Multimentum
- hypothetical · Annual Return (Compounded)
- 8.0%
- Max Drawdown
- 54.5%
- Trades
- 320
- Win Trades
- 48.1%
- Profit Factor
- 2.50
- Win Months
- 61.0%
About this strategy
Multimentum is 2 systems in one. Half the account trades currencies using ETFS, and half the account trades non-currency ETFs using different rules.
5 reasons why Multimentum won't blow up (also see below for cautions)
1) Multimentum trades ETFs from the long side without
margin (though some ETFs are levered and/or inverse
products). ETFs represent ownership in many securities
sometimes spread across many countries. This makes it less
likely that an ETF will go to zero than that an options or
futures contract will expire worthless.
2) Multimentum is a global asset rotation type system. This means
that it can seek profits in many asset classes and
markets. Some other systems trade one particular market
only (such as QLD/QID). This means that Multimentum is less
likely to be caught in a situation where it has to slog
through un-favorable market conditions for the system which
may lead to whip-saws and related losses.
3) Multimentum doesn't buy dips, this means that it won't chase
an asset down buying the whole time. (dip-buy systems can be
profitable, but they can lead to large draw-downs on the way.)
4) Multimentum uses stop loss orders in the 12%-15% range. This
reduces the chance that any one trade will blow up the "fund".
5) One aspect of Multimentum is a check to see if an asset's
price is above its moving average. This feature means that
the system won't try to catch falling knives. If an ETF is
plunging in value Multimentum will stay away, or buy the
corresponding short ETF if the price and volume action are
favorable.
Warning: even trading systems with plausible sounding safety
features are still subject to loss. You should only invest
your "risk capital" in trading systems such as those found on
C2. "Risk capital" means that you can gladly replenish the
investment if large losses occur.
::System Description::
This system is basically a group of "expert systems". Each expert system looks at multi-period index data and use unique trend-following type strategies to determines which asset class(es) will perform the best in the near to medium term.
I chose to put "multi" in the system name because it follows multiple assets over multiple time frames using multiple diverse underlying strategies.
The system looks at price and volume momentum, it does use stops, it uses market orders, it maintains 1 or 2 open positions at a time, it trades just a few times a month, it does not use margin.
5 reasons why Multimentum won't blow up (also see below for cautions)
1) Multimentum trades ETFs from the long side without
margin (though some ETFs are levered and/or inverse
products). ETFs represent ownership in many securities
sometimes spread across many countries. This makes it less
likely that an ETF will go to zero than that an options or
futures contract will expire worthless.
2) Multimentum is a global asset rotation type system. This means
that it can seek profits in many asset classes and
markets. Some other systems trade one particular market
only (such as QLD/QID). This means that Multimentum is less
likely to be caught in a situation where it has to slog
through un-favorable market conditions for the system which
may lead to whip-saws and related losses.
3) Multimentum doesn't buy dips, this means that it won't chase
an asset down buying the whole time. (dip-buy systems can be
profitable, but they can lead to large draw-downs on the way.)
4) Multimentum uses stop loss orders in the 12%-15% range. This
reduces the chance that any one trade will blow up the "fund".
5) One aspect of Multimentum is a check to see if an asset's
price is above its moving average. This feature means that
the system won't try to catch falling knives. If an ETF is
plunging in value Multimentum will stay away, or buy the
corresponding short ETF if the price and volume action are
favorable.
Warning: even trading systems with plausible sounding safety
features are still subject to loss. You should only invest
your "risk capital" in trading systems such as those found on
C2. "Risk capital" means that you can gladly replenish the
investment if large losses occur.
::System Description::
This system is basically a group of "expert systems". Each expert system looks at multi-period index data and use unique trend-following type strategies to determines which asset class(es) will perform the best in the near to medium term.
I chose to put "multi" in the system name because it follows multiple assets over multiple time frames using multiple diverse underlying strategies.
The system looks at price and volume momentum, it does use stops, it uses market orders, it maintains 1 or 2 open positions at a time, it trades just a few times a month, it does not use margin.
