ANTARES SP500
- hypothetical · Annual Return (Compounded)
- 8.9%
- Max Drawdown
- 61.5%
- Trades
- 129
- Win Trades
- 66.7%
- Profit Factor
- 1.40
- Win Months
- 22.7%
About this strategy
ANTARES SP500 is a fully mechanical strategy operating End-Of-Day on Mini-SP500 Futures.
It is composed of five different long/short strategies:
- 1 Countertrend
- 3 Pattern
- 2 Intermarket
Please download strategy description and 17 years backtest: http://bit.ly/ANTARES_SP500_backtest_09_2001_to_05_2018
Strategy operates long/short with limit and market orders;
Orders for next trading day (if generated) are sent to subscribers around 17:30 ET (23:30 CET).
Orders are valid from next day Globex Future market open (18:00ET/00:00 CET) until the end of next day trading session (17:00 ET, 23:00 CET). Stops and price targets are always given the day after the trade is initiated.
ANTARES SP500 opens up to 5 long positions (usually 1-2) or 1 to 3 short positions in the same direction (long/short) and manages independent adaptive stops and targets for each positions. A global pre-defined maximum daily loss check is coded into the strategy and will exit all positions when hit. In case of high price volatility, all positions will be closed at market open by an automatic protective exit. Profit target and stop loss are self-adapting using custom functions.
Actual subscriber feedback about their experience trading ANTARES SP500: https://forums.collective2.com/t/antares-sp500-subscribers-feedback-and-reviews-request/11093/21
I am always available for question or additional information, please email me at tradingflow@gmail.com
Thank you,
P.G.
Backtesting data is hypothetical and it has not been verified by C2.
It is composed of five different long/short strategies:
- 1 Countertrend
- 3 Pattern
- 2 Intermarket
Please download strategy description and 17 years backtest: http://bit.ly/ANTARES_SP500_backtest_09_2001_to_05_2018
Strategy operates long/short with limit and market orders;
Orders for next trading day (if generated) are sent to subscribers around 17:30 ET (23:30 CET).
Orders are valid from next day Globex Future market open (18:00ET/00:00 CET) until the end of next day trading session (17:00 ET, 23:00 CET). Stops and price targets are always given the day after the trade is initiated.
ANTARES SP500 opens up to 5 long positions (usually 1-2) or 1 to 3 short positions in the same direction (long/short) and manages independent adaptive stops and targets for each positions. A global pre-defined maximum daily loss check is coded into the strategy and will exit all positions when hit. In case of high price volatility, all positions will be closed at market open by an automatic protective exit. Profit target and stop loss are self-adapting using custom functions.
Actual subscriber feedback about their experience trading ANTARES SP500: https://forums.collective2.com/t/antares-sp500-subscribers-feedback-and-reviews-request/11093/21
I am always available for question or additional information, please email me at tradingflow@gmail.com
Thank you,
P.G.
Backtesting data is hypothetical and it has not been verified by C2.
Short Term Financials / Indexes
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2016 | 7.8 | 6.3 | 2.6 | 0.3 | 36.0 | 0.4 | 2.1 | 3.8 | 0.6 | 24.1 | -0.4 | 112.4 | |
| 2017 | 7.9 | -2.5 | 0.8 | 3.4 | 2.3 | 9.1 | 3.8 | 5.9 | 1.3 | 1.8 | -0.1 | 1.9 | 41.0 |
| 2018 | -7.6 | -13.3 | -12.6 | 14.9 | -1.7 | 7.1 | 4.2 | 1.6 | 3.3 | -9.0 | -0.6 | -18.6 | -31.8 |
| 2019 | 3.7 | -3.5 | 22.3 | 1.9 | -13.3 | 11.4 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 20.4 |
| 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 | 2/20/2016 |
|---|---|
| Suggested Minimum Capital | $50,000 |
| Age | 128 months |
| What it trades | Futures |
| # Trades | 129 |
| # Profitable | 86 |
| % Profitable | 66.7% |
| Avg trade duration | 4.2 days |
| Max peak-to-valley drawdown | 61.5% |
| drawdown period | Nov 26, 2017 - Dec 26, 2018 |
| Annual Return (Compounded) | 8.9% |
| Avg win | $1,790 |
| Avg loss | $2,594 |
Ratios
| W:L ratio | 1.38 |
|---|---|
| Sharpe Ratio | 0.34 |
| Sortino Ratio | 0.58 |
