AdaptiveAlpha AWP
- hypothetical · Cumul. Return
- 19.1%
- Max Drawdown
- 5.8%
- Trades
- 95
- Win Trades
- 53.7%
- Profit Factor
- 4.80
- Win Months
- 71.4%
About this strategy
AdaptiveAlpha AWP is a fully systematic, rules-based portfolio that allocates capital across multiple equity and defensive asset buckets using backtested algorithms grounded in risk-adjusted performance (Sharpe ratio), momentum, and trend speed.
Rather than selecting assets in isolation, the strategy first determines how much capital to allocate to each bucket (e.g., equity momentum vs. defensive momentum) based on historical Sharpe behavior and signal strength. Assets within each bucket are then selected and sized using objective momentum and trend criteria. There is no discretionary decision-making once the rules are set.
Portfolio Construction Framework
Bucket-based allocation: Capital is first allocated across predefined equity and defensive sleeves
Sharpe-driven weighting: Bucket and sleeve allocations are informed by backtested Sharpe ratio behavior
Speed & momentum signals: Allocation adjusts based on the strength and persistence of trends
Absolute momentum filters: Assets and buckets must exhibit positive trends to be eligible for investment
Systematic selection: Assets within each bucket are selected using rules-based momentum filters
Long-only, unlevered: No leverage, options, or futures
Rebalancing & Execution
Monthly rebalance (typically at the start of the month)
Bucket weights and asset weights are reset to model-defined targets
Overlapping or redundant exposures are consolidated at rebalance
All trades follow predefined rules with no discretionary overrides
Risk Management Philosophy
Risk is managed through diversification across uncorrelated buckets, dynamic allocation driven by risk-adjusted return metrics, absolute momentum filters, and disciplined rebalancing. The strategy is designed to participate in favorable equity environments while systematically shifting toward defensive assets when conditions weaken.
If both equity and defensive assets are in a downtrend, the strategy will reduce risk by avoiding exposure until positive momentum conditions re-emerge. Drawdown control and consistency are prioritized over aggressive return chasing.
What This Strategy Is — and Is Not
This strategy is:
Fully systematic and backtested
Driven by risk-adjusted performance, not forecasts
Designed for consistency across market regimes
This strategy is not:
A discretionary or news-driven strategy
A high-turnover trading system
A single-factor or single-asset approach
Rather than selecting assets in isolation, the strategy first determines how much capital to allocate to each bucket (e.g., equity momentum vs. defensive momentum) based on historical Sharpe behavior and signal strength. Assets within each bucket are then selected and sized using objective momentum and trend criteria. There is no discretionary decision-making once the rules are set.
Portfolio Construction Framework
Bucket-based allocation: Capital is first allocated across predefined equity and defensive sleeves
Sharpe-driven weighting: Bucket and sleeve allocations are informed by backtested Sharpe ratio behavior
Speed & momentum signals: Allocation adjusts based on the strength and persistence of trends
Absolute momentum filters: Assets and buckets must exhibit positive trends to be eligible for investment
Systematic selection: Assets within each bucket are selected using rules-based momentum filters
Long-only, unlevered: No leverage, options, or futures
Rebalancing & Execution
Monthly rebalance (typically at the start of the month)
Bucket weights and asset weights are reset to model-defined targets
Overlapping or redundant exposures are consolidated at rebalance
All trades follow predefined rules with no discretionary overrides
Risk Management Philosophy
Risk is managed through diversification across uncorrelated buckets, dynamic allocation driven by risk-adjusted return metrics, absolute momentum filters, and disciplined rebalancing. The strategy is designed to participate in favorable equity environments while systematically shifting toward defensive assets when conditions weaken.
If both equity and defensive assets are in a downtrend, the strategy will reduce risk by avoiding exposure until positive momentum conditions re-emerge. Drawdown control and consistency are prioritized over aggressive return chasing.
