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Featured Strategy S2Prox0 Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

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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
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ETF Basket
(37380325)

Created by: KD KD
Started: 12/2008
Stocks
Last trade: 5,233 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 $49.00 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.

-
Max Drawdown
17
Num Trades
35.3%
Win Trades
0.6 : 1
Profit Factor
3.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2008                                                                             (0.1%)(0.1%)
2009+4.5%+4.2%(10.5%)(7.9%)(4.5%)(4.3%)+5.6%+0.4%+3.6%(1.4%)+4.8%(1%)(7.9%)
2010  -    -    -    -    -    -    -    -    -    -    -  +0.1%+0.2%
2011  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014(0.2%)  -    -    -    -    -    -    -    -    -    -    -  (0.2%)
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
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.

System developer has asked us to delay this information by 168 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/2/09 10:28 TBT PROSHARES ULTRASHORT 20+ YEAR LONG 17 221.88 12/22 9:55 198.28 2.87%
Trade id #40761333
Max drawdown($2,147)
Time6/16/09 19:48
Quant open68
Worst price23.89
Drawdown as % of equity-2.87%
 ($401)
Includes Typical Broker Commissions trade costs of $0.34
1/2/09 9:31 SZO POWERSHARES DB CRUDE OIL SHORT LONG 136 65.53 12/22 9:54 51.88 3.39%
Trade id #37457169
Max drawdown($2,853)
Time10/21/09 13:25
Quant open136
Worst price44.55
Drawdown as % of equity-3.39%
 ($1,859)
Includes Typical Broker Commissions trade costs of $2.72
6/2/09 10:28 SPY SPDR S&P 500 LONG 115 94.99 12/22 9:54 111.65 1.25%
Trade id #40761310
Max drawdown($918)
Time7/8/09 14:35
Quant open115
Worst price87.00
Drawdown as % of equity-1.25%
 $1,914
Includes Typical Broker Commissions trade costs of $2.30
1/2/09 9:30 IAU ISHARES GOLD TRUST LONG 900 8.61 12/22 9:54 10.65 0.68%
Trade id #37457157
Max drawdown($641)
Time1/15/09 12:42
Quant open90
Worst price78.94
Drawdown as % of equity-0.68%
 $1,833
Includes Typical Broker Commissions trade costs of $5.00
5/11/09 13:39 FXI ISHARES FTSE CHINA 25 INDEX FU LONG 160 34.60 12/22 9:53 41.50 2.1%
Trade id #40336009
Max drawdown($1,750)
Time10/23/09 16:48
Quant open160
Worst price23.66
Drawdown as % of equity-2.10%
 $1,101
Includes Typical Broker Commissions trade costs of $3.20
6/2/09 10:24 FXE CURRENCYSHARES EURO TRUST LONG 60 142.66 12/22 9:53 142.69 0.44%
Trade id #40761169
Max drawdown($333)
Time6/8/09 7:29
Quant open60
Worst price137.10
Drawdown as % of equity-0.44%
 $1
Includes Typical Broker Commissions trade costs of $1.20
6/2/09 10:22 EFA ISHARES MSCI EAFE INDEX LONG 227 48.67 12/22 9:52 54.83 1.67%
Trade id #40761131
Max drawdown($1,232)
Time7/10/09 8:36
Quant open227
Worst price43.24
Drawdown as % of equity-1.67%
 $1,393
Includes Typical Broker Commissions trade costs of $4.54
5/1/09 9:31 EEM ISHARES MSCI EMERGING MARKETS LONG 372 28.71 12/22 9:52 40.28 0.06%
Trade id #40169746
Max drawdown($48)
Time5/1/09 9:50
Quant open372
Worst price28.58
Drawdown as % of equity-0.06%
 $4,297
Includes Typical Broker Commissions trade costs of $7.44
4/1/09 9:30 TLT ISHARES 20+ YEAR TREASURY BOND LONG 80 106.12 6/1 11:26 91.27 1.64%
Trade id #39643271
Max drawdown($1,271)
Time5/28/09 13:02
Quant open80
Worst price90.23
Drawdown as % of equity-1.64%
 ($1,190)
Includes Typical Broker Commissions trade costs of $1.60
1/2/09 9:30 EFZ PROSHARES SHORT MSCI EAFE LONG 151 85.41 6/1 11:26 71.15 2.73%
Trade id #37457163
Max drawdown($2,153)
Time5/8/09 15:02
Quant open151
Worst price75.98
Drawdown as % of equity-2.73%
 ($2,156)
Includes Typical Broker Commissions trade costs of $3.02
2/2/09 9:31 DRR MARKET VECTORS DOUBLE SHORT EU LONG 95 54.93 6/1 9:32 43.11 1.45%
Trade id #38142965
Max drawdown($1,123)
Time6/1/09 9:31
Quant open95
Worst price43.11
Drawdown as % of equity-1.45%
 ($1,125)
Includes Typical Broker Commissions trade costs of $1.90
1/2/09 9:31 SH PROSHARES SHORT S&P500 LONG 84 143.78 6/1 9:31 130.04 1.34%
Trade id #37457171
Max drawdown($1,154)
Time1/6/09 10:01
Quant open167
Worst price68.79
Drawdown as % of equity-1.34%
 ($1,156)
Includes Typical Broker Commissions trade costs of $1.68
1/2/09 9:30 FXP PROSHARES ULTRASHORT FTSE CHIN LONG 9 684.20 5/11 13:39 325.20 4.16%
Trade id #37457166
Max drawdown($3,283)
Time5/8/09 14:56
Quant open171
Worst price15.01
Drawdown as % of equity-4.16%
 ($3,231)
Includes Typical Broker Commissions trade costs of $0.18
1/2/09 9:30 EUM PROSHARES SHORT MSCI EMERGING LONG 175 77.50 5/1 9:31 61.34 3.61%
