PortfolioX
- hypothetical · Annual Return (Compounded)
- 7.5%
- Max Drawdown
- 12.4%
- Trades
- 264
- Win Trades
- 56.8%
- Profit Factor
- 1.50
- Win Months
- 63.2%
About this strategy
Strategy Name: PortfolioX
Description:
PortfolioX is a diversified, multi-strategy trading system that combines several complementary approaches into a single, actively managed portfolio.
The strategy integrates fully automated mean reversion systems, systematic trend-following strategies, and selective discretionary trades focused on identifying fundamentally undervalued U.S. stocks.
All underlying strategies have been successfully traded live since 2018, providing a long-term, real-world track record across various market environments.
The objective of PortfolioX is to deliver consistent, risk-adjusted returns by blending uncorrelated trading styles and avoiding reliance on a single market regime.
- Trading Approach:
Markets: S&P 100, S&P 500, Nasdaq 100, and the broader U.S. equity universe (high-liquidity stocks)
Methods: Fully automated mean reversion strategies, Systematic trend-following strategies, Discretionary value-based trades focused on undervalued stocks
Holding Period: Mean reversion: intraday to single trading days, Trend-following & value positions: medium-term, from several months to a maximum of a few years
- Risk Management:
Risk management is embedded at both the strategy and portfolio level:
Stop-loss protection is applied in selected strategies to control downside risk
Diversification across multiple indices and strategy types helps reduce overall volatility
Position sizing and exposure limits are used to prevent concentration risk
This multi-layered approach aims to keep drawdowns under control while maintaining attractive return potential.
- Performance History:
PortfolioX is composed of strategies that have been live-traded on real capital since 2018, demonstrating robustness across different market regimes, including trending, range-bound, and high-volatility environments.
The combination of automation and disciplined discretionary decision-making ensures consistency while allowing adaptive positioning as market conditions evolve.
- Why Choose This Strategy?
Exposure to major U.S. equity markets (S&P 100, S&P 500, Nasdaq 100)
Diversified mix of mean reversion, trend-following, and value strategies
Proven live trading experience since 2018
Reduced dependence on a single market regime
Disciplined risk management with selective stop-loss usage
Designed for steady, long-term capital growth
Description:
PortfolioX is a diversified, multi-strategy trading system that combines several complementary approaches into a single, actively managed portfolio.
The strategy integrates fully automated mean reversion systems, systematic trend-following strategies, and selective discretionary trades focused on identifying fundamentally undervalued U.S. stocks.
All underlying strategies have been successfully traded live since 2018, providing a long-term, real-world track record across various market environments.
The objective of PortfolioX is to deliver consistent, risk-adjusted returns by blending uncorrelated trading styles and avoiding reliance on a single market regime.
- Trading Approach:
Markets: S&P 100, S&P 500, Nasdaq 100, and the broader U.S. equity universe (high-liquidity stocks)
Methods: Fully automated mean reversion strategies, Systematic trend-following strategies, Discretionary value-based trades focused on undervalued stocks
Holding Period: Mean reversion: intraday to single trading days, Trend-following & value positions: medium-term, from several months to a maximum of a few years
- Risk Management:
Risk management is embedded at both the strategy and portfolio level:
Stop-loss protection is applied in selected strategies to control downside risk
Diversification across multiple indices and strategy types helps reduce overall volatility
Position sizing and exposure limits are used to prevent concentration risk
This multi-layered approach aims to keep drawdowns under control while maintaining attractive return potential.
- Performance History:
PortfolioX is composed of strategies that have been live-traded on real capital since 2018, demonstrating robustness across different market regimes, including trending, range-bound, and high-volatility environments.
The combination of automation and disciplined discretionary decision-making ensures consistency while allowing adaptive positioning as market conditions evolve.
- Why Choose This Strategy?