What This Strategy Is — and Is Not
This strategy is:
Fully systematic and backtested
Driven by risk-adjusted performance, not forecasts
Designed for consistency across market regimes
This strategy is not:
A discretionary or news-driven strategy
A high-turnover trading system
A single-factor or single-asset approach
Trend-following Momentum
Hypothetical Monthly Returns (includes fees/commissions)
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 3.9 | -2.6 | 5.8 | 5.0 | 1.5 | 5.5 | -1.1 | 19.1 |
Statistics
Overview
| Strategy began | 2/8/2026 |
|---|---|
| Suggested Minimum Capital | $15,000 |
| Age | 7 months |
| C2 Rank | 918 |
| Rank at C2 % | Top 8.2% |
| Rank # | #276 |
| What it trades | Stocks |
| # Trades | 95 |
| # Profitable | 51 |
| % Profitable | 53.7% |
| Avg trade duration | 20.2 days |
| Max peak-to-valley drawdown | 5.8% |
| drawdown period | July 23, 2026 - Aug 06, 2026 |
| Cumul. Return | 19.1% |
| Avg win | $498 |
| Avg loss | $122 |
Ratios
| W:L ratio | 4.77 |
|---|---|
| Sharpe Ratio | 2.55 |
| Sortino Ratio | 4.21 |
| Calmar Ratio | 7.19 |
CORRELATION STATISTICS
| Correlation to SP500 | 0.21 |
|---|---|
| Return Percent SP500 (cumu) during strategy life | 10.7% |
| Return of Strat Pcnt - Return of SP500 Pcnt (cumu) | 8.3% |
Return Statistics
| Ann Return (w trading costs) | 36.9% |
|---|---|
| Return Pcnt (Compound or Annual, age-based, NFA compliant) | 0.2% |
| Return Pcnt Since TOS Status | 0.0% |
| Ann Return (Compnd, No Fees) | 39.6% |
Slump
| Current Slump as Pcnt Equity | 3.9% |
|---|---|
| Current Slump, time of slump as pcnt of strategy life | 0.2% |
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 | 0.0% |
|---|---|
| Chance of 20% account loss | 0.0% |
| Chance of 30% account loss | 0.0% |
| Chance of 40% account loss | 0.0% |
| Chance of 50% account loss | 0.0% |
| Chance of 60% account loss (Monte Carlo) | 0.0% |
| Chance of 70% account loss (Monte Carlo) | 0.0% |
| Chance of 80% account loss (Monte Carlo) | 0.0% |
| Chance of 90% account loss (Monte Carlo) | 0.0% |
Automation
| Percentage Signals Automated | 0.0% |
|---|
Popularity
| Popularity (Today) | 816 |
|---|---|
| Popularity (Last 6 weeks) | 982 |
| C2 Score | 918 |
| 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 | $122 |
|---|---|
| Avg Win | $498 |
| # Winners | 51 |
| Sum Trade PL (losers) | $5,351 |
| Sum Trade PL (winners) | $25,412 |
| Num Months Winners | 5 |
| # Losers | 44 |
| % Winners | 53.7% |
Dividends
| Dividends Received in Model Acct | 110 |
|---|
Age
| Num Months filled monthly returns table | 7 |
|---|
Frequency
| Avg Position Time (mins) | 29135.18 |
|---|---|
| Avg Position Time (hrs) | 485.59 |
| Avg Trade Length | 20.20 |
| Last Trade Ago | 0 |
Leverage
| Daily leverage (average) | 0.73 |
|---|---|
| Daily leverage (max) | 1.28 |
Regression
| Alpha | 0.08 |
|---|---|
| Beta | 0.15 |
| Treynor Index | 0.54 |
Maximum Adverse Excursion (MAE)
| MAE:Equity, average, all trades | 0 |
|---|---|
| MAE:Equity, 95th Percentile Value for this strat | 0 |
| 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 | 0.93 |
| MAE:PL (avg, all trades) | 0.29 |
| MAE:PL (avg, losing trades) | — |
| MAE:PL (avg, winning trades) | — |
| MAE:PL - worst single value for strategy | — |
| Avg(MAE) / Avg(PL) - Winning trades | 0.31 |
| Avg(MAE) / Avg(PL) - Losing trades | -1.27 |
| Hold-and-Hope Ratio | 1.21 |
RATIO STATISTICS
| Mean | 0.31 |
|---|---|
| SD | 0.10 |
| Sharpe ratio (Glass type estimate) | 3.08 |
| Sharpe ratio (Hedges UMVUE) | 2.59 |
| df | 5 |
| t | 2.18 |
