LIQUID Volatility Plus
- hypothetical · Annual Return (Compounded)
- 5.6%
- Max Drawdown
- 17.7%
- Trades
- 80
- Win Trades
- 43.8%
- Profit Factor
- 2.10
- Win Months
- 34.0%
About this strategy
New Algorithm Trade System (starting date) : after an initial test period the official version of the strategy started on October 10th 2022.
All Liquid Volatility strategies that can be MANUALLY traded.
All are 100% algorithmic systematic strategies. No human intervention.
LIQUID Volatility SVXY go back to trade “LONG Only” SVXY (-0.5x Short VIX Futures ETF)
Thus it will be possible to trade this strategy also for IRA accounts.
LIQUID Volatility UVXY trades “SHORT only” UVXY (1.5 x ProShares VIX Short-Term Futures ETF).
LIQUID Volatility PLUS trades “SHORT only” VXX (iPath Series B S&P 500 VIX Short-Term Futures ETN).
LIQUID Volatility SVXY and LIQUID Volatility UVXY has no option coverage but only a stop loss updated every day.
LIQUID Volatility PLUS, in addition to the stop loss, also has an option call coverage to prevent a large loss from a "black swan" event.
The vast majority of the time, these options will expire worthless.
However, should there be some sort of unforeseen "black-swan" event, then the options will provide a cap on the amount of money that could be lost on the overall trade.
2024 update :
1)LIQUID VOLATILITY plus is now 100% TOS-certified since January 2024”
2) in order to generate a surplus percentage yield starting from January 2024 all Liquid Volatility strategies will invest in the SGOV iShares 0-3 Month Treasury Bond ETF.
May 1 Update:
After various tests conducted on the standard deviation of the various ETFs and their performance compared to each other, we decided to use SVXY for the Long Only and VXX with UVXY for the Short Only. This change will be permanent.
PS: the trades in TAP or INCY that occurred in LIQUID Volatility Plus were the result of broker transmit errors and were immediately closed. They are not part of the strategy that trades volatility only,
All Liquid Volatility strategies that can be MANUALLY traded.
All are 100% algorithmic systematic strategies. No human intervention.
LIQUID Volatility SVXY go back to trade “LONG Only” SVXY (-0.5x Short VIX Futures ETF)
Thus it will be possible to trade this strategy also for IRA accounts.
LIQUID Volatility UVXY trades “SHORT only” UVXY (1.5 x ProShares VIX Short-Term Futures ETF).
LIQUID Volatility PLUS trades “SHORT only” VXX (iPath Series B S&P 500 VIX Short-Term Futures ETN).
LIQUID Volatility SVXY and LIQUID Volatility UVXY has no option coverage but only a stop loss updated every day.
LIQUID Volatility PLUS, in addition to the stop loss, also has an option call coverage to prevent a large loss from a "black swan" event.
The vast majority of the time, these options will expire worthless.
However, should there be some sort of unforeseen "black-swan" event, then the options will provide a cap on the amount of money that could be lost on the overall trade.
2024 update :
1)LIQUID VOLATILITY plus is now 100% TOS-certified since January 2024”
2) in order to generate a surplus percentage yield starting from January 2024 all Liquid Volatility strategies will invest in the SGOV iShares 0-3 Month Treasury Bond ETF.
May 1 Update:
After various tests conducted on the standard deviation of the various ETFs and their performance compared to each other, we decided to use SVXY for the Long Only and VXX with UVXY for the Short Only. This change will be permanent.
