Cyclical Model
- hypothetical · Annual Return (Compounded)
- 0.0%
- Max Drawdown
- 100.0%
- Trades
- 730
- Win Trades
- 36.4%
- Profit Factor
- 0.50
- Win Months
- 22.8%
About this strategy
Welcome to MFS-Cyclical Model System:
Average Duration of Winning Trade: 2 weeks
Average Duration of Losing Trade: 5 days
By popular request we will not offer our daily updated market and cycle publication to all subscribers each night and our weekly newsletter for ALL subscribers to the MFS-CyclicalModel.
ALL subscribers that would like to receive this simply send us a request through the collective 2 system and put the e-mail address you want it sent to-
Opt out just send us an e-mail requesting to stop
The daily market updates go out at about 10:30pm est and has ALL orders in it for the next day
Collective2 model uses a factor of 0.7 for position sizes
The first part is all the background on the watch-list- each symbol and the cycle they are in- no need to read but we give all the background to each symbol-
http://www.mutualfundsystem.com/membersonly/daily/MFS-CyclicalModel-07-28-2011.pdf
On page 49 it shows all current positions
then all closed orders for the day
and then all current orders
ALL are set the night before and the model is left alone during the day
NO day trading
NO sitting at computer during the day
The symbol along with position size, Stop-loss and target will be given prior to the position being open. This way any subscriber will be able to determine the risk the system will have on any particular position once open. All updated Stop-Losses and Targets will be posted prior to 6am est the majority of the time. It is not essential to AutoTrade this system. The current system takes both Long and Short positions. The win/loss ratio is better on long positions only. We do not strive for a high win/loss ratio. If the subscriber wants a high win/loss ratio then this system is not for them. If the subscriber is interested in Higher than normal returns, with lower than normal System Draw Downs along with higher than normal Sharpe Ratio then this system is for them. We try to keep the ratio between annret / mdd as high as possible. We would suggest that anyone looking for a good system to use for trading to take a little time and calculate this for themselves in order to rank systems. This number gives one how much risk they are going to be taking compared to the amount of return the system has had. The higher this number the the better. It shows the system has a higher return with less risk involved
Cyclic theory (at least the aspect of cyclic theory that Thinking Trading Software uses, as defined initially by JM Hurst) is based on the idea that stock market price movements are the result of the complex combinations of many different cycles. They differ in amplitude (in other words how much price movement they cause), and also in period (how long between each cycle trough - also called wavelength, or the inverse of frequency). One of the differences between JM Hurst
Average Duration of Winning Trade: 2 weeks
Average Duration of Losing Trade: 5 days
By popular request we will not offer our daily updated market and cycle publication to all subscribers each night and our weekly newsletter for ALL subscribers to the MFS-CyclicalModel.
ALL subscribers that would like to receive this simply send us a request through the collective 2 system and put the e-mail address you want it sent to-
Opt out just send us an e-mail requesting to stop
The daily market updates go out at about 10:30pm est and has ALL orders in it for the next day
Collective2 model uses a factor of 0.7 for position sizes
The first part is all the background on the watch-list- each symbol and the cycle they are in- no need to read but we give all the background to each symbol-
http://www.mutualfundsystem.com/membersonly/daily/MFS-CyclicalModel-07-28-2011.pdf
On page 49 it shows all current positions
then all closed orders for the day
