RT Hedge LT (test system)
- hypothetical · Annual Return (Compounded)
- -4.5%
- Max Drawdown
- —
- Trades
- 57
- Win Trades
- 59.6%
- Profit Factor
- 2.50
- Win Months
- 57.7%
About this strategy
RT Hedge trades stocks both short and long. One of our postions has caused us some drawdown due to the fraud committed by management of the company. I have lowered my current price of this system to $ 5/month and will work to rebuild it. Trades are based on fundalmentals but the system will obviously not work if the CEO lies to his shareholders and that lie does not come out till much later.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | 15.1 | 9.4 | 25.9 | ||||||||||
| 2007 | 6.2 | -31.1 | 2.1 | 0.8 | 7.2 | -5.1 | -6.4 | 0.7 | 4.5 | -1.4 | -14.4 | -1.9 | -37.5 |
| 2008 | 4.8 | -7.6 | -2.4 | -2.5 | -3.0 | 19.0 | 2.1 | -9.9 | -8.2 | -9.2 | -10.2 | -7.5 | -32.3 |
| 2009 | 10.6 | -5.2 | -2.4 | 103.4 | 6.0 | 4.0 | -6.0 | 1.8 | 10.6 | -7.0 | 1.6 | -1.3 | 126.4 |
| 2010 | 8.9 | 6.2 | 11.9 | 33.6 | -13.3 | -22.4 | 1.1 | 2.6 | 16.8 | -6.1 | -1.5 | 2.0 | 32.9 |
| 2011 | -1.6 | -1.3 | 9.8 | 13.8 | -0.6 | -9.2 | -3.4 | -43.1 | -15.5 | 3.9 | -21.4 | -2.0 | -59.3 |
| 2012 | 32.4 | 2.7 | -10.2 | 4.5 | -22.0 | 8.9 | -11.5 | 5.0 | 14.5 | -4.2 | 5.3 | 17.8 | 36.9 |
| 2013 | 3.4 | -13.0 | 5.3 | 5.5 | -4.9 | -7.8 | 6.9 | -6.2 | 13.2 | 2.0 | 14.1 | 2.2 | 18.5 |
| 2014 | -2.6 | 10.9 | -4.6 | -7.5 | 1.1 | 4.4 | -1.1 | 6.0 | 18.8 | 9.7 | 40.7 | 4.5 | 102.3 |
| 2015 | -0.1 | 0.1 | -2.9 | 4.7 | 0.9 | -5.4 | -2.3 | 3.3 | 2.0 | 3.7 | -9.9 | -1.2 | -7.6 |
| 2016 | -2.1 | -43.3 | -3.8 | 5.7 | -9.4 | -14.6 | 11.9 | 1.0 | -5.9 | -8.5 | 22.1 | 7.0 | -44.4 |
| 2017 | 2.0 | -3.1 | 4.5 | 1.6 | -5.9 | 7.4 | -2.4 | 4.8 | -1.0 | 1.6 | -3.2 | 3.2 | 9.1 |
| 2018 | -2.8 | -1.6 | 5.9 | 1.7 | 12.1 | -2.7 | 13.7 | 1.7 | -9.0 | -7.4 | 0.1 | -4.6 | 4.5 |
| 2019 | 13.8 | 5.3 | -1.5 | -13.0 | 0.6 | 20.0 | 2.6 | -20.2 | -0.4 | -6.6 | 17.3 | -6.1 | 3.8 |
| 2020 | -5.1 | -7.0 | -28.4 | 35.7 | 13.4 | 19.3 | -2.7 | 2.7 | -8.8 | 1.2 | 3.4 | -0.2 | 10.2 |
| 2021 | 3.2 | 8.4 | 4.8 | 1.3 | -0.1 | 5.6 | 14.2 | 7.1 | -0.1 | 3.1 | -46.8 | 2.5 | -13.7 |
| 2022 | -5.7 | 2.7 | 1.1 | 0.2 | 1.9 | -1.6 | -2.6 | -11.4 | -4.1 | 4.2 | 8.6 | 13.5 | 4.6 |
| 2023 | 4.6 | -1.9 | -7.3 | -1.0 | 0.5 | 0.7 | 0.5 | 3.7 | 8.4 | -23.3 | 0.9 | 2.4 | -14.7 |
| 2024 | -0.4 | 0.2 | 1.8 | 14.3 | -1.9 | 0.3 | 1.1 | 2.6 | 0.1 | 1.3 | 5.2 | -1.4 | 24.5 |
| 2025 | 1.4 | 1.9 | 2.1 | -0.5 | 3.8 | 2.2 | -4.1 | 0.1 | 0.6 | 0.5 | 3.1 | 2.5 | 14.0 |
| 2026 | -0.8 | 2.1 | -2.2 | 3.4 | 5.7 | -0.3 | 2.4 | 1.5 | 0.4 | 12.7 |
Statistics
Overview
| Strategy began | 11/10/2006 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 242 months |
| What it trades | Stocks |
| # Trades | 57 |
| # Profitable | 34 |
| % Profitable | 59.6% |
| Avg trade duration | 872.1 days |
| Max peak-to-valley drawdown | — |
| drawdown period | — |
| Annual return (compounded) | 3.1% |
| Avg win | $5,956 |
| Avg loss | $4,532 |
Ratios
| W:L ratio | 2.52 |
|---|---|
| Sharpe Ratio | 0.19 |
| Sortino Ratio | 0.32 |
| Calmar Ratio | 0.09 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.17 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 453.1% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -30.6% |
Return Statistics
| Ann Return (w trading costs) | -4.5% |
|---|---|
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 3.1% |
Slump
| Current Slump as Pcnt Equity | 28.3% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.2% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.0% |
