Goofiz Foliage's Future ATM
- hypothetical · Annual Return (Compounded)
- 1.4%
- Max Drawdown
- 39.5%
- Trades
- 47
- Win Trades
- 46.8%
- Profit Factor
- 1.50
- Win Months
- 2.0%
About this strategy
Buy or short after market open(around 9:30AM EST) Sell or cover before market close(around 16:00PM EST). This is a high risky and high return system.
Even you do not follow my trading signal, you can use my trading signal as a reference. (It has about 500% yearly return according to the last 7 years backtesting result; for detail backtesting records, return digram, please go to http://emini.deltat1.com/forum/topic.asp?TOPIC_ID=785)
It is best for newbies, because you do not need to look at chart with my system.
If you want to develop your own trading strategy based on my system, for example, you have your own profit target or stop loss, I can generate backtest report to verify your trading strategy in minutes.
FAQ:
1. How much trades per year?
From my backtest resocrds:
11 trades from 01/20/2006 to 02/16/2006 showing on C2 (including four lost trades)
6 trades from 01/01/2006 to 01/19/2006
132 trades in year 2005
116 trades in year 2004
103 trades in year 2003
54 trades in year 2002
41 trades in year 2001
34 trades in year 2000
45 trades in year 1999
2. When and how much will I charge?
My system has 96 users till now(02/20/2006), There are 3.x new
subscribers every day in average (including Staturday and Sunday).
As long as it can keep 3.x new users per day, I will keep my system
free. I will begin to charge when there is not much new users(3.x
per day in average).
The monthly fee should be $30 for the first two months, then $50 for
next 6 months. Then I will decide how much I will charge according
to subscribers feed back. I will not let the subscriber fee
exceeds 5% of subscribers monthly profit in average. I find the
future systems on C2 usually charge from $50 ~$250.
I think you do not need to worry about subscriber fee for my system. My
goal is to let you guys earn big money. If you guys can not earn money
on my system, how my subscriber fee comes from!
More about my trading system:(FAQ, backtest records and return chart)
http://emini.deltat1.com/forum/topic.asp?TOPIC_ID=785
Even you do not follow my trading signal, you can use my trading signal as a reference. (It has about 500% yearly return according to the last 7 years backtesting result; for detail backtesting records, return digram, please go to http://emini.deltat1.com/forum/topic.asp?TOPIC_ID=785)
It is best for newbies, because you do not need to look at chart with my system.
If you want to develop your own trading strategy based on my system, for example, you have your own profit target or stop loss, I can generate backtest report to verify your trading strategy in minutes.
FAQ:
1. How much trades per year?
From my backtest resocrds:
11 trades from 01/20/2006 to 02/16/2006 showing on C2 (including four lost trades)
6 trades from 01/01/2006 to 01/19/2006
132 trades in year 2005
116 trades in year 2004
103 trades in year 2003
54 trades in year 2002
41 trades in year 2001
34 trades in year 2000
45 trades in year 1999
2. When and how much will I charge?
My system has 96 users till now(02/20/2006), There are 3.x new
subscribers every day in average (including Staturday and Sunday).
As long as it can keep 3.x new users per day, I will keep my system
free. I will begin to charge when there is not much new users(3.x
per day in average).
The monthly fee should be $30 for the first two months, then $50 for
next 6 months. Then I will decide how much I will charge according
to subscribers feed back. I will not let the subscriber fee
exceeds 5% of subscribers monthly profit in average. I find the
future systems on C2 usually charge from $50 ~$250.
I think you do not need to worry about subscriber fee for my system. My
goal is to let you guys earn big money. If you guys can not earn money
on my system, how my subscriber fee comes from!
