Dave's Trader1688 ATM
- hypothetical · Annual Return (Compounded)
- 12.0%
- Max Drawdown
- 33.9%
- Trades
- 465
- Win Trades
- 79.8%
- Profit Factor
- 2.60
- Win Months
- 9.2%
About this strategy
Stock picking, timing, money management are all necessary parts for successful trading.
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Notice: THIS SYSTEM WILL NOT ACCEPT SUBSCRIPTION ANY MORE.
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FAQs.
This is for your information only. It is not a recommendation for every reader. Your money your decision.
Q1. Whats the way to get trade signal?
A1. Via email and/or ITM (instant trade messager).
Q2. Whats the fastest way to get trade signal?
A2. ITM is highly recommended. ITM almost gets the signal immediately after it is published.
Q3. Can I repeat the performance if I use this system?
A3. Hope so. However you need to understand this is a simulation system. Even if you can get 1/2, 1/3, 1/4 of the system performance, you get a good deal.
Q4. When does this system issue trade signal?
A4. It could issue at any time. However please watch for the last 10 minutes before the market closes. Some very good trades could be issued during this time.
Q5. How often do you issue trade signal?
A5. It depends on the market situation. Only serious trades are published.
Q6. What can I get from this sytem?
A6. Money management, stock picking, timing, market psycology.
Q7. Do you have your own website?
A7. Not yet, but will have.
Q8. How can we communicate with system developer?
A8. You can send private message to system developer. Also there is a message board for people to discuss and provide feedback.
Q9. If I am a first time user of this system, what should I do?
A9. First, you need to get famaliar with the terms at collectvie2. Then you might want to do a research on this system. I recommend people do some research before subscribing to the system. If you do not feel comfortable, do not subscribe.
Q10. Does system developer put real money in the positions in this system?
A10. Yes. System developer does not publish trades which does not involve real money.
Q11. How do I maximize my performance if I subscribe to the system?
A11. This system provides a platform for a better performance, you can get a better return if you can adjust your position size percentage over the account value, entry point, time frame. For good chart traders, they might be able to get a better eny point.
Q12. Does the system issue trade signal based on FA (fundamental analysis) or TA (technical analysis)?
A12. Both. The system provides good candidates to trade for long and short sell. For each trade, the fundmental of the stock is considered.
Q13. Does your real trade exactly follow this system?
A13. No. For all kinds of reasons, I will try to make the system easy to follow. For example, some people have concern of daytrade limit, I will try to have interday trade instead of daytrade. For example, in my real trade I may trade more frequently to catch some small waves, but in this system, I might try to avoid small waves so it is easier to follow.
Q14. For every trade signal you give, should I follow the same size?
A14. There are two factors related to the size you should follow. First one is your account size. You need to consider your account size and the system account size. The second one is the vol of the stock. As you know, this is a hypothetical result. You need to take the vol of the stock into consideration. If the size you follow is too large for the stock, you might get trouble and put you own on risk.
Q15. Why was your system flat for about one month?
A15. A good trader not only needs to know when to trade, he/she also needs to know when not to trade. He/she not only needs to know when to trade aggressively, but also needs to know when to trade defensively.
Q16. The trade on 3/10/05 at 14:31 when the system ordered STO 50000 shares of BOOM at $29.76, the order value was $1488000 at a time when the account value was, by my calculations neglecting commissions, well under $280000. This would require a margin ratio above 5:1, much higher than my Scottrade margin account allows. How was that possible?
A16. C2 recorded the average price of the trade. Here I just give an example to explain. For example, if my accounts maximum buying power is only able to buy 5K BOOM at 44. Then I buy 5K BOOM at 44. Ten minutes later, I sell 4.9k BOOM at 45; then I buy back 5K BOOM at 44, then sell 5K BOOM at 45, then buy 4.9k BOOM at 44, then sell 5K BOOM at 45. At last, C2 will record as " BTO 15K BOOM at 44, STC 15K BOOM at 45" which is much more than my buying power.
Q17. Why is your P/L per unit small?
