Sage Volatility Margin
Trades Own Strategy BrokerTransmit
- hypothetical · Annual Return (Compounded)
- 20.9%
- Max Drawdown
- 34.9%
- Trades
- 1255
- Win Trades
- 32.7%
- Profit Factor
- 1.40
- Win Months
- 56.5%
About this strategy
I wouldn't call Volatility an asset class, but volatility products have incredible potential for significant and consistent gains...IF USED WELL!
Being short regular Volatility ETFs or long Inverse Volatility ETFs are winning strategies...MOST OF THE TIME.
The challenge is that when the VIX spikes or when the VIX futures curve is downward sloping instead of upward sloping, very significant losses can occur. Many people have built and back-tested models that attempt to move from long to short to neutral positions in the various Volatility ETFs, but almost all of them have one or both of these very significant flaws: 1) Failure to use "out of sample" back-testing and 2) Failure to protect against "black swan" events.
My strategies do the following:
- A position and weighting in the appropriate Volatility ETFs are established based on a multi-factor model which always uses out of sample back-testing to determine effectiveness.
- Volatility Options are always used to protect against significant short-term moves which left unchecked could result in the total loss of one's portfolio value; these options will usually lose money, but that is a small price to pay for the protection they provide. (Strategies should be scaled at a minimum of 20% to ensure options protection.)
Smart Volatility Margin - this is best strategy for regular brokerage accounts with margin and in which short selling is allowed. A mix of Long positions in Inverse Volatility ETPs and Short positions in Leveraged Volatility ETPs are typically held. Suggested minimum capital: $30,000 (using 20% scaling).
Smart Volatility IRA - this is the best strategy for IRA accounts in which short selling is not allowed. Long positions in Inverse Volatility ETFs are typically held. Suggested minimum capital: $30,000 (using 20% scaling).
Being short regular Volatility ETFs or long Inverse Volatility ETFs are winning strategies...MOST OF THE TIME.
The challenge is that when the VIX spikes or when the VIX futures curve is downward sloping instead of upward sloping, very significant losses can occur. Many people have built and back-tested models that attempt to move from long to short to neutral positions in the various Volatility ETFs, but almost all of them have one or both of these very significant flaws: 1) Failure to use "out of sample" back-testing and 2) Failure to protect against "black swan" events.
My strategies do the following:
- A position and weighting in the appropriate Volatility ETFs are established based on a multi-factor model which always uses out of sample back-testing to determine effectiveness.
- Volatility Options are always used to protect against significant short-term moves which left unchecked could result in the total loss of one's portfolio value; these options will usually lose money, but that is a small price to pay for the protection they provide. (Strategies should be scaled at a minimum of 20% to ensure options protection.)
Smart Volatility Margin - this is best strategy for regular brokerage accounts with margin and in which short selling is allowed. A mix of Long positions in Inverse Volatility ETPs and Short positions in Leveraged Volatility ETPs are typically held. Suggested minimum capital: $30,000 (using 20% scaling).
Smart Volatility IRA - this is the best strategy for IRA accounts in which short selling is not allowed. Long positions in Inverse Volatility ETFs are typically held. Suggested minimum capital: $30,000 (using 20% scaling).
