QTIPS
- hypothetical · Annual Return (Compounded)
- 5.2%
- Max Drawdown
- 51.3%
- Trades
- 405
- Win Trades
- 49.9%
- Profit Factor
- 1.40
- Win Months
- 4.5%
About this strategy
UPDATE: November 14th 2006(I will be eliminating the DOW{YM} future contracts as they are illiquid and I have been asked to reduce the account size needed to trade QTIPS system;Effective Monday November 20th)System will then be structered as follows.. 10 NDX & 10 SPX on system trend signal and 10 RUT added when strength of signal has been confirmed by QTIPS. RUT usually lags(depends on NDX/SPX strength) other indecies and at $100 per point..the risk/reward ratio quadruples. I need a few more days to test it out on paper. This ammendment will add an overall profit potential loss and slightly more risk when replacing YM with SPX. Besides....DOW 30 is not something a system should trade..
__________________________________________________________________________________________________________________________________________
Futures Only(Options remain unprogrammable). . 10 contracts maximum with a total of 4 positions RUT/SPX/INDU/NDX 4 full Future positions=strong signal 2 is average.
All trades are processed during market hours 9:30am-4pm Est and with "at Market" orders. NDX/YM are first signals generated and then RUT/SPX secondary to capture the full move in a trend.
Previous systems closed as instruments used did not work nor was there an option for a test system back then as well as knowledge of systems being permanent. 1st system was not structured and 2nd system used options for longer term signals and resulted in a large drawdown and thus closed system. This system is based on the same indicators with better stop loss placements and less risk/reward ratio.
Ideally...I am working on a system that uses the SPX and the NDX only for current expirations for short term trades and longer expirations for longer term trades(1-? months). This will be geared toward the hedge fund industry or high net worth Investors as a way to capture long term trends but at the same time make consistant money on short term trends.
Most systems on collective2 either scalp(no overnights) or hold big contract positions. Q-TIPS uses only 10 contracts per instrument and holds overnight(few scalps) depending on system signal strength.
quisp
__________________________________________________________________________________________________________________________________________
Futures Only(Options remain unprogrammable). . 10 contracts maximum with a total of 4 positions RUT/SPX/INDU/NDX 4 full Future positions=strong signal 2 is average.
All trades are processed during market hours 9:30am-4pm Est and with "at Market" orders. NDX/YM are first signals generated and then RUT/SPX secondary to capture the full move in a trend.
Previous systems closed as instruments used did not work nor was there an option for a test system back then as well as knowledge of systems being permanent. 1st system was not structured and 2nd system used options for longer term signals and resulted in a large drawdown and thus closed system. This system is based on the same indicators with better stop loss placements and less risk/reward ratio.
Ideally...I am working on a system that uses the SPX and the NDX only for current expirations for short term trades and longer expirations for longer term trades(1-? months). This will be geared toward the hedge fund industry or high net worth Investors as a way to capture long term trends but at the same time make consistant money on short term trends.
Most systems on collective2 either scalp(no overnights) or hold big contract positions. Q-TIPS uses only 10 contracts per instrument and holds overnight(few scalps) depending on system signal strength.
