Texas Doubledown
- hypothetical · Annual Return (Compounded)
- 11.5%
- Max Drawdown
- 89.0%
- Trades
- 114
- Win Trades
- 82.5%
- Profit Factor
- 6
- Win Months
- 48.2%
About this strategy
This is a discretionary, long/short equity trading system. Portfolio positions will often be scaled into using 2-3 tranches, possibly spanning hours or days. There will be occasional day-trading opportunities when market conditions are favorable toward doing so, where a trade will be entered and closed intra-day.
This system is not purely mechanical, and relies on human expertise before deciding to enter a trading position. This trading system has been developed over the last decade by a finance professional with significant experience in the financial sector and managing money. The manager began their career as a professional securities trader at a hedge fund and has been actively trading the market and creating portfolio strategies ever since.
The Texas Doubledown trading system will shift from direction oriented to market neutral strategies depending on the opportunity set provided by the markets. The portfolio manager excels at trading volatility, special situations, and maintaining disciplined entry and exit points. Returns and trading activity will coincide with the opportunities presented as demonstrated by the substantial returns associated with the high volatility in oil in Q1.
I recommend a minimum account size of $25,000 to effectively trade this system as designed.
Portfolio Guidelines:
Margin: Opportunistic
Risk: Medium - Medium/High
Long Position Management: 20% Cap gains before realizing profit. 10% Max loss per position.
Short Position Management: 15% Cap gains before realizing profit. 10% Max loss per position.
Position Size: No Position over 20% of total portfolio value.
Market Neutrality: Remain mostly neutral
Trade Frequency: Between 10-25/Month
Order Type: Mostly limit, market orders in more liquid securities
Targeted Position Number: 15 or less
Total Return Goal: 50% Annual Return
Drawdown Goal: <20%
This system is not purely mechanical, and relies on human expertise before deciding to enter a trading position. This trading system has been developed over the last decade by a finance professional with significant experience in the financial sector and managing money. The manager began their career as a professional securities trader at a hedge fund and has been actively trading the market and creating portfolio strategies ever since.
The Texas Doubledown trading system will shift from direction oriented to market neutral strategies depending on the opportunity set provided by the markets. The portfolio manager excels at trading volatility, special situations, and maintaining disciplined entry and exit points. Returns and trading activity will coincide with the opportunities presented as demonstrated by the substantial returns associated with the high volatility in oil in Q1.
I recommend a minimum account size of $25,000 to effectively trade this system as designed.
Portfolio Guidelines:
Margin: Opportunistic
Risk: Medium - Medium/High
Long Position Management: 20% Cap gains before realizing profit. 10% Max loss per position.
Short Position Management: 15% Cap gains before realizing profit. 10% Max loss per position.
Position Size: No Position over 20% of total portfolio value.
Market Neutrality: Remain mostly neutral
Trade Frequency: Between 10-25/Month
Order Type: Mostly limit, market orders in more liquid securities
Targeted Position Number: 15 or less
Total Return Goal: 50% Annual Return
Drawdown Goal: <20%
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2015 | 7.6 | 12.1 | 17.8 | 22.1 | -18.8 | -2.9 | -31.7 | 21.8 | 47.2 | -5.1 | -6.1 | -20.7 | 18.5 |