Exposure to major U.S. equity markets (S&P 100, S&P 500, Nasdaq 100)
Diversified mix of mean reversion, trend-following, and value strategies
Proven live trading experience since 2018
Reduced dependence on a single market regime
Disciplined risk management with selective stop-loss usage
Designed for steady, long-term capital growth
Non-hedged Equity Trend-following
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | -1.0 | -0.1 | -0.0 | 1.6 | 1.1 | 0.4 | 0.4 | 3.2 | 0.1 | 2.7 | -3.8 | 4.5 | |
| 2026 | 7.2 | 10.0 | -5.2 | 1.7 | 0.6 | 6.2 | -3.6 | -8.8 | 6.8 |
Statistics
Overview
| Strategy began | 2/16/2025 |
|---|---|
| Suggested Minimum Capital | $15,000 |
| Age | 18 months |
| C2 Rank | 270 |
| What it trades | Stocks |
| # Trades | 264 |
| # Profitable | 150 |
| % Profitable | 56.8% |
| Avg trade duration | 47.9 days |
| Max peak-to-valley drawdown | 12.4% |
| drawdown period | June 30, 2026 - Aug 21, 2026 |
| Annual Return (Compounded) | 7.5% |
| Avg win | $91 |
| Avg loss | $92 |
Ratios
| W:L ratio | 1.48 |
|---|---|
| Sharpe Ratio | 0.51 |
| Sortino Ratio | 0.72 |
| Calmar Ratio | 1.17 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.18 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 25.5% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | -13.9% |
Return Statistics
| Ann Return (w trading costs) | 7.5% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.1% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 11.6% |
Slump
| Current Slump as Pcnt Equity | 14.2% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.1% |
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 | 8.5% |
|---|---|
| Chance of 20% account loss | 0.0% |
| Chance of 30% account loss | 0.0% |
| Chance of 40% account loss | 0.0% |
| Chance of 50% account loss | 0.0% |
| Chance of 60% account loss (Monte Carlo) | 0.0% |
| Chance of 70% account loss (Monte Carlo) | 0.0% |
| Chance of 80% account loss (Monte Carlo) | 0.0% |
| Chance of 90% account loss (Monte Carlo) | 0.0% |
Automation
| Percentage Signals Automated | 98.5% |
|---|
Popularity
| Popularity (Today) | 0 |
|---|---|
| Popularity (Last 6 weeks) | 831 |
| C2 Score | 270 |
| Popularity (7 days, Percentile 1000 scale) | 295 |
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $92 |
|---|---|
| Avg Win | $94 |
| # Winners | 150 |
| Sum Trade PL (losers) | $10,502 |
| Sum Trade PL (winners) | $14,052 |
| Num Months Winners | 12 |
| # Losers | 114 |
| % Winners | 56.8% |
Dividends
| Dividends Received in Model Acct | 965 |
|---|
Age
| Num Months filled monthly returns table | 19 |
|---|
Frequency
| Avg Position Time (mins) | 68934.25 |
|---|---|
| Avg Position Time (hrs) | 1148.90 |
| Avg Trade Length | 47.90 |
| Last Trade Ago | 2 |
Leverage
| Daily leverage (average) | 0.94 |
|---|---|
| Daily leverage (max) | 2 |
Regression
| Alpha | 0.01 |
|---|---|
| Beta | 0.10 |
| Treynor Index | 0.16 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.01 |
| 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 | 8.06 |
| MAE:PL (avg, all trades) | -0.25 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.54 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.48 |
| Hold-and-Hope Ratio | 0.11 |
RATIO STATISTICS
| Mean | 0.17 |
|---|---|
| SD | 0.09 |
| Sharpe ratio (Glass type estimate) | 1.91 |
| Sharpe ratio (Hedges UMVUE) | 1.82 |
| df | 16 |
| t | 2.28 |
