barracuda
- hypothetical · Annual Return (Compounded)
- -0.2%
- Max Drawdown
- 73.6%
- Trades
- 445
- Win Trades
- 41.8%
- Profit Factor
- 1.10
- Win Months
- 6.4%
About this strategy
This automated system aims to profit from moves in the e-Mini S&P 400 Mid-Cap futures contract. This is an intra-day system that enters both long and short positions with up to two trades per day. If the system has an open position at the end of the trading day it will be closed shortly after the end of the NY cash close (by 4:05 PM EST).
The entry and exit orders can change frequently; you will likely find it difficult to manually trade this system, though it might be possible. After an entry order is filled a stop-loss order is immediately issued. Exits are based on trailing stops and time limits.
Position sizing plays an important role in the system. The system uses fixed fractional position sizing, risking between 2 - 3.25% of equity per trade. Drawdowns do occur and I fully expect to experience a draw down of equity between 20 - 30%; if you are not comfortable with this, do not trade this system.
This system works best when allocated at least $30K. This, of course, is not a requirement, but you should be aware that allocating less capital will lead to more volatile results and in some cases risking more than 2 - 3.25% of equity per trade. Please take care to make sure that this system fits your financial situation and goals before risking any capital; please consult your own financial adviser.
A 14-day free trial is offered. I encourage any one interested in the system to "paper trade" during the free trial to determine if the system is suitable for them.
The underlying application is housed in a data center close to the CME exchange to minimize the effects of latency and service disruption. I constantly monitor the system and if a service disruption does occur I will close any positions immediately and suspend trading until I am confident that the underlying issue has been resolved.
Finally, please be aware that I do trade this system for my own account, though not via C2. The number of subscribers is currently limited; this is largely to ensure that there is adequate liquidity, so that subscribers do not realize significant negative slippage.
The entry and exit orders can change frequently; you will likely find it difficult to manually trade this system, though it might be possible. After an entry order is filled a stop-loss order is immediately issued. Exits are based on trailing stops and time limits.
Position sizing plays an important role in the system. The system uses fixed fractional position sizing, risking between 2 - 3.25% of equity per trade. Drawdowns do occur and I fully expect to experience a draw down of equity between 20 - 30%; if you are not comfortable with this, do not trade this system.
This system works best when allocated at least $30K. This, of course, is not a requirement, but you should be aware that allocating less capital will lead to more volatile results and in some cases risking more than 2 - 3.25% of equity per trade. Please take care to make sure that this system fits your financial situation and goals before risking any capital; please consult your own financial adviser.
A 14-day free trial is offered. I encourage any one interested in the system to "paper trade" during the free trial to determine if the system is suitable for them.
The underlying application is housed in a data center close to the CME exchange to minimize the effects of latency and service disruption. I constantly monitor the system and if a service disruption does occur I will close any positions immediately and suspend trading until I am confident that the underlying issue has been resolved.
Finally, please be aware that I do trade this system for my own account, though not via C2. The number of subscribers is currently limited; this is largely to ensure that there is adequate liquidity, so that subscribers do not realize significant negative slippage.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | -9.1 | -1.9 | 10.3 | -0.0 | 18.0 | -19.3 | -6.3 | ||||||
| 2009 | 63.5 | -11.2 | -16.1 | -11.4 | 49.0 | 31.1 | 1.6 | 13.3 | 2.2 | 6.4 | 11.0 | 5.3 | 208.9 |
| 2010 | -7.2 | 15.1 | -4.8 | -0.7 | 0.8 | -8.8 | 24.5 | -16.5 | -29.4 | -37.1 | -21.0 | -0.8 | -66.4 |
