Evolutionary Trading
- hypothetical · Annual Return (Compounded)
- 27.6%
- Max Drawdown
- 23.4%
- Trades
- 1155
- Win Trades
- 61.7%
- Profit Factor
- 1.60
- Win Months
- 62.9%
About this strategy
Our system focuses exclusively on highly liquid, large-cap U.S. equities with:
Market capitalizations above $10 billion
At least 5 years of historical market data
Strong average daily trading volume, typically near or above 1 million shares per day
The trading universe includes over 90% of the S&P 500 along with several other well-known market leaders. By concentrating on established, liquid stocks, the strategy avoids thinly traded names and emphasizes consistency, execution quality, and risk management.
How Are Trade Entries Selected?
Trade entries are generated using our proprietary Trading Monkey Framework, an evolutionary modeling system designed to identify high-probability trading opportunities.
The framework uses a process inspired by natural selection and machine learning:
Millions of trading model variations are created and tested against historical market data
Models compete based on performance metrics such as expectancy, consistency, and efficiency
The strongest models evolve through reproduction and mutation, while weaker models are eliminated
Over countless optimization cycles, highly refined trading models emerge
The primary objective of the system is simple:
Identify moments when a stock has the highest probability of making a significant move in the shortest possible period of time.
The result is a systematic, data-driven approach focused on capturing momentum and asymmetric risk/reward opportunities while removing emotion from the trading process.
Strategy Philosophy
This is not a “buy and hope” strategy. Every position is selected using quantitative analysis, historical pattern recognition, and continuously evolved models designed to adapt to changing market conditions.
The goal is to deliver:
High-quality entry timing
Disciplined exits
Shorter holding periods when possible
Consistent risk-adjusted returns over time
Market capitalizations above $10 billion
At least 5 years of historical market data
Strong average daily trading volume, typically near or above 1 million shares per day
The trading universe includes over 90% of the S&P 500 along with several other well-known market leaders. By concentrating on established, liquid stocks, the strategy avoids thinly traded names and emphasizes consistency, execution quality, and risk management.
How Are Trade Entries Selected?
Trade entries are generated using our proprietary Trading Monkey Framework, an evolutionary modeling system designed to identify high-probability trading opportunities.
The framework uses a process inspired by natural selection and machine learning:
Millions of trading model variations are created and tested against historical market data
Models compete based on performance metrics such as expectancy, consistency, and efficiency
The strongest models evolve through reproduction and mutation, while weaker models are eliminated
Over countless optimization cycles, highly refined trading models emerge
The primary objective of the system is simple:
Identify moments when a stock has the highest probability of making a significant move in the shortest possible period of time.
The result is a systematic, data-driven approach focused on capturing momentum and asymmetric risk/reward opportunities while removing emotion from the trading process.
Strategy Philosophy
This is not a “buy and hope” strategy. Every position is selected using quantitative analysis, historical pattern recognition, and continuously evolved models designed to adapt to changing market conditions.
The goal is to deliver:
High-quality entry timing
Disciplined exits
Shorter holding periods when possible
Consistent risk-adjusted returns over time
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 0.6 | 1.2 | -8.5 | -6.8 | |||||||||
| 2024 | -1.2 | -3.2 | -2.0 | -5.8 | 2.8 | 4.2 | 2.2 | 2.5 | 4.3 | 5.4 | 14.3 | -6.6 | 16.3 |
| 2025 | 5.7 | 1.9 | -5.9 | 0.7 | 2.5 | 3.8 | -3.4 | -0.5 | 11.5 | 8.9 | -3.5 | -2.7 | 18.9 |
