Currency Options
- hypothetical · Annual Return (Compounded)
- 0.0%
- Max Drawdown
- 100.0%
- Trades
- 77
- Win Trades
- 42.9%
- Profit Factor
- 0.80
- Win Months
- 5.3%
About this strategy
FX / CURRENCY OPTIONS CAN BE TRADED IN ANY OPTIONS ACCOUNT.
A REVOLUTIONARY APPROACH TO THE CURRENCY MARKETS:
DataGlobe FX Options applies the incredible advantages of option instruments to the Forex Market. Our trades speculate on the value changes of various currencies over the short term. Selections are considered high probability, and the average gain is currently in excess of 100%.
Subscribers should have $5000.00 in available trading capital to start. Orders can be entered manually with ease, and orders to open are generally good for the week. DataGlobes Corporate Options Trading Account is held with Interactive Brokers.
Trades are based on a wide array of market data. We consider retail trader positioning, economic news and events, and proprietary first-hand information from our contacts within the worlds largest banks. We have been (jokingly) accused of possessing a "crystal ball" - as we occasionally exhibit the uncanny ability to enter a position based on news we hear before it is publicly released - often resulting in handsome profits. The results of this analysis speak for themselves.
Unlike spot Forex, FX options offer the advantage of known and strictly limited risk at all times. This, combined with a trade selection strategy that delivers astounding winners often in excess of 100% culminates in an excellent strategy suitable for any investment portfolio.
DataGlobe Trading employs experts in multiple markets. Please take a look at our other systems. Each of our system is independent and follows strictly different risk and money management rules.
Note that C2 considers a reduction in open profit on a position that has not been closed in its drawdown calculations. The worst "actual" drawdown (calculated as a net liquidation value equaling less than the starting account balance) reported by an actual subscriber to date is approximately 20%. We did not verify this report.
We are happy to respond to any questions you may have regarding this system!
DataGlobes comprehensive trading strategy is taught at: www.dataglobe.biz
A REVOLUTIONARY APPROACH TO THE CURRENCY MARKETS:
DataGlobe FX Options applies the incredible advantages of option instruments to the Forex Market. Our trades speculate on the value changes of various currencies over the short term. Selections are considered high probability, and the average gain is currently in excess of 100%.
Subscribers should have $5000.00 in available trading capital to start. Orders can be entered manually with ease, and orders to open are generally good for the week. DataGlobes Corporate Options Trading Account is held with Interactive Brokers.
Trades are based on a wide array of market data. We consider retail trader positioning, economic news and events, and proprietary first-hand information from our contacts within the worlds largest banks. We have been (jokingly) accused of possessing a "crystal ball" - as we occasionally exhibit the uncanny ability to enter a position based on news we hear before it is publicly released - often resulting in handsome profits. The results of this analysis speak for themselves.
Unlike spot Forex, FX options offer the advantage of known and strictly limited risk at all times. This, combined with a trade selection strategy that delivers astounding winners often in excess of 100% culminates in an excellent strategy suitable for any investment portfolio.
DataGlobe Trading employs experts in multiple markets. Please take a look at our other systems. Each of our system is independent and follows strictly different risk and money management rules.
Note that C2 considers a reduction in open profit on a position that has not been closed in its drawdown calculations. The worst "actual" drawdown (calculated as a net liquidation value equaling less than the starting account balance) reported by an actual subscriber to date is approximately 20%. We did not verify this report.
We are happy to respond to any questions you may have regarding this system!
