Titan 50 Leaders
Trades Own Strategy BrokerTransmit
- hypothetical · Annual Return (Compounded)
- 16.7%
- Max Drawdown
- 52.5%
- Trades
- 439
- Win Trades
- 56.0%
- Profit Factor
- 1.80
- Win Months
- 61.3%
About this strategy
Titan 50 Leaders is a systematic investment strategy focused on identifying leadership within the U.S. equity market.
The strategy selects 10 stocks from a universe composed of the 50 largest publicly traded companies in the United States, using a disciplined process based on relative strength, momentum, and factor investing principles.
Titan 50 Leaders is designed for investors seeking a rules-based approach that removes emotional decision-making and focuses instead on market leadership and trend persistence.
The portfolio is rebalanced monthly, typically on the last trading day of each month. Under certain market conditions, and following a Dual Momentum approach, the strategy may partially or fully allocate to cash in order to manage downside risk during unfavorable market environments.
Key characteristics of the strategy:
• Concentrated portfolio of 10 positions
• Long-only equity exposure
• No leverage or margin used
• Monthly systematic rebalancing
• Relative strength and momentum-driven selection process
• Risk management through adaptive cash exposure when required
The objective of Titan 50 Leaders is not to predict the market, but to systematically participate in strong market trends while maintaining a disciplined and repeatable investment process.
The strategy selects 10 stocks from a universe composed of the 50 largest publicly traded companies in the United States, using a disciplined process based on relative strength, momentum, and factor investing principles.
Titan 50 Leaders is designed for investors seeking a rules-based approach that removes emotional decision-making and focuses instead on market leadership and trend persistence.
The portfolio is rebalanced monthly, typically on the last trading day of each month. Under certain market conditions, and following a Dual Momentum approach, the strategy may partially or fully allocate to cash in order to manage downside risk during unfavorable market environments.
Key characteristics of the strategy:
• Concentrated portfolio of 10 positions
• Long-only equity exposure
• No leverage or margin used
• Monthly systematic rebalancing
• Relative strength and momentum-driven selection process
• Risk management through adaptive cash exposure when required
The objective of Titan 50 Leaders is not to predict the market, but to systematically participate in strong market trends while maintaining a disciplined and repeatable investment process.
Hedged Equity Trend-following
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2016 | 0.9 | 9.6 | 8.8 | 20.2 | |||||||||
| 2017 | 6.9 | -1.4 | 2.8 | -0.2 | 7.0 | -1.3 | 7.5 | 0.6 | 1.1 | 13.2 | -2.1 | -7.7 | 27.7 |
| 2018 | 10.2 | 2.4 | -4.2 | 0.0 | 3.2 | 1.4 | -3.8 | 7.0 | 3.0 | -13.3 | 1.2 | -7.0 | -2.3 |
| 2019 | 5.2 | 3.9 | 0.7 | 2.6 | -1.0 | 6.4 | 1.2 | 7.8 | -10.5 | 1.7 | 3.1 | 1.7 | 23.9 |
| 2020 | 8.0 | -6.4 | 22.8 | 8.4 | 1.2 | 4.0 | 12.5 | 0.2 | -3.4 | -7.6 | 8.3 | 2.3 | 58.0 |
| 2021 | -4.2 | -7.9 | -3.5 | 8.7 | -0.7 | 6.6 | 6.3 | 4.4 | -10.6 | 13.0 | 2.6 | 2.4 | 15.1 |
| 2022 | -11.2 | -6.9 | -6.9 | -23.9 | -2.4 | -11.9 | 7.6 | -1.6 | -3.4 | -4.0 | 0.5 | -0.8 | -50.6 |
| 2023 | 0.6 | 1.9 | 5.6 | 3.6 | 14.4 | 5.2 | 6.2 | 0.0 | -6.5 | 0.4 | 10.5 | 6.0 | 57.6 |
| 2024 | 10.4 | 15.7 | 2.2 | -6.6 | 7.1 | 3.8 | -6.7 | 1.7 | 2.1 | -0.2 | 10.1 | -3.1 | 39.9 |
