Professional Forex
- hypothetical · Annual Return (Compounded)
- 4.1%
- Max Drawdown
- 61.5%
- Trades
- 79
- Win Trades
- 59.5%
- Profit Factor
- 1.10
- Win Months
- 14.4%
About this strategy
I am a trader and asesor systems leader in Spain since more than 10 years and 20 years of experience in markets, with big success giving profits in stocks, futures and forex. My live is based in research of own consistent systems since more than 20 years. I only develop systems to work all live, without variables, and no optimization, is the unique way to living of trading. I search stability. I have a good collection, and I live only of own investment thanks to automated systems.
This is a good system and no stress system that make me get real money since many years with only a few operations. Total relax. My own indicator choose buy or sell, with tendency and stay with it, and cut the loses very fast, this is the question most important in trading. The best system is for me the system make few trades.
Important: I close and open in same direction at least one time each month to allow new subscriber enter in trading this system. The profit for old subscribers, is the same.
The stop is ocult, because of this, you avoid any broker see it, or others big investors or institutions, goes to eliminate your position. In this way is imposible. Each day the stop change, then when it is token, we reverse the order, but never is given.
Worst drawdown in my historical records: -2.500 pips, because of this i suggest about 2000$ per minilot.
Worst trade: - 500 pips.
I never will increase the size to make easy the use of system.
We had the worst drawdown of 50% in this year 2011 since historical records since 2000, same as best investors and best funds. If you search any system with 10% drawdown you are in risk. All best systems have about 50% drawdown. Now is the best oportunity to enter in my system.
PERFORMANCE SINCE 2000 IN MY RECORDS:"These results represent hypothetical backtesting."
2000 = 1290 pips
2001 = 752 pips
2002 = -52 pips
2003 = 1067 pips
2004 = 476 pips
2005 = 1332 pips
2006 = -963 pips
2007 = 1207 pips
2008 = 502 pips
2009 = 1414 pips
2010 = 2819 pips
2011 = - 1385 pips
2012 = 610 pips with only 9 trades
This is a good system and no stress system that make me get real money since many years with only a few operations. Total relax. My own indicator choose buy or sell, with tendency and stay with it, and cut the loses very fast, this is the question most important in trading. The best system is for me the system make few trades.
Important: I close and open in same direction at least one time each month to allow new subscriber enter in trading this system. The profit for old subscribers, is the same.
The stop is ocult, because of this, you avoid any broker see it, or others big investors or institutions, goes to eliminate your position. In this way is imposible. Each day the stop change, then when it is token, we reverse the order, but never is given.
Worst drawdown in my historical records: -2.500 pips, because of this i suggest about 2000$ per minilot.
Worst trade: - 500 pips.
I never will increase the size to make easy the use of system.
We had the worst drawdown of 50% in this year 2011 since historical records since 2000, same as best investors and best funds. If you search any system with 10% drawdown you are in risk. All best systems have about 50% drawdown. Now is the best oportunity to enter in my system.
PERFORMANCE SINCE 2000 IN MY RECORDS:"These results represent hypothetical backtesting."