DataGlobes comprehensive trading strategy is taught at: www.dataglobe.biz
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | 9.4 | 3.9 | -5.6 | 7.3 | |||||||||
| 2008 | 56.0 | 13.1 | 18.9 | -17.5 | -11.2 | -11.4 | -6.0 | 42.4 | -4.4 | 37.9 | 10.2 | -33.1 | 77.1 |
| 2009 | -61.9 | -62.7 | -27.0 | -17.6 | -41.2 | -6.6 | -24.0 | -5.7 | -43.7 | -35.8 | -34.7 | 76.5 | -98.6 |
| 2010 | 18.1 | -20.7 | -48.7 | -43.4 | 623.3 | 6.5 | -44.5 | -12.5 | -155.4 | -45.5 | -40.8 | -275.5 | -282.2 |
| 2011 | -15.6 | -37.7 | -89.4 | -65.8 | -26.1 | 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 2019 | 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | 10/17/2007 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 230 months |
| What it trades | Options |
| # Trades | 77 |
| # Profitable | 33 |
| % Profitable | 42.9% |
| Avg trade duration | 44.7 days |
| Max peak-to-valley drawdown | 100.0% |
| drawdown period | April 27, 2010 - May 12, 2011 |
| Annual Return (Compounded) | 0.0% |
| Avg win | $14,493 |
| Avg loss | $12,935 |
Ratios
| W:L ratio | 0.81 |
|---|---|
| Sharpe Ratio | 0.15 |
| Sortino Ratio | 0.26 |
| Calmar Ratio | -0.87 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.00 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 395.6% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -519.1% |
Return Statistics
| Ann Return (w trading costs) | 0.0% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 0.0% |
Slump
| Current Slump as Pcnt Equity | — |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.9% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.8% |
| 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 | 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) | 100.0% |
| Chance of 100% account loss (Monte Carlo) | 100.0% |
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 | $12,935 |
|---|---|
| Avg Win | $14,493 |
| # Winners | 33 |
| Sum Trade PL (losers) | $569,126 |
| Sum Trade PL (winners) | $478,260 |
| Num Months Winners | 12 |
| # Losers | 44 |
| % Winners | 42.9% |
Dividends
| Dividends Received in Model Acct | -16405 |
|---|
Age
| Num Months filled monthly returns table | 36 |
|---|
Frequency
| Avg Position Time (mins) | 64341.82 |
|---|---|
| Avg Position Time (hrs) | 1072.36 |
| Avg Trade Length | 44.70 |
| Last Trade Ago | 5602 |
Regression
| Alpha | 0 |
|---|---|
| Beta | 7.46 |
| Treynor Index | 0 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.06 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.05 |
| MAE:Equity, average, losing trades | 0.08 |
| 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 | -6.53 |
| MAE:PL (avg, all trades) | -0.34 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 5.63 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 18.54 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.43 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.04 |
| Hold-and-Hope Ratio | -0.15 |
RATIO STATISTICS
| Mean | -0.39 |
|---|---|
| SD | 0.72 |
| Sharpe ratio (Glass type estimate) | -0.53 |
| Sharpe ratio (Hedges UMVUE) | -0.53 |
| df | 66 |
| t | -1.26 |
| p | 0.89 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.37 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.30 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.36 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.31 |
| Sortino ratio | -0.65 |
| Upside Potential Ratio | 0.70 |
| Upside part of mean | 0.41 |
| Downside part of mean | -0.80 |
| Upside SD | 0.42 |
| Downside SD | 0.59 |