| 2025 | 4.2 | -13.4 | -7.4 | 6.6 | 6.5 | 6.2 | 5.4 | -2.9 | 5.0 | 8.0 | -7.5 | -1.0 | 7.0 |
| 2026 | -1.6 | -5.8 | -4.8 | 21.3 | 14.8 | -4.8 | -7.0 | 7.6 | 17.0 |
Statistics
Overview
| Strategy began | 10/3/2016 |
|---|---|
| Suggested Minimum Capital | $15,000 |
| Age | 120 months |
| What it trades | Stocks |
| # Trades | 439 |
| # Profitable | 246 |
| % Profitable | 56.0% |
| Avg trade duration | 54.4 days |
| Max peak-to-valley drawdown | 52.5% |
| drawdown period | Dec 28, 2021 - Dec 16, 2022 |
| Annual Return (Compounded) | 16.7% |
| Avg win | $166 |
| Avg loss | $117 |
Ratios
| W:L ratio | 1.84 |
|---|---|
| Sharpe Ratio | 0.63 |
| Sortino Ratio | 0.90 |
| Calmar Ratio | 0.45 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.44 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 255.1% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 102.3% |
Return Statistics
| Ann Return (w trading costs) | 16.7% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.2% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 20.0% |
Slump
| Current Slump as Pcnt Equity | 6.5% |
|---|---|
| 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% |
| Short Options - Percent Covered | 100.0% |
| Percent Trades Stocks | 1.0% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 44.5% |
|---|---|
| Chance of 20% account loss | 16.0% |
| Chance of 30% account loss | 8.0% |
| Chance of 40% account loss | 1.5% |
| 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% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Popularity
| Popularity (Today) | 0 |
|---|---|
| Popularity (Last 6 weeks) | 854 |
| Popularity (7 days, Percentile 1000 scale) | 306 |
Trading Style
| Any stock shorts? 0/1 | 1 |
|---|
Trades-Own-System Certification
| Trades Own System? | 187247 |
|---|---|
| TOS percent | 100.0% |
Win / Loss
| Avg Loss | $117 |
|---|---|
| Avg Win | $166 |
| # Winners | 246 |
| Sum Trade PL (losers) | $22,490 |
| Sum Trade PL (winners) | $40,904 |
| Num Months Winners | 75 |
| # Losers | 193 |
| % Winners | 56.0% |
Dividends
| Dividends Received in Model Acct | 547 |
|---|
Age
| Num Months filled monthly returns table | 119 |
|---|
Frequency
| Avg Position Time (mins) | 78330.13 |
|---|---|
| Avg Position Time (hrs) | 1305.50 |
| Avg Trade Length | 54.40 |
| Last Trade Ago | 50 |
Leverage
| Daily leverage (average) | 1.31 |
|---|---|
| Daily leverage (max) | 4.01 |
Regression
| Alpha | 0.03 |
|---|---|
| Beta | 0.50 |
| Treynor Index | 0.09 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.01 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.03 |
| MAE:Equity, average, losing trades | 0.02 |
| MAE:Equity, losing trades only, 95th Percentile Value for this strat | — |
| MAE:Equity, average, winning trades | 0.01 |
| MAE:Equity, win trades only, 95th Percentile Value for this strat | — |
| Avg(MAE) / Avg(PL) - All trades | 3.08 |
| MAE:PL (avg, all trades) | -0.59 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 83.18 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 54.38 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.32 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.59 |
| Hold-and-Hope Ratio | 0.37 |
RATIO STATISTICS
| Mean | 0.18 |
|---|---|
| SD | 0.24 |
| Sharpe ratio (Glass type estimate) | 0.78 |
| Sharpe ratio (Hedges UMVUE) | 0.78 |
| df | 113 |
| t | 2.41 |
| p | 0.36 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.14 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.43 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.13 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.42 |
| Sortino ratio | 1.24 |
