US Alpha Equity Focus
- hypothetical · Annual Return (Compounded)
- 100.8%
- Max Drawdown
- 32.9%
- Trades
- 308
- Win Trades
- 70.5%
- Profit Factor
- 3
- Win Months
- 62.5%
About this strategy
Heritage Value Capital – Investment Strategy
1. Core Philosophy
Heritage Value Capital invests in high-quality companies trading below intrinsic value. Markets often misprice strong businesses due to short-term volatility, and we capitalize on these moments for long-term growth with disciplined risk controls.
2. Investment Process
Value Research: Identify leading companies with durable advantages, solid balance sheets, and consistent earnings through deep analysis of reports and guidance.
Technical Analysis: Apply full chart analysis to guide both entries and exits. We rely on price action, support/resistance, volume trends, and a proprietary three-EMA system that helps confirm optimal entry and exit points.
3. Position Management
Accumulation: Build positions gradually during setbacks when fundamentals and technicals align.
Exit: Scale out profits progressively as prices rise, securing gains while retaining upside.
4. Options Overlay
Use long-dated call options (12–18 months) when attractively priced.
Enhances returns, reduces cash outlay, and provides leverage in high-conviction opportunities.
5. Risk Management
Disciplined position sizing.
Focus only on profitable, established companies.
Dynamic scaling in/out to avoid over-concentration.
Patience—entries and exits must be supported by both value and technical signals.
6. Advantages
Quality-first stock selection.
Volatility becomes opportunity.
Efficient capital deployment with options.
Strong dual-layer filter: value + full technical analysis with proprietary EMA system.
Systematic profit taking.
✅ In short: Heritage Value Capital blends value investing with proprietary technical chart analysis and options overlays to generate steady returns from market mispricing.
1. Core Philosophy
Heritage Value Capital invests in high-quality companies trading below intrinsic value. Markets often misprice strong businesses due to short-term volatility, and we capitalize on these moments for long-term growth with disciplined risk controls.
2. Investment Process
Value Research: Identify leading companies with durable advantages, solid balance sheets, and consistent earnings through deep analysis of reports and guidance.
Technical Analysis: Apply full chart analysis to guide both entries and exits. We rely on price action, support/resistance, volume trends, and a proprietary three-EMA system that helps confirm optimal entry and exit points.
3. Position Management
Accumulation: Build positions gradually during setbacks when fundamentals and technicals align.
Exit: Scale out profits progressively as prices rise, securing gains while retaining upside.
4. Options Overlay
Use long-dated call options (12–18 months) when attractively priced.
Enhances returns, reduces cash outlay, and provides leverage in high-conviction opportunities.
5. Risk Management
Disciplined position sizing.
Focus only on profitable, established companies.
Dynamic scaling in/out to avoid over-concentration.
Patience—entries and exits must be supported by both value and technical signals.
6. Advantages
Quality-first stock selection.
Volatility becomes opportunity.
Efficient capital deployment with options.
Strong dual-layer filter: value + full technical analysis with proprietary EMA system.
Systematic profit taking.
✅ In short: Heritage Value Capital blends value investing with proprietary technical chart analysis and options overlays to generate steady returns from market mispricing.