A17. Because sometimes I traded large size penny stocks and they average the P/L per unit donw. For example, you can check these two trades out to see:
BTO100,000TEKC0.878/23/05 13:59STC100,0000.848/23/05 16:01($3,000)$0$0($3,000)
BTO90,000MPET3.097/22/05 12:30STC90,0003.228/3/05 14:43$11,997$0$0$11,997
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | 22.1 | 78.7 | 18.4 | 15.6 | 62.3 | -4.4 | -3.8 | 19.7 | 19.0 | 5.7 | 8.5 | -15.2 | 517.9 |
| 2006 | -0.9 | 10.4 | -0.4 | -8.1 | 10.1 | 3.7 | -11.7 | 0.1 | 7.6 | 14.0 | 16.4 | -0.4 | 43.7 |
| 2007 | -13.8 | 21.7 | 6.2 | -1.6 | -11.1 | 6.9 | -9.8 | 7.6 | 2.0 | -4.2 | 4.6 | 26.4 | 30.8 |
| 2008 | 1.6 | 0.0 | 0.0 | 0.0 | -0.5 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 1.1 |
| 2009 | 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 |
| 2010 | 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 |
| 2011 | 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 |
| 2012 | 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 |
| 2013 | 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 |
| 2014 | 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 |
| 2015 | 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 |
| 2016 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2017 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2018 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2019 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |
| 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 | 1/22/2005 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 263 months |
| What it trades | Stocks |
| # Trades | 465 |
| # Profitable | 371 |
| % Profitable | 79.8% |
| Avg trade duration | 9.3 days |
| Max peak-to-valley drawdown | 33.9% |
| drawdown period | Feb 22, 2007 - Aug 06, 2007 |
| Annual Return (Compounded) | 12.0% |
| Avg win | $5,169 |
| Avg loss | $7,702 |
Ratios
| W:L ratio | 2.65 |
|---|---|
| Sharpe Ratio | 0.44 |
| Sortino Ratio | 0.87 |
| Calmar Ratio | 0.03 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.03 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 555.1% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 519.1% |
Return Statistics
| Ann Return (w trading costs) | 12.0% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.1% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 12.5% |
Slump
| Current Slump as Pcnt Equity | 9.2% |
|---|---|
| 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 | 0.9% |
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 | 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% |
| Chance of 100% 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 | $7,702 |
|---|---|
| Avg Win | $5,169 |
| # Winners | 371 |
| Sum Trade PL (losers) | $723,999 |
| Sum Trade PL (winners) | $1,917,780 |
| Num Months Winners | 26 |
| # Losers | 94 |
| % Winners | 79.8% |
Dividends
| Dividends Received in Model Acct | -700 |
|---|
Age
| Num Months filled monthly returns table | 261 |
|---|
Frequency
| Avg Position Time (mins) | 13386.08 |
|---|---|
| Avg Position Time (hrs) | 223.10 |
| Avg Trade Length | 9.30 |
| Last Trade Ago | 6819 |
Regression
| Alpha | 0.03 |
|---|---|
| Beta | 0.04 |
| Treynor Index | 0.81 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.01 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.01 |
| MAE:Equity, average, losing trades | 0.02 |
| 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 | 2.26 |
| MAE:PL (avg, all trades) | 2.26 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 22.54 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 78.09 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.71 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.24 |
| Hold-and-Hope Ratio | 0.44 |
RATIO STATISTICS
| Mean | 0.15 |
