Silver Alpha
- hypothetical · Annual Return (Compounded)
- 0.0%
- Max Drawdown
- 100.0%
- Trades
- 106
- Win Trades
- 35.8%
- Profit Factor
- 0.90
- Win Months
- 2.1%
About this strategy
Accounts trading this system must be:
1) Margin accounts
2) Options enabled
3) Able to sell covered options
The minimum recommended account size is $5,000.
Silver Alpha WILL NOT violate the "Pattern-day trader" rule, meaning this system will never execute 4 or more day trades within a consecutive 5 day period. This control exists for subscribers with accounts below $25k.
Silver Alpha strategies vary based on market conditions, but they are all limited-risk strategies that look to exploit volatility, time decay and market direction. Strategies include, but are not limited to, butterflies, long options condors, backspreads, calenders, debit and credit spreads, straddles and strangles. Due to the volatile nature of this market we do not employ any naked short strategies. Directionally, we at times be neutral, bullish or bearish depending what we feel the right market condition is. We apply hedging strategies whenever a directional stance is taken.
Research: Technical analysis, fundamental analysis, COT (Commitment of Trader) data, bullion lease rates and forward-thinking market intelligence augmented by macroeconomic and Fed policy analysis.
In addition to trading signals you will be provided with weekly commentary in the system forum and highly-responsive customer service in the form of less than 24hr response to any private messages. I usually respond within 1 to 4 hours of receiving your message.
Why focus on silver?
1) Silver has been one of the best performing commodities over the past 3, 5 and 10 years. That trend will continue for another 10 years.
2) Recent drastic changes to global monetary policy are casting a spotlight on the meaning of "fiat" vs "hard" currency. As a result an increasing number of financial players are re-awakening to the fact that gold and silver are currencies. This is evident in the massive increase in volumes in the SLV ETF, the liquidity of which now occasionally surpasses even the S&P 500 ETF (SPY).
3) I have real world professional experience trading silver. By combining my options risk-management experience with a focus on silver I aim to provide my subscribers with a competitive advantage and produce out-sized returns.
Silver is known for its volatility, a well-deserved reputation. My tutelage in the "art" of trading silver has not come easy; think many years and many tears. By subscribing to this system, you are, in essence, directly benefiting (or suffering?) from my harrowing market education in return for a monthly subscription fee. As the gold/silver ratio continues its compression from 70-to-1 (2001) to the inevitable 7:1 (2012? 2015? Ask Bernanke!), I recognize that there will be increasing demand from traders and investors for a system attuned to the specifics of this white metal market.
You will not see me advertised by any brokers because my strategy is not broker-commission-friendly, it aims to provide best possible absolute returns to subscribers. Hence the name "Silver Alpha", not "Silver Broker's Dream".
Liquidity is a priority objective, behind only performance and capital preservation.
Closed trade data is delayed for 5 days in order to allow non-subscribers to see an up-to-date snapshot of performance while maintaining the integrity of subscriber privilege.
About Me:
- BSc in Economics from The Wharton School at the University of Pennsylvania. Finance concentration.
- 8 years of financial services experience spanning corporate finance, investment banking, commodities and hedge funds.
I have been trading the silver market for years using the principles represented by the Silver Alpha system. I have recently become an independent money manager and decided to take advantage of the C2 platform due to no longer being contractually restricted by an employer.
NOTE: This is an options system for investors seeking outsized returns over time, not an FX system that one can over-leverage in order to opportunistically take advantage of a low drawdown. I've noticed that FX systems are incredibly popular here on C2 for this very reason, which is comical since one large drawdown would wipeout your entire account using that strategy.