| 2016 | 142.2 | -4.6 | 1.1 | -8.2 | -3.0 | 18.2 | -8.1 | -1.2 | -4.9 | 11.1 | -11.9 | 3.7 | 115.6 |
| 2017 | -3.8 | -9.8 | 16.2 | 2.6 | 8.3 | -6.6 | -5.7 | 15.1 | -1.4 | 5.6 | -4.3 | 3.6 | 17.0 |
| 2018 | -3.9 | 2.9 | -2.8 | -0.1 | -16.0 | -3.3 | -2.5 | -4.2 | 8.9 | 25.2 | -3.7 | 7.3 | 2.7 |
| 2019 | -4.5 | -11.6 | -1.6 | 1.3 | 1.1 | 3.2 | 0.0 | 9.8 | 5.2 | 0.2 | 2.1 | -4.6 | -1.1 |
| 2020 | -4.7 | -1.7 | 7.4 | -13.1 | -2.1 | -6.9 | 1.7 | -4.9 | -2.5 | -8.7 | -24.3 | -24.1 | -60.6 |
| 2021 | 0.3 | -5.0 | 49.2 | -0.2 | 15.0 | 7.5 | 13.4 | -16.0 | 12.2 | 2.4 | 8.1 | -7.3 | 92.4 |
| 2022 | 16.6 | -0.7 | -7.6 | 5.6 | 18.4 | -10.1 | 8.2 | -0.2 | 6.8 | 0.5 | 3.0 | -5.7 | 35.6 |
| 2023 | 0.0 | -0.2 | 4.6 | -3.2 | -2.9 | 1.5 | 2.9 | 2.3 | 1.4 | 1.9 | -3.8 | -5.8 | -1.7 |
| 2024 | 2.0 | -2.5 | 2.1 | 2.0 | 1.3 | -0.5 | -3.2 | -6.6 | -1.4 | 3.5 | 4.3 | 3.3 | 3.7 |
| 2025 | -0.1 | 0.0 | 2.4 | 0.4 | 2.5 | -1.9 | 5.6 | -1.0 | -0.3 | -2.4 | 0.6 | 6.4 | 12.4 |
| 2026 | -0.8 | 2.1 | 0.5 | -2.8 | 0.5 | -2.9 | -0.1 | 2.4 | 0.0 | -1.3 |
Statistics
Overview
| Strategy began | 1/30/2015 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 141 months |
| What it trades | Stocks |
| # Trades | 114 |
| # Profitable | 94 |
| % Profitable | 82.5% |
| Avg trade duration | 118.6 days |
| Max peak-to-valley drawdown | 89.0% |
| drawdown period | Aug 26, 2015 - Dec 26, 2020 |
| Annual Return (Compounded) | 11.5% |
| Avg win | $3,258 |
| Avg loss | $2,536 |
Ratios
| W:L ratio | 6.04 |
|---|---|
| Sharpe Ratio | 0.34 |
| Sortino Ratio | 0.67 |
| Calmar Ratio | 0.74 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.18 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 283.8% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -32.2% |
Return Statistics
| Ann Return (w trading costs) | 11.5% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.1% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 11.5% |
Slump
| Current Slump as Pcnt Equity | 31.3% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.9% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.0% |
| Percent Trades Stocks | 1.0% |
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) | 100.0% |
| Chance of 80% account loss (Monte Carlo) | 100.0% |
| Chance of 90% account loss (Monte Carlo) | 6.7% |
| Chance of 100% account loss (Monte Carlo) | 0.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Popularity
| Popularity (Today) | 0 |
|---|---|
| Popularity (Last 6 weeks) | 319 |
| Popularity (7 days, Percentile 1000 scale) | 345 |
Trading Style
| Any stock shorts? 0/1 | 1 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $2,536 |
|---|---|
| Avg Win | $3,258 |
| # Winners | 94 |
| Sum Trade PL (losers) | $50,722 |
| Sum Trade PL (winners) | $306,226 |
| Num Months Winners | 70 |
| # Losers | 20 |
| % Winners | 82.5% |
Dividends
| Dividends Received in Model Acct | 277 |
|---|
Age
| Num Months filled monthly returns table | 141 |
|---|
Frequency
| Avg Position Time (mins) | 170722.45 |
|---|---|
| Avg Position Time (hrs) | 2845.37 |
| Avg Trade Length | 118.60 |
| Last Trade Ago | 3841 |
Regression
| Alpha | 0.10 |
|---|---|
| Beta | -0.74 |
| Treynor Index | -0.10 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.04 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0 |
| MAE:Equity, average, losing trades | 0.02 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.04 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 1.68 |
| MAE:PL (avg, all trades) | 1.40 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 36.74 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 60.68 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 1.08 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.39 |
| Hold-and-Hope Ratio | 1.20 |
RATIO STATISTICS
| Mean | 0.80 |