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2010 | -7.9 | 2.6 | 5.8 | -4.9 | -7.6 | 3.5 | 2.6 | -7.2 | 1.5 | 1.1 | 3.3 | -8.3 | |
| 2011 | -0.3 | -1.8 | 4.2 | 1.0 | -3.7 | -8.9 | -1.6 | 4.6 | -10.0 | 0.3 | -0.7 | 1.3 | -15.4 |
| 2012 | 3.1 | -1.2 | -2.6 | 0.7 | 3.1 | 4.3 | -0.3 | -5.8 | 3.0 | 0.7 | -2.9 | -14.1 | -12.8 |
| 2013 | 5.1 | 1.0 | 3.1 | 0.2 | 0.1 | -13.5 | -9.3 | -7.2 | 7.2 | 10.7 | 2.9 | 0.9 | -1.5 |
| 2014 | -3.5 | 6.6 | 2.6 | 0.2 | 2.5 | 4.2 | -1.7 | 8.3 | -4.9 | 9.9 | 11.8 | 13.1 | 59.1 |
| 2015 | 5.3 | -1.2 | 1.9 | -10.5 | 0.3 | -4.3 | 18.8 | -12.2 | -0.1 | 8.3 | 11.4 | 7.9 | 23.5 |
| 2016 | 3.7 | 1.5 | -2.8 | -12.3 | -2.6 | 3.3 | 16.3 | -3.7 | -7.1 | -2.1 | -2.1 | -1.5 | -11.3 |
| 2017 | 4.8 | 5.9 | 2.3 | 3.1 | 4.0 | 1.5 | -1.8 | 3.2 | -2.0 | 1.8 | 1.4 | 2.2 | 29.8 |
| 2018 | 8.5 | -6.6 | -9.2 | 2.7 | 2.5 | -0.7 | 6.8 | 4.4 | -0.6 | -13.8 | 12.9 | -17.2 | -14.2 |
| 2019 | 14.6 | 3.8 | 4.1 | 3.0 | 0.5 | 0.0 | -1.2 | 3.8 | 2.5 | 3.0 | 5.6 | 49.5 | |
| 2020 | 6.3 | -11.9 | -14.0 | 18.5 | -5.4 | 3.2 | 9.1 | 0.0 | |||||
| 2021 | -17.0 | -1.5 | 4.1 | -0.8 | 9.6 | -3.2 | |||||||
| 2022 | -14.1 | -2.0 | 4.7 | -11.2 | -8.2 | -11.0 | 4.2 | 9.8 | -6.0 | -12.1 | 7.3 | -8.9 | -40.8 |
| 2023 | 12.3 | -6.2 | 1.9 | 8.4 | 0.1 | 6.1 | 8.7 | -3.9 | -10.5 | 1.7 | 10.5 | 8.5 | 40.9 |
| 2024 | 6.1 | 5.8 | 4.8 | -3.9 | 8.7 | 4.3 | 0.0 | 6.7 | 4.4 | 3.5 | -4.7 | 43.1 | |
| 2025 | 5.6 | -0.9 | -6.7 | -17.0 | 21.1 | 11.7 | 4.6 | 2.0 | 7.9 | 6.5 | -1.1 | -0.3 | 32.5 |
| 2026 | 9.9 | -2.3 | -6.1 | 9.7 | 4.6 | -3.6 | 0.5 | 8.3 | -0.5 |
Statistics
Overview
| Strategy began | 2/4/2010 |
|---|---|
| Suggested Minimum Capital | $97,179 |
| Age | 203 months |
| What it trades | Stocks |
| # Trades | 320 |
| # Profitable | 154 |
| % Profitable | 48.1% |
| Avg trade duration | 89.4 days |
| Max peak-to-valley drawdown | 54.5% |
| drawdown period | Feb 18, 2020 - Oct 14, 2022 |
| Annual Return (Compounded) | 8.0% |
| Avg win | $2,860 |
| Avg loss | $1,119 |
Ratios
| W:L ratio | 2.50 |
|---|---|
| Sharpe Ratio | 0.32 |
| Sortino Ratio | 0.46 |
| Calmar Ratio | 0.41 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.36 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 630.2% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -371.9% |
Return Statistics
| Ann Return (w trading costs) | 8.0% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.1% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 8.4% |
Slump
| Current Slump as Pcnt Equity | 1.9% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.0% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.0% |
| Percent Trades Stocks | 1.0% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 100.0% |
|---|---|
| Chance of 20% account loss | 100.0% |
| Chance of 30% account loss | 100.0% |
| Chance of 40% account loss | 6.7% |
| 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) | — |
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 | $1,119 |
|---|---|
| Avg Win | $2,860 |
| # Winners | 154 |
| Sum Trade PL (losers) | $185,730 |
| Sum Trade PL (winners) | $440,515 |
| Num Months Winners | 115 |
| # Losers | 166 |
| % Winners | 48.1% |
Dividends
| Dividends Received in Model Acct | 23368 |
|---|