quisp
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | 9.3 | 40.1 | 13.9 | 19.5 | 9.3 | 9.2 | 4.1 | -2.5 | 152.7 | ||||
| 2007 | -48.8 | 39.0 | 4.3 | 8.3 | 20.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -3.6 |
| 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 | 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 | 5/24/2006 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 247 months |
| What it trades | Futures |
| # Trades | 405 |
| # Profitable | 202 |
| % Profitable | 49.9% |
| Avg trade duration | 1.3 days |
| Max peak-to-valley drawdown | 51.3% |
| drawdown period | Nov 27, 2006 - Jan 31, 2007 |
| Annual Return (Compounded) | 5.2% |
| Avg win | $4,042 |
| Avg loss | $2,809 |
Ratios
| W:L ratio | 1.43 |
|---|---|
| Sharpe Ratio | 0.18 |
| Sortino Ratio | 0.33 |
| Calmar Ratio | 0.01 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.01 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 506.9% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -325.3% |
Return Statistics
| Ann Return (w trading costs) | 5.2% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.1% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 6.3% |
Slump
| Current Slump as Pcnt Equity | 8.8% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 1.0% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 1.0% |
| 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) | 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 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $2,809 |
|---|---|
| Avg Win | $4,042 |
| # Winners | 202 |
| Sum Trade PL (losers) | $570,289 |
| Sum Trade PL (winners) | $816,538 |
| Num Months Winners | 13 |
| # Losers | 203 |
| % Winners | 49.9% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 245 |
|---|
Frequency
| Avg Position Time (mins) | 1879.90 |
|---|---|
| Avg Position Time (hrs) | 31.33 |
| Avg Trade Length | 1.30 |
| Last Trade Ago | 7051 |
Regression
| Alpha | 0.01 |
|---|---|
| Beta | 0.01 |
| Treynor Index | 2.03 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.01 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.04 |
| 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 | 4.41 |
| MAE:PL (avg, all trades) | 0.52 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 14.31 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 43.63 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.49 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.26 |
| Hold-and-Hope Ratio | 0.23 |
RATIO STATISTICS
| Mean | 0.10 |
|---|---|
| SD | 0.40 |
| Sharpe ratio (Glass type estimate) | 0.26 |
| Sharpe ratio (Hedges UMVUE) | 0.26 |
| df | 81 |
| t | 0.67 |
| p | 0.25 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.49 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.01 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.50 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.01 |
| Sortino ratio | 0.37 |
| Upside Potential Ratio | 0.97 |
| Upside part of mean | 0.27 |
| Downside part of mean | -0.16 |
| Upside SD | 0.28 |
| Downside SD | 0.27 |
| N nonnegative terms | 77 |
| N negative terms | 5 |
| N of observations | 82 |
| Mean of predictor | 0.18 |
| Mean of criterion | 0.10 |
| SD of predictor | 0.25 |
| SD of criterion | 0.40 |
| Covariance | 0.01 |
| r | 0.08 |
| b (slope, estimate of beta) | 0.13 |
| a (intercept, estimate of alpha) | 0.08 |
| Mean Square Error | 0.16 |
| DF error | 80 |
| t(b) | 0.74 |
| p(b) | 0.23 |
| t(a) | 0.50 |
| p(a) | 0.31 |
| Lowerbound of 95% confidence interval for beta | -0.22 |
| Upperbound of 95% confidence interval for beta | 0.49 |
| Lowerbound of 95% confidence interval for alpha | -0.23 |
| Upperbound of 95% confidence interval for alpha | 0.39 |
| Treynor index (mean / b) | 0.77 |
| Jensen alpha (a) | 0.08 |
| Mean | 0.01 |
| SD | 0.46 |
| Sharpe ratio (Glass type estimate) | 0.02 |
| Sharpe ratio (Hedges UMVUE) | 0.02 |
| df | 81 |
| t | 0.05 |
| p | 0.48 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.73 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.77 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.73 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.77 |
| Sortino ratio | 0.02 |
| Upside Potential Ratio | 0.60 |
| Upside part of mean | 0.23 |
| Downside part of mean | -0.22 |
| Upside SD | 0.24 |
| Downside SD | 0.39 |
| N nonnegative terms | 77 |
| N negative terms | 5 |
| N of observations | 82 |
