Super Commodity
- hypothetical · Annual Return (Compounded)
- 2.0%
- Max Drawdown
- 8.4%
- Trades
- 304
- Win Trades
- 39.5%
- Profit Factor
- 1.60
- Win Months
- 9.6%
About this strategy
----------------------------------
HISTORICAL RESULTS
----------------------------------
Download historical system results here:
http://www.coincollector.it/Super-Commodity-Portfolio_2190298.html
http://www.en.coincollector.ea23.com/Super-Commodity-Portfolio_2190454.html
------------------------------------------
ADDITIONAL INFORMATION
------------------------------------------
Subscribe our Blog "Trading Weeks" here:
http://tradingweeks.blogspot.com
See other our C2 trading systems here:
http://coincollector-blog-uk.blogspot.com
-----------
FEEDS
-----------
To read our Blog Trading Week subscribe the following feed:
http://feeds.feedburner.com/TradingWeek
To see other our C2 trading systems subscribe the following feed:
http://feeds.feedburner.com/TradingSystemsCollection
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SUPER COMMODITY FEATURES
---------------------------------------------------
Super Commodity must be considered a pattern recognition system, a system which searches graphic formations with preselected features, that determine particular rules the system uses to manage trades.
This trading system works completely automatically searching for specific patterns around markets, those highly profitable patterns with a good success percentage. From these studies Super Commodity System was born in order to use these points as very good launch points for its trades.
Some variations of the base system were also created, and these are used to diversificate the system's utilization based on different operative needs and on financial resources available. This is wgy Super Commodity Light, Super Mixer, Super Mixer Light and Sniper Commodity were born.
On the report results of my website can be consulted based on these different variables, others are possible and customizable on specific needs of the investors. There are also some links which show real results of some system's variants as a certification of this report.
-----------------------------------------------
OUR OTHER SYSTEMS ON C2
-----------------------------------------------
See other our C2 trading systems here:
http://coincollector-blog-uk.blogspot.com
Gold Survivor Intraday Portfolio: www.collective2.com/go/survivorintradayportfolio
Gold Survivor DayTrader: www.collective2.com/go/survivordaytrader
Gold Survivor Energy Portfolio: www.collective2.com/go/survivorenergyportfolio
Gold Survivor Eurex Brk: www.collective2.com/go/eurexbrk
Gold Survivor Eurex Mini Portfolio: www.collective2.com/go/survivoreurexminiportfolio
Gold Survivor Intraday Dax: www.collective2.com/go/survivordaxintraday
Gold Survivor Intraday Euro Fx: www.collective2.com/go/survivorintraeurofx
Gold Survivor Intraday Mini S&P: www.collective2.com/go/survivores
Sniper Commodity: www.collective2.com/go/snipercommodity
Super Mixer: www.collective2.com/go/supermixer
Super Mixer Light: www.collective2.com/go/supermixerlight
Super Forex: www.collective2.com/go/superforex
Super Forex Light: www.collective2.com/go/superforexlight
Super Stocks: www.collective2.com/go/superstocks
HISTORICAL RESULTS
----------------------------------
Download historical system results here:
http://www.coincollector.it/Super-Commodity-Portfolio_2190298.html
http://www.en.coincollector.ea23.com/Super-Commodity-Portfolio_2190454.html
------------------------------------------
ADDITIONAL INFORMATION
------------------------------------------
Subscribe our Blog "Trading Weeks" here:
http://tradingweeks.blogspot.com
See other our C2 trading systems here:
http://coincollector-blog-uk.blogspot.com
-----------
FEEDS
-----------
To read our Blog Trading Week subscribe the following feed:
http://feeds.feedburner.com/TradingWeek
To see other our C2 trading systems subscribe the following feed:
http://feeds.feedburner.com/TradingSystemsCollection
---------------------------------------------------
SUPER COMMODITY FEATURES
---------------------------------------------------
Super Commodity must be considered a pattern recognition system, a system which searches graphic formations with preselected features, that determine particular rules the system uses to manage trades.
This trading system works completely automatically searching for specific patterns around markets, those highly profitable patterns with a good success percentage. From these studies Super Commodity System was born in order to use these points as very good launch points for its trades.
Some variations of the base system were also created, and these are used to diversificate the system's utilization based on different operative needs and on financial resources available. This is wgy Super Commodity Light, Super Mixer, Super Mixer Light and Sniper Commodity were born.