| N nonnegative terms | 41 |
| N negative terms | 26 |
| N of observations | 67 |
| Mean of predictor | 0.23 |
| Mean of criterion | -0.39 |
| SD of predictor | 0.26 |
| SD of criterion | 0.72 |
| Covariance | -0.02 |
| r | -0.11 |
| b (slope, estimate of beta) | -0.29 |
| a (intercept, estimate of alpha) | -0.32 |
| Mean Square Error | 0.52 |
| DF error | 65 |
| t(b) | -0.86 |
| p(b) | 0.80 |
| t(a) | -1.01 |
| p(a) | 0.84 |
| Lowerbound of 95% confidence interval for beta | -0.96 |
| Upperbound of 95% confidence interval for beta | 0.38 |
| Lowerbound of 95% confidence interval for alpha | -0.95 |
| Upperbound of 95% confidence interval for alpha | 0.31 |
| Treynor index (mean / b) | 1.32 |
| Jensen alpha (a) | -0.32 |
| Mean | -2.06 |
| SD | 3.97 |
| Sharpe ratio (Glass type estimate) | -0.52 |
| Sharpe ratio (Hedges UMVUE) | -0.51 |
| df | 66 |
| t | -1.22 |
| p | 0.89 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.35 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.32 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.35 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.32 |
| Sortino ratio | -0.52 |
| Upside Potential Ratio | 0.09 |
| Upside part of mean | 0.35 |
| Downside part of mean | -2.41 |
| Upside SD | 0.33 |
| Downside SD | 3.98 |
| N nonnegative terms | 41 |
| N negative terms | 26 |
| N of observations | 67 |
| Mean of predictor | 0.19 |
| Mean of criterion | -2.06 |
| SD of predictor | 0.27 |
| SD of criterion | 3.97 |
| Covariance | -0.06 |
| r | -0.06 |
| b (slope, estimate of beta) | -0.85 |
| a (intercept, estimate of alpha) | -1.90 |
| Mean Square Error | 15.99 |
| DF error | 65 |
| t(b) | -0.46 |
| p(b) | 0.68 |
| t(a) | -1.10 |
| p(a) | 0.86 |
| Lowerbound of 95% confidence interval for beta | -4.54 |
| Upperbound of 95% confidence interval for beta | 2.84 |
| Lowerbound of 95% confidence interval for alpha | -5.35 |
| Upperbound of 95% confidence interval for alpha | 1.56 |
| Treynor index (mean / b) | 2.41 |
| Jensen alpha (a) | -1.90 |
| VaR(95%) | 0.87 |
| Expected Shortfall on VaR | 0.91 |
| VaR(95%) | 0.13 |
| Expected Shortfall on VaR | 0.28 |
| Mean | 0.68 |
| SD | 1.83 |
| Sharpe ratio (Glass type estimate) | 0.37 |
| Sharpe ratio (Hedges UMVUE) | 0.37 |
| df | 1467 |
| t | 0.89 |
| p | 0.49 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.45 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.20 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.45 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.20 |
| Sortino ratio | 0.64 |
| Upside Potential Ratio | 5.03 |
| Upside part of mean | 5.37 |
| Downside part of mean | -4.69 |
| Upside SD | 1.48 |
| Downside SD | 1.07 |
| N nonnegative terms | 1054 |
| N negative terms | 414 |
| N of observations | 1468 |
| Mean of predictor | 0.43 |
| Mean of criterion | 0.68 |
| SD of predictor | 0.62 |
| SD of criterion | 1.83 |
| Covariance | -0.19 |
| r | -0.17 |
| b (slope, estimate of beta) | -0.50 |
| a (intercept, estimate of alpha) | 0.90 |
| Mean Square Error | 3.25 |
| DF error | 1466 |
| t(b) | -6.54 |
| p(b) | 0.58 |
| t(a) | 1.18 |
| p(a) | 0.48 |
| Lowerbound of 95% confidence interval for beta | -0.65 |
| Upperbound of 95% confidence interval for beta | -0.35 |
| Lowerbound of 95% confidence interval for alpha | -0.60 |
| Upperbound of 95% confidence interval for alpha | 2.39 |
| Treynor index (mean / b) | -1.37 |
| Jensen alpha (a) | 0.90 |
| Mean | -2.05 |
| SD | 3.89 |
| Sharpe ratio (Glass type estimate) | -0.53 |
