JYDRA CHEW NASDAQ100
- hypothetical · Annual Return (Compounded)
- -15.7%
- Max Drawdown
- 86.9%
- Trades
- 38
- Win Trades
- 52.6%
- Profit Factor
- 0.60
- Win Months
- 3.0%
About this strategy
IMPORTANT INFORMATION:
After resetting to zero subscribers at the beginning of the August drawdown, we decided to post some discretionary signals just in the middle of the turmoil: our fault, results were disastrous.
So results on C2 site are not true for the August-September period. Real system signals are tracked from November, 1 2006 by a primary institutional broker in London, feel free to email me if you want more information: pgeronazzo@hf-finance.biz
We are now offering the system signals for free untill we recover and build up a good track record again.
Thanks.
SYSTEM DESCRIPTION
Our research demonstrated existence of exploitable inefficiency pockets during NASDAQ 100 future swings. According to our research, system was designed for a limited end of day trading, both long and short.
Buy/sell signals are generated at end of day as limit order entry, for the next trading session. Orders are for regular pit session, but our testing showed that profit is slightly increased if orders were kept during GLOBEX session too. If you trade size is small, you can enter GTC orders with your broker and try to get filled on overnight session.
Stop loss and take profit levels are generated once the position is opened. On average orders were filled 1.3 times a week, and trades last for about 2.3 days. Due to equity market upside bias, long signals are far more frequent than short one.
System is not optimized on profit, parameters are choosen with robustness in mind. Testing period is all the NASDAQ 100 Future history, about 10 years. Please send an email to pgeronazzo@hf-finance.biz if you want to look at the backtested results.
You should be patient trading this system, as it trades a little more than once a week, on average, but we think it would turn out to be very profitable and stable.
As a matter of fact, for most trading system frequent trades rarely match with frequent profit, for long time.
Please send me an email at pgeronazzo@hf-finance.biz if you need more information on this system.
Paolo Geronazzo
HF Finance
Switzerland
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | -1.0 | 6.2 | 18.2 | 5.8 | 14.2 | 5.8 | -5.9 | -20.8 | -16.1 | 13.6 | -45.5 | 2.3 | -37.1 |
| 2008 | -65.6 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -65.6 |
| 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 | 1/22/2007 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 239 months |
| What it trades | Futures |
| # Trades | 38 |
| # Profitable | 20 |
| % Profitable | 52.6% |
| Avg trade duration | 2.4 days |
| Max peak-to-valley drawdown | 86.9% |
| drawdown period | July 19, 2007 - Jan 09, 2008 |
| Annual Return (Compounded) | -15.7% |
| Avg win | $6,385 |
| Avg loss | $11,309 |
Ratios
| W:L ratio | 0.63 |
|---|---|
| Sharpe Ratio | -0.50 |
| Sortino Ratio | -0.56 |
| Calmar Ratio | -0.26 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.01 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 436.8% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -125.0% |
Return Statistics
| Ann Return (w trading costs) | -15.7% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | -0.2% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | -7.0% |
Slump
| Current Slump as Pcnt Equity | 655.0% |
|---|---|
| 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) | 100.0% |
| Chance of 70% account loss (Monte Carlo) | 100.0% |
| Chance of 80% account loss (Monte Carlo) | 100.0% |
| 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 | $11,309 |
|---|---|
| Avg Win | $6,385 |
| # Winners | 20 |
| Sum Trade PL (losers) | $203,555 |
| Sum Trade PL (winners) | $127,700 |
| Num Months Winners | 7 |
| # Losers | 18 |
| % Winners | 52.6% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 237 |
|---|
Frequency
| Avg Position Time (mins) | 3514.93 |
|---|---|
| Avg Position Time (hrs) | 58.58 |
| Avg Trade Length | 2.40 |
| Last Trade Ago | 6815 |
Regression
| Alpha | -0.02 |
|---|---|
| Beta | 0.01 |
