Magellan Atlas Navigator
- hypothetical · Annual Return (Compounded)
- 37.0%
- Max Drawdown
- 11.3%
- Trades
- 1194
- Win Trades
- 46.0%
- Profit Factor
- 1.50
- Win Months
- 47.1%
About this strategy
Investor Prospectus (Draft)
Fund Overview
The Magellan Atlas Navigator Tactical Asset Allocation (TAA) Models+ Fund is a multi‑model, multi‑asset investment program engineered for capital preservation, stable compounding, and disciplined risk control. The fund operates without leverage, reflecting its mandate as a wealth‑preservation vehicle rather than an aggressive return‑seeking strategy.
At the core of the fund is a proprietary AI‑driven credit and technical analysis engine, developed and refined over the past year. This system integrates macro‑credit conditions, cross‑asset flows, and technical market structure to guide allocation decisions with consistency and objectivity. The result is a portfolio that adapts dynamically to changing market regimes while maintaining structural stability and low drawdowns.
The fund’s objective is to deliver steady, risk‑adjusted alpha across market cycles through diversified exposure, systematic execution, and a robust quantitative foundation.
Investment Strategy
The strategy employs a stacked tactical asset allocation framework, combining multiple independent models to create a smoother, more resilient return profile. Each model contributes a distinct edge—momentum, relative strength, macro‑credit sensitivity, volatility normalization, and trend stability—while the AI engine synthesizes these signals into unified, risk‑aware positioning.
Key Strategy Pillars
AI‑Enhanced Credit & Technical Analysis
A proprietary machine‑learning model evaluates credit conditions, liquidity flows, and technical market structure to determine risk‑on/risk‑off posture and asset‑level conviction.
Multi‑Asset Diversification
Exposure spans large‑cap equities, Bitcoin, currency ETFs, commodities, fixed income, real estate, and index ETFs.
Systematic Risk Controls
All positions are cash‑funded. No leverage, no margin, no structural amplification of volatility.
Adaptive Rebalancing
Models adjust exposure based on quantitative signals, ensuring the portfolio remains aligned with prevailing market conditions.
Defensive Bias
The strategy prioritizes capital preservation, measured exposure, and controlled drawdowns.
Capital Structure & Allocations
Principal Capital
$35,000 total capital
Maximum of 35 diversified positions
All positions are fully cash‑funded
No leverage or margin employed
Model Allocation Breakdown
Equities & Relative Strength Models
C2 Magellan: $1,000 per position, 35 positions = $35,000
4× Big Cap Relative Strength
4× NFIC Stocks
1× MaxList
1× Alpha Index Model ETF (NFIC)
Futures & Index Models
3× Futures Index Model (0.2 lots each)
2× Futures Index NFIC (0.2 lots each)
Forex Models
4× Forex Model (0.2 lots each)
4× Forex NFIC (0.2 lots each)
Commodities Models
4× Commodities Model
4× Commodities NFIC
Digital Asset Models
2× Bitcoin Model + NFIC
2× Ethereum Model + NFIC
This diversified model stack ensures broad exposure while maintaining strict position‑level risk controls.
Performance & Validation
The fund’s structural framework has been forward‑tested since 2019, with approximately 90% of the original design remaining intact. This long‑term consistency demonstrates:
Durability of the methodology
Robustness across multiple market regimes
Effectiveness of the no‑leverage structure
Stability of the AI‑driven signal engine
The fund’s evolution has focused on refining signal quality, improving risk dispersion, and enhancing the AI credit‑technical model to better anticipate shifts in market conditions.
Risk Management & Disclosures
Risk management is embedded at every level of the strategy:
Position‑level diversification across 30–35 uncorrelated exposures
Systematic hedging through model‑driven risk‑off signals
Fully cash‑funded structure eliminating leverage‑related drawdown amplification
AI‑based credit stress detection to reduce exposure during deteriorating macro conditions
Strict model governance to mitigate drift and degradation
Investor Considerations
Investors should understand that all market exposure carries inherent risk, including:
Model obsolescence or degradation
Unexpected volatility
Drawdowns exceeding historical norms
Structural shifts in macroeconomic conditions
Past performance is not indicative of future results. This document does not constitute financial advice.