More about my trading system:(FAQ, backtest records and return chart)
http://emini.deltat1.com/forum/topic.asp?TOPIC_ID=785
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | 46.5 | 11.7 | -30.7 | 0.2 | 0.5 | 15.7 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 32.2 |
| 2007 | 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 |
| 2008 | 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 |
| 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 | 1/12/2006 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 252 months |
| What it trades | Futures |
| # Trades | 47 |
| # Profitable | 22 |
| % Profitable | 46.8% |
| Avg trade duration | 3.8 days |
| Max peak-to-valley drawdown | 39.5% |
| drawdown period | March 07, 2006 - April 07, 2006 |
| Annual Return (Compounded) | 1.4% |
| Avg win | $6,145 |
| Avg loss | $3,669 |
Ratios
| W:L ratio | 1.47 |
|---|---|
| Sharpe Ratio | -0.03 |
| Sortino Ratio | -0.05 |
| Calmar Ratio | 0 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.01 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 492.8% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -463.2% |
Return Statistics
| Ann Return (w trading costs) | 1.4% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 1.8% |
Slump
| Current Slump as Pcnt Equity | 27.6% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 1.0% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.8% |
| Percent Trades Options | 0.1% |
| Percent Trades Stocks | 0.1% |
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) | — |
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 | $3,669 |
|---|---|
| Avg Win | $6,145 |
| # Winners | 22 |
| Sum Trade PL (losers) | $91,716 |
| Sum Trade PL (winners) | $135,190 |
| Num Months Winners | 6 |
| # Losers | 25 |
| % Winners | 46.8% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 249 |
|---|
Frequency
| Avg Position Time (mins) | 5530.23 |
|---|---|
| Avg Position Time (hrs) | 92.17 |
| Avg Trade Length | 3.80 |
| Last Trade Ago | 7380 |
Regression
| Alpha | 0 |
|---|---|
| Beta | 0 |
| Treynor Index | 0.18 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.03 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0 |
| MAE:Equity, average, losing trades | 0.03 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.02 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 4.06 |
| MAE:PL (avg, all trades) | -0.14 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 22.68 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 37.38 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.51 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.17 |
| Hold-and-Hope Ratio | 0.25 |
RATIO STATISTICS
| Mean | 0.01 |
|---|---|
| SD | 0.11 |
| Sharpe ratio (Glass type estimate) | 0.06 |
| Sharpe ratio (Hedges UMVUE) | 0.06 |
| df | 86 |
| t | 0.16 |
| p | 0.44 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.67 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.79 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.67 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.79 |
| Sortino ratio | 0.08 |
| Upside Potential Ratio | 0.47 |
| Upside part of mean | 0.04 |
| Downside part of mean | -0.03 |
| Upside SD | 0.07 |
| Downside SD | 0.09 |
| N nonnegative terms | 84 |
| N negative terms | 3 |
| N of observations | 87 |
| Mean of predictor | 0.20 |
| Mean of criterion | 0.01 |
| SD of predictor | 0.25 |
| SD of criterion | 0.11 |
| Covariance | -0.00 |
| r | -0.03 |
| b (slope, estimate of beta) | -0.01 |
| a (intercept, estimate of alpha) | 0.01 |
| Mean Square Error | 0.01 |
| DF error | 85 |
| t(b) | -0.27 |
| p(b) | 0.60 |
| t(a) | 0.21 |
| p(a) | 0.42 |
| Lowerbound of 95% confidence interval for beta | -0.11 |
| Upperbound of 95% confidence interval for beta | 0.08 |
| Lowerbound of 95% confidence interval for alpha | -0.08 |
| Upperbound of 95% confidence interval for alpha | 0.09 |
| Treynor index (mean / b) | -0.52 |
| Jensen alpha (a) | 0.01 |
| Mean | 0 |
| SD | 0.12 |
| Sharpe ratio (Glass type estimate) | 0.00 |
| Sharpe ratio (Hedges UMVUE) | 0.00 |
| df | 86 |
| t | 0.00 |
