DailyMiner
- hypothetical · Annual Return (Compounded)
- 2.5%
- Max Drawdown
- 25.4%
- Trades
- 957
- Win Trades
- 53.7%
- Profit Factor
- 1.10
- Win Months
- 6.7%
About this strategy
We are trading futures with the help of advanced machine learning techniques.
We have created a portfolio of trading systems that have made steady profits on historical data in both bull and bear markets. Out of these systems we choose the best ones for DailyMiner.
DailyMiner uses up to seven individual systems, hence it takes positions in up to seven instruments at once. The instruments that it trades will change from time to time when we replace systems.
By trading many systems at once, the resulting equity curve should in theory be smoother and more robust than if we were trading only one system. If one of our systems has a bad trade, its losses should hopefully be cancelled out by the winnings of the others. Note that prior to October 2013, only E-mini SP500 futures were traded.
Each individual system has a built-in stop-loss at 3-6% of instrument value. We try to choose our positions in such a way that it minimizes the chance of more than one stop-loss being triggered at once.
The systems do not use any tricks to artificially improve the equity curve. They do not add to losing positions or do any other kind of scaling in and out of the trades. No pyramiding, no martingale.
Please do not subscribe if you cannot handle the drawdowns. We frequently see some subscribers causing themselves losses or limiting their profits by unsubscribing when their first drawdown comes. If you decide to subscribe, we recommend that you make a commitment for at least three months and do not try to increase your returns by overleveraging.
The regular subscription price is $149/month but we are giving a discount right now. We will sometimes have free trials.
We have created a portfolio of trading systems that have made steady profits on historical data in both bull and bear markets. Out of these systems we choose the best ones for DailyMiner.
DailyMiner uses up to seven individual systems, hence it takes positions in up to seven instruments at once. The instruments that it trades will change from time to time when we replace systems.
By trading many systems at once, the resulting equity curve should in theory be smoother and more robust than if we were trading only one system. If one of our systems has a bad trade, its losses should hopefully be cancelled out by the winnings of the others. Note that prior to October 2013, only E-mini SP500 futures were traded.
Each individual system has a built-in stop-loss at 3-6% of instrument value. We try to choose our positions in such a way that it minimizes the chance of more than one stop-loss being triggered at once.
The systems do not use any tricks to artificially improve the equity curve. They do not add to losing positions or do any other kind of scaling in and out of the trades. No pyramiding, no martingale.
Please do not subscribe if you cannot handle the drawdowns. We frequently see some subscribers causing themselves losses or limiting their profits by unsubscribing when their first drawdown comes. If you decide to subscribe, we recommend that you make a commitment for at least three months and do not try to increase your returns by overleveraging.
The regular subscription price is $149/month but we are giving a discount right now. We will sometimes have free trials.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2016 | -9.2 | -2.6 | -11.6 | ||||||||||
| 2017 | -0.7 | -0.6 | 0.5 | -0.5 | -0.3 | -0.3 | -0.2 | -0.4 | -0.3 | -0.3 | -6.5 | 1.1 | -8.6 |
| 2018 | -15.9 | 8.1 | 5.0 | 0.4 | -1.9 | -5.7 | 19.0 | -12.8 | 8.2 | 73.7 | 0.0 | 0.0 | 73.0 |