Event-driven Short-term Reversal
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2022 | -8.2 | -13.2 | 21.3 | -16.4 | -19.3 | ||||||||
| 2023 | 58.0 | 5.4 | 37.1 | 11.4 | -4.8 | 24.4 | 46.5 | -13.0 | -9.6 | -8.6 | 39.5 | 14.9 | 408.4 |
| 2024 | 21.7 | 27.0 | -0.9 | -14.2 | 7.3 | 15.6 | -10.3 | 14.7 | 12.9 | 0.6 | 10.8 | 0.8 | 112.6 |
| 2025 | 12.4 | 1.9 | -3.0 | 3.8 | 1.2 | 5.2 | 5.4 | 7.7 | 14.4 | -2.6 | 3.0 | -2.9 | 55.3 |
| 2026 | 11.1 | -3.4 | -1.7 | 8.1 | -5.8 | -0.7 | 10.3 | -0.3 | 17.3 |
Statistics
Overview
| Strategy began | 9/8/2022 |
|---|---|
| Suggested Minimum Capital | $50,000 |
| Age | 48 months |
| C2 Rank | Top 4.6% |
| What it trades | Stocks |
| # Trades | 308 |
| # Profitable | 217 |
| % Profitable | 70.5% |
| Avg trade duration | 32.5 days |
| Max peak-to-valley drawdown | 32.9% |
| drawdown period | Feb 03, 2023 - March 22, 2023 |
| Annual Return (Compounded) | 100.8% |
| Avg win | $341 |
| Avg loss | $273 |
Ratios
| W:L ratio | 3.02 |
|---|---|
| Sharpe Ratio | 1.22 |
| Sortino Ratio | 2.06 |
| Calmar Ratio | 5.73 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.32 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 91.6% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 1398.7% |
Return Statistics
| Ann Return (w trading costs) | 100.8% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 1.0% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 103.6% |
Slump
| Current Slump as Pcnt Equity | 26.3% |
|---|---|
| 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 | 0.2% |
| Short Options - Percent Covered | 0.0% |
| Percent Trades Stocks | 0.8% |
Risk of Ruin (Monte-Carlo)
| Chance of 10% account loss | 81.5% |
|---|---|
| Chance of 20% account loss | 68.0% |
| Chance of 30% account loss | 52.5% |
| Chance of 40% account loss | 44.5% |
| Chance of 50% account loss | 27.0% |
| Chance of 60% account loss (Monte Carlo) | 20.5% |
| Chance of 70% account loss (Monte Carlo) | 8.0% |
| Chance of 80% account loss (Monte Carlo) | 2.5% |
| Chance of 90% account loss (Monte Carlo) | 1.5% |
| Chance of 100% account loss (Monte Carlo) | 0.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Popularity
| Popularity (Today) | 807 |
|---|---|
| Popularity (Last 6 weeks) | 985 |
| C2 Score | 954 |
| Popularity (7 days, Percentile 1000 scale) | 941 |
Trading Style
| Any stock shorts? 0/1 | 0 |
|---|
Trades-Own-System Certification
| Trades Own System? | 0 |
|---|---|
| TOS percent | 0.0% |
Win / Loss
| Avg Loss | $273 |
|---|---|
| Avg Win | $341 |
| # Winners | 217 |
| Sum Trade PL (losers) | $24,821 |
| Sum Trade PL (winners) | $74,038 |
| Num Months Winners | 30 |
| # Losers | 91 |
| % Winners | 70.4% |
Dividends
| Dividends Received in Model Acct | 931 |
|---|
Age
| Num Months filled monthly returns table | 48 |
|---|
Frequency
| Avg Position Time (mins) | 46752.93 |
|---|---|
| Avg Position Time (hrs) | 779.22 |
| Avg Trade Length | 32.50 |
| Last Trade Ago | 3 |
Leverage
| Daily leverage (average) | 1.01 |
|---|---|
| Daily leverage (max) | 5.48 |
Regression
| Alpha | 0.18 |
|---|---|
| Beta | 1.19 |
| Treynor Index | 0.20 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0.01 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0.01 |
| MAE:Equity, average, losing trades | 0.01 |
| 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 | 4.83 |
| MAE:PL (avg, all trades) | 0.26 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL - Losing Trades - this strat Percentile of All Strats | 75.88 |
| MAE:PL - Winning Trades - this strat Percentile of All Strats | 65.46 |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.96 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.52 |