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2016 | 27.9 | 15.1 | 19.9 | 5.5 | 7.6 | -3.6 | -8.8 | 9.5 | 93.1 | ||||
| 2017 | 24.8 | 1.3 | 16.2 | 0.1 | 3.7 | -1.7 | 10.6 | -14.0 | 13.6 | 9.0 | -2.8 | 3.1 | 77.1 |
| 2018 | -8.2 | 25.5 | -4.4 | 2.5 | 0.9 | -0.8 | 3.0 | 4.7 | 4.7 | -9.5 | 0.5 | 1.8 | 18.0 |
| 2019 | -7.5 | -2.3 | -4.2 | 7.2 | -7.1 | 0.6 | 0.2 | -2.1 | -0.5 | 11.2 | 9.9 | -0.6 | 2.8 |
| 2020 | -1.2 | 22.6 | 21.0 | 1.2 | 8.8 | -1.1 | 3.5 | 2.0 | -1.9 | 3.7 | -1.2 | 0.4 | 70.0 |
| 2021 | -3.9 | 9.6 | 10.2 | 0.9 | 2.2 | 5.8 | -8.6 | 4.9 | -10.6 | 11.3 | -4.6 | -0.4 | 14.8 |
| 2022 | -12.6 | -6.2 | 6.4 | -8.5 | 3.9 | -2.6 | 7.0 | -3.7 | -6.4 | 5.3 | 3.5 | 2.2 | -13.3 |
| 2023 | 0.5 | -1.0 | 13.3 | 5.0 | 1.8 | -2.8 | -2.7 | 6.2 | 0.0 | 6.8 | -3.2 | 2.6 | 28.3 |
| 2024 | -1.0 | -1.6 | 3.2 | -0.9 | 0.9 | 0.4 | -0.2 | -5.2 | -10.3 | -0.0 | -0.7 | -5.5 | -19.6 |
| 2025 | -3.4 | -5.4 | 2.5 | 7.5 | -0.2 | 3.4 | 6.5 | 3.4 | 3.0 | -10.2 | -2.3 | 10.4 | 14.3 |
| 2026 | -5.6 | -8.7 | -9.6 | 4.4 | 0.1 | 2.1 | -2.1 | 5.0 | -14.6 |
Statistics
Overview
| Strategy began | 5/18/2016 |
|---|---|
| Suggested Minimum Capital | $100,000 |
| Age | 125 months |
| C2 Rank | Top 6.2% |
| What it trades | Stocks, Options |
| # Trades | 1255 |
| # Profitable | 411 |
| % Profitable | 32.7% |
| Avg trade duration | 13.2 days |
| Max peak-to-valley drawdown | 34.9% |
| drawdown period | July 14, 2021 - May 10, 2022 |
| Annual Return (Compounded) | 20.9% |
| Avg win | $978 |
| Avg loss | $346 |
Ratios
| W:L ratio | 1.38 |
|---|---|
| Sharpe Ratio | 0.68 |
| Sortino Ratio | 1.01 |
| Calmar Ratio | 0.85 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.19 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 274.8% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 331.3% |
Return Statistics
| Ann Return (w trading costs) | 20.9% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.2% |
| Ann Return (Compnd, No Fees) | 23.7% |
Slump
| Current Slump as Pcnt Equity | 32.0% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.5% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.3% |
| Short Options - Percent Covered | 67.2% |
| Percent Trades Stocks | 0.7% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 39.0% |
|---|---|
| Chance of 20% account loss | 17.5% |
| Chance of 30% account loss | 3.5% |
| Chance of 40% account loss | 3.0% |
| 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) | 100.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Popularity
| Popularity (Today) | 450 |
|---|---|
| Popularity (Last 6 weeks) | 890 |
| C2 Score | 938 |
| Popularity (7 days, Percentile 1000 scale) | 731 |
Trading Style
| Any stock shorts? 0/1 | 1 |
|---|
Trades-Own-System Certification
| Trades Own System? | 186531 |
|---|---|
| TOS percent | 100.0% |
Win / Loss
| Avg Loss | $346 |
|---|---|
| Avg Win | $978 |
| # Winners | 411 |
| Sum Trade PL (losers) | $292,254 |
| Sum Trade PL (winners) | $401,882 |
| Num Months Winners | 71 |
| # Losers | 844 |
| % Winners | 32.8% |
Dividends
| Dividends Received in Model Acct | 2324 |
|---|
Age
| Num Months filled monthly returns table | 124 |
|---|
Frequency
| Avg Position Time (mins) | 19030.77 |
|---|---|
| Avg Position Time (hrs) | 317.18 |
| Avg Trade Length | 13.20 |
| Last Trade Ago | 1 |
Leverage
| Daily leverage (average) | 1.18 |
|---|---|
| Daily leverage (max) | 5.45 |
Regression
| Alpha | 0.05 |
|---|---|
| Beta | 0.26 |
| Treynor Index | 0.21 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.02 |
| 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 | 4.13 |