| Sharpe ratio (Hedges UMVUE) | -0.53 |
| df | 1467 |
| t | -1.25 |
| p | 0.52 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.36 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.30 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.36 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.30 |
| Sortino ratio | -0.55 |
| Upside Potential Ratio | 1.24 |
| Upside part of mean | 4.61 |
| Downside part of mean | -6.66 |
| Upside SD | 1.13 |
| Downside SD | 3.72 |
| N nonnegative terms | 1054 |
| N negative terms | 414 |
| N of observations | 1468 |
| Mean of predictor | 0.24 |
| Mean of criterion | -2.05 |
| SD of predictor | 0.61 |
| SD of criterion | 3.89 |
| Covariance | -0.15 |
| r | -0.06 |
| b (slope, estimate of beta) | -0.40 |
| a (intercept, estimate of alpha) | -1.96 |
| Mean Square Error | 15.08 |
| DF error | 1466 |
| t(b) | -2.43 |
| p(b) | 0.53 |
| t(a) | -1.19 |
| p(a) | 0.52 |
| Lowerbound of 95% confidence interval for beta | -0.72 |
| Upperbound of 95% confidence interval for beta | -0.08 |
| Lowerbound of 95% confidence interval for alpha | -5.18 |
| Upperbound of 95% confidence interval for alpha | 1.26 |
| Treynor index (mean / b) | 5.12 |
| Jensen alpha (a) | -1.96 |
| VaR(95%) | 0.33 |
| Expected Shortfall on VaR | 0.39 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.07 |
| 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 | 1.83 |
| Mean of criterion | 0 |
| SD of predictor | 0.75 |
| 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 | 1.55 |
| Mean of criterion | 0 |
| SD of predictor | 0.75 |
| 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) | 0.33 |
| 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 | 67 |
|---|---|
| Minimum | 0.00 |
| Quartile 1 | 0.94 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.73 |
| Mean of quarter 1 | 0.75 |
| Mean of quarter 2 | 0.98 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.14 |
| Inter Quartile Range | 0.06 |
| Number outliers low | 10 |
| Percentage of outliers low | 0.15 |
| Mean of outliers low | 0.64 |
| Number of outliers high | 7 |
| Percentage of outliers high | 0.10 |
| Mean of outliers high | 1.29 |
| Extreme Value Index (moments method) | 0.53 |
| VaR(95%) (moments method) | 0.24 |
| Expected Shortfall (moments method) | 0.59 |
| Extreme Value Index (regression method) | 0.63 |
| VaR(95%) (regression method) | 0.24 |
| Expected Shortfall (regression method) | 0.67 |
| Number of observations | 1468 |
| Minimum | 0.00 |
| Quartile 1 | 1.00 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 2.12 |
| Mean of quarter 1 | 0.93 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.08 |
| Inter Quartile Range | 0.00 |
| Number outliers low | 317 |
| Percentage of outliers low | 0.22 |
| Mean of outliers low | 0.92 |
| Number of outliers high | 296 |
| Percentage of outliers high | 0.20 |
| Mean of outliers high | 1.10 |
| Extreme Value Index (moments method) | 0.84 |
| VaR(95%) (moments method) | 0.04 |
| Expected Shortfall (moments method) | 0.25 |
| Extreme Value Index (regression method) | 0.41 |
| VaR(95%) (regression method) | 0.05 |
| Expected Shortfall (regression method) | 0.12 |
| 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 | 0.17 |
| Quartile 1 | 0.21 |
| Median | 0.24 |
| Quartile 3 | 0.62 |
| Maximum | 1 |
| Mean of quarter 1 | 0.17 |
| Mean of quarter 2 | 0.24 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 1 |
| Inter Quartile Range | 0.41 |
| 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 | 15 |