| Calmar Ratio | 0.39 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.09 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 299.3% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -152.0% |
Return Statistics
| Ann Return (w trading costs) | 8.9% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.1% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 9.8% |
Slump
| Current Slump as Pcnt Equity | 25.5% |
|---|---|
| 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 | 68.0% |
|---|---|
| Chance of 20% account loss | 41.5% |
| Chance of 30% account loss | 18.0% |
| Chance of 40% account loss | 8.0% |
| Chance of 50% account loss | 1.5% |
| 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 | 0.0% |
|---|
Popularity
| Popularity (Today) | 0 |
|---|---|
| Popularity (Last 6 weeks) | 325 |
| 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 | $2,594 |
|---|---|
| Avg Win | $1,790 |
| # Winners | 86 |
| Sum Trade PL (losers) | $111,560 |
| Sum Trade PL (winners) | $153,916 |
| Num Months Winners | 29 |
| # Losers | 43 |
| % Winners | 66.7% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 128 |
|---|
Frequency
| Avg Position Time (mins) | 6034.85 |
|---|---|
| Avg Position Time (hrs) | 100.58 |
| Avg Trade Length | 4.20 |
| Last Trade Ago | 2645 |
Leverage
| Daily leverage (average) | 5.16 |
|---|---|
| Daily leverage (max) | 15.28 |
Regression
| Alpha | 0.02 |
|---|---|
| Beta | 0.11 |
| Treynor Index | 0.22 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.04 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.03 |
| MAE:Equity, average, losing trades | 0.07 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.03 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 6.01 |
| MAE:PL (avg, all trades) | -1.13 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 75.18 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 22.72 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.67 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.34 |
| Hold-and-Hope Ratio | 0.17 |
RATIO STATISTICS
| Mean | 0.18 |
|---|---|
| SD | 0.24 |
| Sharpe ratio (Glass type estimate) | 0.76 |
| Sharpe ratio (Hedges UMVUE) | 0.75 |
| df | 64 |
| t | 1.78 |
| p | 0.04 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.09 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.61 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.10 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.61 |
| Sortino ratio | 1.77 |
| Upside Potential Ratio | 3.22 |
| Upside part of mean | 0.33 |
| Downside part of mean | -0.15 |
| Upside SD | 0.22 |
| Downside SD | 0.10 |
| N nonnegative terms | 26 |
| N negative terms | 39 |
| N of observations | 65 |
| Mean of predictor | 0.25 |
| Mean of criterion | 0.18 |
| SD of predictor | 0.23 |
| SD of criterion | 0.24 |
| Covariance | 0.00 |
| r | 0.08 |
| b (slope, estimate of beta) | 0.09 |
| a (intercept, estimate of alpha) | 0.16 |
| Mean Square Error | 0.06 |
| DF error | 63 |
| t(b) | 0.65 |
| p(b) | 0.26 |
| t(a) | 1.49 |
| p(a) | 0.07 |
| Lowerbound of 95% confidence interval for beta | -0.18 |
| Upperbound of 95% confidence interval for beta | 0.35 |
| Lowerbound of 95% confidence interval for alpha | -0.05 |
| Upperbound of 95% confidence interval for alpha | 0.38 |
| Treynor index (mean / b) | 2.13 |
| Jensen alpha (a) | 0.16 |
| Mean | 0.16 |
| SD | 0.22 |
| Sharpe ratio (Glass type estimate) | 0.69 |
| Sharpe ratio (Hedges UMVUE) | 0.69 |
| df | 64 |
| t | 1.61 |
| p | 0.06 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.16 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.54 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.17 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.54 |
| Sortino ratio | 1.44 |
| Upside Potential Ratio | 2.88 |
| Upside part of mean | 0.31 |
| Downside part of mean | -0.15 |
| Upside SD | 0.20 |
| Downside SD | 0.11 |
| N nonnegative terms | 26 |
| N negative terms | 39 |
| N of observations | 65 |
| Mean of predictor | 0.22 |
| Mean of criterion | 0.16 |
| SD of predictor | 0.23 |
| SD of criterion | 0.22 |
| Covariance | 0.01 |
| r | 0.10 |
| b (slope, estimate of beta) | 0.10 |
| a (intercept, estimate of alpha) | 0.13 |
| Mean Square Error | 0.05 |
| DF error | 63 |
| t(b) | 0.78 |