Investor Outlook
The Magellan Atlas Navigator TAA Models+ Fund is designed for investors seeking:
Long‑term capital preservation
Stable, risk‑adjusted returns
A transparent, rules‑based investment process
Exposure to a diversified, multi‑asset portfolio
A disciplined, AI‑enhanced tactical allocation framework
The fund’s conservative posture, systematic methodology, and multi‑model architecture position it as a compelling option for investors prioritizing stability, discipline, and data‑driven decision‑making.
Prospective investors are encouraged to conduct thorough due diligence to ensure alignment with their financial goals and risk tolerance.
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 | -2.5 | 6.3 | 9.3 | 1.8 | -4.3 | 15.4 | -0.2 | -0.2 | -0.3 | 26.3 | |||
| 2026 | -0.6 | -0.2 | -1.5 | 1.3 | 15.3 | 1.2 | -4.8 | 10.3 | 21.2 |
Statistics
Overview
| Strategy began | 4/21/2025 |
|---|---|
| Suggested Minimum Capital | $40,000 |
| Age | 16 months |
| C2 Rank | Top 1.2% |
| What it trades | Stocks |
| # Trades | 1194 |
| # Profitable | 549 |
| % Profitable | 46.0% |
| Avg trade duration | 3.6 days |
| Max peak-to-valley drawdown | 11.3% |
| drawdown period | June 18, 2026 - July 06, 2026 |
| Annual Return (Compounded) | 37.0% |
| Avg win | $92 |
| Avg loss | $55 |
Ratios
| W:L ratio | 1.45 |
|---|---|
| Sharpe Ratio | 1.57 |
| Sortino Ratio | 2.49 |
| Calmar Ratio | 7.17 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.20 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 48.4% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 4.7% |
Return Statistics
| Ann Return (w trading costs) | 37.0% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.4% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 43.5% |
Slump
| Current Slump as Pcnt Equity | 1.2% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.1% |
Instruments
| Percent Trades Forex | 0.1% |
|---|---|
| Percent Trades Futures | 0.1% |
| Percent Trades Options | 0.0% |
| Short Options - Percent Covered | 100.0% |
| Percent Trades Stocks | 0.9% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 12.0% |
|---|---|
| Chance of 20% account loss | 1.0% |
| 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% |
| Chance of 100% account loss (Monte Carlo) | 100.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Popularity
| Popularity (Today) | 742 |
|---|---|
| Popularity (Last 6 weeks) | 941 |
| C2 Score | 988 |
| Popularity (7 days, Percentile 1000 scale) | 884 |
Trading Style
| Any stock shorts? 0/1 | 1 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $55 |
|---|---|
| Avg Win | $92 |
| # Winners | 549 |
| Sum Trade PL (losers) | $35,239 |
| Sum Trade PL (winners) | $50,773 |
| Num Months Winners | 8 |
| # Losers | 645 |
| % Winners | 46.0% |
Dividends
| Dividends Received in Model Acct | 125 |
|---|
Age
| Num Months filled monthly returns table | 17 |
|---|
Frequency
| Avg Position Time (mins) | 5246.45 |
|---|---|
| Avg Position Time (hrs) | 87.44 |
| Avg Trade Length | 3.60 |
| Last Trade Ago | 0 |
Leverage
| Daily leverage (average) | 2.14 |
|---|---|
| Daily leverage (max) | 10.32 |
Regression
| Alpha | 0.07 |
|---|---|
| Beta | 0.26 |
| Treynor Index | 0.33 |
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 | 5.18 |
| MAE:PL (avg, all trades) | -0.74 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.33 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.43 |
| Hold-and-Hope Ratio | 0.19 |
RATIO STATISTICS
| Mean | 0.43 |
|---|---|
| SD | 0.20 |