|---|---|
| SD | 0.85 |
| Sharpe ratio (Glass type estimate) | 0.94 |
| Sharpe ratio (Hedges UMVUE) | 0.92 |
| df | 30 |
| t | 1.52 |
| p | 0.07 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.31 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.18 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.32 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.16 |
| Sortino ratio | 1.84 |
| Upside Potential Ratio | 3.44 |
| Upside part of mean | 1.49 |
| Downside part of mean | -0.69 |
| Upside SD | 0.75 |
| Downside SD | 0.43 |
| N nonnegative terms | 20 |
| N negative terms | 11 |
| N of observations | 31 |
| Mean of predictor | 0.49 |
| Mean of criterion | 0.80 |
| SD of predictor | 0.28 |
| SD of criterion | 0.85 |
| Covariance | 0.00 |
| r | 0.00 |
| b (slope, estimate of beta) | 0.01 |
| a (intercept, estimate of alpha) | 0.79 |
| Mean Square Error | 0.74 |
| DF error | 29 |
| t(b) | 0.01 |
| p(b) | 0.50 |
| t(a) | 1.31 |
| p(a) | 0.10 |
| Lowerbound of 95% confidence interval for beta | -1.16 |
| Upperbound of 95% confidence interval for beta | 1.17 |
| Lowerbound of 95% confidence interval for alpha | -0.44 |
| Upperbound of 95% confidence interval for alpha | 2.03 |
| Treynor index (mean / b) | 119.52 |
| Jensen alpha (a) | 0.79 |
| Mean | 0.46 |
| SD | 0.82 |
| Sharpe ratio (Glass type estimate) | 0.55 |
| Sharpe ratio (Hedges UMVUE) | 0.54 |
| df | 30 |
| t | 0.89 |
| p | 0.19 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.68 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.78 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.69 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.77 |
| Sortino ratio | 0.83 |
| Upside Potential Ratio | 2.32 |
| Upside part of mean | 1.28 |
| Downside part of mean | -0.82 |
| Upside SD | 0.61 |
| Downside SD | 0.55 |
| N nonnegative terms | 20 |
| N negative terms | 11 |
| N of observations | 31 |
| Mean of predictor | 0.45 |
| Mean of criterion | 0.46 |
| SD of predictor | 0.27 |
| SD of criterion | 0.82 |
| Covariance | -0.01 |
| r | -0.03 |
| b (slope, estimate of beta) | -0.09 |
| a (intercept, estimate of alpha) | 0.50 |
| Mean Square Error | 0.70 |
| DF error | 29 |
| t(b) | -0.16 |
| p(b) | 0.56 |
| t(a) | 0.86 |
| p(a) | 0.20 |
| Lowerbound of 95% confidence interval for beta | -1.24 |
| Upperbound of 95% confidence interval for beta | 1.06 |
| Lowerbound of 95% confidence interval for alpha | -0.69 |
| Upperbound of 95% confidence interval for alpha | 1.68 |
| Treynor index (mean / b) | -4.96 |
| Jensen alpha (a) | 0.50 |
| VaR(95%) | 0.30 |
| Expected Shortfall on VaR | 0.36 |
| VaR(95%) | 0.10 |
| Expected Shortfall on VaR | 0.22 |
| Mean | 1.15 |
| SD | 1.26 |
| Sharpe ratio (Glass type estimate) | 0.91 |
| Sharpe ratio (Hedges UMVUE) | 0.91 |
| df | 687 |
| t | 1.48 |
| p | 0.07 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.30 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.12 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.30 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.12 |
| Sortino ratio | 1.72 |
| Upside Potential Ratio | 8.31 |
| Upside part of mean | 5.56 |
| Downside part of mean | -4.41 |
| Upside SD | 1.07 |
| Downside SD | 0.67 |
| N nonnegative terms | 333 |
| N negative terms | 355 |
| N of observations | 688 |
| Mean of predictor | 0.54 |
| Mean of criterion | 1.15 |
| SD of predictor | 0.32 |
| SD of criterion | 1.26 |
| Covariance | -0.09 |
| r | -0.22 |
| b (slope, estimate of beta) | -0.88 |
| a (intercept, estimate of alpha) | 1.62 |
| Mean Square Error | 1.52 |
| DF error | 686 |
| t(b) | -5.98 |
| p(b) | 1 |
| t(a) | 2.12 |
| p(a) | 0.02 |
| Lowerbound of 95% confidence interval for beta | -1.16 |
| Upperbound of 95% confidence interval for beta | -0.59 |
