FuturesX
- hypothetical · Annual Return (Compounded)
- 4.3%
- Max Drawdown
- 20.9%
- Trades
- 372
- Win Trades
- 47.8%
- Profit Factor
- 1.30
- Win Months
- 7.0%
About this strategy
The FuturesX System is a trend following, technical system that trades in all futures markets. I use non-correlated indicators to enter long/short trades that I have tested and developed myself over the past year. Positions are traded daily and are held for multiple days and as long as weeks. Positions are opened always as limit orders with a profit target and stop loss. My trading style is extremely selective - I only enter the market when probability of a reasonable profit is very high. I stay in the market only long enough to achieve the profit thus minimizing prolonged exposure to adverse market volatility.
While no system can guarantee risk-free or low-risk trading, and while unforeseen events can cause you to lose all your money, we do make an effort to control risk. Due to the high volatility of the futures market and the amount of time I hold positions, considerable diligence is given to risk. Despite my efforts it is not unusual to see significant equity swings in our positions. Risk per trade is limited to 1.5% - 2% of account equity. I adjust stops and targets once a specific target is met on a trade thereby limiting potential for losses. I take considerable diligence in managing the system with the knowledge that people's hard earned money is being invested. I do not take lightly this responsibility.
Before subscribing or auto trading the system please ensure you have access to all future's markets so participation in all trades is assured.
I have four Collective2 systems that offer a diversified and non-correlated portfolio. I offer the following discounts if you subscribe to more than 1 system:
2 Systems - 299 per month
3 Systems - 399 per month
4 Systems - 499 per month
Please do not hesitate to contact me if you have any questions.
While no system can guarantee risk-free or low-risk trading, and while unforeseen events can cause you to lose all your money, we do make an effort to control risk. Due to the high volatility of the futures market and the amount of time I hold positions, considerable diligence is given to risk. Despite my efforts it is not unusual to see significant equity swings in our positions. Risk per trade is limited to 1.5% - 2% of account equity. I adjust stops and targets once a specific target is met on a trade thereby limiting potential for losses. I take considerable diligence in managing the system with the knowledge that people's hard earned money is being invested. I do not take lightly this responsibility.
Before subscribing or auto trading the system please ensure you have access to all future's markets so participation in all trades is assured.
I have four Collective2 systems that offer a diversified and non-correlated portfolio. I offer the following discounts if you subscribe to more than 1 system:
2 Systems - 299 per month
3 Systems - 399 per month
4 Systems - 499 per month
Please do not hesitate to contact me if you have any questions.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2013 | 12.2 | 8.9 | -9.6 | 0.2 | -1.7 | 8.7 | |||||||
| 2014 | 20.0 | -0.1 | 2.0 | -0.3 | -0.3 | -0.9 | 25.3 | 8.8 | -5.0 | 11.4 | -7.0 | 2.8 | 66.2 |
| 2015 | -4.9 | -7.4 | 15.5 | -0.1 | 1.3 | -5.9 | -0.2 | -0.2 | 0.0 | 0.0 | 0.0 | 0.0 | -3.5 |
| 2016 | 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 |
| 2017 | 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 |
| 2018 | 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 |
| 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 | 8/4/2013 |
|---|---|
| Suggested Minimum Capital | $50,000 |
| Age | 159 months |
| What it trades | Futures |
| # Trades | 372 |
| # Profitable | 178 |
| % Profitable | 47.8% |
| Avg trade duration | 5.0 days |
| Max peak-to-valley drawdown | 20.9% |
| drawdown period | Nov 03, 2014 - March 05, 2015 |
| Annual Return (Compounded) | 4.3% |
| Avg win | $1,072 |
| Avg loss | $737 |
Ratios
| W:L ratio | 1.33 |
|---|---|
| Sharpe Ratio | 0.26 |
| Sortino Ratio | 0.45 |
