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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more

SuperBands w/Linear Regression Analysis
(35438029)

Created by: FinancialScientist FinancialScientist
Started: 09/2008
Stocks
Last trade: 5,617 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $175.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

-2.1%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(22.5%)
Max Drawdown
70
Num Trades
44.3%
Win Trades
1.2 : 1
Profit Factor
1.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2008                                                        (0.2%)+1.2%(0.9%)(0.2%)(0.1%)
2009(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(2.5%)
2010(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)+0.3%(2.1%)
2011(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(2.6%)
2012(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(2.7%)
2013(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(2.8%)
2014(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.5%)(0.2%)(0.2%)(0.2%)(0.2%)(3.1%)
2015(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.3%)(0.3%)(2.9%)
2016(0.3%)(0.3%)(0.3%)(0.3%)(0.3%)(0.3%)(0.3%)(0.3%)(0.3%)(0.3%)(0.3%)(0.3%)(3%)
2017(0.3%)(0.3%)(0.3%)  -    -    -    -    -    -    -    -    -  (0.8%)
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/11/08 9:41 FMCN Focus Media Holding Ltd. LONG 816 9.15 11/11 9:42 9.12 n/a ($29)
Includes Typical Broker Commissions trade costs of $5.00
11/10/08 10:07 DISH DISH NETWORK LONG 738 13.83 11/11 9:30 12.84 0.72%
Trade id #36332185
Max drawdown($734)
Time11/10/08 15:22
Quant open738
Worst price12.91
Drawdown as % of equity-0.72%
($744)
Includes Typical Broker Commissions trade costs of $9.88
11/6/08 11:17 EXPE EXPEDIA LONG 571 16.19 11/7 9:30 16.20 0.11%
Trade id #36269825
Max drawdown($110)
Time11/6/08 15:51
Quant open1,135
Worst price8.00
Drawdown as % of equity-0.11%
($5)
Includes Typical Broker Commissions trade costs of $8.21
11/4/08 9:48 AMLN Amylin Pharmaceuticals, Inc. LONG 148 7.15 11/5 9:30 8.13 n/a $142
Includes Typical Broker Commissions trade costs of $2.96
10/30/08 9:30 BIIB BIOGEN INC. COMMON STOCK LONG 72 39.80 10/30 9:59 40.06 0.03%
Trade id #36125644
Max drawdown($30)
Time10/30/08 9:32
Quant open72
Worst price39.37
Drawdown as % of equity-0.03%
$18
Includes Typical Broker Commissions trade costs of $1.44
10/28/08 10:46 XRAY DENTSPLY SIRONA INC LONG 280 25.07 10/29 9:30 29.39 0.08%
Trade id #36067896
Max drawdown($80)
Time10/28/08 11:10
Quant open280
Worst price24.78
Drawdown as % of equity-0.08%
$1,204
Includes Typical Broker Commissions trade costs of $5.60
10/28/08 10:17 WYNN WYNN RESORTS LONG 307 32.56 10/29 9:30 34.48 1.38%
Trade id #36066679
Max drawdown($1,381)
Time10/28/08 13:51
Quant open307
Worst price28.06
Drawdown as % of equity-1.38%
$584
Includes Typical Broker Commissions trade costs of $6.14
10/27/08 9:30 AMLN Amylin Pharmaceuticals, Inc. LONG 943 9.57 10/28 9:30 8.69 1.49%
Trade id #36034549
Max drawdown($1,506)
Time10/27/08 11:23
Quant open943
Worst price7.97
Drawdown as % of equity-1.49%
($840)
Includes Typical Broker Commissions trade costs of $11.93
10/27/08 9:30 SNDK SANDISK LONG 894 7.89 10/28 9:30 7.82 0.35%
Trade id #36034438
Max drawdown($351)
Time10/27/08 16:00
Quant open894
Worst price7.50
Drawdown as % of equity-0.35%
($76)
Includes Typical Broker Commissions trade costs of $11.44
10/23/08 12:02 WYNN WYNN RESORTS LONG 176 41.10 10/24 11:20 39.40 0.46%
Trade id #35978996
Max drawdown($481)
Time10/24/08 9:31
Quant open176
Worst price38.36
Drawdown as % of equity-0.46%
($303)
Includes Typical Broker Commissions trade costs of $3.52
10/23/08 9:51 FMCN Focus Media Holding Ltd. LONG 725 14.53 10/24 11:20 13.01 1.41%
Trade id #35973805
Max drawdown($1,490)
Time10/24/08 9:44
Quant open725
Worst price12.47
Drawdown as % of equity-1.41%
($1,109)
Includes Typical Broker Commissions trade costs of $9.75
10/23/08 10:10 NIHD NII HOLDINGS INC. COMMON STOCK LONG 628 16.73 10/24 11:20 14.70 2.21%
Trade id #35974977
Max drawdown($2,342)
Time10/24/08 9:32
Quant open628
Worst price13.00
Drawdown as % of equity-2.21%
($1,284)
Includes Typical Broker Commissions trade costs of $8.78
10/23/08 13:25 VRTX VERTEX LONG 504 20.82 10/24 11:19 21.04 0.73%
Trade id #35982161
Max drawdown($771)
Time10/24/08 9:34
Quant open504