| Lowerbound of 95% confidence interval for alpha | 0.12 |
| Upperbound of 95% confidence interval for alpha | 3.13 |
| Treynor index (mean / b) | -1.31 |
| Jensen alpha (a) | 1.62 |
| Mean | 0.44 |
| SD | 1.17 |
| Sharpe ratio (Glass type estimate) | 0.37 |
| Sharpe ratio (Hedges UMVUE) | 0.37 |
| df | 687 |
| t | 0.61 |
| p | 0.27 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.84 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.58 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.84 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.58 |
| Sortino ratio | 0.58 |
| Upside Potential Ratio | 6.75 |
| Upside part of mean | 5.11 |
| Downside part of mean | -4.67 |
| Upside SD | 0.89 |
| Downside SD | 0.76 |
| N nonnegative terms | 333 |
| N negative terms | 355 |
| N of observations | 688 |
| Mean of predictor | 0.49 |
| Mean of criterion | 0.44 |
| SD of predictor | 0.33 |
| SD of criterion | 1.17 |
| Covariance | -0.09 |
| r | -0.24 |
| b (slope, estimate of beta) | -0.85 |
| a (intercept, estimate of alpha) | 0.85 |
| Mean Square Error | 1.30 |
| DF error | 686 |
| t(b) | -6.39 |
| p(b) | 1 |
| t(a) | 1.21 |
| p(a) | 0.11 |
| Lowerbound of 95% confidence interval for beta | -1.11 |
| Upperbound of 95% confidence interval for beta | -0.59 |
| Lowerbound of 95% confidence interval for alpha | -0.54 |
| Upperbound of 95% confidence interval for alpha | 2.24 |
| Treynor index (mean / b) | -0.52 |
| Jensen alpha (a) | 0.85 |
| VaR(95%) | 0.11 |
| Expected Shortfall on VaR | 0.14 |
| VaR(95%) | 0.04 |
| Expected Shortfall on VaR | 0.08 |
| Mean | 0.69 |
| SD | 0.53 |
| Sharpe ratio (Glass type estimate) | 1.32 |
| Sharpe ratio (Hedges UMVUE) | 1.31 |
| df | 130 |
| t | 0.93 |
| p | 0.46 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.46 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.09 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.47 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.09 |
| Sortino ratio | 2.79 |
| Upside Potential Ratio | 11.54 |
| Upside part of mean | 2.87 |
| Downside part of mean | -2.18 |
| Upside SD | 0.46 |
| Downside SD | 0.25 |
| N nonnegative terms | 57 |
| N negative terms | 74 |
| N of observations | 131 |
| Mean of predictor | 1.15 |
| Mean of criterion | 0.69 |
| SD of predictor | 0.48 |
| SD of criterion | 0.53 |
| Covariance | -0.10 |
| r | -0.39 |
| b (slope, estimate of beta) | -0.43 |
| a (intercept, estimate of alpha) | 1.19 |
| Mean Square Error | 0.24 |
| DF error | 129 |
| t(b) | -4.83 |
| p(b) | 0.74 |
| t(a) | 1.71 |
| p(a) | 0.41 |
| Lowerbound of 95% confidence interval for beta | -0.60 |
| Upperbound of 95% confidence interval for beta | -0.25 |
| Lowerbound of 95% confidence interval for alpha | -0.19 |
| Upperbound of 95% confidence interval for alpha | 2.56 |
| Treynor index (mean / b) | -1.62 |
| Jensen alpha (a) | 1.19 |
| Mean | 0.57 |
| SD | 0.50 |
| Sharpe ratio (Glass type estimate) | 1.13 |
| Sharpe ratio (Hedges UMVUE) | 1.12 |
| df | 130 |
| t | 0.80 |
| p | 0.47 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.65 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.90 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.65 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.90 |
| Sortino ratio | 2.22 |
| Upside Potential Ratio | 10.93 |
| Upside part of mean | 2.78 |
| Downside part of mean | -2.21 |
| Upside SD | 0.43 |
| Downside SD | 0.25 |
| N nonnegative terms | 57 |
| N negative terms | 74 |
| N of observations | 131 |
| Mean of predictor | 1.03 |
| Mean of criterion | 0.57 |
| SD of predictor | 0.48 |
| SD of criterion | 0.50 |
| Covariance | -0.10 |
| r | -0.40 |
| b (slope, estimate of beta) | -0.41 |
| a (intercept, estimate of alpha) | 0.99 |
| Mean Square Error | 0.21 |
