Capital Management 25pip StopLoss
- hypothetical · Annual Return (Compounded)
- -3.4%
- Max Drawdown
- 70.5%
- Trades
- 52
- Win Trades
- 17.3%
- Profit Factor
- 0.80
- Win Months
- 4.8%
About this strategy
Maximum 200 pips drawdown per month
_________________________________________
Adapt or die!!! We have to constantly evolve and adapt to the ever changing market. It seems that we cant keep our system constant.
______________________________________
After 4 months of development and 4 months of live testing, it seems that we have to make some changes to the system. In the last two weeks the system experienced 9 consecutive losses for a total 260pips draw down. This is not acceptable as the system was designed with 200 pips draw down.
Several things I have noticed: 1) the system tends to over trade when it was supposed to be 2-3 trades per week 2) it takes almost 3 months to build up to a capital of $165K and only 2 weeks to bring us back to $112K 3) trades starting out as winners but became loser due min 100pips limit 4) system trades with high leverage due to few trades per week.
We will be making the following changes to the system 1) max 2 trades per week 2) moving stoploss to break even when trade is 50pips in profit 3) include fibo lines and trend analysis on daily chart.
The system will continue to have 25-30pips stop loss with 100pips limit; however, stoploss will move to break even when trade is 50pips in profit.
______________________________________________________
All trades are limited to 20-30 pips stoploss with min 100 pips limit while targeting 400pips per month. We are only targeting 2 to 3 good trades per week; hence, it may seems like no work is being done at all.
Remember to bet 5% of your total account each time and calculating the total loss from the 20-30pips stoploss. For instance, %5 capital of $1000 is $50. With 25pips stoploss, you should only be betting 2 lots ($1 per pip). Good money management is the key.
_________________________________________
Adapt or die!!! We have to constantly evolve and adapt to the ever changing market. It seems that we cant keep our system constant.
______________________________________
After 4 months of development and 4 months of live testing, it seems that we have to make some changes to the system. In the last two weeks the system experienced 9 consecutive losses for a total 260pips draw down. This is not acceptable as the system was designed with 200 pips draw down.
Several things I have noticed: 1) the system tends to over trade when it was supposed to be 2-3 trades per week 2) it takes almost 3 months to build up to a capital of $165K and only 2 weeks to bring us back to $112K 3) trades starting out as winners but became loser due min 100pips limit 4) system trades with high leverage due to few trades per week.
We will be making the following changes to the system 1) max 2 trades per week 2) moving stoploss to break even when trade is 50pips in profit 3) include fibo lines and trend analysis on daily chart.
The system will continue to have 25-30pips stop loss with 100pips limit; however, stoploss will move to break even when trade is 50pips in profit.
______________________________________________________
All trades are limited to 20-30 pips stoploss with min 100 pips limit while targeting 400pips per month. We are only targeting 2 to 3 good trades per week; hence, it may seems like no work is being done at all.
Remember to bet 5% of your total account each time and calculating the total loss from the 20-30pips stoploss. For instance, %5 capital of $1000 is $50. With 25pips stoploss, you should only be betting 2 lots ($1 per pip). Good money management is the key.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | 26.8 | 26.8 | |||||||||||
| 2006 | -6.9 | 23.5 | 0.9 | -28.1 | -18.7 | 51.8 | -44.6 | -5.9 | 0.1 | -0.0 | -0.2 | 0.3 | -46.3 |
| 2007 | 0.1 | -0.2 | -0.0 | 0.1 | 0.1 | 0.1 | -0.3 | -0.2 | -0.1 | 0.0 | -0.4 | 0.1 | -0.7 |
| 2008 | -0.5 | -0.2 | -0.4 | 0.4 | -28.4 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -28.9 |
| 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 | 12/28/2005 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 252 months |
| What it trades | Forex |
| # Trades | 52 |
| # Profitable | 9 |
