ETF Timer
- hypothetical · Annual Return (Compounded)
- 16.0%
- Max Drawdown
- 43.9%
- Trades
- 216
- Win Trades
- 84.3%
- Profit Factor
- 5
- Win Months
- 56.7%
About this strategy
ETF Timer is a market-timing trading system in which I utilize my proprietary technical indicators for price, volume, and relative strength. For this system, I trade various single and double leveraged Exchange Traded Products.
Also, ETF Timer may be traded in retirement accounts since it uses no margin.
Prior to October 2015, the only ETFs traded were QID and QLD. However, in order to better diversify its holdings and reduce potential drawdowns, ETF Timer now trades a number of diversified Exchange Traded Products.
I temporarily paused trading ETF Timer on December 31, 2020 during the Pandemic. During that time, I improved my proprietary technical indicators to be more responsive to current market conditions. I restarted trading ETF Timer on August 19, 2022 once the Pandemic was substantially under control.
Unfortunately, while ETF Timer was paused the S&P 500 gained 14.0%, so ETF Timer didn’t participate in that gain. However, since I restarted ETF Timer it’s now back to outperforming the S&P 500.
DISCLAIMER: PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
Also, ETF Timer may be traded in retirement accounts since it uses no margin.
Prior to October 2015, the only ETFs traded were QID and QLD. However, in order to better diversify its holdings and reduce potential drawdowns, ETF Timer now trades a number of diversified Exchange Traded Products.
I temporarily paused trading ETF Timer on December 31, 2020 during the Pandemic. During that time, I improved my proprietary technical indicators to be more responsive to current market conditions. I restarted trading ETF Timer on August 19, 2022 once the Pandemic was substantially under control.
Unfortunately, while ETF Timer was paused the S&P 500 gained 14.0%, so ETF Timer didn’t participate in that gain. However, since I restarted ETF Timer it’s now back to outperforming the S&P 500.
DISCLAIMER: PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
Trend-following
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | -0.7 | 4.6 | 5.7 | 4.2 | 17.1 | 2.3 | 0.1 | 0.3 | 15.6 | 2.3 | 8.0 | 1.1 | 77.4 |
| 2009 | 7.1 | 0.9 | 12.5 | 15.9 | 4.1 | 2.1 | -3.0 | 3.2 | 6.1 | -3.0 | 8.7 | 4.6 | 75.2 |
| 2010 | -2.1 | 3.7 | 10.1 | 0.0 | 8.4 | -1.0 | -4.9 | -0.4 | -2.8 | -3.1 | 0.3 | -1.1 | 6.0 |
| 2011 | -2.0 | -4.2 | 0.5 | 0.9 | -3.8 | -2.1 | 0.1 | -4.3 | -6.2 | -1.1 | -7.3 | -1.4 | -27.1 |
| 2012 | 9.8 | 0.3 | -2.1 | 2.2 | 3.4 | 0.6 | 0.6 | 4.0 | 1.6 | -5.0 | 3.4 | -0.3 | 19.4 |
| 2013 | 2.7 | 1.3 | 1.1 | -2.6 | -3.6 | 6.4 | -4.0 | 1.1 | -4.2 | 3.3 | -5.4 | -5.0 | -9.3 |
| 2014 | 2.9 | 3.1 | 4.7 | 4.5 | -2.3 | -3.5 | -0.5 | -7.3 | 0.7 | 5.7 | -3.7 | 4.3 | 7.7 |
| 2015 | -2.2 | 11.9 | -4.2 | 2.9 | 3.6 | -4.4 | 7.3 | -11.9 | -4.2 | 18.7 | 1.0 | -4.4 | 11.0 |
| 2016 | -9.1 | -2.4 | 20.6 | 0.6 | 3.9 | -3.8 | 9.1 | 1.2 | 0.9 | -0.9 | 5.3 | -0.0 | 25.1 |
| 2017 | 3.7 | 2.6 | 1.1 | 1.2 | 1.1 | 1.4 | 3.8 | -2.9 | 5.9 | 0.6 | 1.6 | 1.2 | 23.1 |
| 2018 | 4.6 | -4.2 | -2.3 | -1.3 | 8.7 | 1.6 | 3.0 | 4.1 | 0.0 | -5.8 | 2.4 | -13.8 | -4.8 |
| 2019 | 12.4 | 5.6 | 1.2 | 3.0 | -8.1 | 7.4 | 1.3 | -3.4 | 2.4 | 3.0 | 3.5 | 1.6 | 32.7 |
| 2020 | -0.5 | -9.7 | -21.2 | 12.7 | 6.8 | 4.6 | 4.0 | 6.0 | -5.1 | 1.6 | 20.2 | 4.4 | 18.8 |
| 2021 | -0.0 | -0.0 | -0.0 | -0.0 | -0.0 | -0.0 | -0.0 | -0.0 | -0.0 | -0.0 | -0.0 | -0.0 | -0.4 |
| 2022 | -0.0 | -0.0 | -0.0 | -0.0 | -0.0 | -0.0 | -0.0 | -5.5 | -10.6 | 11.6 | 8.1 | -7.4 | -5.7 |
| 2023 | 10.4 | -3.7 | 1.5 | -0.9 | 0.2 | 6.5 | 6.1 | -1.2 | -8.2 | -8.3 | 20.1 | 13.7 | 37.5 |
