US Stock Momentum
Trades Own Strategy
- hypothetical · Annual Return (Compounded)
- 95.6%
- Max Drawdown
- 39.8%
- Trades
- 129
- Win Trades
- 58.9%
- Profit Factor
- 2.10
- Win Months
- 66.7%
About this strategy
Core Strategy & Risk Management
The Strategy is a systematic, unleveraged equity model designed to capture elite alpha by selecting the top 10 stocks with the strongest momentum from the S&P 500. To ensure robust capital protection, the model strictly invests in assets displaying a well-defined, persistent upward trend.
To navigate high-volatility environments (such as semiconductor or tech cycles), the strategy integrates a proprietary tactical sector overlay. This dynamic overlay actively mitigates sector-specific concentration risk and shields the portfolio during systemic market rotations.
Execution & Capacity
Monthly Rebalancing: Systematic portfolio updates executed once a month at market open to minimize execution friction.
Optimized Turnover: A streamlined 10-position portfolio engineered for low turnover, near-zero slippage, and seamless replication.
High Capacity: A scalable, institutional-grade model perfectly suited for both individual subscribers and larger managed accounts (Family Offices).
Proven Robustness & Performance Track Record
While pure stock selection is backed by an exhaustive, institutional-grade backtest on QuantConnect dating back to 1998, the live strategy incorporates our advanced risk overlay for enhanced drawdown protection:
Historical Backtest (1998–2026): 66% CAGR with a 17% Maximum Drawdown (successfully absorbing the 2001, 2008, and 2020 crises).
Live Performance Milestone: Driven by a rigorous 12-month live track record, the strategy has delivered +102% return (over its initial 10 months) with a tightly controlled 16% Max DD.
Full Audit Report (1998-2026): https://1drv.ms/b/c/bf9c1b9f66ca875b/IQBd2lHn7EaxRa0cVU3x17KWAU7TqFwuMAxYk4wbf9_GCe0?e=1LQ2YO
Subscription Pricing & Allocation Tiers
To align subscription fees with actual capital allocated and preserve portfolio performance, we operate an AUM-based tiered pricing structure:
Micro Tier (AUM < $35k): $59 / month
Standard Tier (AUM $35k - $80k): $99 / month
Advanced Tier (AUM $80k - $150k): $199 / month
Private Tier (AUM $150k - $300k): $299 / month
Large Account Tier (AUM > $300k): $499 / month
Procedure to switch to live trading before the next rebalancing:
Contact me here first via private message.
Add me on LinkedIn using this direct link: https://www.linkedin.com/in/kamel-djemili-0040842ba/
Once connected, send me a screenshot of your allocated capital.
After validating your capital, you can subscribe to the strategy, and I will manually apply your dedicated special pricing tier to your account.
The Strategy is a systematic, unleveraged equity model designed to capture elite alpha by selecting the top 10 stocks with the strongest momentum from the S&P 500. To ensure robust capital protection, the model strictly invests in assets displaying a well-defined, persistent upward trend.
To navigate high-volatility environments (such as semiconductor or tech cycles), the strategy integrates a proprietary tactical sector overlay. This dynamic overlay actively mitigates sector-specific concentration risk and shields the portfolio during systemic market rotations.
Execution & Capacity
Monthly Rebalancing: Systematic portfolio updates executed once a month at market open to minimize execution friction.
Optimized Turnover: A streamlined 10-position portfolio engineered for low turnover, near-zero slippage, and seamless replication.
High Capacity: A scalable, institutional-grade model perfectly suited for both individual subscribers and larger managed accounts (Family Offices).
Proven Robustness & Performance Track Record
While pure stock selection is backed by an exhaustive, institutional-grade backtest on QuantConnect dating back to 1998, the live strategy incorporates our advanced risk overlay for enhanced drawdown protection:
Historical Backtest (1998–2026): 66% CAGR with a 17% Maximum Drawdown (successfully absorbing the 2001, 2008, and 2020 crises).
Live Performance Milestone: Driven by a rigorous 12-month live track record, the strategy has delivered +102% return (over its initial 10 months) with a tightly controlled 16% Max DD.