| Sharpe ratio (Glass type estimate) | 2.10 |
| Sharpe ratio (Hedges UMVUE) | 1.94 |
| df | 10 |
| t | 2.02 |
| p | 0.04 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.18 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.30 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.27 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.16 |
| Sortino ratio | 10.48 |
| Upside Potential Ratio | 12.43 |
| Upside part of mean | 0.50 |
| Downside part of mean | -0.08 |
| Upside SD | 0.22 |
| Downside SD | 0.04 |
| N nonnegative terms | 6 |
| N negative terms | 5 |
| N of observations | 11 |
| Mean of predictor | 0.40 |
| Mean of criterion | 0.43 |
| SD of predictor | 0.17 |
| SD of criterion | 0.20 |
| Covariance | 0.01 |
| r | 0.40 |
| b (slope, estimate of beta) | 0.47 |
| a (intercept, estimate of alpha) | 0.24 |
| Mean Square Error | 0.04 |
| DF error | 9 |
| t(b) | 1.31 |
| p(b) | 0.11 |
| t(a) | 0.96 |
| p(a) | 0.18 |
| Lowerbound of 95% confidence interval for beta | -0.34 |
| Upperbound of 95% confidence interval for beta | 1.28 |
| Lowerbound of 95% confidence interval for alpha | -0.32 |
| Upperbound of 95% confidence interval for alpha | 0.80 |
| Treynor index (mean / b) | 0.91 |
| Jensen alpha (a) | 0.24 |
| Mean | 0.40 |
| SD | 0.19 |
| Sharpe ratio (Glass type estimate) | 2.09 |
| Sharpe ratio (Hedges UMVUE) | 1.92 |
| df | 10 |
| t | 2.00 |
| p | 0.04 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.19 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.28 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.29 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.14 |
| Sortino ratio | 9.77 |
| Upside Potential Ratio | 11.72 |
| Upside part of mean | 0.48 |
| Downside part of mean | -0.08 |
| Upside SD | 0.21 |
| Downside SD | 0.04 |
| N nonnegative terms | 6 |
| N negative terms | 5 |
| N of observations | 11 |
| Mean of predictor | 0.38 |
| Mean of criterion | 0.40 |
| SD of predictor | 0.17 |
| SD of criterion | 0.19 |
| Covariance | 0.01 |
| r | 0.42 |
| b (slope, estimate of beta) | 0.49 |
| a (intercept, estimate of alpha) | 0.21 |
| Mean Square Error | 0.03 |
| DF error | 9 |
| t(b) | 1.40 |
| p(b) | 0.10 |
| t(a) | 0.92 |
| p(a) | 0.19 |
| Lowerbound of 95% confidence interval for beta | -0.30 |
| Upperbound of 95% confidence interval for beta | 1.28 |
| Lowerbound of 95% confidence interval for alpha | -0.31 |
| Upperbound of 95% confidence interval for alpha | 0.74 |
| Treynor index (mean / b) | 0.81 |
| Jensen alpha (a) | 0.21 |
| VaR(95%) | 0.06 |
| Expected Shortfall on VaR | 0.08 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.03 |
| Mean | 0.49 |
| SD | 0.19 |
| Sharpe ratio (Glass type estimate) | 2.56 |
| Sharpe ratio (Hedges UMVUE) | 2.55 |
| df | 255 |
| t | 2.53 |
| p | 0.01 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.56 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.55 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.56 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.55 |
| Sortino ratio | 4.28 |
| Upside Potential Ratio | 11.78 |
| Upside part of mean | 1.34 |
| Downside part of mean | -0.86 |
| Upside SD | 0.16 |
| Downside SD | 0.11 |
| N nonnegative terms | 130 |
| N negative terms | 126 |
| N of observations | 256 |
| Mean of predictor | 0.39 |
| Mean of criterion | 0.49 |
| SD of predictor | 0.16 |
| SD of criterion | 0.19 |
| Covariance | 0.01 |
| r | 0.17 |
| b (slope, estimate of beta) | 0.21 |
| a (intercept, estimate of alpha) | 0.41 |