| p | 0.50 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.73 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.73 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.73 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.73 |
| Sortino ratio | 0.00 |
| Upside Potential Ratio | 0.39 |
| Upside part of mean | 0.04 |
| Downside part of mean | -0.04 |
| Upside SD | 0.07 |
| Downside SD | 0.10 |
| N nonnegative terms | 84 |
| N negative terms | 3 |
| N of observations | 87 |
| Mean of predictor | 0.16 |
| Mean of criterion | 0 |
| SD of predictor | 0.25 |
| SD of criterion | 0.12 |
| Covariance | -0.00 |
| r | -0.03 |
| b (slope, estimate of beta) | -0.01 |
| a (intercept, estimate of alpha) | 0.00 |
| Mean Square Error | 0.01 |
| DF error | 85 |
| t(b) | -0.24 |
| p(b) | 0.59 |
| t(a) | 0.04 |
| p(a) | 0.48 |
| Lowerbound of 95% confidence interval for beta | -0.11 |
| Upperbound of 95% confidence interval for beta | 0.09 |
| Lowerbound of 95% confidence interval for alpha | -0.09 |
| Upperbound of 95% confidence interval for alpha | 0.09 |
| Treynor index (mean / b) | -0.00 |
| Jensen alpha (a) | 0.00 |
| VaR(95%) | 0.05 |
| Expected Shortfall on VaR | 0.07 |
| VaR(95%) | 0 |
| Expected Shortfall on VaR | 0 |
| Mean | 0.03 |
| SD | 0.23 |
| Sharpe ratio (Glass type estimate) | 0.12 |
| Sharpe ratio (Hedges UMVUE) | 0.12 |
| df | 1906 |
| t | 0.32 |
| p | 0.50 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.61 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.85 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.61 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.85 |
| Sortino ratio | 0.17 |
| Upside Potential Ratio | 1.23 |
| Upside part of mean | 0.20 |
| Downside part of mean | -0.17 |
| Upside SD | 0.17 |
| Downside SD | 0.16 |
| N nonnegative terms | 1863 |
| N negative terms | 44 |
| N of observations | 1907 |
| Mean of predictor | 0.34 |
| Mean of criterion | 0.03 |
| SD of predictor | 0.63 |
| SD of criterion | 0.23 |
| Covariance | 0.01 |
| r | 0.06 |
| b (slope, estimate of beta) | 0.02 |
| a (intercept, estimate of alpha) | 0.02 |
| Mean Square Error | 0.05 |
| DF error | 1905 |
| t(b) | 2.60 |
| p(b) | 0.46 |
| t(a) | 0.24 |
| p(a) | 0.50 |
| Lowerbound of 95% confidence interval for beta | 0.01 |
| Upperbound of 95% confidence interval for beta | 0.04 |
| Lowerbound of 95% confidence interval for alpha | -0.15 |
| Upperbound of 95% confidence interval for alpha | 0.19 |
| Treynor index (mean / b) | 1.26 |
| Jensen alpha (a) | 0.02 |
| Mean | 0 |
| SD | 0.24 |
| Sharpe ratio (Glass type estimate) | 0 |
| Sharpe ratio (Hedges UMVUE) | 0 |
| df | 1906 |
| t | 0.00 |
| p | 0.50 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.73 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.73 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.73 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.73 |
| Sortino ratio | 0.00 |
| Upside Potential Ratio | 1.00 |
| Upside part of mean | 0.18 |
| Downside part of mean | -0.18 |
| Upside SD | 0.15 |
| Downside SD | 0.18 |
| N nonnegative terms | 1863 |
| N negative terms | 44 |
| N of observations | 1907 |
| Mean of predictor | 0.14 |
| Mean of criterion | 0 |
| SD of predictor | 0.63 |
| SD of criterion | 0.24 |
| Covariance | 0.01 |
| r | 0.06 |
| b (slope, estimate of beta) | 0.02 |
| a (intercept, estimate of alpha) | -0.00 |
| Mean Square Error | 0.06 |
| DF error | 1905 |
| t(b) | 2.81 |
| p(b) | 0.46 |
| t(a) | -0.04 |
| p(a) | 0.50 |
| Lowerbound of 95% confidence interval for beta | 0.01 |
| Upperbound of 95% confidence interval for beta | 0.04 |
| Lowerbound of 95% confidence interval for alpha | -0.18 |
| Upperbound of 95% confidence interval for alpha | 0.17 |
| Treynor index (mean / b) | 0.00 |
| Jensen alpha (a) | -0.00 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.03 |
| VaR(95%) | 0 |
| Expected Shortfall on VaR | 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 | 0.82 |
| Mean of criterion | 0 |
| SD of predictor | 0.59 |
| 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 | 0.63 |
| Mean of criterion | 0 |