| p | 0.25 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.11 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.66 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.06 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.58 |
| Sortino ratio | 6.41 |
| Upside Potential Ratio | 8.16 |
| Upside part of mean | 0.21 |
| Downside part of mean | -0.05 |
| Upside SD | 0.09 |
| Downside SD | 0.03 |
| N nonnegative terms | 11 |
| N negative terms | 6 |
| N of observations | 17 |
| Mean of predictor | 0.12 |
| Mean of criterion | 0.17 |
| SD of predictor | 0.18 |
| SD of criterion | 0.09 |
| Covariance | 0.00 |
| r | 0.27 |
| b (slope, estimate of beta) | 0.13 |
| a (intercept, estimate of alpha) | 0.15 |
| Mean Square Error | 0.01 |
| DF error | 15 |
| t(b) | 1.07 |
| p(b) | 0.33 |
| t(a) | 2.02 |
| p(a) | 0.22 |
| Lowerbound of 95% confidence interval for beta | -0.13 |
| Upperbound of 95% confidence interval for beta | 0.40 |
| Lowerbound of 95% confidence interval for alpha | -0.01 |
| Upperbound of 95% confidence interval for alpha | 0.31 |
| Treynor index (mean / b) | 1.26 |
| Jensen alpha (a) | 0.15 |
| Mean | 0.16 |
| SD | 0.09 |
| Sharpe ratio (Glass type estimate) | 1.90 |
| Sharpe ratio (Hedges UMVUE) | 1.81 |
| df | 16 |
| t | 2.26 |
| p | 0.25 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.10 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.64 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.04 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.57 |
| Sortino ratio | 6.17 |
| Upside Potential Ratio | 7.93 |
| Upside part of mean | 0.21 |
| Downside part of mean | -0.05 |
| Upside SD | 0.09 |
| Downside SD | 0.03 |
| N nonnegative terms | 11 |
| N negative terms | 6 |
| N of observations | 17 |
| Mean of predictor | 0.11 |
| Mean of criterion | 0.16 |
| SD of predictor | 0.17 |
| SD of criterion | 0.09 |
| Covariance | 0.00 |
| r | 0.28 |
| b (slope, estimate of beta) | 0.14 |
| a (intercept, estimate of alpha) | 0.15 |
| Mean Square Error | 0.01 |
| DF error | 15 |
| t(b) | 1.13 |
| p(b) | 0.32 |
| t(a) | 2.03 |
| p(a) | 0.22 |
| Lowerbound of 95% confidence interval for beta | -0.12 |
| Upperbound of 95% confidence interval for beta | 0.41 |
| Lowerbound of 95% confidence interval for alpha | -0.01 |
| Upperbound of 95% confidence interval for alpha | 0.30 |
| Treynor index (mean / b) | 1.16 |
| Jensen alpha (a) | 0.15 |
| VaR(95%) | 0.03 |
| Expected Shortfall on VaR | 0.04 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
| Mean | 0.09 |
| SD | 0.09 |
| Sharpe ratio (Glass type estimate) | 1.03 |
| Sharpe ratio (Hedges UMVUE) | 1.03 |
| df | 389 |
| t | 1.26 |
| p | 0.10 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.58 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.64 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.58 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.64 |
| Sortino ratio | 1.50 |
| Upside Potential Ratio | 9.01 |
| Upside part of mean | 0.56 |
| Downside part of mean | -0.47 |
| Upside SD | 0.07 |
| Downside SD | 0.06 |
| N nonnegative terms | 204 |
| N negative terms | 186 |
| N of observations | 390 |
| Mean of predictor | 0.14 |
| Mean of criterion | 0.09 |
| SD of predictor | 0.17 |
| SD of criterion | 0.09 |
| Covariance | 0.00 |
| r | 0.19 |
| b (slope, estimate of beta) | 0.10 |
| a (intercept, estimate of alpha) | 0.08 |
| Mean Square Error | 0.01 |
| DF error | 388 |
| t(b) | 3.86 |
| p(b) | 0.00 |
| t(a) | 1.08 |
| p(a) | 0.14 |
| Lowerbound of 95% confidence interval for beta | 0.05 |