| p | 0.04 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.35 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 6.32 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.61 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 5.80 |
| Sortino ratio | 90.78 |
| Upside Potential Ratio | 92.19 |
| Upside part of mean | 0.31 |
| Downside part of mean | -0.00 |
| Upside SD | 0.13 |
| Downside SD | 0.00 |
| N nonnegative terms | 5 |
| N negative terms | 1 |
| N of observations | 6 |
| Mean of predictor | 0.19 |
| Mean of criterion | 0.31 |
| SD of predictor | 0.14 |
| SD of criterion | 0.10 |
| Covariance | 0.01 |
| r | 0.63 |
| b (slope, estimate of beta) | 0.43 |
| a (intercept, estimate of alpha) | 0.22 |
| Mean Square Error | 0.01 |
| DF error | 4 |
| t(b) | 1.62 |
| p(b) | 0.09 |
| t(a) | 1.69 |
| p(a) | 0.08 |
| Lowerbound of 95% confidence interval for beta | -0.31 |
| Upperbound of 95% confidence interval for beta | 1.17 |
| Lowerbound of 95% confidence interval for alpha | -0.14 |
| Upperbound of 95% confidence interval for alpha | 0.59 |
| Treynor index (mean / b) | 0.71 |
| Jensen alpha (a) | 0.22 |
| Mean | 0.30 |
| SD | 0.10 |
| Sharpe ratio (Glass type estimate) | 3.12 |
| Sharpe ratio (Hedges UMVUE) | 2.63 |
| df | 5 |
| t | 2.21 |
| p | 0.04 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.33 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 6.37 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.59 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 5.84 |
| Sortino ratio | 88.41 |
| Upside Potential Ratio | 89.82 |
| Upside part of mean | 0.30 |
| Downside part of mean | -0.00 |
| Upside SD | 0.12 |
| Downside SD | 0.00 |
| N nonnegative terms | 5 |
| N negative terms | 1 |
| N of observations | 6 |
| Mean of predictor | 0.18 |
| Mean of criterion | 0.30 |
| SD of predictor | 0.14 |
| SD of criterion | 0.10 |
| Covariance | 0.01 |
| r | 0.61 |
| b (slope, estimate of beta) | 0.42 |
| a (intercept, estimate of alpha) | 0.22 |
| Mean Square Error | 0.01 |
| DF error | 4 |
| t(b) | 1.55 |
| p(b) | 0.10 |
| t(a) | 1.73 |
| p(a) | 0.08 |
| Lowerbound of 95% confidence interval for beta | -0.33 |
| Upperbound of 95% confidence interval for beta | 1.16 |
| Lowerbound of 95% confidence interval for alpha | -0.13 |
| Upperbound of 95% confidence interval for alpha | 0.58 |
| Treynor index (mean / b) | 0.71 |
| Jensen alpha (a) | 0.22 |
| VaR(95%) | 0.02 |
| Expected Shortfall on VaR | 0.03 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.00 |
| Mean | 0.30 |
| SD | 0.10 |
| Sharpe ratio (Glass type estimate) | 2.95 |
| Sharpe ratio (Hedges UMVUE) | 2.93 |
| df | 142 |
| t | 2.18 |
| p | 0.41 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.27 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 5.62 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.26 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 5.60 |
| Sortino ratio | 4.99 |
| Upside Potential Ratio | 11.91 |
| Upside part of mean | 0.71 |
| Downside part of mean | -0.41 |
| Upside SD | 0.08 |
| Downside SD | 0.06 |
| N nonnegative terms | 74 |
| N negative terms | 69 |
| N of observations | 143 |
| Mean of predictor | 0.16 |
| Mean of criterion | 0.30 |
| SD of predictor | 0.14 |
| SD of criterion | 0.10 |
| Covariance | 0.00 |
| r | 0.18 |
| b (slope, estimate of beta) | 0.13 |
| a (intercept, estimate of alpha) | 0.28 |
| Mean Square Error | 0.01 |
| DF error | 141 |
| t(b) | 2.21 |
| p(b) | 0.38 |
| t(a) | 2.04 |
| p(a) | 0.39 |
| Lowerbound of 95% confidence interval for beta | 0.01 |
| Upperbound of 95% confidence interval for beta | 0.25 |
