Futures Growth Fund
- hypothetical · Annual Return (Compounded)
- 3.0%
- Max Drawdown
- 11.2%
- Trades
- 314
- Win Trades
- 38.2%
- Profit Factor
- 1.30
- Win Months
- 10.6%
About this strategy
Welcome to Futures Growth Fund. This is an intermediate term system where trades are normally held from a few hours to a few days. Entry orders will be given in the evenings EST. Each trade will have a target and stop given with it. No stop will be larger than 3.5% of account equity and most will be less than 2%. All trades at all times will have a stop order attached to help limit risk.
This system trades 1 contract / trade per $50k in equity so if one wanted to trade a 50k account they could do 1/3 size (34% on auto trade setting) and be able to follow along.
FGF originally started on C2 with 100k trading 2 contracts a trade and in September of 2013 switched to 3 contracts a trade because of account growth. The results since Sept of 2012 are based on live trading results of subscribers to the system. In April of 2013 this strategy was selected from over 3000 quantitative strategies for the BattleFin 4.0 Professional tournament where strategies competed for the best risk adjusted returns based on the Sharpe ratio. FGF placed second while generating the highest returns over the tournament period.
Answers to common questions I've received:
Do you trade this yourself? Yes, I trade this and several other systems in my ThinkorSwim account.
Is this a mechanical or discretionary system?
80% mechanical / 20% discretionary. Each evening the system will generate from 0 to several trades. From these, trades are selected based on correlation, use of margin and several other technical factors. Once in a trade, it is 100% mechanical.
What commodities does the system trade? Aus$, Can$, Euro, Swiss Franc, Oil, Gas, Gold, Silver, Cotton, Sugar, Coffee, Soybeans, Cattle
This system trades 1 contract / trade per $50k in equity so if one wanted to trade a 50k account they could do 1/3 size (34% on auto trade setting) and be able to follow along.
FGF originally started on C2 with 100k trading 2 contracts a trade and in September of 2013 switched to 3 contracts a trade because of account growth. The results since Sept of 2012 are based on live trading results of subscribers to the system. In April of 2013 this strategy was selected from over 3000 quantitative strategies for the BattleFin 4.0 Professional tournament where strategies competed for the best risk adjusted returns based on the Sharpe ratio. FGF placed second while generating the highest returns over the tournament period.
Answers to common questions I've received:
Do you trade this yourself? Yes, I trade this and several other systems in my ThinkorSwim account.
Is this a mechanical or discretionary system?
80% mechanical / 20% discretionary. Each evening the system will generate from 0 to several trades. From these, trades are selected based on correlation, use of margin and several other technical factors. Once in a trade, it is 100% mechanical.
What commodities does the system trade? Aus$, Can$, Euro, Swiss Franc, Oil, Gas, Gold, Silver, Cotton, Sugar, Coffee, Soybeans, Cattle
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2012 | 4.9 | 8.3 | 0.8 | 8.2 | 2.4 | 4.0 | 32.0 | ||||||
| 2013 | -3.6 | 4.1 | 5.1 | 5.9 | 5.1 | -1.3 | 1.7 | 3.0 | -2.0 | -3.0 | 5.6 | 0.4 | 22.3 |
| 2014 | 0.6 | -3.4 | 1.7 | -1.5 | -2.2 | 1.2 | 0.7 | -2.7 | -0.0 | -0.0 | -0.9 | 0.0 | -6.3 |
| 2015 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | -0.0 |
| 2016 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2017 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2018 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2019 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | |
| 2020 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2021 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2022 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2023 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2024 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2025 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 2026 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
Statistics
Overview
| Strategy began | 7/23/2012 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 172 months |
| What it trades | Futures |
| # Trades | 314 |
| # Profitable | 120 |
| % Profitable | 38.2% |
| Avg trade duration | 1.4 days |
| Max peak-to-valley drawdown | 11.2% |
| drawdown period | Oct 29, 2012 - Nov 13, 2012 |
| Annual Return (Compounded) | 3.0% |
| Avg win | $2,322 |
| Avg loss | $1,117 |
Ratios
| W:L ratio | 1.29 |
|---|---|
| Sharpe Ratio | 0.17 |
| Sortino Ratio | 0.30 |
| Calmar Ratio | 1.10 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.02 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 461.7% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -420.3% |
Return Statistics
| Ann Return (w trading costs) | 3.0% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 3.5% |
Slump
| Current Slump as Pcnt Equity | 12.2% |
|---|---|
| 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 | 0.0% |
| Chance of 30% account loss | 0.0% |
| Chance of 40% account loss | 0.0% |
| Chance of 50% account loss | 0.0% |
| Chance of 60% account loss (Monte Carlo) | 0.0% |
| Chance of 70% account loss (Monte Carlo) | 0.0% |
| Chance of 80% account loss (Monte Carlo) | 0.0% |
| Chance of 90% account loss (Monte Carlo) | 0.0% |
| Chance of 100% account loss (Monte Carlo) | 0.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Popularity
| Popularity (Today) | 0 |
|---|---|
| Popularity (Last 6 weeks) | 0 |
| Popularity (7 days, Percentile 1000 scale) | 0 |
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $1,117 |
|---|---|
| Avg Win | $2,322 |
| # Winners | 120 |
| Sum Trade PL (losers) | $216,638 |
| Sum Trade PL (winners) | $278,678 |
| Num Months Winners | 19 |
| # Losers | 194 |
| % Winners | 38.2% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 171 |
|---|
Frequency
| Avg Position Time (mins) | 2043.58 |
|---|---|
| Avg Position Time (hrs) | 34.06 |
| Avg Trade Length | 1.40 |
| Last Trade Ago | 4296 |
Regression
| Alpha | 0 |
|---|---|
| Beta | 0.01 |
| Treynor Index | 0.51 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.01 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0 |
| MAE:Equity, average, losing trades | 0.01 |
| 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 | 7.42 |
| MAE:PL (avg, all trades) | -1.67 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 52.89 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 15.91 |
| 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 | -1.05 |
| Hold-and-Hope Ratio | 0.14 |
RATIO STATISTICS
| Mean | 0.07 |
|---|---|
| SD | 0.10 |
| Sharpe ratio (Glass type estimate) | 0.74 |
| Sharpe ratio (Hedges UMVUE) | 0.73 |
| df | 61 |
| t | 1.67 |
| p | 0.05 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.14 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.60 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.15 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.60 |
| Sortino ratio | 2.07 |
| Upside Potential Ratio | 3.64 |
| Upside part of mean | 0.12 |
| Downside part of mean | -0.05 |
| Upside SD | 0.09 |
| Downside SD | 0.03 |
| N nonnegative terms | 14 |
| N negative terms | 48 |
| N of observations | 62 |