| 2019 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2020 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2021 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2022 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2023 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2024 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2025 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2026 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
Statistics
Overview
| Strategy began | 4/15/2013 |
|---|---|
| Suggested Minimum Capital | $50,000 |
| Age | 163 months |
| What it trades | Futures |
| # Trades | 957 |
| # Profitable | 514 |
| % Profitable | 53.7% |
| Avg trade duration | 6.6 days |
| Max peak-to-valley drawdown | 25.4% |
| drawdown period | Dec 02, 2016 - Jan 30, 2018 |
| Annual Return (Compounded) | 2.5% |
| Avg win | $797 |
| Avg loss | $862 |
Ratios
| W:L ratio | 1.07 |
|---|---|
| Sharpe Ratio | 0.16 |
| Sortino Ratio | 0.63 |
| Calmar Ratio | 0.86 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.00 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 393.2% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -357.4% |
Return Statistics
| Ann Return (w trading costs) | 2.5% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 3.4% |
Slump
| Current Slump as Pcnt Equity | 23.2% |
|---|---|
| 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 | 66.5% |
|---|---|
| Chance of 20% account loss | 31.0% |
| Chance of 30% account loss | 4.5% |
| Chance of 40% account loss | 2.0% |
| 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) | 100.0% |
Automation
| Percentage Signals Automated | 0.1% |
|---|
Popularity
| Popularity (Today) | 0 |
|---|---|
| Popularity (Last 6 weeks) | 0 |
| 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 | $862 |
|---|---|
| Avg Win | $797 |
| # Winners | 514 |
| Sum Trade PL (losers) | $381,670 |
| Sum Trade PL (winners) | $409,772 |
| Num Months Winners | 9 |
| # Losers | 443 |
| % Winners | 53.7% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 119 |
|---|
Frequency
| Avg Position Time (mins) | 9560.23 |
|---|---|
| Avg Position Time (hrs) | 159.34 |
| Avg Trade Length | 6.60 |
| Last Trade Ago | 2888 |
Regression
| Alpha | 0.01 |
|---|---|
| Beta | 0.01 |
| Treynor Index | 2.31 |
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 | 0.01 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 51.70 |
| MAE:PL (avg, all trades) | -0.23 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 49.45 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 44.16 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.54 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.44 |
| Hold-and-Hope Ratio | 0.02 |
RATIO STATISTICS
| Mean | 0.19 |
|---|---|
| SD | 0.44 |
| Sharpe ratio (Glass type estimate) | 0.43 |
| Sharpe ratio (Hedges UMVUE) | 0.42 |
| df | 35 |
| t | 0.74 |
| p | 0.23 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.71 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.56 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.72 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.55 |
| Sortino ratio | 1.83 |
| Upside Potential Ratio | 2.95 |
| Upside part of mean | 0.30 |
| Downside part of mean | -0.12 |
| Upside SD | 0.43 |
| Downside SD | 0.10 |
| N nonnegative terms | 9 |
| N negative terms | 27 |
| N of observations | 36 |
| Mean of predictor | 0.39 |
| Mean of criterion | 0.19 |
| SD of predictor | 0.26 |
| SD of criterion | 0.44 |
| Covariance | -0.04 |
| r | -0.30 |
| b (slope, estimate of beta) | -0.51 |
| a (intercept, estimate of alpha) | 0.39 |
| Mean Square Error | 0.18 |
| DF error | 34 |
| t(b) | -1.86 |
| p(b) | 0.96 |
| t(a) | 1.44 |
| p(a) | 0.08 |
| Lowerbound of 95% confidence interval for beta | -1.06 |
| Upperbound of 95% confidence interval for beta | 0.05 |
| Lowerbound of 95% confidence interval for alpha | -0.16 |
| Upperbound of 95% confidence interval for alpha | 0.93 |
| Treynor index (mean / b) | -0.37 |
| Jensen alpha (a) | 0.39 |
| Mean | 0.12 |
| SD | 0.34 |
| Sharpe ratio (Glass type estimate) | 0.35 |