PS: the trades in TAP or INCY that occurred in LIQUID Volatility Plus were the result of broker transmit errors and were immediately closed. They are not part of the strategy that trades volatility only,
Hedged Equity Short-term Reversal
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2022 | 1.5 | -0.3 | -5.2 | 3.2 | 5.3 | 2.3 | 6.6 | ||||||
| 2023 | 7.1 | 1.4 | 1.6 | 0.8 | 3.1 | 2.2 | 3.1 | -1.5 | -0.1 | -0.8 | 1.4 | 1.7 | 21.4 |
| 2024 | 3.7 | 3.2 | -0.2 | -0.9 | 4.7 | 1.8 | -2.2 | -12.0 | 0.0 | 0.0 | 0.0 | 0.0 | -3.0 |
| 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 |
Statistics
Overview
| Strategy began | 7/7/2022 |
|---|---|
| Suggested Minimum Capital | $25,000 |
| Age | 51 months |
| What it trades | Stocks, Options |
| # Trades | 80 |
| # Profitable | 35 |
| % Profitable | 43.8% |
| Avg trade duration | 9.2 days |
| Max peak-to-valley drawdown | 17.7% |
| drawdown period | July 23, 2024 - Aug 03, 2024 |
| Annual Return (Compounded) | 5.6% |
| Avg win | $503 |
| Avg loss | $189 |
Ratios
| W:L ratio | 2.09 |
|---|---|
| Sharpe Ratio | 0.37 |
| Sortino Ratio | 0.48 |
| Calmar Ratio | 1.02 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.35 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 96.9% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -71.9% |
Return Statistics
| Ann Return (w trading costs) | 5.6% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.1% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 8.6% |
Slump
| Current Slump as Pcnt Equity | 21.1% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.5% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.4% |
| Short Options - Percent Covered | 100.0% |
| Percent Trades Stocks | 0.6% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 14.0% |
|---|---|
| Chance of 20% account loss | 1.0% |
| Chance of 30% account loss | 0.0% |
| 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 | 1 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $189 |
|---|---|
| Avg Win | $503 |
| # Winners | 35 |
| Sum Trade PL (losers) | $8,520 |
| Sum Trade PL (winners) | $17,614 |
| Num Months Winners | 17 |
| # Losers | 45 |
| % Winners | 43.8% |
Dividends
| Dividends Received in Model Acct | 169 |
|---|
Age
| Num Months filled monthly returns table | 50 |
|---|
Frequency
| Avg Position Time (mins) | 13256.50 |
|---|---|
| Avg Position Time (hrs) | 220.94 |
| Avg Trade Length | 9.20 |
| Last Trade Ago | 759 |
Leverage
| Daily leverage (average) | 0.54 |
|---|---|
| Daily leverage (max) | 1.83 |
Regression
| Alpha | 0 |
|---|---|
| Beta | 0.21 |
| Treynor Index | 0.05 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.01 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.15 |
| 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 | 2.13 |
| MAE:PL (avg, all trades) | -1.29 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 71.68 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 29.51 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.56 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.09 |
| Hold-and-Hope Ratio | 0.47 |
RATIO STATISTICS
| Mean | 0.13 |
|---|---|
| SD | 0.13 |
| Sharpe ratio (Glass type estimate) | 0.97 |
| Sharpe ratio (Hedges UMVUE) | 0.94 |
| df | 27 |
| t | 1.48 |
| p | 0.08 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.35 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.27 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.37 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.25 |
| Sortino ratio | 1.34 |
| Upside Potential Ratio | 2.32 |
| Upside part of mean | 0.22 |
| Downside part of mean | -0.09 |
| Upside SD | 0.10 |
| Downside SD | 0.10 |
| N nonnegative terms | 18 |
| N negative terms | 10 |
| N of observations | 28 |
| Mean of predictor | 0.27 |
| Mean of criterion | 0.13 |
| SD of predictor | 0.17 |
| SD of criterion | 0.13 |
| Covariance | 0.00 |
| r | 0.21 |
| b (slope, estimate of beta) | 0.17 |
| a (intercept, estimate of alpha) | 0.09 |
| Mean Square Error | 0.02 |
| DF error | 26 |
| t(b) | 1.09 |
| p(b) | 0.14 |
| t(a) | 0.89 |
| p(a) | 0.19 |
| Lowerbound of 95% confidence interval for beta | -0.15 |
| Upperbound of 95% confidence interval for beta | 0.48 |
| Lowerbound of 95% confidence interval for alpha | -0.11 |
| Upperbound of 95% confidence interval for alpha | 0.28 |