| MAE:PL (avg, all trades) | -0.40 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 36.42 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 46.18 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.31 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.20 |
| Hold-and-Hope Ratio | 0.25 |
RATIO STATISTICS
| Mean | 0.23 |
|---|---|
| SD | 0.28 |
| Sharpe ratio (Glass type estimate) | 0.82 |
| Sharpe ratio (Hedges UMVUE) | 0.81 |
| df | 115 |
| t | 2.53 |
| p | 0.35 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.17 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.45 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.17 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.45 |
| Sortino ratio | 1.74 |
| Upside Potential Ratio | 3.42 |
| Upside part of mean | 0.46 |
| Downside part of mean | -0.22 |
| Upside SD | 0.26 |
| Downside SD | 0.13 |
| N nonnegative terms | 67 |
| N negative terms | 49 |
| N of observations | 116 |
| Mean of predictor | 0.12 |
| Mean of criterion | 0.23 |
| SD of predictor | 0.15 |
| SD of criterion | 0.28 |
| Covariance | 0.00 |
| r | 0.04 |
| b (slope, estimate of beta) | 0.07 |
| a (intercept, estimate of alpha) | 0.22 |
| Mean Square Error | 0.08 |
| DF error | 114 |
| t(b) | 0.40 |
| p(b) | 0.48 |
| t(a) | 2.37 |
| p(a) | 0.39 |
| Lowerbound of 95% confidence interval for beta | -0.29 |
| Upperbound of 95% confidence interval for beta | 0.43 |
| Lowerbound of 95% confidence interval for alpha | 0.04 |
| Upperbound of 95% confidence interval for alpha | 0.41 |
| Treynor index (mean / b) | 3.19 |
| Jensen alpha (a) | 0.22 |
| Mean | 0.19 |
| SD | 0.27 |
| Sharpe ratio (Glass type estimate) | 0.72 |
| Sharpe ratio (Hedges UMVUE) | 0.71 |
| df | 115 |
| t | 2.24 |
| p | 0.37 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.08 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.36 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.08 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.35 |
| Sortino ratio | 1.36 |
| Upside Potential Ratio | 3.00 |
| Upside part of mean | 0.43 |
| Downside part of mean | -0.23 |
| Upside SD | 0.23 |
| Downside SD | 0.14 |
| N nonnegative terms | 67 |
| N negative terms | 49 |
| N of observations | 116 |
| Mean of predictor | 0.11 |
| Mean of criterion | 0.19 |
| SD of predictor | 0.15 |
| SD of criterion | 0.27 |
| Covariance | 0.00 |
| r | 0.05 |
| b (slope, estimate of beta) | 0.10 |
| a (intercept, estimate of alpha) | 0.18 |
| Mean Square Error | 0.07 |
| DF error | 114 |
| t(b) | 0.57 |
| p(b) | 0.47 |
| t(a) | 2.07 |
| p(a) | 0.40 |
| Lowerbound of 95% confidence interval for beta | -0.24 |
| Upperbound of 95% confidence interval for beta | 0.43 |
| Lowerbound of 95% confidence interval for alpha | 0.01 |
| Upperbound of 95% confidence interval for alpha | 0.36 |
| Treynor index (mean / b) | 2.01 |
| Jensen alpha (a) | 0.18 |
| VaR(95%) | 0.11 |
| Expected Shortfall on VaR | 0.13 |
| VaR(95%) | 0.04 |
| Expected Shortfall on VaR | 0.08 |
| Mean | 0.22 |
| SD | 0.24 |
| Sharpe ratio (Glass type estimate) | 0.95 |
| Sharpe ratio (Hedges UMVUE) | 0.95 |
| df | 2550 |
| t | 2.96 |
| p | 0.00 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.32 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.58 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.32 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.58 |
| Sortino ratio | 1.41 |
| Upside Potential Ratio | 7.64 |
| Upside part of mean | 1.22 |
| Downside part of mean | -1.00 |
| Upside SD | 0.18 |
| Downside SD | 0.16 |
| N nonnegative terms | 1371 |
| N negative terms | 1180 |
| N of observations | 2551 |
| Mean of predictor | 0.12 |
| Mean of criterion | 0.22 |
| SD of predictor | 0.18 |
| SD of criterion | 0.24 |
| Covariance | 0.01 |
| r | 0.19 |
| b (slope, estimate of beta) | 0.24 |