| Treynor Index | -2.24 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.11 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.41 |
| MAE:Equity, average, losing trades | 0.19 |
| 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 | -3.33 |
| MAE:PL (avg, all trades) | -0.79 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 32.84 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 11.95 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.52 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.26 |
| Hold-and-Hope Ratio | -0.30 |
RATIO STATISTICS
| Mean | -0.14 |
|---|---|
| SD | 0.35 |
| Sharpe ratio (Glass type estimate) | -0.40 |
| Sharpe ratio (Hedges UMVUE) | -0.40 |
| df | 74 |
| t | -1.00 |
| p | 0.84 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.18 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.39 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.18 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.39 |
| Sortino ratio | -0.42 |
| Upside Potential Ratio | 0.31 |
| Upside part of mean | 0.10 |
| Downside part of mean | -0.24 |
| Upside SD | 0.12 |
| Downside SD | 0.33 |
| N nonnegative terms | 8 |
| N negative terms | 67 |
| N of observations | 75 |
| Mean of predictor | 0.07 |
| Mean of criterion | -0.14 |
| SD of predictor | 0.20 |
| SD of criterion | 0.35 |
| Covariance | 0.01 |
| r | 0.16 |
| b (slope, estimate of beta) | 0.29 |
| a (intercept, estimate of alpha) | -0.16 |
| Mean Square Error | 0.12 |
| DF error | 73 |
| t(b) | 1.40 |
| p(b) | 0.08 |
| t(a) | -1.14 |
| p(a) | 0.87 |
| Lowerbound of 95% confidence interval for beta | -0.12 |
| Upperbound of 95% confidence interval for beta | 0.71 |
| Lowerbound of 95% confidence interval for alpha | -0.44 |
| Upperbound of 95% confidence interval for alpha | 0.12 |
| Treynor index (mean / b) | -0.48 |
| Jensen alpha (a) | -0.16 |
| Mean | -0.24 |
| SD | 0.49 |
| Sharpe ratio (Glass type estimate) | -0.48 |
| Sharpe ratio (Hedges UMVUE) | -0.47 |
| df | 74 |
| t | -1.20 |
| p | 0.88 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.27 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.31 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.26 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.31 |
| Sortino ratio | -0.49 |
| Upside Potential Ratio | 0.20 |
| Upside part of mean | 0.10 |
| Downside part of mean | -0.33 |
| Upside SD | 0.11 |
| Downside SD | 0.48 |
| N nonnegative terms | 8 |
| N negative terms | 67 |
| N of observations | 75 |
| Mean of predictor | 0.05 |
| Mean of criterion | -0.24 |
| SD of predictor | 0.20 |
| SD of criterion | 0.49 |
| Covariance | 0.02 |
| r | 0.16 |
| b (slope, estimate of beta) | 0.40 |
| a (intercept, estimate of alpha) | -0.26 |
| Mean Square Error | 0.24 |
| DF error | 73 |
| t(b) | 1.41 |
| p(b) | 0.08 |
| t(a) | -1.30 |
| p(a) | 0.90 |
| Lowerbound of 95% confidence interval for beta | -0.17 |
| Upperbound of 95% confidence interval for beta | 0.98 |
| Lowerbound of 95% confidence interval for alpha | -0.65 |
| Upperbound of 95% confidence interval for alpha | 0.14 |
| Treynor index (mean / b) | -0.59 |
| Jensen alpha (a) | -0.26 |
| VaR(95%) | 0.22 |
| Expected Shortfall on VaR | 0.27 |
| VaR(95%) | 0.07 |
| Expected Shortfall on VaR | 0.15 |
| Mean | -0.20 |
| SD | 0.25 |
| Sharpe ratio (Glass type estimate) | -0.81 |
| Sharpe ratio (Hedges UMVUE) | -0.81 |
| df | 2159 |
| t | -2.03 |
| p | 0.98 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.59 |
| Upperbound of 95% confidence interval for Sharpe Ratio | -0.03 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.59 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.03 |
| Sortino ratio | -0.93 |
| Upside Potential Ratio | 1.20 |
| Upside part of mean | 0.26 |
| Downside part of mean | -0.47 |
| Upside SD | 0.12 |
| Downside SD | 0.22 |
| N nonnegative terms | 60 |
| N negative terms | 2100 |
| N of observations | 2160 |
| Mean of predictor | 0.08 |
| Mean of criterion | -0.20 |
| SD of predictor | 0.26 |
| SD of criterion | 0.25 |
| Covariance | 0.00 |
| r | 0.02 |
| b (slope, estimate of beta) | 0.02 |
| a (intercept, estimate of alpha) | 1.03 |