| Treynor index (mean / b) | 0.78 |
| Jensen alpha (a) | 0.09 |
| Mean | 0.12 |
| SD | 0.14 |
| Sharpe ratio (Glass type estimate) | 0.87 |
| Sharpe ratio (Hedges UMVUE) | 0.84 |
| df | 27 |
| t | 1.33 |
| p | 0.10 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.44 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.16 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.46 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.15 |
| Sortino ratio | 1.16 |
| Upside Potential Ratio | 2.12 |
| Upside part of mean | 0.22 |
| Downside part of mean | -0.10 |
| Upside SD | 0.09 |
| Downside SD | 0.10 |
| N nonnegative terms | 18 |
| N negative terms | 10 |
| N of observations | 28 |
| Mean of predictor | 0.25 |
| Mean of criterion | 0.12 |
| SD of predictor | 0.16 |
| SD of criterion | 0.14 |
| Covariance | 0.00 |
| r | 0.22 |
| b (slope, estimate of beta) | 0.18 |
| a (intercept, estimate of alpha) | 0.07 |
| Mean Square Error | 0.02 |
| DF error | 26 |
| t(b) | 1.13 |
| p(b) | 0.13 |
| t(a) | 0.75 |
| p(a) | 0.23 |
| Lowerbound of 95% confidence interval for beta | -0.15 |
| Upperbound of 95% confidence interval for beta | 0.51 |
| Lowerbound of 95% confidence interval for alpha | -0.13 |
| Upperbound of 95% confidence interval for alpha | 0.28 |
| Treynor index (mean / b) | 0.66 |
| Jensen alpha (a) | 0.07 |
| VaR(95%) | 0.05 |
| Expected Shortfall on VaR | 0.07 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.03 |
| Mean | 0.12 |
| SD | 0.11 |
| Sharpe ratio (Glass type estimate) | 1.12 |
| Sharpe ratio (Hedges UMVUE) | 1.12 |
| df | 620 |
| t | 1.73 |
| p | 0.04 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.15 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.40 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.15 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.40 |
| Sortino ratio | 1.47 |
| Upside Potential Ratio | 5.92 |
| Upside part of mean | 0.50 |
| Downside part of mean | -0.37 |
| Upside SD | 0.07 |
| Downside SD | 0.08 |
| N nonnegative terms | 211 |
| N negative terms | 410 |
| N of observations | 621 |
| Mean of predictor | 0.28 |
| Mean of criterion | 0.12 |
| SD of predictor | 0.20 |
| SD of criterion | 0.11 |
| Covariance | 0.01 |
| r | 0.35 |
| b (slope, estimate of beta) | 0.19 |
| a (intercept, estimate of alpha) | 0.07 |
| Mean Square Error | 0.01 |
| DF error | 619 |
| t(b) | 9.43 |
| p(b) | 0 |
| t(a) | 1.03 |
| p(a) | 0.15 |
| Lowerbound of 95% confidence interval for beta | 0.15 |
| Upperbound of 95% confidence interval for beta | 0.23 |
| Lowerbound of 95% confidence interval for alpha | -0.06 |
| Upperbound of 95% confidence interval for alpha | 0.20 |
| Treynor index (mean / b) | 0.64 |
| Jensen alpha (a) | 0.07 |
| Mean | 0.12 |
| SD | 0.11 |
| Sharpe ratio (Glass type estimate) | 1.06 |
| Sharpe ratio (Hedges UMVUE) | 1.06 |
| df | 620 |
| t | 1.63 |
| p | 0.05 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.22 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.33 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.22 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.33 |
| Sortino ratio | 1.37 |
| Upside Potential Ratio | 5.78 |
| Upside part of mean | 0.49 |
| Downside part of mean | -0.38 |
| Upside SD | 0.07 |
| Downside SD | 0.09 |
| N nonnegative terms | 211 |
| N negative terms | 410 |
| N of observations | 621 |
| Mean of predictor | 0.26 |
| Mean of criterion | 0.12 |
| SD of predictor | 0.20 |
| SD of criterion | 0.11 |
| Covariance | 0.01 |
| r | 0.35 |
| b (slope, estimate of beta) | 0.20 |
| a (intercept, estimate of alpha) | 0.07 |
| Mean Square Error | 0.01 |
| DF error | 619 |
| t(b) | 9.44 |
| p(b) | 0 |
| t(a) | 0.98 |
| p(a) | 0.16 |
| Lowerbound of 95% confidence interval for beta | 0.15 |
| Upperbound of 95% confidence interval for beta | 0.24 |
| Lowerbound of 95% confidence interval for alpha | -0.07 |
| Upperbound of 95% confidence interval for alpha | 0.20 |
| Treynor index (mean / b) | 0.60 |
| Jensen alpha (a) | 0.07 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.01 |
| Mean | -0.29 |
| SD | 0.14 |
| Sharpe ratio (Glass type estimate) | -2.02 |
| Sharpe ratio (Hedges UMVUE) | -2.00 |
| df | 130 |
| t | -1.43 |
| p | 0.56 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -4.79 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.77 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -4.79 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.78 |