|---|---|
| SD | 0.39 |
| Sharpe ratio (Glass type estimate) | 0.38 |
| Sharpe ratio (Hedges UMVUE) | 0.38 |
| df | 102 |
| t | 1.12 |
| p | 0.44 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.29 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.05 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.29 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.05 |
| Sortino ratio | 0.53 |
| Upside Potential Ratio | 1.13 |
| Upside part of mean | 0.32 |
| Downside part of mean | -0.17 |
| Upside SD | 0.27 |
| Downside SD | 0.28 |
| N nonnegative terms | 76 |
| N negative terms | 27 |
| N of observations | 103 |
| Mean of predictor | 0.15 |
| Mean of criterion | 0.15 |
| SD of predictor | 0.24 |
| SD of criterion | 0.39 |
| Covariance | 0.01 |
| r | 0.13 |
| b (slope, estimate of beta) | 0.20 |
| a (intercept, estimate of alpha) | 0.12 |
| Mean Square Error | 0.15 |
| DF error | 101 |
| t(b) | 1.29 |
| p(b) | 0.10 |
| t(a) | 0.88 |
| p(a) | 0.19 |
| Lowerbound of 95% confidence interval for beta | -0.11 |
| Upperbound of 95% confidence interval for beta | 0.52 |
| Lowerbound of 95% confidence interval for alpha | -0.15 |
| Upperbound of 95% confidence interval for alpha | 0.39 |
| Treynor index (mean / b) | 0.73 |
| Jensen alpha (a) | 0.12 |
| Mean | 0.03 |
| SD | 0.59 |
| Sharpe ratio (Glass type estimate) | 0.04 |
| Sharpe ratio (Hedges UMVUE) | 0.04 |
| df | 102 |
| t | 0.13 |
| p | 0.49 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.62 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.71 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.62 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.71 |
| Sortino ratio | 0.05 |
| Upside Potential Ratio | 0.53 |
| Upside part of mean | 0.29 |
| Downside part of mean | -0.26 |
| Upside SD | 0.23 |
| Downside SD | 0.54 |
| N nonnegative terms | 76 |
| N negative terms | 27 |
| N of observations | 103 |
| Mean of predictor | 0.12 |
| Mean of criterion | 0.03 |
| SD of predictor | 0.25 |
| SD of criterion | 0.59 |
| Covariance | 0.03 |
| r | 0.19 |
| b (slope, estimate of beta) | 0.46 |
| a (intercept, estimate of alpha) | -0.03 |
| Mean Square Error | 0.34 |
| DF error | 101 |
| t(b) | 1.98 |
| p(b) | 0.03 |
| t(a) | -0.14 |
| p(a) | 0.55 |
| Lowerbound of 95% confidence interval for beta | -0.00 |
| Upperbound of 95% confidence interval for beta | 0.92 |
| Lowerbound of 95% confidence interval for alpha | -0.42 |
| Upperbound of 95% confidence interval for alpha | 0.37 |
| Treynor index (mean / b) | 0.06 |
| Jensen alpha (a) | -0.03 |
| VaR(95%) | 0.24 |
| Expected Shortfall on VaR | 0.29 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.05 |
| Mean | 0.82 |
| SD | 1.31 |
| Sharpe ratio (Glass type estimate) | 0.63 |
| Sharpe ratio (Hedges UMVUE) | 0.63 |
| df | 2253 |
| t | 1.85 |
| p | 0.03 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.04 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.30 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.04 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.30 |
| Sortino ratio | 1.24 |
| Upside Potential Ratio | 3.71 |
| Upside part of mean | 2.45 |
| Downside part of mean | -1.63 |
| Upside SD | 1.13 |
| Downside SD | 0.66 |
| N nonnegative terms | 1839 |
| N negative terms | 415 |
| N of observations | 2254 |
| Mean of predictor | 0.28 |
| Mean of criterion | 0.82 |
| SD of predictor | 0.55 |
| SD of criterion | 1.31 |
| Covariance | 0.24 |
| r | 0.33 |
| b (slope, estimate of beta) | 0.79 |
| a (intercept, estimate of alpha) | 0.61 |
| Mean Square Error | 1.52 |
| DF error | 2252 |
| t(b) | 16.79 |
| p(b) | 0 |
| t(a) | 1.44 |
| p(a) | 0.07 |
| Lowerbound of 95% confidence interval for beta | 0.69 |
| Upperbound of 95% confidence interval for beta | 0.88 |