and then all current orders
ALL are set the night before and the model is left alone during the day
NO day trading
NO sitting at computer during the day
The symbol along with position size, Stop-loss and target will be given prior to the position being open. This way any subscriber will be able to determine the risk the system will have on any particular position once open. All updated Stop-Losses and Targets will be posted prior to 6am est the majority of the time. It is not essential to AutoTrade this system. The current system takes both Long and Short positions. The win/loss ratio is better on long positions only. We do not strive for a high win/loss ratio. If the subscriber wants a high win/loss ratio then this system is not for them. If the subscriber is interested in Higher than normal returns, with lower than normal System Draw Downs along with higher than normal Sharpe Ratio then this system is for them. We try to keep the ratio between annret / mdd as high as possible. We would suggest that anyone looking for a good system to use for trading to take a little time and calculate this for themselves in order to rank systems. This number gives one how much risk they are going to be taking compared to the amount of return the system has had. The higher this number the the better. It shows the system has a higher return with less risk involved
Cyclic theory (at least the aspect of cyclic theory that Thinking Trading Software uses, as defined initially by JM Hurst) is based on the idea that stock market price movements are the result of the complex combinations of many different cycles. They differ in amplitude (in other words how much price movement they cause), and also in period (how long between each cycle trough - also called wavelength, or the inverse of frequency). One of the differences between JM Hurst
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2010 | 7.1 | 7.1 | |||||||||||
| 2011 | 1.7 | 1.1 | 12.8 | 5.3 | -2.0 | -12.1 | 14.8 | 9.5 | -14.7 | 4.4 | -11.8 | 7.1 | 11.3 |
| 2012 | 2.0 | -2.9 | -2.0 | -2.3 | -0.1 | -0.8 | 0.4 | -0.5 | 0.4 | 0.5 | 0.6 | -0.1 | -4.7 |
| 2013 | -0.3 | 0.0 | -0.5 | -1.2 | -0.9 | -0.2 | 1.1 | 1.4 | 0.0 | -0.9 | -0.9 | 0.2 | -2.2 |
| 2014 | -0.2 | -0.2 | -1.1 | 0.3 | -0.2 | -0.6 | -0.3 | -0.9 | -0.5 | 0.1 | -1.0 | 0.3 | -4.3 |
| 2015 | 2.8 | -1.3 | 1.0 | -3.0 | 0.6 | 1.1 | -1.0 | 1.9 | -1.1 | -3.3 | -0.5 | -0.8 | -3.8 |
| 2016 | 0.2 | 1.5 | -1.7 | 2.2 | -0.8 | 0.1 | -2.2 | -6.7 | -0.2 | -1.0 | 0.3 | -2.0 | -9.9 |
| 2017 | -0.1 | -0.2 | -0.7 | -1.5 | -0.7 | 0.2 | -1.7 | -0.6 | -0.3 | -4.3 | -0.9 | -0.6 | -10.9 |
| 2018 | -4.2 | -0.1 | 1.3 | -2.0 | -3.1 | 1.0 | -5.0 | -2.7 | -1.5 | 4.5 | -1.9 | 5.5 | -8.3 |
| 2019 | -3.8 | -3.1 | -2.8 | -8.1 | 1.3 | -5.9 | 0.0 | -1.1 | -0.1 | -4.9 | -3.7 | -6.7 | -32.9 |
| 2020 | -10.4 | -0.4 | 18.9 | -16.3 | -11.7 | -24.8 | 3.3 | -30.8 | 26.7 | -5.8 | 1.6 | -13.1 | -55.5 |
| 2021 | -18.9 | -25.9 | 0.0 | -42.7 | -83.9 | -437.8 | -78.4 | -0.8 | -19.9 | -114.9 | -5.8 | -223.9 | |
| 2022 | -61.6 | -9.9 | -74.4 | -60.2 | -97.7 | -3556.7 | -114.2 | -81.4 | -1197.6 | 22.9 | -43.7 | 49.3 | -155.8 |
| 2023 | -22.0 | -23.1 | -108.1 | -1812.6 | -79.9 | -3.7 | -6.0 | -22.6 | -16.4 | -36.8 | -79.2 | -1.9 | -384.4 |
| 2024 | -27.7 | -8.6 | -4.1 | -7.6 | -15.0 | -12.6 | -13.4 | -5.4 | -10.3 | -0.7 | -9.4 | -1.6 | |
| 2025 | -16.7 | -28.9 | -9.7 | -6.9 | -58.4 | -17.8 | -9.3 | -2.8 | -2.4 | -5.8 | -20.4 | -7.5 | |
| 2026 | -23.8 | -10.6 | -36.3 | -67.4 | -3.7 | -28.5 | -10.3 | -79.7 | -6.0 | -5.1 |
Statistics
Overview
| Strategy began | 12/9/2010 |
|---|---|
| Suggested Minimum Capital | $50,000 |
| Age | 192 months |
| What it trades | Stocks |
| # Trades | 730 |
| # Profitable | 266 |
| % Profitable | 36.4% |
| Avg trade duration | 16.0 days |
| Max peak-to-valley drawdown | 100.0% |
| drawdown period | July 01, 2021 - Oct 31, 2025 |
| Annual Return (Compounded) | 0.0% |
| Avg win | $369 |
| Avg loss | $400 |
Ratios
| W:L ratio | 0.50 |
|---|---|