| % Profitable | 17.3% |
| Avg trade duration | 1.2 days |
| Max peak-to-valley drawdown | 70.5% |
| drawdown period | April 16, 2006 - May 25, 2008 |
| Annual Return (Compounded) | -3.4% |
| Avg win | $18,622 |
| Avg loss | $4,839 |
Ratios
| W:L ratio | 0.81 |
|---|---|
| Sharpe Ratio | -0.16 |
| Sortino Ratio | -0.25 |
| Calmar Ratio | -0.06 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.02 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 505.9% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -559.8% |
Return Statistics
| Ann Return (w trading costs) | -3.4% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | -0.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | -2.5% |
Slump
| Current Slump as Pcnt Equity | 233.4% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 1.0% |
Instruments
| Percent Trades Forex | 1.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.0% |
| Percent Trades Stocks | 0.0% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 100.0% |
|---|---|
| Chance of 20% account loss | 100.0% |
| Chance of 30% account loss | 100.0% |
| Chance of 40% account loss | 100.0% |
| Chance of 50% account loss | 100.0% |
| Chance of 60% account loss (Monte Carlo) | 100.0% |
| Chance of 70% account loss (Monte Carlo) | 100.0% |
| 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 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $4,839 |
|---|---|
| Avg Win | $18,622 |
| # Winners | 9 |
| Sum Trade PL (losers) | $208,064 |
| Sum Trade PL (winners) | $167,600 |
| Num Months Winners | 14 |
| # Losers | 43 |
| % Winners | 17.3% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 250 |
|---|
Frequency
| Avg Position Time (mins) | 1697.30 |
|---|---|
| Avg Position Time (hrs) | 28.29 |
| Avg Trade Length | 1.20 |
| Last Trade Ago | 7325 |
Regression
| Alpha | -0.01 |
|---|---|
| Beta | 0.02 |
| Treynor Index | -0.47 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.05 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.02 |
| MAE:Equity, average, losing trades | 0.05 |
| 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 | -7.97 |
| MAE:PL (avg, all trades) | -1.06 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 23.38 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 27.62 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.18 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.25 |
| Hold-and-Hope Ratio | -0.12 |
RATIO STATISTICS
| Mean | 0.02 |
|---|---|
| SD | 0.35 |
| Sharpe ratio (Glass type estimate) | 0.06 |
| Sharpe ratio (Hedges UMVUE) | 0.06 |
| df | 86 |
| t | 0.15 |
| p | 0.44 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.67 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.78 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.67 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.78 |
| Sortino ratio | 0.09 |
| Upside Potential Ratio | 0.90 |
| Upside part of mean | 0.20 |
| Downside part of mean | -0.18 |
| Upside SD | 0.27 |
| Downside SD | 0.22 |
| N nonnegative terms | 71 |
| N negative terms | 16 |
| N of observations | 87 |
| Mean of predictor | 0.19 |
| Mean of criterion | 0.02 |
| SD of predictor | 0.22 |
| SD of criterion | 0.35 |
| Covariance | -0.01 |
| r | -0.15 |
| b (slope, estimate of beta) | -0.25 |
| a (intercept, estimate of alpha) | 0.07 |
| Mean Square Error | 0.12 |
| DF error | 85 |
| t(b) | -1.44 |
| p(b) | 0.92 |
| t(a) | 0.50 |
| p(a) | 0.31 |
| Lowerbound of 95% confidence interval for beta | -0.58 |
| Upperbound of 95% confidence interval for beta | 0.09 |
| Lowerbound of 95% confidence interval for alpha | -0.20 |
| Upperbound of 95% confidence interval for alpha | 0.33 |
| Treynor index (mean / b) | -0.08 |
| Jensen alpha (a) | 0.07 |
| Mean | -0.04 |
| SD | 0.35 |
| Sharpe ratio (Glass type estimate) | -0.11 |
| Sharpe ratio (Hedges UMVUE) | -0.11 |
| df | 86 |
| t | -0.31 |
| p | 0.62 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.84 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.61 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.84 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.61 |
| Sortino ratio | -0.15 |
| Upside Potential Ratio | 0.65 |
| Upside part of mean | 0.17 |
| Downside part of mean | -0.21 |
| Upside SD | 0.23 |
| Downside SD | 0.26 |
| N nonnegative terms | 71 |