| Mean of predictor | 0.31 |
| Mean of criterion | 0.07 |
| SD of predictor | 0.24 |
| SD of criterion | 0.10 |
| Covariance | -0.00 |
| r | -0.00 |
| b (slope, estimate of beta) | -0.00 |
| a (intercept, estimate of alpha) | 0.07 |
| Mean Square Error | 0.01 |
| DF error | 60 |
| t(b) | -0.02 |
| p(b) | 0.51 |
| t(a) | 1.56 |
| p(a) | 0.06 |
| Lowerbound of 95% confidence interval for beta | -0.10 |
| Upperbound of 95% confidence interval for beta | 0.10 |
| Lowerbound of 95% confidence interval for alpha | -0.02 |
| Upperbound of 95% confidence interval for alpha | 0.16 |
| Treynor index (mean / b) | -60.09 |
| Jensen alpha (a) | 0.07 |
| Mean | 0.07 |
| SD | 0.09 |
| Sharpe ratio (Glass type estimate) | 0.71 |
| Sharpe ratio (Hedges UMVUE) | 0.70 |
| df | 61 |
| t | 1.61 |
| p | 0.06 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.16 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.58 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.17 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.57 |
| Sortino ratio | 1.89 |
| Upside Potential Ratio | 3.45 |
| Upside part of mean | 0.12 |
| Downside part of mean | -0.05 |
| Upside SD | 0.09 |
| Downside SD | 0.03 |
| N nonnegative terms | 14 |
| N negative terms | 48 |
| N of observations | 62 |
| Mean of predictor | 0.28 |
| Mean of criterion | 0.07 |
| SD of predictor | 0.22 |
| SD of criterion | 0.09 |
| Covariance | 0.00 |
| r | 0.00 |
| b (slope, estimate of beta) | 0.00 |
| a (intercept, estimate of alpha) | 0.06 |
| Mean Square Error | 0.01 |
| DF error | 60 |
| t(b) | 0.04 |
| p(b) | 0.49 |
| t(a) | 1.49 |
| p(a) | 0.07 |
| Lowerbound of 95% confidence interval for beta | -0.11 |
| Upperbound of 95% confidence interval for beta | 0.11 |
| Lowerbound of 95% confidence interval for alpha | -0.02 |
| Upperbound of 95% confidence interval for alpha | 0.15 |
| Treynor index (mean / b) | 33.64 |
| Jensen alpha (a) | 0.06 |
| VaR(95%) | 0.04 |
| Expected Shortfall on VaR | 0.05 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.03 |
| Mean | 0.07 |
| SD | 0.09 |
| Sharpe ratio (Glass type estimate) | 0.75 |
| Sharpe ratio (Hedges UMVUE) | 0.75 |
| df | 1372 |
| t | 1.72 |
| p | 0.48 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.10 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.61 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.10 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.61 |
| Sortino ratio | 1.35 |
| Upside Potential Ratio | 6.49 |
| Upside part of mean | 0.33 |
| Downside part of mean | -0.26 |
| Upside SD | 0.08 |
| Downside SD | 0.05 |
| N nonnegative terms | 202 |
| N negative terms | 1171 |
| N of observations | 1373 |
| Mean of predictor | 0.34 |
| Mean of criterion | 0.07 |
| SD of predictor | 0.28 |
| SD of criterion | 0.09 |
| Covariance | 0.00 |
| r | 0.02 |
| b (slope, estimate of beta) | 0.01 |
| a (intercept, estimate of alpha) | 0.07 |
| Mean Square Error | 0.01 |
| DF error | 1371 |
| t(b) | 0.77 |
| p(b) | 0.49 |
| t(a) | 1.66 |
| p(a) | 0.47 |
| Lowerbound of 95% confidence interval for beta | -0.01 |
| Upperbound of 95% confidence interval for beta | 0.02 |
| Lowerbound of 95% confidence interval for alpha | -0.01 |
| Upperbound of 95% confidence interval for alpha | 0.14 |
| Treynor index (mean / b) | 10.11 |
| Jensen alpha (a) | 0.07 |
| Mean | 0.06 |
| SD | 0.09 |
| Sharpe ratio (Glass type estimate) | 0.71 |
| Sharpe ratio (Hedges UMVUE) | 0.71 |
| df | 1372 |
| t | 1.63 |
| p | 0.48 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.14 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.57 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.14 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.57 |