On the report results of my website can be consulted based on these different variables, others are possible and customizable on specific needs of the investors. There are also some links which show real results of some system's variants as a certification of this report.
-----------------------------------------------
OUR OTHER SYSTEMS ON C2
-----------------------------------------------
See other our C2 trading systems here:
http://coincollector-blog-uk.blogspot.com
Gold Survivor Intraday Portfolio: www.collective2.com/go/survivorintradayportfolio
Gold Survivor DayTrader: www.collective2.com/go/survivordaytrader
Gold Survivor Energy Portfolio: www.collective2.com/go/survivorenergyportfolio
Gold Survivor Eurex Brk: www.collective2.com/go/eurexbrk
Gold Survivor Eurex Mini Portfolio: www.collective2.com/go/survivoreurexminiportfolio
Gold Survivor Intraday Dax: www.collective2.com/go/survivordaxintraday
Gold Survivor Intraday Euro Fx: www.collective2.com/go/survivorintraeurofx
Gold Survivor Intraday Mini S&P: www.collective2.com/go/survivores
Sniper Commodity: www.collective2.com/go/snipercommodity
Super Mixer: www.collective2.com/go/supermixer
Super Mixer Light: www.collective2.com/go/supermixerlight
Super Forex: www.collective2.com/go/superforex
Super Forex Light: www.collective2.com/go/superforexlight
Super Stocks: www.collective2.com/go/superstocks
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | 4.3 | 16.5 | 0.3 | 5.5 | 1.9 | 3.5 | 0.4 | 36.3 | |||||
| 2010 | -3.1 | 4.1 | -0.9 | 0.6 | -1.3 | 4.0 | 1.7 | -1.0 | -2.9 | -0.1 | 0.7 | -3.6 | -2.1 |
| 2011 | 2.6 | 1.5 | 3.3 | -0.1 | 1.8 | -2.3 | 0.3 | -4.2 | -1.2 | 0.7 | 3.1 | -0.1 | 5.2 |
| 2012 | 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 |
| 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 | 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 | 0.1 |
| 2015 | 0.1 | 0.0 | 0.0 | -0.0 | 0.0 | -0.0 | 0.0 | -0.0 | -0.0 | 0.0 | 0.0 | -0.0 | 0.1 |
| 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 | 0.0 |
Statistics
Overview
| Strategy began | 6/17/2009 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 211 months |
| What it trades | Futures |
| # Trades | 304 |
| # Profitable | 120 |
| % Profitable | 39.5% |
| Avg trade duration | 3.3 days |
| Max peak-to-valley drawdown | 8.4% |
| drawdown period | May 05, 2011 - Sept 15, 2011 |
| Annual Return (Compounded) | 2.0% |
| Avg win | $1,082 |
| Avg loss | $432 |
Ratios
| W:L ratio | 1.63 |
|---|---|
| Sharpe Ratio | 0.02 |
| Sortino Ratio | 0.03 |
| Calmar Ratio | 0.63 |
CORRELATION STATISTICS
| Correlation to SP500 | -0.02 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 752.1% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -713.1% |
Return Statistics
| Ann Return (w trading costs) | 2.0% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 2.4% |
Slump
| Current Slump as Pcnt Equity | 4.7% |
|---|---|
| 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 | 0.0% |
|---|---|
| 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 | $432 |
|---|---|
| Avg Win | $1,082 |
| # Winners | 120 |
| Sum Trade PL (losers) | $79,475 |
| Sum Trade PL (winners) | $129,819 |
| Num Months Winners | 39 |
| # Losers | 184 |
| % Winners | 39.5% |
Dividends
| Dividends Received in Model Acct | 0 |
|---|
Age
| Num Months filled monthly returns table | 209 |
|---|
Frequency
| Avg Position Time (mins) | 4751.52 |
|---|---|
| Avg Position Time (hrs) | 79.19 |
| Avg Trade Length | 3.30 |
| Last Trade Ago | 5440 |
Regression
| Alpha | 0 |
|---|---|
| Beta | 0 |
| Treynor Index | -0.09 |
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 | 3.38 |
| MAE:PL (avg, all trades) | -0.38 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 13.65 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 25.19 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.35 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.12 |