| N negative terms | 16 |
| N of observations | 87 |
| Mean of predictor | 0.16 |
| Mean of criterion | -0.04 |
| SD of predictor | 0.22 |
| SD of criterion | 0.35 |
| Covariance | -0.01 |
| r | -0.13 |
| b (slope, estimate of beta) | -0.20 |
| a (intercept, estimate of alpha) | -0.01 |
| Mean Square Error | 0.12 |
| DF error | 85 |
| t(b) | -1.22 |
| p(b) | 0.89 |
| t(a) | -0.05 |
| p(a) | 0.52 |
| Lowerbound of 95% confidence interval for beta | -0.54 |
| Upperbound of 95% confidence interval for beta | 0.13 |
| Lowerbound of 95% confidence interval for alpha | -0.27 |
| Upperbound of 95% confidence interval for alpha | 0.26 |
| Treynor index (mean / b) | 0.20 |
| Jensen alpha (a) | -0.01 |
| VaR(95%) | 0.16 |
| Expected Shortfall on VaR | 0.19 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.04 |
| Mean | 0.25 |
| SD | 0.80 |
| Sharpe ratio (Glass type estimate) | 0.31 |
| Sharpe ratio (Hedges UMVUE) | 0.31 |
| df | 1903 |
| t | 0.83 |
| p | 0.49 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.42 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.04 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.42 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.04 |
| Sortino ratio | 0.56 |
| Upside Potential Ratio | 2.73 |
| Upside part of mean | 1.21 |
| Downside part of mean | -0.96 |
| Upside SD | 0.67 |
| Downside SD | 0.44 |
| N nonnegative terms | 1634 |
| N negative terms | 270 |
| N of observations | 1904 |
| Mean of predictor | 0.32 |
| Mean of criterion | 0.25 |
| SD of predictor | 0.61 |
| SD of criterion | 0.80 |
| Covariance | -0.04 |
| r | -0.08 |
| b (slope, estimate of beta) | -0.10 |
| a (intercept, estimate of alpha) | 0.28 |
| Mean Square Error | 0.64 |
| DF error | 1902 |
| t(b) | -3.45 |
| p(b) | 0.54 |
| t(a) | 0.95 |
| p(a) | 0.49 |
| Lowerbound of 95% confidence interval for beta | -0.16 |
| Upperbound of 95% confidence interval for beta | -0.04 |
| Lowerbound of 95% confidence interval for alpha | -0.30 |
| Upperbound of 95% confidence interval for alpha | 0.86 |
| Treynor index (mean / b) | -2.38 |
| Jensen alpha (a) | 0.28 |
| Mean | -0.04 |
| SD | 0.75 |
| Sharpe ratio (Glass type estimate) | -0.05 |
| Sharpe ratio (Hedges UMVUE) | -0.05 |
| df | 1903 |
| t | -0.14 |
| p | 0.50 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.78 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.67 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.78 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.67 |
| Sortino ratio | -0.08 |
| Upside Potential Ratio | 1.99 |
| Upside part of mean | 1.05 |
| Downside part of mean | -1.09 |
| Upside SD | 0.53 |
| Downside SD | 0.53 |
| N nonnegative terms | 1634 |
| N negative terms | 270 |
| N of observations | 1904 |
| Mean of predictor | 0.14 |
| Mean of criterion | -0.04 |
| SD of predictor | 0.60 |
| SD of criterion | 0.75 |
| Covariance | -0.04 |
| r | -0.08 |
| b (slope, estimate of beta) | -0.10 |
| a (intercept, estimate of alpha) | -0.03 |
| Mean Square Error | 0.56 |
| DF error | 1902 |
| t(b) | -3.41 |
| p(b) | 0.54 |
| t(a) | -0.10 |
| p(a) | 0.50 |
| Lowerbound of 95% confidence interval for beta | -0.15 |
| Upperbound of 95% confidence interval for beta | -0.04 |
| Lowerbound of 95% confidence interval for alpha | -0.57 |
| Upperbound of 95% confidence interval for alpha | 0.52 |
| Treynor index (mean / b) | 0.41 |
| Jensen alpha (a) | -0.03 |
| VaR(95%) | 0.07 |
| Expected Shortfall on VaR | 0.09 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.01 |
| 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 | 0.72 |
| Mean of criterion | 0 |
| SD of predictor | 0.52 |
| SD of criterion | 0 |
| Covariance | 0 |
| r | 0 |
| b (slope, estimate of beta) | 0 |
| a (intercept, estimate of alpha) | 0 |
| 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 | 0.58 |
| Mean of criterion | 0 |
| SD of predictor | 0.54 |
| 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) | 0.07 |
| 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 | 87 |
|---|---|
| Minimum | 0.66 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.51 |
| Mean of quarter 1 | 0.94 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.07 |
| Inter Quartile Range | 0 |
| Number outliers low | 16 |
| Percentage of outliers low | 0.18 |
| Mean of outliers low | 0.92 |
