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Superior Returns

Created by:
Michael Zweighaft
Michael Zweighaft
Started: 10/2010
Mostly Stocks; (some futures, options)
Last trade: 917 days ago

Subscription terms. There is a free trial period of 60 days. After that, subscriptions cost $500.00 per month.

Try AutoTrade for free. We'll give you $100,000 in a Simulated Broker Account to AutoTrade Superior Returns.

Free AutoTrade
-
Annual Return (Compounded)
96.2%
Max Drawdown
2880
Num Trades
41.9%
Win Trades
1.0 : 1
Profit Factor
19.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010                                                               (6.4%)+11.0%+6.8%+10.9%
2011+13.0%+17.2%+5.5%+1.2%+27.6%(20.1%)+23.2%+16.1%(25%)(0.3%)(11.2%)(30.7%)(5.2%)
2012(4.4%)+30.4%(118.2%)(383%)(0.4%)(3.9%)(1.6%)(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(215.1%)
2013(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(0.8%)(0.4%)  -  (0.8%)(0.4%)(0.4%)(5.4%)
2014(0.2%)  -  (0.8%)(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)  -  (4.1%)

Model Account Details

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Closed Trades

CSV
Show More detailsShow fewer details
Opened ETB/S#Symbol PriceClosedPriceDDP/L
3/19/12 14:22 BUY 1,000 EXM1216F3 EXM Jun16'12 3 call 0.15 6/17 9:01 0.00 54.92%
Trade id #71734142
Max drawdown($15,000)
Time6/17/12 9:01
Quant open0
Worst price0.00
Drawdown as % of equity-54.92%
($15,950)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $950.00
4/24/12 14:18 BUY 12 AAPL1227D600 AAPL Apr27'12 600 call 4.00 4/25 9:32 14.85 8.67%
Trade id #72977407
Max drawdown($1,152)
Time4/24/12 15:53
Quant open12
Worst price3.04
Drawdown as % of equity-8.67%
$12,997
Includes Typical Broker Commission and AutoTrade Fees trade costs of $22.80
4/16/12 10:53 BUY 120 UVXY1219E27 UVXY May19'12 27 call 1.77 4/23 15:31 0.75 75.5%
Trade id #72700333
Max drawdown($12,300)
Time4/20/12 10:59
Quant open120
Worst price0.75
Drawdown as % of equity-75.50%
($12,528)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $228.00
4/2/12 11:25 BUY 200 ENB1219E40 ENB May19'12 40 call 0.70 4/16 12:21 0.28 28.55%
Trade id #72286485
Max drawdown($8,500)
Time4/16/12 12:21
Quant open100
Worst price0.35
Drawdown as % of equity-28.55%
($8,880)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $380.00
4/12/12 15:28 BUY 60 ROST1219E60 ROST May19'12 60 call 1.50 4/16 10:48 1.20 6.05%
Trade id #72605952
Max drawdown($1,800)
Time4/16/12 10:28
Quant open60
Worst price1.20
Drawdown as % of equity-6.05%
($1,914)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $114.00
4/12/12 15:27 BUY 20 DLTR1219E95 DLTR May19'12 95 call 3.65 4/16 10:46 3.10 3.69%
Trade id #72605926
Max drawdown($1,100)
Time4/16/12 10:46
Quant open0
Worst price3.10
Drawdown as % of equity-3.69%
($1,138)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $38.00
4/9/12 12:51 BUY 100 MCD1219E100 MCD May19'12 100 call 1.50 4/12 15:38 0.97 16.33%
Trade id #72471450
Max drawdown($5,550)
Time4/12/12 13:57
Quant open100
Worst price0.94