Full Audit Report (1998-2026): https://1drv.ms/b/c/bf9c1b9f66ca875b/IQBd2lHn7EaxRa0cVU3x17KWAU7TqFwuMAxYk4wbf9_GCe0?e=1LQ2YO
Subscription Pricing & Allocation Tiers
To align subscription fees with actual capital allocated and preserve portfolio performance, we operate an AUM-based tiered pricing structure:
Micro Tier (AUM < $35k): $59 / month
Standard Tier (AUM $35k - $80k): $99 / month
Advanced Tier (AUM $80k - $150k): $199 / month
Private Tier (AUM $150k - $300k): $299 / month
Large Account Tier (AUM > $300k): $499 / month
Procedure to switch to live trading before the next rebalancing:
Contact me here first via private message.
Add me on LinkedIn using this direct link: https://www.linkedin.com/in/kamel-djemili-0040842ba/
Once connected, send me a screenshot of your allocated capital.
After validating your capital, you can subscribe to the strategy, and I will manually apply your dedicated special pricing tier to your account.
Momentum
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | -0.2 | -0.7 | 1.1 | 10.5 | 12.4 | -5.0 | 6.6 | 26.0 | |||||
| 2026 | 27.8 | -2.2 | 11.2 | 36.2 | 14.4 | 7.6 | -30.8 | 10.6 | 78.2 |
Statistics
Overview
| Strategy began | 6/2/2025 |
|---|---|
| Suggested Minimum Capital | $50,000 |
| Age | 15 months |
| C2 Rank | Top 5.9% |
| What it trades | Stocks |
| # Trades | 129 |
| # Profitable | 76 |
| % Profitable | 58.9% |
| Avg trade duration | 35.7 days |
| Max peak-to-valley drawdown | 39.9% |
| drawdown period | June 25, 2026 - July 29, 2026 |
| Annual Return (Compounded) | 95.6% |
| Avg win | $877 |
| Avg loss | $617 |
Ratios
| W:L ratio | 2.05 |
|---|---|
| Sharpe Ratio | 1.48 |
| Sortino Ratio | 2.27 |
| Calmar Ratio | 2.89 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.39 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 29.3% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 99.7% |
Return Statistics
| Ann Return (w trading costs) | 95.6% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 1.0% |
| Return Pcnt Since TOS Status | -22.7% |
| Ann Return (Compnd, No Fees) | 102.6% |
Slump
| Current Slump as Pcnt Equity | 34.6% |
|---|---|
| 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 | 0.1% |
| Short Options - Percent Covered | 100.0% |
| Percent Trades Stocks | 0.9% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 40.5% |
|---|---|
| Chance of 20% account loss | 16.5% |
| Chance of 30% account loss | 2.5% |
| Chance of 40% account loss | 0.5% |
| 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) | 953 |
|---|---|
| Popularity (Last 6 weeks) | 998 |
| C2 Score | 941 |
| Popularity (7 days, Percentile 1000 scale) | 979 |
Trading Style
| Any stock shorts? 0/1 | 1 |
|---|
Trades-Own-System Certification
| Trades Own System? | 187601 |
|---|---|
| TOS percent | 100.0% |
Win / Loss
| Avg Loss | $648 |
|---|---|
| Avg Win | $877 |
| # Winners | 76 |
| Sum Trade PL (losers) | $34,329 |
| Sum Trade PL (winners) | $66,618 |
| Num Months Winners | 11 |
| # Losers | 53 |
| % Winners | 58.9% |
Dividends
| Dividends Received in Model Acct | 264 |
|---|
Age
| Num Months filled monthly returns table | 15 |
|---|
Frequency
| Avg Position Time (mins) | 51340.87 |
|---|---|
| Avg Position Time (hrs) | 855.68 |
| Avg Trade Length | 35.70 |
| Last Trade Ago | 20 |
Leverage
| Daily leverage (average) | 1.30 |
|---|---|
| Daily leverage (max) | 3.25 |
Regression
| Alpha | 0.14 |
|---|---|
| Beta | 1.37 |
| Treynor Index | 0.15 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.01 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.08 |
| 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 | 2.72 |
| MAE:PL (avg, all trades) | -0.67 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 40.62 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 59.09 |