| DF error | 129 |
| t(b) | -4.91 |
| p(b) | 0.75 |
| t(a) | 1.50 |
| p(a) | 0.42 |
| Lowerbound of 95% confidence interval for beta | -0.57 |
| VAR (95 Confidence Intrvl) | 0.11 |
| Upperbound of 95% confidence interval for beta | -0.24 |
| Lowerbound of 95% confidence interval for alpha | -0.31 |
| Upperbound of 95% confidence interval for alpha | 2.29 |
| Treynor index (mean / b) | -1.38 |
| Jensen alpha (a) | 0.99 |
| VaR(95%) | 0.05 |
| Expected Shortfall on VaR | 0.06 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.04 |
ORDER STATISTICS
| Number of observations | 31 |
|---|---|
| Minimum | 0.49 |
| Quartile 1 | 0.94 |
| Median | 1.08 |
| Quartile 3 | 1.17 |
| Maximum | 1.68 |
| Mean of quarter 1 | 0.79 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.13 |
| Mean of quarter 4 | 1.36 |
| Inter Quartile Range | 0.23 |
| Number outliers low | 1 |
| Percentage of outliers low | 0.03 |
| Mean of outliers low | 0.49 |
| Number of outliers high | 3 |
| Percentage of outliers high | 0.10 |
| Mean of outliers high | 1.60 |
| Extreme Value Index (moments method) | -1.31 |
| VaR(95%) (moments method) | 0.18 |
| Expected Shortfall (moments method) | 0.19 |
| Extreme Value Index (regression method) | -0.10 |
| VaR(95%) (regression method) | 0.27 |
| Expected Shortfall (regression method) | 0.38 |
| Number of observations | 688 |
| Minimum | 0.56 |
| Quartile 1 | 0.98 |
| Median | 1 |
| Quartile 3 | 1.02 |
| Maximum | 1.92 |
| Mean of quarter 1 | 0.94 |
| Mean of quarter 2 | 0.99 |
| Mean of quarter 3 | 1.01 |
| Mean of quarter 4 | 1.08 |
| Inter Quartile Range | 0.04 |
| Number outliers low | 38 |
| Percentage of outliers low | 0.06 |
| Mean of outliers low | 0.86 |
| Number of outliers high | 39 |
| Percentage of outliers high | 0.06 |
| Mean of outliers high | 1.21 |
| Extreme Value Index (moments method) | 0.46 |
| VaR(95%) (moments method) | 0.06 |
| Expected Shortfall (moments method) | 0.12 |
| Extreme Value Index (regression method) | 0.35 |
| VaR(95%) (regression method) | 0.05 |
| Expected Shortfall (regression method) | 0.10 |
| Number of observations | 131 |
| Minimum | 0.93 |
| Quartile 1 | 0.99 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.26 |
| Mean of quarter 1 | 0.97 |
| Mean of quarter 2 | 0.99 |
| Mean of quarter 3 | 1.01 |
| Mean of quarter 4 | 1.04 |
| Inter Quartile Range | 0.03 |
| Number outliers low | 3 |
| Percentage of outliers low | 0.02 |
| Mean of outliers low | 0.94 |
| Number of outliers high | 5 |
| Percentage of outliers high | 0.04 |
| Mean of outliers high | 1.11 |
| Extreme Value Index (moments method) | -0.25 |
| VaR(95%) (moments method) | 0.03 |
| Expected Shortfall (moments method) | 0.03 |
| Extreme Value Index (regression method) | 0.06 |
| VaR(95%) (regression method) | 0.03 |
| Expected Shortfall (regression method) | 0.04 |
DRAW DOWN STATISTICS
| Number of observations | 6 |
|---|---|
| Minimum | 0.01 |
| Quartile 1 | 0.10 |
| Median | 0.21 |
| Quartile 3 | 0.37 |
| Maximum | 0.63 |
| Mean of quarter 1 | 0.04 |
| Mean of quarter 2 | 0.18 |
| Mean of quarter 3 | 0.23 |
| Mean of quarter 4 | 0.52 |
| Inter Quartile Range | 0.27 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 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 | 27 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.05 |
| Quartile 3 | 0.22 |
| Maximum | 0.80 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.02 |
| Mean of quarter 3 | 0.11 |
| Mean of quarter 4 | 0.48 |
| Inter Quartile Range | 0.21 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 3 |
| Percentage of outliers high | 0.11 |
| Mean of outliers high | 0.71 |
| Extreme Value Index (moments method) | -0.32 |
| VaR(95%) (moments method) | 0.50 |
| Expected Shortfall (moments method) | 0.61 |
