Catch A Wave (small margin futures)
- hypothetical · Annual Return (Compounded)
- -1.0%
- Max Drawdown
- 35.2%
- Trades
- 35
- Win Trades
- 51.4%
- Profit Factor
- 0.80
- Win Months
- 0.9%
About this strategy
Catch A Wave (small margin futures) gives recommendations on those commodities with initial margins of roughly $3000 or less, intended for any size account, but particularly appropriate for smaller accounts. Many of the other systems that show good overall returns may, upon closer inspection, have achieved their numbers from a few large wins in commodities such as the S&P or the energies (Crude Oil, Natural Gas, etc.) that many smaller accounts would not have had enough money to participate in. Therefore this system seeks to provide a needed service to the "little guy".
Each trade signal given will always be accompanied by a Protective Stop, so the risk will be defined and limited (except in the very rare case of a gap opening price on the wrong side of our protective stop). As the trade moves in our favor, subscribers will receive instructions to "cancel and replace" the Protective Stop to lessen risk, or lock in profit. In many cases, targets will be set to close a contract and take profit if the price moves in our favor to that point.
(Note: Orders to OPEN a new trade will always be DAY orders, good only for one day. The contingent Protective Stop order will always be a GTC, or Good Till Cancelled Order.)
With each new recommendation, and change instructions on existing trades, subscribers will receive clear explanations of what we're doing, and where we stand in the trade. If we're risking $854 per contract on a new trade, or if we're moving our Protective Stop to lock in $477 of profit per contract, you'll know it.
We believe in risking about the same small percentage of our account on each trade, and recommend that policy. Hopefully you can trade at least 1 contract of each recommendation without risking more than 10% of your total account. For example, Catch A Wave started with $30,000, and will risk as close as possible to 7% of the total account, without going over, on each trade.
Watch for Catch A Wave (large margin futures) coming soon! This service will trade in the commodities requiring initial margins of roughly $3000 and up.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | 0.0 | 8.9 | -19.0 | 4.8 | -9.7 | -0.5 | -0.5 | 0.0 | -17.4 | ||||
| 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 | 5/31/2008 |
|---|---|
| Suggested Minimum Capital | $30,000 |
| Age | 223 months |
| What it trades | Futures |
| # Trades | 35 |
| # Profitable | 18 |
| % Profitable | 51.4% |
| Avg trade duration | 3.9 days |
| Max peak-to-valley drawdown | 35.2% |
| drawdown period | July 22, 2008 - Aug 15, 2008 |
| Annual Return (Compounded) | -1.0% |
| Avg win | $1,030 |
| Avg loss | $1,295 |
Ratios
| W:L ratio | 0.84 |
|---|---|
| Sharpe Ratio | -0.35 |
| Sortino Ratio | -0.43 |
| Calmar Ratio | -0.14 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.02 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 445.4% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -464.2% |
Return Statistics
| Ann Return (w trading costs) | -1.0% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | -0.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | -0.7% |
Slump
| Current Slump as Pcnt Equity | 52.7% |
|---|---|
| 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 | 0.0% |
| Chance of 50% account loss | 0.0% |
| 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 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 | $1,295 |
|---|---|
| Avg Win | $1,030 |
| # Winners | 18 |
| Sum Trade PL (losers) | $22,015 |