| Upside Potential Ratio | 2.77 |
| Upside part of mean | 0.41 |
| Downside part of mean | -0.23 |
| Upside SD | 0.19 |
| Downside SD | 0.15 |
| N nonnegative terms | 70 |
| N negative terms | 44 |
| N of observations | 114 |
| Mean of predictor | 0.12 |
| Mean of criterion | 0.18 |
| SD of predictor | 0.20 |
| SD of criterion | 0.24 |
| Covariance | 0.02 |
| r | 0.51 |
| b (slope, estimate of beta) | 0.61 |
| a (intercept, estimate of alpha) | 0.11 |
| Mean Square Error | 0.04 |
| DF error | 112 |
| t(b) | 6.29 |
| p(b) | 0.24 |
| t(a) | 1.63 |
| p(a) | 0.42 |
| Lowerbound of 95% confidence interval for beta | 0.42 |
| Upperbound of 95% confidence interval for beta | 0.80 |
| Lowerbound of 95% confidence interval for alpha | -0.02 |
| Upperbound of 95% confidence interval for alpha | 0.24 |
| Treynor index (mean / b) | 0.30 |
| Jensen alpha (a) | 0.11 |
| Mean | 0.16 |
| SD | 0.24 |
| Sharpe ratio (Glass type estimate) | 0.66 |
| Sharpe ratio (Hedges UMVUE) | 0.65 |
| df | 113 |
| t | 2.02 |
| p | 0.38 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.01 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.30 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.01 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.29 |
| Sortino ratio | 0.97 |
| Upside Potential Ratio | 2.46 |
| Upside part of mean | 0.39 |
| Downside part of mean | -0.24 |
| Upside SD | 0.18 |
| Downside SD | 0.16 |
| N nonnegative terms | 70 |
| N negative terms | 44 |
| N of observations | 114 |
| Mean of predictor | 0.10 |
| Mean of criterion | 0.16 |
| SD of predictor | 0.21 |
| SD of criterion | 0.24 |
| Covariance | 0.02 |
| r | 0.48 |
| b (slope, estimate of beta) | 0.54 |
| a (intercept, estimate of alpha) | 0.10 |
| Mean Square Error | 0.04 |
| DF error | 112 |
| t(b) | 5.75 |
| p(b) | 0.26 |
| t(a) | 1.46 |
| p(a) | 0.43 |
| Lowerbound of 95% confidence interval for beta | 0.35 |
| Upperbound of 95% confidence interval for beta | 0.73 |
| Lowerbound of 95% confidence interval for alpha | -0.04 |
| Upperbound of 95% confidence interval for alpha | 0.24 |
| Treynor index (mean / b) | 0.29 |
| Jensen alpha (a) | 0.10 |
| VaR(95%) | 0.10 |
| Expected Shortfall on VaR | 0.12 |
| VaR(95%) | 0.04 |
| Expected Shortfall on VaR | 0.08 |
| Mean | 0.18 |
| SD | 0.18 |
| Sharpe ratio (Glass type estimate) | 0.98 |
| Sharpe ratio (Hedges UMVUE) | 0.98 |
| df | 2504 |
| t | 3.03 |
| p | 0.00 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.34 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.61 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.34 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.61 |
| Sortino ratio | 1.39 |
| Upside Potential Ratio | 8.98 |
| Upside part of mean | 1.14 |
| Downside part of mean | -0.97 |
| Upside SD | 0.13 |
| Downside SD | 0.13 |
| N nonnegative terms | 1409 |
| N negative terms | 1096 |
| N of observations | 2505 |
| Mean of predictor | 0.12 |
| Mean of criterion | 0.18 |
| SD of predictor | 0.18 |
| SD of criterion | 0.18 |
| Covariance | 0.01 |
| r | 0.44 |
| b (slope, estimate of beta) | 0.43 |
| a (intercept, estimate of alpha) | 0.12 |
| Mean Square Error | 0.03 |
| DF error | 2503 |
| t(b) | 24.32 |
| p(b) | 0 |
| t(a) | 2.36 |
| p(a) | 0.01 |
| Lowerbound of 95% confidence interval for beta | 0.39 |
| Upperbound of 95% confidence interval for beta | 0.46 |
| Lowerbound of 95% confidence interval for alpha | 0.02 |
| Upperbound of 95% confidence interval for alpha | 0.23 |
| Treynor index (mean / b) | 0.41 |
| Jensen alpha (a) | 0.12 |
| Mean | 0.16 |
| SD | 0.18 |
| Sharpe ratio (Glass type estimate) | 0.89 |