2000 = 1290 pips
2001 = 752 pips
2002 = -52 pips
2003 = 1067 pips
2004 = 476 pips
2005 = 1332 pips
2006 = -963 pips
2007 = 1207 pips
2008 = 502 pips
2009 = 1414 pips
2010 = 2819 pips
2011 = - 1385 pips
2012 = 610 pips with only 9 trades
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | -5.0 | 11.1 | 3.4 | 13.4 | 2.4 | 11.0 | 1.0 | 42.0 | |||||
| 2010 | 15.5 | 5.1 | 3.2 | 12.2 | 24.7 | 0.8 | 3.2 | -5.9 | 5.7 | 6.1 | -1.2 | -6.5 | 77.7 |
| 2011 | 1.5 | 1.4 | 6.2 | 11.1 | -17.2 | -20.9 | -16.6 | -12.7 | 12.3 | -7.6 | -8.7 | 11.6 | -38.7 |
| 2012 | -7.1 | 1.6 | -5.1 | -16.4 | 19.5 | -11.3 | 13.4 | 5.0 | 7.9 | 4.0 | -10.4 | 6.5 | 1.2 |
| 2013 | 12.4 | -4.3 | 7.4 | -7.4 | -9.0 | -4.5 | -16.1 | -4.3 | 0.0 | 0.0 | 0.0 | 0.0 | -25.3 |
| 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 | 6/30/2009 |
|---|---|
| Suggested Minimum Capital | $20,228 |
| Age | 209 months |
| What it trades | Forex |
| # Trades | 79 |
| # Profitable | 47 |
| % Profitable | 59.5% |
| Avg trade duration | 19.2 days |
| Max peak-to-valley drawdown | 61.5% |
| drawdown period | May 04, 2011 - May 06, 2012 |
| Annual Return (Compounded) | 4.1% |
| Avg win | $2,194 |
| Avg loss | $2,880 |
Ratios
| W:L ratio | 1.12 |
|---|---|
| Sharpe Ratio | 0.04 |
| Sortino Ratio | 0.05 |
| Calmar Ratio | 0.14 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.01 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 721.5% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -83.2% |
Return Statistics
| Ann Return (w trading costs) | 4.1% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 2.5% |
Slump
| Current Slump as Pcnt Equity | 167.6% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.9% |
Instruments
| Percent Trades Forex | 1.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| 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) | 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) | 732 |
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $2,880 |
|---|---|
| Avg Win | $2,194 |
| # Winners | 47 |
| Sum Trade PL (losers) | $92,169 |
| Sum Trade PL (winners) | $103,121 |
| Num Months Winners | 30 |
| # Losers | 32 |
| % Winners | 59.5% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 208 |
|---|
Frequency
| Avg Position Time (mins) | 27584.65 |
|---|---|
| Avg Position Time (hrs) | 459.74 |
| Avg Trade Length | 19.20 |
| Last Trade Ago | 4764 |
Regression
| Alpha | 0 |
|---|---|
| Beta | -0.01 |
| Treynor Index | -0.21 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.06 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.06 |
| MAE:Equity, average, losing trades | 0.10 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.04 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 19.61 |
| MAE:PL (avg, all trades) | -0.19 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 20.16 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 19.44 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.49 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.15 |
| Hold-and-Hope Ratio | 0.05 |
RATIO STATISTICS
| Mean | 0.15 |
|---|---|
| SD | 0.36 |
| Sharpe ratio (Glass type estimate) | 0.41 |
| Sharpe ratio (Hedges UMVUE) | 0.41 |
| df | 54 |
| t | 0.89 |
| p | 0.19 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.51 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.33 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.51 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.33 |
| Sortino ratio | 0.63 |
| Upside Potential Ratio | 2.40 |
| Upside part of mean | 0.57 |
| Downside part of mean | -0.42 |
| Upside SD | 0.27 |
| Downside SD | 0.24 |
| N nonnegative terms | 29 |
| N negative terms | 26 |
| N of observations | 55 |
| Mean of predictor | 0.16 |
| Mean of criterion | 0.15 |
| SD of predictor | 0.14 |
| SD of criterion | 0.36 |
| Covariance | -0.00 |
| r | -0.09 |
| b (slope, estimate of beta) | -0.24 |