| Sum Trade PL (winners) | $18,531 |
| Num Months Winners | 4 |
| # Losers | 17 |
| % Winners | 51.4% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 221 |
|---|
Frequency
| Avg Position Time (mins) | 5584.35 |
|---|---|
| Avg Position Time (hrs) | 93.07 |
| Avg Trade Length | 3.90 |
| Last Trade Ago | 6564 |
Regression
| Alpha | -0.01 |
|---|---|
| Beta | -0.01 |
| Treynor Index | 0.95 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.03 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.06 |
| MAE:Equity, average, losing trades | 0.04 |
| 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 | -6.17 |
| MAE:PL (avg, all trades) | 1.13 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 2.76 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 72.71 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.51 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.00 |
| Hold-and-Hope Ratio | -0.16 |
RATIO STATISTICS
| Mean | -0.03 |
|---|---|
| SD | 0.14 |
| Sharpe ratio (Glass type estimate) | -0.23 |
| Sharpe ratio (Hedges UMVUE) | -0.23 |
| df | 63 |
| t | -0.53 |
| p | 0.70 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.08 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.62 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.08 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.62 |
| Sortino ratio | -0.27 |
| Upside Potential Ratio | 0.34 |
| Upside part of mean | 0.04 |
| Downside part of mean | -0.07 |
| Upside SD | 0.07 |
| Downside SD | 0.12 |
| N nonnegative terms | 58 |
| N negative terms | 6 |
| N of observations | 64 |
| Mean of predictor | 0.38 |
| Mean of criterion | -0.03 |
| SD of predictor | 0.33 |
| SD of criterion | 0.14 |
| Covariance | 0.00 |
| r | 0.09 |
| b (slope, estimate of beta) | 0.04 |
| a (intercept, estimate of alpha) | -0.05 |
| Mean Square Error | 0.02 |
| DF error | 62 |
| t(b) | 0.73 |
| p(b) | 0.23 |
| t(a) | -0.73 |
| p(a) | 0.77 |
| Lowerbound of 95% confidence interval for beta | -0.07 |
| Upperbound of 95% confidence interval for beta | 0.14 |
| Lowerbound of 95% confidence interval for alpha | -0.17 |
| Upperbound of 95% confidence interval for alpha | 0.08 |
| Treynor index (mean / b) | -0.83 |
| Jensen alpha (a) | -0.05 |
| Mean | -0.04 |
| SD | 0.15 |
| Sharpe ratio (Glass type estimate) | -0.28 |
| Sharpe ratio (Hedges UMVUE) | -0.28 |
| df | 63 |
| t | -0.65 |
| p | 0.74 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.13 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.57 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.13 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.57 |
| Sortino ratio | -0.32 |
| Upside Potential Ratio | 0.29 |
| Upside part of mean | 0.04 |
| Downside part of mean | -0.08 |
| Upside SD | 0.07 |
| Downside SD | 0.13 |
| N nonnegative terms | 58 |
| N negative terms | 6 |
| N of observations | 64 |
| Mean of predictor | 0.32 |
| Mean of criterion | -0.04 |
| SD of predictor | 0.32 |
| SD of criterion | 0.15 |
| Covariance | 0.01 |
| r | 0.12 |
| b (slope, estimate of beta) | 0.06 |
| a (intercept, estimate of alpha) | -0.06 |
| Mean Square Error | 0.02 |
| DF error | 62 |
| t(b) | 0.96 |
| p(b) | 0.17 |
| t(a) | -0.90 |
| p(a) | 0.81 |
| Lowerbound of 95% confidence interval for beta | -0.06 |
| Upperbound of 95% confidence interval for beta | 0.17 |
| Lowerbound of 95% confidence interval for alpha | -0.19 |
| Upperbound of 95% confidence interval for alpha | 0.07 |
| Treynor index (mean / b) | -0.74 |
| Jensen alpha (a) | -0.06 |
| VaR(95%) | 0.07 |
| Expected Shortfall on VaR | 0.09 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.01 |
| Mean | -0.00 |
| SD | 0.29 |