| Sharpe ratio (Hedges UMVUE) | 0.89 |
| df | 2504 |
| t | 2.74 |
| p | 0.00 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.25 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 1.52 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.25 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.52 |
| Sortino ratio | 1.24 |
| Upside Potential Ratio | 8.80 |
| Upside part of mean | 1.14 |
| Downside part of mean | -0.98 |
| Upside SD | 0.13 |
| Downside SD | 0.13 |
| N nonnegative terms | 1409 |
| N negative terms | 1096 |
| N of observations | 2505 |
| Mean of predictor | 0.11 |
| Mean of criterion | 0.16 |
| SD of predictor | 0.19 |
| SD of criterion | 0.18 |
| Covariance | 0.01 |
| r | 0.44 |
| b (slope, estimate of beta) | 0.43 |
| a (intercept, estimate of alpha) | 0.12 |
| Mean Square Error | 0.03 |
| DF error | 2503 |
| t(b) | 24.28 |
| p(b) | 0 |
| t(a) | 2.19 |
| p(a) | 0.01 |
| Lowerbound of 95% confidence interval for beta | 0.39 |
| Upperbound of 95% confidence interval for beta | 0.46 |
| Lowerbound of 95% confidence interval for alpha | 0.01 |
| Upperbound of 95% confidence interval for alpha | 0.22 |
| Treynor index (mean / b) | 0.38 |
| Jensen alpha (a) | 0.12 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.02 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| Mean | 0.40 |
| SD | 0.20 |
| Sharpe ratio (Glass type estimate) | 1.98 |
| Sharpe ratio (Hedges UMVUE) | 1.97 |
| df | 130 |
| t | 1.40 |
| p | 0.44 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.81 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.76 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.82 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.75 |
| Sortino ratio | 3.07 |
| Upside Potential Ratio | 11.41 |
| Upside part of mean | 1.48 |
| Downside part of mean | -1.08 |
| Upside SD | 0.15 |
| Downside SD | 0.13 |
| N nonnegative terms | 73 |
| N negative terms | 58 |
| N of observations | 131 |
| Mean of predictor | 0.23 |
| Mean of criterion | 0.40 |
| SD of predictor | 0.14 |
| SD of criterion | 0.20 |
| Covariance | 0.02 |
| r | 0.78 |
| b (slope, estimate of beta) | 1.11 |
| a (intercept, estimate of alpha) | 0.14 |
| Mean Square Error | 0.02 |
| DF error | 129 |
| t(b) | 14.15 |
| p(b) | 0.06 |
| t(a) | 0.80 |
| p(a) | 0.46 |
| Lowerbound of 95% confidence interval for beta | 0.96 |
| Upperbound of 95% confidence interval for beta | 1.27 |
| Lowerbound of 95% confidence interval for alpha | -0.21 |
| Upperbound of 95% confidence interval for alpha | 0.50 |
| Treynor index (mean / b) | 0.36 |
| Jensen alpha (a) | 0.14 |
| Mean | 0.38 |
| SD | 0.20 |
| Sharpe ratio (Glass type estimate) | 1.88 |
| Sharpe ratio (Hedges UMVUE) | 1.87 |
| df | 130 |
| t | 1.33 |
| p | 0.44 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.91 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.65 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.91 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.65 |
| Sortino ratio | 2.88 |
| Upside Potential Ratio | 11.19 |
| Upside part of mean | 1.47 |
| Downside part of mean | -1.09 |
| Upside SD | 0.15 |
| Downside SD | 0.13 |
| N nonnegative terms | 73 |
| N negative terms | 58 |
| N of observations | 131 |
| Mean of predictor | 0.22 |
| Mean of criterion | 0.38 |
| SD of predictor | 0.14 |
| SD of criterion | 0.20 |
| Covariance | 0.02 |
| r | 0.78 |
| b (slope, estimate of beta) | 1.11 |
| a (intercept, estimate of alpha) | 0.13 |
| Mean Square Error | 0.02 |
| DF error | 129 |
| t(b) | 14.19 |
| p(b) | 0.06 |
| t(a) | 0.75 |
| p(a) | 0.46 |