| Sharpe Ratio | 0.10 |
| Sortino Ratio | 0.29 |
| Calmar Ratio | -0.92 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.09 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 512.5% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -720.1% |
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 | 0.0% |
| Percent Trades Stocks | 1.0% |
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 | 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 | 1 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $400 |
|---|---|
| Avg Win | $369 |
| # Winners | 266 |
| Sum Trade PL (losers) | $185,662 |
| Sum Trade PL (winners) | $98,152 |
| Num Months Winners | 43 |
| # Losers | 464 |
| % Winners | 36.4% |
Dividends
| Dividends Received in Model Acct | -6157 |
|---|
Age
| Num Months filled monthly returns table | 128 |
|---|
Frequency
| Avg Position Time (mins) | 23021.20 |
|---|---|
| Avg Position Time (hrs) | 383.69 |
| Avg Trade Length | 16 |
| Last Trade Ago | 5261 |
Regression
| Alpha | 0 |
|---|---|
| Beta | -0.46 |
| Treynor Index | 0 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0 |
| MAE:Equity, average, losing trades | 0 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | -2.54 |
| MAE:PL (avg, all trades) | -0.51 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 12.15 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 18.74 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.25 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.10 |
| Hold-and-Hope Ratio | -0.59 |
RATIO STATISTICS
| Mean | 470.50 |
|---|---|
| SD | 980.00 |
| Sharpe ratio (Glass type estimate) | 0.48 |
| Sharpe ratio (Hedges UMVUE) | 0.47 |
| df | 51 |
| t | 1.00 |
| p | 0.16 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.47 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.42 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.47 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.42 |
| Sortino ratio | 611.49 |
| Upside Potential Ratio | 612.71 |
| Upside part of mean | 471.44 |
| Downside part of mean | -0.93 |
| Upside SD | 979.98 |
| Downside SD | 0.77 |
| N nonnegative terms | 23 |
| N negative terms | 29 |
| N of observations | 52 |
| Mean of predictor | 0.43 |
| Mean of criterion | 470.50 |
| SD of predictor | 0.25 |
| SD of criterion | 980.00 |
| Covariance | -47.94 |
| r | -0.19 |
| b (slope, estimate of beta) | -739.88 |
| a (intercept, estimate of alpha) | 786.38 |
| Mean Square Error | 943418.25 |
| DF error | 50 |
| t(b) | -1.38 |
| p(b) | 0.91 |
| t(a) | 1.51 |
| p(a) | 0.07 |
| Lowerbound of 95% confidence interval for beta | -1813.06 |
| Upperbound of 95% confidence interval for beta | 333.29 |
| Lowerbound of 95% confidence interval for alpha | -256.80 |
| Upperbound of 95% confidence interval for alpha | 1829.56 |
| Treynor index (mean / b) | -0.64 |
| Jensen alpha (a) | 786.38 |
| Mean | -2.50 |
| SD | 7.14 |
| Sharpe ratio (Glass type estimate) | -0.35 |
| Sharpe ratio (Hedges UMVUE) | -0.35 |
| df | 51 |
| t | -0.73 |
| p | 0.77 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.29 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.60 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.29 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.60 |
| Sortino ratio | -0.41 |
| Upside Potential Ratio | 0.36 |
| Upside part of mean | 2.17 |
| Downside part of mean | -4.68 |
| Upside SD | 3.71 |
| Downside SD | 6.06 |
| N nonnegative terms | 23 |
| N negative terms | 29 |
| N of observations | 52 |
| Mean of predictor | 0.39 |
| Mean of criterion | -2.50 |
| SD of predictor | 0.24 |
| SD of criterion | 7.14 |
| Covariance | -0.42 |
| r | -0.24 |
| b (slope, estimate of beta) | -7.09 |
| a (intercept, estimate of alpha) | 0.26 |
| Mean Square Error | 48.94 |
| DF error | 50 |
| t(b) | -1.76 |
| p(b) | 0.96 |
| t(a) | 0.07 |
| p(a) | 0.47 |
| Lowerbound of 95% confidence interval for beta | -15.19 |
| Upperbound of 95% confidence interval for beta | 1.01 |