Drawdown as % of equity-16.33%
($5,440)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $190.00
4/2/12 11:36 BUY 200 EWC1219E30 EWC May19'12 30 call 0.20 4/12 15:28 0.15 3.33%
Trade id #72287044
Max drawdown($1,000)
Time4/12/12 15:28
Quant open0
Worst price0.15
Drawdown as % of equity-3.33%
($1,380)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $380.00
4/2/12 12:04 BUY 200 RAI1219E42 RAI May19'12 42 call 0.81 4/9 14:18 0.65 10.72%
Trade id #72288174
Max drawdown($5,300)
Time4/5/12 9:41
Quant open200
Worst price0.55
Drawdown as % of equity-10.72%
($3,680)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $380.00
4/2/12 11:27 BUY 200 DRYS1219E4 DRYS May19'12 4 call 0.18 4/5 14:52 0.07 4.86%
Trade id #72286566
Max drawdown($2,140)
Time4/5/12 14:52
Quant open0
Worst price0.07
Drawdown as % of equity-4.86%
($2,520)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $380.00
4/2/12 14:33 BUY 100 BZH1219E3.5 BZH May19'12 3.5 call 0.25 4/5 14:51 0.10 3.41%
Trade id #72292288
Max drawdown($1,500)
Time4/5/12 14:51
Quant open0
Worst price0.10
Drawdown as % of equity-3.41%
($1,690)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $190.00
4/2/12 12:07 BUY 70 TDW1219E60 TDW May19'12 60 call 0.50 4/5 14:51 0.15 5.56%
Trade id #72288303
Max drawdown($2,450)
Time4/5/12 14:51
Quant open0
Worst price0.15
Drawdown as % of equity-5.56%
($2,583)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $133.00
4/2/12 11:48 BUY 100 FRO1219E9 FRO May19'12 9 call 0.50 4/5 14:51 0.20 6.81%
Trade id #72287397
Max drawdown($3,000)
Time4/5/12 14:51
Quant open0
Worst price0.20
Drawdown as % of equity-6.81%
($3,190)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $190.00
4/2/12 11:38 BUY 200 PHM1219E10 PHM May19'12 10 call 0.23 4/5 14:46 0.11 5.22%
Trade id #72287113
Max drawdown($2,300)
Time4/5/12 14:25
Quant open200
Worst price0.11
Drawdown as % of equity-5.22%
($2,680)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $380.00
4/2/12 11:26 BUY 100 DHI1219E15 DHI May19'12 15 call 0.88 4/5 14:45 0.37 11.04%
Trade id #72286522
Max drawdown($5,070)
Time4/5/12 12:37
Quant open100
Worst price0.37
Drawdown as % of equity-11.04%
($5,260)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $190.00
4/3/12 9:53 BUY 20 WPRT1219E45 WPRT May19'12 45 call 1.45 4/4 13:37 0.60 2.81%
Trade id #72324911
Max drawdown($1,700)
Time4/4/12 13:37
Quant open0
Worst price0.60
Drawdown as % of equity-2.81%
($1,738)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $38.00
4/2/12 13:12 BUY 10 AMZN1219E220 AMZN May19'12 220 call 3.20 4/4 13:37 2.14 1.82%
Trade id #72290298
Max drawdown($1,100)
Time4/4/12 13:08
Quant open10
Worst price2.10
Drawdown as % of equity-1.82%
($1,079)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $19.00
4/2/12 11:36 BUY 50 EWC1219E30 EWC May19'12 30 call 0.20 4/2 11:36 0.05 0.67%
Trade id #72287013
Max drawdown($750)
Time4/2/12 11:36
Quant open0
Worst price0.05
Drawdown as % of equity-0.67%
($845)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $95.00
3/31/12 9:00 SELL 42,857 AAPL APPLE INC 84.00 4/2 11:16 85.24 49.43%
