0.88 |
| Quartile 1 | 1.00 |
| Median | 1.02 |
| Quartile 3 | 1.03 |
| Maximum | 1.14 |
| Mean of quarter 1 | 0.96 |
| Mean of quarter 2 | 1.01 |
| Mean of quarter 3 | 1.02 |
| Mean of quarter 4 | 1.06 |
| Inter Quartile Range | 0.04 |
| Number outliers low | 5 |
| Percentage of outliers low | 0.06 |
| Mean of outliers low | 0.90 |
| Number of outliers high | 4 |
| Percentage of outliers high | 0.05 |
| Mean of outliers high | 1.11 |
| Extreme Value Index (moments method) | -0.93 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.02 |
| Extreme Value Index (regression method) | -0.52 |
| VaR(95%) (regression method) | 0.06 |
| Expected Shortfall (regression method) | 0.07 |
| Number of observations | 1933 |
| Minimum | 0.89 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.00 |
| Maximum | 1.06 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 134 |
| Percentage of outliers low | 0.07 |
| Mean of outliers low | 0.98 |
| Number of outliers high | 117 |
| Percentage of outliers high | 0.06 |
| Mean of outliers high | 1.02 |
| Extreme Value Index (moments method) | 0.58 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.02 |
| Extreme Value Index (regression method) | 0.34 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.01 |
| Number of observations | 131 |
| Minimum | 0.97 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.00 |
| Maximum | 1.03 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 9 |
| Percentage of outliers low | 0.07 |
| Mean of outliers low | 0.98 |
| Number of outliers high | 5 |
| Percentage of outliers high | 0.04 |
| Mean of outliers high | 1.02 |
| Extreme Value Index (moments method) | 0.43 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.02 |
| Extreme Value Index (regression method) | 0.38 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.01 |
DRAW DOWN STATISTICS
| Number of observations | 12 |
|---|---|
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.04 |
| Quartile 3 | 0.06 |
| Maximum | 0.29 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.02 |
| Mean of quarter 3 | 0.05 |
| Mean of quarter 4 | 0.16 |
| Inter Quartile Range | 0.06 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.08 |
| Mean of outliers high | 0.29 |
| Extreme Value Index (moments method) | -0.26 |
| VaR(95%) (moments method) | 0.16 |
| Expected Shortfall (moments method) | 0.21 |
| Extreme Value Index (regression method) | 1.33 |
| VaR(95%) (regression method) | 0.28 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 115 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.00 |
| Quartile 3 | 0.01 |
| Maximum | 0.35 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.00 |
| Mean of quarter 3 | 0.01 |
| Mean of quarter 4 | 0.05 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 15 |
| Percentage of outliers high | 0.13 |
| Mean of outliers high | 0.09 |
| Extreme Value Index (moments method) | 0.70 |
| VaR(95%) (moments method) | 0.05 |
| Expected Shortfall (moments method) | 0.19 |
| Extreme Value Index (regression method) | 0.65 |
| VaR(95%) (regression method) | 0.05 |
| Expected Shortfall (regression method) | 0.17 |
| Number of observations | 11 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.00 |
| Quartile 3 | 0.03 |
| Maximum | 0.06 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.00 |
| Mean of quarter 3 | 0.01 |
| Mean of quarter 4 | 0.05 |
| Inter Quartile Range | 0.03 |