| a (intercept, estimate of alpha) | 0.19 |
| Mean Square Error | 0.13 |
| DF error | 53 |
| t(b) | -0.67 |
| p(b) | 0.75 |
| t(a) | 1.04 |
| p(a) | 0.15 |
| Lowerbound of 95% confidence interval for beta | -0.95 |
| Upperbound of 95% confidence interval for beta | 0.48 |
| Lowerbound of 95% confidence interval for alpha | -0.17 |
| Upperbound of 95% confidence interval for alpha | 0.55 |
| Treynor index (mean / b) | -0.63 |
| Jensen alpha (a) | 0.19 |
| Mean | 0.08 |
| SD | 0.37 |
| Sharpe ratio (Glass type estimate) | 0.23 |
| Sharpe ratio (Hedges UMVUE) | 0.23 |
| df | 54 |
| t | 0.49 |
| p | 0.31 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.69 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.15 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.69 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.14 |
| Sortino ratio | 0.32 |
| Upside Potential Ratio | 2.07 |
| Upside part of mean | 0.54 |
| Downside part of mean | -0.45 |
| Upside SD | 0.25 |
| Downside SD | 0.26 |
| N nonnegative terms | 29 |
| N negative terms | 26 |
| N of observations | 55 |
| Mean of predictor | 0.14 |
| Mean of criterion | 0.08 |
| SD of predictor | 0.14 |
| SD of criterion | 0.37 |
| Covariance | -0.00 |
| r | -0.07 |
| b (slope, estimate of beta) | -0.20 |
| a (intercept, estimate of alpha) | 0.11 |
| Mean Square Error | 0.14 |
| DF error | 53 |
| t(b) | -0.54 |
| p(b) | 0.71 |
| t(a) | 0.63 |
| p(a) | 0.27 |
| Lowerbound of 95% confidence interval for beta | -0.92 |
| Upperbound of 95% confidence interval for beta | 0.53 |
| Lowerbound of 95% confidence interval for alpha | -0.25 |
| Upperbound of 95% confidence interval for alpha | 0.47 |
| Treynor index (mean / b) | -0.43 |
| Jensen alpha (a) | 0.11 |
| VaR(95%) | 0.15 |
| Expected Shortfall on VaR | 0.19 |
| VaR(95%) | 0.08 |
| Expected Shortfall on VaR | 0.15 |
| Mean | 0.13 |
| SD | 0.32 |
| Sharpe ratio (Glass type estimate) | 0.42 |
| Sharpe ratio (Hedges UMVUE) | 0.42 |
| df | 1601 |
| t | 0.90 |
| p | 0.49 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.49 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.33 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.49 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.33 |
| Sortino ratio | 0.63 |
| Upside Potential Ratio | 9.47 |
| Upside part of mean | 2.03 |
| Downside part of mean | -1.90 |
| Upside SD | 0.24 |
| Downside SD | 0.21 |
| N nonnegative terms | 667 |
| N negative terms | 935 |
| N of observations | 1602 |
| Mean of predictor | 0.16 |
| Mean of criterion | 0.13 |
| SD of predictor | 0.17 |
| SD of criterion | 0.32 |
| Covariance | -0.00 |
| r | -0.01 |
| b (slope, estimate of beta) | -0.03 |
| a (intercept, estimate of alpha) | 0.08 |
| Mean Square Error | 0.10 |
| DF error | 1600 |
| t(b) | -0.54 |
| p(b) | 0.51 |
| t(a) | 0.93 |
| p(a) | 0.49 |
| Lowerbound of 95% confidence interval for beta | -0.12 |
| Upperbound of 95% confidence interval for beta | 0.07 |
| Lowerbound of 95% confidence interval for alpha | -0.15 |
| Upperbound of 95% confidence interval for alpha | 0.43 |
| Treynor index (mean / b) | -5.30 |
| Jensen alpha (a) | 0.14 |
| Mean | 0.08 |
| SD | 0.32 |
| Sharpe ratio (Glass type estimate) | 0.26 |
| Sharpe ratio (Hedges UMVUE) | 0.26 |
| df | 1601 |
| t | 0.56 |
| p | 0.49 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.65 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.17 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.65 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.17 |
| Sortino ratio | 0.38 |
| Upside Potential Ratio | 9.17 |
| Upside part of mean | 2.00 |
| Downside part of mean | -1.92 |
| Upside SD | 0.23 |
| Downside SD | 0.22 |
| N nonnegative terms | 667 |
| N negative terms | 935 |
| N of observations | 1602 |
| Mean of predictor | 0.14 |
| Mean of criterion | 0.08 |
| SD of predictor | 0.17 |