| 2024 | -2.4 | 6.1 | 2.7 | -6.9 | 7.2 | 2.3 | 2.8 | 4.1 | 1.9 | -2.0 | 7.5 | -5.0 | 18.5 |
| 2025 | 3.0 | -3.3 | -7.4 | -1.6 | 8.6 | 8.7 | 6.7 | 4.1 | 2.4 | 1.3 | -1.6 | -0.7 | 20.7 |
| 2026 | 1.2 | -0.8 | -9.7 | 13.1 | 8.4 | -1.4 | 0.9 | 7.6 | 19.1 |
Statistics
Overview
| Strategy began | 1/31/2008 |
|---|---|
| Suggested Minimum Capital | $15,000 |
| Age | 226 months |
| C2 Rank | Top 1.3% |
| What it trades | Stocks |
| # Trades | 216 |
| # Profitable | 182 |
| % Profitable | 84.3% |
| Avg trade duration | 150.6 days |
| Max peak-to-valley drawdown | 43.9% |
| drawdown period | June 18, 2010 - Nov 26, 2011 |
| Annual Return (Compounded) | 16.0% |
| Avg win | $970 |
| Avg loss | $1,075 |
Ratios
| W:L ratio | 5.04 |
|---|---|
| Sharpe Ratio | 0.67 |
| Sortino Ratio | 0.97 |
| Calmar Ratio | 0.14 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.38 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 456.7% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 1020.4% |
Return Statistics
| Ann Return (w trading costs) | 16.0% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.2% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 16.3% |
Slump
| Current Slump as Pcnt Equity | 0.0% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.0% |
Instruments
| Percent Trades Forex | 0.0% |
|---|---|
| Percent Trades Futures | 0.0% |
| Percent Trades Options | 0.0% |
| Short Options - Percent Covered | 100.0% |
| Percent Trades Stocks | 1.0% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 51.0% |
|---|---|
| Chance of 20% account loss | 21.0% |
| Chance of 30% account loss | 9.0% |
| Chance of 40% account loss | 3.0% |
| Chance of 50% account loss | 1.5% |
| 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) | — |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Popularity
| Popularity (Today) | 741 |
|---|---|
| Popularity (Last 6 weeks) | 970 |
| C2 Score | 987 |
| Popularity (7 days, Percentile 1000 scale) | 912 |
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $1,077 |
|---|---|
| Avg Win | $1,038 |
| # Winners | 182 |
| Sum Trade PL (losers) | $36,621 |
| Sum Trade PL (winners) | $188,919 |
| Num Months Winners | 129 |
| # Losers | 34 |
| % Winners | 84.3% |
Dividends
| Dividends Received in Model Acct | 3852 |
|---|
Age
| Num Months filled monthly returns table | 224 |
|---|
Frequency
| Avg Position Time (mins) | 216794.80 |
|---|---|
| Avg Position Time (hrs) | 3613.25 |
| Avg Trade Length | 150.60 |
| Last Trade Ago | 5 |
Leverage
| Daily leverage (average) | 1.12 |
|---|---|
| Daily leverage (max) | 2.67 |
Regression
| Alpha | 0.03 |
|---|---|
| Beta | 0.34 |
| Treynor Index | 0.12 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.01 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.02 |
| 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 | 1.26 |
| MAE:PL (avg, all trades) | 5.06 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 88.87 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 95.17 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.79 |
| Avg(MAE) / Avg(PL) - Losing trades | -0.91 |
| Hold-and-Hope Ratio | 0.82 |
RATIO STATISTICS
| Mean | 0.12 |
|---|---|
| SD | 0.27 |
| Sharpe ratio (Glass type estimate) | 0.44 |
| Sharpe ratio (Hedges UMVUE) | 0.44 |
| df | 204 |
| t | 1.81 |
| p | 0.04 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.04 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.91 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.04 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.91 |
| Sortino ratio | 0.57 |
| Upside Potential Ratio | 1.63 |
| Upside part of mean | 0.33 |