| Hold-and-Hope Ratio | 0.22 |
RATIO STATISTICS
| Mean | 1.07 |
|---|---|
| SD | 0.56 |
| Sharpe ratio (Glass type estimate) | 1.92 |
| Sharpe ratio (Hedges UMVUE) | 1.88 |
| df | 35 |
| t | 3.33 |
| p | 0.00 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.69 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.13 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.67 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.10 |
| Sortino ratio | 11.87 |
| Upside Potential Ratio | 13.30 |
| Upside part of mean | 1.20 |
| Downside part of mean | -0.13 |
| Upside SD | 0.62 |
| Downside SD | 0.09 |
| N nonnegative terms | 28 |
| N negative terms | 8 |
| N of observations | 36 |
| Mean of predictor | 0.20 |
| Mean of criterion | 1.07 |
| SD of predictor | 0.15 |
| SD of criterion | 0.56 |
| Covariance | 0.04 |
| r | 0.47 |
| b (slope, estimate of beta) | 1.77 |
| a (intercept, estimate of alpha) | 0.71 |
| Mean Square Error | 0.25 |
| DF error | 34 |
| t(b) | 3.08 |
| p(b) | 0.00 |
| t(a) | 2.27 |
| p(a) | 0.01 |
| Lowerbound of 95% confidence interval for beta | 0.60 |
| Upperbound of 95% confidence interval for beta | 2.94 |
| Lowerbound of 95% confidence interval for alpha | 0.07 |
| Upperbound of 95% confidence interval for alpha | 1.34 |
| Treynor index (mean / b) | 0.60 |
| Jensen alpha (a) | 0.71 |
| Mean | 0.91 |
| SD | 0.46 |
| Sharpe ratio (Glass type estimate) | 1.98 |
| Sharpe ratio (Hedges UMVUE) | 1.93 |
| df | 35 |
| t | 3.42 |
| p | 0.00 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.74 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.19 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.72 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.15 |
| Sortino ratio | 9.79 |
| Upside Potential Ratio | 11.22 |
| Upside part of mean | 1.04 |
| Downside part of mean | -0.13 |
| Upside SD | 0.52 |
| Downside SD | 0.09 |
| N nonnegative terms | 28 |
| N negative terms | 8 |
| N of observations | 36 |
| Mean of predictor | 0.19 |
| Mean of criterion | 0.91 |
| SD of predictor | 0.15 |
| SD of criterion | 0.46 |
| Covariance | 0.03 |
| r | 0.48 |
| b (slope, estimate of beta) | 1.53 |
| a (intercept, estimate of alpha) | 0.62 |
| Mean Square Error | 0.17 |
| DF error | 34 |
| t(b) | 3.21 |
| p(b) | 0.00 |
| t(a) | 2.44 |
| p(a) | 0.01 |
| Lowerbound of 95% confidence interval for beta | 0.56 |
| Upperbound of 95% confidence interval for beta | 2.49 |
| Lowerbound of 95% confidence interval for alpha | 0.10 |
| Upperbound of 95% confidence interval for alpha | 1.13 |
| Treynor index (mean / b) | 0.60 |
| Jensen alpha (a) | 0.62 |
| VaR(95%) | 0.13 |
| Expected Shortfall on VaR | 0.18 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.03 |
| Mean | 1.08 |
| SD | 0.59 |
| Sharpe ratio (Glass type estimate) | 1.83 |
| Sharpe ratio (Hedges UMVUE) | 1.83 |
| df | 789 |
| t | 3.18 |
| p | 0.00 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.70 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.96 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.70 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.96 |
| Sortino ratio | 3.21 |
| Upside Potential Ratio | 9.86 |
| Upside part of mean | 3.32 |
| Downside part of mean | -2.24 |
| Upside SD | 0.49 |
| Downside SD | 0.34 |
| N nonnegative terms | 426 |
| N negative terms | 364 |
| N of observations | 790 |
| Mean of predictor | 0.20 |
| Mean of criterion | 1.08 |
| SD of predictor | 0.17 |
| SD of criterion | 0.59 |
| Covariance | 0.04 |
| r | 0.37 |
| b (slope, estimate of beta) | 1.26 |