| SD of criterion | 0.32 |
| Covariance | -0.00 |
| r | -0.01 |
| b (slope, estimate of beta) | -0.02 |
| a (intercept, estimate of alpha) | 0.09 |
| Mean Square Error | 0.10 |
| DF error | 1600 |
| t(b) | -0.51 |
| p(b) | 0.51 |
| t(a) | 0.58 |
| p(a) | 0.49 |
| Lowerbound of 95% confidence interval for beta | -0.12 |
| Upperbound of 95% confidence interval for beta | 0.07 |
| Lowerbound of 95% confidence interval for alpha | -0.21 |
| Upperbound of 95% confidence interval for alpha | 0.38 |
| Treynor index (mean / b) | -3.44 |
| Jensen alpha (a) | 0.09 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.03 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.03 |
| Mean | -0.01 |
| 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 | -18.55 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | -0.01 |
| Upside SD | 0 |
| Downside SD | 0.00 |
| N nonnegative terms | 0 |
| N negative terms | 172 |
| N of observations | 172 |
| Mean of predictor | 0.21 |
| Mean of criterion | -0.01 |
| SD of predictor | 0.12 |
| 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 | -0.01 |
| SD | 0 |
| Sharpe ratio (Glass type estimate) | -3.15763010599649e+16 |
| Sharpe ratio (Hedges UMVUE) | -3.14375993861079e+16 |
| df | 171 |
| t | -2.23277998051164e+16 |
| p | 1 |
| 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 | -3.47694997228749e+16 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | -2.81057999810724e+16 |
| Sortino ratio | -18.55 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | -0.01 |
| Upside SD | 0 |
| Downside SD | 0.00 |
| N nonnegative terms | 0 |
| N negative terms | 172 |
| N of observations | 172 |
| Mean of predictor | 0.21 |
| Mean of criterion | -0.01 |
| SD of predictor | 0.12 |
| SD of criterion | 0 |
| Covariance | 0 |
| r | 0 |
| b (slope, estimate of beta) | 0 |
| a (intercept, estimate of alpha) | -0.01 |
| Mean Square Error | 0 |
| DF error | 170 |
| t(b) | 0 |
| p(b) | 0.50 |
| t(a) | -2.21737006735032e+16 |
| p(a) | 1 |
| Lowerbound of 95% confidence interval for beta | 0 |
| VAR (95 Confidence Intrvl) | 0.04 |
| Upperbound of 95% confidence interval for beta | 0 |
| Lowerbound of 95% confidence interval for alpha | -0.01 |
| Upperbound of 95% confidence interval for alpha | -0.01 |
| Treynor index (mean / b) | -2.31260990764259e+32 |
| Jensen alpha (a) | -0.01 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.00 |
| VaR(95%) | 0 |
| Expected Shortfall on VaR | 0 |
ORDER STATISTICS
| Number of observations | 55 |
|---|---|
| Minimum | 0.77 |
| Quartile 1 | 0.94 |
| Median | 1.01 |
| Quartile 3 | 1.09 |
| Maximum | 1.22 |
| Mean of quarter 1 | 0.88 |
| Mean of quarter 2 | 0.99 |
| Mean of quarter 3 | 1.05 |
| Mean of quarter 4 | 1.14 |
| Inter Quartile Range | 0.14 |
| 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) | -0.38 |
| VaR(95%) (moments method) | 0.12 |
| Expected Shortfall (moments method) | 0.15 |
| Extreme Value Index (regression method) | -0.24 |
| VaR(95%) (regression method) | 0.14 |
| Expected Shortfall (regression method) | 0.17 |
| Number of observations | 1602 |
| Minimum | 0.91 |
| Quartile 1 | 0.99 |
| Median | 1 |
| Quartile 3 | 1.01 |
| Maximum | 1.09 |
| Mean of quarter 1 | 0.98 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.02 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 64 |
| Percentage of outliers low | 0.04 |
| Mean of outliers low | 0.96 |
| Number of outliers high | 88 |
| Percentage of outliers high | 0.05 |
| Mean of outliers high | 1.04 |
| Extreme Value Index (moments method) | -0.06 |
| VaR(95%) (moments method) | 0.02 |
| Expected Shortfall (moments method) | 0.02 |
| Extreme Value Index (regression method) | -0.02 |
| VaR(95%) (regression method) | 0.02 |
| Expected Shortfall (regression method) | 0.02 |
| Number of observations | 172 |
| 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 | 4 |