| p(b) | 0.22 |
| t(a) | 1.34 |
| p(a) | 0.09 |
| Lowerbound of 95% confidence interval for beta | -0.15 |
| Upperbound of 95% confidence interval for beta | 0.34 |
| Lowerbound of 95% confidence interval for alpha | -0.07 |
| Upperbound of 95% confidence interval for alpha | 0.33 |
| Treynor index (mean / b) | 1.63 |
| Jensen alpha (a) | 0.13 |
| VaR(95%) | 0.09 |
| Expected Shortfall on VaR | 0.11 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.06 |
| Mean | 0.19 |
| SD | 0.28 |
| Sharpe ratio (Glass type estimate) | 0.69 |
| Sharpe ratio (Hedges UMVUE) | 0.69 |
| df | 1427 |
| t | 1.61 |
| p | 0.47 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.15 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.53 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.15 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.53 |
| Sortino ratio | 1.15 |
| Upside Potential Ratio | 4.88 |
| Upside part of mean | 0.81 |
| Downside part of mean | -0.62 |
| Upside SD | 0.22 |
| Downside SD | 0.17 |
| N nonnegative terms | 319 |
| N negative terms | 1109 |
| N of observations | 1428 |
| Mean of predictor | 0.25 |
| Mean of criterion | 0.19 |
| SD of predictor | 0.24 |
| SD of criterion | 0.28 |
| Covariance | 0.01 |
| r | 0.11 |
| b (slope, estimate of beta) | 0.13 |
| a (intercept, estimate of alpha) | 0.16 |
| Mean Square Error | 0.08 |
| DF error | 1426 |
| t(b) | 4.19 |
| p(b) | 0.44 |
| t(a) | 1.35 |
| p(a) | 0.48 |
| Lowerbound of 95% confidence interval for beta | 0.07 |
| Upperbound of 95% confidence interval for beta | 0.19 |
| Lowerbound of 95% confidence interval for alpha | -0.07 |
| Upperbound of 95% confidence interval for alpha | 0.39 |
| Treynor index (mean / b) | 1.50 |
| Jensen alpha (a) | 0.16 |
| Mean | 0.15 |
| SD | 0.27 |
| Sharpe ratio (Glass type estimate) | 0.57 |
| Sharpe ratio (Hedges UMVUE) | 0.57 |
| df | 1427 |
| t | 1.34 |
| p | 0.48 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.27 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.41 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.27 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.41 |
| Sortino ratio | 0.89 |
| Upside Potential Ratio | 4.55 |
| Upside part of mean | 0.78 |
| Downside part of mean | -0.63 |
| Upside SD | 0.21 |
| Downside SD | 0.17 |
| N nonnegative terms | 319 |
| N negative terms | 1109 |
| N of observations | 1428 |
| Mean of predictor | 0.22 |
| Mean of criterion | 0.15 |
| SD of predictor | 0.24 |
| SD of criterion | 0.27 |
| Covariance | 0.01 |
| r | 0.11 |
| b (slope, estimate of beta) | 0.13 |
| a (intercept, estimate of alpha) | 0.13 |
| Mean Square Error | 0.07 |
| DF error | 1426 |
| t(b) | 4.36 |
| p(b) | 0.44 |
| t(a) | 1.10 |
| p(a) | 0.49 |
| Lowerbound of 95% confidence interval for beta | 0.07 |
| Upperbound of 95% confidence interval for beta | 0.19 |
| Lowerbound of 95% confidence interval for alpha | -0.10 |
| Upperbound of 95% confidence interval for alpha | 0.35 |
| Treynor index (mean / b) | 1.20 |
| Jensen alpha (a) | 0.13 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.03 |
| 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 | 1.06 |
| Mean of criterion | -0.03 |
| SD of predictor | 0.37 |
| 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 | 0.99 |
| Mean of criterion | -0.03 |
| SD of predictor | 0.38 |
| 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) | -6777684952612864 |
| 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) | 3.49789668192267e+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 | 65 |
|---|---|
| Minimum | 0.88 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1.03 |
| Maximum | 1.29 |
| Mean of quarter 1 | 0.96 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1.01 |
| Mean of quarter 4 | 1.10 |
| Inter Quartile Range | 0.03 |
| Number outliers low | 8 |
| Percentage of outliers low | 0.12 |
| Mean of outliers low | 0.92 |
| Number of outliers high | 7 |
| Percentage of outliers high | 0.11 |
| Mean of outliers high | 1.17 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | -0.46 |
| VaR(95%) (regression method) | 0.05 |
| Expected Shortfall (regression method) | 0.07 |
| Number of observations | 1428 |