| Sortino ratio | -2.13 |
| Upside Potential Ratio | 1.16 |
| Upside part of mean | 0.16 |
| Downside part of mean | -0.45 |
| Upside SD | 0.05 |
| Downside SD | 0.14 |
| N nonnegative terms | 10 |
| N negative terms | 121 |
| N of observations | 131 |
| Mean of predictor | 0.71 |
| Mean of criterion | -0.29 |
| SD of predictor | 0.31 |
| SD of criterion | 0.14 |
| Covariance | 0.01 |
| r | 0.22 |
| b (slope, estimate of beta) | 0.10 |
| a (intercept, estimate of alpha) | -0.36 |
| Mean Square Error | 0.02 |
| DF error | 129 |
| t(b) | 2.60 |
| p(b) | 0.36 |
| t(a) | -1.81 |
| p(a) | 0.60 |
| Lowerbound of 95% confidence interval for beta | 0.02 |
| Upperbound of 95% confidence interval for beta | 0.18 |
| Lowerbound of 95% confidence interval for alpha | -0.76 |
| Upperbound of 95% confidence interval for alpha | 0.03 |
| Treynor index (mean / b) | -2.81 |
| Jensen alpha (a) | -0.36 |
| Mean | -0.30 |
| SD | 0.15 |
| Sharpe ratio (Glass type estimate) | -2.04 |
| Sharpe ratio (Hedges UMVUE) | -2.03 |
| df | 130 |
| t | -1.44 |
| p | 0.56 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -4.82 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.74 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -4.81 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.75 |
| Sortino ratio | -2.15 |
| Upside Potential Ratio | 1.12 |
| Upside part of mean | 0.16 |
| Downside part of mean | -0.46 |
| Upside SD | 0.05 |
| Downside SD | 0.14 |
| N nonnegative terms | 10 |
| N negative terms | 121 |
| N of observations | 131 |
| Mean of predictor | 0.67 |
| Mean of criterion | -0.30 |
| SD of predictor | 0.31 |
| SD of criterion | 0.15 |
| Covariance | 0.01 |
| r | 0.22 |
| b (slope, estimate of beta) | 0.11 |
| a (intercept, estimate of alpha) | -0.37 |
| Mean Square Error | 0.02 |
| DF error | 129 |
| t(b) | 2.61 |
| p(b) | 0.36 |
| t(a) | -1.81 |
| p(a) | 0.60 |
| Lowerbound of 95% confidence interval for beta | 0.03 |
| VAR (95 Confidence Intrvl) | 0.01 |
| Upperbound of 95% confidence interval for beta | 0.19 |
| Lowerbound of 95% confidence interval for alpha | -0.78 |
| Upperbound of 95% confidence interval for alpha | 0.04 |
| Treynor index (mean / b) | -2.83 |
| Jensen alpha (a) | -0.37 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.02 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
ORDER STATISTICS
| Number of observations | 28 |
|---|---|
| Minimum | 0.86 |
| Quartile 1 | 1 |
| Median | 1.01 |
| Quartile 3 | 1.04 |
| Maximum | 1.07 |
| Mean of quarter 1 | 0.97 |
| Mean of quarter 2 | 1.01 |
| Mean of quarter 3 | 1.02 |
| Mean of quarter 4 | 1.05 |
| Inter Quartile Range | 0.04 |
| Number outliers low | 1 |
| Percentage of outliers low | 0.04 |
| Mean of outliers low | 0.86 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | -0.51 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.00 |
| Extreme Value Index (regression method) | 1.14 |
| VaR(95%) (regression method) | 0.04 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 621 |
| Minimum | 0.94 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1.00 |
| Maximum | 1.03 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0.00 |
| Number outliers low | 74 |
| Percentage of outliers low | 0.12 |
| Mean of outliers low | 0.99 |
| Number of outliers high | 90 |
| Percentage of outliers high | 0.14 |
| Mean of outliers high | 1.01 |
| Extreme Value Index (moments method) | 0.14 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.00 |
| Extreme Value Index (regression method) | 0.32 |
| VaR(95%) (regression method) | 0.00 |
| Expected Shortfall (regression method) | 0.01 |
| Number of observations | 131 |
| Minimum | 0.94 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.03 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.00 |
| Inter Quartile Range | 0 |
| Number outliers low | 8 |
| Percentage of outliers low | 0.06 |
| Mean of outliers low | 0.97 |
| Number of outliers high | 10 |
| Percentage of outliers high | 0.08 |
| Mean of outliers high | 1.01 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | -0.30 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.03 |
DRAW DOWN STATISTICS
| Number of observations | 5 |
|---|---|