| Mean Square Error | 0.04 |
| DF error | 254 |
| t(b) | 2.80 |
| p(b) | 0.00 |
| t(a) | 2.11 |
| p(a) | 0.02 |
| Lowerbound of 95% confidence interval for beta | 0.06 |
| Upperbound of 95% confidence interval for beta | 0.36 |
| Lowerbound of 95% confidence interval for alpha | 0.03 |
| Upperbound of 95% confidence interval for alpha | 0.78 |
| Treynor index (mean / b) | 2.30 |
| Jensen alpha (a) | 0.41 |
| Mean | 0.47 |
| SD | 0.19 |
| Sharpe ratio (Glass type estimate) | 2.47 |
| Sharpe ratio (Hedges UMVUE) | 2.46 |
| df | 255 |
| t | 2.44 |
| p | 0.01 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.47 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.46 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.47 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.46 |
| Sortino ratio | 4.07 |
| Upside Potential Ratio | 11.54 |
| Upside part of mean | 1.33 |
| Downside part of mean | -0.86 |
| Upside SD | 0.15 |
| Downside SD | 0.12 |
| N nonnegative terms | 130 |
| N negative terms | 126 |
| N of observations | 256 |
| Mean of predictor | 0.38 |
| Mean of criterion | 0.47 |
| SD of predictor | 0.16 |
| SD of criterion | 0.19 |
| Covariance | 0.01 |
| r | 0.17 |
| b (slope, estimate of beta) | 0.21 |
| a (intercept, estimate of alpha) | 0.39 |
| Mean Square Error | 0.04 |
| DF error | 254 |
| t(b) | 2.79 |
| p(b) | 0.00 |
| t(a) | 2.04 |
| p(a) | 0.02 |
| Lowerbound of 95% confidence interval for beta | 0.06 |
| Upperbound of 95% confidence interval for beta | 0.36 |
| Lowerbound of 95% confidence interval for alpha | 0.01 |
| Upperbound of 95% confidence interval for alpha | 0.77 |
| Treynor index (mean / b) | 2.23 |
| Jensen alpha (a) | 0.39 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.02 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
| Mean | 0.38 |
| SD | 0.19 |
| Sharpe ratio (Glass type estimate) | 2.00 |
| Sharpe ratio (Hedges UMVUE) | 1.99 |
| df | 130 |
| t | 1.42 |
| p | 0.44 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.78 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.78 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.79 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.77 |
| Sortino ratio | 3.29 |
| Upside Potential Ratio | 10.64 |
| Upside part of mean | 1.22 |
| Downside part of mean | -0.84 |
| Upside SD | 0.15 |
| Downside SD | 0.11 |
| N nonnegative terms | 65 |
| N negative terms | 66 |
| N of observations | 131 |
| Mean of predictor | 0.20 |
| Mean of criterion | 0.38 |
| SD of predictor | 0.15 |
| SD of criterion | 0.19 |
| Covariance | 0.00 |
| r | 0.17 |
| b (slope, estimate of beta) | 0.21 |
| a (intercept, estimate of alpha) | 0.34 |
| Mean Square Error | 0.03 |
| DF error | 129 |
| t(b) | 1.96 |
| p(b) | 0.39 |
| t(a) | 1.27 |
| p(a) | 0.43 |
| Lowerbound of 95% confidence interval for beta | -0.00 |
| Upperbound of 95% confidence interval for beta | 0.42 |
| Lowerbound of 95% confidence interval for alpha | -0.19 |
| Upperbound of 95% confidence interval for alpha | 0.86 |
| Treynor index (mean / b) | 1.80 |
| Jensen alpha (a) | 0.34 |
| Mean | 0.36 |
| SD | 0.19 |
| Sharpe ratio (Glass type estimate) | 1.91 |
| Sharpe ratio (Hedges UMVUE) | 1.90 |
| df | 130 |
| t | 1.35 |
| p | 0.44 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.87 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.69 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.88 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.68 |
| Sortino ratio | 3.10 |
| Upside Potential Ratio | 10.43 |