Worst price19.29
Drawdown as % of equity-0.73%
$102
Includes Typical Broker Commissions trade costs of $7.54
10/23/08 13:02 VRSN VERISIGN LONG 545 19.29 10/24 11:19 18.99 0.44%
Trade id #35981249
Max drawdown($474)
Time10/23/08 14:22
Quant open545
Worst price18.42
Drawdown as % of equity-0.44%
($172)
Includes Typical Broker Commissions trade costs of $7.95
10/23/08 10:28 SIAL SIGMA-ALDRICH LONG 289 36.18 10/24 11:19 37.01 0.27%
Trade id #35975831
Max drawdown($283)
Time10/24/08 9:36
Quant open289
Worst price35.20
Drawdown as % of equity-0.27%
$233
Includes Typical Broker Commissions trade costs of $5.78
10/23/08 9:48 SHLD GLOBAL X DEFENSE TECH ETF LONG 210 49.74 10/24 11:19 47.77 0.64%
Trade id #35973581
Max drawdown($677)
Time10/24/08 9:31
Quant open210
Worst price46.51
Drawdown as % of equity-0.64%
($417)
Includes Typical Broker Commissions trade costs of $4.20
10/23/08 12:37 RIMM LONG 230 44.99 10/24 11:18 42.89 1.04%
Trade id #35980401
Max drawdown($1,099)
Time10/24/08 9:33
Quant open230
Worst price40.21
Drawdown as % of equity-1.04%
($488)
Includes Typical Broker Commissions trade costs of $4.60
10/23/08 13:31 AMLN Amylin Pharmaceuticals, Inc. LONG 196 10.74 10/24 11:18 10.59 0.09%
Trade id #35982496
Max drawdown($95)
Time10/24/08 9:37
Quant open196
Worst price10.26
Drawdown as % of equity-0.09%
($34)
Includes Typical Broker Commissions trade costs of $3.92
10/23/08 9:33 MICC Millicom International Cellular SA LONG 276 33.98 10/23 15:59 28.63 2.06%
Trade id #35972749
Max drawdown($2,203)
Time10/23/08 14:21
Quant open276
Worst price26.00
Drawdown as % of equity-2.06%
($1,483)
Includes Typical Broker Commissions trade costs of $5.52
10/23/08 9:45 LVLT LEVEL 3 LONG 130 16.28 10/23 12:06 9.45 0.89%
Trade id #35973342
Max drawdown($947)
Time10/23/08 12:06
Quant open1,953
Worst price0.60
Drawdown as % of equity-0.89%
($890)
Includes Typical Broker Commissions trade costs of $2.60
10/22/08 9:58 SIAL SIGMA-ALDRICH LONG 224 37.75 10/23 9:30 37.71 0.08%
Trade id #35941320
Max drawdown($86)
Time10/22/08 15:42
Quant open168
Worst price37.32
Drawdown as % of equity-0.08%
($14)
Includes Typical Broker Commissions trade costs of $4.48
10/22/08 15:42 RIMM LONG 22 47.05 10/23 9:30 48.97 n/a $42
Includes Typical Broker Commissions trade costs of $0.44
10/22/08 15:19 PCAR PACCAR LONG 447 23.84 10/23 9:30 24.50 0.17%
Trade id #35953007
Max drawdown($180)
Time10/22/08 15:42
Quant open447
Worst price23.44
Drawdown as % of equity-0.17%
$284
Includes Typical Broker Commissions trade costs of $8.94
10/22/08 15:37 JOYG Joy Global, Inc. LONG 252 21.17 10/23 9:30 22.70 0.03%
Trade id #35953848
Max drawdown($32)
Time10/22/08 15:41
Quant open150
Worst price21.01
Drawdown as % of equity-0.03%
$382
Includes Typical Broker Commissions trade costs of $5.04
10/22/08 15:16 KLAC KLA CORP LONG 394 18.99 10/23 9:30 19.19 0.08%
Trade id #35952854
Max drawdown($83)
Time10/22/08 15:43
Quant open394
Worst price18.78
Drawdown as % of equity-0.08%
$70
Includes Typical Broker Commissions trade costs of $7.88
10/22/08 14:09 NIHD NII HOLDINGS INC. COMMON STOCK LONG 592 18.11 10/23 9:30 19.63 0.69%
Trade id #35950180
Max drawdown($732)
Time10/22/08 14:54
Quant open592
Worst price16.87
Drawdown as % of equity-0.69%
$893
Includes Typical Broker Commissions trade costs of $8.42
10/22/08 10:27 FMCN Focus Media Holding Ltd. LONG 683 15.70 10/23 9:30 14.76 0.76%
Trade id #35942638
Max drawdown($807)
Time10/22/08 15:06
Quant open683
Worst price14.52
Drawdown as % of equity-0.76%
($653)
Includes Typical Broker Commissions trade costs of $9.33
10/22/08 9:30 SNDK SANDISK LONG 73 10.46 10/22 10:21 10.46 0.02%
Trade id #35938781
Max drawdown($23)
Time10/22/08 10:00
Quant open73
Worst price10.13
Drawdown as % of equity-0.02%
($1)
Includes Typical Broker Commissions trade costs of $1.46
10/21/08 9:30 LOGI LOGITECH INTERNATIONAL LONG 665 15.56 10/22 9:30 14.50 0.65%
Trade id #35905084
Max drawdown($703)
Time10/21/08 9:32
Quant open118
Worst price14.98
Drawdown as % of equity-0.65%
($712)
Includes Typical Broker Commissions trade costs of $9.15
10/21/08 11:37 MICC Millicom International Cellular SA LONG 255 41.48 10/22 9:30 37.50 1.53%
Trade id #35910127
Max drawdown($1,648)
Time10/21/08 15:39
Quant open255
Worst price35.01
Drawdown as % of equity-1.53%
($1,019)
Includes Typical Broker Commissions trade costs of $5.10