| a (intercept, estimate of alpha) | 0.83 |
| Mean Square Error | 0.30 |
| DF error | 788 |
| t(b) | 11.19 |
| p(b) | 0 |
| t(a) | 2.61 |
| p(a) | 0.00 |
| Lowerbound of 95% confidence interval for beta | 1.04 |
| Upperbound of 95% confidence interval for beta | 1.48 |
| Lowerbound of 95% confidence interval for alpha | 0.20 |
| Upperbound of 95% confidence interval for alpha | 1.45 |
| Treynor index (mean / b) | 0.86 |
| Jensen alpha (a) | 0.83 |
| Mean | 0.91 |
| SD | 0.58 |
| Sharpe ratio (Glass type estimate) | 1.57 |
| Sharpe ratio (Hedges UMVUE) | 1.57 |
| df | 789 |
| t | 2.73 |
| p | 0.00 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.44 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 2.71 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.44 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 2.70 |
| Sortino ratio | 2.57 |
| Upside Potential Ratio | 9.07 |
| Upside part of mean | 3.21 |
| Downside part of mean | -2.30 |
| Upside SD | 0.46 |
| Downside SD | 0.35 |
| N nonnegative terms | 426 |
| N negative terms | 364 |
| N of observations | 790 |
| Mean of predictor | 0.19 |
| Mean of criterion | 0.91 |
| SD of predictor | 0.17 |
| SD of criterion | 0.58 |
| Covariance | 0.04 |
| r | 0.37 |
| b (slope, estimate of beta) | 1.23 |
| a (intercept, estimate of alpha) | 0.68 |
| Mean Square Error | 0.29 |
| DF error | 788 |
| t(b) | 11.12 |
| p(b) | 0 |
| t(a) | 2.19 |
| p(a) | 0.01 |
| Lowerbound of 95% confidence interval for beta | 1.01 |
| Upperbound of 95% confidence interval for beta | 1.45 |
| Lowerbound of 95% confidence interval for alpha | 0.07 |
| Upperbound of 95% confidence interval for alpha | 1.29 |
| Treynor index (mean / b) | 0.74 |
| Jensen alpha (a) | 0.68 |
| VaR(95%) | 0.05 |
| Expected Shortfall on VaR | 0.07 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.04 |
| Mean | 0.29 |
| SD | 0.22 |
| Sharpe ratio (Glass type estimate) | 1.30 |
| Sharpe ratio (Hedges UMVUE) | 1.29 |
| df | 130 |
| t | 0.92 |
| p | 0.46 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.48 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 4.07 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.49 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 4.07 |
| Sortino ratio | 2.09 |
| Upside Potential Ratio | 10.17 |
| Upside part of mean | 1.40 |
| Downside part of mean | -1.11 |
| Upside SD | 0.17 |
| Downside SD | 0.14 |
| N nonnegative terms | 70 |
| N negative terms | 61 |
| N of observations | 131 |
| Mean of predictor | 0.21 |
| Mean of criterion | 0.29 |
| SD of predictor | 0.14 |
| SD of criterion | 0.22 |
| Covariance | 0.01 |
| r | 0.30 |
| b (slope, estimate of beta) | 0.47 |
| a (intercept, estimate of alpha) | 0.19 |
| Mean Square Error | 0.05 |
| DF error | 129 |
| t(b) | 3.54 |
| p(b) | 0.31 |
| t(a) | 0.62 |
| p(a) | 0.47 |
| Lowerbound of 95% confidence interval for beta | 0.21 |
| Upperbound of 95% confidence interval for beta | 0.73 |
| Lowerbound of 95% confidence interval for alpha | -0.41 |
| Upperbound of 95% confidence interval for alpha | 0.78 |
| Treynor index (mean / b) | 0.62 |
| Jensen alpha (a) | 0.19 |
| Mean | 0.26 |
| SD | 0.22 |
| Sharpe ratio (Glass type estimate) | 1.19 |
| Sharpe ratio (Hedges UMVUE) | 1.19 |
| df | 130 |
| t | 0.84 |
| p | 0.46 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -1.58 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 3.97 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -1.59 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 3.96 |
| Sortino ratio | 1.89 |
| Upside Potential Ratio | 9.96 |
| Upside part of mean | 1.38 |