Trade id #37457161
Max drawdown($2,948)
Time4/30/09 10:51
Quant open175
Worst price60.65
Drawdown as % of equity-3.61%
 ($2,832)
Includes Typical Broker Commissions trade costs of $3.50
3/2/09 9:34 TBT PROSHARES ULTRASHORT 20+ YEAR LONG 24 189.60 4/1 9:30 171.28 0.48%
Trade id #38907357
Max drawdown($440)
Time3/18/09 14:28
Quant open97
Worst price43.12
Drawdown as % of equity-0.48%
 ($440)
Includes Typical Broker Commissions trade costs of $0.48
1/2/09 9:31 TLT ISHARES 20+ YEAR TREASURY BOND LONG 92 120.05 3/2 9:34 102.22 1.97%
Trade id #37457170
Max drawdown($1,747)
Time2/9/09 12:42
Quant open92
Worst price101.06
Drawdown as % of equity-1.97%
 ($1,642)
Includes Typical Broker Commissions trade costs of $1.84
1/2/09 9:30 FXE CURRENCYSHARES EURO TRUST LONG 81 139.04 2/2 9:31 127.79 0.97%
Trade id #37457124
Max drawdown($911)
Time2/2/09 9:31
Quant open81
Worst price127.79
Drawdown as % of equity-0.97%
 ($913)
Includes Typical Broker Commissions trade costs of $1.62
Next

Statistics

  • Strategy began
    12/28/2008
  • Suggested Minimum Cap
    $90,000
  • Strategy Age (days)
    5584.58
  • Age
    186 months ago
  • What it trades
    Stocks
  • # Trades
    17
  • # Profitable
    6
  • % Profitable
    35.30%
  • Avg trade duration
    166.4 days
  • Max peak-to-valley drawdown
    %
  • drawdown period
    Dec , - Dec ,
  • Annual Return (Compounded)
    -2.1%
  • Avg win
    $1,760
  • Avg loss
    $1,538
  • Model Account Values (Raw)
  • Cash
    $83,844
  • Margin Used
    $0
  • Buying Power
    $83,844
  • Ratios
  • W:L ratio
    0.64:1
  • Sharpe Ratio
    -0.5
  • Sortino Ratio
    -0.7
  • Calmar Ratio
    -0.036
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -124.13%
  • Correlation to SP500
    -0.12220
  • Return Percent SP500 (cumu) during strategy life
    469.11%
  • Return Statistics
  • Ann Return (w trading costs)
    -2.1%
  • Slump
  • Current Slump as Pcnt Equity
    23.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.99%
  • 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)
    -0.5%
  • 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
    n/a
  • 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
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,539
  • Avg Win
    $1,760
  • Sum Trade PL (losers)
    $16,925.000
  • Age
  • Num Months filled monthly returns table
    185
  • Win / Loss
  • Sum Trade PL (winners)
    $10,562.000
  • # Winners
    6
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    209
  • Win / Loss
  • # Losers
    11
  • % Winners
    35.3%
  • Frequency
  • Avg Position Time (mins)
    239560.00
  • Avg Position Time (hrs)
    3992.66
  • Avg Trade Length
    166.4 days
  • Last Trade Ago
    5226
  • Regression
  • Alpha
    -0.01
  • Beta
    -0.03
  • Treynor Index
    0.23
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    96.99
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    12.34
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    9.06
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -3.922
  • 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
    0.466
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.184
  • Hold-and-Hope Ratio
    -0.255
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02023
  • SD
    0.08155
  • Sharpe ratio (Glass type estimate)
    -0.24801
  • Sharpe ratio (Hedges UMVUE)
    -0.24495
  • df
    61.00000
  • t
    -0.56373
  • p
    0.71250
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.11039
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.61637
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.10831
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.61842
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.29269
  • Upside Potential Ratio
    0.65801
  • Upside part of mean
    0.04547
  • Downside part of mean
    -0.06569
  • Upside SD
    0.04246
  • Downside SD
    0.06910
  • N nonnegative terms
    8.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    62.00000
  • Mean of predictor
    0.14210
  • Mean of criterion
    -0.02023
  • SD of predictor
    0.15206
  • SD of criterion
    0.08155
  • Covariance
    -0.00372
  • r
    -0.30014
  • b (slope, estimate of beta)
    -0.16096
  • a (intercept, estimate of alpha)
    0.00265
  • Mean Square Error
    0.00615
  • DF error
    60.00000
  • t(b)
    -2.43726
  • p(b)
    0.99111
  • t(a)
    0.07404
  • p(a)
    0.47061
  • Lowerbound of 95% confidence interval for beta
    -0.29307
  • Upperbound of 95% confidence interval for beta
    -0.02886
  • Lowerbound of 95% confidence interval for alpha
    -0.06888
  • Upperbound of 95% confidence interval for alpha