| Lowerbound of 95% confidence interval for alpha | -7.19 |
| Upperbound of 95% confidence interval for alpha | 7.72 |
| Treynor index (mean / b) | 0.35 |
| Jensen alpha (a) | 0.26 |
| VaR(95%) | 0.97 |
| Expected Shortfall on VaR | 0.99 |
| VaR(95%) | 0.19 |
| Expected Shortfall on VaR | 0.41 |
| Mean | 1964.46 |
| SD | 2577.81 |
| Sharpe ratio (Glass type estimate) | 0.76 |
| Sharpe ratio (Hedges UMVUE) | 0.76 |
| df | 1146 |
| t | 1.59 |
| p | 0.48 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.18 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.70 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.18 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.70 |
| Sortino ratio | 1414.45 |
| Upside Potential Ratio | 1417.55 |
| Upside part of mean | 1968.76 |
| Downside part of mean | -4.30 |
| Upside SD | 2579.54 |
| Downside SD | 1.39 |
| N nonnegative terms | 616 |
| N negative terms | 531 |
| N of observations | 1147 |
| Mean of predictor | 0.46 |
| Mean of criterion | 1964.46 |
| SD of predictor | 0.31 |
| SD of criterion | 2577.81 |
| Covariance | -105.15 |
| r | -0.13 |
| b (slope, estimate of beta) | -1123.30 |
| a (intercept, estimate of alpha) | 2484.44 |
| Mean Square Error | 6532698 |
| DF error | 1145 |
| t(b) | -4.55 |
| p(b) | 0.58 |
| t(a) | 2.02 |
| p(a) | 0.46 |
| Lowerbound of 95% confidence interval for beta | -1607.47 |
| Upperbound of 95% confidence interval for beta | -639.13 |
| Lowerbound of 95% confidence interval for alpha | 77.23 |
| Upperbound of 95% confidence interval for alpha | 4891.64 |
| Treynor index (mean / b) | -1.75 |
| Jensen alpha (a) | 2484.44 |
| Mean | -2.48 |
| SD | 10.85 |
| Sharpe ratio (Glass type estimate) | -0.23 |
| Sharpe ratio (Hedges UMVUE) | -0.23 |
| df | 1146 |
| t | -0.48 |
| p | 0.51 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.17 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.71 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.16 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.71 |
| Sortino ratio | -0.30 |
| Upside Potential Ratio | 1.21 |
| Upside part of mean | 9.82 |
| Downside part of mean | -12.30 |
| Upside SD | 7.19 |
| Downside SD | 8.12 |
| N nonnegative terms | 616 |
| N negative terms | 531 |
| N of observations | 1147 |
| Mean of predictor | 0.42 |
| Mean of criterion | -2.48 |
| SD of predictor | 0.31 |
| SD of criterion | 10.85 |
| Covariance | -0.60 |
| r | -0.18 |
| b (slope, estimate of beta) | -6.30 |
| a (intercept, estimate of alpha) | 0.14 |
| Mean Square Error | 114.08 |
| DF error | 1145 |
| t(b) | -6.14 |
| p(b) | 0.61 |
| t(a) | 0.03 |
| p(a) | 0.50 |
| Lowerbound of 95% confidence interval for beta | -8.32 |
| Upperbound of 95% confidence interval for beta | -4.29 |
| Lowerbound of 95% confidence interval for alpha | -9.91 |
| Upperbound of 95% confidence interval for alpha | 10.19 |
| Treynor index (mean / b) | 0.39 |
| Jensen alpha (a) | 0.14 |
| VaR(95%) | 0.67 |
| Expected Shortfall on VaR | 0.74 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.08 |
| Mean | -2.38 |
| SD | 2.39 |
| Sharpe ratio (Glass type estimate) | -1.00 |
| Sharpe ratio (Hedges UMVUE) | -0.99 |
| df | 130 |
| t | -0.70 |
| p | 0.53 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.77 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.78 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.77 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.78 |
| Sortino ratio | -1.31 |
| Upside Potential Ratio | 2.27 |
| Upside part of mean | 4.14 |
| Downside part of mean | -6.52 |
| Upside SD | 1.54 |
| Downside SD | 1.82 |
| N nonnegative terms | 119 |
| N negative terms | 12 |
| N of observations | 131 |
| Mean of predictor | 1.47 |
| Mean of criterion | -2.38 |
| SD of predictor | 0.39 |
| SD of criterion | 2.39 |
| Covariance | -0.11 |
| r | -0.12 |
| b (slope, estimate of beta) | -0.72 |
| a (intercept, estimate of alpha) | -1.33 |
| Mean Square Error | 5.67 |
| DF error | 129 |
| t(b) | -1.33 |