Welcome to a new pattern of absolute return, and Silver Alpha.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2011 | 29.2 | 39.3 | 59.1 | 12.8 | -95.6 | -509.4 | -28.5 | -4.9 | -4.7 | -4.5 | -4.3 | -188.8 | |
| 2012 | -4.1 | -13.2 | 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | |
| 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 | 2/8/2011 |
|---|---|
| Suggested Minimum Capital | $5,000 |
| Age | 190 months |
| What it trades | Options |
| # Trades | 106 |
| # Profitable | 38 |
| % Profitable | 35.8% |
| Avg trade duration | 11.9 days |
| Max peak-to-valley drawdown | 100.0% |
| drawdown period | Aug 09, 2011 - Feb 03, 2012 |
| Annual Return (Compounded) | 0.0% |
| Avg win | $1,358 |
| Avg loss | $810 |
Ratios
| W:L ratio | 0.94 |
|---|---|
| Sharpe Ratio | -1.32 |
| Sortino Ratio | -1.32 |
| Calmar Ratio | -0.35 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.11 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 470.1% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -238.0% |
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) | -7.5% |
Slump
| Current Slump as Pcnt Equity | — |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 1.0% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 1.0% |
| 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) | 100.0% |
| Chance of 90% account loss (Monte Carlo) | 100.0% |
| Chance of 100% account loss (Monte Carlo) | 100.0% |
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 | $810 |
|---|---|
| Avg Win | $1,358 |
| # Winners | 38 |
| Sum Trade PL (losers) | $55,105 |
| Sum Trade PL (winners) | $51,588 |
| Num Months Winners | 4 |
| # Losers | 68 |
| % Winners | 35.8% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 6 |
|---|
Frequency
| Avg Position Time (mins) | 17148.83 |
|---|---|
| Avg Position Time (hrs) | 285.81 |
| Avg Trade Length | 11.90 |
| Last Trade Ago | 5326 |
Regression
| Alpha | 0 |
|---|---|
| Beta | -2.20 |
| Treynor Index | 0 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.05 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0 |
| MAE:Equity, average, losing trades | 0.07 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.03 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | -9.88 |
| MAE:PL (avg, all trades) | -0.38 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 21.02 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 44.82 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.27 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.09 |
| Hold-and-Hope Ratio | -0.10 |
RATIO STATISTICS
| Mean | 0.45 |
|---|---|
| SD | 1.29 |
| Sharpe ratio (Glass type estimate) | 0.35 |
| Sharpe ratio (Hedges UMVUE) | 0.34 |
| df | 25 |
| t | 0.51 |
| p | 0.31 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.99 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.68 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.00 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.67 |
| Sortino ratio | 0.60 |
| Upside Potential Ratio | 1.74 |
| Upside part of mean | 1.30 |
| Downside part of mean | -0.85 |
| Upside SD | 1.03 |
| Downside SD | 0.75 |
| N nonnegative terms | 4 |
| N negative terms | 22 |
| N of observations | 26 |
| Mean of predictor | 0.22 |
| Mean of criterion | 0.45 |
| SD of predictor | 0.19 |
| SD of criterion | 1.29 |
| Covariance | 0.07 |
| r | 0.26 |
| b (slope, estimate of beta) | 1.75 |
| a (intercept, estimate of alpha) | 0.07 |
| Mean Square Error | 1.62 |
| DF error | 24 |
| t(b) | 1.33 |
| p(b) | 0.10 |
| t(a) | 0.08 |
| p(a) | 0.47 |
| Lowerbound of 95% confidence interval for beta | -0.97 |
| Upperbound of 95% confidence interval for beta | 4.46 |
| Lowerbound of 95% confidence interval for alpha | -1.80 |
| Upperbound of 95% confidence interval for alpha | 1.95 |
| Treynor index (mean / b) | 0.26 |
| Jensen alpha (a) | 0.07 |
| Mean | -0.57 |
| SD | 1.69 |
| Sharpe ratio (Glass type estimate) | -0.34 |
| Sharpe ratio (Hedges UMVUE) | -0.33 |
| df | 25 |
| t | -0.50 |
| p | 0.69 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.67 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.00 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.66 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.01 |
| Sortino ratio | -0.38 |
| Upside Potential Ratio | 0.64 |
| Upside part of mean | 0.96 |
| Downside part of mean | -1.53 |
| Upside SD | 0.74 |
| Downside SD | 1.49 |
| N nonnegative terms | 4 |
