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For your consideration AELong Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

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Alkemy

By FX_Physics

Equity · Stocks · Started Jan 2024

hypothetical · Annual Return (Compounded)
21.0%
Max Drawdown
21.2%
Trades
545
Win Trades
51.9%
Profit Factor
1.50
Win Months
67.6%
Subscribe $100/mo

About this strategy

Alkemy is a specialized professional-grade algorithm consisting of 8 high-performing multi-asset trading systems focusing on the SP500 index, international equities, bonds, bitcoin, hard & soft commodities, real-estate, carbon credits and US treasuries. Trading is scaled across a mix of market & limit-based systems relying on both price dynamics and the capture of derivatives pricing inefficiencies. This long-short algorithm offers 2 layers of risk management through the use of short positions and extreme decorrelation. Each trading system is autonomous and is rebalanced on a daily basis. Trade signals are issued in the morning preceding the next session and are to be placed or executed at the day session's opening. No trading occurs outside of regular trading hours. A maximum leverage of up to 2:1 is set by default.

No matter the heavy focus on enhancing returns and containing maximum drawdown, please understand that all risk-management claims rely on long-term historical volatility assumptions. Therefore, no risk-free or low-risk trading can be guaranteed at any time and unforeseen events can cause you to lose all your money.

For more information, please visit www.fxphysics.com.

Pairs Trading / Relative Value

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2024-2.417.911.6-11.99.7-0.4-0.61.73.9-0.310.0-7.931.2
20257.2-4.8-4.60.93.86.24.10.93.10.62.10.721.2
20264.0-2.1-8.94.81.9-2.72.36.20.61.36.6

Statistics

Overview

Strategy began1/1/2024
Suggested Minimum Capital$5,000
Age34 months
C2 Rank940
Rank at C2 %Top 6.0%
Rank ##41
What it tradesStocks
# Trades545
# Profitable283
% Profitable51.9%
Avg trade duration12.8 days
Max peak-to-valley drawdown21.2%
drawdown periodJan 28, 2026 - July 14, 2026
Annual Return (Compounded)21.0%
Avg win$439
Avg loss$331

Ratios

W:L ratio1.51
Sharpe Ratio1.03
Sortino Ratio1.46
Calmar Ratio1.58

CORRELATION STATISTICS

Correlation to SP5000.49
Return Percent SP500 (cumu) during strategy life63.0%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)6.6%

Return Statistics

Ann Return (w trading costs)21.0%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.2%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)24.7%

Slump

Current Slump as Pcnt Equity0.6%
Current Slump, time of slump as pcnt of strategy life0.0%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Short Options - Percent Covered100.0%
Percent Trades Stocks1.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss35.5%
Chance of 20% account loss9.5%
Chance of 30% account loss0.5%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
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 Automated0.0%

Popularity

Popularity (Today)759
Popularity (Last 6 weeks)775
C2 Score940
Popularity (7 days, Percentile 1000 scale)822

Trading Style

Any stock shorts? 0/11

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$331
Avg Win$443
# Winners283
Sum Trade PL (losers)$86,614
Sum Trade PL (winners)$125,480
Num Months Winners23
# Losers262
% Winners51.9%

Dividends

Dividends Received in Model Acct3145

Age

Num Months filled monthly returns table34

Frequency

Avg Position Time (mins)18447.38
Avg Position Time (hrs)307.46
Avg Trade Length12.80
Last Trade Ago1

Leverage

Daily leverage (average)1.36
Daily leverage (max)2.13

Regression

Alpha0.03
Beta0.48
Treynor Index0.10

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0
MAE:Equity, 95th Percentile Value for this strat0
MAE:Equity, average, losing trades0.01
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades5.90
MAE:PL (avg, all trades)-0.93
MAE:PL (avg, losing trades)—
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.36
Avg(MAE) / Avg(PL) - Losing trades-1.52
Hold-and-Hope Ratio0.18