| Calmar Ratio | 1.29 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.01 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 347.9% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -270.6% |
Return Statistics
| Ann Return (w trading costs) | 4.3% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 5.2% |
Slump
| Current Slump as Pcnt Equity | 13.6% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.9% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 1.0% |
| Percent Trades Options | 0.0% |
| 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 | 6.7% |
| 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% |
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 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $737 |
|---|---|
| Avg Win | $1,072 |
| # Winners | 178 |
| Sum Trade PL (losers) | $143,066 |
| Sum Trade PL (winners) | $190,775 |
| Num Months Winners | 11 |
| # Losers | 194 |
| % Winners | 47.8% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 158 |
|---|
Frequency
| Avg Position Time (mins) | 7217.57 |
|---|---|
| Avg Position Time (hrs) | 120.29 |
| Avg Trade Length | 5 |
| Last Trade Ago | 4090 |
Regression
| Alpha | 0.01 |
|---|---|
| Beta | -0.01 |
| Treynor Index | -1.15 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.01 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.01 |
| MAE:Equity, average, losing trades | 0.01 |
| 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 | 5.14 |
| MAE:PL (avg, all trades) | -0.27 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 56.73 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 60.63 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.37 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.18 |
| Hold-and-Hope Ratio | 0.19 |
RATIO STATISTICS
| Mean | 0.17 |
|---|---|
| SD | 0.17 |
| Sharpe ratio (Glass type estimate) | 1.01 |
| Sharpe ratio (Hedges UMVUE) | 0.99 |
| df | 42 |
| t | 1.91 |
| p | 0.03 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.06 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.06 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.07 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.05 |
| Sortino ratio | 2.50 |
| Upside Potential Ratio | 3.81 |
| Upside part of mean | 0.27 |
| Downside part of mean | -0.09 |
| Upside SD | 0.16 |
| Downside SD | 0.07 |
| N nonnegative terms | 13 |
| N negative terms | 30 |
| N of observations | 43 |
| Mean of predictor | 0.42 |
| Mean of criterion | 0.17 |
| SD of predictor | 0.28 |
| SD of criterion | 0.17 |
| Covariance | -0.01 |
| r | -0.19 |
| b (slope, estimate of beta) | -0.12 |
| a (intercept, estimate of alpha) | 0.22 |
| Mean Square Error | 0.03 |
| DF error | 41 |
| t(b) | -1.24 |
| p(b) | 0.89 |
| t(a) | 2.26 |
| p(a) | 0.01 |
| Lowerbound of 95% confidence interval for beta | -0.30 |
| Upperbound of 95% confidence interval for beta | 0.07 |
| Lowerbound of 95% confidence interval for alpha | 0.02 |
| Upperbound of 95% confidence interval for alpha | 0.42 |
| Treynor index (mean / b) | -1.51 |
| Jensen alpha (a) | 0.22 |
| Mean | 0.16 |
| SD | 0.17 |
| Sharpe ratio (Glass type estimate) | 0.96 |
| Sharpe ratio (Hedges UMVUE) | 0.94 |
| df | 42 |
| t | 1.81 |
| p | 0.04 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.11 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.01 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.12 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.99 |
| Sortino ratio | 2.19 |
| Upside Potential Ratio | 3.48 |
| Upside part of mean | 0.25 |
| Downside part of mean | -0.09 |
| Upside SD | 0.15 |
| Downside SD | 0.07 |
| N nonnegative terms | 13 |
| N negative terms | 30 |
| N of observations | 43 |
| Mean of predictor | 0.38 |
| Mean of criterion | 0.16 |
| SD of predictor | 0.27 |
| SD of criterion | 0.17 |
| Covariance | -0.01 |
| r | -0.18 |
| b (slope, estimate of beta) | -0.11 |
| a (intercept, estimate of alpha) | 0.20 |
| Mean Square Error | 0.03 |
| DF error | 41 |
| t(b) | -1.19 |
| p(b) | 0.88 |
| t(a) | 2.13 |
| p(a) | 0.02 |
| Lowerbound of 95% confidence interval for beta | -0.30 |
| Upperbound of 95% confidence interval for beta | 0.08 |
