Retired6
- hypothetical · Annual Return (Compounded)
- 20.3%
- Max Drawdown
- 64.3%
- Trades
- 259
- Win Trades
- 52.5%
- Profit Factor
- 1.40
- Win Months
- 15.0%
About this strategy
This is a low frequency, long/short, absolute return focused, systemic model that takes exposure to the China H Shares Index (HSCEI) via the MCH mini futures. Though highly complex in its development it is simple to follow in execution and management for live trading since it only trades at the open and/or close of the equity market and usually only a few times per week.
The maximum position size taken by the system is restricted to 9 lots which has a value of approx USD 110k. Therefore with the recommended minimum account size of USD 37k the system could trade with a maximum 3X leverage. Note that it doesn't often reach this maximum and over the long run the average leverage will be closer to 1.5 X.
Most metrics rate a straight line equity curve very favourably. My belief is that straight lines are likely to be masking hidden risk and the idea of a risky market paying someone in a straight line doesn't jibe with me philosophically. In contrast my proprietary performance metric, which is used in the final leg of the model building process, doesn't penalise volatility in the common Sharpe/Sortino manner. The outcome is a trading model that subjects its trader to a considerable amount of pain rather than attempting to avoid it. You should expect 30% drawdowns to occur.
Note there are no backtests available because any monkey can produce a straight line backtest.
Before subscribing it is your responsibility to confirm that your broker can execute these orders:
https://www.hkex.com.hk/eng/prod/drprod/mchfut/mchfut.htm
The maximum position size taken by the system is restricted to 9 lots which has a value of approx USD 110k. Therefore with the recommended minimum account size of USD 37k the system could trade with a maximum 3X leverage. Note that it doesn't often reach this maximum and over the long run the average leverage will be closer to 1.5 X.
Most metrics rate a straight line equity curve very favourably. My belief is that straight lines are likely to be masking hidden risk and the idea of a risky market paying someone in a straight line doesn't jibe with me philosophically. In contrast my proprietary performance metric, which is used in the final leg of the model building process, doesn't penalise volatility in the common Sharpe/Sortino manner. The outcome is a trading model that subjects its trader to a considerable amount of pain rather than attempting to avoid it. You should expect 30% drawdowns to occur.
Note there are no backtests available because any monkey can produce a straight line backtest.
Before subscribing it is your responsibility to confirm that your broker can execute these orders:
https://www.hkex.com.hk/eng/prod/drprod/mchfut/mchfut.htm
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2014 | 7.0 | 15.8 | 4.1 | 1.8 | 1.3 | 4.7 | 4.2 | -6.6 | 5.3 | 0.5 | 14.3 | 5.0 | 72.1 |
| 2015 | -0.7 | 0.1 | 2.8 | -14.5 | 32.5 | -8.8 | 16.3 | 20.8 | 7.0 | 2.2 | -6.7 | 5.2 | 59.3 |
| 2016 | 4.2 | -12.2 | -4.2 | -14.8 | -13.4 | -0.1 | -8.3 | 5.0 | -19.1 | -11.0 | 29.0 | 0.0 | -42.2 |
| 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 | 522.2 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 522.2 |
| 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 | 1/15/2014 |
|---|---|
| Suggested Minimum Capital | $11,485 |
| Age | 154 months |
| What it trades | Futures |
| # Trades | 259 |
| # Profitable | 136 |
| % Profitable | 52.5% |
| Avg trade duration | 3.6 days |
| Max peak-to-valley drawdown | 64.3% |
| drawdown period | Jan 21, 2016 - Oct 10, 2016 |
| Annual Return (Compounded) | 20.3% |
| Avg win | $3,121 |
| Avg loss | $2,507 |
Ratios
| W:L ratio | 1.38 |
|---|---|
| Sharpe Ratio | 0.25 |
| Sortino Ratio | 2.98 |
| Calmar Ratio | 0.94 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.01 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 314.2% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 670.0% |
Return Statistics