| Lowerbound of 95% confidence interval for beta | 0.96 |
| VAR (95 Confidence Intrvl) | 0.02 |
| Upperbound of 95% confidence interval for beta | 1.27 |
| Lowerbound of 95% confidence interval for alpha | -0.22 |
| Upperbound of 95% confidence interval for alpha | 0.49 |
| Treynor index (mean / b) | 0.34 |
| Jensen alpha (a) | 0.13 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.02 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
ORDER STATISTICS
| Number of observations | 114 |
|---|---|
| Minimum | 0.77 |
| Quartile 1 | 0.98 |
| Median | 1.02 |
| Quartile 3 | 1.06 |
| Maximum | 1.18 |
| Mean of quarter 1 | 0.93 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.04 |
| Mean of quarter 4 | 1.10 |
| Inter Quartile Range | 0.08 |
| Number outliers low | 3 |
| Percentage of outliers low | 0.03 |
| Mean of outliers low | 0.82 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.01 |
| Mean of outliers high | 1.18 |
| Extreme Value Index (moments method) | 0.30 |
| VaR(95%) (moments method) | 0.06 |
| Expected Shortfall (moments method) | 0.11 |
| Extreme Value Index (regression method) | 0.04 |
| VaR(95%) (regression method) | 0.07 |
| Expected Shortfall (regression method) | 0.11 |
| Number of observations | 2505 |
| Minimum | 0.93 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.07 |
| 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 | 76 |
| Percentage of outliers low | 0.03 |
| Mean of outliers low | 0.97 |
| Number of outliers high | 47 |
| Percentage of outliers high | 0.02 |
| Mean of outliers high | 1.03 |
| Extreme Value Index (moments method) | 0.16 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.02 |
| Extreme Value Index (regression method) | 0.07 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.02 |
| Number of observations | 131 |
| Minimum | 0.96 |
| Quartile 1 | 0.99 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.04 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.01 |
| Mean of quarter 4 | 1.02 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 1 |
| Percentage of outliers low | 0.01 |
| Mean of outliers low | 0.96 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.01 |
| Mean of outliers high | 1.04 |
| Extreme Value Index (moments method) | 0.14 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.02 |
| Extreme Value Index (regression method) | 0.21 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.02 |
DRAW DOWN STATISTICS
| Number of observations | 15 |
|---|---|
| Minimum | 0.01 |
| Quartile 1 | 0.04 |
| Median | 0.09 |
| Quartile 3 | 0.13 |
| Maximum | 0.45 |
| Mean of quarter 1 | 0.02 |
| Mean of quarter 2 | 0.07 |
| Mean of quarter 3 | 0.10 |
| Mean of quarter 4 | 0.23 |
| Inter Quartile Range | 0.08 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.07 |
| Mean of outliers high | 0.45 |
| Extreme Value Index (moments method) | 0.36 |
| VaR(95%) (moments method) | 0.27 |
| Expected Shortfall (moments method) | 0.46 |
| Extreme Value Index (regression method) | 1.58 |
| VaR(95%) (regression method) | 0.34 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 78 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.02 |
| Quartile 3 | 0.06 |
| Maximum | 0.46 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.04 |
| 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 | 8 |
| Percentage of outliers high | 0.10 |
| Mean of outliers high | 0.21 |
| Extreme Value Index (moments method) | -0.23 |
| VaR(95%) (moments method) | 0.14 |
| Expected Shortfall (moments method) | 0.17 |
| Extreme Value Index (regression method) | -0.48 |