Age
| Num Months filled monthly returns table | 189 |
|---|
Frequency
| Avg Position Time (mins) | 128753.50 |
|---|---|
| Avg Position Time (hrs) | 2145.89 |
| Avg Trade Length | 89.40 |
| Last Trade Ago | 4742 |
Regression
| Alpha | 0.01 |
|---|---|
| Beta | 0.47 |
| Treynor Index | 0.05 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.05 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.04 |
| MAE:Equity, average, losing trades | 0.08 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.02 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 4.93 |
| MAE:PL (avg, all trades) | -2.96 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 95.63 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 92.90 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.47 |
| Avg(MAE) / Avg(PL) - Losing trades | -5.45 |
| Hold-and-Hope Ratio | 0.21 |
RATIO STATISTICS
| Mean | 0.21 |
|---|---|
| SD | 0.28 |
| Sharpe ratio (Glass type estimate) | 0.74 |
| Sharpe ratio (Hedges UMVUE) | 0.73 |
| df | 87 |
| t | 2.00 |
| p | 0.02 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.01 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.47 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.00 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.47 |
| Sortino ratio | 1.28 |
| Upside Potential Ratio | 2.68 |
| Upside part of mean | 0.44 |
| Downside part of mean | -0.23 |
| Upside SD | 0.24 |
| Downside SD | 0.16 |
| N nonnegative terms | 54 |
| N negative terms | 34 |
| N of observations | 88 |
| Mean of predictor | 0.27 |
| Mean of criterion | 0.21 |
| SD of predictor | 0.25 |
| SD of criterion | 0.28 |
| Covariance | 0.02 |
| r | 0.32 |
| b (slope, estimate of beta) | 0.37 |
| a (intercept, estimate of alpha) | 0.11 |
| Mean Square Error | 0.07 |
| DF error | 86 |
| t(b) | 3.16 |
| p(b) | 0.00 |
| t(a) | 1.05 |
| p(a) | 0.15 |
| Lowerbound of 95% confidence interval for beta | 0.14 |
| Upperbound of 95% confidence interval for beta | 0.60 |
| Lowerbound of 95% confidence interval for alpha | -0.10 |
| Upperbound of 95% confidence interval for alpha | 0.32 |
| Treynor index (mean / b) | 0.57 |
| Jensen alpha (a) | 0.11 |
| Mean | 0.17 |
| SD | 0.28 |
| Sharpe ratio (Glass type estimate) | 0.60 |
| Sharpe ratio (Hedges UMVUE) | 0.60 |
| df | 87 |
| t | 1.63 |
| p | 0.05 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.13 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.33 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.13 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.33 |
| Sortino ratio | 0.93 |
| Upside Potential Ratio | 2.28 |
| Upside part of mean | 0.41 |
| Downside part of mean | -0.24 |
| Upside SD | 0.22 |
| Downside SD | 0.18 |
| N nonnegative terms | 54 |
| N negative terms | 34 |
| N of observations | 88 |
| Mean of predictor | 0.24 |
| Mean of criterion | 0.17 |
| SD of predictor | 0.22 |
| SD of criterion | 0.28 |
| Covariance | 0.02 |
| r | 0.36 |
| b (slope, estimate of beta) | 0.46 |
| a (intercept, estimate of alpha) | 0.06 |
| Mean Square Error | 0.07 |
| DF error | 86 |
| t(b) | 3.62 |
| p(b) | 0.00 |
| t(a) | 0.57 |
| p(a) | 0.29 |
| Lowerbound of 95% confidence interval for beta | 0.21 |