Trade id #72244372
Max drawdown($55,740)
Time4/2/12 9:48
Quant open-6,000
Worst price609.29
Drawdown as % of equity-49.43%
($53,966)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $857.15
3/31/12 9:00 SELL 8,000 CMG CHIPOTLE MEXICAN GRILL INC. 420.00 4/2 11:06 416.25 n/a $29,858
Includes Typical Broker Commission and AutoTrade Fees trade costs of $160.00
3/30/12 15:27 BUY 30 WPZ1219E55 WPZ May19'12 55 call 2.60 4/2 9:53 2.10 1.33%
Trade id #72240776
Max drawdown($1,500)
Time4/2/12 9:53
Quant open0
Worst price2.10
Drawdown as % of equity-1.33%
($1,557)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $57.00
3/23/12 15:02 BUY 40 ENB1221D35 ENB Apr21'12 35 call 3.45 4/2 9:53 4.00 0.31%
Trade id #71985008
Max drawdown($600)
Time3/23/12 15:16
Quant open20
Worst price2.90
Drawdown as % of equity-0.31%
$2,124
Includes Typical Broker Commission and AutoTrade Fees trade costs of $76.00
3/26/12 9:32 BUY 140 RAI1221D41 RAI Apr21'12 41 call 0.78 4/2 9:53 1.05 3.02%
Trade id #72016597
Max drawdown($3,850)
Time3/29/12 10:28
Quant open140
Worst price0.50
Drawdown as % of equity-3.02%
$3,584
Includes Typical Broker Commission and AutoTrade Fees trade costs of $266.00
3/26/12 14:16 BUY 10 AAPL1221P570 AAPL Apr21'12 570 put 5.60 4/2 9:53 4.75 2.08%
Trade id #72026050
Max drawdown($2,890)
Time3/28/12 9:45
Quant open10
Worst price2.71
Drawdown as % of equity-2.08%
($869)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $19.00
3/26/12 9:36 BUY 30 TDW1221D55 TDW Apr21'12 55 call 1.50 4/2 9:53 0.65 2.26%
Trade id #72017201
Max drawdown($2,550)
Time4/2/12 9:53
Quant open0
Worst price0.65
Drawdown as % of equity-2.26%
($2,607)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $57.00
3/30/12 15:18 BUY 50 ADM1219E32 ADM May19'12 32 call 0.89 4/2 9:53 1.01 0.09%
Trade id #72240563
Max drawdown($100)
Time4/2/12 9:32
Quant open50
Worst price0.87
Drawdown as % of equity-0.09%
$505
Includes Typical Broker Commission and AutoTrade Fees trade costs of $95.00
3/29/12 11:39 BUY 30 FAS1221P95 FAS Apr21'12 95 put 2.25 4/2 9:53 1.34 2.98%
Trade id #72174283
Max drawdown($3,290)
Time3/30/12 14:15
Quant open30
Worst price1.15
Drawdown as % of equity-2.98%
($2,777)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $57.00
3/30/12 15:28 BUY 50 MWE1219E60 MWE May19'12 60 call 0.65 4/2 9:53 0.45 0.89%
Trade id #72240793
Max drawdown($1,000)
Time4/2/12 9:53
Quant open0
Worst price0.45
Drawdown as % of equity-0.89%
($1,095)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $95.00
3/23/12 13:20 BUY 100 PHM1221D9 PHM Apr21'12 9 call 0.43 4/2 9:52 0.23 1.77%
Trade id #71982336
Max drawdown($2,000)
Time4/2/12 9:52
Quant open0
Worst price0.23
Drawdown as % of equity-1.77%
($2,190)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $190.00
3/23/12 13:09 BUY 100 PHM1219E10 PHM May19'12 10 call 0.31 4/2 9:52 0.19 1.06%
Trade id #71982006
Max drawdown($1,200)
Time4/2/12 9:52
Quant open0
Worst price0.19
Drawdown as % of equity-1.06%
($1,390)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $190.00