Statistics

  • Strategy began
    9/30/2008
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    5653.33
  • Age
    189 months ago
  • What it trades
    Stocks
  • # Trades
    70
  • # Profitable
    31
  • % Profitable
    44.30%
  • Avg trade duration
    11.9 hours
  • Max peak-to-valley drawdown
    22.49%
  • drawdown period
    Oct 21, 2008 - March 23, 2017
  • Annual Return (Compounded)
    -2.1%
  • Avg win
    $415.23
  • Avg loss
    $284.62
  • Model Account Values (Raw)
  • Cash
    $102,242
  • Margin Used
    $0
  • Buying Power
    $102,242
  • Ratios
  • W:L ratio
    1.20:1
  • Sharpe Ratio
    -1.75
  • Sortino Ratio
    -2.44
  • Calmar Ratio
    0.052
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -126.61%
  • Correlation to SP500
    -0.00760
  • Return Percent SP500 (cumu) during strategy life
    351.12%
  • Return Statistics
  • Ann Return (w trading costs)
    -2.1%
  • Slump
  • Current Slump as Pcnt Equity
    34.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    1.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.021%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    0.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    93.22%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $285
  • Avg Win
    $415
  • Sum Trade PL (losers)
    $11,100.000
  • Age
  • Num Months filled monthly returns table
    187
  • Win / Loss
  • Sum Trade PL (winners)
    $12,872.000
  • # Winners
    31
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    472
  • Win / Loss
  • # Losers
    39
  • % Winners
    44.3%
  • Frequency
  • Avg Position Time (mins)
    714.78
  • Avg Position Time (hrs)
    11.91
  • Avg Trade Length
    0.5 days
  • Last Trade Ago
    5611
  • Regression
  • Alpha
    -0.01
  • Beta
    -0.00
  • Treynor Index
    13.42
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    70.06
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    56.03
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.08
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    21.267
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.877
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.738
  • Hold-and-Hope Ratio
    0.047
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02363
  • SD
    0.00598
  • Sharpe ratio (Glass type estimate)
    -3.95221
  • Sharpe ratio (Hedges UMVUE)
    -3.90342
  • df
    61.00000
  • t
    -8.98349
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.05270
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -2.83171
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.00943
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.79740
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.00372
  • Upside Potential Ratio
    0.37550
  • Upside part of mean
    0.00295
  • Downside part of mean
    -0.02658
  • Upside SD
    0.00445
  • Downside SD
    0.00787
  • N nonnegative terms
    3.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    62.00000
  • Mean of predictor
    0.13903
  • Mean of criterion
    -0.02363
  • SD of predictor
    0.23192
  • SD of criterion
    0.00598
  • Covariance
    -0.00038
  • r
    -0.27162
  • b (slope, estimate of beta)
    -0.00700
  • a (intercept, estimate of alpha)
    -0.02266
  • Mean Square Error
    0.00003
  • DF error
    60.00000
  • t(b)
    -2.18613
  • p(b)
    0.98364
  • t(a)
    -8.74411
  • p(a)
    1.00000
  • Lowerbound of 95% confidence interval for beta
    -0.01341
  • Upperbound of 95% confidence interval for beta
    -0.00060
  • Lowerbound of 95% confidence interval for alpha
    -0.02784
  • Upperbound of 95% confidence interval for alpha
    -0.01747
  • Treynor index (mean / b)
    3.37454
  • Jensen alpha (a)
    -0.02266
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02362
  • SD
    0.00595
  • Sharpe ratio (Glass type estimate)
    -3.96874
  • Sharpe ratio (Hedges UMVUE)
    -3.91974
  • df
    61.00000
  • t
    -9.02107
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.07106
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -2.84638
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.02758
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.81191
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.00540
  • Upside Potential Ratio
    0.37381
  • Upside part of mean
    0.00294
  • Downside part of mean
    -0.02655
  • Upside SD
    0.00442
  • Downside SD
    0.00786
  • N nonnegative terms
    3.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    62.00000
  • Mean of predictor
    0.11106
  • Mean of criterion
    -0.02362
  • SD of predictor
    0.23650
  • SD of criterion
    0.00595
  • Covariance
    -0.00040
  • r
    -0.28119
  • b (slope, estimate of beta)
    -0.00707
  • a (intercept, estimate of alpha)
    -0.02283
  • Mean Square Error
    0.00003
  • DF error
    60.00000
  • t(b)
    -2.26971
  • p(b)
    0.98658
  • t(a)
    -8.92977
  • p(a)
    1.00000
  • Lowerbound of 95% confidence interval for beta
    -0.01331
  • Upperbound of 95% confidence interval for beta
    -0.00084
  • Lowerbound of 95% confidence interval for alpha
    -0.02794
  • Upperbound of 95% confidence interval for alpha
    -0.01772
  • Treynor index (mean / b)
    3.33789
  • Jensen alpha (a)
    -0.02283
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00478
  • Expected Shortfall on VaR
    0.00550
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00245
  • Expected Shortfall on VaR
    0.00245
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    62.00000
  • Minimum
    0.99995
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.01137
  • Mean of quarter 1
    0.99999
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00140
  • Inter Quartile Range
    0.00000
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.04839
  • Mean of outliers low
    0.99997
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.11290
  • Mean of outliers high
    1.00319
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00002