| Mean of predictor | 0.15 |
| Mean of criterion | 0.01 |
| SD of predictor | 0.25 |
| SD of criterion | 0.46 |
| Covariance | 0.01 |
| r | 0.13 |
| b (slope, estimate of beta) | 0.24 |
| a (intercept, estimate of alpha) | -0.03 |
| Mean Square Error | 0.21 |
| DF error | 80 |
| t(b) | 1.14 |
| p(b) | 0.13 |
| t(a) | -0.14 |
| p(a) | 0.56 |
| Lowerbound of 95% confidence interval for beta | -0.18 |
| Upperbound of 95% confidence interval for beta | 0.65 |
| Lowerbound of 95% confidence interval for alpha | -0.38 |
| Upperbound of 95% confidence interval for alpha | 0.33 |
| Treynor index (mean / b) | 0.04 |
| Jensen alpha (a) | -0.03 |
| VaR(95%) | 0.20 |
| Expected Shortfall on VaR | 0.24 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.02 |
| Mean | 0.14 |
| SD | 0.46 |
| Sharpe ratio (Glass type estimate) | 0.31 |
| Sharpe ratio (Hedges UMVUE) | 0.31 |
| df | 1808 |
| t | 0.81 |
| p | 0.49 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.44 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.05 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.44 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.05 |
| Sortino ratio | 0.43 |
| Upside Potential Ratio | 2.24 |
| Upside part of mean | 0.74 |
| Downside part of mean | -0.60 |
| Upside SD | 0.32 |
| Downside SD | 0.33 |
| N nonnegative terms | 1663 |
| N negative terms | 146 |
| N of observations | 1809 |
| Mean of predictor | 0.29 |
| Mean of criterion | 0.14 |
| SD of predictor | 0.54 |
| SD of criterion | 0.46 |
| Covariance | 0.03 |
| r | 0.11 |
| b (slope, estimate of beta) | 0.09 |
| a (intercept, estimate of alpha) | 0.12 |
| Mean Square Error | 0.21 |
| DF error | 1807 |
| t(b) | 4.53 |
| p(b) | 0.43 |
| t(a) | 0.66 |
| p(a) | 0.49 |
| Lowerbound of 95% confidence interval for beta | 0.05 |
| Upperbound of 95% confidence interval for beta | 0.13 |
| Lowerbound of 95% confidence interval for alpha | -0.23 |
| Upperbound of 95% confidence interval for alpha | 0.46 |
| Treynor index (mean / b) | 1.56 |
| Jensen alpha (a) | 0.11 |
| Mean | 0.01 |
| SD | 0.56 |
| Sharpe ratio (Glass type estimate) | 0.02 |
| Sharpe ratio (Hedges UMVUE) | 0.02 |
| df | 1808 |
| t | 0.04 |
| p | 0.50 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.73 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.76 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.73 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.76 |
| Sortino ratio | 0.02 |
| Upside Potential Ratio | 1.46 |
| Upside part of mean | 0.69 |
| Downside part of mean | -0.68 |
| Upside SD | 0.29 |
| Downside SD | 0.47 |
| N nonnegative terms | 1663 |
| N negative terms | 146 |
| N of observations | 1809 |
| Mean of predictor | 0.15 |
| Mean of criterion | 0.01 |
| SD of predictor | 0.54 |
| SD of criterion | 0.56 |
| Covariance | 0.04 |
| r | 0.13 |
| b (slope, estimate of beta) | 0.13 |
| a (intercept, estimate of alpha) | -0.01 |
| Mean Square Error | 0.30 |
| DF error | 1807 |
| t(b) | 5.40 |
| p(b) | 0.42 |
| t(a) | -0.05 |
| p(a) | 0.50 |
| Lowerbound of 95% confidence interval for beta | 0.08 |
| Upperbound of 95% confidence interval for beta | 0.18 |
| Lowerbound of 95% confidence interval for alpha | -0.42 |
| Upperbound of 95% confidence interval for alpha | 0.40 |
| Treynor index (mean / b) | 0.07 |
| Jensen alpha (a) | -0.01 |
| VaR(95%) | 0.05 |
| Expected Shortfall on VaR | 0.07 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.00 |
| 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 | 0.54 |
| 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 |
| 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 | 0.67 |
| Mean of criterion | 0 |
| SD of predictor | 0.56 |
| 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) | 0.06 |
| 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 | 82 |
|---|---|
| Minimum | 0.42 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.45 |
| Mean of quarter 1 | 0.95 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.09 |
| Inter Quartile Range | 0 |
| Number outliers low | 5 |
| Percentage of outliers low | 0.06 |
| Mean of outliers low | 0.78 |
| Number of outliers high | 11 |
| Percentage of outliers high | 0.13 |
| Mean of outliers high | 1.17 |
| Extreme Value Index (moments method) | -114.03 |
| VaR(95%) (moments method) | -727946297344 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | -0.83 |