| VaR(95%) (regression method) | 0.14 |
| Expected Shortfall (regression method) | 0.17 |
| Number of observations | 9 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.01 |
| Quartile 3 | 0.03 |
| Maximum | 0.11 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.02 |
| Mean of quarter 4 | 0.09 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 2 |
| Percentage of outliers high | 0.22 |
| Mean of outliers high | 0.09 |
| Extreme Value Index (moments method) | -18.14 |
| VaR(95%) (moments method) | 0.07 |
| Expected Shortfall (moments method) | 0.07 |
| Extreme Value Index (regression method) | -1.54 |
| VaR(95%) (regression method) | 0.13 |
| Expected Shortfall (regression method) | 0.14 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -408665664 |
| Max Equity Drawdown (num days) | 353 |
| Last 4 Months - Pcnt Negative | 0.5% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.50 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.20 |
| Calmar ratio (compounded annual return / max draw down) | 0.45 |
| Compounded annual return / average of 25% largest draw downs | 0.86 |
| Compounded annual return / Expected Shortfall lognormal | 1.67 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.53 |
| Compounded annual return (geometric extrapolation) | 0.21 |
| Calmar ratio (compounded annual return / max draw down) | 0.45 |
| Compounded annual return / average of 25% largest draw downs | 1.45 |
| Compounded annual return / Expected Shortfall lognormal | 9.34 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.45 |
| Compounded annual return (geometric extrapolation) | 0.50 |
| Calmar ratio (compounded annual return / max draw down) | 4.64 |
| Compounded annual return / average of 25% largest draw downs | 5.43 |
| Compounded annual return / Expected Shortfall lognormal | 20.93 |
Trading record
Placed 203 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| KLAC | long | 1 | Jun 12, 2026 | Jun 30, 2026 | $64 |
| WMT | long | 1 | May 13, 2026 | Jun 1, 2026 | ($17) |
| VT | long | 3 | May 14, 2026 | Jun 1, 2026 | $7 |
| IWM | long | 1 | May 22, 2026 | Jun 1, 2026 | $2 |
| VGT | long | 2 | Apr 21, 2026 | May 13, 2026 | $24 |
| ORCL | long | 7 | Jul 1, 2025 | May 13, 2026 | ($27) |
| GS | long | 2 | Aug 1, 2025 | May 13, 2026 | $255 |
| GE | long | 6 | Jul 1, 2025 | May 13, 2026 | $224 |
| ETHA | long | 3 | Aug 5, 2025 | Sep 22, 2025 | $13 |
| JPM | long | 5 | Aug 1, 2025 | Sep 12, 2025 | $54 |
| INTU | long | 2 | Jul 1, 2025 | Sep 12, 2025 | ($134) |
| IBM | long | 5 | Jul 1, 2025 | Aug 1, 2025 | ($214) |
| PM | long | 8 | Jul 1, 2025 | Aug 1, 2025 | ($112) |
| NFLX | long | 1 | Jul 1, 2025 | Aug 1, 2025 | ($138) |
| MSFT | long | 3 | Jun 2, 2025 | Jul 1, 2025 | $95 |
| IBM | long | 10 | Jun 2, 2025 | Jul 1, 2025 | $295 |
| INTU | long | 2 | Jun 2, 2025 | Jul 1, 2025 | $32 |
| AVGO | long | 6 | Jun 2, 2025 | Jul 1, 2025 | $91 |
| GE | long | 6 | May 5, 2025 | Jul 1, 2025 | $240 |
| PM | long | 9 | Mar 3, 2025 | Jul 1, 2025 | $175 |
| PLTR | long | 14 | Mar 3, 2025 | Jul 1, 2025 | $477 |
| V | long | 8 | Mar 3, 2025 | Jul 1, 2025 | ($37) |
| T | long | 57 | May 5, 2025 | Jul 1, 2025 | $69 |
| KO | long | 19 | May 5, 2025 | Jun 2, 2025 | $4 |
| ABT | long | 10 | Mar 3, 2025 | Jun 2, 2025 | ($74) |
| BRK.B | long | 3 | May 5, 2025 | Jun 2, 2025 | ($51) |
| IBM | short | 1 | May 5, 2025 | May 5, 2025 | ($0) |
| META | long | 2 | Feb 3, 2025 | May 5, 2025 | ($203) |
| TMUS | long | 5 | Mar 3, 2025 | May 5, 2025 | ($131) |
| PM | short | 9 | Mar 3, 2025 | Mar 3, 2025 | ($1) |
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.