| 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 | -1.58 |
| Hold-and-Hope Ratio | 0.35 |
RATIO STATISTICS
| Mean | 0.78 |
|---|---|
| SD | 0.49 |
| Sharpe ratio (Glass type estimate) | 1.59 |
| Sharpe ratio (Hedges UMVUE) | 1.50 |
| df | 13 |
| t | 1.72 |
| p | 0.23 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.35 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.48 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.41 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.40 |
| Sortino ratio | 4.91 |
| Upside Potential Ratio | 6.52 |
| Upside part of mean | 1.04 |
| Downside part of mean | -0.26 |
| Upside SD | 0.50 |
| Downside SD | 0.16 |
| N nonnegative terms | 9 |
| N negative terms | 5 |
| N of observations | 14 |
| Mean of predictor | 0.21 |
| Mean of criterion | 0.78 |
| SD of predictor | 0.12 |
| SD of criterion | 0.49 |
| Covariance | 0.03 |
| r | 0.46 |
| b (slope, estimate of beta) | 1.90 |
| a (intercept, estimate of alpha) | 0.39 |
| Mean Square Error | 0.21 |
| DF error | 12 |
| t(b) | 1.79 |
| p(b) | 0.27 |
| t(a) | 0.81 |
| p(a) | 0.39 |
| Lowerbound of 95% confidence interval for beta | -0.41 |
| Upperbound of 95% confidence interval for beta | 4.21 |
| Lowerbound of 95% confidence interval for alpha | -0.65 |
| Upperbound of 95% confidence interval for alpha | 1.42 |
| Treynor index (mean / b) | 0.41 |
| Jensen alpha (a) | 0.39 |
| Mean | 0.66 |
| SD | 0.45 |
| Sharpe ratio (Glass type estimate) | 1.49 |
| Sharpe ratio (Hedges UMVUE) | 1.40 |
| df | 13 |
| t | 1.61 |
| p | 0.25 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.44 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.36 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.49 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.29 |
| Sortino ratio | 3.90 |
| Upside Potential Ratio | 5.49 |
| Upside part of mean | 0.93 |
| Downside part of mean | -0.27 |
| Upside SD | 0.44 |
| Downside SD | 0.17 |
| N nonnegative terms | 9 |
| N negative terms | 5 |
| N of observations | 14 |
| Mean of predictor | 0.20 |
| Mean of criterion | 0.66 |
| SD of predictor | 0.11 |
| SD of criterion | 0.45 |
| Covariance | 0.02 |
| r | 0.41 |
| b (slope, estimate of beta) | 1.60 |
| a (intercept, estimate of alpha) | 0.34 |
| Mean Square Error | 0.18 |
| DF error | 12 |
| t(b) | 1.56 |
| p(b) | 0.29 |
| t(a) | 0.77 |
| p(a) | 0.39 |
| Lowerbound of 95% confidence interval for beta | -0.64 |
| Upperbound of 95% confidence interval for beta | 3.83 |
| Lowerbound of 95% confidence interval for alpha | -0.62 |
| Upperbound of 95% confidence interval for alpha | 1.31 |
| Treynor index (mean / b) | 0.42 |
| Jensen alpha (a) | 0.34 |
| VaR(95%) | 0.14 |
| Expected Shortfall on VaR | 0.19 |
| VaR(95%) | 0.04 |
| Expected Shortfall on VaR | 0.08 |
| Mean | 0.78 |
| SD | 0.42 |
| Sharpe ratio (Glass type estimate) | 1.87 |
| Sharpe ratio (Hedges UMVUE) | 1.86 |
| df | 314 |
| t | 2.05 |
| p | 0.02 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.07 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.66 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.07 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.66 |
| Sortino ratio | 2.88 |
| Upside Potential Ratio | 9.89 |
| Upside part of mean | 2.68 |
| Downside part of mean | -1.90 |
| Upside SD | 0.32 |
| Downside SD | 0.27 |
| N nonnegative terms | 186 |
| N negative terms | 129 |
| N of observations | 315 |
| Mean of predictor | 0.19 |
| Mean of criterion | 0.78 |
| SD of predictor | 0.12 |
| SD of criterion | 0.42 |
| Covariance | 0.02 |
| r | 0.38 |
| b (slope, estimate of beta) | 1.27 |
| a (intercept, estimate of alpha) | 0.54 |
| Mean Square Error | 0.15 |
| DF error | 313 |
| t(b) | 7.20 |
| p(b) | 0 |
| t(a) | 1.51 |