| Upperbound of 95% confidence interval for beta | 0.15 |
| Lowerbound of 95% confidence interval for alpha | -0.06 |
| Upperbound of 95% confidence interval for alpha | 0.22 |
| Treynor index (mean / b) | 0.93 |
| Jensen alpha (a) | 0.08 |
| Mean | 0.09 |
| SD | 0.09 |
| Sharpe ratio (Glass type estimate) | 0.98 |
| Sharpe ratio (Hedges UMVUE) | 0.98 |
| df | 389 |
| t | 1.20 |
| p | 0.12 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.62 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.59 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.63 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.59 |
| Sortino ratio | 1.43 |
| Upside Potential Ratio | 8.92 |
| Upside part of mean | 0.56 |
| Downside part of mean | -0.47 |
| Upside SD | 0.07 |
| Downside SD | 0.06 |
| N nonnegative terms | 204 |
| N negative terms | 186 |
| N of observations | 390 |
| Mean of predictor | 0.12 |
| Mean of criterion | 0.09 |
| SD of predictor | 0.17 |
| SD of criterion | 0.09 |
| Covariance | 0.00 |
| r | 0.20 |
| b (slope, estimate of beta) | 0.10 |
| a (intercept, estimate of alpha) | 0.08 |
| Mean Square Error | 0.01 |
| DF error | 388 |
| t(b) | 3.92 |
| p(b) | 0.00 |
| t(a) | 1.05 |
| p(a) | 0.15 |
| Lowerbound of 95% confidence interval for beta | 0.05 |
| Upperbound of 95% confidence interval for beta | 0.15 |
| Lowerbound of 95% confidence interval for alpha | -0.07 |
| Upperbound of 95% confidence interval for alpha | 0.22 |
| Treynor index (mean / b) | 0.87 |
| Jensen alpha (a) | 0.08 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.01 |
| Mean | -0.06 |
| SD | 0.12 |
| Sharpe ratio (Glass type estimate) | -0.53 |
| Sharpe ratio (Hedges UMVUE) | -0.53 |
| df | 130 |
| t | -0.38 |
| p | 0.52 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.30 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.24 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.30 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.24 |
| Sortino ratio | -0.71 |
| Upside Potential Ratio | 7.88 |
| Upside part of mean | 0.70 |
| Downside part of mean | -0.77 |
| Upside SD | 0.08 |
| Downside SD | 0.09 |
| N nonnegative terms | 65 |
| N negative terms | 66 |
| N of observations | 131 |
| Mean of predictor | 0.21 |
| Mean of criterion | -0.06 |
| SD of predictor | 0.14 |
| SD of criterion | 0.12 |
| Covariance | 0.00 |
| r | 0.17 |
| b (slope, estimate of beta) | 0.15 |
| a (intercept, estimate of alpha) | -0.09 |
| Mean Square Error | 0.01 |
| DF error | 129 |
| t(b) | 2.00 |
| p(b) | 0.39 |
| t(a) | -0.56 |
| p(a) | 0.53 |
| Lowerbound of 95% confidence interval for beta | 0.00 |
| Upperbound of 95% confidence interval for beta | 0.29 |
| Lowerbound of 95% confidence interval for alpha | -0.42 |
| Upperbound of 95% confidence interval for alpha | 0.24 |
| Treynor index (mean / b) | -0.43 |
| Jensen alpha (a) | -0.09 |
| Mean | -0.07 |
| SD | 0.12 |
| Sharpe ratio (Glass type estimate) | -0.59 |
| Sharpe ratio (Hedges UMVUE) | -0.59 |
| df | 130 |
| t | -0.42 |
| p | 0.52 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -3.36 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.18 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -3.36 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.19 |
| Sortino ratio | -0.78 |
| Upside Potential Ratio | 7.79 |
| Upside part of mean | 0.70 |
| Downside part of mean | -0.77 |
| Upside SD | 0.08 |
| Downside SD | 0.09 |
| N nonnegative terms | 65 |
| N negative terms | 66 |