| Sharpe ratio (Glass type estimate) | -0.00 |
| Sharpe ratio (Hedges UMVUE) | -0.00 |
| df | 1397 |
| t | -0.01 |
| p | 0.50 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.85 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.84 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.85 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.84 |
| Sortino ratio | -0.01 |
| Upside Potential Ratio | 2.06 |
| Upside part of mean | 0.40 |
| Downside part of mean | -0.40 |
| Upside SD | 0.21 |
| Downside SD | 0.19 |
| N nonnegative terms | 1329 |
| N negative terms | 69 |
| N of observations | 1398 |
| Mean of predictor | 0.52 |
| Mean of criterion | -0.00 |
| SD of predictor | 0.63 |
| SD of criterion | 0.29 |
| Covariance | 0.04 |
| r | 0.19 |
| b (slope, estimate of beta) | 0.09 |
| a (intercept, estimate of alpha) | -0.05 |
| Mean Square Error | 0.08 |
| DF error | 1396 |
| t(b) | 7.43 |
| p(b) | 0.40 |
| t(a) | -0.39 |
| p(a) | 0.51 |
| Lowerbound of 95% confidence interval for beta | 0.06 |
| Upperbound of 95% confidence interval for beta | 0.11 |
| Lowerbound of 95% confidence interval for alpha | -0.29 |
| Upperbound of 95% confidence interval for alpha | 0.19 |
| Treynor index (mean / b) | -0.01 |
| Jensen alpha (a) | -0.05 |
| Mean | -0.04 |
| SD | 0.29 |
| Sharpe ratio (Glass type estimate) | -0.15 |
| Sharpe ratio (Hedges UMVUE) | -0.15 |
| df | 1397 |
| t | -0.34 |
| p | 0.51 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.00 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.70 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.00 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.70 |
| Sortino ratio | -0.20 |
| Upside Potential Ratio | 1.84 |
| Upside part of mean | 0.38 |
| Downside part of mean | -0.42 |
| Upside SD | 0.20 |
| Downside SD | 0.21 |
| N nonnegative terms | 1329 |
| N negative terms | 69 |
| N of observations | 1398 |
| Mean of predictor | 0.33 |
| Mean of criterion | -0.04 |
| SD of predictor | 0.63 |
| SD of criterion | 0.29 |
| Covariance | 0.03 |
| r | 0.18 |
| b (slope, estimate of beta) | 0.08 |
| a (intercept, estimate of alpha) | -0.07 |
| Mean Square Error | 0.08 |
| DF error | 1396 |
| t(b) | 6.96 |
| p(b) | 0.41 |
| t(a) | -0.57 |
| p(a) | 0.51 |
| Lowerbound of 95% confidence interval for beta | 0.06 |
| Upperbound of 95% confidence interval for beta | 0.11 |
| Lowerbound of 95% confidence interval for alpha | -0.31 |
| Upperbound of 95% confidence interval for alpha | 0.17 |
| Treynor index (mean / b) | -0.50 |
| Jensen alpha (a) | -0.07 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.04 |
| VaR(95%) | 0 |
| Expected Shortfall on VaR | 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 | 2.09 |
| Mean of criterion | 0 |
| SD of predictor | 0.55 |
| 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 | 1.93 |
| Mean of criterion | 0 |
| SD of predictor | 0.55 |
| 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) | 0.03 |
| 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 | 64 |
|---|---|
| Minimum | 0.76 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.14 |
| Mean of quarter 1 | 0.98 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0 |
| Number outliers low | 6 |
| Percentage of outliers low | 0.09 |
| Mean of outliers low | 0.94 |
| Number of outliers high | 5 |
| Percentage of outliers high | 0.08 |
| Mean of outliers high | 1.04 |
| Extreme Value Index (moments method) | -26.71 |
| VaR(95%) (moments method) | -0.00 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0.38 |
| VaR(95%) (regression method) | 0.02 |
| Expected Shortfall (regression method) | 0.18 |
| Number of observations | 1398 |