| SD of predictor | 0.62 |
| 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) | 0.02 |
| 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 | 0.77 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.17 |
| 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 | 3 |
| Percentage of outliers low | 0.03 |
| Mean of outliers low | 0.92 |
| Number of outliers high | 6 |
| Percentage of outliers high | 0.07 |
| Mean of outliers high | 1.05 |
| Extreme Value Index (moments method) | -13.81 |
| VaR(95%) (moments method) | -1.66 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 2.95 |
| VaR(95%) (regression method) | -0.00 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 1907 |
| Minimum | 0.70 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.28 |
| Mean of quarter 1 | 1.00 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.00 |
| Inter Quartile Range | 0 |
| Number outliers low | 44 |
| Percentage of outliers low | 0.02 |
| Mean of outliers low | 0.97 |
| Number of outliers high | 47 |
| Percentage of outliers high | 0.02 |
| Mean of outliers high | 1.03 |
| Extreme Value Index (moments method) | 1.54 |
| VaR(95%) (moments method) | -0.00 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 1.05 |
| VaR(95%) (regression method) | -0.00 |
| 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 | 1 |
|---|---|
| Minimum | 0.23 |
| Quartile 1 | 0.23 |
| Median | 0.23 |
| Quartile 3 | 0.23 |
| Maximum | 0.23 |
| 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 | 4 |
| Minimum | 0.01 |
| Quartile 1 | 0.05 |
| Median | 0.18 |
| Quartile 3 | 0.31 |
| Maximum | 0.35 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.06 |
| Mean of quarter 3 | 0.30 |
| Mean of quarter 4 | 0.35 |
| Inter Quartile Range | 0.27 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 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? | -376441568 |
| Max Equity Drawdown (num days) | 31 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| 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 | 0.00 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 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 | 0.00 |
| 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 7 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| GORX | short | 20000 | Jun 29, 2006 | Jun 29, 2006 | $12,995 |
| CPAK | short | 10000 | Jun 23, 2006 | Jun 23, 2006 | $7,995 |
| NQ M6 | short | 4 | Jun 14, 2006 | Jun 15, 2006 | ($3,012) |
| TATTF | short | 5000 | May 30, 2006 | Jun 13, 2006 | $495 |
| NQ M6 | short | 2 | Jun 12, 2006 | Jun 12, 2006 | $1,144 |
| SCIX | short | 5000 | May 30, 2006 | Jun 8, 2006 | $295 |
| NQ M6 | long | 2 | Jun 7, 2006 | Jun 7, 2006 | ($466) |
| NQ M6 | short | 2 | May 31, 2006 | May 31, 2006 | ($16) |
| NQ M6 | long | 2 | May 30, 2006 | May 30, 2006 | ($546) |
| NQ M6 | short | 2 | May 18, 2006 | May 25, 2006 | $324 |
| NTEG | long | 10 | Apr 11, 2006 | May 20, 2006 | ($157) |
| XOMQY | long | 10 | Apr 13, 2006 | May 20, 2006 | ($357) |
| NQ M6 | short | 2 | May 16, 2006 | May 16, 2006 | $404 |
| NQ M6 | short | 2 | May 15, 2006 | May 15, 2006 | ($126) |
| NQ M6 | long | 2 | May 11, 2006 | May 11, 2006 | ($466) |
| UHBEK | long | 10 | Apr 13, 2006 | May 9, 2006 | ($1,514) |
| STNEQ | long | 10 | Apr 13, 2006 | May 9, 2006 | ($714) |
| NQ M6 | long | 6 | May 4, 2006 | May 8, 2006 | $512 |
| NQ M6 | long | 2 | May 4, 2006 | May 4, 2006 | ($86) |
| NQ M6 | long | 2 | May 3, 2006 | May 3, 2006 | ($156) |
| NQ M6 | short | 2 | May 2, 2006 | May 2, 2006 | $54 |
| NQ M6 | short | 2 | May 1, 2006 | May 1, 2006 | $624 |
| NQ M6 | long | 2 | Apr 26, 2006 | Apr 26, 2006 | ($126) |
| NQ M6 | long | 2 | Apr 25, 2006 | Apr 25, 2006 | ($336) |
| FCXPL | long | 10 | Apr 11, 2006 | Apr 22, 2006 | ($1,357) |
| NQ M6 | short | 2 | Apr 21, 2006 | Apr 21, 2006 | $994 |
| NQ M6 | short | 2 | Apr 19, 2006 | Apr 19, 2006 | ($116) |
| NQ M6 | short | 2 | Apr 18, 2006 | Apr 18, 2006 | ($726) |
| NQ M6 | long | 2 | Apr 17, 2006 | Apr 17, 2006 | ($696) |
| NQ M6 | long | 2 | Apr 13, 2006 | Apr 13, 2006 | $374 |
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.