| Lowerbound of 95% confidence interval for alpha | 0.01 |
| Upperbound of 95% confidence interval for alpha | 0.39 |
| Treynor index (mean / b) | -1.41 |
| Jensen alpha (a) | 0.20 |
| VaR(95%) | 0.06 |
| Expected Shortfall on VaR | 0.08 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.04 |
| Mean | 0.17 |
| SD | 0.15 |
| Sharpe ratio (Glass type estimate) | 1.13 |
| Sharpe ratio (Hedges UMVUE) | 1.13 |
| df | 941 |
| t | 2.15 |
| p | 0.02 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.10 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.17 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.10 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.17 |
| Sortino ratio | 2.03 |
| Upside Potential Ratio | 7.29 |
| Upside part of mean | 0.61 |
| Downside part of mean | -0.44 |
| Upside SD | 0.12 |
| Downside SD | 0.08 |
| N nonnegative terms | 190 |
| N negative terms | 752 |
| N of observations | 942 |
| Mean of predictor | 0.43 |
| Mean of criterion | 0.17 |
| SD of predictor | 0.28 |
| SD of criterion | 0.15 |
| Covariance | -0.00 |
| r | -0.03 |
| b (slope, estimate of beta) | -0.01 |
| a (intercept, estimate of alpha) | 0.17 |
| Mean Square Error | 0.02 |
| DF error | 940 |
| t(b) | -0.77 |
| p(b) | 0.78 |
| t(a) | 2.21 |
| p(a) | 0.01 |
| Lowerbound of 95% confidence interval for beta | -0.05 |
| Upperbound of 95% confidence interval for beta | 0.02 |
| Lowerbound of 95% confidence interval for alpha | 0.02 |
| Upperbound of 95% confidence interval for alpha | 0.33 |
| Treynor index (mean / b) | -12.55 |
| Jensen alpha (a) | 0.18 |
| Mean | 0.16 |
| SD | 0.15 |
| Sharpe ratio (Glass type estimate) | 1.07 |
| Sharpe ratio (Hedges UMVUE) | 1.07 |
| df | 941 |
| t | 2.03 |
| p | 0.02 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.03 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.10 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.03 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.10 |
| Sortino ratio | 1.88 |
| Upside Potential Ratio | 7.11 |
| Upside part of mean | 0.60 |
| Downside part of mean | -0.44 |
| Upside SD | 0.12 |
| Downside SD | 0.08 |
| N nonnegative terms | 190 |
| N negative terms | 752 |
| N of observations | 942 |
| Mean of predictor | 0.39 |
| Mean of criterion | 0.16 |
| SD of predictor | 0.28 |
| SD of criterion | 0.15 |
| Covariance | -0.00 |
| r | -0.02 |
| b (slope, estimate of beta) | -0.01 |
| a (intercept, estimate of alpha) | 0.16 |
| Mean Square Error | 0.02 |
| DF error | 940 |
| t(b) | -0.74 |
| p(b) | 0.77 |
| t(a) | 2.08 |
| p(a) | 0.02 |
| Lowerbound of 95% confidence interval for beta | -0.05 |
| Upperbound of 95% confidence interval for beta | 0.02 |
| Lowerbound of 95% confidence interval for alpha | 0.01 |
| Upperbound of 95% confidence interval for alpha | 0.32 |
| Treynor index (mean / b) | -12.39 |
| Jensen alpha (a) | 0.16 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| VaR(95%) | 0.01 |
| 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 | 0.48 |
| 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 | 0.96 |
| Mean of criterion | -0.03 |
| SD of predictor | 0.49 |
| 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) | -6816419115171840 |
| p(a) | 1 |
| Lowerbound of 95% confidence interval for beta | 0 |
| VAR (95 Confidence Intrvl) | 0.01 |
| 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) | -8.74309853283266e+31 |
| 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 | 43 |
|---|---|
| Minimum | 0.90 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1.03 |
| Maximum | 1.17 |
| Mean of quarter 1 | 0.98 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.09 |
| Inter Quartile Range | 0.03 |
| Number outliers low | 2 |
| Percentage of outliers low | 0.05 |
| Mean of outliers low | 0.92 |
| Number of outliers high | 5 |
| Percentage of outliers high | 0.12 |
| Mean of outliers high | 1.13 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0.23 |
| VaR(95%) (regression method) | 0.03 |
| Expected Shortfall (regression method) | 0.07 |
| Number of observations | 942 |
| Minimum | 0.95 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.07 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0 |