| Upperbound of 95% confidence interval for beta | 0.71 |
| Lowerbound of 95% confidence interval for alpha | -0.14 |
| Upperbound of 95% confidence interval for alpha | 0.26 |
| Treynor index (mean / b) | 0.37 |
| Jensen alpha (a) | 0.06 |
| VaR(95%) | 0.11 |
| Expected Shortfall on VaR | 0.14 |
| VaR(95%) | 0.04 |
| Expected Shortfall on VaR | 0.08 |
| Mean | 0.23 |
| SD | 0.30 |
| Sharpe ratio (Glass type estimate) | 0.76 |
| Sharpe ratio (Hedges UMVUE) | 0.76 |
| df | 1937 |
| t | 2.08 |
| p | 0.47 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.04 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.48 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.04 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.48 |
| Sortino ratio | 1.07 |
| Upside Potential Ratio | 7.30 |
| Upside part of mean | 1.54 |
| Downside part of mean | -1.32 |
| Upside SD | 0.21 |
| Downside SD | 0.21 |
| N nonnegative terms | 1067 |
| N negative terms | 871 |
| N of observations | 1938 |
| Mean of predictor | 0.29 |
| Mean of criterion | 0.23 |
| SD of predictor | 0.27 |
| SD of criterion | 0.30 |
| Covariance | 0.03 |
| r | 0.38 |
| b (slope, estimate of beta) | 0.41 |
| a (intercept, estimate of alpha) | 0.11 |
| Mean Square Error | 0.08 |
| DF error | 1936 |
| t(b) | 18.05 |
| p(b) | 0.31 |
| t(a) | 1.07 |
| p(a) | 0.49 |
| Lowerbound of 95% confidence interval for beta | 0.37 |
| Upperbound of 95% confidence interval for beta | 0.46 |
| Lowerbound of 95% confidence interval for alpha | -0.09 |
| Upperbound of 95% confidence interval for alpha | 0.31 |
| Treynor index (mean / b) | 0.55 |
| Jensen alpha (a) | 0.11 |
| Mean | 0.18 |
| SD | 0.30 |
| Sharpe ratio (Glass type estimate) | 0.61 |
| Sharpe ratio (Hedges UMVUE) | 0.61 |
| df | 1937 |
| t | 1.66 |
| p | 0.48 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.11 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.33 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.11 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.33 |
| Sortino ratio | 0.83 |
| Upside Potential Ratio | 6.95 |
| Upside part of mean | 1.52 |
| Downside part of mean | -1.34 |
| Upside SD | 0.20 |
| Downside SD | 0.22 |
| N nonnegative terms | 1067 |
| N negative terms | 871 |
| N of observations | 1938 |
| Mean of predictor | 0.25 |
| Mean of criterion | 0.18 |
| SD of predictor | 0.27 |
| SD of criterion | 0.30 |
| Covariance | 0.03 |
| r | 0.39 |
| b (slope, estimate of beta) | 0.44 |
| a (intercept, estimate of alpha) | 0.07 |
| Mean Square Error | 0.08 |
| DF error | 1936 |
| t(b) | 18.90 |
| p(b) | 0.30 |
| t(a) | 0.71 |
| p(a) | 0.49 |
| Lowerbound of 95% confidence interval for beta | 0.39 |
| Upperbound of 95% confidence interval for beta | 0.48 |
| Lowerbound of 95% confidence interval for alpha | -0.13 |
| Upperbound of 95% confidence interval for alpha | 0.27 |
| Treynor index (mean / b) | 0.41 |
| Jensen alpha (a) | 0.07 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.04 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| Mean | 2.24 |
| SD | 0.58 |
| Sharpe ratio (Glass type estimate) | 3.85 |
| Sharpe ratio (Hedges UMVUE) | 3.83 |
| df | 130 |
| t | 2.72 |
