DataGlobe Options Elite
- hypothetical · Annual Return (Compounded)
- -1.3%
- Max Drawdown
- 62.3%
- Trades
- 173
- Win Trades
- 60.7%
- Profit Factor
- 1
- Win Months
- 1.8%
About this strategy
Please visit our website at www.dataglobe.biz
Are you focused on a single market? Many traders "specialize" in just one target market, ignoring the plethora of profits available elsewhere. DataGlobe is different. We realize that profitable trading opportunities exist in a wide variety of markets. We have traders who specialize in Forex, Options, Currency Options, and Small Cap Stocks. It is our mission to target profits across a variety of markets, diversifying our portfolio and opening the door to unprecedented success.
DataGlobe is more than a collection of trading systems - it is a complete and fully diversified portfolio solution. With DataGlobe Elite Options, you can add the lucrative world of Options trading to your portfolio. Our traders do all of the work so you dont have to - you can even auto-trade the system at select brokers. Options Elite is one of five flagship advisory offerings: DataGlobe Forex, DataGlobe FX-II, Dataglobe Options Elite, DataGlobe Small Caps, and Currency Options. Subscribers to all FIVE systems will achieve a perfect balance of diversification, opening the door to unprecedented profits.
DataGlobes Options Elite trading system is based on unique trade selection strategies used in the trading pits of the worlds largest exchanges. You can apply these powerful techniques to your portfolio by following our detailed research in your own account! Auto-trading is available.
Please Note:
DataGlobe Trading is comprised of a team of professional traders. As such, we are a 24x7 operation (during market hours). Our trade desk is always staffed and we continually monitor our target markets and open positions. Rest assured - we are not an amateur operation. We take our trading very seriously and place our own thousands on each signal we generate. While some trades will close relatively quickly with profit, others may require patience to develop. We are willing to close a trade for a loss if our market data warrants such measures. While losses will be experienced on occasion, we expect a win rate of ~90% over the long term.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | -15.0 | 22.4 | -5.5 | -1.7 | |||||||||
| 2008 | 42.9 | -17.6 | 9.5 | -11.9 | -49.4 | 48.6 | -0.3 | -0.1 | -0.1 | 0.0 | -5.7 | 0.0 | -19.9 |
| 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 | 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 | 10/1/2007 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 231 months |
| What it trades | Options |
| # Trades | 173 |
| # Profitable | 105 |
| % Profitable | 60.7% |
| Avg trade duration | 9.1 days |
| Max peak-to-valley drawdown | 62.4% |
| drawdown period | Jan 24, 2008 - May 30, 2008 |
| Annual Return (Compounded) | -1.3% |
| Avg win | $2,809 |
| Avg loss | $4,481 |
Ratios
| W:L ratio | 0.97 |
|---|---|
| Sharpe Ratio | -0.02 |
| Sortino Ratio | -0.04 |
| Calmar Ratio | 0 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.07 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 393.7% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -416.2% |
Return Statistics
| Ann Return (w trading costs) | -1.3% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | -0.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | -0.5% |
Slump
| Current Slump as Pcnt Equity | 89.4% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 1.0% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 1.0% |
| 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) | 33.3% |