| Downside part of mean | -0.22 |
| Upside SD | 0.17 |
| Downside SD | 0.20 |
| N nonnegative terms | 120 |
| N negative terms | 85 |
| N of observations | 205 |
| Mean of predictor | 0.09 |
| Mean of criterion | 0.12 |
| SD of predictor | 0.19 |
| SD of criterion | 0.27 |
| Covariance | 0.02 |
| r | 0.36 |
| b (slope, estimate of beta) | 0.52 |
| a (intercept, estimate of alpha) | 0.07 |
| Mean Square Error | 0.06 |
| DF error | 203 |
| t(b) | 5.51 |
| p(b) | 0 |
| t(a) | 1.12 |
| p(a) | 0.13 |
| Lowerbound of 95% confidence interval for beta | 0.33 |
| Upperbound of 95% confidence interval for beta | 0.70 |
| Lowerbound of 95% confidence interval for alpha | -0.05 |
| Upperbound of 95% confidence interval for alpha | 0.19 |
| Treynor index (mean / b) | 0.22 |
| Jensen alpha (a) | 0.07 |
| Mean | 0.07 |
| SD | 0.35 |
| Sharpe ratio (Glass type estimate) | 0.19 |
| Sharpe ratio (Hedges UMVUE) | 0.19 |
| df | 204 |
| t | 0.78 |
| p | 0.22 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.29 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.66 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.29 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.66 |
| Sortino ratio | 0.21 |
| Upside Potential Ratio | 1.02 |
| Upside part of mean | 0.32 |
| Downside part of mean | -0.25 |
| Upside SD | 0.16 |
| Downside SD | 0.31 |
| N nonnegative terms | 120 |
| N negative terms | 85 |
| N of observations | 205 |
| Mean of predictor | 0.08 |
| Mean of criterion | 0.07 |
| SD of predictor | 0.19 |
| SD of criterion | 0.35 |
| Covariance | 0.02 |
| r | 0.26 |
| b (slope, estimate of beta) | 0.48 |
| a (intercept, estimate of alpha) | 0.03 |
| Mean Square Error | 0.12 |
| DF error | 203 |
| t(b) | 3.81 |
| p(b) | 0.00 |
| t(a) | 0.36 |
| p(a) | 0.36 |
| Lowerbound of 95% confidence interval for beta | 0.23 |
| Upperbound of 95% confidence interval for beta | 0.73 |
| Lowerbound of 95% confidence interval for alpha | -0.13 |
| Upperbound of 95% confidence interval for alpha | 0.19 |
| Treynor index (mean / b) | 0.14 |
| Jensen alpha (a) | 0.03 |
| VaR(95%) | 0.15 |
| Expected Shortfall on VaR | 0.18 |
| VaR(95%) | 0.04 |
| Expected Shortfall on VaR | 0.08 |
| Mean | 0.16 |
| SD | 0.39 |
| Sharpe ratio (Glass type estimate) | 0.40 |
| Sharpe ratio (Hedges UMVUE) | 0.40 |
| df | 4484 |
| t | 1.66 |
| p | 0.05 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.07 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.87 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.07 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.87 |
| Sortino ratio | 0.55 |
| Upside Potential Ratio | 4.66 |
| Upside part of mean | 1.33 |
| Downside part of mean | -1.17 |
| Upside SD | 0.27 |
| Downside SD | 0.29 |
| N nonnegative terms | 2227 |
| N negative terms | 2258 |
| N of observations | 4485 |
| Mean of predictor | 0.13 |
| Mean of criterion | 0.16 |
| SD of predictor | 0.33 |
| SD of criterion | 0.39 |
| Covariance | -0.03 |
| r | -0.19 |
| b (slope, estimate of beta) | -0.23 |
| a (intercept, estimate of alpha) | 0.19 |
| Mean Square Error | 0.15 |
| DF error | 4483 |
| t(b) | -13.10 |
| p(b) | 1 |
| t(a) | 2.00 |
| p(a) | 0.02 |
| Lowerbound of 95% confidence interval for beta | -0.26 |
| Upperbound of 95% confidence interval for beta | -0.19 |
| Lowerbound of 95% confidence interval for alpha | 0.00 |
| Upperbound of 95% confidence interval for alpha | 0.37 |
| Treynor index (mean / b) | -0.69 |
| Jensen alpha (a) | 0.19 |
| Mean | 0.07 |
| SD | 0.45 |
| Sharpe ratio (Glass type estimate) | 0.15 |
| Sharpe ratio (Hedges UMVUE) | 0.15 |
| df | 4484 |
| t | 0.62 |