| p(b) | 0.57 |
| t(a) | -0.38 |
| p(a) | 0.52 |
| Lowerbound of 95% confidence interval for beta | -1.78 |
| Upperbound of 95% confidence interval for beta | 0.35 |
| Lowerbound of 95% confidence interval for alpha | -8.17 |
| Upperbound of 95% confidence interval for alpha | 5.51 |
| Treynor index (mean / b) | 3.33 |
| Jensen alpha (a) | -1.33 |
| Mean | -18.81 |
| SD | 12.00 |
| Sharpe ratio (Glass type estimate) | -1.57 |
| Sharpe ratio (Hedges UMVUE) | -1.56 |
| df | 130 |
| t | -1.11 |
| p | 0.55 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -4.34 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.21 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -4.34 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.22 |
| Sortino ratio | -1.57 |
| Upside Potential Ratio | 0.28 |
| Upside part of mean | 3.35 |
| Downside part of mean | -22.16 |
| Upside SD | 1.13 |
| Downside SD | 11.96 |
| N nonnegative terms | 119 |
| N negative terms | 12 |
| N of observations | 131 |
| Mean of predictor | 1.39 |
| Mean of criterion | -18.81 |
| SD of predictor | 0.38 |
| SD of criterion | 12.00 |
| Covariance | -0.20 |
| r | -0.04 |
| b (slope, estimate of beta) | -1.35 |
| a (intercept, estimate of alpha) | -16.93 |
| Mean Square Error | 144.82 |
| DF error | 129 |
| t(b) | -0.49 |
| p(b) | 0.53 |
| t(a) | -0.97 |
| p(a) | 0.55 |
| Lowerbound of 95% confidence interval for beta | -6.82 |
| VAR (95 Confidence Intrvl) | 0.67 |
| Upperbound of 95% confidence interval for beta | 4.11 |
| Lowerbound of 95% confidence interval for alpha | -51.45 |
| Upperbound of 95% confidence interval for alpha | 17.59 |
| Treynor index (mean / b) | 13.89 |
| Jensen alpha (a) | -16.93 |
| VaR(95%) | 0.73 |
| Expected Shortfall on VaR | 0.79 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.04 |
ORDER STATISTICS
| Number of observations | 52 |
|---|---|
| Minimum | 0.00 |
| Quartile 1 | 0.95 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 2041 |
| Mean of quarter 1 | 0.71 |
| Mean of quarter 2 | 0.98 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 158.14 |
| Inter Quartile Range | 0.06 |
| Number outliers low | 7 |
| Percentage of outliers low | 0.13 |
| Mean of outliers low | 0.51 |
| Number of outliers high | 5 |
| Percentage of outliers high | 0.10 |
| Mean of outliers high | 409.53 |
| Extreme Value Index (moments method) | 1.05 |
| VaR(95%) (moments method) | 0.29 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | -1.22 |
| VaR(95%) (regression method) | 0.19 |
| Expected Shortfall (regression method) | 0.20 |
| Number of observations | 1147 |
| Minimum | 0.00 |
| Quartile 1 | 1.00 |
| Median | 1 |
| Quartile 3 | 1.00 |
| Maximum | 4466 |
| Mean of quarter 1 | 0.94 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 31.03 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 139 |
| Percentage of outliers low | 0.12 |
| Mean of outliers low | 0.87 |
| Number of outliers high | 120 |
| Percentage of outliers high | 0.10 |
| Mean of outliers high | 72.82 |
| Extreme Value Index (moments method) | 1.45 |
| VaR(95%) (moments method) | 0.04 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0.91 |
| VaR(95%) (regression method) | 0.03 |
| Expected Shortfall (regression method) | 0.34 |
| Number of observations | 131 |
| Minimum | 0.00 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.99 |
| Mean of quarter 1 | 0.90 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.06 |
| Inter Quartile Range | 0 |
| Number outliers low | 12 |
| Percentage of outliers low | 0.09 |
| Mean of outliers low | 0.73 |
| Number of outliers high | 9 |
| Percentage of outliers high | 0.07 |
| Mean of outliers high | 1.23 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0.03 |
| VaR(95%) (regression method) | 0.10 |
| Expected Shortfall (regression method) | 0.25 |
DRAW DOWN STATISTICS
| Number of observations | 2 |
|---|---|
| Minimum | 0.18 |
| Quartile 1 | 0.39 |
| Median | 0.59 |
| Quartile 3 | 0.80 |