| Downside part of mean | -1.12 |
| Upside SD | 0.17 |
| Downside SD | 0.14 |
| N nonnegative terms | 70 |
| N negative terms | 61 |
| N of observations | 131 |
| Mean of predictor | 0.20 |
| Mean of criterion | 0.26 |
| SD of predictor | 0.14 |
| SD of criterion | 0.22 |
| Covariance | 0.01 |
| r | 0.30 |
| b (slope, estimate of beta) | 0.47 |
| a (intercept, estimate of alpha) | 0.17 |
| Mean Square Error | 0.04 |
| DF error | 129 |
| t(b) | 3.56 |
| p(b) | 0.31 |
| t(a) | 0.56 |
| p(a) | 0.47 |
| Lowerbound of 95% confidence interval for beta | 0.21 |
| VAR (95 Confidence Intrvl) | 0.05 |
| Upperbound of 95% confidence interval for beta | 0.72 |
| Lowerbound of 95% confidence interval for alpha | -0.42 |
| Upperbound of 95% confidence interval for alpha | 0.76 |
| Treynor index (mean / b) | 0.57 |
| Jensen alpha (a) | 0.17 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.03 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.02 |
ORDER STATISTICS
| Number of observations | 36 |
|---|---|
| Minimum | 0.91 |
| Quartile 1 | 1.01 |
| Median | 1.03 |
| Quartile 3 | 1.15 |
| Maximum | 1.62 |
| Mean of quarter 1 | 0.96 |
| Mean of quarter 2 | 1.02 |
| Mean of quarter 3 | 1.08 |
| Mean of quarter 4 | 1.31 |
| Inter Quartile Range | 0.14 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 3 |
| Percentage of outliers high | 0.08 |
| Mean of outliers high | 1.51 |
| Extreme Value Index (moments method) | -59.37 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0 |
| Extreme Value Index (regression method) | -1.01 |
| VaR(95%) (regression method) | 0.07 |
| Expected Shortfall (regression method) | 0.08 |
| Number of observations | 790 |
| Minimum | 0.81 |
| Quartile 1 | 0.99 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.26 |
| Mean of quarter 1 | 0.97 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.01 |
| Mean of quarter 4 | 1.04 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 37 |
| Percentage of outliers low | 0.05 |
| Mean of outliers low | 0.92 |
| Number of outliers high | 60 |
| Percentage of outliers high | 0.08 |
| Mean of outliers high | 1.09 |
| Extreme Value Index (moments method) | 0.36 |
| VaR(95%) (moments method) | 0.03 |
| Expected Shortfall (moments method) | 0.05 |
| Extreme Value Index (regression method) | 0.31 |
| VaR(95%) (regression method) | 0.03 |
| Expected Shortfall (regression method) | 0.05 |
| Number of observations | 131 |
| Minimum | 0.97 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.01 |
| Maximum | 1.07 |
| 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 | 5 |
| Percentage of outliers high | 0.04 |
| 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) | -0.63 |
| VaR(95%) (regression method) | 0.02 |
| Expected Shortfall (regression method) | 0.02 |
DRAW DOWN STATISTICS
| Number of observations | 6 |
|---|---|
| Minimum | 0.02 |
| Quartile 1 | 0.04 |
| Median | 0.05 |
| Quartile 3 | 0.07 |
| Maximum | 0.13 |
| Mean of quarter 1 | 0.03 |
| Mean of quarter 2 | 0.04 |
| Mean of quarter 3 | 0.06 |
| Mean of quarter 4 | 0.10 |
| 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 | 0.17 |
| Mean of outliers high | 0.13 |
| 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 | 57 |
| Minimum | 0.00 |
| Quartile 1 | 0.01 |
| Median | 0.04 |
| Quartile 3 | 0.09 |
| Maximum | 0.27 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.03 |
| Mean of quarter 3 | 0.06 |
| Mean of quarter 4 | 0.16 |
| Inter Quartile Range | 0.07 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 5 |
| Percentage of outliers high | 0.09 |
| Mean of outliers high | 0.24 |
| Extreme Value Index (moments method) | -0.07 |