| Lowerbound of 95% confidence interval for alpha | -0.22 |
| Upperbound of 95% confidence interval for alpha | 1.43 |
| Treynor index (mean / b) | 1.05 |
| Jensen alpha (a) | 0.61 |
| Mean | 0.03 |
| SD | 1.33 |
| Sharpe ratio (Glass type estimate) | 0.02 |
| Sharpe ratio (Hedges UMVUE) | 0.02 |
| df | 2253 |
| t | 0.06 |
| p | 0.48 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.65 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.69 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.65 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.69 |
| Sortino ratio | 0.03 |
| Upside Potential Ratio | 1.95 |
| Upside part of mean | 2.04 |
| Downside part of mean | -2.02 |
| Upside SD | 0.81 |
| Downside SD | 1.05 |
| N nonnegative terms | 1839 |
| N negative terms | 415 |
| N of observations | 2254 |
| Mean of predictor | 0.13 |
| Mean of criterion | 0.03 |
| SD of predictor | 0.55 |
| SD of criterion | 1.33 |
| Covariance | 0.24 |
| r | 0.33 |
| b (slope, estimate of beta) | 0.80 |
| a (intercept, estimate of alpha) | -0.07 |
| Mean Square Error | 1.57 |
| DF error | 2252 |
| t(b) | 16.49 |
| p(b) | 0 |
| t(a) | -0.17 |
| p(a) | 0.57 |
| Lowerbound of 95% confidence interval for beta | 0.70 |
| Upperbound of 95% confidence interval for beta | 0.89 |
| Lowerbound of 95% confidence interval for alpha | -0.91 |
| Upperbound of 95% confidence interval for alpha | 0.77 |
| Treynor index (mean / b) | 0.03 |
| Jensen alpha (a) | -0.07 |
| VaR(95%) | 0.13 |
| Expected Shortfall on VaR | 0.16 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| Mean | 0 |
| 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 | 0 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | 0 |
| Upside SD | 0 |
| Downside SD | 0 |
| N nonnegative terms | 131 |
| N negative terms | 0 |
| N of observations | 131 |
| Mean of predictor | 0.99 |
| Mean of criterion | 0 |
| 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 |
| 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 | 0 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | 0 |
| Upside SD | 0 |
| Downside SD | 0 |
| N nonnegative terms | 131 |
| N negative terms | 0 |
| N of observations | 131 |
| Mean of predictor | 0.85 |
| Mean of criterion | 0 |
| SD of predictor | 0.53 |
| 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 |
| VAR (95 Confidence Intrvl) | 0.13 |
| 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 |
| VaR(95%) | 0 |
| Expected Shortfall on VaR | 0 |
| VaR(95%) | 0 |
| Expected Shortfall on VaR | 0 |
ORDER STATISTICS
| Number of observations | 103 |
|---|---|
| Minimum | 0.21 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.54 |
| Mean of quarter 1 | 0.94 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.10 |
| Inter Quartile Range | 0 |
| Number outliers low | 16 |
| Percentage of outliers low | 0.16 |
| Mean of outliers low | 0.91 |
| Number of outliers high | 25 |
| Percentage of outliers high | 0.24 |
| Mean of outliers high | 1.11 |
| Extreme Value Index (moments method) | -3.63 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.00 |
| Extreme Value Index (regression method) | 0.89 |
| VaR(95%) (regression method) | 0.03 |
| Expected Shortfall (regression method) | 0.46 |
| Number of observations | 2254 |
| Minimum | 0.12 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 2.46 |
| Mean of quarter 1 | 0.98 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.04 |
| Inter Quartile Range | 0 |
| Number outliers low | 415 |
| Percentage of outliers low | 0.18 |
| Mean of outliers low | 0.97 |
| Number of outliers high | 429 |
| Percentage of outliers high | 0.19 |
| Mean of outliers high | 1.05 |