  • Median
    0.00002
  • Quartile 3
    0.00004
  • Maximum
    0.00005
  • Mean of quarter 1
    0.00002
  • Mean of quarter 2
    0.00002
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00005
  • Inter Quartile Range
    0.00001
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00434
  • Compounded annual return (geometric extrapolation)
    0.00430
  • Calmar ratio (compounded annual return / max draw down)
    87.53790
  • Compounded annual return / average of 25% largest draw downs
    87.53790
  • Compounded annual return / Expected Shortfall lognormal
    0.78254
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02114
  • SD
    0.07120
  • Sharpe ratio (Glass type estimate)
    -0.29692
  • Sharpe ratio (Hedges UMVUE)
    -0.29676
  • df
    1369.00000
  • t
    -0.67897
  • p
    0.51168
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.15406
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.56031
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.15394
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.56043
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.43487
  • Upside Potential Ratio
    1.17749
  • Upside part of mean
    0.05724
  • Downside part of mean
    -0.07838
  • Upside SD
    0.05200
  • Downside SD
    0.04861
  • N nonnegative terms
    18.00000
  • N negative terms
    1352.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1370.00000
  • Mean of predictor
    0.19695
  • Mean of criterion
    -0.02114
  • SD of predictor
    0.40022
  • SD of criterion
    0.07120
  • Covariance
    0.00193
  • r
    0.06782
  • b (slope, estimate of beta)
    0.01207
  • a (intercept, estimate of alpha)
    -0.02500
  • Mean Square Error
    0.00505
  • DF error
    1368.00000
  • t(b)
    2.51426
  • p(b)
    0.46609
  • t(a)
    -0.75640
  • p(a)
    0.51022
  • Lowerbound of 95% confidence interval for beta
    0.00265
  • Upperbound of 95% confidence interval for beta
    0.02148
  • Lowerbound of 95% confidence interval for alpha
    -0.08451
  • Upperbound of 95% confidence interval for alpha
    0.03747
  • Treynor index (mean / b)
    -1.75215
  • Jensen alpha (a)
    -0.02352
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02367
  • SD
    0.07110
  • Sharpe ratio (Glass type estimate)
    -0.33285
  • Sharpe ratio (Hedges UMVUE)
    -0.33266
  • df
    1369.00000
  • t
    -0.76112
  • p
    0.51309
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.19000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.52441
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.18987
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.52454
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.47332
  • Upside Potential Ratio
    1.11867
  • Upside part of mean
    0.05594
  • Downside part of mean
    -0.07960
  • Upside SD
    0.05054
  • Downside SD
    0.05000
  • N nonnegative terms
    18.00000
  • N negative terms
    1352.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1370.00000
  • Mean of predictor
    0.11623
  • Mean of criterion
    -0.02367
  • SD of predictor
    0.40297
  • SD of criterion
    0.07110
  • Covariance
    0.00156
  • r
    0.05450
  • b (slope, estimate of beta)
    0.00962
  • a (intercept, estimate of alpha)
    -0.02478
  • Mean Square Error
    0.00504
  • DF error
    1368.00000
  • t(b)
    2.01884
  • p(b)
    0.47275
  • t(a)
    -0.79784
  • p(a)
    0.51078
  • Lowerbound of 95% confidence interval for beta
    0.00027
  • Upperbound of 95% confidence interval for beta
    0.01896
  • Lowerbound of 95% confidence interval for alpha
    -0.08572
  • Upperbound of 95% confidence interval for alpha
    0.03615
  • Treynor index (mean / b)
    -2.46095
  • Jensen alpha (a)
    -0.02478
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00729
  • Expected Shortfall on VaR
    0.00911
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00103
  • Expected Shortfall on VaR
    0.00234
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1370.00000
  • Minimum
    0.93256
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.07379
  • Mean of quarter 1
    0.99922
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00088
  • Inter Quartile Range
    0.00000
  • Number outliers low
    34.00000
  • Percentage of outliers low
    0.02482
  • Mean of outliers low
    0.99217
  • Number of outliers high
    41.00000
  • Percentage of outliers high
    0.02993
  • Mean of outliers high
    1.00736
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.02864
  • VaR(95%) (moments method)
    -0.03481
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.16037
  • VaR(95%) (regression method)
    -0.02204
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.02424
  • Quartile 1
    0.04869
  • Median
    0.05684
  • Quartile 3
    0.05981
  • Maximum
    0.06872
  • Mean of quarter 1
    0.02424
  • Mean of quarter 2
    0.05684
  • Mean of quarter 3
    0.05684
  • Mean of quarter 4
    0.06872
  • Inter Quartile Range
    0.01112
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.25000
  • Mean of outliers low
    0.02424
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00429
  • Compounded annual return (geometric extrapolation)
    0.00425
  • Calmar ratio (compounded annual return / max draw down)
    0.06183
  • Compounded annual return / average of 25% largest draw downs
    0.06183
  • Compounded annual return / Expected Shortfall lognormal
    0.46652
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.32889
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.19413
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.30985
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.19507
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6833530000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.00700
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    128803000000000001912962461728768.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    3075
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