| N negative terms | 22 |
| N of observations | 26 |
| Mean of predictor | 0.20 |
| Mean of criterion | -0.57 |
| SD of predictor | 0.19 |
| SD of criterion | 1.69 |
| Covariance | 0.06 |
| r | 0.18 |
| b (slope, estimate of beta) | 1.65 |
| a (intercept, estimate of alpha) | -0.90 |
| Mean Square Error | 2.88 |
| DF error | 24 |
| t(b) | 0.92 |
| p(b) | 0.18 |
| t(a) | -0.74 |
| p(a) | 0.77 |
| Lowerbound of 95% confidence interval for beta | -2.05 |
| Upperbound of 95% confidence interval for beta | 5.36 |
| Lowerbound of 95% confidence interval for alpha | -3.38 |
| Upperbound of 95% confidence interval for alpha | 1.59 |
| Treynor index (mean / b) | -0.35 |
| Jensen alpha (a) | -0.90 |
| VaR(95%) | 0.57 |
| Expected Shortfall on VaR | 0.65 |
| VaR(95%) | 0.22 |
| Expected Shortfall on VaR | 0.47 |
| Mean | 0.33 |
| SD | 1.32 |
| Sharpe ratio (Glass type estimate) | 0.25 |
| Sharpe ratio (Hedges UMVUE) | 0.25 |
| df | 751 |
| t | 0.36 |
| p | 0.36 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.08 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.57 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.08 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.57 |
| Sortino ratio | 0.40 |
| Upside Potential Ratio | 3.77 |
| Upside part of mean | 3.04 |
| Downside part of mean | -2.71 |
| Upside SD | 1.05 |
| Downside SD | 0.81 |
| N nonnegative terms | 80 |
| N negative terms | 672 |
| N of observations | 752 |
| Mean of predictor | 0.22 |
| Mean of criterion | 0.33 |
| SD of predictor | 0.23 |
| SD of criterion | 1.32 |
| Covariance | -0.02 |
| r | -0.06 |
| b (slope, estimate of beta) | -0.34 |
| a (intercept, estimate of alpha) | 0.28 |
| Mean Square Error | 1.74 |
| DF error | 750 |
| t(b) | -1.62 |
| p(b) | 0.95 |
| t(a) | 0.45 |
| p(a) | 0.33 |
| Lowerbound of 95% confidence interval for beta | -0.75 |
| Upperbound of 95% confidence interval for beta | 0.07 |
| Lowerbound of 95% confidence interval for alpha | -1.35 |
| Upperbound of 95% confidence interval for alpha | 2.15 |
| Treynor index (mean / b) | -0.96 |
| Jensen alpha (a) | 0.40 |
| Mean | -0.57 |
| SD | 1.41 |
| Sharpe ratio (Glass type estimate) | -0.40 |
| Sharpe ratio (Hedges UMVUE) | -0.40 |
| df | 751 |
| t | -0.59 |
| p | 0.72 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.73 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.92 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.73 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.92 |
| Sortino ratio | -0.49 |
| Upside Potential Ratio | 2.29 |
| Upside part of mean | 2.66 |
| Downside part of mean | -3.23 |
| Upside SD | 0.79 |
| Downside SD | 1.16 |
| N nonnegative terms | 80 |
| N negative terms | 672 |
| N of observations | 752 |
| Mean of predictor | 0.19 |
| Mean of criterion | -0.57 |
| SD of predictor | 0.23 |
| SD of criterion | 1.41 |
| Covariance | -0.01 |
| r | -0.02 |
| b (slope, estimate of beta) | -0.15 |
| a (intercept, estimate of alpha) | -0.54 |
| Mean Square Error | 1.98 |
| DF error | 750 |
| t(b) | -0.68 |
| p(b) | 0.75 |
| t(a) | -0.56 |
| p(a) | 0.71 |
| Lowerbound of 95% confidence interval for beta | -0.59 |
| Upperbound of 95% confidence interval for beta | 0.29 |
| Lowerbound of 95% confidence interval for alpha | -2.41 |
| Upperbound of 95% confidence interval for alpha | 1.33 |
| Treynor index (mean / b) | 3.72 |
| Jensen alpha (a) | -0.54 |
| VaR(95%) | 0.12 |
| Expected Shortfall on VaR | 0.15 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.06 |
| 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 | 0.04 |
| Mean of criterion | -0.01 |
| SD of predictor | 0.23 |
| 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 | 0.02 |
| Mean of criterion | -0.01 |
| SD of predictor | 0.23 |
| 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) | -2.22622994063688e+16 |
| p(a) | 1 |
| Lowerbound of 95% confidence interval for beta | 0 |
| VAR (95 Confidence Intrvl) | 0.11 |
| 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) | -7.12242998758909e+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 | 26 |
|---|---|
| Minimum | 0.14 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 2.16 |
| Mean of quarter 1 | 0.74 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.40 |
| Inter Quartile Range | 0 |
| Number outliers low | 3 |
| Percentage of outliers low | 0.12 |
| Mean of outliers low | 0.39 |
| Number of outliers high | 4 |
| Percentage of outliers high | 0.15 |