RATIO STATISTICS

Mean0.21
SD0.20
Sharpe ratio (Glass type estimate)1.06
Sharpe ratio (Hedges UMVUE)1.03
df31
t1.73
p0.05
Lowerbound of 95% confidence interval for Sharpe Ratio-0.18
Upperbound of 95% confidence interval for Sharpe Ratio2.28
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.19
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.26
Sortino ratio1.97
Upside Potential Ratio3.54
Upside part of mean0.38
Downside part of mean-0.17
Upside SD0.17
Downside SD0.11
N nonnegative terms22
N negative terms10
N of observations32
Mean of predictor0.16
Mean of criterion0.21
SD of predictor0.15
SD of criterion0.20
Covariance0.02
r0.77
b (slope, estimate of beta)1.05
a (intercept, estimate of alpha)0.05
Mean Square Error0.02
DF error30
t(b)6.69
p(b)0
t(a)0.55
p(a)0.29
Lowerbound of 95% confidence interval for beta0.73
Upperbound of 95% confidence interval for beta1.36
Lowerbound of 95% confidence interval for alpha-0.12
Upperbound of 95% confidence interval for alpha0.21
Treynor index (mean / b)0.20
Jensen alpha (a)0.05
Mean0.19
SD0.19
Sharpe ratio (Glass type estimate)0.98
Sharpe ratio (Hedges UMVUE)0.95
df31
t1.59
p0.06
Lowerbound of 95% confidence interval for Sharpe Ratio-0.26
Upperbound of 95% confidence interval for Sharpe Ratio2.19
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.27
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.17
Sortino ratio1.70
Upside Potential Ratio3.26
Upside part of mean0.36
Downside part of mean-0.17
Upside SD0.17
Downside SD0.11
N nonnegative terms22
N negative terms10
N of observations32
Mean of predictor0.15
Mean of criterion0.19
SD of predictor0.15
SD of criterion0.19
Covariance0.02
r0.79
b (slope, estimate of beta)1.04
a (intercept, estimate of alpha)0.04
Mean Square Error0.01
DF error30
t(b)6.95
p(b)0
t(a)0.48
p(a)0.32
Lowerbound of 95% confidence interval for beta0.73
Upperbound of 95% confidence interval for beta1.34
Lowerbound of 95% confidence interval for alpha-0.12
Upperbound of 95% confidence interval for alpha0.20
Treynor index (mean / b)0.18
Jensen alpha (a)0.04
VaR(95%)0.07
Expected Shortfall on VaR0.10
VaR(95%)0.02
Expected Shortfall on VaR0.05
Mean0.21
SD0.15
Sharpe ratio (Glass type estimate)1.41
Sharpe ratio (Hedges UMVUE)1.41
df716
t2.34
p0.01
Lowerbound of 95% confidence interval for Sharpe Ratio0.23
Upperbound of 95% confidence interval for Sharpe Ratio2.60
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.23
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.60
Sortino ratio2.03
Upside Potential Ratio9.38
Upside part of mean0.95
Downside part of mean-0.75
Upside SD0.10
Downside SD0.10
N nonnegative terms404
N negative terms313
N of observations717
Mean of predictor0.16
Mean of criterion0.21
SD of predictor0.15
SD of criterion0.15
Covariance0.01
r0.48
b (slope, estimate of beta)0.46
a (intercept, estimate of alpha)0.13
Mean Square Error0.02
DF error715
t(b)14.60
p(b)0
t(a)1.70
p(a)0.04
Lowerbound of 95% confidence interval for beta0.40
Upperbound of 95% confidence interval for beta0.52
Lowerbound of 95% confidence interval for alpha-0.02
Upperbound of 95% confidence interval for alpha0.28
Treynor index (mean / b)0.45
Jensen alpha (a)0.13
Mean0.19
SD0.15
Sharpe ratio (Glass type estimate)1.34
Sharpe ratio (Hedges UMVUE)1.34
df716
t2.22
p0.01
Lowerbound of 95% confidence interval for Sharpe Ratio0.15
Upperbound of 95% confidence interval for Sharpe Ratio2.53
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.15
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.52
Sortino ratio1.90
Upside Potential Ratio9.23
Upside part of mean0.95
Downside part of mean-0.75
Upside SD0.10
Downside SD0.10
N nonnegative terms404
N negative terms313
N of observations717
Mean of predictor0.15
Mean of criterion0.19
SD of predictor0.15
SD of criterion0.15
Covariance0.01
r0.48
b (slope, estimate of beta)0.46
a (intercept, estimate of alpha)0.13
Mean Square Error0.02
DF error715
t(b)14.76
p(b)0
t(a)1.62
p(a)0.05
Lowerbound of 95% confidence interval for beta0.40
Upperbound of 95% confidence interval for beta0.52
Lowerbound of 95% confidence interval for alpha-0.03
Upperbound of 95% confidence interval for alpha0.28
Treynor index (mean / b)0.42
Jensen alpha (a)0.13
VaR(95%)0.01
Expected Shortfall on VaR0.02
VaR(95%)0.01
Expected Shortfall on VaR0.01
Mean0.25
SD0.11
Sharpe ratio (Glass type estimate)2.36
Sharpe ratio (Hedges UMVUE)2.35
df130
t1.67
p0.43
Lowerbound of 95% confidence interval for Sharpe Ratio-0.43
Upperbound of 95% confidence interval for Sharpe Ratio5.15
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.44
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.14
Sortino ratio3.51
Upside Potential Ratio9.95
Upside part of mean0.71
Downside part of mean-0.46
Upside SD0.08
Downside SD0.07
N nonnegative terms77
N negative terms54
N of observations131
Mean of predictor0.30
Mean of criterion0.25
SD of predictor0.12
SD of criterion0.11
Covariance0.01
r0.50
b (slope, estimate of beta)0.43
a (intercept, estimate of alpha)0.12
Mean Square Error0.01
DF error129
t(b)6.59
p(b)0.19
t(a)0.92
p(a)0.45
Lowerbound of 95% confidence interval for beta0.30
Upperbound of 95% confidence interval for beta0.56
Lowerbound of 95% confidence interval for alpha-0.14
Upperbound of 95% confidence interval for alpha0.38
Treynor index (mean / b)0.59
Jensen alpha (a)0.12
Mean0.25
SD0.11
Sharpe ratio (Glass type estimate)2.31
Sharpe ratio (Hedges UMVUE)2.29
df130
t1.63
p0.43
Lowerbound of 95% confidence interval for Sharpe Ratio-0.48
Upperbound of 95% confidence interval for Sharpe Ratio5.09
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.49
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.08
Sortino ratio3.40
Upside Potential Ratio9.81
Upside part of mean0.71
Downside part of mean-0.46
Upside SD0.08
Downside SD0.07
N nonnegative terms77
N negative terms54
N of observations131
Mean of predictor0.30
Mean of criterion0.25
SD of predictor0.12
SD of criterion0.11
Covariance0.01
r0.50
b (slope, estimate of beta)0.43
a (intercept, estimate of alpha)0.12
Mean Square Error0.01
DF error129
t(b)6.61
p(b)0.19
t(a)0.89
p(a)0.45
Lowerbound of 95% confidence interval for beta0.30
VAR (95 Confidence Intrvl)0.01
Upperbound of 95% confidence interval for beta0.56
Lowerbound of 95% confidence interval for alpha-0.14
Upperbound of 95% confidence interval for alpha0.38
Treynor index (mean / b)0.57
Jensen alpha (a)0.12
VaR(95%)0.01
Expected Shortfall on VaR0.01
VaR(95%)0.00
Expected Shortfall on VaR0.01