| Number of outliers high | 14 |
| Percentage of outliers high | 0.16 |
| Mean of outliers high | 1.10 |
| Extreme Value Index (moments method) | 2.68 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 1.37 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 1904 |
| Minimum | 0.53 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 2.09 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.02 |
| Inter Quartile Range | 0 |
| Number outliers low | 270 |
| Percentage of outliers low | 0.14 |
| Mean of outliers low | 0.97 |
| Number of outliers high | 274 |
| Percentage of outliers high | 0.14 |
| Mean of outliers high | 1.03 |
| Extreme Value Index (moments method) | 2.08 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0.27 |
| VaR(95%) (regression method) | 0.00 |
| 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 | 1 |
|---|---|
| Minimum | 0.51 |
| Quartile 1 | 0.51 |
| Median | 0.51 |
| Quartile 3 | 0.51 |
| Maximum | 0.51 |
| 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 |
| Number of observations | 7 |
| Minimum | 0.00 |
| Quartile 1 | 0.02 |
| Median | 0.21 |
| Quartile 3 | 0.45 |
| Maximum | 0.65 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.13 |
| Mean of quarter 3 | 0.38 |
| Mean of quarter 4 | 0.58 |
| Inter Quartile Range | 0.43 |
| 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 | 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? | -371868576 |
| Max Equity Drawdown (num days) | 770 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | -0.03 |
|---|---|
| Compounded annual return (geometric extrapolation) | -0.04 |
| Calmar ratio (compounded annual return / max draw down) | -0.08 |
| Compounded annual return / average of 25% largest draw downs | 0 |
| Compounded annual return / Expected Shortfall lognormal | -0.21 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.03 |
| Compounded annual return (geometric extrapolation) | -0.04 |
| Calmar ratio (compounded annual return / max draw down) | -0.06 |
| Compounded annual return / average of 25% largest draw downs | -0.07 |
| Compounded annual return / Expected Shortfall lognormal | -0.43 |
| 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 34 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| EUR/USD | long | 1000 | Aug 23, 2006 | Aug 23, 2006 | ($2,400) |
| EUR/USD | long | 1000 | Aug 18, 2006 | Aug 22, 2006 | $300 |
| EUR/USD | long | 1000 | Aug 7, 2006 | Aug 8, 2006 | ($2,000) |
| EUR/USD | long | 3000 | Jun 28, 2006 | Jul 17, 2006 | ($1,800) |
| USD/JPY | short | 250 | Jul 14, 2006 | Jul 17, 2006 | ($8) |
| USD/JPY | short | 500 | Jul 12, 2006 | Jul 12, 2006 | ($11) |
| USD/JPY | short | 2000 | Jul 12, 2006 | Jul 12, 2006 | ($36) |
| EUR/USD | long | 2000 | Jun 14, 2006 | Jun 23, 2006 | ($4,800) |
| EUR/USD | long | 2000 | Jun 9, 2006 | Jun 12, 2006 | ($4,000) |
| EUR/USD | long | 2000 | Jun 9, 2006 | Jun 9, 2006 | ($5,000) |
| EUR/USD | long | 2000 | Jun 8, 2006 | Jun 8, 2006 | $2,000 |
| EUR/USD | long | 2000 | Jun 8, 2006 | Jun 8, 2006 | ($5,800) |
| EUR/USD | long | 2000 | Jun 8, 2006 | Jun 8, 2006 | ($6,000) |
| EUR/USD | long | 2000 | Jun 8, 2006 | Jun 8, 2006 | ($5,200) |
| EUR/USD | long | 2000 | Jun 6, 2006 | Jun 7, 2006 | ($4,800) |
| EUR/USD | short | 2000 | Jun 2, 2006 | Jun 2, 2006 | ($200) |
| EUR/USD | short | 2000 | Jun 2, 2006 | Jun 2, 2006 | ($1,400) |
| EUR/USD | long | 2000 | Jun 1, 2006 | Jun 2, 2006 | $39,400 |
| EUR/USD | long | 2000 | May 31, 2006 | May 31, 2006 | ($6,000) |
| EUR/USD | short | 2000 | May 30, 2006 | May 30, 2006 | ($5,600) |
| EUR/USD | short | 2000 | May 30, 2006 | May 30, 2006 | ($4,400) |
| EUR/USD | long | 2000 | May 23, 2006 | May 24, 2006 | ($5,600) |
| EUR/USD | short | 2000 | May 22, 2006 | May 23, 2006 | $1,800 |
| EUR/USD | short | 2000 | May 17, 2006 | May 17, 2006 | ($5,600) |
| EUR/USD | short | 2000 | May 11, 2006 | May 11, 2006 | ($6,000) |
| EUR/USD | short | 2000 | May 11, 2006 | May 11, 2006 | ($6,200) |
| EUR/USD | long | 2000 | May 9, 2006 | May 10, 2006 | $18,800 |
| EUR/USD | short | 2000 | May 4, 2006 | May 4, 2006 | ($5,200) |
| EUR/USD | short | 2000 | Apr 27, 2006 | Apr 28, 2006 | ($6,200) |
| EUR/USD | short | 2000 | Apr 26, 2006 | Apr 27, 2006 | ($6,200) |
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.