| 2026 | 0.5 | 2.6 | -1.8 | 17.0 | 12.4 | -5.2 | 13.0 | 8.6 | 54.7 |
Statistics
Overview
| Strategy began | 10/27/2023 |
|---|---|
| Suggested Minimum Capital | $35,000 |
| Age | 34 months |
| C2 Rank | Top 5.3% |
| What it trades | Stocks |
| # Trades | 1155 |
| # Profitable | 713 |
| % Profitable | 61.7% |
| Avg trade duration | 25.0 days |
| Max peak-to-valley drawdown | 23.4% |
| drawdown period | Nov 03, 2023 - April 20, 2024 |
| Annual Return (Compounded) | 27.6% |
| Avg win | $106 |
| Avg loss | $108 |
Ratios
| W:L ratio | 1.63 |
|---|---|
| Sharpe Ratio | 1.03 |
| Sortino Ratio | 1.51 |
| Calmar Ratio | 2.41 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.49 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 86.4% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 13.0% |
Return Statistics
| Ann Return (w trading costs) | 27.6% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.3% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 30.0% |
Slump
| Current Slump as Pcnt Equity | 1.2% |
|---|---|
| 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 | 0.0% |
| Percent Trades Stocks | 1.0% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 27.0% |
|---|---|
| Chance of 20% account loss | 5.5% |
| Chance of 30% account loss | 0.5% |
| 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% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Popularity
| Popularity (Today) | 469 |
|---|---|
| Popularity (Last 6 weeks) | 918 |
| C2 Score | 947 |
| Popularity (7 days, Percentile 1000 scale) | 863 |
Trading Style
| Any stock shorts? 0/1 | 1 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $108 |
|---|---|
| Avg Win | $106 |
| # Winners | 713 |
| Sum Trade PL (losers) | $47,925 |
| Sum Trade PL (winners) | $75,819 |
| Num Months Winners | 22 |
| # Losers | 442 |
| % Winners | 61.7% |
Dividends
| Dividends Received in Model Acct | -345 |
|---|
Age
| Num Months filled monthly returns table | 35 |
|---|
Frequency
| Avg Position Time (mins) | 36047.85 |
|---|---|
| Avg Position Time (hrs) | 600.80 |
| Avg Trade Length | 25 |
| Last Trade Ago | 2 |
Leverage
| Daily leverage (average) | 1.75 |
|---|---|
| Daily leverage (max) | 2.53 |
Regression
| Alpha | 0.03 |
|---|---|
| Beta | 0.62 |
| Treynor Index | 0.11 |
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 | 4.22 |
| MAE:PL (avg, all trades) | 0.86 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.58 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.34 |
| Hold-and-Hope Ratio | 0.24 |
RATIO STATISTICS
| Mean | 0.41 |
|---|---|
| SD | 0.35 |
| Sharpe ratio (Glass type estimate) | 1.18 |
| Sharpe ratio (Hedges UMVUE) | 1.14 |
| df | 22 |
| t | 1.64 |
| p | 0.06 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.29 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.63 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.31 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.60 |
| Sortino ratio | 3.52 |
| Upside Potential Ratio | 5.17 |
| Upside part of mean | 0.60 |
| Downside part of mean | -0.19 |
| Upside SD | 0.34 |
| Downside SD | 0.12 |
| N nonnegative terms | 13 |
| N negative terms | 10 |
| N of observations | 23 |
| Mean of predictor | 0.32 |
| Mean of criterion | 0.41 |
| SD of predictor | 0.20 |
| SD of criterion | 0.35 |
| Covariance | 0.05 |
| r | 0.64 |
| b (slope, estimate of beta) | 1.10 |
| a (intercept, estimate of alpha) | 0.05 |
| Mean Square Error | 0.07 |
| DF error | 21 |
| t(b) | 3.86 |
| p(b) | 0.12 |
| t(a) | 0.25 |
| p(a) | 0.47 |
| Lowerbound of 95% confidence interval for beta | 0.51 |
| Upperbound of 95% confidence interval for beta | 1.69 |
| Lowerbound of 95% confidence interval for alpha | -0.40 |
| Upperbound of 95% confidence interval for alpha | 0.50 |
| Treynor index (mean / b) | 0.37 |
| Jensen alpha (a) | 0.05 |
| Mean | 0.35 |
| SD | 0.32 |
| Sharpe ratio (Glass type estimate) | 1.11 |
| Sharpe ratio (Hedges UMVUE) | 1.07 |
| df | 22 |
| t | 1.54 |
| p | 0.07 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.35 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.55 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.38 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.52 |