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.02 |
| Quartile 3 | 0.03 |
| Maximum | 0.14 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.02 |
| Mean of quarter 3 | 0.03 |
| Mean of quarter 4 | 0.14 |
| Inter Quartile Range | 0.03 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.20 |
| Mean of outliers high | 0.14 |
| 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 | 36 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.01 |
| Quartile 3 | 0.02 |
| Maximum | 0.15 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.00 |
| Mean of quarter 3 | 0.01 |
| Mean of quarter 4 | 0.05 |
| 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 | 0.14 |
| Mean of outliers high | 0.08 |
| Extreme Value Index (moments method) | 0.42 |
| VaR(95%) (moments method) | 0.05 |
| Expected Shortfall (moments method) | 0.11 |
| Extreme Value Index (regression method) | 0.44 |
| VaR(95%) (regression method) | 0.06 |
| Expected Shortfall (regression method) | 0.13 |
| Number of observations | 2 |
| Minimum | 0.02 |
| Quartile 1 | 0.05 |
| Median | 0.09 |
| Quartile 3 | 0.12 |
| Maximum | 0.15 |
| Mean of quarter 1 | 0.02 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.15 |
| 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) | 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? | -411976576 |
| Max Equity Drawdown (num days) | 11 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.18 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.16 |
| Calmar ratio (compounded annual return / max draw down) | 1.15 |
| Compounded annual return / average of 25% largest draw downs | 1.15 |
| Compounded annual return / Expected Shortfall lognormal | 2.29 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.17 |
| Compounded annual return (geometric extrapolation) | 0.16 |
| Calmar ratio (compounded annual return / max draw down) | 1.02 |
| Compounded annual return / average of 25% largest draw downs | 2.88 |
| Compounded annual return / Expected Shortfall lognormal | 11.51 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.25 |
| Compounded annual return (geometric extrapolation) | -0.24 |
| Calmar ratio (compounded annual return / max draw down) | -1.55 |
| Compounded annual return / average of 25% largest draw downs | -1.55 |
| Compounded annual return / Expected Shortfall lognormal | -12.12 |
Trading record
Placed 109 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| VXX | short | 453 | Jul 18, 2024 | Aug 2, 2024 | ($5,095) |
| SGOV | long | 199 | Jul 18, 2024 | Aug 2, 2024 | ($51) |
| VXX22426G13 | long | 18 | Jul 24, 2024 | Jul 26, 2024 | ($25) |
| VXX2426G13 | long | 18 | Jul 18, 2024 | Jul 24, 2024 | ($232) |
| VXX2405G14.5 | long | 18 | Jun 25, 2024 | Jul 3, 2024 | ($93) |
| SGOV | long | 199 | Jun 25, 2024 | Jul 3, 2024 | ($57) |
| VXX | short | 1790 | Jun 25, 2024 | Jul 3, 2024 | $1,382 |
| VXX2407F14 | long | 17 | Jun 3, 2024 | Jun 6, 2024 | ($75) |
| SGOV | long | 198 | Jun 3, 2024 | Jun 6, 2024 | $4 |
| VXX | short | 1734 | Jun 3, 2024 | Jun 6, 2024 | $427 |
| VXX2410E16.5 | long | 14 | May 1, 2024 | May 11, 2024 | ($144) |
| SGOV | long | 199 | May 1, 2024 | May 7, 2024 | $9 |
| VXX | short | 1458 | May 1, 2024 | May 7, 2024 | $1,763 |
| INCY | long | 50 | Apr 30, 2024 | Apr 30, 2024 | $0 |
| VXX2403E16.5 | long | 12 | Apr 25, 2024 | Apr 30, 2024 | ($161) |
| SGOV | long | 159 | Apr 3, 2024 | Apr 30, 2024 | $57 |
| VXX | short | 1370 | Apr 3, 2024 | Apr 30, 2024 | $453 |
| VXX2426D17.5 | long | 10 | Apr 22, 2024 | Apr 27, 2024 | ($97) |
| VXX2419D18 | long | 12 | Apr 15, 2024 | Apr 20, 2024 | ($236) |
| VXX2419D18 | long | 6 | Apr 12, 2024 | Apr 12, 2024 | ($26) |
| VXX2412D17 | long | 12 | Apr 3, 2024 | Apr 12, 2024 | ($101) |
| VXX2422C18 | long | 3 | Mar 18, 2024 | Mar 23, 2024 | ($14) |
| SGOV | long | 45 | Mar 18, 2024 | Mar 21, 2024 | $2 |
| VXX | short | 321.75 | Mar 18, 2024 | Mar 21, 2024 | $304 |
| SGOV | long | 104.25 | Mar 6, 2024 | Mar 7, 2024 | $2 |
| VXX2408C16 | long | 7.5 | Mar 6, 2024 | Mar 6, 2024 | ($11) |
| VXX | short | 1296 | Mar 6, 2024 | Mar 6, 2024 | ($152) |
| VXX2423B20 | long | 9.75 | Feb 14, 2024 | Feb 24, 2024 | ($134) |
| SGOV | long | 146.25 | Feb 14, 2024 | Feb 22, 2024 | $11 |
| VXX | short | 1006.5 | Feb 14, 2024 | Feb 22, 2024 | $337 |
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.