| Mean of outliers high | 1.71 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | -0.78 |
| VaR(95%) (regression method) | 0.41 |
| Expected Shortfall (regression method) | 0.55 |
| Number of observations | 752 |
| Minimum | 0.27 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 2.16 |
| Mean of quarter 1 | 0.97 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.04 |
| Inter Quartile Range | 0 |
| Number outliers low | 79 |
| Percentage of outliers low | 0.11 |
| Mean of outliers low | 0.93 |
| Number of outliers high | 80 |
| Percentage of outliers high | 0.11 |
| Mean of outliers high | 1.08 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0.42 |
| VaR(95%) (regression method) | 0.02 |
| Expected Shortfall (regression method) | 0.09 |
| 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 | 1 |
|---|---|
| Minimum | 0.96 |
| Quartile 1 | 0.96 |
| Median | 0.96 |
| Quartile 3 | 0.96 |
| Maximum | 0.96 |
| 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 | 9 |
| Minimum | 0.04 |
| Quartile 1 | 0.05 |
| Median | 0.07 |
| Quartile 3 | 0.14 |
| Maximum | 0.97 |
| Mean of quarter 1 | 0.04 |
| Mean of quarter 2 | 0.07 |
| Mean of quarter 3 | 0.12 |
| Mean of quarter 4 | 0.56 |
| 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 | 0.11 |
| Mean of outliers high | 0.97 |
| Extreme Value Index (moments method) | 0.91 |
| VaR(95%) (moments method) | 0.59 |
| Expected Shortfall (moments method) | 6.86 |
| Extreme Value Index (regression method) | 5.29 |
| VaR(95%) (regression method) | 6.15 |
| 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 |
| Max Equity Drawdown (num days) | 178 |
| Last 4 Months - Pcnt Negative | 0.5% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | -0.32 |
|---|---|
| Compounded annual return (geometric extrapolation) | -0.43 |
| Calmar ratio (compounded annual return / max draw down) | -0.45 |
| Compounded annual return / average of 25% largest draw downs | 0 |
| Compounded annual return / Expected Shortfall lognormal | -0.66 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.32 |
| Compounded annual return (geometric extrapolation) | -0.43 |
| Calmar ratio (compounded annual return / max draw down) | -0.44 |
| Compounded annual return / average of 25% largest draw downs | -0.76 |
| Compounded annual return / Expected Shortfall lognormal | -2.92 |
| 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 219 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| VIX1117H24 | long | 4 | Jun 16, 2011 | Feb 15, 2012 | ($943) |
| BVZ1120G20 | long | 11 | Jun 8, 2011 | Feb 15, 2012 | ($212) |
| VIX1120G35 | long | 33 | Jun 2, 2011 | Feb 15, 2012 | ($1,273) |
| SLV1122S29 | short | 30 | Jun 27, 2011 | Jul 17, 2011 | $579 |
| SLV1122S32 | long | 85 | Jun 2, 2011 | Jul 17, 2011 | ($7,655) |
| SLV1108G34 | long | 17 | Jun 27, 2011 | Jul 2, 2011 | ($573) |
| SLV1108G36 | long | 10 | Jun 23, 2011 | Jul 2, 2011 | ($237) |
| SLV1124F37 | long | 40 | Jun 16, 2011 | Jun 25, 2011 | ($787) |
| SLV1124R34 | long | 15 | Jun 20, 2011 | Jun 24, 2011 | ($306) |
| SLV1116S30 | short | 55 | Jun 20, 2011 | Jun 23, 2011 | ($77) |
| VIX1117H17 | long | 3 | Jun 1, 2011 | Jun 23, 2011 | $296 |
| SLV1124R32 | long | 20 | Jun 6, 2011 | Jun 19, 2011 | ($339) |
| SLV1118F35 | long | 20 | Jun 15, 2011 | Jun 16, 2011 | ($408) |
| SLV1118F36 | short | 20 | Jun 15, 2011 | Jun 16, 2011 | $112 |
| SLV1118F34 | long | 15 | Jun 14, 2011 | Jun 15, 2011 | $234 |
| SLV1118F35 | short | 15 | Jun 14, 2011 | Jun 15, 2011 | ($81) |
| SLV1118F35 | long | 15 | Jun 13, 2011 | Jun 14, 2011 | ($246) |
| SLV1116G38 | long | 48 | Jun 1, 2011 | Jun 13, 2011 | ($6,381) |
| SLV1116G39 | short | 48 | Jun 13, 2011 | Jun 13, 2011 | $173 |
| SLV1116G40 | long | 48 | Jun 13, 2011 | Jun 13, 2011 | ($115) |
| SLV1118F40 | long | 25 | Jun 6, 2011 | Jun 11, 2011 | ($118) |
| SLV1118F38 | short | 35 | Jun 6, 2011 | Jun 11, 2011 | $641 |
| VIX1120S17 | long | 4 | Jun 2, 2011 | Jun 8, 2011 | ($86) |
| SLV1110R33 | long | 35 | Jun 3, 2011 | Jun 6, 2011 | ($784) |
| SLV1110R35 | long | 10 | Jun 2, 2011 | Jun 6, 2011 | ($719) |
| SLV1110F37 | long | 30 | Jun 2, 2011 | Jun 6, 2011 | $308 |
| SLV1118R36 | long | 20 | Jun 1, 2011 | Jun 3, 2011 | $2,082 |
| SLV1103R36 | long | 25 | Jun 1, 2011 | Jun 2, 2011 | $508 |
| SLV1103R36 | short | 25 | Jun 1, 2011 | Jun 1, 2011 | ($52) |
| SLV1103F38 | short | 45 | Jun 1, 2011 | Jun 1, 2011 | ($873) |
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.