| a (intercept, estimate of alpha) | 0.20 |
| Mean Square Error | 0.05 |
| DF error | 2549 |
| t(b) | 9.60 |
| p(b) | 0 |
| t(a) | 2.60 |
| p(a) | 0.00 |
| Lowerbound of 95% confidence interval for beta | 0.19 |
| Upperbound of 95% confidence interval for beta | 0.29 |
| Lowerbound of 95% confidence interval for alpha | 0.05 |
| Upperbound of 95% confidence interval for alpha | 0.34 |
| Treynor index (mean / b) | 0.93 |
| Jensen alpha (a) | 0.19 |
| Mean | 0.20 |
| SD | 0.24 |
| Sharpe ratio (Glass type estimate) | 0.83 |
| Sharpe ratio (Hedges UMVUE) | 0.83 |
| df | 2550 |
| t | 2.60 |
| p | 0.00 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.20 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.46 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.20 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.46 |
| Sortino ratio | 1.20 |
| Upside Potential Ratio | 7.36 |
| Upside part of mean | 1.21 |
| Downside part of mean | -1.01 |
| Upside SD | 0.17 |
| Downside SD | 0.16 |
| N nonnegative terms | 1371 |
| N negative terms | 1180 |
| N of observations | 2551 |
| Mean of predictor | 0.11 |
| Mean of criterion | 0.20 |
| SD of predictor | 0.18 |
| SD of criterion | 0.24 |
| Covariance | 0.01 |
| r | 0.19 |
| b (slope, estimate of beta) | 0.24 |
| a (intercept, estimate of alpha) | 0.17 |
| Mean Square Error | 0.05 |
| DF error | 2549 |
| t(b) | 9.64 |
| p(b) | 0 |
| t(a) | 2.30 |
| p(a) | 0.01 |
| Lowerbound of 95% confidence interval for beta | 0.19 |
| Upperbound of 95% confidence interval for beta | 0.29 |
| Lowerbound of 95% confidence interval for alpha | 0.02 |
| Upperbound of 95% confidence interval for alpha | 0.32 |
| Treynor index (mean / b) | 0.82 |
| Jensen alpha (a) | 0.17 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.03 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| Mean | -0.03 |
| SD | 0.15 |
| Sharpe ratio (Glass type estimate) | -0.20 |
| Sharpe ratio (Hedges UMVUE) | -0.20 |
| df | 130 |
| t | -0.14 |
| p | 0.51 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -2.97 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.57 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -2.97 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.58 |
| Sortino ratio | -0.26 |
| Upside Potential Ratio | 6.41 |
| Upside part of mean | 0.75 |
| Downside part of mean | -0.78 |
| Upside SD | 0.09 |
| Downside SD | 0.12 |
| N nonnegative terms | 67 |
| N negative terms | 64 |
| N of observations | 131 |
| Mean of predictor | 0.30 |
| Mean of criterion | -0.03 |
| SD of predictor | 0.14 |
| SD of criterion | 0.15 |
| Covariance | 0.01 |
| r | 0.46 |
| b (slope, estimate of beta) | 0.48 |
| a (intercept, estimate of alpha) | -0.18 |
| Mean Square Error | 0.02 |
| DF error | 129 |
| t(b) | 5.85 |
| p(b) | 0.22 |
| t(a) | -0.92 |
| p(a) | 0.55 |
| Lowerbound of 95% confidence interval for beta | 0.32 |
| Upperbound of 95% confidence interval for beta | 0.64 |
| Lowerbound of 95% confidence interval for alpha | -0.55 |
| Upperbound of 95% confidence interval for alpha | 0.20 |
| Treynor index (mean / b) | -0.06 |
| Jensen alpha (a) | -0.18 |
| Mean | -0.04 |
| SD | 0.15 |
| Sharpe ratio (Glass type estimate) | -0.27 |
| Sharpe ratio (Hedges UMVUE) | -0.27 |
| df | 130 |
| t | -0.19 |
| p | 0.51 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.04 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.50 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.04 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.50 |
| Sortino ratio | -0.35 |
| Upside Potential Ratio | 6.27 |
| Upside part of mean | 0.74 |
| Downside part of mean | -0.78 |
| Upside SD | 0.09 |
| Downside SD | 0.12 |
| N nonnegative terms | 67 |