| Sharpe ratio (Hedges UMVUE) | 0.35 |
| df | 35 |
| t | 0.61 |
| p | 0.27 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.78 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.49 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.79 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.48 |
| Sortino ratio | 1.10 |
| Upside Potential Ratio | 2.20 |
| Upside part of mean | 0.24 |
| Downside part of mean | -0.12 |
| Upside SD | 0.32 |
| Downside SD | 0.11 |
| N nonnegative terms | 9 |
| N negative terms | 27 |
| N of observations | 36 |
| Mean of predictor | 0.35 |
| Mean of criterion | 0.12 |
| SD of predictor | 0.25 |
| SD of criterion | 0.34 |
| Covariance | -0.03 |
| r | -0.32 |
| b (slope, estimate of beta) | -0.44 |
| a (intercept, estimate of alpha) | 0.27 |
| Mean Square Error | 0.11 |
| DF error | 34 |
| t(b) | -1.97 |
| p(b) | 0.97 |
| t(a) | 1.34 |
| p(a) | 0.09 |
| Lowerbound of 95% confidence interval for beta | -0.89 |
| Upperbound of 95% confidence interval for beta | 0.01 |
| Lowerbound of 95% confidence interval for alpha | -0.14 |
| Upperbound of 95% confidence interval for alpha | 0.69 |
| Treynor index (mean / b) | -0.28 |
| Jensen alpha (a) | 0.27 |
| VaR(95%) | 0.14 |
| Expected Shortfall on VaR | 0.18 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.06 |
| Mean | 0.19 |
| SD | 0.44 |
| Sharpe ratio (Glass type estimate) | 0.43 |
| Sharpe ratio (Hedges UMVUE) | 0.43 |
| df | 793 |
| t | 0.75 |
| p | 0.23 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.70 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.56 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.70 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.56 |
| Sortino ratio | 1.69 |
| Upside Potential Ratio | 4.52 |
| Upside part of mean | 0.51 |
| Downside part of mean | -0.32 |
| Upside SD | 0.43 |
| Downside SD | 0.11 |
| N nonnegative terms | 52 |
| N negative terms | 742 |
| N of observations | 794 |
| Mean of predictor | 0.44 |
| Mean of criterion | 0.19 |
| SD of predictor | 0.33 |
| SD of criterion | 0.44 |
| Covariance | 0.00 |
| r | 0.00 |
| b (slope, estimate of beta) | 0.00 |
| a (intercept, estimate of alpha) | 0.19 |
| Mean Square Error | 0.20 |
| DF error | 792 |
| t(b) | 0.07 |
| p(b) | 0.47 |
| t(a) | 0.74 |
| p(a) | 0.23 |
| Lowerbound of 95% confidence interval for beta | -0.09 |
| Upperbound of 95% confidence interval for beta | 0.10 |
| Lowerbound of 95% confidence interval for alpha | -0.31 |
| Upperbound of 95% confidence interval for alpha | 0.69 |
| Treynor index (mean / b) | 59.09 |
| Jensen alpha (a) | 0.19 |
| Mean | 0.12 |
| SD | 0.35 |
| Sharpe ratio (Glass type estimate) | 0.34 |
| Sharpe ratio (Hedges UMVUE) | 0.34 |
| df | 793 |
| t | 0.59 |
| p | 0.28 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.78 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.47 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.79 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.47 |
| Sortino ratio | 1.02 |
| Upside Potential Ratio | 3.82 |
| Upside part of mean | 0.44 |
| Downside part of mean | -0.33 |
| Upside SD | 0.33 |
| Downside SD | 0.12 |
| N nonnegative terms | 52 |
| N negative terms | 742 |
| N of observations | 794 |
| Mean of predictor | 0.39 |
| Mean of criterion | 0.12 |
| SD of predictor | 0.32 |
| SD of criterion | 0.35 |
| Covariance | 0.00 |
| r | 0.00 |
| b (slope, estimate of beta) | 0.00 |
| a (intercept, estimate of alpha) | 0.12 |
| Mean Square Error | 0.12 |
| DF error | 792 |
| t(b) | 0.13 |
| p(b) | 0.45 |
| t(a) | 0.58 |
| p(a) | 0.28 |
| Lowerbound of 95% confidence interval for beta | -0.07 |
| Upperbound of 95% confidence interval for beta | 0.08 |
| Lowerbound of 95% confidence interval for alpha | -0.28 |
| Upperbound of 95% confidence interval for alpha | 0.51 |
| Treynor index (mean / b) | 24.00 |
| Jensen alpha (a) | 0.12 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.04 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.01 |