| Lowerbound of 95% confidence interval for alpha | 0.01 |
| Upperbound of 95% confidence interval for alpha | 0.54 |
| Treynor index (mean / b) | 2.21 |
| Jensen alpha (a) | 0.27 |
| Mean | 0.29 |
| SD | 0.10 |
| Sharpe ratio (Glass type estimate) | 2.90 |
| Sharpe ratio (Hedges UMVUE) | 2.88 |
| df | 142 |
| t | 2.14 |
| p | 0.41 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.22 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 5.57 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.21 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 5.56 |
| Sortino ratio | 4.87 |
| Upside Potential Ratio | 11.78 |
| Upside part of mean | 0.70 |
| Downside part of mean | -0.41 |
| Upside SD | 0.08 |
| Downside SD | 0.06 |
| N nonnegative terms | 74 |
| N negative terms | 69 |
| N of observations | 143 |
| Mean of predictor | 0.15 |
| Mean of criterion | 0.29 |
| SD of predictor | 0.14 |
| SD of criterion | 0.10 |
| Covariance | 0.00 |
| r | 0.18 |
| b (slope, estimate of beta) | 0.13 |
| a (intercept, estimate of alpha) | 0.27 |
| Mean Square Error | 0.01 |
| DF error | 141 |
| t(b) | 2.21 |
| p(b) | 0.38 |
| t(a) | 2.02 |
| p(a) | 0.39 |
| Lowerbound of 95% confidence interval for beta | 0.01 |
| Upperbound of 95% confidence interval for beta | 0.25 |
| Lowerbound of 95% confidence interval for alpha | 0.01 |
| Upperbound of 95% confidence interval for alpha | 0.54 |
| Treynor index (mean / b) | 2.18 |
| Jensen alpha (a) | 0.27 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.01 |
| Mean | 0.28 |
| SD | 0.10 |
| Sharpe ratio (Glass type estimate) | 2.82 |
| Sharpe ratio (Hedges UMVUE) | 2.80 |
| df | 130 |
| t | 1.99 |
| p | 0.41 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | 0.02 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 5.61 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | 0.01 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 5.59 |
| Sortino ratio | 4.78 |
| Upside Potential Ratio | 11.56 |
| Upside part of mean | 0.68 |
| Downside part of mean | -0.40 |
| Upside SD | 0.08 |
| Downside SD | 0.06 |
| N nonnegative terms | 67 |
| N negative terms | 64 |
| N of observations | 131 |
| Mean of predictor | 0.18 |
| Mean of criterion | 0.28 |
| SD of predictor | 0.14 |
| SD of criterion | 0.10 |
| Covariance | 0.00 |
| r | 0.18 |
| b (slope, estimate of beta) | 0.13 |
| a (intercept, estimate of alpha) | 0.26 |
| Mean Square Error | 0.01 |
| DF error | 129 |
| t(b) | 2.05 |
| p(b) | 0.39 |
| t(a) | 1.85 |
| p(a) | 0.40 |
| Lowerbound of 95% confidence interval for beta | 0.00 |
| Upperbound of 95% confidence interval for beta | 0.25 |
| Lowerbound of 95% confidence interval for alpha | -0.02 |
| Upperbound of 95% confidence interval for alpha | 0.53 |
| Treynor index (mean / b) | 2.21 |
| Jensen alpha (a) | 0.26 |
| Mean | 0.28 |
| SD | 0.10 |
| Sharpe ratio (Glass type estimate) | 2.77 |
| Sharpe ratio (Hedges UMVUE) | 2.76 |
| df | 130 |
| t | 1.96 |
| p | 0.42 |
| Lowerbound of 95% confidence interval for Sharpe Ratio | -0.03 |
| Upperbound of 95% confidence interval for Sharpe Ratio | 5.56 |
| Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation | -0.04 |
| Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation | 5.55 |
| Sortino ratio | 4.67 |
| Upside Potential Ratio | 11.43 |
| Upside part of mean | 0.67 |
| Downside part of mean | -0.40 |
| Upside SD | 0.08 |
| Downside SD | 0.06 |
| N nonnegative terms | 67 |
| N negative terms | 64 |
| N of observations | 131 |
| Mean of predictor | 0.17 |
| Mean of criterion | 0.28 |