| Ann Return (w trading costs) | 20.3% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.2% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 20.9% |
Slump
| Current Slump as Pcnt Equity | 0.0% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.5% |
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 | 100.0% |
| Chance of 40% account loss | 100.0% |
| Chance of 50% account loss | 100.0% |
| Chance of 60% account loss (Monte Carlo) | 100.0% |
| 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 | 0.0% |
|---|
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 | $2,507 |
|---|---|
| Avg Win | $3,121 |
| # Winners | 136 |
| Sum Trade PL (losers) | $308,406 |
| Sum Trade PL (winners) | $424,502 |
| Num Months Winners | 26 |
| # Losers | 123 |
| % Winners | 52.5% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 152 |
|---|
Frequency
| Avg Position Time (mins) | 5156.07 |
|---|---|
| Avg Position Time (hrs) | 85.93 |
| Avg Trade Length | 3.60 |
| Last Trade Ago | 3563 |
Regression
| Alpha | 0.13 |
|---|---|
| Beta | -0.11 |
| Treynor Index | -1.16 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.11 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.28 |
| MAE:Equity, average, losing trades | 0.15 |
| 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 | -2.63 |
| MAE:PL (avg, all trades) | -0.75 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 2.98 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 0.68 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.01 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.00 |
| Hold-and-Hope Ratio | -0.38 |
RATIO STATISTICS
| Mean | 0.67 |
|---|---|
| SD | 1.43 |
| Sharpe ratio (Glass type estimate) | 0.47 |
| Sharpe ratio (Hedges UMVUE) | 0.46 |
| df | 78 |
| t | 1.20 |
| p | 0.12 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.30 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.23 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.30 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.23 |
| Sortino ratio | 7.48 |
| Upside Potential Ratio | 8.88 |
| Upside part of mean | 0.80 |
| Downside part of mean | -0.13 |
| Upside SD | 1.43 |
| Downside SD | 0.09 |
| N nonnegative terms | 20 |
| N negative terms | 59 |
| N of observations | 79 |
| Mean of predictor | 0.21 |
| Mean of criterion | 0.67 |
| SD of predictor | 0.26 |
| SD of criterion | 1.43 |
| Covariance | -0.01 |
| r | -0.01 |
| b (slope, estimate of beta) | -0.08 |
| a (intercept, estimate of alpha) | 0.69 |
| Mean Square Error | 2.06 |
| DF error | 77 |
| t(b) | -0.13 |
| p(b) | 0.55 |
| t(a) | 1.19 |
| p(a) | 0.12 |
| Lowerbound of 95% confidence interval for beta | -1.33 |
| Upperbound of 95% confidence interval for beta | 1.17 |
| Lowerbound of 95% confidence interval for alpha | -0.46 |
| Upperbound of 95% confidence interval for alpha | 1.83 |
| Treynor index (mean / b) | -8.42 |
| Jensen alpha (a) | 0.69 |
| Mean | 0.33 |
| SD | 0.62 |
| Sharpe ratio (Glass type estimate) | 0.53 |
| Sharpe ratio (Hedges UMVUE) | 0.52 |
| df | 78 |
| t | 1.36 |
| p | 0.09 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.24 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.29 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.25 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.29 |
| Sortino ratio | 3.54 |
| Upside Potential Ratio | 4.93 |
| Upside part of mean | 0.46 |
| Downside part of mean | -0.13 |
| Upside SD | 0.62 |
| Downside SD | 0.09 |
| N nonnegative terms | 20 |
| N negative terms | 59 |
| N of observations | 79 |
| Mean of predictor | 0.18 |
| Mean of criterion | 0.33 |
| SD of predictor | 0.23 |
| SD of criterion | 0.62 |
| Covariance | -0.00 |
| r | -0.03 |
| b (slope, estimate of beta) | -0.07 |
| a (intercept, estimate of alpha) | 0.34 |
| Mean Square Error | 0.40 |
| DF error | 77 |
| t(b) | -0.23 |
| p(b) | 0.59 |
| t(a) | 1.36 |
| p(a) | 0.09 |
| Lowerbound of 95% confidence interval for beta | -0.67 |
| Upperbound of 95% confidence interval for beta | 0.53 |
| Lowerbound of 95% confidence interval for alpha | -0.16 |
| Upperbound of 95% confidence interval for alpha | 0.84 |
| Treynor index (mean / b) | -4.77 |
| Jensen alpha (a) | 0.34 |
| VaR(95%) | 0.24 |