| Mean Square Error | 0.06 |
| DF error | 2158 |
| t(b) | 1.10 |
| p(b) | 0.14 |
| t(a) | -2.05 |
| p(a) | 0.98 |
| Lowerbound of 95% confidence interval for beta | -0.02 |
| Upperbound of 95% confidence interval for beta | 0.06 |
| Lowerbound of 95% confidence interval for alpha | -0.40 |
| Upperbound of 95% confidence interval for alpha | -0.01 |
| Treynor index (mean / b) | -8.77 |
| Jensen alpha (a) | -0.20 |
| Mean | -0.24 |
| SD | 0.27 |
| Sharpe ratio (Glass type estimate) | -0.89 |
| Sharpe ratio (Hedges UMVUE) | -0.89 |
| df | 2159 |
| t | -2.23 |
| p | 0.99 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.67 |
| Upperbound of 95% confidence interval for Sharpe Ratio | -0.11 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.67 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.11 |
| Sortino ratio | -0.99 |
| Upside Potential Ratio | 1.07 |
| Upside part of mean | 0.26 |
| Downside part of mean | -0.49 |
| Upside SD | 0.12 |
| Downside SD | 0.24 |
| N nonnegative terms | 60 |
| N negative terms | 2100 |
| N of observations | 2160 |
| Mean of predictor | 0.05 |
| Mean of criterion | -0.24 |
| SD of predictor | 0.26 |
| SD of criterion | 0.27 |
| Covariance | 0.00 |
| r | 0.02 |
| b (slope, estimate of beta) | 0.02 |
| a (intercept, estimate of alpha) | -0.24 |
| Mean Square Error | 0.07 |
| DF error | 2158 |
| t(b) | 1.09 |
| p(b) | 0.14 |
| t(a) | -2.25 |
| p(a) | 0.99 |
| Lowerbound of 95% confidence interval for beta | -0.02 |
| Upperbound of 95% confidence interval for beta | 0.07 |
| Lowerbound of 95% confidence interval for alpha | -0.45 |
| Upperbound of 95% confidence interval for alpha | -0.03 |
| Treynor index (mean / b) | -9.66 |
| Jensen alpha (a) | -0.24 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.03 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.01 |
| Mean | -0.01 |
| 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 | -18.55 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | -0.01 |
| Upside SD | 0 |
| Downside SD | 0.00 |
| N nonnegative terms | 0 |
| N negative terms | 172 |
| N of observations | 172 |
| Mean of predictor | -0.00 |
| Mean of criterion | -0.01 |
| SD of predictor | 0.17 |
| 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 | -0.01 |
| SD | 0 |
| Sharpe ratio (Glass type estimate) | -3.15763010599649e+16 |
| Sharpe ratio (Hedges UMVUE) | -3.14375993861079e+16 |
| df | 171 |
| t | -2.23277998051164e+16 |
| p | 1 |
| 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 | -3.47694997228749e+16 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | -2.81057999810724e+16 |
| Sortino ratio | -18.55 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | -0.01 |
| Upside SD | 0 |
| Downside SD | 0.00 |
| N nonnegative terms | 0 |
| N negative terms | 172 |
| N of observations | 172 |
| Mean of predictor | -0.02 |
| Mean of criterion | -0.01 |
| SD of predictor | 0.17 |
| SD of criterion | 0 |
| Covariance | 0 |
| r | 0 |
| b (slope, estimate of beta) | 0 |
| a (intercept, estimate of alpha) | -0.01 |
| Mean Square Error | 0 |
| DF error | 170 |
| t(b) | 0 |
| p(b) | 0.50 |
| t(a) | -2.22620996903895e+16 |
| p(a) | 1 |
| Lowerbound of 95% confidence interval for beta | 0 |
| VAR (95 Confidence Intrvl) | 0.17 |
| Upperbound of 95% confidence interval for beta | 0 |
| Lowerbound of 95% confidence interval for alpha | -0.01 |
| Upperbound of 95% confidence interval for alpha | -0.01 |
| Treynor index (mean / b) | -9.08832035702247e+31 |
| Jensen alpha (a) | -0.01 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.00 |
| VaR(95%) | 0 |
| Expected Shortfall on VaR | 0 |
ORDER STATISTICS
| Number of observations | 75 |
|---|---|
| Minimum | 0.37 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.18 |
| Mean of quarter 1 | 0.92 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.03 |
| Inter Quartile Range | 0 |
| Number outliers low | 4 |
| Percentage of outliers low | 0.05 |
| Mean of outliers low | 0.63 |
| Number of outliers high | 8 |
| Percentage of outliers high | 0.11 |
| Mean of outliers high | 1.08 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | -0.71 |
| VaR(95%) (regression method) | 0.15 |