| 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 | $4,481 |
|---|---|
| Avg Win | $2,809 |
| # Winners | 105 |
| Sum Trade PL (losers) | $304,716 |
| Sum Trade PL (winners) | $294,982 |
| Num Months Winners | 4 |
| # Losers | 68 |
| % Winners | 60.7% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 228 |
|---|
Frequency
| Avg Position Time (mins) | 13056.35 |
|---|---|
| Avg Position Time (hrs) | 217.61 |
| Avg Trade Length | 9.10 |
| Last Trade Ago | 6630 |
Regression
| Alpha | 0 |
|---|---|
| Beta | -0.08 |
| Treynor Index | 0.02 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.03 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.08 |
| MAE:Equity, average, losing trades | 0.05 |
| 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 | -13.70 |
| MAE:PL (avg, all trades) | 0.35 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 8.26 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 25.22 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.76 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.06 |
| Hold-and-Hope Ratio | -0.07 |
RATIO STATISTICS
| Mean | 0.07 |
|---|---|
| SD | 0.39 |
| Sharpe ratio (Glass type estimate) | 0.17 |
| Sharpe ratio (Hedges UMVUE) | 0.17 |
| df | 67 |
| t | 0.41 |
| p | 0.34 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.65 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.99 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.65 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.99 |
| Sortino ratio | 0.34 |
| Upside Potential Ratio | 1.19 |
| Upside part of mean | 0.23 |
| Downside part of mean | -0.17 |
| Upside SD | 0.33 |
| Downside SD | 0.20 |
| N nonnegative terms | 60 |
| N negative terms | 8 |
| N of observations | 68 |
| Mean of predictor | 0.27 |
| Mean of criterion | 0.07 |
| SD of predictor | 0.31 |
| SD of criterion | 0.39 |
| Covariance | -0.02 |
| r | -0.19 |
| b (slope, estimate of beta) | -0.24 |
| a (intercept, estimate of alpha) | 0.13 |
| Mean Square Error | 0.15 |
| DF error | 66 |
| t(b) | -1.60 |
| p(b) | 0.94 |
| t(a) | 0.79 |
| p(a) | 0.22 |
| Lowerbound of 95% confidence interval for beta | -0.55 |
| Upperbound of 95% confidence interval for beta | 0.06 |
| Lowerbound of 95% confidence interval for alpha | -0.20 |
| Upperbound of 95% confidence interval for alpha | 0.46 |
| Treynor index (mean / b) | -0.27 |
| Jensen alpha (a) | 0.13 |
| Mean | 0 |
| SD | 0.36 |
| Sharpe ratio (Glass type estimate) | 0 |
| Sharpe ratio (Hedges UMVUE) | 0 |
| df | 67 |
| t | 0 |
| p | 0.50 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.82 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.82 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.82 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.82 |
| Sortino ratio | 0 |
| Upside Potential Ratio | 0.82 |
| Upside part of mean | 0.19 |
| Downside part of mean | -0.19 |
| Upside SD | 0.27 |
| Downside SD | 0.24 |
| N nonnegative terms | 60 |
| N negative terms | 8 |
| N of observations | 68 |
| Mean of predictor | 0.22 |
| Mean of criterion | 0 |
| SD of predictor | 0.30 |
| SD of criterion | 0.36 |
| Covariance | -0.02 |
| r | -0.17 |
| b (slope, estimate of beta) | -0.21 |
| a (intercept, estimate of alpha) | 0.05 |
| Mean Square Error | 0.13 |
| DF error | 66 |
| t(b) | -1.42 |
| p(b) | 0.92 |
| t(a) | 0.30 |
| p(a) | 0.38 |
| Lowerbound of 95% confidence interval for beta | -0.50 |
| Upperbound of 95% confidence interval for beta | 0.08 |
| Lowerbound of 95% confidence interval for alpha | -0.26 |
| Upperbound of 95% confidence interval for alpha | 0.35 |
| Treynor index (mean / b) | 0 |
| Jensen alpha (a) | 0.05 |
| VaR(95%) | 0.16 |