| N negative terms | 64 |
| N of observations | 131 |
| Mean of predictor | 0.29 |
| Mean of criterion | -0.04 |
| SD of predictor | 0.14 |
| SD of criterion | 0.15 |
| Covariance | 0.01 |
| r | 0.46 |
| b (slope, estimate of beta) | 0.49 |
| a (intercept, estimate of alpha) | -0.18 |
| Mean Square Error | 0.02 |
| DF error | 129 |
| t(b) | 5.91 |
| p(b) | 0.22 |
| t(a) | -0.96 |
| p(a) | 0.55 |
| Lowerbound of 95% confidence interval for beta | 0.32 |
| VAR (95 Confidence Intrvl) | 0.02 |
| Upperbound of 95% confidence interval for beta | 0.65 |
| Lowerbound of 95% confidence interval for alpha | -0.56 |
| Upperbound of 95% confidence interval for alpha | 0.20 |
| Treynor index (mean / b) | -0.08 |
| Jensen alpha (a) | -0.18 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.02 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
ORDER STATISTICS
| Number of observations | 116 |
|---|---|
| Minimum | 0.79 |
| Quartile 1 | 0.97 |
| Median | 1.01 |
| Quartile 3 | 1.05 |
| Maximum | 1.41 |
| Mean of quarter 1 | 0.94 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.03 |
| Mean of quarter 4 | 1.12 |
| Inter Quartile Range | 0.08 |
| Number outliers low | 2 |
| Percentage of outliers low | 0.02 |
| Mean of outliers low | 0.81 |
| Number of outliers high | 5 |
| Percentage of outliers high | 0.04 |
| Mean of outliers high | 1.27 |
| Extreme Value Index (moments method) | 0.15 |
| VaR(95%) (moments method) | 0.07 |
| Expected Shortfall (moments method) | 0.09 |
| Extreme Value Index (regression method) | -0.13 |
| VaR(95%) (regression method) | 0.05 |
| Expected Shortfall (regression method) | 0.07 |
| Number of observations | 2551 |
| Minimum | 0.88 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.22 |
| Mean of quarter 1 | 0.99 |
| 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 | 146 |
| Percentage of outliers low | 0.06 |
| Mean of outliers low | 0.97 |
| Number of outliers high | 140 |
| Percentage of outliers high | 0.05 |
| Mean of outliers high | 1.03 |
| Extreme Value Index (moments method) | 0.50 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.03 |
| Extreme Value Index (regression method) | 0.26 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.02 |
| Number of observations | 131 |
| Minimum | 0.95 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.00 |
| Maximum | 1.03 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 7 |
| Percentage of outliers low | 0.05 |
| Mean of outliers low | 0.98 |
| Number of outliers high | 6 |
| Percentage of outliers high | 0.05 |
| Mean of outliers high | 1.02 |
| Extreme Value Index (moments method) | 0.39 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.02 |
| Extreme Value Index (regression method) | 0.22 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.02 |
DRAW DOWN STATISTICS
| Number of observations | 13 |
|---|---|
| Minimum | 0.01 |
| Quartile 1 | 0.02 |
| Median | 0.06 |
| Quartile 3 | 0.21 |
| Maximum | 0.27 |
| Mean of quarter 1 | 0.02 |
| Mean of quarter 2 | 0.04 |
| Mean of quarter 3 | 0.15 |
| Mean of quarter 4 | 0.24 |
| Inter Quartile Range | 0.19 |
| 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) | -0.63 |
| VaR(95%) (moments method) | 0.26 |
| Expected Shortfall (moments method) | 0.27 |
| Extreme Value Index (regression method) | 0.17 |
| VaR(95%) (regression method) | 0.26 |
| Expected Shortfall (regression method) | 0.30 |
| Number of observations | 79 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.01 |
| Quartile 3 | 0.05 |
| Maximum | 0.30 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.03 |
| Mean of quarter 4 | 0.14 |
| Inter Quartile Range | 0.05 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 7 |