| p | 0.38 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 1.03 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 6.65 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.02 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 6.64 |
| Sortino ratio | 6.58 |
| Upside Potential Ratio | 14.19 |
| Upside part of mean | 4.83 |
| Downside part of mean | -2.59 |
| Upside SD | 0.49 |
| Downside SD | 0.34 |
| N nonnegative terms | 84 |
| N negative terms | 47 |
| N of observations | 131 |
| Mean of predictor | 1.38 |
| Mean of criterion | 2.24 |
| SD of predictor | 0.35 |
| SD of criterion | 0.58 |
| Covariance | 0.18 |
| r | 0.86 |
| b (slope, estimate of beta) | 1.44 |
| a (intercept, estimate of alpha) | 0.26 |
| Mean Square Error | 0.09 |
| DF error | 129 |
| t(b) | 19.32 |
| p(b) | 0.03 |
| t(a) | 0.60 |
| p(a) | 0.47 |
| Lowerbound of 95% confidence interval for beta | 1.29 |
| Upperbound of 95% confidence interval for beta | 1.59 |
| Lowerbound of 95% confidence interval for alpha | -0.59 |
| Upperbound of 95% confidence interval for alpha | 1.11 |
| Treynor index (mean / b) | 1.56 |
| Jensen alpha (a) | 0.26 |
| Mean | 2.07 |
| SD | 0.58 |
| Sharpe ratio (Glass type estimate) | 3.58 |
| Sharpe ratio (Hedges UMVUE) | 3.56 |
| df | 130 |
| t | 2.53 |
| p | 0.39 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.77 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 6.38 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.75 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 6.36 |
| Sortino ratio | 5.89 |
| Upside Potential Ratio | 13.45 |
| Upside part of mean | 4.72 |
| Downside part of mean | -2.65 |
| Upside SD | 0.47 |
| Downside SD | 0.35 |
| N nonnegative terms | 84 |
| N negative terms | 47 |
| N of observations | 131 |
| Mean of predictor | 1.32 |
| Mean of criterion | 2.07 |
| SD of predictor | 0.35 |
| SD of criterion | 0.58 |
| Covariance | 0.17 |
| r | 0.86 |
| b (slope, estimate of beta) | 1.44 |
| a (intercept, estimate of alpha) | 0.18 |
| Mean Square Error | 0.09 |
| DF error | 129 |
| t(b) | 19.39 |
| p(b) | 0.03 |
| t(a) | 0.42 |
| p(a) | 0.48 |
| Lowerbound of 95% confidence interval for beta | 1.29 |
| VAR (95 Confidence Intrvl) | 0.03 |
| Upperbound of 95% confidence interval for beta | 1.58 |
| Lowerbound of 95% confidence interval for alpha | -0.66 |
| Upperbound of 95% confidence interval for alpha | 1.02 |
| Treynor index (mean / b) | 1.44 |
| Jensen alpha (a) | 0.18 |
| VaR(95%) | 0.05 |
| Expected Shortfall on VaR | 0.06 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.04 |
ORDER STATISTICS
| Number of observations | 88 |
|---|---|
| Minimum | 0.71 |
| Quartile 1 | 0.98 |
| Median | 1.01 |
| Quartile 3 | 1.04 |
| Maximum | 1.27 |
| Mean of quarter 1 | 0.93 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.03 |
| Mean of quarter 4 | 1.11 |
| Inter Quartile Range | 0.06 |
| Number outliers low | 3 |
| Percentage of outliers low | 0.03 |
| Mean of outliers low | 0.80 |
| Number of outliers high | 7 |
| Percentage of outliers high | 0.08 |
| Mean of outliers high | 1.20 |
| Extreme Value Index (moments method) | 0.15 |
| VaR(95%) (moments method) | 0.06 |
| Expected Shortfall (moments method) | 0.09 |
| Extreme Value Index (regression method) | 0.43 |