| Sortino ratio | 2.90 |
| Upside Potential Ratio | 4.53 |
| Upside part of mean | 0.55 |
| Downside part of mean | -0.20 |
| Upside SD | 0.30 |
| Downside SD | 0.12 |
| N nonnegative terms | 13 |
| N negative terms | 10 |
| N of observations | 23 |
| Mean of predictor | 0.30 |
| Mean of criterion | 0.35 |
| SD of predictor | 0.20 |
| SD of criterion | 0.32 |
| Covariance | 0.04 |
| r | 0.63 |
| b (slope, estimate of beta) | 1.02 |
| a (intercept, estimate of alpha) | 0.05 |
| Mean Square Error | 0.06 |
| DF error | 21 |
| t(b) | 3.76 |
| p(b) | 0.13 |
| t(a) | 0.23 |
| p(a) | 0.47 |
| Lowerbound of 95% confidence interval for beta | 0.46 |
| Upperbound of 95% confidence interval for beta | 1.59 |
| Lowerbound of 95% confidence interval for alpha | -0.37 |
| Upperbound of 95% confidence interval for alpha | 0.46 |
| Treynor index (mean / b) | 0.35 |
| Jensen alpha (a) | 0.05 |
| VaR(95%) | 0.11 |
| Expected Shortfall on VaR | 0.15 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.07 |
| Mean | 0.38 |
| SD | 0.25 |
| Sharpe ratio (Glass type estimate) | 1.56 |
| Sharpe ratio (Hedges UMVUE) | 1.56 |
| df | 509 |
| t | 2.17 |
| p | 0.02 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.15 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.97 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.15 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.96 |
| Sortino ratio | 2.65 |
| Upside Potential Ratio | 9.39 |
| Upside part of mean | 1.36 |
| Downside part of mean | -0.98 |
| Upside SD | 0.20 |
| Downside SD | 0.14 |
| N nonnegative terms | 291 |
| N negative terms | 219 |
| N of observations | 510 |
| Mean of predictor | 0.31 |
| Mean of criterion | 0.38 |
| SD of predictor | 0.19 |
| SD of criterion | 0.25 |
| Covariance | 0.03 |
| r | 0.55 |
| b (slope, estimate of beta) | 0.71 |
| a (intercept, estimate of alpha) | 0.16 |
| Mean Square Error | 0.04 |
| DF error | 508 |
| t(b) | 14.78 |
| p(b) | 0 |
| t(a) | 1.10 |
| p(a) | 0.14 |
| Lowerbound of 95% confidence interval for beta | 0.62 |
| Upperbound of 95% confidence interval for beta | 0.81 |
| Lowerbound of 95% confidence interval for alpha | -0.13 |
| Upperbound of 95% confidence interval for alpha | 0.45 |
| Treynor index (mean / b) | 0.54 |
| Jensen alpha (a) | 0.16 |
| Mean | 0.35 |
| SD | 0.24 |
| Sharpe ratio (Glass type estimate) | 1.45 |
| Sharpe ratio (Hedges UMVUE) | 1.45 |
| df | 509 |
| t | 2.03 |
| p | 0.02 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.04 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.86 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.04 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.86 |
| Sortino ratio | 2.38 |
| Upside Potential Ratio | 9.04 |
| Upside part of mean | 1.34 |
| Downside part of mean | -0.99 |
| Upside SD | 0.19 |
| Downside SD | 0.15 |
| N nonnegative terms | 291 |
| N negative terms | 219 |
| N of observations | 510 |
| Mean of predictor | 0.29 |
| Mean of criterion | 0.35 |
| SD of predictor | 0.19 |
| SD of criterion | 0.24 |
| Covariance | 0.03 |
| r | 0.55 |
| b (slope, estimate of beta) | 0.71 |
| a (intercept, estimate of alpha) | 0.15 |
| Mean Square Error | 0.04 |
| DF error | 508 |
| t(b) | 14.81 |
| p(b) | 0 |
| t(a) | 1.00 |
| p(a) | 0.16 |
| Lowerbound of 95% confidence interval for beta | 0.61 |
| Upperbound of 95% confidence interval for beta | 0.80 |
| Lowerbound of 95% confidence interval for alpha | -0.14 |
| Upperbound of 95% confidence interval for alpha | 0.43 |
| Treynor index (mean / b) | 0.50 |
| Jensen alpha (a) | 0.15 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.03 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| Mean | 0.81 |
| SD | 0.17 |
| Sharpe ratio (Glass type estimate) | 4.82 |
| Sharpe ratio (Hedges UMVUE) | 4.80 |
| df | 130 |
| t | 3.41 |
| p | 0.36 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 1.98 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 7.65 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.96 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 7.63 |
| Sortino ratio | 10.30 |
| Upside Potential Ratio | 18.10 |
| Upside part of mean | 1.43 |
| Downside part of mean | -0.61 |