|---|---|
| Minimum | 0.04 |
| Quartile 1 | 0.04 |
| Median | 0.08 |
| Quartile 3 | 0.23 |
| Maximum | 0.57 |
| Mean of quarter 1 | 0.04 |
| Mean of quarter 2 | 0.04 |
| Mean of quarter 3 | 0.12 |
| Mean of quarter 4 | 0.57 |
| Inter Quartile Range | 0.19 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.25 |
| Mean of outliers high | 0.57 |
| 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 | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.03 |
| Quartile 3 | 0.10 |
| Maximum | 0.61 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.02 |
| Mean of quarter 3 | 0.06 |
| Mean of quarter 4 | 0.19 |
| Inter Quartile Range | 0.09 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.03 |
| Mean of outliers high | 0.61 |
| Extreme Value Index (moments method) | 0.53 |
| VaR(95%) (moments method) | 0.21 |
| Expected Shortfall (moments method) | 0.43 |
| Extreme Value Index (regression method) | 0.46 |
| VaR(95%) (regression method) | 0.15 |
| Expected Shortfall (regression method) | 0.22 |
| 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 |
| Max Equity Drawdown (num days) | 368 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.12 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.10 |
| Calmar ratio (compounded annual return / max draw down) | 0.17 |
| Compounded annual return / average of 25% largest draw downs | 0.17 |
| Compounded annual return / Expected Shortfall lognormal | 0.52 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.12 |
| Compounded annual return (geometric extrapolation) | 0.10 |
| Calmar ratio (compounded annual return / max draw down) | 0.16 |
| Compounded annual return / average of 25% largest draw downs | 0.53 |
| Compounded annual return / Expected Shortfall lognormal | 2.80 |
| 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 30 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| EUR/USD | short | 100 | Jul 4, 2013 | Aug 21, 2013 | ($4,481) |
| EUR/USD | long | 100 | Jun 3, 2013 | Jul 4, 2013 | ($1,563) |
| EUR/USD | short | 100 | May 14, 2013 | Jun 3, 2013 | ($1,372) |
| EUR/USD | long | 100 | May 8, 2013 | May 14, 2013 | ($2,298) |
| EUR/USD | long | 100 | Apr 11, 2013 | May 8, 2013 | $523 |
| EUR/USD | short | 100 | Mar 27, 2013 | Apr 11, 2013 | ($3,386) |
| EUR/USD | short | 100 | Mar 25, 2013 | Mar 27, 2013 | $842 |
| EUR/USD | short | 100 | Mar 17, 2013 | Mar 25, 2013 | $455 |
| EUR/USD | short | 100 | Mar 7, 2013 | Mar 17, 2013 | $1,152 |
| EUR/USD | short | 100 | Feb 26, 2013 | Mar 7, 2013 | $653 |
| EUR/USD | short | 100 | Feb 20, 2013 | Feb 26, 2013 | $1,875 |
| EUR/USD | long | 100 | Feb 1, 2013 | Feb 20, 2013 | ($3,697) |
| EUR/USD | long | 100 | Jan 30, 2013 | Feb 1, 2013 | $1,018 |
| EUR/USD | long | 100 | Jan 25, 2013 | Jan 30, 2013 | $780 |
| EUR/USD | long | 100 | Jan 25, 2013 | Jan 25, 2013 | $387 |
| EUR/USD | long | 100 | Jan 11, 2013 | Jan 25, 2013 | $722 |
| EUR/USD | long | 100 | Dec 18, 2012 | Jan 11, 2013 | $1,288 |
| EUR/USD | long | 100 | Nov 23, 2012 | Dec 18, 2012 | $2,444 |
| EUR/USD | short | 100 | Nov 5, 2012 | Nov 23, 2012 | ($1,770) |
| EUR/USD | long | 100 | Sep 14, 2012 | Nov 5, 2012 | ($3,019) |
| EUR/USD | long | 100 | Sep 10, 2012 | Sep 14, 2012 | $3,102 |
| EUR/USD | long | 100 | Aug 23, 2012 | Sep 10, 2012 | $2,041 |
| EUR/USD | long | 100 | Aug 20, 2012 | Aug 23, 2012 | $2,261 |
| EUR/USD | short | 100 | Jul 23, 2012 | Aug 20, 2012 | ($2,194) |
| EUR/USD | short | 100 | Jul 12, 2012 | Jul 23, 2012 | $442 |
| EUR/USD | short | 100 | May 31, 2012 | Jul 12, 2012 | $2,355 |
| EUR/USD | short | 100 | May 24, 2012 | May 31, 2012 | $1,080 |
| EUR/USD | short | 100 | May 15, 2012 | May 24, 2012 | $2,088 |
| EUR/USD | short | 100 | May 7, 2012 | May 15, 2012 | $2,953 |
| EUR/USD | long | 100 | Apr 26, 2012 | May 7, 2012 | ($1,935) |
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.