    0.07418
  • Treynor index (mean / b)
    0.12565
  • Jensen alpha (a)
    0.00265
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02365
  • SD
    0.08434
  • Sharpe ratio (Glass type estimate)
    -0.28039
  • Sharpe ratio (Hedges UMVUE)
    -0.27693
  • df
    61.00000
  • t
    -0.63734
  • p
    0.73685
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.14295
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.58443
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.14060
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.58674
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.32419
  • Upside Potential Ratio
    0.61085
  • Upside part of mean
    0.04456
  • Downside part of mean
    -0.06820
  • Upside SD
    0.04152
  • Downside SD
    0.07294
  • N nonnegative terms
    8.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    62.00000
  • Mean of predictor
    0.12978
  • Mean of criterion
    -0.02365
  • SD of predictor
    0.15301
  • SD of criterion
    0.08434
  • Covariance
    -0.00384
  • r
    -0.29791
  • b (slope, estimate of beta)
    -0.16421
  • a (intercept, estimate of alpha)
    -0.00234
  • Mean Square Error
    0.00659
  • DF error
    60.00000
  • t(b)
    -2.41741
  • p(b)
    0.99066
  • t(a)
    -0.06352
  • p(a)
    0.52522
  • Lowerbound of 95% confidence interval for beta
    -0.30008
  • Upperbound of 95% confidence interval for beta
    -0.02833
  • Lowerbound of 95% confidence interval for alpha
    -0.07592
  • Upperbound of 95% confidence interval for alpha
    0.07124
  • Treynor index (mean / b)
    0.14401
  • Jensen alpha (a)
    -0.00234
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04115
  • Expected Shortfall on VaR
    0.05081
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01750
  • Expected Shortfall on VaR
    0.03784
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    62.00000
  • Minimum
    0.87253
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.05101
  • Mean of quarter 1
    0.98157
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01512
  • Inter Quartile Range
    0.00000
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.16129
  • Mean of outliers low
    0.97051
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.19355
  • Mean of outliers high
    1.02015
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -4.80857
  • VaR(95%) (moments method)
    0.00021
  • Expected Shortfall (moments method)
    0.00022
  • Extreme Value Index (regression method)
    0.57839
  • VaR(95%) (regression method)
    0.02650
  • Expected Shortfall (regression method)
    0.11367
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.24862
  • Quartile 1
    0.24862
  • Median
    0.24862
  • Quartile 3
    0.24862
  • Maximum
    0.24862
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.01322
  • Compounded annual return (geometric extrapolation)
    -0.01360
  • Calmar ratio (compounded annual return / max draw down)
    -0.05472
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.26772
  • 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
    -0.02107
  • SD
    0.06964
  • Sharpe ratio (Glass type estimate)
    -0.30253
  • Sharpe ratio (Hedges UMVUE)
    -0.30241
  • df
    1797.00000
  • t
    -0.69165
  • p
    0.51038
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.15985
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.55486
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.15976
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.55495
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.42206
  • Upside Potential Ratio
    3.43404
  • Upside part of mean
    0.17141
  • Downside part of mean
    -0.19248
  • Upside SD
    0.04854
  • Downside SD
    0.04992
  • N nonnegative terms
    153.00000
  • N negative terms
    1645.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1798.00000
  • Mean of predictor
    0.15378
  • Mean of criterion
    -0.02107
  • SD of predictor
    0.19218
  • SD of criterion
    0.06964
  • Covariance
    -0.00256
  • r
    -0.19153
  • b (slope, estimate of beta)
    -0.06940
  • a (intercept, estimate of alpha)
    -0.00700
  • Mean Square Error
    0.00467
  • DF error
    1796.00000
  • t(b)
    -8.27009
  • p(b)
    0.59577
  • t(a)
    -0.34729
  • p(a)
    0.50410
  • Lowerbound of 95% confidence interval for beta
    -0.08586
  • Upperbound of 95% confidence interval for beta
    -0.05294
  • Lowerbound of 95% confidence interval for alpha
    -0.06910
  • Upperbound of 95% confidence interval for alpha
    0.04831
  • Treynor index (mean / b)
    0.30355
  • Jensen alpha (a)
    -0.01039
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02349