Statistics

  • Strategy began
    10/14/2010
  • Age
    51 months ago
  • What it trades
    Stocks
  • # Trades
    2880
  • # Profitable
    1206
  • % Profitable
    41.90%
  • Avg trade duration
    13.0 hours
  • Max peak-to-valley drawdown
    96.18%
  • drawdown period
    Aug 25, 2011 - April 24, 2012
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $1,490
  • Avg loss
    $1,118
  • W:L ratio
    0.96:1
  • GENERAL STATISTICS
  • Age
    1529
  • # Trades
    2880
  • Avg Trade Length
    0.5
  • PROFIT
  • Profit Factor
    1.0
  • SORTINO STATISTICS
  • Sortino Ratio
    -1.006
  • CALMAR STATISTICS
  • Calmar Ratio
    -0.430
  • Ann Return (w trading costs)
    n/a
  • SHARPE STATISTICS
  • Sharpe Ratio
    -0.795
  • Ann Return (Compnd, No Fees)
    -28.2%
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 50% account loss
    100.00%
  • PROFIT STATISTICS
  • APD
    -0.08
  • DRAW DOWN STATISTICS
  • Max Drawdown
    96.2%
  • POPULARITY STATISTICS
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • TOS STATISTICS
  • Trades Own System?
    0
  • TOS percent
    n/a
  • BILLING STATISTICS
  • Subscription Price
    $500
  • Billing Period (days)
    30
  • Trial Days
    60
  • WIN STATISTICS
  • Avg Loss
    $1,119
  • Avg Win
    $1,490
  • # Winners
    1206
  • # Losers
    1674
  • % Winners
    41.9%
  • TIME STATISTICS
  • Avg Position Time (mins)
    778.08
  • Avg Position Time (hrs)
    12.97
  • OWNER STATISTICS
  • Developer
    -
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35076
  • SD
    0.98612
  • Sharpe ratio (Glass type estimate)
    0.35570
  • Sharpe ratio (Hedges UMVUE)
    0.34672
  • df
    30.00000
  • t
    0.57171
  • p
    0.28589
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.86995
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.57550
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.87586
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.56930
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.55660
  • Upside Potential Ratio
    1.71598
  • Upside part of mean
    1.08139
  • Downside part of mean
    -0.73062
  • Upside SD
    0.74444
  • Downside SD
    0.63019
  • N nonnegative terms
    13.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.22248
  • Mean of criterion
    0.35076
  • SD of predictor
    0.17384
  • SD of criterion
    0.98612
  • Covariance
    -0.03275
  • r
    -0.19107
  • b (slope, estimate of beta)
    -1.08388
  • a (intercept, estimate of alpha)
    0.59191
  • Mean Square Error
    0.96925
  • DF error
    29.00000
  • t(b)
    -1.04825
  • p(b)
    0.84841
  • t(a)
    0.90464
  • p(a)
    0.18656
  • Lowerbound of 95% confidence interval for beta
    -3.19862
  • Upperbound of 95% confidence interval for beta
    1.03086
  • Lowerbound of 95% confidence interval for alpha
    -0.74629
  • Upperbound of 95% confidence interval for alpha
    1.93010
  • Treynor index (mean / b)
    -0.32362
  • Jensen alpha (a)
    0.59191
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.54669
  • SD
    1.79571
  • Sharpe ratio (Glass type estimate)
    -0.30444
  • Sharpe ratio (Hedges UMVUE)
    -0.29676
  • df
    30.00000
  • t
    -0.48932
  • p
    0.68591
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.52379
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.91988
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.51850
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.92499
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.32506
  • Upside Potential Ratio
    0.52957
  • Upside part of mean
    0.89064
  • Downside part of mean
    -1.43733
  • Upside SD
    0.56300
  • Downside SD
    1.68181
  • N nonnegative terms
    13.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.20639
  • Mean of criterion
    -0.54669
  • SD of predictor
    0.16879
  • SD of criterion
    1.79571
  • Covariance
    0.00567
  • r
    0.01871
  • b (slope, estimate of beta)
    0.19909
  • a (intercept, estimate of alpha)
    -0.58778
  • Mean Square Error
    3.33460
  • DF error
    29.00000
  • t(b)
    0.10080
  • p(b)
    0.46020
  • t(a)
    -0.48695
  • p(a)
    0.68502
  • Lowerbound of 95% confidence interval for beta
    -3.84060
  • Upperbound of 95% confidence interval for beta
    4.23878
  • Lowerbound of 95% confidence interval for alpha
    -3.05650
  • Upperbound of 95% confidence interval for alpha
    1.88094
  • Treynor index (mean / b)
    -2.74592
  • Jensen alpha (a)
    -0.58778
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.59270
  • Expected Shortfall on VaR
    0.66642
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.15061
  • Expected Shortfall on VaR
    0.32836
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    31.00000
  • Minimum
    0.06953
  • Quartile 1
    0.98111
  • Median
    1.00008
  • Quartile 3
    1.10255
  • Maximum
    1.97954
  • Mean of quarter 1
    0.76585
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.03515
  • Mean of quarter 4
    1.31989
  • Inter Quartile Range
    0.12144
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.09677
  • Mean of outliers low