| Percentage of outliers high | 0.09 |
| Mean of outliers high | 0.24 |
| Extreme Value Index (moments method) | 0.33 |
| VaR(95%) (moments method) | 0.14 |
| Expected Shortfall (moments method) | 0.25 |
| Extreme Value Index (regression method) | -0.22 |
| VaR(95%) (regression method) | 0.16 |
| Expected Shortfall (regression method) | 0.20 |
| Number of observations | 7 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.00 |
| Quartile 3 | 0.01 |
| Maximum | 0.19 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.00 |
| Mean of quarter 3 | 0.00 |
| Mean of quarter 4 | 0.10 |
| Inter Quartile Range | 0.00 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.14 |
| Mean of outliers high | 0.19 |
| 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? | -367171072 |
| Max Equity Drawdown (num days) | 300 |
| Last 4 Months - Pcnt Negative | 0.2% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.77 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.25 |
| Calmar ratio (compounded annual return / max draw down) | 0.92 |
| Compounded annual return / average of 25% largest draw downs | 1.02 |
| Compounded annual return / Expected Shortfall lognormal | 1.85 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.81 |
| Compounded annual return (geometric extrapolation) | 0.25 |
| Calmar ratio (compounded annual return / max draw down) | 0.85 |
| Compounded annual return / average of 25% largest draw downs | 1.84 |
| Compounded annual return / Expected Shortfall lognormal | 8.72 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.01 |
| Compounded annual return (geometric extrapolation) | -0.01 |
| Calmar ratio (compounded annual return / max draw down) | -0.07 |
| Compounded annual return / average of 25% largest draw downs | -0.13 |
| Compounded annual return / Expected Shortfall lognormal | -0.68 |
Trading record
Placed 6714 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| NESR | long | 150 | Jul 24, 2026 | Aug 20, 2026 | $756 |
| JAAA | short | 800 | Aug 18, 2026 | Aug 18, 2026 | ($13) |
| JAAA | long | 800 | Aug 14, 2026 | Aug 17, 2026 | ($9) |
| JBBB | long | 1000 | Aug 13, 2026 | Aug 14, 2026 | ($50) |
| JAAA | long | 800 | Aug 11, 2026 | Aug 13, 2026 | ($14) |
| JBBB | long | 800 | Jul 31, 2026 | Aug 11, 2026 | $42 |
| VXX | long | 400 | Aug 4, 2026 | Aug 11, 2026 | ($262) |
| CVX | long | 20 | Aug 4, 2026 | Aug 7, 2026 | ($82) |
| LITE | long | 5 | Jul 30, 2026 | Aug 4, 2026 | $734 |
| BAND | long | 50 | Jul 22, 2026 | Aug 4, 2026 | ($644) |
| SEZL | long | 20 | Jul 16, 2026 | Aug 4, 2026 | ($212) |
| SVIX | long | 2000 | Jul 15, 2026 | Aug 4, 2026 | $584 |
| MXL | long | 50 | Jul 28, 2026 | Jul 30, 2026 | $301 |
| JAAA | long | 800 | Jul 16, 2026 | Jul 30, 2026 | $31 |
| MU | long | 5 | Jul 21, 2026 | Jul 24, 2026 | ($91) |
| PSX | long | 10 | Jul 21, 2026 | Jul 22, 2026 | $44 |
| NESR | long | 100 | Jul 16, 2026 | Jul 21, 2026 | $28 |
| QTTB | long | 130 | Jul 16, 2026 | Jul 21, 2026 | ($10) |
| AMD | long | 10 | Jul 16, 2026 | Jul 21, 2026 | $333 |
| JBBB | long | 1000 | Jul 15, 2026 | Jul 16, 2026 | ($16) |
| JAAA | long | 1000 | Jul 13, 2026 | Jul 15, 2026 | ($19) |
| JBBB | long | 1000 | Jul 10, 2026 | Jul 13, 2026 | ($38) |
| SVIX | long | 600 | Jun 26, 2026 | Jul 13, 2026 | $730 |
| JAAA | long | 1000 | Jul 7, 2026 | Jul 10, 2026 | $1 |
| JBBB | long | 1000 | Jun 30, 2026 | Jul 7, 2026 | ($29) |
| JAAA | long | 800 | Jun 29, 2026 | Jun 30, 2026 | ($168) |
| JBBB | long | 1000 | Jun 15, 2026 | Jun 29, 2026 | $6 |
| TNA | long | 92 | Jun 11, 2026 | Jun 18, 2026 | $628 |
| SVIX | long | 200 | Jun 16, 2026 | Jun 17, 2026 | ($58) |
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.