| Maximum | 1.00 |
| Mean of quarter 1 | 0.18 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 1.00 |
| 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 | 20 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.03 |
| Quartile 3 | 0.07 |
| Maximum | 1.00 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.02 |
| Mean of quarter 3 | 0.05 |
| Mean of quarter 4 | 0.30 |
| Inter Quartile Range | 0.06 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 2 |
| Percentage of outliers high | 0.10 |
| Mean of outliers high | 0.60 |
| Extreme Value Index (moments method) | 0.79 |
| VaR(95%) (moments method) | 0.29 |
| Expected Shortfall (moments method) | 1.49 |
| Extreme Value Index (regression method) | 1.60 |
| VaR(95%) (regression method) | 0.39 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 1 |
| Minimum | 1.00 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.00 |
| Maximum | 1.00 |
| 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? | -378118048 |
| Max Equity Drawdown (num days) | 1583 |
| Last 4 Months - Pcnt Negative | 0.8% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | -0.23 |
|---|---|
| Compounded annual return (geometric extrapolation) | -0.92 |
| Calmar ratio (compounded annual return / max draw down) | -0.92 |
| Compounded annual return / average of 25% largest draw downs | -0.92 |
| Compounded annual return / Expected Shortfall lognormal | -0.93 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.23 |
| Compounded annual return (geometric extrapolation) | -0.92 |
| Calmar ratio (compounded annual return / max draw down) | -0.92 |
| Compounded annual return / average of 25% largest draw downs | -3.02 |
| Compounded annual return / Expected Shortfall lognormal | -1.23 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -2.00 |
| Compounded annual return (geometric extrapolation) | -1 |
| Calmar ratio (compounded annual return / max draw down) | -1.00 |
| Compounded annual return / average of 25% largest draw downs | 0 |
| Compounded annual return / Expected Shortfall lognormal | -1.26 |
Trading record
Placed 275 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| DRYS | long | 36 | Mar 15, 2012 | May 11, 2012 | ($586) |
| POT | long | 155 | Mar 15, 2012 | Apr 27, 2012 | ($172) |
| EBAY | short | 85 | Apr 4, 2012 | Apr 19, 2012 | ($145) |
| XLK | short | 210 | Apr 16, 2012 | Apr 17, 2012 | ($109) |
| AVL | long | 340 | Mar 13, 2012 | Apr 10, 2012 | ($82) |
| PAL | long | 1100 | Mar 19, 2012 | Apr 4, 2012 | ($203) |
| XLV | short | 215 | Mar 16, 2012 | Mar 26, 2012 | ($56) |
| TZA | long | 17 | Mar 23, 2012 | Mar 26, 2012 | ($302) |
| MWN | long | 599 | Mar 22, 2012 | Mar 26, 2012 | ($442) |
| TVIX | long | 0 | Mar 14, 2012 | Mar 22, 2012 | $0 |
| SRZ | long | 470 | Mar 16, 2012 | Mar 20, 2012 | ($193) |
| XLE | long | 350 | Mar 13, 2012 | Mar 15, 2012 | ($277) |
| JDSU | short | 175 | Feb 22, 2012 | Mar 13, 2012 | $36 |
| SWC | short | 300 | Feb 29, 2012 | Mar 12, 2012 | $357 |
| MWN | long | 510 | Feb 22, 2012 | Mar 9, 2012 | ($388) |
| ARMH | short | 276 | Mar 1, 2012 | Mar 8, 2012 | $74 |
| POT | long | 130 | Feb 29, 2012 | Mar 5, 2012 | ($234) |
| NFLX | long | 229 | Feb 28, 2012 | Mar 1, 2012 | ($147) |
| SLV | long | 221 | Feb 21, 2012 | Feb 29, 2012 | $142 |
| KBH | short | 175 | Feb 17, 2012 | Feb 29, 2012 | $76 |
| SOXS | long | 7 | Feb 21, 2012 | Feb 28, 2012 | ($92) |
| TZA | long | 17 | Feb 21, 2012 | Feb 28, 2012 | ($163) |
| PAL | long | 475 | Feb 16, 2012 | Feb 27, 2012 | $53 |
| GLD | long | 55 | Feb 17, 2012 | Feb 24, 2012 | $215 |
| ARBA | short | 140 | Feb 21, 2012 | Feb 24, 2012 | ($42) |
| DIA | short | 51 | Feb 22, 2012 | Feb 24, 2012 | ($47) |
| MHS | short | 142 | Feb 22, 2012 | Feb 23, 2012 | ($227) |
| ORCL | long | 150 | Feb 16, 2012 | Feb 21, 2012 | ($62) |
| NANO | long | 356 | Feb 17, 2012 | Feb 21, 2012 | ($203) |
| PHM | short | 420 | Feb 16, 2012 | Feb 21, 2012 | ($193) |
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.