| Extreme Value Index (regression method) | -1.02 |
| VaR(95%) (regression method) | 0.49 |
| Expected Shortfall (regression method) | 0.52 |
| Number of observations | 10 |
| Minimum | 0.01 |
| Quartile 1 | 0.02 |
| Median | 0.06 |
| Quartile 3 | 0.09 |
| Maximum | 0.14 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.04 |
| Mean of quarter 3 | 0.08 |
| Mean of quarter 4 | 0.11 |
| Inter Quartile Range | 0.07 |
| 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) | -1.13 |
| VaR(95%) (moments method) | 0.13 |
| Expected Shortfall (moments method) | 0.14 |
| Extreme Value Index (regression method) | 0.38 |
| VaR(95%) (regression method) | 0.15 |
| Expected Shortfall (regression method) | 0.22 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -381803712 |
| Max Equity Drawdown (num days) | 1949 |
| Last 4 Months - Pcnt Negative | 0.5% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.97 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.62 |
| Calmar ratio (compounded annual return / max draw down) | 0.99 |
| Compounded annual return / average of 25% largest draw downs | 1.19 |
| Compounded annual return / Expected Shortfall lognormal | 1.72 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.92 |
| Compounded annual return (geometric extrapolation) | 0.59 |
| Calmar ratio (compounded annual return / max draw down) | 0.74 |
| Compounded annual return / average of 25% largest draw downs | 1.23 |
| Compounded annual return / Expected Shortfall lognormal | 4.34 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.69 |
| Compounded annual return (geometric extrapolation) | 0.81 |
| Calmar ratio (compounded annual return / max draw down) | 5.65 |
| Compounded annual return / average of 25% largest draw downs | 7.08 |
| Compounded annual return / Expected Shortfall lognormal | 13.59 |
Trading record
Placed 537 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| LJPC | short | 1500 | Jul 6, 2015 | Jul 7, 2015 | $83 |
| ANAC | short | 100 | Jul 6, 2015 | Jul 7, 2015 | $143 |
| BBG | long | 500 | Jul 7, 2015 | Jul 7, 2015 | $329 |
| DWTI | short | 100 | Jul 7, 2015 | Jul 7, 2015 | $505 |
| ANAC | short | 800 | May 21, 2015 | Jun 26, 2015 | ($2,035) |
| AMED | short | 700 | Jun 10, 2015 | Jun 26, 2015 | ($830) |
| HRTX | short | 1900 | Jun 3, 2015 | Jun 26, 2015 | $127 |
| PRTA | short | 200 | Jun 17, 2015 | Jun 26, 2015 | $24 |
| RMTI | short | 500 | Jun 25, 2015 | Jun 26, 2015 | $904 |
| AMBA | short | 100 | Jun 9, 2015 | Jun 22, 2015 | $248 |
| ALDR | short | 2700 | May 15, 2015 | Jun 18, 2015 | ($6,113) |
| MRTX | short | 200 | Jun 5, 2015 | Jun 18, 2015 | $616 |
| EGRX | short | 100 | Jun 17, 2015 | Jun 18, 2015 | $325 |
| HTHT | short | 300 | Jun 12, 2015 | Jun 17, 2015 | $477 |
| NCR | short | 200 | Jun 16, 2015 | Jun 17, 2015 | $340 |
| BLUE | short | 700 | May 26, 2015 | Jun 16, 2015 | $5,599 |
| JUNO | short | 200 | Jun 5, 2015 | Jun 15, 2015 | $1,236 |
| PRTA | short | 300 | Jun 3, 2015 | Jun 5, 2015 | ($353) |
| EGRX | short | 200 | Jun 1, 2015 | Jun 3, 2015 | ($78) |
| EROC | long | 5000 | May 22, 2015 | Jun 3, 2015 | ($195) |
| JUNO | short | 100 | Jun 2, 2015 | Jun 3, 2015 | $120 |
| HZNP | short | 200 | Jun 2, 2015 | Jun 3, 2015 | $53 |
| GST | long | 2000 | May 26, 2015 | Jun 3, 2015 | $366 |
| VNCE | long | 500 | Jun 1, 2015 | Jun 2, 2015 | $487 |
| TRIL | short | 500 | May 21, 2015 | May 27, 2015 | $563 |
| VNR | short | 830 | May 22, 2015 | May 26, 2015 | $321 |
| BLUE | short | 100 | May 22, 2015 | May 22, 2015 | ($254) |
| TRIL | short | 1000 | May 15, 2015 | May 19, 2015 | ($1,412) |
| PRTO | short | 100 | May 15, 2015 | May 19, 2015 | ($84) |
| BMRN | short | 100 | May 14, 2015 | May 14, 2015 | $57 |
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.