| Sortino ratio | 1.27 |
| Upside Potential Ratio | 6.39 |
| Upside part of mean | 0.32 |
| Downside part of mean | -0.26 |
| Upside SD | 0.07 |
| Downside SD | 0.05 |
| N nonnegative terms | 202 |
| N negative terms | 1171 |
| N of observations | 1373 |
| Mean of predictor | 0.30 |
| Mean of criterion | 0.06 |
| SD of predictor | 0.27 |
| SD of criterion | 0.09 |
| Covariance | 0.00 |
| r | 0.02 |
| b (slope, estimate of beta) | 0.01 |
| a (intercept, estimate of alpha) | 0.06 |
| Mean Square Error | 0.01 |
| DF error | 1371 |
| t(b) | 0.80 |
| p(b) | 0.49 |
| t(a) | 1.57 |
| p(a) | 0.47 |
| Lowerbound of 95% confidence interval for beta | -0.01 |
| Upperbound of 95% confidence interval for beta | 0.02 |
| Lowerbound of 95% confidence interval for alpha | -0.02 |
| Upperbound of 95% confidence interval for alpha | 0.14 |
| Treynor index (mean / b) | 8.87 |
| Jensen alpha (a) | 0.06 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.01 |
| Mean | -0.03 |
| 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 | -16.19 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | -0.03 |
| Upside SD | 0 |
| Downside SD | 0.00 |
| N nonnegative terms | 0 |
| N negative terms | 131 |
| N of observations | 131 |
| Mean of predictor | 1.24 |
| Mean of criterion | -0.03 |
| SD of predictor | 0.49 |
| 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 | -0.03 |
| SD | 0 |
| Sharpe ratio (Glass type estimate) | -9.74841826823373e+15 |
| Sharpe ratio (Hedges UMVUE) | -9.69206937105203e+15 |
| df | 130 |
| t | -6893172865105920 |
| 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 | -1.08701574255084e+16 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | -8513981316595712 |
| Sortino ratio | -16.19 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | -0.03 |
| Upside SD | 0 |
| Downside SD | 0.00 |
| N nonnegative terms | 0 |
| N negative terms | 131 |
| N of observations | 131 |
| Mean of predictor | 1.12 |
| Mean of criterion | -0.03 |
| SD of predictor | 0.49 |
| SD of criterion | 0 |
| Covariance | 0 |
| r | 0 |
| b (slope, estimate of beta) | 0 |
| a (intercept, estimate of alpha) | -0.03 |
| Mean Square Error | 0 |
| DF error | 129 |
| t(b) | 0 |
| p(b) | 0.50 |
| t(a) | -6798416222879744 |
| p(a) | 1 |
| Lowerbound of 95% confidence interval for beta | 0 |
| VAR (95 Confidence Intrvl) | 0.01 |
| Upperbound of 95% confidence interval for beta | 0 |
| Lowerbound of 95% confidence interval for alpha | -0.03 |
| Upperbound of 95% confidence interval for alpha | -0.03 |
| Treynor index (mean / b) | 5.06075255690502e+31 |
| Jensen alpha (a) | -0.03 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.00 |
| VaR(95%) | 0 |
| Expected Shortfall on VaR | 0 |
ORDER STATISTICS
| Number of observations | 62 |
|---|---|
| Minimum | 0.94 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1.00 |
| Maximum | 1.12 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.04 |
| Inter Quartile Range | 0.00 |
| Number outliers low | 11 |
| Percentage of outliers low | 0.18 |
| Mean of outliers low | 0.99 |
| Number of outliers high | 14 |
| Percentage of outliers high | 0.23 |
| Mean of outliers high | 1.05 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0.07 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.02 |
| Number of observations | 1373 |
| Minimum | 0.98 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1 |
| Maximum | 1.06 |
| Mean of quarter 1 | 1.00 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0 |
| Number outliers low | 196 |
| Percentage of outliers low | 0.14 |
| Mean of outliers low | 0.99 |
| Number of outliers high | 205 |
| Percentage of outliers high | 0.15 |