| Upside SD | 0.16 |
| Downside SD | 0.08 |
| N nonnegative terms | 83 |
| N negative terms | 48 |
| N of observations | 131 |
| Mean of predictor | 0.21 |
| Mean of criterion | 0.81 |
| SD of predictor | 0.14 |
| SD of criterion | 0.17 |
| Covariance | 0.01 |
| r | 0.55 |
| b (slope, estimate of beta) | 0.66 |
| a (intercept, estimate of alpha) | 0.68 |
| Mean Square Error | 0.02 |
| DF error | 129 |
| t(b) | 7.50 |
| p(b) | 0.17 |
| t(a) | 3.38 |
| p(a) | 0.32 |
| Lowerbound of 95% confidence interval for beta | 0.48 |
| Upperbound of 95% confidence interval for beta | 0.83 |
| Lowerbound of 95% confidence interval for alpha | 0.28 |
| Upperbound of 95% confidence interval for alpha | 1.07 |
| Treynor index (mean / b) | 1.24 |
| Jensen alpha (a) | 0.68 |
| Mean | 0.80 |
| SD | 0.17 |
| Sharpe ratio (Glass type estimate) | 4.77 |
| Sharpe ratio (Hedges UMVUE) | 4.74 |
| df | 130 |
| t | 3.37 |
| p | 0.36 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 1.93 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 7.59 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 1.91 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 7.57 |
| Sortino ratio | 10.05 |
| Upside Potential Ratio | 17.83 |
| Upside part of mean | 1.41 |
| Downside part of mean | -0.62 |
| Upside SD | 0.15 |
| Downside SD | 0.08 |
| N nonnegative terms | 83 |
| N negative terms | 48 |
| N of observations | 131 |
| Mean of predictor | 0.20 |
| Mean of criterion | 0.80 |
| SD of predictor | 0.14 |
| SD of criterion | 0.17 |
| Covariance | 0.01 |
| r | 0.55 |
| b (slope, estimate of beta) | 0.65 |
| a (intercept, estimate of alpha) | 0.67 |
| Mean Square Error | 0.02 |
| DF error | 129 |
| t(b) | 7.51 |
| p(b) | 0.17 |
| t(a) | 3.37 |
| p(a) | 0.32 |
| Lowerbound of 95% confidence interval for beta | 0.48 |
| VAR (95 Confidence Intrvl) | 0.02 |
| Upperbound of 95% confidence interval for beta | 0.82 |
| Lowerbound of 95% confidence interval for alpha | 0.28 |
| Upperbound of 95% confidence interval for alpha | 1.06 |
| Treynor index (mean / b) | 1.22 |
| Jensen alpha (a) | 0.67 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.01 |
ORDER STATISTICS
| Number of observations | 23 |
|---|---|
| Minimum | 0.89 |
| Quartile 1 | 0.98 |
| Median | 1.01 |
| Quartile 3 | 1.05 |
| Maximum | 1.32 |
| Mean of quarter 1 | 0.94 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.03 |
| Mean of quarter 4 | 1.17 |
| Inter Quartile Range | 0.07 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 3 |
| Percentage of outliers high | 0.13 |
| Mean of outliers high | 1.24 |
| Extreme Value Index (moments method) | 0.50 |
| VaR(95%) (moments method) | 0.07 |
| Expected Shortfall (moments method) | 0.14 |
| Extreme Value Index (regression method) | 1.24 |
| VaR(95%) (regression method) | 0.06 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 510 |
| Minimum | 0.90 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.12 |
| 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 | 13 |
| Percentage of outliers low | 0.03 |
| Mean of outliers low | 0.96 |
| Number of outliers high | 16 |
| Percentage of outliers high | 0.03 |
| Mean of outliers high | 1.05 |
| Extreme Value Index (moments method) | 0.26 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.02 |
| Extreme Value Index (regression method) | 0.25 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.02 |
| Number of observations | 131 |
| Minimum | 0.98 |
| Quartile 1 | 1.00 |
| 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 | 0.01 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 4 |
| Percentage of outliers high | 0.03 |
| Mean of outliers high | 1.04 |
| Extreme Value Index (moments method) | -0.20 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.01 |
| Extreme Value Index (regression method) | -0.22 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.01 |
DRAW DOWN STATISTICS
| Number of observations | 6 |
|---|---|
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.04 |
| Quartile 3 | 0.09 |
| Maximum | 0.12 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.03 |
| Mean of quarter 3 | 0.04 |
| Mean of quarter 4 | 0.12 |
| Inter Quartile Range | 0.08 |