| Mean | -0.03 |
| SD | 0 |
| Sharpe ratio (Glass type estimate) | 0 |
| Sharpe ratio (Hedges UMVUE) | 0 |
| df | 0 |
| t | 0 |
| p | 0 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0 |
| Sortino ratio | -16.19 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | -0.03 |
| Upside SD | 0 |
| Downside SD | 0.00 |
| N nonnegative terms | 0 |
| N negative terms | 131 |
| N of observations | 131 |
| Mean of predictor | 1.09 |
| Mean of criterion | -0.03 |
| SD of predictor | 0.52 |
| SD of criterion | 0 |
| Covariance | 0 |
| r | 0 |
| b (slope, estimate of beta) | 0 |
| a (intercept, estimate of alpha) | 0 |
| Mean Square Error | 0 |
| DF error | 0 |
| t(b) | 0 |
| p(b) | 0 |
| t(a) | 0 |
| p(a) | 0 |
| Lowerbound of 95% confidence interval for beta | 0 |
| Upperbound of 95% confidence interval for beta | 0 |
| Lowerbound of 95% confidence interval for alpha | 0 |
| Upperbound of 95% confidence interval for alpha | 0 |
| Treynor index (mean / b) | 0 |
| Jensen alpha (a) | 0 |
| Mean | -0.03 |
| SD | 0 |
| Sharpe ratio (Glass type estimate) | -9.74841826823373e+15 |
| Sharpe ratio (Hedges UMVUE) | -9.69206937105203e+15 |
| df | 130 |
| t | -6893172865105920 |
| p | 1 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.08701574255084e+16 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | -8513981316595712 |
| Sortino ratio | -16.19 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | -0.03 |
| Upside SD | 0 |
| Downside SD | 0.00 |
| N nonnegative terms | 0 |
| N negative terms | 131 |
| N of observations | 131 |
| Mean of predictor | 0.95 |
| Mean of criterion | -0.03 |
| SD of predictor | 0.52 |
| SD of criterion | 0 |
| Covariance | 0 |
| r | 0 |
| b (slope, estimate of beta) | 0 |
| a (intercept, estimate of alpha) | -0.03 |
| Mean Square Error | 0 |
| DF error | 129 |
| t(b) | 0 |
| p(b) | 0.50 |
| t(a) | -6822244701437952 |
| p(a) | 1 |
| Lowerbound of 95% confidence interval for beta | 0 |
| VAR (95 Confidence Intrvl) | 0.03 |
| Upperbound of 95% confidence interval for beta | 0 |
| Lowerbound of 95% confidence interval for alpha | -0.03 |
| Upperbound of 95% confidence interval for alpha | -0.03 |
| Treynor index (mean / b) | -1.02955082248788e+32 |
| Jensen alpha (a) | -0.03 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.00 |
| VaR(95%) | 0 |
| Expected Shortfall on VaR | 0 |
ORDER STATISTICS
| Number of observations | 36 |
|---|---|
| Minimum | 0.86 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1.00 |
| Maximum | 1.74 |
| Mean of quarter 1 | 0.97 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.10 |
| Inter Quartile Range | 0.00 |
| Number outliers low | 6 |
| Percentage of outliers low | 0.17 |
| Mean of outliers low | 0.95 |
| Number of outliers high | 9 |
| Percentage of outliers high | 0.25 |
| Mean of outliers high | 1.10 |
| Extreme Value Index (moments method) | -0.90 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.00 |
| Extreme Value Index (regression method) | 0.68 |
| VaR(95%) (regression method) | 0.02 |
| Expected Shortfall (regression method) | 0.09 |
| Number of observations | 794 |
| Minimum | 0.90 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.71 |
| Mean of quarter 1 | 1.00 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0 |
| Number outliers low | 49 |
| Percentage of outliers low | 0.06 |
| Mean of outliers low | 0.98 |
| Number of outliers high | 52 |
| Percentage of outliers high | 0.07 |
| Mean of outliers high | 1.03 |
| Extreme Value Index (moments method) | 0.39 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.00 |
| Extreme Value Index (regression method) | 0.25 |
| VaR(95%) (regression method) | 0.00 |
| Expected Shortfall (regression method) | 0.01 |
| Number of observations | 131 |
| Minimum | 1 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1 |
| Mean of quarter 1 | 1 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1 |