| 2011 | -0.8 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.8 |
| 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 | 7/11/2008 |
|---|---|
| Suggested Minimum Capital | $28,358 |
| Age | 221 months |
| What it trades | Futures |
| # Trades | 445 |
| # Profitable | 186 |
| % Profitable | 41.8% |
| Avg trade duration | 1.2 hours |
| Max peak-to-valley drawdown | 73.6% |
| drawdown period | Aug 03, 2010 - Jan 11, 2011 |
| Annual Return (Compounded) | -0.2% |
| Avg win | $2,343 |
| Avg loss | $1,498 |
Ratios
| W:L ratio | 1.12 |
|---|---|
| Sharpe Ratio | -0.05 |
| Sortino Ratio | -0.08 |
| Calmar Ratio | 0.49 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.01 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 515.9% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -520.9% |
Return Statistics
| Ann Return (w trading costs) | -0.2% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | -0.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 5.6% |
Slump
| Current Slump as Pcnt Equity | 278.7% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.9% |
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) | 0.0% |
| Chance of 90% account loss (Monte Carlo) | 0.0% |
| Chance of 100% account loss (Monte Carlo) | — |
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 | $1,498 |
|---|---|
| Avg Win | $2,343 |
| # Winners | 186 |
| Sum Trade PL (losers) | $388,014 |
| Sum Trade PL (winners) | $435,828 |
| Num Months Winners | 14 |
| # Losers | 259 |
| % Winners | 41.8% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 219 |
|---|
Frequency
| Avg Position Time (mins) | 71.12 |
|---|---|
| Avg Position Time (hrs) | 1.18 |
| Avg Trade Length | 0 |
| Last Trade Ago | 5780 |
Regression
| Alpha | 0 |
|---|---|
| Beta | 0.01 |
| Treynor Index | -0.43 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.02 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.04 |
| MAE:Equity, average, losing trades | 0.03 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.01 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | -20.52 |
| MAE:PL (avg, all trades) | -0.46 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 15.72 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 23.82 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.32 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.06 |
| Hold-and-Hope Ratio | -0.05 |
RATIO STATISTICS
| Mean | 0.27 |
|---|---|
| SD | 0.40 |
| Sharpe ratio (Glass type estimate) | 0.67 |
| Sharpe ratio (Hedges UMVUE) | 0.66 |
| df | 63 |
| t | 1.54 |
| p | 0.06 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.19 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.52 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.20 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.52 |
| Sortino ratio | 1.92 |
| Upside Potential Ratio | 3.11 |
| Upside part of mean | 0.43 |
| Downside part of mean | -0.17 |
| Upside SD | 0.38 |
| Downside SD | 0.14 |
| N nonnegative terms | 51 |
| N negative terms | 13 |
| N of observations | 64 |
| Mean of predictor | 0.35 |
| Mean of criterion | 0.27 |
| SD of predictor | 0.27 |
| SD of criterion | 0.40 |
| Covariance | -0.01 |
| r | -0.12 |
| b (slope, estimate of beta) | -0.18 |
| a (intercept, estimate of alpha) | 0.33 |
| Mean Square Error | 0.16 |
| DF error | 62 |
| t(b) | -0.97 |
| p(b) | 0.83 |
| t(a) | 1.78 |
| p(a) | 0.04 |
| Lowerbound of 95% confidence interval for beta | -0.55 |
| Upperbound of 95% confidence interval for beta | 0.19 |
| Lowerbound of 95% confidence interval for alpha | -0.04 |
| Upperbound of 95% confidence interval for alpha | 0.70 |
| Treynor index (mean / b) | -1.50 |
| Jensen alpha (a) | 0.33 |
| Mean | 0.20 |
| SD | 0.35 |
| Sharpe ratio (Glass type estimate) | 0.58 |
| Sharpe ratio (Hedges UMVUE) | 0.57 |
| df | 63 |
| t | 1.33 |
| p | 0.09 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.28 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.43 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.28 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.42 |
| Sortino ratio | 1.32 |
| Upside Potential Ratio | 2.49 |
| Upside part of mean | 0.38 |
| Downside part of mean | -0.18 |
| Upside SD | 0.31 |
| Downside SD | 0.15 |
| N nonnegative terms | 51 |
| N negative terms | 13 |
| N of observations | 64 |
| Mean of predictor | 0.31 |
| Mean of criterion | 0.20 |