I think this system requires some explanation. This system is publicly available at wl4.wealth-lab.com. It is consistently ranked in the top 10 most profitable limit order scripts ever to be written and will continue to be so. The catch is that the system is nearly impossible to trade without 100% screen time during market hours through WL. I attempted to implement this system in NinjaTrader paying $300 per month for a datafeed of the NAZ100, which was the watchlist I used. It would require a 2 hour daily effort to activate all 100 separate chart windows. Even with that, I found NinjaTrader to be cumbersome, and did receive the level of help that I did in wealth script code. NT mainly just points you to third party developers. I could have improved what code I did have, but the bottom line was I didn't have $300 per month for a system that could be traded through WL anyway.

I was in surgery on a day when the system would have gained 17%. Well, either way, I still would not have continued, because it was economically infeasible.

This system was based on buying at 5.5% less than the 10, 1.5 BollingerBand and averaging down in 0.25% increments if the opening price was greater than the actuall bands we were placing limits on. The strategy was a 1 day system with sells on the open the day after entry. I guarantee if you are able to implement properly, this strategy is profitable, particularly on the NAZ100.

Summary Statistics

Strategy began
2008-09-30
Suggested Minimum Capital
$25,000
# Trades
70
# Profitable
31
% Profitable
44.3%
Net Dividends
Correlation S&P500
-0.008
Sharpe Ratio
-1.75
Sortino Ratio
-2.44
Beta
-0.00
Alpha
-0.01

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

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.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.