| Mean of outliers high | 1.01 |
| Extreme Value Index (moments method) | -0.52 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.00 |
| Extreme Value Index (regression method) | -0.40 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.01 |
| 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 | 4 |
|---|---|
| Minimum | 0.00 |
| Quartile 1 | 0.02 |
| Median | 0.04 |
| Quartile 3 | 0.06 |
| Maximum | 0.07 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.03 |
| Mean of quarter 3 | 0.06 |
| Mean of quarter 4 | 0.07 |
| Inter Quartile Range | 0.04 |
| 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 | 25 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.02 |
| Quartile 3 | 0.05 |
| Maximum | 0.09 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.02 |
| Mean of quarter 3 | 0.03 |
| Mean of quarter 4 | 0.08 |
| Inter Quartile Range | 0.04 |
| 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) | -2.66 |
| VaR(95%) (moments method) | 0.08 |
| Expected Shortfall (moments method) | 0.08 |
| Extreme Value Index (regression method) | -3.04 |
| VaR(95%) (regression method) | 0.10 |
| Expected Shortfall (regression method) | 0.10 |
| 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? | -392955488 |
| Max Equity Drawdown (num days) | 15 |
| 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) | 1.36 |
| Compounded annual return / average of 25% largest draw downs | 1.36 |
| Compounded annual return / Expected Shortfall lognormal | 2.03 |
| 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) | 1.10 |
| Compounded annual return / average of 25% largest draw downs | 1.25 |
| Compounded annual return / Expected Shortfall lognormal | 8.64 |
| 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 589 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| QCL F5 | short | 2 | Dec 4, 2014 | Dec 4, 2014 | $94 |
| QCL F5 | long | 2 | Nov 18, 2014 | Nov 18, 2014 | ($1,356) |
| QCL V4 | long | 3 | Aug 26, 2014 | Aug 26, 2014 | ($2,025) |
| QCL V4 | long | 3 | Aug 21, 2014 | Aug 22, 2014 | ($35) |
| S X4 | long | 3 | Aug 6, 2014 | Aug 12, 2014 | ($2,021) |
| QCL U4 | short | 3 | Jul 24, 2014 | Jul 25, 2014 | $1,610 |
| S X4 | long | 3 | Jul 15, 2014 | Jul 20, 2014 | ($1,920) |
| SB V4 | short | 3 | Jul 7, 2014 | Jul 16, 2014 | $1,555 |
| SB N4 | long | 3 | Jun 23, 2014 | Jun 23, 2014 | ($595) |
| QCL N4 | long | 3 | Jun 12, 2014 | Jun 12, 2014 | $2,604 |
| QCL N4 | long | 3 | Jun 4, 2014 | Jun 4, 2014 | ($81) |
| QCL N4 | long | 3 | May 23, 2014 | May 27, 2014 | ($1,980) |
| EU M4 | long | 3 | May 23, 2014 | May 27, 2014 | ($50) |
| QCL N4 | long | 3 | May 18, 2014 | May 20, 2014 | ($33) |
| BP M4 | long | 3 | May 13, 2014 | May 14, 2014 | ($686) |
| QCL M4 | long | 3 | May 13, 2014 | May 13, 2014 | ($30) |
| QCL M4 | long | 3 | May 7, 2014 | May 7, 2014 | ($105) |
| BP M4 | short | 3 | May 6, 2014 | May 6, 2014 | ($408) |
| BP M4 | short | 3 | Apr 30, 2014 | Apr 30, 2014 | ($699) |
| QCL M4 | short | 3 | Apr 22, 2014 | Apr 22, 2014 | $2,637 |
| S K4 | long | 3 | Apr 4, 2014 | Apr 4, 2014 | ($1,997) |
| QGC M4 | long | 3 | Apr 4, 2014 | Apr 4, 2014 | ($2,178) |
| AD M4 | long | 6 | Mar 17, 2014 | Mar 18, 2014 | $3,392 |
| QCL J4 | long | 3 | Mar 14, 2014 | Mar 14, 2014 | ($153) |
| EU M4 | long | 3 | Mar 11, 2014 | Mar 12, 2014 | $2,114 |
| QGC J4 | long | 3 | Mar 11, 2014 | Mar 11, 2014 | ($1,287) |
| QGC J4 | short | 3 | Mar 6, 2014 | Mar 6, 2014 | ($1,230) |
| QCL J4 | long | 3 | Feb 21, 2014 | Feb 25, 2014 | ($1,710) |
| SB H4 | short | 3 | Feb 14, 2014 | Feb 18, 2014 | ($577) |
| QGC J4 | long | 3 | Feb 7, 2014 | Feb 7, 2014 | ($1,374) |
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.