| Hold-and-Hope Ratio | 0.28 |
RATIO STATISTICS
| Mean | 0.06 |
|---|---|
| SD | 0.08 |
| Sharpe ratio (Glass type estimate) | 0.76 |
| Sharpe ratio (Hedges UMVUE) | 0.75 |
| df | 70 |
| t | 1.84 |
| p | 0.03 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.06 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.57 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.07 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.57 |
| Sortino ratio | 2.11 |
| Upside Potential Ratio | 3.19 |
| Upside part of mean | 0.09 |
| Downside part of mean | -0.03 |
| Upside SD | 0.07 |
| Downside SD | 0.03 |
| N nonnegative terms | 54 |
| N negative terms | 17 |
| N of observations | 71 |
| Mean of predictor | 0.39 |
| Mean of criterion | 0.06 |
| SD of predictor | 0.23 |
| SD of criterion | 0.08 |
| Covariance | 0.00 |
| r | 0.01 |
| b (slope, estimate of beta) | 0.00 |
| a (intercept, estimate of alpha) | 0.06 |
| Mean Square Error | 0.01 |
| DF error | 69 |
| t(b) | 0.11 |
| p(b) | 0.46 |
| t(a) | 1.59 |
| p(a) | 0.06 |
| Lowerbound of 95% confidence interval for beta | -0.08 |
| Upperbound of 95% confidence interval for beta | 0.09 |
| Lowerbound of 95% confidence interval for alpha | -0.01 |
| Upperbound of 95% confidence interval for alpha | 0.13 |
| Treynor index (mean / b) | 13.29 |
| Jensen alpha (a) | 0.06 |
| Mean | 0.06 |
| SD | 0.07 |
| Sharpe ratio (Glass type estimate) | 0.74 |
| Sharpe ratio (Hedges UMVUE) | 0.73 |
| df | 70 |
| t | 1.81 |
| p | 0.04 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.08 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.55 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.08 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.55 |
| Sortino ratio | 1.97 |
| Upside Potential Ratio | 3.04 |
| Upside part of mean | 0.09 |
| Downside part of mean | -0.03 |
| Upside SD | 0.07 |
| Downside SD | 0.03 |
| N nonnegative terms | 54 |
| N negative terms | 17 |
| N of observations | 71 |
| Mean of predictor | 0.36 |
| Mean of criterion | 0.06 |
| SD of predictor | 0.22 |
| SD of criterion | 0.07 |
| Covariance | 0.00 |
| r | 0.02 |
| b (slope, estimate of beta) | 0.01 |
| a (intercept, estimate of alpha) | 0.05 |
| Mean Square Error | 0.01 |
| DF error | 69 |
| t(b) | 0.14 |
| p(b) | 0.45 |
| t(a) | 1.56 |
| p(a) | 0.06 |
| Lowerbound of 95% confidence interval for beta | -0.07 |
| Upperbound of 95% confidence interval for beta | 0.09 |
| Lowerbound of 95% confidence interval for alpha | -0.01 |
| Upperbound of 95% confidence interval for alpha | 0.12 |
| Treynor index (mean / b) | 9.90 |
| Jensen alpha (a) | 0.05 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.04 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.01 |
| Mean | 0.06 |
| SD | 0.13 |
| Sharpe ratio (Glass type estimate) | 0.48 |
| Sharpe ratio (Hedges UMVUE) | 0.47 |
| df | 1555 |
| t | 1.16 |
| p | 0.48 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.33 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.28 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.33 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.28 |
| Sortino ratio | 0.71 |
| Upside Potential Ratio | 3.72 |
| Upside part of mean | 0.34 |
| Downside part of mean | -0.27 |
| Upside SD | 0.10 |
| Downside SD | 0.09 |
| N nonnegative terms | 1200 |
| N negative terms | 356 |
| N of observations | 1556 |
| Mean of predictor | 0.41 |
| Mean of criterion | 0.06 |
| SD of predictor | 0.30 |
| SD of criterion | 0.13 |
| Covariance | 0.01 |
| r | 0.18 |
| b (slope, estimate of beta) | 0.08 |
| a (intercept, estimate of alpha) | 0.03 |
| Mean Square Error | 0.02 |
| DF error | 1554 |
| t(b) | 7.27 |
| p(b) | 0.41 |