| Expected Shortfall on VaR | 0.19 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.03 |
| Mean | 0.45 |
| SD | 0.98 |
| Sharpe ratio (Glass type estimate) | 0.46 |
| Sharpe ratio (Hedges UMVUE) | 0.46 |
| df | 1499 |
| t | 1.09 |
| p | 0.48 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.36 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.28 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.36 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.28 |
| Sortino ratio | 0.79 |
| Upside Potential Ratio | 3.48 |
| Upside part of mean | 1.97 |
| Downside part of mean | -1.52 |
| Upside SD | 0.80 |
| Downside SD | 0.56 |
| N nonnegative terms | 1393 |
| N negative terms | 107 |
| N of observations | 1500 |
| Mean of predictor | 0.46 |
| Mean of criterion | 0.45 |
| SD of predictor | 0.60 |
| SD of criterion | 0.98 |
| Covariance | -0.10 |
| r | -0.17 |
| b (slope, estimate of beta) | -0.27 |
| a (intercept, estimate of alpha) | 0.57 |
| Mean Square Error | 0.93 |
| DF error | 1498 |
| t(b) | -6.58 |
| p(b) | 0.58 |
| t(a) | 1.42 |
| p(a) | 0.48 |
| Lowerbound of 95% confidence interval for beta | -0.35 |
| Upperbound of 95% confidence interval for beta | -0.19 |
| Lowerbound of 95% confidence interval for alpha | -0.22 |
| Upperbound of 95% confidence interval for alpha | 1.37 |
| Treynor index (mean / b) | -1.63 |
| Jensen alpha (a) | 0.57 |
| Mean | 0 |
| SD | 0.94 |
| Sharpe ratio (Glass type estimate) | 0 |
| Sharpe ratio (Hedges UMVUE) | 0 |
| df | 1499 |
| t | 0 |
| p | 0.50 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.82 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.82 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.82 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.82 |
| Sortino ratio | 0 |
| Upside Potential Ratio | 2.57 |
| Upside part of mean | 1.72 |
| Downside part of mean | -1.72 |
| Upside SD | 0.66 |
| Downside SD | 0.67 |
| N nonnegative terms | 1393 |
| N negative terms | 107 |
| N of observations | 1500 |
| Mean of predictor | 0.29 |
| Mean of criterion | 0 |
| SD of predictor | 0.60 |
| SD of criterion | 0.94 |
| Covariance | -0.10 |
| r | -0.17 |
| b (slope, estimate of beta) | -0.27 |
| a (intercept, estimate of alpha) | 0.08 |
| Mean Square Error | 0.86 |
| DF error | 1498 |
| t(b) | -6.80 |
| p(b) | 0.59 |
| t(a) | 0.20 |
| p(a) | 0.50 |
| Lowerbound of 95% confidence interval for beta | -0.35 |
| Upperbound of 95% confidence interval for beta | -0.19 |
| Lowerbound of 95% confidence interval for alpha | -0.68 |
| Upperbound of 95% confidence interval for alpha | 0.84 |
| Treynor index (mean / b) | 0 |
| Jensen alpha (a) | 0.08 |
| VaR(95%) | 0.09 |
| Expected Shortfall on VaR | 0.11 |
| 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 | 1.79 |
| Mean of criterion | 0 |
| SD of predictor | 0.68 |
| 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 | 1.57 |
| Mean of criterion | 0 |
| SD of predictor | 0.66 |
| 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) | 0.09 |
| 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 | 68 |
|---|---|
| Minimum | 0.62 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.61 |
| Mean of quarter 1 | 0.94 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.08 |
| Inter Quartile Range | 0 |
| Number outliers low | 8 |
| Percentage of outliers low | 0.12 |
| Mean of outliers low | 0.88 |
| Number of outliers high | 3 |
| Percentage of outliers high | 0.04 |
| Mean of outliers high | 1.44 |
| Extreme Value Index (moments method) | -10.17 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.01 |
| Extreme Value Index (regression method) | 0.21 |
| VaR(95%) (regression method) | 0.09 |
| Expected Shortfall (regression method) | 0.23 |