| p | 0.27 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.32 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 0.62 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.32 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.62 |
| Sortino ratio | 0.18 |
| Upside Potential Ratio | 3.47 |
| Upside part of mean | 1.29 |
| Downside part of mean | -1.23 |
| Upside SD | 0.25 |
| Downside SD | 0.37 |
| N nonnegative terms | 2227 |
| N negative terms | 2258 |
| N of observations | 4485 |
| Mean of predictor | 0.07 |
| Mean of criterion | 0.07 |
| SD of predictor | 0.33 |
| SD of criterion | 0.45 |
| Covariance | -0.03 |
| r | -0.17 |
| b (slope, estimate of beta) | -0.23 |
| a (intercept, estimate of alpha) | 0.08 |
| Mean Square Error | 0.20 |
| DF error | 4483 |
| t(b) | -11.71 |
| p(b) | 1 |
| t(a) | 0.79 |
| p(a) | 0.21 |
| Lowerbound of 95% confidence interval for beta | -0.27 |
| Upperbound of 95% confidence interval for beta | -0.19 |
| Lowerbound of 95% confidence interval for alpha | -0.13 |
| Upperbound of 95% confidence interval for alpha | 0.29 |
| Treynor index (mean / b) | -0.29 |
| Jensen alpha (a) | 0.08 |
| VaR(95%) | 0.04 |
| Expected Shortfall on VaR | 0.06 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
| Mean | 0.32 |
| SD | 0.20 |
| Sharpe ratio (Glass type estimate) | 1.58 |
| Sharpe ratio (Hedges UMVUE) | 1.57 |
| df | 130 |
| t | 1.12 |
| p | 0.45 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.20 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.35 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.21 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.35 |
| Sortino ratio | 2.39 |
| Upside Potential Ratio | 10.81 |
| Upside part of mean | 1.44 |
| Downside part of mean | -1.12 |
| Upside SD | 0.15 |
| Downside SD | 0.13 |
| N nonnegative terms | 72 |
| N negative terms | 59 |
| N of observations | 131 |
| Mean of predictor | 0.21 |
| Mean of criterion | 0.32 |
| SD of predictor | 0.14 |
| SD of criterion | 0.20 |
| Covariance | 0.02 |
| r | 0.72 |
| b (slope, estimate of beta) | 1.03 |
| a (intercept, estimate of alpha) | 0.11 |
| Mean Square Error | 0.02 |
| DF error | 129 |
| t(b) | 11.82 |
| p(b) | 0.08 |
| t(a) | 0.54 |
| p(a) | 0.47 |
| Lowerbound of 95% confidence interval for beta | 0.86 |
| Upperbound of 95% confidence interval for beta | 1.20 |
| Lowerbound of 95% confidence interval for alpha | -0.29 |
| Upperbound of 95% confidence interval for alpha | 0.50 |
| Treynor index (mean / b) | 0.31 |
| Jensen alpha (a) | 0.11 |
| Mean | 0.30 |
| SD | 0.20 |
| Sharpe ratio (Glass type estimate) | 1.48 |
| Sharpe ratio (Hedges UMVUE) | 1.47 |
| df | 130 |
| t | 1.05 |
| p | 0.45 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.30 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.25 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.31 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.25 |
| Sortino ratio | 2.22 |
| Upside Potential Ratio | 10.61 |
| Upside part of mean | 1.43 |
| Downside part of mean | -1.13 |
| Upside SD | 0.15 |
| Downside SD | 0.13 |
| N nonnegative terms | 72 |
| N negative terms | 59 |
| N of observations | 131 |
| Mean of predictor | 0.20 |
| Mean of criterion | 0.30 |
| SD of predictor | 0.14 |
| SD of criterion | 0.20 |
| Covariance | 0.02 |
| r | 0.72 |
| b (slope, estimate of beta) | 1.03 |
| a (intercept, estimate of alpha) | 0.10 |
| Mean Square Error | 0.02 |
| DF error | 129 |
| t(b) | 11.89 |
| p(b) | 0.08 |
| t(a) | 0.48 |
| p(a) | 0.47 |
| Lowerbound of 95% confidence interval for beta | 0.86 |
| VAR (95 Confidence Intrvl) | 0.04 |
| Upperbound of 95% confidence interval for beta | 1.21 |
| Lowerbound of 95% confidence interval for alpha | -0.30 |