| 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 | 16 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.01 |
| Quartile 3 | 0.07 |
| Maximum | 0.19 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| 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 | 0.06 |
| Mean of outliers high | 0.19 |
| Extreme Value Index (moments method) | -0.53 |
| VaR(95%) (moments method) | 0.14 |
| Expected Shortfall (moments method) | 0.16 |
| Extreme Value Index (regression method) | -0.08 |
| VaR(95%) (regression method) | 0.16 |
| Expected Shortfall (regression method) | 0.22 |
| Number of observations | 10 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.01 |
| Quartile 3 | 0.01 |
| Maximum | 0.07 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.01 |
| Mean of quarter 4 | 0.05 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 2 |
| Percentage of outliers high | 0.20 |
| Mean of outliers high | 0.07 |
| Extreme Value Index (moments method) | -639.69 |
| VaR(95%) (moments method) | 0.03 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | -3.97 |
| VaR(95%) (regression method) | 0.15 |
| Expected Shortfall (regression method) | 0.15 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -455997888 |
| Max Equity Drawdown (num days) | 169 |
| Last 4 Months - Pcnt Negative | 0.2% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.56 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.46 |
| Calmar ratio (compounded annual return / max draw down) | 3.78 |
| Compounded annual return / average of 25% largest draw downs | 3.99 |
| Compounded annual return / Expected Shortfall lognormal | 3.15 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.57 |
| Compounded annual return (geometric extrapolation) | 0.46 |
| Calmar ratio (compounded annual return / max draw down) | 2.41 |
| Compounded annual return / average of 25% largest draw downs | 3.70 |
| Compounded annual return / Expected Shortfall lognormal | 15.90 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 1.02 |
| Compounded annual return (geometric extrapolation) | 1.28 |
| Calmar ratio (compounded annual return / max draw down) | 17.53 |
| Compounded annual return / average of 25% largest draw downs | 25.49 |
| Compounded annual return / Expected Shortfall lognormal | 70.89 |
Trading record
Placed 82 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| CPB | short | 107 | Aug 20, 2026 | Aug 21, 2026 | ($119) |
| SAM | short | 13 | Aug 20, 2026 | Aug 21, 2026 | $16 |
| XPO | long | 11 | Aug 17, 2026 | Aug 20, 2026 | ($178) |
| PLUG | short | 642 | Aug 19, 2026 | Aug 20, 2026 | ($31) |
| TTWO | long | 5 | Aug 18, 2026 | Aug 19, 2026 | ($17) |
| WM | long | 10 | Aug 18, 2026 | Aug 19, 2026 | $2 |
| WMT | long | 10 | Aug 18, 2026 | Aug 19, 2026 | $8 |
| SAM | short | 7 | Aug 18, 2026 | Aug 19, 2026 | ($21) |
| NEE | long | 20 | Aug 18, 2026 | Aug 19, 2026 | ($7) |
| LLY | long | 6 | Aug 17, 2026 | Aug 19, 2026 | $391 |
| GEV | long | 2 | Aug 17, 2026 | Aug 19, 2026 | ($212) |
| SNDK | short | 3 | Aug 18, 2026 | Aug 18, 2026 | $123 |
| SNDK | short | 2 | Aug 14, 2026 | Aug 17, 2026 | ($369) |
| CAG | short | 38 | Aug 14, 2026 | Aug 17, 2026 | ($5) |
| XLU | long | 62.5 | Aug 13, 2026 | Aug 17, 2026 | ($1) |
| CPB | short | 59 | Aug 14, 2026 | Aug 17, 2026 | $6 |
| DXC | short | 125.5 | Aug 13, 2026 | Aug 17, 2026 | $10 |
| SAM | short | 7 | Aug 13, 2026 | Aug 17, 2026 | $23 |
| TAP | short | 64 | Aug 7, 2026 | Aug 17, 2026 | $72 |
| PBR | long | 50 | Aug 13, 2026 | Aug 17, 2026 | $12 |
| EQT | short | 25 | Aug 12, 2026 | Aug 17, 2026 | $20 |
| TEAM | long | 5 | Aug 13, 2026 | Aug 14, 2026 | $40 |
| RNG | long | 49 | Aug 10, 2026 | Aug 13, 2026 | $148 |
| VALE | long | 50 | Aug 10, 2026 | Aug 13, 2026 | ($52) |
| PLUG | short | 123.5 | Aug 11, 2026 | Aug 12, 2026 | ($1) |
| CPB | short | 58.5 | Aug 11, 2026 | Aug 12, 2026 | $20 |
| TSLA | long | 5 | Aug 7, 2026 | Aug 11, 2026 | $16 |
| SAM | short | 7 | Aug 10, 2026 | Aug 11, 2026 | $20 |
| EQT | short | 25.5 | Aug 10, 2026 | Aug 11, 2026 | ($26) |
| DXC | short | 121.5 | Aug 7, 2026 | Aug 11, 2026 | $8 |
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.