    0.54262
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.09677
  • Mean of outliers high
    1.59792
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.05937
  • VaR(95%) (moments method)
    0.12870
  • Expected Shortfall (moments method)
    0.18316
  • Extreme Value Index (regression method)
    0.41730
  • VaR(95%) (regression method)
    0.30061
  • Expected Shortfall (regression method)
    0.68555
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.03770
  • Quartile 1
    0.13792
  • Median
    0.23815
  • Quartile 3
    0.59542
  • Maximum
    0.95270
  • Mean of quarter 1
    0.03770
  • Mean of quarter 2
    0.23815
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.95270
  • Inter Quartile Range
    0.45750
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.29035
  • Compounded annual return (geometric extrapolation)
    -0.41535
  • Calmar ratio (compounded annual return / max draw down)
    -0.43597
  • Compounded annual return / average of 25% largest draw downs
    -0.43597
  • Compounded annual return / Expected Shortfall lognormal
    -0.62325
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.31255
  • SD
    0.67846
  • Sharpe ratio (Glass type estimate)
    -0.46067
  • Sharpe ratio (Hedges UMVUE)
    -0.46028
  • df
    895.00000
  • t
    -0.74347
  • p
    0.77131
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.67517
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.75407
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.67490
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.75433
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.64763
  • Upside Potential Ratio
    4.13738
  • Upside part of mean
    1.99670
  • Downside part of mean
    -2.30925
  • Upside SD
    0.47663
  • Downside SD
    0.48260
  • N nonnegative terms
    221.00000
  • N negative terms
    675.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    896.00000
  • Mean of predictor
    0.22689
  • Mean of criterion
    -0.31255
  • SD of predictor
    0.19425
  • SD of criterion
    0.67846
  • Covariance
    0.00411
  • r
    0.03122
  • b (slope, estimate of beta)
    0.10904
  • a (intercept, estimate of alpha)
    -0.33729
  • Mean Square Error
    0.46037
  • DF error
    894.00000
  • t(b)
    0.93393
  • p(b)
    0.17530
  • t(a)
    -0.80068
  • p(a)
    0.78824
  • Lowerbound of 95% confidence interval for beta
    -0.12011
  • Upperbound of 95% confidence interval for beta
    0.33819
  • Lowerbound of 95% confidence interval for alpha
    -1.16404
  • Upperbound of 95% confidence interval for alpha
    0.48947
  • Treynor index (mean / b)
    -2.86633
  • Jensen alpha (a)
    -0.33729
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.54230
  • SD
    0.68191
  • Sharpe ratio (Glass type estimate)
    -0.79526
  • Sharpe ratio (Hedges UMVUE)
    -0.79460
  • df
    895.00000
  • t
    -1.28347
  • p
    0.90017
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.01005
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.41993
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.00959
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.42039
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.00650
  • Upside Potential Ratio
    3.52908
  • Upside part of mean
    1.90145
  • Downside part of mean
    -2.44375
  • Upside SD
    0.41837
  • Downside SD
    0.53880
  • N nonnegative terms
    221.00000
  • N negative terms
    675.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    896.00000
  • Mean of predictor
    0.20797
  • Mean of criterion
    -0.54230
  • SD of predictor
    0.19424
  • SD of criterion
    0.68191
  • Covariance
    0.00356
  • r
    0.02690
  • b (slope, estimate of beta)
    0.09445
  • a (intercept, estimate of alpha)
    -0.56194
  • Mean Square Error
    0.46518
  • DF error
    894.00000
  • t(b)
    0.80471
  • p(b)
    0.21060
  • t(a)
    -1.32748
  • p(a)
    0.90766
  • Lowerbound of 95% confidence interval for beta
    -0.13590
  • Upperbound of 95% confidence interval for beta
    0.32480
  • Lowerbound of 95% confidence interval for alpha
    -1.39274
  • Upperbound of 95% confidence interval for alpha
    0.26886
  • Treynor index (mean / b)
    -5.74173
  • Jensen alpha (a)
    -0.56194
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06017
  • Expected Shortfall on VaR
    0.07441
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01954
  • Expected Shortfall on VaR
    0.04320
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    896.00000
  • Minimum
    0.63430
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.50457
  • Mean of quarter 1
    0.97323
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02325
  • Inter Quartile Range
    0.00000
  • Number outliers low
    216.00000
  • Percentage of outliers low
    0.24107
  • Mean of outliers low
    0.97224
  • Number of outliers high
    221.00000
  • Percentage of outliers high
    0.24665
  • Mean of outliers high
    1.02356
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.06542
  • VaR(95%) (moments method)
    0.01018
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.50145