| VaR(95%) (regression method) | 0.06 |
| Expected Shortfall (regression method) | 0.11 |
| Number of observations | 1938 |
| Minimum | 0.86 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.14 |
| Mean of quarter 1 | 0.98 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.02 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 115 |
| Percentage of outliers low | 0.06 |
| Mean of outliers low | 0.96 |
| Number of outliers high | 106 |
| Percentage of outliers high | 0.05 |
| Mean of outliers high | 1.04 |
| Extreme Value Index (moments method) | 0.50 |
| VaR(95%) (moments method) | 0.02 |
| Expected Shortfall (moments method) | 0.04 |
| Extreme Value Index (regression method) | 0.28 |
| VaR(95%) (regression method) | 0.02 |
| Expected Shortfall (regression method) | 0.03 |
| Number of observations | 131 |
| Minimum | 0.90 |
| Quartile 1 | 0.99 |
| Median | 1.01 |
| Quartile 3 | 1.03 |
| Maximum | 1.14 |
| Mean of quarter 1 | 0.96 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.02 |
| Mean of quarter 4 | 1.05 |
| Inter Quartile Range | 0.04 |
| Number outliers low | 1 |
| Percentage of outliers low | 0.01 |
| Mean of outliers low | 0.90 |
| Number of outliers high | 2 |
| Percentage of outliers high | 0.02 |
| Mean of outliers high | 1.12 |
| Extreme Value Index (moments method) | -0.88 |
| VaR(95%) (moments method) | 0.03 |
| Expected Shortfall (moments method) | 0.03 |
| Extreme Value Index (regression method) | -0.39 |
| VaR(95%) (regression method) | 0.04 |
| Expected Shortfall (regression method) | 0.05 |
DRAW DOWN STATISTICS
| Number of observations | 9 |
|---|---|
| Minimum | 0.03 |
| Quartile 1 | 0.07 |
| Median | 0.11 |
| Quartile 3 | 0.22 |
| Maximum | 0.31 |
| Mean of quarter 1 | 0.06 |
| Mean of quarter 2 | 0.11 |
| Mean of quarter 3 | 0.17 |
| Mean of quarter 4 | 0.28 |
| Inter Quartile Range | 0.14 |
| 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) | -2.35 |
| VaR(95%) (moments method) | 0.29 |
| Expected Shortfall (moments method) | 0.30 |
| Extreme Value Index (regression method) | -0.32 |
| VaR(95%) (regression method) | 0.33 |
| Expected Shortfall (regression method) | 0.36 |
| Number of observations | 30 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.02 |
| Quartile 3 | 0.13 |
| Maximum | 0.49 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.06 |
| Mean of quarter 4 | 0.24 |
| Inter Quartile Range | 0.12 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.03 |
| Mean of outliers high | 0.49 |
| Extreme Value Index (moments method) | -0.20 |
| VaR(95%) (moments method) | 0.25 |
| Expected Shortfall (moments method) | 0.31 |
| Extreme Value Index (regression method) | 0.12 |
| VaR(95%) (regression method) | 0.22 |
| Expected Shortfall (regression method) | 0.29 |
| Number of observations | 21 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.02 |
| Quartile 3 | 0.07 |
| Maximum | 0.22 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.02 |
| Mean of quarter 3 | 0.05 |
| Mean of quarter 4 | 0.13 |
| Inter Quartile Range | 0.06 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.05 |
| Mean of outliers high | 0.22 |
| Extreme Value Index (moments method) | 0.33 |
| VaR(95%) (moments method) | 0.14 |