| SD of predictor | 0.27 |
| SD of criterion | 0.35 |
| Covariance | -0.01 |
| r | -0.13 |
| b (slope, estimate of beta) | -0.17 |
| a (intercept, estimate of alpha) | 0.25 |
| Mean Square Error | 0.12 |
| DF error | 62 |
| t(b) | -1.03 |
| p(b) | 0.85 |
| t(a) | 1.59 |
| p(a) | 0.06 |
| Lowerbound of 95% confidence interval for beta | -0.49 |
| Upperbound of 95% confidence interval for beta | 0.16 |
| Lowerbound of 95% confidence interval for alpha | -0.06 |
| Upperbound of 95% confidence interval for alpha | 0.57 |
| Treynor index (mean / b) | -1.20 |
| Jensen alpha (a) | 0.25 |
| VaR(95%) | 0.14 |
| Expected Shortfall on VaR | 0.17 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.04 |
| Mean | 0.32 |
| SD | 0.49 |
| Sharpe ratio (Glass type estimate) | 0.65 |
| Sharpe ratio (Hedges UMVUE) | 0.65 |
| df | 1409 |
| t | 1.50 |
| p | 0.47 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.20 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.49 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.20 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.49 |
| Sortino ratio | 1.03 |
| Upside Potential Ratio | 5.49 |
| Upside part of mean | 1.68 |
| Downside part of mean | -1.37 |
| Upside SD | 0.38 |
| Downside SD | 0.31 |
| N nonnegative terms | 1162 |
| N negative terms | 248 |
| N of observations | 1410 |
| Mean of predictor | 0.49 |
| Mean of criterion | 0.32 |
| SD of predictor | 0.55 |
| SD of criterion | 0.49 |
| Covariance | -0.03 |
| r | -0.13 |
| b (slope, estimate of beta) | -0.11 |
| a (intercept, estimate of alpha) | 0.37 |
| Mean Square Error | 0.23 |
| DF error | 1408 |
| t(b) | -4.77 |
| p(b) | 0.56 |
| t(a) | 1.77 |
| p(a) | 0.48 |
| Lowerbound of 95% confidence interval for beta | -0.16 |
| Upperbound of 95% confidence interval for beta | -0.07 |
| Lowerbound of 95% confidence interval for alpha | -0.04 |
| Upperbound of 95% confidence interval for alpha | 0.78 |
| Treynor index (mean / b) | -2.82 |
| Jensen alpha (a) | 0.37 |
| Mean | 0.20 |
| SD | 0.48 |
| Sharpe ratio (Glass type estimate) | 0.41 |
| Sharpe ratio (Hedges UMVUE) | 0.41 |
| df | 1409 |
| t | 0.96 |
| p | 0.48 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.43 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.26 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.43 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.26 |
| Sortino ratio | 0.61 |
| Upside Potential Ratio | 4.96 |
| Upside part of mean | 1.62 |
| Downside part of mean | -1.42 |
| Upside SD | 0.36 |
| Downside SD | 0.33 |
| N nonnegative terms | 1162 |
| N negative terms | 248 |
| N of observations | 1410 |
| Mean of predictor | 0.34 |
| Mean of criterion | 0.20 |
| SD of predictor | 0.54 |
| SD of criterion | 0.48 |
| Covariance | -0.03 |
| r | -0.13 |
| b (slope, estimate of beta) | -0.12 |
| a (intercept, estimate of alpha) | 0.24 |
| Mean Square Error | 0.23 |
| DF error | 1408 |
| t(b) | -4.92 |
| p(b) | 0.56 |
| t(a) | 1.15 |
| p(a) | 0.48 |
| Lowerbound of 95% confidence interval for beta | -0.16 |
| Upperbound of 95% confidence interval for beta | -0.07 |
| Lowerbound of 95% confidence interval for alpha | -0.17 |
| Upperbound of 95% confidence interval for alpha | 0.64 |
| Treynor index (mean / b) | -1.72 |
| Jensen alpha (a) | 0.24 |
| VaR(95%) | 0.05 |
| Expected Shortfall on VaR | 0.06 |
| 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 | 2.07 |
| Mean of criterion | 0 |
| SD of predictor | 0.59 |
| 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 | 1.89 |
| Mean of criterion | 0 |
| SD of predictor | 0.59 |
| 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) | 0.05 |
| 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 | 0.79 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1.00 |
| Maximum | 1.65 |
| Mean of quarter 1 | 0.94 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.14 |
| Inter Quartile Range | 0.00 |
| Number outliers low | 12 |
| Percentage of outliers low | 0.19 |
| Mean of outliers low | 0.93 |
| Number of outliers high | 16 |
| Percentage of outliers high | 0.25 |
| Mean of outliers high | 1.14 |
| Extreme Value Index (moments method) | -41.31 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0.63 |
| VaR(95%) (regression method) | 0.04 |
| Expected Shortfall (regression method) | 0.16 |
| Number of observations | 1410 |
