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Solaris A10.2

By BobSvan2

Stocks · Started Feb 2008

hypothetical · Annual Return (Compounded)
11.2%
Max Drawdown
—
Trades
3492
Win Trades
59.2%
Profit Factor
1.10
Win Months
15.2%

About this strategy

www.trade-and-win.com

Feb 17, 2009:
A new version of Solaris A10 marked as Solaris A10.2 is opened for subscribers today.

Remarks:
- Starting today this system will not make any intraday trades. If your account has not a daytrading pattern, do not worry - this system will not freeze your account.
- Max. number of subscribers is 25

More on www.trade-and-win.com

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20088.73.90.83.8-21.020.82.98.1-7.9-1.210.125.6
200911.9-7.8-6.92.511.416.619.87.9-0.5-19.111.86.858.9
2010-10.3-0.2-2.2-5.9-15.4-6.87.5-5.42.41.4-3.323.9-17.7
20118.019.47.73.2-1.66.9-4.6-28.6-30.50.7-18.60.0-41.5
20120.00.01.10.00.00.00.00.00.0-0.00.00.01.1
20130.00.00.00.1-0.10.00.00.10.00.0-0.10.00.0
2014-0.00.00.00.00.00.00.00.00.00.00.00.00.0
20150.00.00.0-0.00.5-0.00.00.0-0.22.30.00.02.6
20160.00.10.40.00.0-0.00.00.10.00.00.00.00.5
20170.00.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began2/14/2008
Suggested Minimum Capital$10,000
Age226 months
What it tradesStocks
# Trades3492
# Profitable2068
% Profitable59.2%
Avg trade duration2.2 days
Max peak-to-valley drawdown—
drawdown period—
Annual return (compounded)5.3%
Avg win$66
Avg loss$85

Ratios

W:L ratio1.13
Sharpe Ratio-0.05
Sortino Ratio-0.06
Calmar Ratio0.34

CORRELATION STATISTICS

Correlation to SP5000.21
Return Percent SP500 (cumu) during strategy life466.2%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)130.9%

Return Statistics

Ann Return (w trading costs)11.2%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)5.3%

Slump

Current Slump as Pcnt Equity161.9%
Current Slump, time of slump as pcnt of strategy life0.8%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Percent Trades Stocks1.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss100.0%
Chance of 20% account loss100.0%
Chance of 30% account loss100.0%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
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 Automated0.0%

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$85
Avg Win$66
# Winners2068
Sum Trade PL (losers)$121,330
Sum Trade PL (winners)$135,448
Num Months Winners41
# Losers1424
% Winners59.2%

Dividends

Dividends Received in Model Acct1871

Age

Num Months filled monthly returns table224

Frequency

Avg Position Time (mins)3213.47
Avg Position Time (hrs)53.56
Avg Trade Length2.20
Last Trade Ago5411

Regression

Alpha-0.01
Beta0.16
Treynor Index-0.01

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0
MAE:Equity, average, losing trades0.01
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-53.27
MAE:PL (avg, all trades)-0.16
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats48.72
MAE:PL - Winning Trades - this strat Percentile of All Strats38.41
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.66
Avg(MAE) / Avg(PL) - Losing trades-1.50
Hold-and-Hope Ratio-0.02

RATIO STATISTICS

a (intercept, estimate of alpha)0.21
VAR (95 Confidence Intrvl)0.05

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)123
Last 4 Months - Pcnt Negative0.0%

Trading record

Placed 1649 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
EDU long110Nov 18, 2011Nov 22, 2011($155)
NAV long70Nov 18, 2011Nov 22, 2011($72)
AVGO long80Nov 18, 2011Nov 22, 2011($34)
CERN long80Nov 18, 2011Nov 22, 2011($49)
MCP long90Nov 18, 2011Nov 21, 2011$60
EPI long150Nov 17, 2011Nov 21, 2011($117)
TTM long150Nov 17, 2011Nov 21, 2011($141)
AGU long30Nov 17, 2011Nov 21, 2011($94)
F long250Nov 17, 2011Nov 21, 2011($50)
NGD long230Nov 17, 2011Nov 21, 2011($184)
BSBR long330Nov 17, 2011Nov 21, 2011($119)
WNR long200Nov 17, 2011Nov 21, 2011($98)
ACI long17Nov 17, 2011Nov 21, 2011($97)
DAL long350Nov 17, 2011Nov 21, 2011($18)
SWKS long140Nov 17, 2011Nov 21, 2011($116)
EW long40Nov 16, 2011Nov 18, 2011($54)
CVI long130Nov 16, 2011Nov 18, 2011($314)
GME long110Nov 16, 2011Nov 18, 2011($98)
TTWO long200Nov 17, 2011Nov 18, 2011$86
COO long40Nov 15, 2011Nov 17, 2011($169)
MRX long80Nov 15, 2011Nov 17, 2011($96)
ATVI long210Nov 15, 2011Nov 17, 2011$4
SCO long70Nov 16, 2011Nov 17, 2011$65
CIT long80Nov 15, 2011Nov 16, 2011$61
UNG long83Nov 14, 2011Nov 16, 2011($52)
DAL long330Nov 10, 2011Nov 11, 2011$56
ROVI long60Nov 9, 2011Nov 11, 2011($260)
UAL long160Nov 10, 2011Nov 11, 2011$111
VRTX long80Nov 7, 2011Nov 9, 2011($244)
DMND long70Nov 7, 2011Nov 9, 2011($253)

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.