  • VaR(95%) (regression method)
    0.02076
  • Expected Shortfall (regression method)
    0.05899
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00009
  • Quartile 1
    0.01018
  • Median
    0.01974
  • Quartile 3
    0.04961
  • Maximum
    0.96008
  • Mean of quarter 1
    0.00376
  • Mean of quarter 2
    0.01461
  • Mean of quarter 3
    0.03452
  • Mean of quarter 4
    0.29101
  • Inter Quartile Range
    0.03943
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.51137
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.79088
  • VaR(95%) (moments method)
    0.25209
  • Expected Shortfall (moments method)
    1.36250
  • Extreme Value Index (regression method)
    1.11061
  • VaR(95%) (regression method)
    0.33618
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.28797
  • Compounded annual return (geometric extrapolation)
    -0.41277
  • Calmar ratio (compounded annual return / max draw down)
    -0.42994
  • Compounded annual return / average of 25% largest draw downs
    -1.41843
  • Compounded annual return / Expected Shortfall lognormal
    -5.54747
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00995
  • SD
    0.00016
  • Sharpe ratio (Glass type estimate)
    -61.99450
  • Sharpe ratio (Hedges UMVUE)
    -61.72220
  • df
    171.00000
  • t
    -43.83670
  • p
    0.99492
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -68.82660
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -54.61770
  • Statistics related to Sortino ratio
  • Sortino ratio
    -17.92320
  • Upside Potential Ratio
    0.18407
  • Upside part of mean
    0.00010
  • Downside part of mean
    -0.01005
  • Upside SD
    0.00007
  • Downside SD
    0.00056
  • N nonnegative terms
    1.00000
  • N negative terms
    171.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.23152
  • Mean of criterion
    -0.00995
  • SD of predictor
    0.14423
  • SD of criterion
    0.00016
  • Covariance
    0.00000
  • r
    0.00714
  • b (slope, estimate of beta)
    0.00001
  • a (intercept, estimate of alpha)
    -0.00995
  • Mean Square Error
    0.00000
  • DF error
    170.00000
  • t(b)
    0.09304
  • p(b)
    0.49643
  • t(a)
    -43.55370
  • p(a)
    0.97900
  • Lowerbound of 95% confidence interval for beta
    -0.00016
  • Upperbound of 95% confidence interval for beta
    0.00018
  • Lowerbound of 95% confidence interval for alpha
    -0.01040
  • Upperbound of 95% confidence interval for alpha
    -0.00950
  • Treynor index (mean / b)
    -1253.06000
  • Jensen alpha (a)
    -0.00995
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00995
  • SD
    0.00016
  • Sharpe ratio (Glass type estimate)
    -61.99360
  • Sharpe ratio (Hedges UMVUE)
    -61.72130
  • df
    171.00000
  • t
    -43.83610
  • p
    0.99492
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -68.82580
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -54.61690
  • Statistics related to Sortino ratio
  • Sortino ratio
    -17.92320
  • Upside Potential Ratio
    0.18407
  • Upside part of mean
    0.00010
  • Downside part of mean
    -0.01005
  • Upside SD
    0.00007
  • Downside SD
    0.00056
  • N nonnegative terms
    1.00000
  • N negative terms
    171.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.22115
  • Mean of criterion
    -0.00995
  • SD of predictor
    0.14370
  • SD of criterion
    0.00016
  • Covariance
    0.00000
  • r
    0.00716
  • b (slope, estimate of beta)
    0.00001
  • a (intercept, estimate of alpha)
    -0.00995
  • Mean Square Error
    0.00000
  • DF error
    170.00000
  • t(b)
    0.09333
  • p(b)
    0.49642
  • t(a)
    -43.56610
  • p(a)
    0.97901
  • Lowerbound of 95% confidence interval for beta
    -0.00016
  • Upperbound of 95% confidence interval for beta
    0.00018
  • Lowerbound of 95% confidence interval for alpha
    -0.01040
  • Upperbound of 95% confidence interval for alpha
    -0.00950
  • Treynor index (mean / b)
    -1244.53000
  • Jensen alpha (a)
    -0.00995
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00004
  • Expected Shortfall on VaR
    0.00005
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00003
  • Expected Shortfall on VaR
    0.00003
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.99992
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00008
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00581
  • Mean of outliers low
    0.99992
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00581
  • Mean of outliers high
    1.00008
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.00008
  • Quartile 1
    0.00008
  • Median
    0.00008
  • Quartile 3
    0.00008
  • Maximum
    0.00008
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

About the results you see on this Web site

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.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment. For any trading system on our Web site, we assume you will invest the amount that appears as the starting amount of that system's performance chart.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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