| Upside part of mean | 1.21 |
| Downside part of mean | -0.85 |
| Upside SD | 0.15 |
| Downside SD | 0.12 |
| N nonnegative terms | 65 |
| N negative terms | 66 |
| N of observations | 131 |
| Mean of predictor | 0.19 |
| Mean of criterion | 0.36 |
| SD of predictor | 0.15 |
| SD of criterion | 0.19 |
| Covariance | 0.00 |
| r | 0.17 |
| b (slope, estimate of beta) | 0.21 |
| a (intercept, estimate of alpha) | 0.32 |
| Mean Square Error | 0.03 |
| DF error | 129 |
| t(b) | 1.95 |
| p(b) | 0.39 |
| t(a) | 1.22 |
| p(a) | 0.43 |
| Lowerbound of 95% confidence interval for beta | -0.00 |
| VAR (95 Confidence Intrvl) | 0.02 |
| Upperbound of 95% confidence interval for beta | 0.41 |
| Lowerbound of 95% confidence interval for alpha | -0.20 |
| Upperbound of 95% confidence interval for alpha | 0.84 |
| Treynor index (mean / b) | 1.75 |
| Jensen alpha (a) | 0.32 |
| 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 | 11 |
|---|---|
| Minimum | 0.98 |
| Quartile 1 | 0.99 |
| Median | 1.03 |
| Quartile 3 | 1.08 |
| Maximum | 1.14 |
| Mean of quarter 1 | 0.98 |
| Mean of quarter 2 | 1.01 |
| Mean of quarter 3 | 1.05 |
| Mean of quarter 4 | 1.12 |
| Inter Quartile Range | 0.09 |
| 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) | -77.82 |
| VaR(95%) (moments method) | 0.02 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | -3.29 |
| VaR(95%) (regression method) | 0.03 |
| Expected Shortfall (regression method) | 0.03 |
| Number of observations | 256 |
| Minimum | 0.96 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.05 |
| 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 | 8 |
| Percentage of outliers low | 0.03 |
| Mean of outliers low | 0.97 |
| Number of outliers high | 6 |
| Percentage of outliers high | 0.02 |
| Mean of outliers high | 1.04 |
| Extreme Value Index (moments method) | 0.17 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.02 |
| Extreme Value Index (regression method) | -0.03 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.02 |
| Number of observations | 131 |
| Minimum | 0.97 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.05 |
| 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 | 7 |
| Percentage of outliers low | 0.05 |
| Mean of outliers low | 0.97 |
| Number of outliers high | 9 |
| Percentage of outliers high | 0.07 |
| Mean of outliers high | 1.03 |
| Extreme Value Index (moments method) | 0.42 |
| 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 |
DRAW DOWN STATISTICS
| Number of observations | 3 |
|---|---|
| Minimum | 0.02 |
| Quartile 1 | 0.02 |
| Median | 0.02 |
| Quartile 3 | 0.02 |
| Maximum | 0.03 |
| Mean of quarter 1 | 0.02 |
| Mean of quarter 2 | 0.02 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0.03 |
| Inter Quartile Range | 0.00 |
| 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 | 22 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.01 |
| Quartile 3 | 0.03 |
| Maximum | 0.09 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.02 |
| Mean of quarter 4 | 0.06 |
| Inter Quartile Range | 0.03 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.05 |
| Mean of outliers high | 0.09 |
| Extreme Value Index (moments method) | -1.29 |
| VaR(95%) (moments method) | 0.07 |
| Expected Shortfall (moments method) | 0.07 |
| Extreme Value Index (regression method) | -0.46 |
| VaR(95%) (regression method) | 0.07 |
| Expected Shortfall (regression method) | 0.09 |
| Number of observations | 9 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.01 |