| Expected Shortfall on VaR | 0.29 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.06 |
| Mean | 0.68 |
| SD | 1.44 |
| Sharpe ratio (Glass type estimate) | 0.47 |
| Sharpe ratio (Hedges UMVUE) | 0.47 |
| df | 1730 |
| t | 1.21 |
| p | 0.49 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.29 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.23 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.29 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.23 |
| Sortino ratio | 4.58 |
| Upside Potential Ratio | 8.53 |
| Upside part of mean | 1.26 |
| Downside part of mean | -0.58 |
| Upside SD | 1.43 |
| Downside SD | 0.15 |
| N nonnegative terms | 298 |
| N negative terms | 1433 |
| N of observations | 1731 |
| Mean of predictor | 0.22 |
| Mean of criterion | 0.68 |
| SD of predictor | 0.24 |
| SD of criterion | 1.44 |
| Covariance | -0.00 |
| r | -0.01 |
| b (slope, estimate of beta) | -0.08 |
| a (intercept, estimate of alpha) | 0.69 |
| Mean Square Error | 2.06 |
| DF error | 1729 |
| t(b) | -0.58 |
| p(b) | 0.51 |
| t(a) | 1.24 |
| p(a) | 0.48 |
| Lowerbound of 95% confidence interval for beta | -0.37 |
| Upperbound of 95% confidence interval for beta | 0.20 |
| Lowerbound of 95% confidence interval for alpha | -0.40 |
| Upperbound of 95% confidence interval for alpha | 1.79 |
| Treynor index (mean / b) | -8.10 |
| Jensen alpha (a) | 0.69 |
| Mean | 0.33 |
| SD | 0.64 |
| Sharpe ratio (Glass type estimate) | 0.51 |
| Sharpe ratio (Hedges UMVUE) | 0.51 |
| df | 1730 |
| t | 1.32 |
| p | 0.48 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.25 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.27 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.25 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.27 |
| Sortino ratio | 2.15 |
| Upside Potential Ratio | 6.04 |
| Upside part of mean | 0.92 |
| Downside part of mean | -0.59 |
| Upside SD | 0.62 |
| Downside SD | 0.15 |
| N nonnegative terms | 298 |
| N negative terms | 1433 |
| N of observations | 1731 |
| Mean of predictor | 0.19 |
| Mean of criterion | 0.33 |
| SD of predictor | 0.25 |
| SD of criterion | 0.64 |
| Covariance | -0.00 |
| r | -0.02 |
| b (slope, estimate of beta) | -0.06 |
| a (intercept, estimate of alpha) | 0.34 |
| Mean Square Error | 0.41 |
| DF error | 1729 |
| t(b) | -0.89 |
| p(b) | 0.51 |
| t(a) | 1.35 |
| p(a) | 0.48 |
| Lowerbound of 95% confidence interval for beta | -0.18 |
| Upperbound of 95% confidence interval for beta | 0.07 |
| Lowerbound of 95% confidence interval for alpha | -0.15 |
| Upperbound of 95% confidence interval for alpha | 0.83 |
| Treynor index (mean / b) | -5.97 |
| Jensen alpha (a) | 0.34 |
| VaR(95%) | 0.06 |
| Expected Shortfall on VaR | 0.08 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| 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 | 1.10 |
| Mean of criterion | -0.03 |
| SD of predictor | 0.51 |
| 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 | 0.52 |
| 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) | -6821027078209536 |
| p(a) | 1 |
| Lowerbound of 95% confidence interval for beta | 0 |
| VAR (95 Confidence Intrvl) | 0.06 |
| 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) | 2.30645908650052e+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 | 79 |
|---|---|
| Minimum | 0.89 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1.01 |
| Maximum | 4.64 |
| Mean of quarter 1 | 0.97 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.26 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 11 |
| Percentage of outliers low | 0.14 |
| Mean of outliers low | 0.94 |
| Number of outliers high | 17 |
| Percentage of outliers high | 0.22 |
| Mean of outliers high | 1.31 |
| Extreme Value Index (moments method) | -10.90 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.00 |
| Extreme Value Index (regression method) | -0.79 |
| VaR(95%) (regression method) | 0.06 |
| Expected Shortfall (regression method) | 0.08 |
| Number of observations | 1731 |
| Minimum | 0.86 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 4.64 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.02 |
| Inter Quartile Range | 0 |
| Number outliers low | 420 |