ORDER STATISTICS

Number of observations32
Minimum0.89
Quartile 10.99
Median1.03
Quartile 31.05
Maximum1.18
Mean of quarter 10.95
Mean of quarter 21.01
Mean of quarter 31.04
Mean of quarter 41.09
Inter Quartile Range0.06
Number outliers low1
Percentage of outliers low0.03
Mean of outliers low0.89
Number of outliers high1
Percentage of outliers high0.03
Mean of outliers high1.18
Extreme Value Index (moments method)-4.88
VaR(95%) (moments method)0.03
Expected Shortfall (moments method)0.03
Extreme Value Index (regression method)0.29
VaR(95%) (regression method)0.05
Expected Shortfall (regression method)0.09
Number of observations717
Minimum0.95
Quartile 11.00
Median1.00
Quartile 31.01
Maximum1.03
Mean of quarter 10.99
Mean of quarter 21.00
Mean of quarter 31.00
Mean of quarter 41.01
Inter Quartile Range0.01
Number outliers low20
Percentage of outliers low0.03
Mean of outliers low0.97
Number of outliers high19
Percentage of outliers high0.03
Mean of outliers high1.02
Extreme Value Index (moments method)0.29
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)0.01
Number of observations131
Minimum0.97
Quartile 11.00
Median1.00
Quartile 31.00
Maximum1.02
Mean of quarter 10.99
Mean of quarter 21.00
Mean of quarter 31.00
Mean of quarter 41.01
Inter Quartile Range0.01
Number outliers low5
Percentage of outliers low0.04
Mean of outliers low0.98
Number of outliers high6
Percentage of outliers high0.05
Mean of outliers high1.02
Extreme Value Index (moments method)0.16
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0.01
Extreme Value Index (regression method)0.24
VaR(95%) (regression method)0.01
Expected Shortfall (regression method)0.01