| SD of predictor | 0.14 |
| SD of criterion | 0.10 |
| Covariance | 0.00 |
| r | 0.18 |
| b (slope, estimate of beta) | 0.13 |
| a (intercept, estimate of alpha) | 0.25 |
| Mean Square Error | 0.01 |
| DF error | 129 |
| t(b) | 2.04 |
| p(b) | 0.39 |
| t(a) | 1.82 |
| p(a) | 0.40 |
| Lowerbound of 95% confidence interval for beta | 0.00 |
| VAR (95 Confidence Intrvl) | 0.01 |
| Upperbound of 95% confidence interval for beta | 0.25 |
| Lowerbound of 95% confidence interval for alpha | -0.02 |
| Upperbound of 95% confidence interval for alpha | 0.53 |
| Treynor index (mean / b) | 2.18 |
| Jensen alpha (a) | 0.25 |
| VaR(95%) | 0.01 |
| Expected Shortfall on VaR | 0.01 |
| VaR(95%) | 0.00 |
| Expected Shortfall on VaR | 0.01 |
ORDER STATISTICS
| Number of observations | 6 |
|---|---|
| Minimum | 1.00 |
| Quartile 1 | 1.01 |
| Median | 1.02 |
| Quartile 3 | 1.03 |
| Maximum | 1.08 |
| Mean of quarter 1 | 1.00 |
| Mean of quarter 2 | 1.02 |
| Mean of quarter 3 | 1.03 |
| Mean of quarter 4 | 1.06 |
| 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 | 1.08 |
| 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 | 143 |
| Minimum | 0.98 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.00 |
| Maximum | 1.02 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0.00 |
| Number outliers low | 9 |
| Percentage of outliers low | 0.06 |
| Mean of outliers low | 0.99 |
| Number of outliers high | 15 |
| Percentage of outliers high | 0.10 |
| Mean of outliers high | 1.01 |
| Extreme Value Index (moments method) | 0.34 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.01 |
| Extreme Value Index (regression method) | 0.34 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.01 |
| Number of observations | 131 |
| Minimum | 0.98 |
| Quartile 1 | 1.00 |
| Median | 1.00 |
| Quartile 3 | 1.00 |
| Maximum | 1.02 |
| Mean of quarter 1 | 0.99 |
| Mean of quarter 2 | 1.00 |
| Mean of quarter 3 | 1.00 |
| Mean of quarter 4 | 1.01 |
| Inter Quartile Range | 0.00 |
| Number outliers low | 9 |
| Percentage of outliers low | 0.07 |
| Mean of outliers low | 0.99 |
| Number of outliers high | 13 |
| Percentage of outliers high | 0.10 |
| Mean of outliers high | 1.01 |
| Extreme Value Index (moments method) | 0.52 |
| VaR(95%) (moments method) | 0.00 |
| Expected Shortfall (moments method) | 0.01 |
| Extreme Value Index (regression method) | 0.39 |
| VaR(95%) (regression method) | 0.01 |
| Expected Shortfall (regression method) | 0.01 |
DRAW DOWN STATISTICS
| Number of observations | 1 |
|---|---|
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.00 |
| Quartile 3 | 0.00 |
| Maximum | 0.00 |
| Mean of quarter 1 | 0 |
| Mean of quarter 2 | 0 |
| Mean of quarter 3 | 0 |
| Mean of quarter 4 | 0 |
| Inter Quartile Range | 0 |
| 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 | 12 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.00 |
| Quartile 3 | 0.02 |
| Maximum | 0.05 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.00 |
| Mean of quarter 3 | 0.01 |
| Mean of quarter 4 | 0.04 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.08 |
| Mean of outliers high | 0.05 |
| Extreme Value Index (moments method) | -0.47 |
| VaR(95%) (moments method) | 0.04 |
| Expected Shortfall (moments method) | 0.05 |
| Extreme Value Index (regression method) | 1.09 |
| VaR(95%) (regression method) | 0.05 |
| Expected Shortfall (regression method) | 0 |
| Number of observations | 11 |
| Minimum | 0.00 |
| Quartile 1 | 0.00 |
| Median | 0.00 |
| Quartile 3 | 0.02 |
| Maximum | 0.05 |
| Mean of quarter 1 | 0.00 |
| Mean of quarter 2 | 0.00 |
