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For your consideration QPI 50L 50K Rank on Leaderboard #4 Hypothetical

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The Sweet Spot

By BlackhorseshoeBlac

Stocks · Started Oct 2011

hypothetical · Annual Return (Compounded)
1.1%
Max Drawdown
69.2%
Trades
42
Win Trades
71.4%
Profit Factor
1.30
Win Months
3.3%

About this strategy

The Sweet Spot buys high price stocks over $200 and leveraged ETF's long and inverted, and sometimes low price stocks, when compelling opportunities exist. The system was designed to seek an 80% winning percentage based on gambling strategies and analyzing the results of 10 million blackjack hands; mathematical probabilities; historical patterns; the psychology of human behavior; and a proprietary geometrically progressive tier down wagering system to aggressively capitalize on the system's extraordinary winning %. The average holding time is less than 4 days, with steady and consistent profits, and strings of winning streaks of 8 in a row and very few losses.

The system designer views the market as the World's Biggest Casino, the best place on planet earth to make money. This is not a day-trading or a buy and hold strategy; and may not be suitable for the average investor. For more information of the system designers viewpoint of the market and some startling new ideas, please visit us every night at the Sweet Spot. http://blackhorseshoe.org/THESWEET_SPOT.html

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
201111.310.619.747.4
2012-40.9-18.2-28.0-3.911.5-16.6-0.2-0.1-0.1-0.10.00.0-69.0
20130.00.00.00.00.00.00.00.00.00.00.00.00.0
20140.00.00.00.00.0-0.00.00.00.00.00.00.00.0
20150.00.00.00.00.00.00.00.00.02.00.00.02.0
20160.00.00.00.00.00.00.0151.60.00.00.00.0151.6
20170.00.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began10/16/2011
Suggested Minimum Capital$50,000
Age183 months
What it tradesStocks
# Trades42
# Profitable30
% Profitable71.4%
Avg trade duration4.4 days
Max peak-to-valley drawdown69.2%
drawdown periodDec 29, 2011 - Oct 15, 2012
Annual Return (Compounded)1.1%
Avg win$1,803
Avg loss$3,556

Ratios

W:L ratio1.27
Sharpe Ratio0.08
Sortino Ratio0.33
Calmar Ratio0.10

CORRELATION STATISTICS

Correlation to SP500-0.02
Return Percent SP500 (cumu) during strategy life530.3%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-505.4%

Return Statistics

Ann Return (w trading costs)1.1%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)1.4%

Slump

Current Slump as Pcnt Equity26.3%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Percent Trades Stocks1.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss100.0%
Chance of 20% account loss100.0%
Chance of 30% account loss100.0%
Chance of 40% account loss100.0%
Chance of 50% account loss100.0%
Chance of 60% account loss (Monte Carlo)100.0%
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 Automated0.0%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)0
Popularity (7 days, Percentile 1000 scale)0

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$3,556
Avg Win$1,803
# Winners30
Sum Trade PL (losers)$42,676
Sum Trade PL (winners)$54,083
Num Months Winners7
# Losers12
% Winners71.4%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table181

Frequency

Avg Position Time (mins)6286.17
Avg Position Time (hrs)104.77
Avg Trade Length4.40
Last Trade Ago5255

Regression

Alpha0.01
Beta-0.05
Treynor Index-0.23

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.05
MAE:Equity, 95th Percentile Value for this strat0.46
MAE:Equity, average, losing trades0.22
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.01
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-8.05
MAE:PL (avg, all trades)-0.26
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats64.58
MAE:PL - Winning Trades - this strat Percentile of All Strats14.21
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.61
Avg(MAE) / Avg(PL) - Losing trades-1.32
Hold-and-Hope Ratio-0.09