| Minimum | 0.80 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.25 |
| 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 | 248 |
| Percentage of outliers low | 0.18 |
| Mean of outliers low | 0.97 |
| Number of outliers high | 252 |
| Percentage of outliers high | 0.18 |
| Mean of outliers high | 1.04 |
| Extreme Value Index (moments method) | -4.14 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.00 |
| 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 | 7 |
|---|---|
| Minimum | 0.02 |
| Quartile 1 | 0.03 |
| Median | 0.04 |
| Quartile 3 | 0.16 |
| Maximum | 0.37 |
| Mean of quarter 1 | 0.02 |
| Mean of quarter 2 | 0.04 |
| Mean of quarter 3 | 0.07 |
| Mean of quarter 4 | 0.31 |
| Inter Quartile Range | 0.13 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.14 |
| Mean of outliers high | 0.37 |
| 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 | 40 |
| Minimum | 0.01 |
| Quartile 1 | 0.04 |
| Median | 0.06 |
| Quartile 3 | 0.11 |
| Maximum | 0.45 |
| Mean of quarter 1 | 0.02 |
| Mean of quarter 2 | 0.05 |
| Mean of quarter 3 | 0.09 |
| Mean of quarter 4 | 0.20 |
| Inter Quartile Range | 0.08 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 2 |
| Percentage of outliers high | 0.05 |
| Mean of outliers high | 0.37 |
| Extreme Value Index (moments method) | -0.03 |
| VaR(95%) (moments method) | 0.21 |
| Expected Shortfall (moments method) | 0.27 |
| Extreme Value Index (regression method) | 0.28 |
| VaR(95%) (regression method) | 0.24 |
| Expected Shortfall (regression method) | 0.37 |
| 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? | -391602624 |
| Max Equity Drawdown (num days) | 161 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.36 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.22 |
| Calmar ratio (compounded annual return / max draw down) | 0.60 |
| Compounded annual return / average of 25% largest draw downs | 0.71 |
| Compounded annual return / Expected Shortfall lognormal | 1.29 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.36 |
| Compounded annual return (geometric extrapolation) | 0.22 |
| Calmar ratio (compounded annual return / max draw down) | 0.49 |
| Compounded annual return / average of 25% largest draw downs | 1.10 |
| Compounded annual return / Expected Shortfall lognormal | 3.74 |
| 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
Placed 388 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| EMD Z0 | long | 7 | Nov 17, 2010 | Nov 17, 2010 | ($1,946) |
| EMD Z0 | short | 10 | Nov 17, 2010 | Nov 17, 2010 | ($2,080) |
| EMD Z0 | long | 8 | Nov 15, 2010 | Nov 15, 2010 | ($1,904) |
| EMD Z0 | short | 11 | Nov 12, 2010 | Nov 12, 2010 | ($968) |
| EMD Z0 | long | 8 | Nov 11, 2010 | Nov 11, 2010 | $176 |
| EMD Z0 | short | 11 | Nov 11, 2010 | Nov 11, 2010 | ($1,958) |
| EMD Z0 | long | 8 | Nov 10, 2010 | Nov 10, 2010 | $2,896 |
| EMD Z0 | long | 7 | Nov 8, 2010 | Nov 8, 2010 | ($336) |
| EMD Z0 | short | 11 | Nov 8, 2010 | Nov 8, 2010 | ($968) |
| EMD Z0 | long | 7 | Nov 5, 2010 | Nov 5, 2010 | ($1,526) |
| EMD Z0 | long | 7 | Nov 4, 2010 | Nov 4, 2010 | $1,974 |
| EMD Z0 | long | 7 | Oct 29, 2010 | Oct 29, 2010 | ($126) |
| EMD Z0 | short | 11 | Oct 29, 2010 | Oct 29, 2010 | ($1,958) |
| EMD Z0 | long | 7 | Oct 27, 2010 | Oct 27, 2010 | $2,254 |
| EMD Z0 | short | 11 | Oct 27, 2010 | Oct 27, 2010 | ($1,298) |
| EMD Z0 | long | 6 | Oct 26, 2010 | Oct 26, 2010 | ($1,668) |
| EMD Z0 | short | 11 | Oct 26, 2010 | Oct 26, 2010 | $572 |
| EMD Z0 | long | 7 | Oct 25, 2010 | Oct 25, 2010 | ($1,946) |
| EMD Z0 | long | 7 | Oct 22, 2010 | Oct 22, 2010 | $364 |
| EMD Z0 | short | 11 | Oct 22, 2010 | Oct 22, 2010 | ($2,398) |
| EMD Z0 | long | 7 | Oct 21, 2010 | Oct 21, 2010 | ($1,946) |
| EMD Z0 | long | 7 | Oct 20, 2010 | Oct 20, 2010 | $1,764 |
| EMD Z0 | short | 10 | Oct 20, 2010 | Oct 20, 2010 | ($2,180) |
| EMD Z0 | short | 12 | Oct 19, 2010 | Oct 19, 2010 | ($2,376) |
| EMD Z0 | short | 12 | Oct 15, 2010 | Oct 15, 2010 | ($1,776) |
| EMD Z0 | short | 12 | Oct 14, 2010 | Oct 14, 2010 | $24 |
| EMD Z0 | long | 9 | Oct 13, 2010 | Oct 13, 2010 | $18 |
| EMD Z0 | long | 10 | Oct 12, 2010 | Oct 12, 2010 | ($1,980) |
| EMD Z0 | long | 10 | Oct 11, 2010 | Oct 11, 2010 | ($2,180) |
| EMD Z0 | long | 9 | Oct 8, 2010 | Oct 8, 2010 | $828 |
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.