| Minimum | 0.86 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.32 |
| 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 | 237 |
| Percentage of outliers low | 0.17 |
| Mean of outliers low | 0.99 |
| Number of outliers high | 321 |
| Percentage of outliers high | 0.22 |
| Mean of outliers high | 1.01 |
| Extreme Value Index (moments method) | 0.78 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.03 |
| Extreme Value Index (regression method) | 0.34 |
| 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 | 4 |
|---|---|
| Minimum | 0.01 |
| Quartile 1 | 0.01 |
| Median | 0.03 |
| Quartile 3 | 0.11 |
| Maximum | 0.33 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.02 |
| Mean of quarter 3 | 0.03 |
| Mean of quarter 4 | 0.33 |
| Inter Quartile Range | 0.10 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.25 |
| Mean of outliers high | 0.33 |
| 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 | 34 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.01 |
| Quartile 3 | 0.02 |
| Maximum | 0.51 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.02 |
| Mean of quarter 4 | 0.11 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 5 |
| Percentage of outliers high | 0.15 |
| Mean of outliers high | 0.18 |
| Extreme Value Index (moments method) | 0.86 |
| VaR(95%) (moments method) | 0.11 |
| Expected Shortfall (moments method) | 0.85 |
| Extreme Value Index (regression method) | 1.57 |
| VaR(95%) (regression method) | 0.08 |
| 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? | -480646816 |
| Max Equity Drawdown (num days) | 395 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.31 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.20 |
| Calmar ratio (compounded annual return / max draw down) | 0.60 |
| Compounded annual return / average of 25% largest draw downs | 0.60 |
| Compounded annual return / Expected Shortfall lognormal | 1.78 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.31 |
| Compounded annual return (geometric extrapolation) | 0.20 |
| Calmar ratio (compounded annual return / max draw down) | 0.39 |
| Compounded annual return / average of 25% largest draw downs | 1.76 |
| Compounded annual return / Expected Shortfall lognormal | 6.04 |
| 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 373 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| ES M9 | long | 2 | May 29, 2019 | Jun 5, 2019 | $2,359 |
| ES M9 | long | 1 | May 22, 2019 | May 23, 2019 | ($1,033) |
| ES M9 | long | 7 | May 5, 2019 | May 17, 2019 | ($3,469) |
| NQ M9 | long | 2 | May 14, 2019 | May 14, 2019 | ($16) |
| ES M9 | long | 2 | Mar 25, 2019 | Apr 2, 2019 | $6,547 |
| ES H9 | long | 3 | Mar 5, 2019 | Mar 13, 2019 | $6,026 |
| ES H9 | short | 1 | Feb 15, 2019 | Feb 22, 2019 | ($633) |
| ES H9 | short | 1 | Jan 31, 2019 | Feb 6, 2019 | ($1,771) |
| ES H9 | long | 4 | Dec 25, 2018 | Jan 4, 2019 | $22,981 |
| ES H9 | long | 6 | Dec 17, 2018 | Dec 24, 2018 | ($24,286) |
| ES Z8 | long | 4 | Dec 9, 2018 | Dec 19, 2018 | ($6,601) |
| NQ H9 | long | 2 | Dec 17, 2018 | Dec 18, 2018 | $827 |
| ES Z8 | long | 1 | Dec 6, 2018 | Dec 6, 2018 | $3,630 |
| ES Z8 | long | 2 | Dec 4, 2018 | Dec 6, 2018 | ($5,804) |
| ES Z8 | long | 10 | Nov 12, 2018 | Nov 28, 2018 | ($2,577) |
| ES Z8 | short | 1 | Nov 6, 2018 | Nov 12, 2018 | $1,100 |
| ES Z8 | long | 1 | Oct 31, 2018 | Nov 1, 2018 | $480 |
| ES Z8 | long | 1 | Oct 31, 2018 | Oct 31, 2018 | ($286) |
| ES Z8 | long | 2 | Oct 29, 2018 | Oct 31, 2018 | $4,964 |
| NQ Z8 | long | 1 | Oct 29, 2018 | Oct 29, 2018 | ($7) |
| ES Z8 | long | 1 | Oct 26, 2018 | Oct 28, 2018 | $1,105 |
| ES Z8 | long | 1 | Oct 24, 2018 | Oct 25, 2018 | $1,092 |
| ES Z8 | long | 1 | Oct 23, 2018 | Oct 24, 2018 | ($1,001) |
| ES Z8 | long | 2 | Oct 22, 2018 | Oct 23, 2018 | ($1,225) |
| ES Z8 | long | 1 | Oct 18, 2018 | Oct 19, 2018 | $1,055 |
| ES Z8 | long | 4 | Oct 12, 2018 | Oct 16, 2018 | $7,244 |
| ES Z8 | long | 2 | Oct 11, 2018 | Oct 11, 2018 | ($4,684) |
| ES Z8 | long | 6 | Sep 26, 2018 | Oct 10, 2018 | ($12,811) |
| ES U8 | long | 2 | Sep 4, 2018 | Sep 13, 2018 | $1,131 |
| ES U8 | long | 1 | Aug 15, 2018 | Aug 21, 2018 | $2,468 |
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.