| N of observations | 131 |
| Mean of predictor | 0.20 |
| Mean of criterion | -0.07 |
| SD of predictor | 0.14 |
| SD of criterion | 0.12 |
| Covariance | 0.00 |
| r | 0.17 |
| b (slope, estimate of beta) | 0.15 |
| a (intercept, estimate of alpha) | -0.10 |
| Mean Square Error | 0.01 |
| DF error | 129 |
| t(b) | 1.99 |
| p(b) | 0.39 |
| t(a) | -0.60 |
| p(a) | 0.53 |
| Lowerbound of 95% confidence interval for beta | 0.00 |
| VAR (95 Confidence Intrvl) | 0.01 |
| Upperbound of 95% confidence interval for beta | 0.29 |
| Lowerbound of 95% confidence interval for alpha | -0.43 |
| Upperbound of 95% confidence interval for alpha | 0.23 |
| Treynor index (mean / b) | -0.48 |
| Jensen alpha (a) | -0.10 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
ORDER STATISTICS
| Number of observations | 17 |
|---|---|
| Minimum | 0.98 |
| Quartile 1 | 1.00 |
| Median | 1.01 |
| Quartile 3 | 1.03 |
| Maximum | 1.06 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1.01 |
| Mean of quarter 3 | 1.02 |
| Mean of quarter 4 | 1.05 |
| Inter Quartile Range | 0.04 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | -1.11 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.01 |
| Extreme Value Index (regression method) | -0.68 |
| VaR(95%) (regression method) | 0.02 |
| Expected Shortfall (regression method) | 0.02 |
| Number of observations | 390 |
| Minimum | 0.97 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.00 |
| Maximum | 1.02 |
| 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 | 0.00 |
| Number outliers low | 19 |
| Percentage of outliers low | 0.05 |
| Mean of outliers low | 0.99 |
| Number of outliers high | 17 |
| Percentage of outliers high | 0.04 |
| Mean of outliers high | 1.01 |
| Extreme Value Index (moments method) | 0.13 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.01 |
| Extreme Value Index (regression method) | 0.04 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.01 |
| Number of observations | 131 |
| Minimum | 0.97 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.00 |
| Maximum | 1.02 |
| 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 | 2 |
| Percentage of outliers low | 0.02 |
| Mean of outliers low | 0.98 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.01 |
| Mean of outliers high | 1.02 |
| Extreme Value Index (moments method) | -0.13 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.01 |
| Extreme Value Index (regression method) | 0.04 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.01 |
DRAW DOWN STATISTICS
| Number of observations | 4 |
|---|---|
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.01 |
| Quartile 3 | 0.02 |
| Maximum | 0.02 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.01 |
| Mean of quarter 4 | 0.02 |
| Inter Quartile Range | 0.01 |
| 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 | 36 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.00 |
| Quartile 3 | 0.01 |
| Maximum | 0.11 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.00 |
| Mean of quarter 3 | 0.01 |
| Mean of quarter 4 | 0.04 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 6 |
| Percentage of outliers high | 0.17 |
| Mean of outliers high | 0.05 |
| Extreme Value Index (moments method) | 0.04 |
| VaR(95%) (moments method) | 0.03 |
| Expected Shortfall (moments method) | 0.04 |
| Extreme Value Index (regression method) | 0.35 |
| VaR(95%) (regression method) | 0.05 |
| Expected Shortfall (regression method) | 0.10 |