| Upperbound of 95% confidence interval for alpha | 0.49 |
| Treynor index (mean / b) | 0.29 |
| Jensen alpha (a) | 0.10 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.02 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
ORDER STATISTICS
| Number of observations | 205 |
|---|---|
| Minimum | 0.31 |
| Quartile 1 | 0.98 |
| Median | 1.01 |
| Quartile 3 | 1.04 |
| Maximum | 1.20 |
| Mean of quarter 1 | 0.94 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.03 |
| Mean of quarter 4 | 1.09 |
| Inter Quartile Range | 0.06 |
| Number outliers low | 5 |
| Percentage of outliers low | 0.02 |
| Mean of outliers low | 0.74 |
| Number of outliers high | 10 |
| Percentage of outliers high | 0.05 |
| Mean of outliers high | 1.16 |
| Extreme Value Index (moments method) | 0.43 |
| VaR(95%) (moments method) | 0.06 |
| Expected Shortfall (moments method) | 0.12 |
| Extreme Value Index (regression method) | 0.35 |
| VaR(95%) (regression method) | 0.06 |
| Expected Shortfall (regression method) | 0.11 |
| Number of observations | 4485 |
| Minimum | 0.32 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.36 |
| Mean of quarter 1 | 0.98 |
| 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 | 265 |
| Percentage of outliers low | 0.06 |
| Mean of outliers low | 0.96 |
| Number of outliers high | 250 |
| Percentage of outliers high | 0.06 |
| Mean of outliers high | 1.05 |
| Extreme Value Index (moments method) | 0.64 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.04 |
| Extreme Value Index (regression method) | 0.49 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.03 |
| Number of observations | 131 |
| Minimum | 0.96 |
| Quartile 1 | 0.99 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.04 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.01 |
| Mean of quarter 4 | 1.02 |
| Inter Quartile Range | 0.01 |
| Number outliers low | 3 |
| Percentage of outliers low | 0.02 |
| Mean of outliers low | 0.97 |
| Number of outliers high | 2 |
| Percentage of outliers high | 0.02 |
| Mean of outliers high | 1.04 |
| Extreme Value Index (moments method) | -0.35 |
| VaR(95%) (moments method) | 0.01 |
| Expected Shortfall (moments method) | 0.02 |
| Extreme Value Index (regression method) | -0.24 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.02 |
DRAW DOWN STATISTICS
| Number of observations | 21 |
|---|---|
| Minimum | 0.00 |
| Quartile 1 | 0.02 |
| Median | 0.05 |
| Quartile 3 | 0.14 |
| Maximum | 0.69 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.04 |
| Mean of quarter 3 | 0.10 |
| Mean of quarter 4 | 0.34 |
| Inter Quartile Range | 0.12 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 2 |
| Percentage of outliers high | 0.10 |
| Mean of outliers high | 0.52 |
| Extreme Value Index (moments method) | 0.14 |
| VaR(95%) (moments method) | 0.33 |
| Expected Shortfall (moments method) | 0.48 |
| Extreme Value Index (regression method) | 0.53 |
| VaR(95%) (regression method) | 0.44 |
| Expected Shortfall (regression method) | 0.99 |
| Number of observations | 131 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.01 |
| Quartile 3 | 0.03 |
| Maximum | 0.70 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.00 |
| Mean of quarter 3 | 0.02 |
| Mean of quarter 4 | 0.12 |
| Inter Quartile Range | 0.03 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 18 |
| Percentage of outliers high | 0.14 |
| Mean of outliers high | 0.19 |
| Extreme Value Index (moments method) | 0.70 |
| VaR(95%) (moments method) | 0.12 |
| Expected Shortfall (moments method) | 0.44 |
| Extreme Value Index (regression method) | 0.65 |
| VaR(95%) (regression method) | 0.12 |