| VaR(95%) (regression method) | -0.02 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 1809 |
| Minimum | 0.34 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.31 |
| 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 | 146 |
| Percentage of outliers low | 0.08 |
| Mean of outliers low | 0.97 |
| Number of outliers high | 145 |
| Percentage of outliers high | 0.08 |
| Mean of outliers high | 1.04 |
| Extreme Value Index (moments method) | 0.81 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.02 |
| Extreme Value Index (regression method) | 0.66 |
| VaR(95%) (regression method) | 0.00 |
| Expected Shortfall (regression method) | 0.03 |
| 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 |
| Quartile 1 | 0.00 |
| Median | 0.20 |
| Quartile 3 | 0.44 |
| Maximum | 0.58 |
| Mean of quarter 1 | 0 |
| Mean of quarter 2 | 0.00 |
| Mean of quarter 3 | 0.40 |
| Mean of quarter 4 | 0.58 |
| Inter Quartile Range | 0.44 |
| 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 | 30 |
| Minimum | 0 |
| Quartile 1 | 0 |
| Median | 0 |
| Quartile 3 | 0.00 |
| Maximum | 0.69 |
| Mean of quarter 1 | 0 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0.00 |
| Mean of quarter 4 | 0.16 |
| Inter Quartile Range | 0.00 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 4 |
| Percentage of outliers high | 0.13 |
| Mean of outliers high | 0.33 |
| Extreme Value Index (moments method) | -6.44 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.00 |
| Extreme Value Index (regression method) | 0.80 |
| VaR(95%) (regression method) | 0.24 |
| Expected Shortfall (regression method) | 1.77 |
| 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? | -377474688 |
| Max Equity Drawdown (num days) | 65 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.01 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.01 |
| Calmar ratio (compounded annual return / max draw down) | 0.02 |
| Compounded annual return / average of 25% largest draw downs | 0.02 |
| Compounded annual return / Expected Shortfall lognormal | 0.04 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.01 |
| Compounded annual return (geometric extrapolation) | 0.01 |
| Calmar ratio (compounded annual return / max draw down) | 0.01 |
| Compounded annual return / average of 25% largest draw downs | 0.06 |
| Compounded annual return / Expected Shortfall lognormal | 0.13 |
| 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 281 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| ES M7 | short | 20 | May 23, 2007 | May 24, 2007 | $16,590 |
| ER2 M7 | short | 20 | May 23, 2007 | May 24, 2007 | $34,240 |
| NQ M7 | short | 20 | May 23, 2007 | May 24, 2007 | $14,990 |
| NQ M7 | long | 50 | May 23, 2007 | May 23, 2007 | ($1,750) |
| ER2 M7 | long | 40 | May 23, 2007 | May 23, 2007 | ($2,920) |
| ES M7 | long | 30 | May 23, 2007 | May 23, 2007 | ($1,490) |
| ES M7 | long | 10 | May 22, 2007 | May 22, 2007 | ($1,205) |
| NQ M7 | long | 10 | May 22, 2007 | May 22, 2007 | ($580) |
| ER2 M7 | long | 10 | May 22, 2007 | May 22, 2007 | ($380) |
| NQ M7 | long | 50 | May 18, 2007 | May 21, 2007 | $12,750 |
| ER2 M7 | long | 30 | May 18, 2007 | May 21, 2007 | $30,960 |
| ER2 M7 | long | 10 | May 18, 2007 | May 18, 2007 | $1,720 |
| ES M7 | long | 10 | May 17, 2007 | May 18, 2007 | $2,670 |
| NQ M7 | long | 30 | May 17, 2007 | May 17, 2007 | ($90) |
| ER2 M7 | long | 30 | May 17, 2007 | May 17, 2007 | $5,160 |
| ES M7 | long | 10 | May 16, 2007 | May 17, 2007 | ($1,080) |
| ER2 M7 | long | 30 | May 16, 2007 | May 17, 2007 | ($1,440) |
| NQ M7 | long | 30 | May 16, 2007 | May 17, 2007 | $2,160 |
| ES M7 | short | 30 | May 14, 2007 | May 15, 2007 | ($8,365) |
| NQ M7 | short | 30 | May 14, 2007 | May 15, 2007 | ($2,890) |
| ER2 M7 | short | 30 | May 14, 2007 | May 14, 2007 | $7,460 |
| ER2 M7 | long | 30 | May 11, 2007 | May 14, 2007 | ($7,140) |
| NQ M7 | long | 30 | May 11, 2007 | May 14, 2007 | ($2,340) |
| ES M7 | long | 30 | May 11, 2007 | May 14, 2007 | $5,010 |
| ER2 M7 | long | 10 | May 11, 2007 | May 11, 2007 | ($1,580) |
| ES M7 | long | 10 | May 11, 2007 | May 11, 2007 | ($830) |
| NQ M7 | long | 10 | May 11, 2007 | May 11, 2007 | ($330) |
| ER2 M7 | short | 10 | May 10, 2007 | May 11, 2007 | ($4,680) |
| ES M7 | short | 10 | May 10, 2007 | May 11, 2007 | ($2,580) |
| NQ M7 | short | 10 | May 10, 2007 | May 11, 2007 | ($1,680) |
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.