| p(a) | 0.07 |
| Lowerbound of 95% confidence interval for beta | 0.92 |
| Upperbound of 95% confidence interval for beta | 1.62 |
| Lowerbound of 95% confidence interval for alpha | -0.16 |
| Upperbound of 95% confidence interval for alpha | 1.23 |
| Treynor index (mean / b) | 0.61 |
| Jensen alpha (a) | 0.53 |
| Mean | 0.69 |
| SD | 0.42 |
| Sharpe ratio (Glass type estimate) | 1.66 |
| Sharpe ratio (Hedges UMVUE) | 1.66 |
| df | 314 |
| t | 1.82 |
| p | 0.03 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.13 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.45 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.13 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.45 |
| Sortino ratio | 2.48 |
| Upside Potential Ratio | 9.44 |
| Upside part of mean | 2.63 |
| Downside part of mean | -1.94 |
| Upside SD | 0.31 |
| Downside SD | 0.28 |
| N nonnegative terms | 186 |
| N negative terms | 129 |
| N of observations | 315 |
| Mean of predictor | 0.19 |
| Mean of criterion | 0.69 |
| SD of predictor | 0.12 |
| SD of criterion | 0.42 |
| Covariance | 0.02 |
| r | 0.37 |
| b (slope, estimate of beta) | 1.26 |
| a (intercept, estimate of alpha) | 0.46 |
| Mean Square Error | 0.15 |
| DF error | 313 |
| t(b) | 7.14 |
| p(b) | 0 |
| t(a) | 1.29 |
| p(a) | 0.10 |
| Lowerbound of 95% confidence interval for beta | 0.91 |
| Upperbound of 95% confidence interval for beta | 1.61 |
| Lowerbound of 95% confidence interval for alpha | -0.24 |
| Upperbound of 95% confidence interval for alpha | 1.16 |
| Treynor index (mean / b) | 0.55 |
| Jensen alpha (a) | 0.46 |
| VaR(95%) | 0.04 |
| Expected Shortfall on VaR | 0.05 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.03 |
| Mean | 0.92 |
| SD | 0.57 |
| Sharpe ratio (Glass type estimate) | 1.61 |
| Sharpe ratio (Hedges UMVUE) | 1.60 |
| df | 130 |
| t | 1.14 |
| p | 0.45 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.17 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.39 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.18 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.38 |
| Sortino ratio | 2.41 |
| Upside Potential Ratio | 10.24 |
| Upside part of mean | 3.91 |
| Downside part of mean | -2.99 |
| Upside SD | 0.42 |
| Downside SD | 0.38 |
| N nonnegative terms | 76 |
| N negative terms | 55 |
| N of observations | 131 |
| Mean of predictor | 0.21 |
| Mean of criterion | 0.92 |
| SD of predictor | 0.14 |
| SD of criterion | 0.57 |
| Covariance | 0.03 |
| r | 0.32 |
| b (slope, estimate of beta) | 1.27 |
| a (intercept, estimate of alpha) | 0.65 |
| Mean Square Error | 0.29 |
| DF error | 129 |
| t(b) | 3.78 |
| p(b) | 0.30 |
| t(a) | 0.84 |
| p(a) | 0.45 |
| Lowerbound of 95% confidence interval for beta | 0.60 |
| Upperbound of 95% confidence interval for beta | 1.94 |
| Lowerbound of 95% confidence interval for alpha | -0.88 |
| Upperbound of 95% confidence interval for alpha | 2.18 |
| Treynor index (mean / b) | 0.72 |
| Jensen alpha (a) | 0.65 |
| Mean | 0.76 |
| SD | 0.57 |
| Sharpe ratio (Glass type estimate) | 1.33 |
| Sharpe ratio (Hedges UMVUE) | 1.32 |
| df | 130 |
| t | 0.94 |
| p | 0.46 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.45 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.10 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.46 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.09 |
| Sortino ratio | 1.92 |
| Upside Potential Ratio | 9.70 |
| Upside part of mean | 3.82 |
| Downside part of mean | -3.07 |
| Upside SD | 0.41 |
| Downside SD | 0.39 |
| N nonnegative terms | 76 |
| N negative terms | 55 |
| N of observations | 131 |
| Mean of predictor | 0.20 |
| Mean of criterion | 0.76 |
| SD of predictor | 0.14 |
| SD of criterion | 0.57 |
| Covariance | 0.03 |
| r | 0.31 |