| Quartile 3 | 0.03 |
| Maximum | 0.09 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.02 |
| Mean of quarter 4 | 0.08 |
| Inter Quartile Range | 0.03 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.11 |
| Mean of outliers high | 0.09 |
| Extreme Value Index (moments method) | -12.40 |
| VaR(95%) (moments method) | 0.06 |
| Expected Shortfall (moments method) | 0.06 |
| Extreme Value Index (regression method) | -1.42 |
| VaR(95%) (regression method) | 0.11 |
| Expected Shortfall (regression method) | 0.11 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -415744320 |
| Max Equity Drawdown (num days) | 18 |
| Last 4 Months - Pcnt Negative | 0.2% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.52 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.53 |
| Calmar ratio (compounded annual return / max draw down) | 21.34 |
| Compounded annual return / average of 25% largest draw downs | 21.34 |
| Compounded annual return / Expected Shortfall lognormal | 6.89 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.64 |
| Compounded annual return (geometric extrapolation) | 0.64 |
| Calmar ratio (compounded annual return / max draw down) | 7.18 |
| Compounded annual return / average of 25% largest draw downs | 10.87 |
| Compounded annual return / Expected Shortfall lognormal | 29.08 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.43 |
| Compounded annual return (geometric extrapolation) | 0.47 |
| Calmar ratio (compounded annual return / max draw down) | 5.26 |
| Compounded annual return / average of 25% largest draw downs | 6.05 |
| Compounded annual return / Expected Shortfall lognormal | 21.21 |
Trading record
Placed 1101 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| ETHA | long | 111 | Aug 21, 2026 | Aug 24, 2026 | $111 |
| GBTC | long | 33 | Aug 21, 2026 | Aug 24, 2026 | $64 |
| UGL | long | 35 | Aug 21, 2026 | Aug 24, 2026 | $73 |
| IT | long | 10 | Aug 19, 2026 | Aug 24, 2026 | $63 |
| G | long | 54 | Aug 19, 2026 | Aug 24, 2026 | $57 |
| ADBE | long | 10 | Aug 18, 2026 | Aug 24, 2026 | $136 |
| INTU | long | 6 | Aug 18, 2026 | Aug 24, 2026 | $125 |
| CRM | long | 10 | Aug 18, 2026 | Aug 24, 2026 | $138 |
| ADSK | long | 8 | Aug 18, 2026 | Aug 24, 2026 | $53 |
| TYL | long | 6 | Aug 18, 2026 | Aug 24, 2026 | $148 |
| CPRT | long | 63 | Aug 18, 2026 | Aug 24, 2026 | $61 |
| USO | long | 15 | Aug 21, 2026 | Aug 24, 2026 | ($34) |
| CCL | long | 74 | Aug 19, 2026 | Aug 24, 2026 | ($96) |
| DECK | long | 22 | Aug 19, 2026 | Aug 24, 2026 | ($4) |
| PODD | long | 13 | Aug 19, 2026 | Aug 24, 2026 | ($54) |
| ORCL | long | 14 | Aug 19, 2026 | Aug 24, 2026 | ($5) |
| CI | long | 7 | Aug 19, 2026 | Aug 24, 2026 | ($9) |
| AVGO | long | 6 | Aug 19, 2026 | Aug 24, 2026 | ($15) |
| PINS | long | 84 | Aug 18, 2026 | Aug 24, 2026 | ($15) |
| NBIX | long | 13 | Aug 18, 2026 | Aug 24, 2026 | ($18) |
| GMED | long | 23 | Aug 18, 2026 | Aug 24, 2026 | ($27) |
| GAP | long | 100 | Aug 18, 2026 | Aug 24, 2026 | ($7) |
| NVDA | long | 9 | Aug 18, 2026 | Aug 24, 2026 | ($90) |
| BSX | long | 38 | Aug 19, 2026 | Aug 24, 2026 | ($114) |
| UGL | long | 40 | Aug 18, 2026 | Aug 19, 2026 | $111 |
| MRVL | long | 10 | Aug 18, 2026 | Aug 19, 2026 | $208 |
| AMD | long | 5 | Aug 18, 2026 | Aug 19, 2026 | ($42) |
| HPE | long | 40 | Aug 18, 2026 | Aug 19, 2026 | ($76) |
| DELL | long | 5 | Aug 18, 2026 | Aug 19, 2026 | ($105) |
| NTAP | long | 10 | Aug 18, 2026 | Aug 18, 2026 | ($12) |
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.