| Extreme Value Index (moments method) | 0.84 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.05 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| 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 | 0.00 |
| Quartile 1 | 0.03 |
| Median | 0.08 |
| Quartile 3 | 0.29 |
| Maximum | 0.79 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.03 |
| Mean of quarter 3 | 0.13 |
| Mean of quarter 4 | 0.79 |
| Inter Quartile Range | 0.26 |
| 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 | 0.79 |
| 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 | 16 |
| Minimum | 0.05 |
| Quartile 1 | 0.10 |
| Median | 0.21 |
| Quartile 3 | 0.50 |
| Maximum | 0.89 |
| Mean of quarter 1 | 0.05 |
| Mean of quarter 2 | 0.14 |
| Mean of quarter 3 | 0.29 |
| Mean of quarter 4 | 0.64 |
| Inter Quartile Range | 0.40 |
| 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) | 0.20 |
| VaR(95%) (moments method) | 0.70 |
| Expected Shortfall (moments method) | 0.89 |
| Extreme Value Index (regression method) | 1.63 |
| VaR(95%) (regression method) | 0.74 |
| 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? | -377550976 |
| Max Equity Drawdown (num days) | 165 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.03 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.03 |
| Calmar ratio (compounded annual return / max draw down) | 0.03 |
| Compounded annual return / average of 25% largest draw downs | 0.03 |
| Compounded annual return / Expected Shortfall lognormal | 0.09 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.03 |
| Compounded annual return (geometric extrapolation) | 0.03 |
| Calmar ratio (compounded annual return / max draw down) | 0.03 |
| Compounded annual return / average of 25% largest draw downs | 0.04 |
| Compounded annual return / Expected Shortfall lognormal | 0.17 |
| 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 127 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| LTS | long | 200000 | Jan 19, 2007 | Jan 14, 2008 | $21,995 |
| CPST | long | 500000 | Jan 19, 2007 | Jan 11, 2008 | $324,995 |
| ER2 U7 | long | 1 | Jul 31, 2007 | Jul 31, 2007 | ($488) |
| ICE | long | 200 | Feb 28, 2007 | Feb 28, 2007 | $396 |
| MOCC | long | 50000 | Mar 2, 2006 | Jan 19, 2007 | $96,086 |
| MSON | long | 20000 | Jan 31, 2006 | Jan 19, 2007 | ($15,005) |
| TRT | long | 20000 | Dec 14, 2006 | Jan 19, 2007 | $3,995 |
| CPST | long | 20000 | Nov 30, 2006 | Jan 19, 2007 | ($5,805) |
| BRLC | long | 40000 | Feb 1, 2006 | Jan 19, 2007 | $128,993 |
| TRT | long | 20000 | Nov 9, 2006 | Nov 24, 2006 | $595 |
| MRVL | long | 2000 | Feb 22, 2006 | Feb 23, 2006 | $2,975 |
| CHNR | short | 3000 | Feb 2, 2006 | Feb 16, 2006 | ($2,282) |
| GVA | long | 2000 | Feb 15, 2006 | Feb 16, 2006 | $1,255 |
| ASF | long | 5000 | Feb 10, 2006 | Feb 15, 2006 | $12,043 |
| UARM | long | 1500 | Feb 6, 2006 | Feb 15, 2006 | ($13,640) |
| VLTR | long | 5000 | Feb 9, 2006 | Feb 15, 2006 | ($2,705) |
| KZL | long | 5000 | Feb 9, 2006 | Feb 13, 2006 | $5,895 |
| AQMBH | long | 600 | Feb 8, 2006 | Feb 9, 2006 | $8,160 |
| CAAS | short | 1500 | Feb 3, 2006 | Feb 9, 2006 | $625 |
| CESV | short | 2000 | Feb 3, 2006 | Feb 9, 2006 | $2,655 |
| UMUBX | long | 1800 | Feb 8, 2006 | Feb 8, 2006 | $1,980 |
| UWGBH | short | 20 | Feb 6, 2006 | Feb 7, 2006 | $4,472 |
| RL | long | 1000 | Feb 6, 2006 | Feb 7, 2006 | ($1,755) |
| CTDC | short | 2000 | Feb 3, 2006 | Feb 7, 2006 | $5,835 |
| MCX | long | 20000 | Feb 3, 2006 | Feb 3, 2006 | $595 |
| CAAS | short | 4000 | Feb 3, 2006 | Feb 3, 2006 | $395 |
| CTTY | long | 20000 | Jan 27, 2006 | Jan 30, 2006 | $7,795 |
| BOT | long | 1000 | Jan 24, 2006 | Jan 26, 2006 | $245 |
| USU | long | 160 | Jan 24, 2006 | Jan 25, 2006 | ($1,483) |
| CME | short | 25000 | Jan 23, 2006 | Jan 23, 2006 | $245 |
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.