| Inter Quartile Range | 0 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
DRAW DOWN STATISTICS
| Number of observations | 2 |
|---|---|
| Minimum | 0.11 |
| Quartile 1 | 0.12 |
| Median | 0.13 |
| Quartile 3 | 0.14 |
| Maximum | 0.14 |
| Mean of quarter 1 | 0.11 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.14 |
| Inter Quartile Range | 0.02 |
| 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 | 4 |
| Minimum | 0.00 |
| Quartile 1 | 0.09 |
| Median | 0.14 |
| Quartile 3 | 0.17 |
| Maximum | 0.18 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.12 |
| Mean of quarter 3 | 0.16 |
| Mean of quarter 4 | 0.18 |
| Inter Quartile Range | 0.08 |
| 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 | 0 |
| Minimum | 0 |
| Quartile 1 | 0 |
| Median | 0 |
| Quartile 3 | 0 |
| Maximum | 0 |
| Mean of quarter 1 | 0 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0 |
| Inter Quartile Range | 0 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -420986048 |
| Max Equity Drawdown (num days) | 424 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.19 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.16 |
| Calmar ratio (compounded annual return / max draw down) | 1.12 |
| Compounded annual return / average of 25% largest draw downs | 1.12 |
| Compounded annual return / Expected Shortfall lognormal | 0.91 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.19 |
| Compounded annual return (geometric extrapolation) | 0.16 |
| Calmar ratio (compounded annual return / max draw down) | 0.86 |
| Compounded annual return / average of 25% largest draw downs | 0.86 |
| Compounded annual return / Expected Shortfall lognormal | 3.68 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0 |
| Compounded annual return (geometric extrapolation) | 0 |
| Calmar ratio (compounded annual return / max draw down) | 0 |
| Compounded annual return / average of 25% largest draw downs | 0 |
| Compounded annual return / Expected Shortfall lognormal | 0 |
Trading record
Placed 784 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| NQ Z8 | short | 1 | Oct 11, 2018 | Oct 11, 2018 | $32 |
| NQ Z8 | long | 1 | Oct 8, 2018 | Oct 11, 2018 | ($7,903) |
| ME Z8 | short | 1 | Oct 4, 2018 | Oct 11, 2018 | ($371) |
| ES Z8 | long | 1 | Oct 4, 2018 | Oct 11, 2018 | ($7,133) |
| QO Z8 | short | 1 | Oct 3, 2018 | Oct 11, 2018 | ($258) |
| NQ Z8 | short | 1 | Oct 4, 2018 | Oct 8, 2018 | $2,602 |
| TY Z8 | short | 1 | Oct 3, 2018 | Oct 8, 2018 | $273 |
| ES Z8 | short | 1 | Oct 3, 2018 | Oct 4, 2018 | $717 |
| QM X8 | short | 1 | Oct 3, 2018 | Oct 4, 2018 | $742 |
| ES Z8 | short | 1 | Sep 30, 2018 | Oct 2, 2018 | $67 |
| TY Z8 | long | 1 | Sep 26, 2018 | Oct 2, 2018 | ($55) |
| QM X8 | long | 1 | Sep 30, 2018 | Oct 1, 2018 | $1,430 |
| ME Z8 | short | 1 | Sep 27, 2018 | Sep 30, 2018 | $205 |
| QM X8 | long | 1 | Sep 24, 2018 | Sep 25, 2018 | ($146) |
| ME Z8 | long | 1 | Sep 23, 2018 | Sep 25, 2018 | $98 |
| ES Z8 | short | 1 | Sep 23, 2018 | Sep 24, 2018 | ($46) |
| QM X8 | long | 1 | Sep 19, 2018 | Sep 23, 2018 | $317 |
| NQ U8 | long | 1 | Sep 9, 2018 | Sep 21, 2018 | $2,907 |
| ME Z8 | long | 1 | Sep 18, 2018 | Sep 19, 2018 | ($64) |
| QM X8 | short | 1 | Sep 18, 2018 | Sep 19, 2018 | ($708) |
| QO Z8 | short | 1 | Sep 11, 2018 | Sep 18, 2018 | ($8) |
| ME U8 | short | 1 | Aug 20, 2018 | Sep 17, 2018 | ($1,046) |
| ES U8 | long | 1 | Sep 9, 2018 | Sep 16, 2018 | $1,330 |
| QO Z8 | long | 1 | Aug 21, 2018 | Sep 11, 2018 | $30 |
| NQ U8 | long | 1 | Aug 15, 2018 | Sep 6, 2018 | $1,537 |
| TY U8 | long | 1 | Aug 27, 2018 | Sep 2, 2018 | ($24) |
| ES U8 | short | 1 | Aug 19, 2018 | Aug 20, 2018 | ($196) |
| ME U8 | long | 1 | Aug 15, 2018 | Aug 20, 2018 | $873 |
| ES U8 | long | 1 | Aug 15, 2018 | Aug 19, 2018 | $1,580 |
| ME U8 | short | 1 | Aug 14, 2018 | Aug 15, 2018 | $17 |
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.