RATIO STATISTICS

Mean0.27
SD0.81
Sharpe ratio (Glass type estimate)0.33
Sharpe ratio (Hedges UMVUE)0.33
df39
t0.61
p0.27
Lowerbound of 95% confidence interval for Sharpe Ratio-0.75
Upperbound of 95% confidence interval for Sharpe Ratio1.41
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.75
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.40
Sortino ratio0.97
Upside Potential Ratio2.01
Upside part of mean0.56
Downside part of mean-0.29
Upside SD0.76
Downside SD0.28
N nonnegative terms34
N negative terms6
N of observations40
Mean of predictor0.61
Mean of criterion0.27
SD of predictor0.28
SD of criterion0.81
Covariance-0.00
r-0.01
b (slope, estimate of beta)-0.02
a (intercept, estimate of alpha)0.28
Mean Square Error0.68
DF error38
t(b)-0.05
p(b)0.52
t(a)0.53
p(a)0.30
Lowerbound of 95% confidence interval for beta-0.97
Upperbound of 95% confidence interval for beta0.92
Lowerbound of 95% confidence interval for alpha-0.79
Upperbound of 95% confidence interval for alpha1.36
Treynor index (mean / b)-11.92
Jensen alpha (a)0.28
Mean0.06
SD0.60
Sharpe ratio (Glass type estimate)0.10
Sharpe ratio (Hedges UMVUE)0.10
df39
t0.19
p0.43
Lowerbound of 95% confidence interval for Sharpe Ratio-0.97
Upperbound of 95% confidence interval for Sharpe Ratio1.18
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.97
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.17
Sortino ratio0.19
Upside Potential Ratio1.20
Upside part of mean0.40
Downside part of mean-0.34
Upside SD0.49
Downside SD0.33
N nonnegative terms34
N negative terms6
N of observations40
Mean of predictor0.56
Mean of criterion0.06
SD of predictor0.26
SD of criterion0.60
Covariance-0.00
r-0.01
b (slope, estimate of beta)-0.02
a (intercept, estimate of alpha)0.08
Mean Square Error0.37
DF error38
t(b)-0.07
p(b)0.53
t(a)0.19
p(a)0.42
Lowerbound of 95% confidence interval for beta-0.77
Upperbound of 95% confidence interval for beta0.72
Lowerbound of 95% confidence interval for alpha-0.72
Upperbound of 95% confidence interval for alpha0.87
Treynor index (mean / b)-2.52
Jensen alpha (a)0.08
VaR(95%)0.24
Expected Shortfall on VaR0.30
VaR(95%)0.02
Expected Shortfall on VaR0.06
Mean0.25
SD0.80
Sharpe ratio (Glass type estimate)0.32
Sharpe ratio (Hedges UMVUE)0.32
df874
t0.58
p0.28
Lowerbound of 95% confidence interval for Sharpe Ratio-0.75
Upperbound of 95% confidence interval for Sharpe Ratio1.39
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.76
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.39
Sortino ratio1.20
Upside Potential Ratio4.68
Upside part of mean0.99
Downside part of mean-0.73
Upside SD0.77
Downside SD0.21
N nonnegative terms790
N negative terms85
N of observations875
Mean of predictor0.61
Mean of criterion0.25
SD of predictor0.32
SD of criterion0.80
Covariance-0.01
r-0.03
b (slope, estimate of beta)-0.07
a (intercept, estimate of alpha)0.29
Mean Square Error0.63
DF error873
t(b)-0.78
p(b)0.78
t(a)0.67
p(a)0.25
Lowerbound of 95% confidence interval for beta-0.23
Upperbound of 95% confidence interval for beta0.10
Lowerbound of 95% confidence interval for alpha-0.57
Upperbound of 95% confidence interval for alpha1.15
Treynor index (mean / b)-3.85
Jensen alpha (a)0.29
Mean0.06
SD0.55
Sharpe ratio (Glass type estimate)0.11
Sharpe ratio (Hedges UMVUE)0.11
df874
t0.20
p0.42
Lowerbound of 95% confidence interval for Sharpe Ratio-0.96
Upperbound of 95% confidence interval for Sharpe Ratio1.18
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.96
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.18
Sortino ratio0.28
Upside Potential Ratio3.70
Upside part of mean0.82
Downside part of mean-0.76
Upside SD0.51
Downside SD0.22
N nonnegative terms790
N negative terms85
N of observations875
Mean of predictor0.55
Mean of criterion0.06
SD of predictor0.32
SD of criterion0.55
Covariance-0.01
r-0.04
b (slope, estimate of beta)-0.06
a (intercept, estimate of alpha)0.10
Mean Square Error0.30
DF error873
t(b)-1.04
p(b)0.85
t(a)0.31
p(a)0.38
Lowerbound of 95% confidence interval for beta-0.17
Upperbound of 95% confidence interval for beta0.05
Lowerbound of 95% confidence interval for alpha-0.50
Upperbound of 95% confidence interval for alpha0.69
Treynor index (mean / b)-1.02
Jensen alpha (a)0.10
VaR(95%)0.05
Expected Shortfall on VaR0.07
VaR(95%)0.00
Expected Shortfall on VaR0.00
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor1.26
Mean of criterion0
SD of predictor0.48
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
Mean0
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio0
Upside Potential Ratio0
Upside part of mean0
Downside part of mean0
Upside SD0
Downside SD0
N nonnegative terms131
N negative terms0
N of observations131
Mean of predictor1.14
Mean of criterion0
SD of predictor0.48
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
VAR (95 Confidence Intrvl)0.05
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
VaR(95%)0
Expected Shortfall on VaR0
VaR(95%)0
Expected Shortfall on VaR0