| t(a) | 0.56 |
| p(a) | 0.49 |
| Lowerbound of 95% confidence interval for beta | 0.06 |
| Upperbound of 95% confidence interval for beta | 0.10 |
| Lowerbound of 95% confidence interval for alpha | -0.08 |
| Upperbound of 95% confidence interval for alpha | 0.14 |
| Treynor index (mean / b) | 0.78 |
| Jensen alpha (a) | 0.03 |
| Mean | 0.05 |
| SD | 0.13 |
| Sharpe ratio (Glass type estimate) | 0.41 |
| Sharpe ratio (Hedges UMVUE) | 0.41 |
| df | 1555 |
| t | 0.99 |
| p | 0.48 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.40 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.21 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.40 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.21 |
| Sortino ratio | 0.59 |
| Upside Potential Ratio | 3.55 |
| Upside part of mean | 0.33 |
| Downside part of mean | -0.28 |
| Upside SD | 0.10 |
| Downside SD | 0.09 |
| N nonnegative terms | 1200 |
| N negative terms | 356 |
| N of observations | 1556 |
| Mean of predictor | 0.36 |
| Mean of criterion | 0.05 |
| SD of predictor | 0.30 |
| SD of criterion | 0.13 |
| Covariance | 0.01 |
| r | 0.18 |
| b (slope, estimate of beta) | 0.08 |
| a (intercept, estimate of alpha) | 0.03 |
| Mean Square Error | 0.02 |
| DF error | 1554 |
| t(b) | 7.26 |
| p(b) | 0.41 |
| t(a) | 0.47 |
| p(a) | 0.49 |
| Lowerbound of 95% confidence interval for beta | 0.06 |
| Upperbound of 95% confidence interval for beta | 0.10 |
| Lowerbound of 95% confidence interval for alpha | -0.08 |
| Upperbound of 95% confidence interval for alpha | 0.13 |
| Treynor index (mean / b) | 0.68 |
| Jensen alpha (a) | 0.03 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.00 |
| Mean | 0 |
| 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 | 0 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | 0 |
| Upside SD | 0 |
| Downside SD | 0 |
| N nonnegative terms | 131 |
| N negative terms | 0 |
| N of observations | 131 |
| Mean of predictor | 1.04 |
| Mean of criterion | 0 |
| SD of predictor | 0.35 |
| 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 |
| 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 | 0 |
| Upside Potential Ratio | 0 |
| Upside part of mean | 0 |
| Downside part of mean | 0 |
| Upside SD | 0 |
| Downside SD | 0 |
| N nonnegative terms | 131 |
| N negative terms | 0 |
| N of observations | 131 |
| Mean of predictor | 0.98 |
| Mean of criterion | 0 |
| SD of predictor | 0.35 |
| 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 |
| VAR (95 Confidence Intrvl) | 0.01 |
| 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 |
| VaR(95%) | 0 |
| Expected Shortfall on VaR | 0 |
| VaR(95%) | 0 |
| Expected Shortfall on VaR | 0 |
ORDER STATISTICS
| Number of observations | 71 |
|---|---|
| Minimum | 0.95 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1.00 |
| Maximum | 1.11 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.03 |
| Inter Quartile Range | 0.00 |
| Number outliers low | 15 |
| Percentage of outliers low | 0.21 |
| Mean of outliers low | 0.99 |
| Number of outliers high | 15 |
| Percentage of outliers high | 0.21 |
| Mean of outliers high | 1.03 |
| Extreme Value Index (moments method) | -3.49 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.00 |
| Extreme Value Index (regression method) | 0.50 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.02 |
| Number of observations | 1556 |
| Minimum | 0.91 |
| Quartile 1 | 1 |
| Median | 1 |
| Quartile 3 | 1.00 |
| Maximum | 1.09 |
| 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 | 0.00 |
| Number outliers low | 342 |
| Percentage of outliers low | 0.22 |
| Mean of outliers low | 1.00 |
| Number of outliers high | 365 |
| Percentage of outliers high | 0.23 |
| Mean of outliers high | 1.01 |
| Extreme Value Index (moments method) | 0.81 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.02 |