| b (slope, estimate of beta) | 1.25 |
| a (intercept, estimate of alpha) | 0.50 |
| Mean Square Error | 0.30 |
| DF error | 129 |
| t(b) | 3.71 |
| p(b) | 0.31 |
| t(a) | 0.65 |
| p(a) | 0.46 |
| Lowerbound of 95% confidence interval for beta | 0.58 |
| VAR (95 Confidence Intrvl) | 0.04 |
| Upperbound of 95% confidence interval for beta | 1.92 |
| Lowerbound of 95% confidence interval for alpha | -1.02 |
| Upperbound of 95% confidence interval for alpha | 2.03 |
| Treynor index (mean / b) | 0.60 |
| Jensen alpha (a) | 0.50 |
| VaR(95%) | 0.05 |
| Expected Shortfall on VaR | 0.07 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.05 |
ORDER STATISTICS
| Number of observations | 14 |
|---|---|
| Minimum | 0.86 |
| Quartile 1 | 0.97 |
| Median | 1.02 |
| Quartile 3 | 1.12 |
| Maximum | 1.41 |
| Mean of quarter 1 | 0.93 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.09 |
| Mean of quarter 4 | 1.24 |
| Inter Quartile Range | 0.15 |
| 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 | 1.41 |
| Extreme Value Index (moments method) | 0.35 |
| VaR(95%) (moments method) | 0.08 |
| Expected Shortfall (moments method) | 0.15 |
| Extreme Value Index (regression method) | 1.92 |
| VaR(95%) (regression method) | 0.12 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 315 |
| Minimum | 0.91 |
| Quartile 1 | 0.99 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.10 |
| Mean of quarter 1 | 0.97 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.01 |
| Mean of quarter 4 | 1.03 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 16 |
| Percentage of outliers low | 0.05 |
| Mean of outliers low | 0.94 |
| Number of outliers high | 17 |
| Percentage of outliers high | 0.05 |
| Mean of outliers high | 1.07 |
| Extreme Value Index (moments method) | 0.41 |
| VaR(95%) (moments method) | 0.02 |
| Expected Shortfall (moments method) | 0.05 |
| Extreme Value Index (regression method) | 0.05 |
| VaR(95%) (regression method) | 0.02 |
| Expected Shortfall (regression method) | 0.03 |
| Number of observations | 131 |
| Minimum | 0.91 |
| Quartile 1 | 0.99 |
| Median | 1.00 |
| Quartile 3 | 1.02 |
| Maximum | 1.10 |
| Mean of quarter 1 | 0.96 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.01 |
| Mean of quarter 4 | 1.05 |
| Inter Quartile Range | 0.04 |
| Number outliers low | 6 |
| Percentage of outliers low | 0.05 |
| Mean of outliers low | 0.92 |
| Number of outliers high | 3 |
| Percentage of outliers high | 0.02 |
| Mean of outliers high | 1.09 |
| Extreme Value Index (moments method) | -0.33 |
| VaR(95%) (moments method) | 0.04 |
| Expected Shortfall (moments method) | 0.04 |
| Extreme Value Index (regression method) | -0.64 |
| VaR(95%) (regression method) | 0.04 |
| Expected Shortfall (regression method) | 0.05 |
DRAW DOWN STATISTICS
| Number of observations | 4 |
|---|---|
| Minimum | 0.00 |
| Quartile 1 | 0.03 |
| Median | 0.05 |
| Quartile 3 | 0.10 |
| Maximum | 0.17 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.03 |
| Mean of quarter 3 | 0.07 |
| Mean of quarter 4 | 0.17 |
| Inter Quartile Range | 0.07 |
| 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 | 26 |
| Minimum | 0.00 |
| Quartile 1 | 0.02 |
| Median | 0.03 |
| Quartile 3 | 0.04 |
| Maximum | 0.37 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.02 |
| Mean of quarter 3 | 0.03 |
| Mean of quarter 4 | 0.14 |
| Inter Quartile Range | 0.03 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 6 |
| Percentage of outliers high | 0.23 |
| Mean of outliers high | 0.16 |
| Extreme Value Index (moments method) | -2.14 |
| VaR(95%) (moments method) | 0.11 |
| Expected Shortfall (moments method) | 0.11 |
| Extreme Value Index (regression method) | 0.51 |
| VaR(95%) (regression method) | 0.12 |