| Expected Shortfall (moments method) | 0.22 |
| Extreme Value Index (regression method) | 2.00 |
| VaR(95%) (regression method) | 0.13 |
| Expected Shortfall (regression method) | 0 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -382544704 |
| Max Equity Drawdown (num days) | 969 |
| Last 4 Months - Pcnt Negative | 0.5% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.33 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.18 |
| Calmar ratio (compounded annual return / max draw down) | 0.59 |
| Compounded annual return / average of 25% largest draw downs | 0.65 |
| Compounded annual return / Expected Shortfall lognormal | 1.30 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.38 |
| Compounded annual return (geometric extrapolation) | 0.20 |
| Calmar ratio (compounded annual return / max draw down) | 0.41 |
| Compounded annual return / average of 25% largest draw downs | 0.84 |
| Compounded annual return / Expected Shortfall lognormal | 5.44 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 3.62 |
| Compounded annual return (geometric extrapolation) | 6.91 |
| Calmar ratio (compounded annual return / max draw down) | 31.62 |
| Compounded annual return / average of 25% largest draw downs | 55.08 |
| Compounded annual return / Expected Shortfall lognormal | 108.71 |
Trading record
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| DEE | long | 70 | Jun 10, 2013 | Jun 17, 2013 | ($168) |
| DYY | long | 343 | Jun 3, 2013 | Jun 10, 2013 | ($110) |
| FXP | long | 5 | Jun 3, 2013 | Jun 10, 2013 | $18 |
| DEE | long | 191 | May 20, 2013 | Jun 5, 2013 | ($1,044) |
| XPP | long | 3 | May 20, 2013 | Jun 3, 2013 | ($17) |
| TMF | long | 248 | Apr 22, 2013 | Jun 3, 2013 | ($2,772) |
| DYY | long | 685 | May 6, 2013 | May 20, 2013 | ($272) |
| FXP | long | 107 | Apr 1, 2013 | May 20, 2013 | ($343) |
| DYY | long | 341 | Apr 1, 2013 | Apr 22, 2013 | ($242) |
| TMV | long | 297 | Mar 19, 2013 | Apr 22, 2013 | ($2,496) |
| XPP | long | 107 | Mar 4, 2013 | Apr 1, 2013 | ($405) |
| TMF | long | 328 | Jan 7, 2013 | Mar 19, 2013 | ($984) |
| FXP | long | 17 | Feb 25, 2013 | Mar 4, 2013 | $67 |
| DYY | long | 1091 | Feb 11, 2013 | Mar 4, 2013 | ($600) |
| XPP | long | 705 | Jan 14, 2013 | Feb 25, 2013 | ($1,357) |
| DZZ | long | 4464 | Jan 14, 2013 | Feb 19, 2013 | $1,403 |
| DEE | long | 55 | Jan 28, 2013 | Feb 11, 2013 | $184 |
| FXP | long | 4 | Jan 7, 2013 | Jan 14, 2013 | ($2) |
| DGP | long | 458 | Nov 19, 2012 | Jan 14, 2013 | ($662) |
| DEE | long | 708 | Dec 19, 2012 | Jan 9, 2013 | ($980) |
| TMV | long | 385 | Dec 31, 2012 | Jan 7, 2013 | $1,359 |
| XPP | long | 12 | Dec 31, 2012 | Jan 7, 2013 | $34 |
| FXP | long | 273 | Nov 26, 2012 | Dec 31, 2012 | ($2,317) |
| TMF | long | 714 | Nov 12, 2012 | Dec 31, 2012 | ($4,224) |
| DYY | long | 854 | Nov 26, 2012 | Dec 19, 2012 | $255 |
| XPP | long | 261 | Nov 12, 2012 | Nov 26, 2012 | $610 |
| DEE | long | 674 | Nov 1, 2012 | Nov 26, 2012 | $119 |
| DZZ | long | 1851 | Nov 12, 2012 | Nov 19, 2012 | $32 |
| FXP | long | 38 | Oct 31, 2012 | Nov 12, 2012 | $72 |
| TMV | long | 84 | Oct 31, 2012 | Nov 12, 2012 | ($392) |
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.