| Percentage of outliers low | 0.24 |
| Mean of outliers low | 0.99 |
| Number of outliers high | 432 |
| Percentage of outliers high | 0.25 |
| Mean of outliers high | 1.02 |
| Extreme Value Index (moments method) | 0.56 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.01 |
| Extreme Value Index (regression method) | 0.29 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.02 |
| 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 | 7 |
|---|---|
| Minimum | 0 |
| Quartile 1 | 0.01 |
| Median | 0.03 |
| Quartile 3 | 0.05 |
| Maximum | 0.41 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.02 |
| Mean of quarter 3 | 0.03 |
| Mean of quarter 4 | 0.24 |
| 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 | 0.14 |
| Mean of outliers high | 0.41 |
| 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 | 81 |
| Minimum | 0 |
| Quartile 1 | 0 |
| Median | 0 |
| Quartile 3 | 0.01 |
| Maximum | 0.45 |
| Mean of quarter 1 | 0 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0.00 |
| Mean of quarter 4 | 0.08 |
| 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 | 0.19 |
| Mean of outliers high | 0.10 |
| Extreme Value Index (moments method) | 0.47 |
| VaR(95%) (moments method) | 0.04 |
| Expected Shortfall (moments method) | 0.10 |
| Extreme Value Index (regression method) | 0.56 |
| VaR(95%) (regression method) | 0.09 |
| Expected Shortfall (regression method) | 0.26 |
| 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? | -492195616 |
| Max Equity Drawdown (num days) | 263 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 1.45 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.43 |
| Calmar ratio (compounded annual return / max draw down) | 1.06 |
| Compounded annual return / average of 25% largest draw downs | 1.82 |
| Compounded annual return / Expected Shortfall lognormal | 1.48 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 1.44 |
| Compounded annual return (geometric extrapolation) | 0.43 |
| Calmar ratio (compounded annual return / max draw down) | 0.94 |
| Compounded annual return / average of 25% largest draw downs | 5.61 |
| Compounded annual return / Expected Shortfall lognormal | 5.54 |
| 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 350 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| MCH X6 | short | 14 | Oct 27, 2016 | Nov 29, 2016 | $7,148 |
| MCH V6 | short | 8 | Sep 27, 2016 | Oct 27, 2016 | $16,896 |
| MCH V6 | short | 8 | Sep 27, 2016 | Sep 27, 2016 | ($144) |
| MCH U6 | long | 9 | Sep 26, 2016 | Sep 26, 2016 | ($4,482) |
| MCH U6 | short | 13 | Sep 13, 2016 | Sep 26, 2016 | ($14,154) |
| MCH U6 | long | 4 | Sep 7, 2016 | Sep 12, 2016 | ($5,452) |
| MCH U6 | short | 2 | Sep 5, 2016 | Sep 7, 2016 | ($1,566) |
| MCH U6 | short | 2 | Sep 1, 2016 | Sep 5, 2016 | ($2,606) |
| MCH U6 | short | 4 | Aug 30, 2016 | Aug 31, 2016 | $688 |
| MCH U6 | short | 1 | Aug 29, 2016 | Aug 30, 2016 | ($278) |
| MCH Q6 | long | 4 | Aug 29, 2016 | Aug 29, 2016 | $2,168 |
| MCH Q6 | short | 24 | Aug 8, 2016 | Aug 29, 2016 | $248 |
| MCH Q6 | short | 12 | Jul 27, 2016 | Aug 8, 2016 | $4 |
| TMV | long | 500 | Jul 27, 2016 | Jul 27, 2016 | ($15) |
| MCH N6 | short | 11 | Jul 21, 2016 | Jul 27, 2016 | ($1,428) |
| MCH N6 | short | 1 | Jul 20, 2016 | Jul 20, 2016 | ($328) |
| MCH N6 | short | 10 | Jul 13, 2016 | Jul 20, 2016 | ($7,690) |
| MCH N6 | long | 3 | Jul 12, 2016 | Jul 13, 2016 | $1,746 |
| MCH N6 | short | 3 | Jul 4, 2016 | Jul 7, 2016 | $6,446 |
| MCH M6 | short | 1 | Jun 27, 2016 | Jun 28, 2016 | ($1,088) |
| MCH M6 | long | 1 | Jun 27, 2016 | Jun 27, 2016 | ($1,108) |
| MCH M6 | short | 2 | Jun 23, 2016 | Jun 26, 2016 | $5,944 |
| MCH M6 | long | 5 | Jun 20, 2016 | Jun 23, 2016 | $6,540 |
| MCH M6 | short | 2 | Jun 19, 2016 | Jun 20, 2016 | ($1,176) |
| MCH M6 | short | 1 | Jun 15, 2016 | Jun 17, 2016 | $82 |
| MCH M6 | short | 1 | Jun 12, 2016 | Jun 13, 2016 | $232 |
| MCH M6 | long | 1 | Jun 9, 2016 | Jun 12, 2016 | ($3,588) |
| MCH M6 | short | 2 | Jun 8, 2016 | Jun 9, 2016 | $464 |
| MCH M6 | short | 9 | May 30, 2016 | Jun 6, 2016 | ($5,977) |
| BL U6 | short | 1 | May 27, 2016 | Jun 3, 2016 | ($161) |
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.