| Expected Shortfall (regression method) | 0.36 |
| Number of observations | 14 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.01 |
| Quartile 3 | 0.04 |
| Maximum | 0.13 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.01 |
| Mean of quarter 3 | 0.02 |
| Mean of quarter 4 | 0.07 |
| 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 | 0.07 |
| Mean of outliers high | 0.13 |
| Extreme Value Index (moments method) | 0.17 |
| VaR(95%) (moments method) | 0.08 |
| Expected Shortfall (moments method) | 0.12 |
| Extreme Value Index (regression method) | 1.39 |
| VaR(95%) (regression method) | 0.11 |
| Expected Shortfall (regression method) | 0 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -406133760 |
| Max Equity Drawdown (num days) | 526 |
| Last 4 Months - Pcnt Negative | 0.2% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.24 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.10 |
| Calmar ratio (compounded annual return / max draw down) | 0.14 |
| Compounded annual return / average of 25% largest draw downs | 0.29 |
| Compounded annual return / Expected Shortfall lognormal | 0.54 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.24 |
| Compounded annual return (geometric extrapolation) | 0.10 |
| Calmar ratio (compounded annual return / max draw down) | 0.14 |
| Compounded annual return / average of 25% largest draw downs | 0.82 |
| Compounded annual return / Expected Shortfall lognormal | 1.81 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.35 |
| Compounded annual return (geometric extrapolation) | 0.39 |
| Calmar ratio (compounded annual return / max draw down) | 3.04 |
| Compounded annual return / average of 25% largest draw downs | 5.59 |
| Compounded annual return / Expected Shortfall lognormal | 15.90 |
Trading record
Placed 385 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| FXI | long | 500 | Jun 30, 2026 | Aug 18, 2026 | $1,813 |
| IBB | long | 100 | May 28, 2026 | Aug 3, 2026 | $1,588 |
| KRE | long | 260 | Jun 4, 2026 | Jul 29, 2026 | $1,133 |
| WCLD | long | 800 | Jul 10, 2025 | Jul 21, 2026 | $760 |
| DRIP | long | 600 | Mar 6, 2026 | Jun 17, 2026 | $70 |
| ARKQ | long | 100 | Mar 2, 2026 | Jun 10, 2026 | $491 |
| EEM | long | 200 | Apr 10, 2026 | Jun 9, 2026 | $884 |
| SVXY | long | 250 | Mar 24, 2026 | May 4, 2026 | $1,058 |
| UWM | long | 200 | Dec 24, 2025 | Apr 1, 2026 | $108 |
| IGV | long | 100 | Feb 6, 2026 | Mar 20, 2026 | $267 |
| EEM | long | 250 | Dec 19, 2025 | Mar 13, 2026 | $931 |
| MVV | long | 400 | Oct 2, 2025 | Mar 12, 2026 | $1,172 |
| KRE | long | 150 | Nov 12, 2025 | Feb 26, 2026 | $1,093 |
| UBT | long | 800 | Nov 26, 2025 | Feb 24, 2026 | $64 |
| ZSL | long | 1500 | Jan 28, 2026 | Feb 20, 2026 | $1,215 |
| ARKW | long | 100 | Nov 25, 2025 | Dec 16, 2025 | $651 |
| ETHE | long | 300 | Nov 18, 2025 | Nov 21, 2025 | ($1,007) |
| FCG | long | 800 | Jul 29, 2025 | Nov 17, 2025 | ($64) |
| SOXQ | long | 250 | Aug 20, 2025 | Nov 14, 2025 | $1,776 |
| ZSL | long | 400 | Oct 8, 2025 | Nov 7, 2025 | ($340) |
| UBT | long | 350 | Jul 30, 2025 | Nov 4, 2025 | $476 |
| SVXY | long | 200 | Oct 17, 2025 | Oct 30, 2025 | $781 |
| ARKF | long | 250 | Apr 25, 2025 | Oct 16, 2025 | $2,800 |
| KRE | long | 150 | Aug 11, 2025 | Oct 2, 2025 | $561 |
| ETHE | long | 400 | Jun 17, 2025 | Sep 24, 2025 | $3,798 |
| LIT | long | 250 | Jun 26, 2025 | Jul 31, 2025 | $696 |
| OIH | short | 40 | Jul 23, 2025 | Jul 28, 2025 | ($280) |
| IEO | long | 150 | May 15, 2025 | Jun 27, 2025 | $193 |
| EEM | long | 200 | Apr 24, 2025 | Jun 2, 2025 | $482 |
| SVXY | long | 300 | Apr 11, 2025 | Apr 16, 2025 | $219 |
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.