DRAW DOWN STATISTICS

Number of observations6
Minimum0.01
Quartile 10.02
Median0.04
Quartile 30.08
Maximum0.15
Mean of quarter 10.01
Mean of quarter 20.03
Mean of quarter 30.05
Mean of quarter 40.12
Inter Quartile Range0.06
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 observations34
Minimum0.00
Quartile 10.01
Median0.01
Quartile 30.03
Maximum0.16
Mean of quarter 10.00
Mean of quarter 20.01
Mean of quarter 30.02
Mean of quarter 40.08
Inter Quartile Range0.02
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high4
Percentage of outliers high0.12
Mean of outliers high0.13
Extreme Value Index (moments method)0.35
VaR(95%) (moments method)0.09
Expected Shortfall (moments method)0.16
Extreme Value Index (regression method)0.15
VaR(95%) (regression method)0.08
Expected Shortfall (regression method)0.12
Number of observations11
Minimum0.00
Quartile 10.00
Median0.00
Quartile 30.01
Maximum0.04
Mean of quarter 10.00
Mean of quarter 20.00
Mean of quarter 30.01
Mean of quarter 40.03
Inter Quartile Range0.01
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.09
Mean of outliers high0.04
Extreme Value Index (moments method)-0.92
VaR(95%) (moments method)0.03
Expected Shortfall (moments method)0.04
Extreme Value Index (regression method)0.67
VaR(95%) (regression method)0.05
Expected Shortfall (regression method)0.14
Strat Max DD how much worse than SP500 max DD during strat life?-444584288
Max Equity Drawdown (num days)167
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.29
Compounded annual return (geometric extrapolation)0.24
Calmar ratio (compounded annual return / max draw down)1.61
Compounded annual return / average of 25% largest draw downs2.07
Compounded annual return / Expected Shortfall lognormal2.56
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.31
Compounded annual return (geometric extrapolation)0.25
Calmar ratio (compounded annual return / max draw down)1.58
Compounded annual return / average of 25% largest draw downs3.04
Compounded annual return / Expected Shortfall lognormal14.15
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.29
Compounded annual return (geometric extrapolation)0.32
Calmar ratio (compounded annual return / max draw down)7.16
Compounded annual return / average of 25% largest draw downs11.37
Compounded annual return / Expected Shortfall lognormal25.07

Trading record

Placed 174 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
SPY long35Sep 18, 2026Sep 25, 2026$230
ETHE long386Sep 23, 2026Sep 25, 2026($66)
GBTC long196Sep 23, 2026Sep 24, 2026($102)
IBIT long262Sep 23, 2026Sep 24, 2026($277)
IBIT long285Sep 18, 2026Sep 21, 2026$1,087
ETHE long418Sep 18, 2026Sep 21, 2026$769
SPY long51Aug 28, 2026Sep 17, 2026($139)
IBIT long277Sep 15, 2026Sep 16, 2026($197)
SDS long236Sep 14, 2026Sep 15, 2026($38)
IBIT long282Sep 11, 2026Sep 14, 2026$48
ETHE long418Sep 10, 2026Sep 14, 2026$276
IBIT long272Sep 4, 2026Sep 10, 2026($380)
IBIT long283Sep 2, 2026Sep 3, 2026$256
ETHE long424Sep 2, 2026Sep 3, 2026$85
GBTC long208Sep 1, 2026Sep 2, 2026($129)
GBTC long208Aug 26, 2026Aug 31, 2026$42
SPY long49Aug 14, 2026Aug 28, 2026($143)
IBIT long281Aug 27, 2026Aug 28, 2026($20)
IBIT long547Aug 18, 2026Aug 24, 2026$1,924
SSO long179Aug 18, 2026Aug 20, 2026($97)
ETHE long526Aug 14, 2026Aug 20, 2026$1,749
GBTC short164Aug 17, 2026Aug 18, 2026($83)
IBIT long111Aug 14, 2026Aug 17, 2026$42
SSO long178Aug 13, 2026Aug 17, 2026$30
IBIT short220Aug 12, 2026Aug 13, 2026$41
SSO long177Aug 11, 2026Aug 12, 2026($2)
ETHE long525Aug 11, 2026Aug 12, 2026$79

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.