| Number of observations | 5 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.01 |
| Quartile 3 | 0.06 |
| Maximum | 0.11 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.06 |
| Mean of quarter 4 | 0.11 |
| Inter Quartile Range | 0.06 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 0 |
| Percentage of outliers high | 0 |
| Mean of outliers high | 0 |
| Extreme Value Index (moments method) | 0 |
| VaR(95%) (moments method) | 0 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | 0 |
| VaR(95%) (regression method) | 0 |
| Expected Shortfall (regression method) | 0 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -392818816 |
| Max Equity Drawdown (num days) | 52 |
| Last 4 Months - Pcnt Negative | 0.5% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.22 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.21 |
| Calmar ratio (compounded annual return / max draw down) | 9.27 |
| Compounded annual return / average of 25% largest draw downs | 9.27 |
| Compounded annual return / Expected Shortfall lognormal | 5.70 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.13 |
| Compounded annual return (geometric extrapolation) | 0.12 |
| Calmar ratio (compounded annual return / max draw down) | 1.17 |
| Compounded annual return / average of 25% largest draw downs | 3.43 |
| Compounded annual return / Expected Shortfall lognormal | 11.15 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | -0.04 |
| Compounded annual return (geometric extrapolation) | -0.04 |
| Calmar ratio (compounded annual return / max draw down) | -0.39 |
| Compounded annual return / average of 25% largest draw downs | -0.39 |
| Compounded annual return / Expected Shortfall lognormal | -2.70 |
Trading record
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| NI | long | 100 | Jul 24, 2026 | Aug 13, 2026 | ($452) |
| LHX | long | 15 | Jul 2, 2026 | Aug 3, 2026 | ($374) |
| MU | long | 8 | Jul 30, 2026 | Jul 31, 2026 | $460 |
| APH | long | 4 | Jul 29, 2026 | Jul 31, 2026 | $40 |
| KLAC | long | 2 | Jul 7, 2026 | Jul 30, 2026 | ($73) |
| COHR | long | 4 | Jul 27, 2026 | Jul 29, 2026 | ($118) |
| AMD | long | 13 | Jul 20, 2026 | Jul 22, 2026 | $324 |
| JBL | long | 4 | Jul 14, 2026 | Jul 20, 2026 | ($96) |
| NBIS | long | 1 | Jul 6, 2026 | Jul 20, 2026 | ($34) |
| AMAT | long | 2 | Jul 10, 2026 | Jul 20, 2026 | ($101) |
| RKLB | long | 2 | Jul 6, 2026 | Jul 17, 2026 | ($62) |
| GNRC | long | 2 | Jul 8, 2026 | Jul 9, 2026 | $22 |
| GLW | long | 6 | Jul 6, 2026 | Jul 8, 2026 | ($106) |
| EMR | long | 45 | Jun 24, 2026 | Jul 7, 2026 | ($222) |
| NXPI | long | 1 | Jun 5, 2026 | Jul 6, 2026 | ($30) |
| AMD | long | 1 | May 8, 2026 | Jul 6, 2026 | $88 |
| ODFL | long | 2 | May 7, 2026 | Jul 2, 2026 | $32 |
| QCOM | long | 2 | Jun 5, 2026 | Jul 2, 2026 | ($95) |
| WDC | long | 1 | May 8, 2026 | Jul 2, 2026 | $94 |
| FSLR | long | 5 | Jun 25, 2026 | Jun 30, 2026 | ($67) |
| L | long | 3 | May 8, 2026 | Jun 23, 2026 | $18 |
| AAPL | long | 10 | Jun 10, 2026 | Jun 16, 2026 | $47 |
| CAT | long | 7 | Jun 11, 2026 | Jun 12, 2026 | $133 |
| MU | long | 7 | Jun 8, 2026 | Jun 12, 2026 | $60 |
| MAR | long | 1 | May 11, 2026 | Jun 4, 2026 | $31 |
| WBD | long | 17 | May 8, 2026 | Jun 3, 2026 | ($0) |
| GOOG | long | 1 | May 8, 2026 | Jun 3, 2026 | ($35) |
| ROST | long | 2 | May 8, 2026 | Jun 2, 2026 | ($4) |
| FANG | long | 2 | May 8, 2026 | Jun 2, 2026 | $29 |
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.