| Percent Trades Stocks | 1.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Trading Style
| Any stock shorts? 0/1 | 1 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $4,532 |
|---|---|
| Avg Win | $5,956 |
| # Winners | 34 |
| Sum Trade PL (losers) | $104,238 |
| Sum Trade PL (winners) | $202,514 |
| Num Months Winners | 138 |
| # Losers | 23 |
| % Winners | 59.7% |
Dividends
| Dividends Received in Model Acct | 60413 |
|---|
Age
| Num Months filled monthly returns table | 239 |
|---|
Frequency
| Avg Position Time (mins) | 1718346.62 |
|---|---|
| Avg Position Time (hrs) | 28639.11 |
| Avg Trade Length | 1193.30 |
| Last Trade Ago | 4317 |
Regression
| Alpha | 0.02 |
|---|---|
| Beta | 0.40 |
| Treynor Index | 0.07 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.04 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.03 |
| MAE:Equity, average, losing trades | 0.06 |
| 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 | 3.50 |
| MAE:PL (avg, all trades) | -0.01 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 20.59 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 17.15 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.26 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.04 |
| Hold-and-Hope Ratio | 0.65 |
RATIO STATISTICS
| a (intercept, estimate of alpha) | 0.39 |
|---|---|
| VAR (95 Confidence Intrvl) | 0.10 |
DRAW DOWN STATISTICS
| Max Equity Drawdown (num days) | 592 |
|---|---|
| Last 4 Months - Pcnt Negative | 0.2% |
Trading record
Placed 107 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| DNDN | long | 3000 | May 16, 2007 | Nov 18, 2014 | ($16,484) |
| GOOG | long | 100 | Apr 19, 2007 | Apr 20, 2007 | $1,451 |
| SID | long | 606 | Feb 28, 2007 | Apr 19, 2007 | $782 |
| BDSI | long | 1000 | Jan 16, 2007 | Apr 19, 2007 | $2,118 |
| APIO | long | 25000 | Mar 1, 2007 | Apr 2, 2007 | $2,093 |
| NGEN | long | 3000 | Feb 26, 2007 | Apr 2, 2007 | ($538) |
| AHM | long | 100 | Feb 28, 2007 | Apr 2, 2007 | ($101) |
| PBR | long | 300 | Feb 28, 2007 | Mar 27, 2007 | $1,095 |
| EBAY | long | 300 | Mar 6, 2007 | Mar 27, 2007 | $594 |
| KO | long | 200 | Feb 28, 2007 | Mar 27, 2007 | $124 |
| PFE | long | 100 | Mar 1, 2007 | Mar 27, 2007 | $30 |
| TRIB | long | 500 | Feb 23, 2007 | Mar 6, 2007 | ($204) |
| PTR | long | 400 | Feb 22, 2007 | Mar 1, 2007 | ($2,741) |
| ECPG | long | 1000 | Feb 9, 2007 | Mar 1, 2007 | ($1,345) |
| LYG | long | 102 | Feb 23, 2007 | Feb 28, 2007 | ($152) |
| AUY | long | 100 | Feb 2, 2007 | Feb 22, 2007 | $151 |
| AMR | short | 200 | Feb 16, 2007 | Feb 22, 2007 | $134 |
| PTR | long | 100 | Jan 25, 2007 | Feb 22, 2007 | ($300) |
| SQNM | long | 2000 | Feb 9, 2007 | Feb 22, 2007 | ($178) |
| GBX | long | 500 | Feb 7, 2007 | Feb 21, 2007 | $261 |
| SPAB | long | 5000 | Jan 29, 2007 | Feb 13, 2007 | ($1,228) |
| PKI | long | 400 | Jan 24, 2007 | Feb 9, 2007 | $472 |
| JOBS | long | 200 | Jan 25, 2007 | Feb 9, 2007 | $112 |
| MNST | short | 200 | Jan 25, 2007 | Feb 9, 2007 | ($360) |
| AIT | long | 300 | Feb 7, 2007 | Feb 8, 2007 | $39 |
| OSTK | long | 200 | Jan 29, 2007 | Feb 5, 2007 | $4 |
| DIA | short | 100 | Jan 30, 2007 | Feb 1, 2007 | ($169) |
| PAL | long | 500 | Jan 8, 2007 | Jan 30, 2007 | $545 |
| PTR | long | 200 | Jan 16, 2007 | Jan 24, 2007 | $461 |
| INWK | short | 300 | Jan 16, 2007 | Jan 16, 2007 | $279 |
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.