| VaR(95%) (moments method) | 0.17 |
| Expected Shortfall (moments method) | 0.21 |
| Extreme Value Index (regression method) | -0.26 |
| VaR(95%) (regression method) | 0.15 |
| Expected Shortfall (regression method) | 0.18 |
| Number of observations | 6 |
| Minimum | 0.00 |
| Quartile 1 | 0.03 |
| Median | 0.05 |
| Quartile 3 | 0.05 |
| Maximum | 0.12 |
| Mean of quarter 1 | 0.01 |
| Mean of quarter 2 | 0.04 |
| Mean of quarter 3 | 0.05 |
| Mean of quarter 4 | 0.09 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.17 |
| Mean of outliers high | 0.12 |
| 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? | -398273952 |
| Max Equity Drawdown (num days) | 47 |
| Last 4 Months - Pcnt Negative | 0.8% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 5.23 |
|---|---|
| Compounded annual return (geometric extrapolation) | 1.56 |
| Calmar ratio (compounded annual return / max draw down) | 12.01 |
| Compounded annual return / average of 25% largest draw downs | 15.54 |
| Compounded annual return / Expected Shortfall lognormal | 8.70 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 5.28 |
| Compounded annual return (geometric extrapolation) | 1.55 |
| Calmar ratio (compounded annual return / max draw down) | 5.73 |
| Compounded annual return / average of 25% largest draw downs | 9.49 |
| Compounded annual return / Expected Shortfall lognormal | 22.96 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.31 |
| Compounded annual return (geometric extrapolation) | 0.34 |
| Calmar ratio (compounded annual return / max draw down) | 2.92 |
| Compounded annual return / average of 25% largest draw downs | 3.94 |
| Compounded annual return / Expected Shortfall lognormal | 12.66 |
Trading record
Placed 929 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| PYPL2717L50 | long | 2 | Apr 28, 2026 | Aug 20, 2026 | $918 |
| XRAY | long | 400 | Jul 15, 2026 | Aug 3, 2026 | $349 |
| ASTS | long | 50 | Jul 13, 2026 | Aug 3, 2026 | ($113) |
| LULU | long | 50 | Jul 27, 2026 | Aug 3, 2026 | $204 |
| BAX | long | 250 | Jul 13, 2026 | Jul 29, 2026 | $449 |
| BABA | long | 50 | Jun 1, 2026 | Jul 15, 2026 | $360 |
| NOC | long | 10 | Jun 3, 2026 | Jul 13, 2026 | $28 |
| BAX | long | 125 | Jun 25, 2026 | Jul 10, 2026 | $124 |
| XRAY | long | 500 | May 7, 2026 | Jul 8, 2026 | $387 |
| TTWO | long | 15 | Jun 22, 2026 | Jul 1, 2026 | $104 |
| ASTS | long | 60 | Jun 25, 2026 | Jun 29, 2026 | $1,236 |
| VFC | long | 250 | May 22, 2026 | Jun 22, 2026 | $97 |
| MDLN | long | 100 | Jun 1, 2026 | Jun 10, 2026 | $220 |
| ISRG | long | 10 | Jun 3, 2026 | Jun 5, 2026 | $258 |
| BAX | long | 125 | Jun 1, 2026 | Jun 5, 2026 | $134 |
| BAX | long | 200 | May 7, 2026 | May 22, 2026 | $372 |
| PZZA | long | 100 | May 13, 2026 | May 15, 2026 | $131 |
| BABA | long | 175 | Feb 4, 2026 | May 7, 2026 | $72 |
| MSFT | long | 10 | Apr 1, 2026 | Apr 8, 2026 | $84 |
| VFC | long | 250 | Mar 18, 2026 | Mar 25, 2026 | $147 |
| BYDDF | long | 200 | Jan 15, 2026 | Mar 23, 2026 | $98 |
| PYPL2715A40 | long | 1 | Feb 13, 2026 | Feb 24, 2026 | $264 |
| XRAY | long | 200 | Jan 29, 2026 | Feb 10, 2026 | $326 |
| BAX | long | 200 | Jan 15, 2026 | Feb 4, 2026 | $232 |
| HRL | long | 200 | Jan 20, 2026 | Feb 3, 2026 | $17 |
| VFC | long | 125 | Jan 27, 2026 | Feb 3, 2026 | $74 |
| ZSL | long | 500 | Jan 27, 2026 | Feb 2, 2026 | $347 |
| SLV2630R90 | long | 1 | Jan 22, 2026 | Feb 2, 2026 | $936 |
| INTC | long | 100 | Jan 27, 2026 | Jan 29, 2026 | $444 |
| SLV2630R90 | short | 1 | Jan 22, 2026 | Jan 22, 2026 | ($7) |
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.