| Number of observations | 1500 |
| Minimum | 0.58 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.68 |
| Mean of quarter 1 | 0.98 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.03 |
| Inter Quartile Range | 0 |
| Number outliers low | 107 |
| Percentage of outliers low | 0.07 |
| Mean of outliers low | 0.92 |
| Number of outliers high | 98 |
| Percentage of outliers high | 0.07 |
| Mean of outliers high | 1.11 |
| Extreme Value Index (moments method) | 0.99 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.75 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| 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 | 3 |
|---|---|
| Minimum | 0.04 |
| Quartile 1 | 0.12 |
| Median | 0.19 |
| Quartile 3 | 0.37 |
| Maximum | 0.54 |
| Mean of quarter 1 | 0.04 |
| Mean of quarter 2 | 0.19 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.54 |
| Inter Quartile Range | 0.25 |
| 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 | 0.01 |
| Quartile 1 | 0.12 |
| Median | 0.31 |
| Quartile 3 | 0.39 |
| Maximum | 0.55 |
| Mean of quarter 1 | 0.04 |
| Mean of quarter 2 | 0.23 |
| Mean of quarter 3 | 0.37 |
| Mean of quarter 4 | 0.46 |
| 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) | -1.09 |
| VaR(95%) (moments method) | 0.53 |
| Expected Shortfall (moments method) | 0.54 |
| Extreme Value Index (regression method) | 0.39 |
| VaR(95%) (regression method) | 0.57 |
| Expected Shortfall (regression method) | 0.81 |
| 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? | -373565888 |
| Max Equity Drawdown (num days) | 127 |
| 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 |
| 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 |
| 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 |
|---|---|---|---|---|---|
| DDGJ | long | 30 | May 1, 2008 | Jul 19, 2008 | ($4,821) |
| ABXFV | long | 100 | Apr 23, 2008 | Jun 21, 2008 | ($19,320) |
| SDSIF | long | 50 | May 12, 2008 | Jun 11, 2008 | $9,930 |
| HHOIS | long | 50 | May 12, 2008 | Jun 5, 2008 | $6,930 |
| PCUFC | long | 20 | May 15, 2008 | May 21, 2008 | ($5,628) |
| JLORY | long | 50 | May 1, 2008 | May 21, 2008 | $4,180 |
| SFBQJ | long | 70 | Apr 29, 2008 | May 17, 2008 | ($16,149) |
| SDSEF | long | 60 | Apr 29, 2008 | May 17, 2008 | ($10,092) |
| DXDEY | long | 40 | Apr 30, 2008 | May 17, 2008 | ($6,228) |
| WFTFR | long | 20 | May 15, 2008 | May 16, 2008 | $1,972 |
| WFTEQ | long | 30 | May 8, 2008 | May 8, 2008 | $1,608 |
| EOGEU | long | 30 | May 8, 2008 | May 8, 2008 | $2,358 |
| MTJEF | long | 20 | May 5, 2008 | May 6, 2008 | $2,372 |
| EXMFI | long | 50 | May 2, 2008 | May 5, 2008 | $6,930 |
| GPYEB | long | 30 | May 2, 2008 | May 5, 2008 | ($2,802) |
| SFBRE | long | 50 | Apr 21, 2008 | May 2, 2008 | ($10,070) |
| CGJQI | long | 20 | Apr 29, 2008 | May 1, 2008 | $1,572 |
| AGUQP | long | 19 | Apr 29, 2008 | May 1, 2008 | $733 |
| UVAFD | long | 57 | Apr 21, 2008 | Apr 30, 2008 | $2,165 |
| CSXTK | long | 30 | Apr 14, 2008 | Apr 29, 2008 | ($7,842) |
| BGEE | long | 16 | Apr 25, 2008 | Apr 29, 2008 | ($4,502) |
| AAOQV | long | 50 | Apr 22, 2008 | Apr 24, 2008 | ($5,570) |
| DOQG | long | 25 | Apr 22, 2008 | Apr 23, 2008 | $1,465 |
| ABXEH | long | 30 | Apr 22, 2008 | Apr 22, 2008 | $1,758 |
| USBPF | long | 10 | Apr 14, 2008 | Apr 19, 2008 | ($507) |
| DXDEB | long | 40 | Apr 17, 2008 | Apr 18, 2008 | ($5,256) |
| HONQK | long | 58 | Apr 14, 2008 | Apr 18, 2008 | ($4,721) |
| DXDPB | long | 20 | Apr 11, 2008 | Apr 17, 2008 | ($528) |
| ABXEH | long | 25 | Apr 14, 2008 | Apr 16, 2008 | $2,965 |
| EUZFH | long | 200 | Apr 11, 2008 | Apr 11, 2008 | ($140) |
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.