| Minimum | 0.82 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.24 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0 |
| Number outliers low | 69 |
| Percentage of outliers low | 0.05 |
| Mean of outliers low | 0.97 |
| Number of outliers high | 69 |
| Percentage of outliers high | 0.05 |
| Mean of outliers high | 1.03 |
| Extreme Value Index (moments method) | -3.03 |
| VaR(95%) (moments method) | -0.01 |
| Expected Shortfall (moments method) | 0 |
| 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 | 1 |
|---|---|
| Minimum | 0.26 |
| Quartile 1 | 0.26 |
| Median | 0.26 |
| Quartile 3 | 0.26 |
| Maximum | 0.26 |
| 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 | 2 |
| Minimum | 0.06 |
| Quartile 1 | 0.12 |
| Median | 0.18 |
| Quartile 3 | 0.24 |
| Maximum | 0.30 |
| Mean of quarter 1 | 0.06 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.30 |
| Inter Quartile Range | 0.12 |
| 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 | 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? | -376912352 |
| Max Equity Drawdown (num days) | 24 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | -0.04 |
|---|---|
| Compounded annual return (geometric extrapolation) | -0.04 |
| Calmar ratio (compounded annual return / max draw down) | -0.16 |
| Compounded annual return / average of 25% largest draw downs | 0 |
| Compounded annual return / Expected Shortfall lognormal | -0.47 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.04 |
| Compounded annual return (geometric extrapolation) | -0.04 |
| Calmar ratio (compounded annual return / max draw down) | -0.14 |
| Compounded annual return / average of 25% largest draw downs | -0.14 |
| Compounded annual return / Expected Shortfall lognormal | -1.14 |
| 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 |
|---|---|---|---|---|---|
| C Z8 | long | 2 | Sep 24, 2008 | Sep 26, 2008 | ($1,916) |
| W Z8 | long | 1 | Sep 23, 2008 | Sep 24, 2008 | ($1,508) |
| JE Z8 | long | 1 | Sep 11, 2008 | Sep 12, 2008 | ($483) |
| C Z8 | short | 2 | Sep 8, 2008 | Sep 12, 2008 | $172 |
| JE U8 | long | 2 | Sep 8, 2008 | Sep 11, 2008 | $759 |
| HE V8 | short | 2 | Sep 9, 2008 | Sep 11, 2008 | $484 |
| HE V8 | short | 2 | Aug 19, 2008 | Aug 29, 2008 | $2,612 |
| OJ X8 | long | 2 | Aug 22, 2008 | Aug 27, 2008 | $989 |
| FV U8 | long | 2 | Aug 13, 2008 | Aug 22, 2008 | $625 |
| O Z8 | long | 1 | Aug 13, 2008 | Aug 20, 2008 | ($783) |
| YM U8 | long | 2 | Aug 18, 2008 | Aug 18, 2008 | ($816) |
| KC Z8 | short | 1 | Aug 12, 2008 | Aug 12, 2008 | ($1,058) |
| CT Z8 | short | 1 | Aug 11, 2008 | Aug 12, 2008 | ($1,308) |
| CC Z8 | long | 2 | Aug 1, 2008 | Aug 4, 2008 | $1,484 |
| HE V8 | long | 3 | Jul 25, 2008 | Aug 1, 2008 | ($1,204) |
| NQ U8 | short | 3 | Jul 21, 2008 | Jul 23, 2008 | ($4) |
| YI U8 | long | 5 | Jul 21, 2008 | Jul 22, 2008 | ($2,440) |
| DX U8 | short | 4 | Jul 21, 2008 | Jul 22, 2008 | ($1,712) |
| OJ U8 | long | 2 | Jul 21, 2008 | Jul 22, 2008 | ($946) |
| SF U8 | long | 2 | Jul 21, 2008 | Jul 22, 2008 | ($2,391) |
| YI U8 | long | 2 | Jul 10, 2008 | Jul 17, 2008 | $1,084 |
| PX U8 | long | 2 | Jul 9, 2008 | Jul 15, 2008 | ($366) |
| ME U8 | long | 2 | Jul 10, 2008 | Jul 15, 2008 | $2,072 |
| FV U8 | long | 2 | Jul 4, 2008 | Jul 11, 2008 | $265 |
| NE U8 | short | 2 | Jul 7, 2008 | Jul 9, 2008 | ($1,296) |
| O Z8 | long | 2 | Jun 25, 2008 | Jul 6, 2008 | $1,309 |
| ME U8 | long | 1 | Jun 25, 2008 | Jul 3, 2008 | $1,198 |
| AD U8 | long | 1 | Jun 20, 2008 | Jul 1, 2008 | $322 |
| SM Z8 | long | 1 | Jun 25, 2008 | Jun 30, 2008 | $672 |
| NE U8 | short | 2 | Jun 26, 2008 | Jun 27, 2008 | ($1,256) |
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.