| Extreme Value Index (regression method) | 0.62 |
| VaR(95%) (regression method) | 0.00 |
| 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 | 6 |
|---|---|
| Minimum | 0.01 |
| Quartile 1 | 0.01 |
| Median | 0.02 |
| Quartile 3 | 0.05 |
| Maximum | 0.05 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.04 |
| Mean of quarter 4 | 0.05 |
| 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 | 21 |
| Minimum | 0.00 |
| Quartile 1 | 0.02 |
| Median | 0.04 |
| Quartile 3 | 0.07 |
| Maximum | 0.09 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.03 |
| Mean of quarter 3 | 0.05 |
| Mean of quarter 4 | 0.08 |
| Inter Quartile Range | 0.05 |
| 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) | -3.01 |
| VaR(95%) (moments method) | 0.08 |
| Expected Shortfall (moments method) | 0.08 |
| Extreme Value Index (regression method) | -1.30 |
| VaR(95%) (regression method) | 0.09 |
| Expected Shortfall (regression method) | 0.09 |
| 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? | -396888544 |
| Max Equity Drawdown (num days) | 133 |
| Last 4 Months - Pcnt Negative | 0.0% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.07 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.06 |
| Calmar ratio (compounded annual return / max draw down) | 1.05 |
| Compounded annual return / average of 25% largest draw downs | 1.10 |
| Compounded annual return / Expected Shortfall lognormal | 1.46 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.07 |
| Compounded annual return (geometric extrapolation) | 0.06 |
| Calmar ratio (compounded annual return / max draw down) | 0.63 |
| Compounded annual return / average of 25% largest draw downs | 0.70 |
| Compounded annual return / Expected Shortfall lognormal | 3.36 |
| 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 120 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| @SM Z1 | long | 2 | Nov 13, 2011 | Nov 16, 2011 | ($1,016) |
| @YG Z1 | short | 1 | Oct 30, 2011 | Oct 31, 2011 | $513 |
| @NQ Z1 | short | 2 | Oct 31, 2011 | Oct 31, 2011 | $1,214 |
| @EU Z1 | short | 1 | Oct 30, 2011 | Oct 31, 2011 | $3,667 |
| @SB H2 | short | 1 | Oct 18, 2011 | Oct 28, 2011 | $1,056 |
| @SB V1 | long | 1 | Sep 20, 2011 | Sep 20, 2011 | ($781) |
| @OJ X1 | short | 1 | Sep 9, 2011 | Sep 20, 2011 | ($8) |
| @QM X1 | short | 1 | Sep 16, 2011 | Sep 19, 2011 | $1,555 |
| @QM V1 | short | 1 | Sep 15, 2011 | Sep 16, 2011 | ($296) |
| @YM Z1 | short | 1 | Sep 7, 2011 | Sep 15, 2011 | ($318) |
| @CT Z1 | long | 1 | Sep 12, 2011 | Sep 12, 2011 | ($168) |
| @US Z1 | short | 1 | Sep 9, 2011 | Sep 12, 2011 | ($852) |
| @TY Z1 | short | 1 | Sep 6, 2011 | Sep 9, 2011 | ($836) |
| @O Z1 | short | 2 | Aug 29, 2011 | Sep 9, 2011 | $2,434 |
| @ES Z1 | short | 1 | Sep 7, 2011 | Sep 7, 2011 | ($96) |
| @NQ U1 | short | 1 | Sep 1, 2011 | Sep 7, 2011 | ($78) |
| QRB V1 | short | 1 | Sep 7, 2011 | Sep 7, 2011 | ($495) |
| @CT Z1 | short | 1 | Sep 7, 2011 | Sep 7, 2011 | ($118) |
| @CT Z1 | short | 1 | Sep 7, 2011 | Sep 7, 2011 | ($398) |
| @HE Z1 | long | 1 | Aug 22, 2011 | Sep 1, 2011 | ($1,098) |
| @LE V1 | long | 2 | Aug 26, 2011 | Aug 29, 2011 | ($16) |
| QNG X1 | long | 2 | Aug 26, 2011 | Aug 29, 2011 | ($1,276) |
| @BP U1 | short | 1 | Aug 22, 2011 | Aug 29, 2011 | ($8) |
| QRB V1 | short | 1 | Aug 29, 2011 | Aug 29, 2011 | ($462) |
| @SM Z1 | short | 2 | Aug 25, 2011 | Aug 26, 2011 | ($1,016) |
| @W Z1 | short | 1 | Aug 24, 2011 | Aug 25, 2011 | ($971) |
| @KW Z1 | short | 1 | Aug 18, 2011 | Aug 19, 2011 | ($8) |
| @HE Z1 | long | 1 | Aug 12, 2011 | Aug 18, 2011 | ($958) |
| @GF U1 | long | 1 | Aug 9, 2011 | Aug 17, 2011 | ($8) |
| @QG U1 | long | 2 | Aug 9, 2011 | Aug 15, 2011 | ($51) |
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.