| Mean of quarter 3 | 0.01 |
| Mean of quarter 4 | 0.04 |
| Inter Quartile Range | 0.02 |
| Number outliers low | 0 |
| Percentage of outliers low | 0 |
| Mean of outliers low | 0 |
| Number of outliers high | 1 |
| Percentage of outliers high | 0.09 |
| Mean of outliers high | 0.05 |
| Extreme Value Index (moments method) | -0.47 |
| VaR(95%) (moments method) | 0.04 |
| Expected Shortfall (moments method) | 0.05 |
| Extreme Value Index (regression method) | 1.09 |
| VaR(95%) (regression method) | 0.05 |
| Expected Shortfall (regression method) | 0 |
| Strat Max DD how much worse than SP500 max DD during strat life? | -467507680 |
| Max Equity Drawdown (num days) | 14 |
| Last 4 Months - Pcnt Negative | 0.2% |
COMBINED STATISTICS
| Annualized return (arithmetic extrapolation) | 0.35 |
|---|---|
| Compounded annual return (geometric extrapolation) | 0.38 |
| Calmar ratio (compounded annual return / max draw down) | 8000.58 |
| Compounded annual return / average of 25% largest draw downs | 0 |
| Compounded annual return / Expected Shortfall lognormal | 12.26 |
| j156mfCOMBRisPar | 0 |
| j157mfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.35 |
| Compounded annual return (geometric extrapolation) | 0.38 |
| Calmar ratio (compounded annual return / max draw down) | 7.19 |
| Compounded annual return / average of 25% largest draw downs | 10.03 |
| Compounded annual return / Expected Shortfall lognormal | 32.34 |
| j313dfCOMBRisPar | 0 |
| j314dfCOMBRisPar | 0 |
| Annualized return (arithmetic extrapolation) | 0.33 |
| Compounded annual return (geometric extrapolation) | 0.35 |
| Calmar ratio (compounded annual return / max draw down) | 6.77 |
| Compounded annual return / average of 25% largest draw downs | 9.45 |
| Compounded annual return / Expected Shortfall lognormal | 30.69 |
Trading record
Placed 109 trades in real-life brokerage accounts.
| Symbol | Side | Qty | Opened | Closed | P/L |
|---|---|---|---|---|---|
| PDBC | long | 6272 | Jul 10, 2026 | Aug 13, 2026 | $3,447 |
| GBTC | long | 143 | Aug 10, 2026 | Aug 11, 2026 | ($89) |
| TLT | long | 1 | Aug 4, 2026 | Aug 7, 2026 | ($0) |
| MRVL | long | 4 | Jun 15, 2026 | Jul 6, 2026 | ($86) |
| INTC | long | 6 | Jun 15, 2026 | Jul 6, 2026 | ($7) |
| MU | long | 1 | Jun 15, 2026 | Jul 1, 2026 | $27 |
| DDOG | long | 1 | Jun 15, 2026 | Jul 1, 2026 | $32 |
| AMD | long | 2 | Jun 15, 2026 | Jul 1, 2026 | $42 |
| ARM | long | 3 | Jun 15, 2026 | Jul 1, 2026 | ($147) |
| MRVL | long | 11 | Jun 1, 2026 | Jun 5, 2026 | $1,223 |
| INTC | long | 17 | May 4, 2026 | Jun 5, 2026 | $195 |
| DDOG | long | 3 | Jun 1, 2026 | Jun 4, 2026 | $14 |
| ARM | long | 6 | Jun 1, 2026 | Jun 4, 2026 | $51 |
| AMD | long | 4 | Jun 1, 2026 | Jun 4, 2026 | $99 |
| WDC | long | 4 | May 4, 2026 | Jun 1, 2026 | $477 |
| VICR | long | 2 | May 4, 2026 | Jun 1, 2026 | $109 |
| EFNL | long | 16 | May 4, 2026 | Jun 1, 2026 | $21 |
| LRCX | long | 2 | May 4, 2026 | Jun 1, 2026 | $105 |
| EWC | long | 25 | May 4, 2026 | Jun 1, 2026 | $12 |
| STX | long | 1 | May 4, 2026 | Jun 1, 2026 | $143 |
| AOSL | long | 15 | May 4, 2026 | Jun 1, 2026 | $11 |
| TTMI | long | 3 | May 4, 2026 | Jun 1, 2026 | $20 |
| VIAV | long | 24 | May 4, 2026 | Jun 1, 2026 | ($195) |
| EWY | long | 14 | May 4, 2026 | Jun 1, 2026 | $647 |
| LITE | long | 1 | May 4, 2026 | Jun 1, 2026 | ($162) |
| SNDK | long | 2 | May 4, 2026 | Jun 1, 2026 | $1,018 |
| MXL | long | 20 | May 4, 2026 | Jun 1, 2026 | $291 |
| EWT | long | 10 | May 4, 2026 | Jun 1, 2026 | $144 |
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.