| Number outliers low | 175 |
| Percentage of outliers low | 0.19 |
| Mean of outliers low | 0.99 |
| Number of outliers high | 192 |
| Percentage of outliers high | 0.20 |
| Mean of outliers high | 1.01 |
| Extreme Value Index (moments method) | -0.03 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.00 |
| Extreme Value Index (regression method) | 0.03 |
| VaR(95%) (regression method) | 0.01 |
| 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 | 3 |
|---|---|
| Minimum | 0.04 |
| Quartile 1 | 0.07 |
| Median | 0.10 |
| Quartile 3 | 0.11 |
| Maximum | 0.11 |
| Mean of quarter 1 | 0.04 |
| Mean of quarter 2 | 0.10 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.11 |
| Inter Quartile Range | 0.04 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 18 |
| Minimum | 0.00 |
| Quartile 1 | 0.02 |
| Median | 0.03 |
| Quartile 3 | 0.06 |
| Maximum | 0.16 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.02 |
| Mean of quarter 3 | 0.04 |
| Mean of quarter 4 | 0.10 |
| Inter Quartile Range | 0.04 |
| 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 | 0.15 |
| Extreme Value Index (moments method) | -0.01 |
| VaR(95%) (moments method) | 0.11 |
| Expected Shortfall (moments method) | 0.14 |
| Extreme Value Index (regression method) | -0.52 |
| VaR(95%) (regression method) | 0.12 |
| Expected Shortfall (regression method) | 0.13 |
| 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? | -421923936 |
| Max Equity Drawdown (num days) | 122 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.27 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.21 |
| Calmar ratio (compounded annual return / max draw down) | 1.82 |
| Compounded annual return / average of 25% largest draw downs | 1.82 |
| Compounded annual return / Expected Shortfall lognormal | 2.50 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.27 |
| Compounded annual return (geometric extrapolation) | 0.20 |
| Calmar ratio (compounded annual return / max draw down) | 1.29 |
| Compounded annual return / average of 25% largest draw downs | 1.98 |
| Compounded annual return / Expected Shortfall lognormal | 11.30 |
| 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 302 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| CT Z5 | long | 1 | Jun 23, 2015 | Jun 30, 2015 | $892 |
| LE Q5 | long | 1 | Jun 23, 2015 | Jun 25, 2015 | ($868) |
| LE Q5 | long | 1 | Jun 10, 2015 | Jun 18, 2015 | ($1,451) |
| S N5 | long | 1 | Jun 4, 2015 | Jun 15, 2015 | ($458) |
| QNG N5 | short | 1 | May 27, 2015 | Jun 8, 2015 | $1,450 |
| OJ N5 | long | 1 | May 28, 2015 | Jun 2, 2015 | ($733) |
| US U5 | long | 1 | May 27, 2015 | Jun 2, 2015 | ($1,508) |
| O N5 | short | 1 | May 27, 2015 | Jun 1, 2015 | ($400) |
| GF Q5 | long | 1 | May 11, 2015 | May 29, 2015 | $2,621 |
| CT N5 | short | 1 | May 8, 2015 | May 27, 2015 | $817 |
| QGC M5 | long | 1 | May 21, 2015 | May 26, 2015 | ($1,373) |
| SB N5 | long | 1 | May 11, 2015 | May 21, 2015 | ($1,106) |
| S N5 | long | 1 | May 5, 2015 | May 12, 2015 | ($808) |
| CD M5 | short | 1 | May 8, 2015 | May 12, 2015 | ($728) |
| PX M5 | long | 1 | May 8, 2015 | May 11, 2015 | ($88) |
| SB K5 | long | 1 | Apr 7, 2015 | Apr 15, 2015 | $339 |
| GF K5 | short | 1 | Apr 9, 2015 | Apr 15, 2015 | $317 |
| JY M5 | short | 1 | Apr 9, 2015 | Apr 14, 2015 | ($633) |
| NQ M5 | long | 1 | Apr 9, 2015 | Apr 13, 2015 | $695 |
| YM M5 | long | 1 | Apr 9, 2015 | Apr 13, 2015 | $582 |
| CC K5 | long | 1 | Apr 9, 2015 | Apr 13, 2015 | $62 |
| AD M5 | long | 1 | Apr 9, 2015 | Apr 12, 2015 | ($1,178) |
| C K5 | long | 1 | Mar 24, 2015 | Mar 31, 2015 | ($429) |
| BO K5 | long | 1 | Mar 24, 2015 | Mar 30, 2015 | ($446) |
| KC K5 | long | 1 | Mar 26, 2015 | Mar 30, 2015 | ($2,764) |
| S K5 | long | 1 | Mar 25, 2015 | Mar 27, 2015 | ($1,016) |
| BP M5 | long | 1 | Mar 24, 2015 | Mar 26, 2015 | ($902) |
| QPL J5 | long | 1 | Mar 26, 2015 | Mar 26, 2015 | $240 |
| QHG K5 | long | 1 | Mar 26, 2015 | Mar 26, 2015 | $167 |
| QCL K5 | long | 1 | Mar 25, 2015 | Mar 25, 2015 | $2,752 |
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.