ORDER STATISTICS

Number of observations40
Minimum0.64
Quartile 11
Median1
Quartile 31
Maximum2.35
Mean of quarter 10.90
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.19
Inter Quartile Range0
Number outliers low6
Percentage of outliers low0.15
Mean of outliers low0.84
Number of outliers high7
Percentage of outliers high0.17
Mean of outliers high1.27
Extreme Value Index (moments method)-250.84
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0
Extreme Value Index (regression method)-0.64
VaR(95%) (regression method)0.15
Expected Shortfall (regression method)0.22
Number of observations875
Minimum0.84
Quartile 11
Median1
Quartile 31
Maximum2.35
Mean of quarter 10.99
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.02
Inter Quartile Range0
Number outliers low85
Percentage of outliers low0.10
Mean of outliers low0.97
Number of outliers high69
Percentage of outliers high0.08
Mean of outliers high1.05
Extreme Value Index (moments method)-1.80
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.00
Extreme Value Index (regression method)0.01
VaR(95%) (regression method)0.01
Expected Shortfall (regression method)0.03
Number of observations131
Minimum1
Quartile 11
Median1
Quartile 31
Maximum1
Mean of quarter 11
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
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

DRAW DOWN STATISTICS

Number of observations1
Minimum0.63
Quartile 10.63
Median0.63
Quartile 30.63
Maximum0.63
Mean of quarter 10
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
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 observations6
Minimum0.00
Quartile 10.01
Median0.05
Quartile 30.15
Maximum0.66
Mean of quarter 10.00
Mean of quarter 20.02
Mean of quarter 30.07
Mean of quarter 40.42
Inter Quartile Range0.14
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.17
Mean of outliers high0.66
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 observations0
Minimum0
Quartile 10
Median0
Quartile 30
Maximum0
Mean of quarter 10
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
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?-693469376
Max Equity Drawdown (num days)291
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.07
Compounded annual return (geometric extrapolation)0.06
Calmar ratio (compounded annual return / max draw down)0.10
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal0.22
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.07
Compounded annual return (geometric extrapolation)0.06
Calmar ratio (compounded annual return / max draw down)0.10
Compounded annual return / average of 25% largest draw downs0.15
Compounded annual return / Expected Shortfall lognormal0.94
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)0
Compounded annual return (geometric extrapolation)0
Calmar ratio (compounded annual return / max draw down)0
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal0

Trading record

Placed 13 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
TVIX long2Jun 1, 2012Jun 6, 2012($8,100)
TVIX long4May 21, 2012May 31, 2012$20,950
TVIX long0Mar 22, 2012May 18, 2012($0)
SQQQ long426Feb 1, 2012Mar 15, 2012($13,162)
SQQQ long94Jan 26, 2012Jan 30, 2012$635
TZA long281Jan 6, 2012Jan 26, 2012($15,488)
TVIX long0Dec 21, 2011Jan 26, 2012($0)
TZA long63Jan 5, 2012Jan 6, 2012$674
TZA long63Jan 4, 2012Jan 5, 2012$634
TZA long62Jan 3, 2012Jan 4, 2012$853
TZA long63Dec 29, 2011Dec 30, 2011$311
TZA long157Dec 22, 2011Dec 28, 2011$736
TQNT long7800Nov 17, 2011Dec 23, 2011($1,107)
AMD long4000Dec 19, 2011Dec 20, 2011$453
TVIX long0Dec 19, 2011Dec 19, 2011$0
TVIX long0Dec 15, 2011Dec 16, 2011$0
TVIX long0Dec 14, 2011Dec 14, 2011$0
DXD long250Dec 13, 2011Dec 13, 2011$245
DXD long875Nov 30, 2011Dec 12, 2011$589
TZA long63Dec 6, 2011Dec 7, 2011$1,259
CME long5625Nov 10, 2011Dec 6, 2011($4,430)
TZA long62Dec 5, 2011Dec 5, 2011$1,340
TZA long50Dec 2, 2011Dec 2, 2011$808
TNA long2000Nov 23, 2011Nov 28, 2011$1,268
AAPL long179Nov 11, 2011Nov 23, 2011($324)
DXD long1000Nov 16, 2011Nov 16, 2011$1,555
DXD long750Nov 11, 2011Nov 16, 2011$822
TQNT long5000Nov 9, 2011Nov 11, 2011$495
DXD long500Nov 9, 2011Nov 9, 2011$890
SQQQ long63Nov 8, 2011Nov 9, 2011$1,180

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.