| Minimum | 0.00 |
| Quartile 1 | 0.17 |
| Median | 0.25 |
| Quartile 3 | 0.38 |
| Maximum | 1 |
| Mean of quarter 1 | 0.07 |
| Mean of quarter 2 | 0.23 |
| Mean of quarter 3 | 0.29 |
| Mean of quarter 4 | 0.64 |
| Inter Quartile Range | 0.21 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.07 |
| Mean of outliers high | 1 |
| Extreme Value Index (moments method) | -0.12 |
| VaR(95%) (moments method) | 0.72 |
| Expected Shortfall (moments method) | 0.87 |
| Extreme Value Index (regression method) | 0.77 |
| VaR(95%) (regression method) | 0.87 |
| Expected Shortfall (regression method) | 2.84 |
| 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? | -369052256 |
| Max Equity Drawdown (num days) | 380 |
| Last 4 Months - Pcnt Negative | 0.8% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | -0.18 |
|---|---|
| Compounded annual return (geometric extrapolation) | -0.87 |
| Calmar ratio (compounded annual return / max draw down) | -0.87 |
| Compounded annual return / average of 25% largest draw downs | -0.87 |
| Compounded annual return / Expected Shortfall lognormal | -0.95 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.18 |
| Compounded annual return (geometric extrapolation) | -0.87 |
| Calmar ratio (compounded annual return / max draw down) | -0.87 |
| Compounded annual return / average of 25% largest draw downs | -1.35 |
| Compounded annual return / Expected Shortfall lognormal | -2.22 |
| 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 |
|---|---|---|---|---|---|
| FXA | short | 5000 | Feb 22, 2009 | May 12, 2011 | ($30,220) |
| FCCNM | long | 50 | Jan 22, 2009 | Feb 22, 2009 | ($10,785) |
| VARNF | long | 50 | Jan 9, 2009 | Feb 22, 2009 | ($9,535) |
| FXCCD | long | 100 | Jan 13, 2009 | Feb 10, 2009 | ($15,140) |
| AZONE | long | 30 | Feb 2, 2009 | Feb 5, 2009 | ($4,242) |
| VNJ | long | 30 | Feb 2, 2009 | Feb 5, 2009 | ($3,642) |
| MHKNV | long | 100 | Jan 20, 2009 | Jan 28, 2009 | ($19,140) |
| TLLE | long | 1000 | Jan 13, 2009 | Jan 27, 2009 | ($105) |
| RTHNN | long | 70 | Jan 15, 2009 | Jan 26, 2009 | ($15,498) |
| MONBQ | long | 100 | Jan 13, 2009 | Jan 22, 2009 | ($15,140) |
| AEMBK | long | 70 | Jan 20, 2009 | Jan 21, 2009 | ($12,348) |
| MOSBG | long | 30 | Jan 16, 2009 | Jan 21, 2009 | ($4,392) |
| ABXBZ | long | 75 | Jan 13, 2009 | Jan 20, 2009 | $7,395 |
| MTBNI | long | 50 | Jan 14, 2009 | Jan 15, 2009 | $3,930 |
| BGWMJ | long | 70 | Jan 12, 2009 | Jan 14, 2009 | $16,702 |
| QJPBA | long | 300 | Jan 5, 2009 | Jan 13, 2009 | ($19,920) |
| LJJBU | long | 120 | Jan 5, 2009 | Jan 12, 2009 | ($14,568) |
| WMXAF | long | 500 | Dec 24, 2008 | Jan 9, 2009 | ($30,700) |
| SDSAR | long | 100 | Jan 2, 2009 | Jan 9, 2009 | $13,360 |
| KSSMH | long | 80 | Jan 5, 2009 | Jan 8, 2009 | ($12,912) |
| XRYOS | long | 200 | Dec 24, 2008 | Jan 2, 2009 | ($21,280) |
| SDSAR | long | 75 | Jan 2, 2009 | Jan 2, 2009 | ($11,355) |
| SOJAY | long | 500 | Dec 24, 2008 | Dec 31, 2008 | $26,800 |
| YAAAL | long | 120 | Dec 11, 2008 | Dec 22, 2008 | ($14,088) |
| AEMMH | long | 80 | Dec 18, 2008 | Dec 22, 2008 | ($13,712) |
| DZGAE | long | 60 | Dec 12, 2008 | Dec 16, 2008 | ($15,084) |
| AZOMD | long | 40 | Dec 10, 2008 | Dec 16, 2008 | ($8,856) |
| BNILO | long | 100 | Dec 4, 2008 | Dec 12, 2008 | ($15,140) |
| KSSMG | long | 90 | Dec 11, 2008 | Dec 12, 2008 | $7,974 |
| MOSAG | long | 75 | Dec 10, 2008 | Dec 12, 2008 | ($18,105) |
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.