| 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) | -0.65 |
| VaR(95%) (moments method) | 0.06 |
| Expected Shortfall (moments method) | 0.06 |
| Extreme Value Index (regression method) | 0.85 |
| VaR(95%) (regression method) | 0.07 |
| Expected Shortfall (regression method) | 0.27 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -556273152 |
| Max Equity Drawdown (num days) | 335 |
| Last 4 Months - Pcnt Negative | 0.5% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.21 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.14 |
| Calmar ratio (compounded annual return / max draw down) | 0.47 |
| Compounded annual return / average of 25% largest draw downs | 0.86 |
| Compounded annual return / Expected Shortfall lognormal | 1.72 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.21 |
| Compounded annual return (geometric extrapolation) | 0.13 |
| Calmar ratio (compounded annual return / max draw down) | 0.38 |
| Compounded annual return / average of 25% largest draw downs | 2.48 |
| Compounded annual return / Expected Shortfall lognormal | 7.16 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.26 |
| Compounded annual return (geometric extrapolation) | 0.28 |
| Calmar ratio (compounded annual return / max draw down) | 4.37 |
| Compounded annual return / average of 25% largest draw downs | 5.66 |
| Compounded annual return / Expected Shortfall lognormal | 16.66 |
Trading record
Placed 342 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| SPY2018X270 | long | 1 | Aug 17, 2018 | Dec 19, 2020 | ($1,948) |
| SPY2018X350 | short | 1 | Aug 17, 2018 | Dec 19, 2020 | $6,546 |
| MSFT1918P95 | short | 2 | Aug 21, 2018 | Apr 19, 2019 | $549 |
| MSFT1918P90 | long | 2 | Aug 21, 2018 | Apr 19, 2019 | ($362) |
| DWDP | short | 300 | Mar 16, 2019 | Mar 16, 2019 | ($1,506) |
| DWDP1915O62.5 | short | 3 | Aug 21, 2018 | Mar 16, 2019 | $703 |
| DWDP1915O57.5 | long | 3 | Aug 21, 2018 | Mar 16, 2019 | ($374) |
| SUM | short | 400 | Feb 16, 2019 | Feb 16, 2019 | ($2,008) |
| PCAR1915N58 | long | 2 | Aug 21, 2018 | Feb 16, 2019 | ($321) |
| SUM1915N22.5 | short | 4 | Jul 30, 2018 | Feb 16, 2019 | $537 |
| PCAR1915N63 | short | 2 | Aug 21, 2018 | Feb 16, 2019 | $569 |
| SUM1915N17.5 | long | 4 | Jul 30, 2018 | Feb 16, 2019 | ($163) |
| PM | long | 200 | Jan 19, 2019 | Feb 1, 2019 | $164 |
| BUD | long | 200 | Jan 19, 2019 | Jan 19, 2019 | ($1,004) |
| FB | short | 170 | Jan 19, 2019 | Jan 19, 2019 | ($853) |
| FB | long | 100 | Sep 22, 2018 | Jan 19, 2019 | $177 |
| GD | short | 200 | Jan 19, 2019 | Jan 19, 2019 | ($1,004) |
| KHC | long | 300 | Jan 19, 2019 | Jan 19, 2019 | ($1,506) |
| MHK | short | 100 | Jan 19, 2019 | Jan 19, 2019 | ($502) |
| MHK1918M165 | short | 1 | Jul 30, 2018 | Jan 19, 2019 | $524 |
| AAPL | long | 100 | Jan 19, 2019 | Jan 19, 2019 | ($502) |
| T1918M25 | long | 8 | Aug 17, 2018 | Jan 19, 2019 | ($94) |
| MHK1918M160 | long | 1 | Jul 30, 2018 | Jan 19, 2019 | ($436) |
| T1918M30 | short | 8 | Aug 17, 2018 | Jan 19, 2019 | $490 |
| WBC | long | 100 | Dec 22, 2018 | Dec 22, 2018 | ($502) |
| SPY | long | 200 | Dec 22, 2018 | Dec 22, 2018 | ($1,004) |
| PCAR | long | 100 | Aug 18, 2018 | Sep 25, 2018 | ($74) |
| WFC | short | 200 | Sep 22, 2018 | Sep 22, 2018 | ($1,004) |
| BRKB2017M185 | long | 1 | Aug 17, 2018 | Aug 17, 2018 | ($12) |
| SPY1920X270 | long | 1 | Aug 16, 2018 | Aug 16, 2018 | ($11) |
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.