| Expected Shortfall (regression method) | 0.28 |
| Number of observations | 14 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.02 |
| Quartile 3 | 0.06 |
| Maximum | 0.37 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.02 |
| Mean of quarter 3 | 0.03 |
| Mean of quarter 4 | 0.16 |
| Inter Quartile Range | 0.05 |
| 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 | 0.37 |
| Extreme Value Index (moments method) | 0.01 |
| VaR(95%) (moments method) | 0.15 |
| Expected Shortfall (moments method) | 0.21 |
| Extreme Value Index (regression method) | 0.93 |
| VaR(95%) (regression method) | 0.23 |
| Expected Shortfall (regression method) | 3.21 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -396602976 |
| Max Equity Drawdown (num days) | 34 |
| Last 4 Months - Pcnt Negative | 0.2% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 1.06 |
|---|---|
| Compounded annual return (geometric extrapolation) | 1.00 |
| Calmar ratio (compounded annual return / max draw down) | 5.72 |
| Compounded annual return / average of 25% largest draw downs | 5.72 |
| Compounded annual return / Expected Shortfall lognormal | 5.28 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 1.15 |
| Compounded annual return (geometric extrapolation) | 1.06 |
| Calmar ratio (compounded annual return / max draw down) | 2.89 |
| Compounded annual return / average of 25% largest draw downs | 7.50 |
| Compounded annual return / Expected Shortfall lognormal | 21.46 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.96 |
| Compounded annual return (geometric extrapolation) | 1.19 |
| Calmar ratio (compounded annual return / max draw down) | 3.26 |
| Compounded annual return / average of 25% largest draw downs | 7.39 |
| Compounded annual return / Expected Shortfall lognormal | 17.66 |
Trading record
Placed 150 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| ON | long | 13 | Jul 1, 2026 | Aug 3, 2026 | ($188) |
| MRVL | long | 8 | Jul 1, 2026 | Aug 3, 2026 | ($809) |
| COHR | long | 16 | Jun 25, 2026 | Aug 3, 2026 | ($2,383) |
| CIEN | long | 16 | Jun 25, 2026 | Aug 3, 2026 | ($1,340) |
| IDGT2618U114 | long | 3 | Jul 2, 2026 | Jul 15, 2026 | ($585) |
| XLK2618U180 | long | 1 | Jul 2, 2026 | Jul 13, 2026 | ($220) |
| XSD2621T550 | long | 1 | Jul 2, 2026 | Jul 13, 2026 | ($547) |
| VRT | long | 4 | Jun 25, 2026 | Jul 1, 2026 | ($11) |
| WBD | long | 146 | Jun 25, 2026 | Jul 1, 2026 | ($47) |
| TER | long | 11 | Jun 25, 2026 | Jul 1, 2026 | ($218) |
| MRNA | long | 44 | Jun 25, 2026 | Jul 1, 2026 | $427 |
| XSP2621T729 | long | 1.18 | Jun 11, 2026 | Jun 22, 2026 | ($1,144) |
| XSP2621T750 | long | 1.18 | Jun 5, 2026 | Jun 22, 2026 | ($917) |
| XSP2621T758 | long | 1.18 | Jun 1, 2026 | Jun 22, 2026 | $112 |
| KEYS | long | 2.95 | Jun 1, 2026 | Jun 22, 2026 | $119 |
| INTC | long | 20.65 | Jun 1, 2026 | Jun 22, 2026 | $663 |
| MU | short | 2.95 | Jun 22, 2026 | Jun 22, 2026 | ($2) |
| MU | long | 2.95 | Jun 1, 2026 | Jun 22, 2026 | $464 |
| COHR | long | 12.39 | Jun 1, 2026 | Jun 22, 2026 | $874 |
| STX | long | 5.9 | Jun 1, 2026 | Jun 22, 2026 | $1,101 |
| TER | long | 18.29 | Jun 1, 2026 | Jun 22, 2026 | $1,392 |
| CIEN | long | 13.57 | Jun 1, 2026 | Jun 22, 2026 | ($1,573) |
| WDC | long | 16.52 | Jun 1, 2026 | Jun 22, 2026 | $3,033 |
| LITE | long | 11.8 | Jun 1, 2026 | Jun 22, 2026 | $319 |
| SNDK | long | 6.49 | Jun 1, 2026 | Jun 22, 2026 | $3,672 |
| XSP2622R740 | long | 1.18 | May 21, 2026 | Jun 1, 2026 | ($928) |
| SNDK | short | 9.44 | Jun 1, 2026 | Jun 1, 2026 | ($240) |
| APA | long | 24.78 | May 1, 2026 | Jun 1, 2026 | ($73) |
| DOW | long | 48.97 | May 1, 2026 | Jun 1, 2026 | ($325) |
| MU | long | 5.31 | May 1, 2026 | Jun 1, 2026 | $2,674 |
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.