| Expected Shortfall (regression method) | 0.45 |
| Number of observations | 2160 |
| 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 | 1.00 |
| Inter Quartile Range | 0 |
| Number outliers low | 70 |
| Percentage of outliers low | 0.03 |
| Mean of outliers low | 0.96 |
| Number of outliers high | 60 |
| Percentage of outliers high | 0.03 |
| Mean of outliers high | 1.03 |
| Extreme Value Index (moments method) | 0.24 |
| VaR(95%) (moments method) | -0.00 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0.18 |
| VaR(95%) (regression method) | -0.01 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 172 |
| 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 | 0.85 |
| Quartile 1 | 0.85 |
| Median | 0.85 |
| Quartile 3 | 0.85 |
| Maximum | 0.85 |
| 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 | 10 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.01 |
| Quartile 3 | 0.05 |
| Maximum | 0.85 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.02 |
| Mean of quarter 4 | 0.34 |
| Inter Quartile Range | 0.05 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.10 |
| Mean of outliers high | 0.85 |
| Extreme Value Index (moments method) | 0.91 |
| VaR(95%) (moments method) | 0.34 |
| Expected Shortfall (moments method) | 4.34 |
| Extreme Value Index (regression method) | 3.05 |
| VaR(95%) (regression method) | 1.57 |
| 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 |
| Max Equity Drawdown (num days) | 174 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | -0.12 |
|---|---|
| Compounded annual return (geometric extrapolation) | -0.20 |
| Calmar ratio (compounded annual return / max draw down) | -0.24 |
| Compounded annual return / average of 25% largest draw downs | 0 |
| Compounded annual return / Expected Shortfall lognormal | -0.76 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.12 |
| Compounded annual return (geometric extrapolation) | -0.20 |
| Calmar ratio (compounded annual return / max draw down) | -0.24 |
| Compounded annual return / average of 25% largest draw downs | -0.59 |
| Compounded annual return / Expected Shortfall lognormal | -6.82 |
| 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
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| ND H8 | long | 2 | Jan 3, 2008 | Jan 9, 2008 | ($26,866) |
| ND H8 | long | 4 | Dec 28, 2007 | Jan 2, 2008 | ($17,132) |
| ND H8 | long | 2 | Dec 18, 2007 | Dec 20, 2007 | $4,184 |
| ND Z7 | long | 2 | Nov 8, 2007 | Nov 26, 2007 | ($28,266) |
| ND Z7 | long | 3 | Nov 7, 2007 | Nov 8, 2007 | ($22,974) |
| ND Z7 | short | 3 | Oct 30, 2007 | Oct 31, 2007 | $3,576 |
| ND Z7 | long | 4 | Oct 25, 2007 | Oct 30, 2007 | $13,168 |
| ND Z7 | long | 2 | Oct 22, 2007 | Oct 25, 2007 | $10,384 |
| ND Z7 | short | 8 | Oct 8, 2007 | Oct 11, 2007 | ($16,264) |
| ND Z7 | short | 3 | Oct 1, 2007 | Oct 3, 2007 | $2,826 |
| ND Z7 | short | 3 | Sep 27, 2007 | Sep 28, 2007 | $3,126 |
| ND U7 | long | 3 | Sep 4, 2007 | Sep 7, 2007 | ($19,074) |
| ND U7 | short | 3 | Sep 4, 2007 | Sep 4, 2007 | ($3,024) |
| ND U7 | short | 3 | Aug 30, 2007 | Aug 30, 2007 | ($1,149) |
| NQ U7 | short | 15 | Aug 28, 2007 | Aug 30, 2007 | ($12,795) |
| ND U7 | long | 6 | Aug 15, 2007 | Aug 16, 2007 | ($18,123) |
| ND U7 | short | 3 | Aug 14, 2007 | Aug 15, 2007 | $7,701 |
| ND U7 | long | 6 | Aug 9, 2007 | Aug 14, 2007 | ($3,273) |
| ND U7 | long | 3 | Jul 31, 2007 | Jul 31, 2007 | ($3,174) |
| ND U7 | long | 3 | Jul 26, 2007 | Jul 27, 2007 | ($13,824) |
| ND U7 | long | 3 | Jul 18, 2007 | Jul 19, 2007 | $7,926 |
| ND U7 | short | 3 | Jul 17, 2007 | Jul 18, 2007 | $3,201 |
| ND U7 | short | 3 | Jul 12, 2007 | Jul 13, 2007 | ($9,999) |
| ND U7 | short | 3 | Jul 6, 2007 | Jul 10, 2007 | $3,426 |
| ND U7 | long | 5 | Jun 26, 2007 | Jun 28, 2007 | $12,860 |
| ND U7 | long | 6 | Jun 11, 2007 | Jun 13, 2007 | ($948) |
| NQ U7 | long | 6 | Jun 11, 2007 | Jun 11, 2007 | ($78) |
| ND M7 | long | 6 | Jun 5, 2007 | Jun 11, 2007 | ($6,273) |
| ND M7 | short | 3 | May 31, 2007 | Jun 4, 2007 | $2,751 |
| ND M7 | long | 5 | May 15, 2007 | May 17, 2007 | $10,460 |
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.