  • SD
    0.06961
  • Sharpe ratio (Glass type estimate)
    -0.33743
  • Sharpe ratio (Hedges UMVUE)
    -0.33729
  • df
    1797.00000
  • t
    -0.77144
  • p
    0.51158
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.19476
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.51998
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.19466
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.52008
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.46611
  • Upside Potential Ratio
    3.37823
  • Upside part of mean
    0.17025
  • Downside part of mean
    -0.19374
  • Upside SD
    0.04801
  • Downside SD
    0.05040
  • N nonnegative terms
    153.00000
  • N negative terms
    1645.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1798.00000
  • Mean of predictor
    0.13528
  • Mean of criterion
    -0.02349
  • SD of predictor
    0.19226
  • SD of criterion
    0.06961
  • Covariance
    -0.00256
  • r
    -0.19103
  • b (slope, estimate of beta)
    -0.06917
  • a (intercept, estimate of alpha)
    -0.01413
  • Mean Square Error
    0.00467
  • DF error
    1796.00000
  • t(b)
    -8.24745
  • p(b)
    0.59551
  • t(a)
    -0.47238
  • p(a)
    0.50557
  • Lowerbound of 95% confidence interval for beta
    -0.08562
  • Upperbound of 95% confidence interval for beta
    -0.05272
  • Lowerbound of 95% confidence interval for alpha
    -0.07281
  • Upperbound of 95% confidence interval for alpha
    0.04455
  • Treynor index (mean / b)
    0.33961
  • Jensen alpha (a)
    -0.01413
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00622
  • Expected Shortfall on VaR
    0.00778
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00184
  • Expected Shortfall on VaR
    0.00408
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1798.00000
  • Minimum
    0.96889
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.03989
  • Mean of quarter 1
    0.99787
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00200
  • Inter Quartile Range
    0.00000
  • Number outliers low
    162.00000
  • Percentage of outliers low
    0.09010
  • Mean of outliers low
    0.99408
  • Number of outliers high
    170.00000
  • Percentage of outliers high
    0.09455
  • Mean of outliers high
    1.00530
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.11978
  • VaR(95%) (moments method)
    0.00151
  • Expected Shortfall (moments method)
    0.00342
  • Extreme Value Index (regression method)
    0.12040
  • VaR(95%) (regression method)
    0.00204
  • Expected Shortfall (regression method)
    0.00564
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00156
  • Quartile 1
    0.00662
  • Median
    0.02460
  • Quartile 3
    0.06295
  • Maximum
    0.28015
  • Mean of quarter 1
    0.00273
  • Mean of quarter 2
    0.01697
  • Mean of quarter 3
    0.04560
  • Mean of quarter 4
    0.18022
  • Inter Quartile Range
    0.05633
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.28015
  • 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)
    -0.01307
  • Compounded annual return (geometric extrapolation)
    -0.01345
  • Calmar ratio (compounded annual return / max draw down)
    -0.04800
  • Compounded annual return / average of 25% largest draw downs
    -0.07462
  • Compounded annual return / Expected Shortfall lognormal
    -1.72882
  • 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
    -0.01423
  • SD
    0.00303
  • Sharpe ratio (Glass type estimate)
    -4.69891
  • Sharpe ratio (Hedges UMVUE)
    -4.67828
  • df
    171.00000
  • t
    -3.32263
  • p
    0.65518
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -7.50847
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -1.87620
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -7.49408
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.86247
  • Statistics related to Sortino ratio
  • Sortino ratio
    -4.56750
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.01423
  • Upside SD
    0.00000
  • Downside SD
    0.00312
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.18960
  • Mean of criterion
    -0.01423
  • SD of predictor
    0.12006
  • SD of criterion
    0.00303
  • Covariance
    0.00009
  • r
    0.25316
  • b (slope, estimate of beta)
    0.00639
  • a (intercept, estimate of alpha)
    -0.01545
  • Mean Square Error
    0.00001
  • DF error
    170.00000
  • t(b)
    3.41194
  • p(b)
    0.37342
  • t(a)
    -3.70234
  • p(a)
    0.63658
  • Lowerbound of 95% confidence interval for beta
    0.00269
  • Upperbound of 95% confidence interval for beta
    0.01008
  • Lowerbound of 95% confidence interval for alpha
    -0.02368
  • Upperbound of 95% confidence interval for alpha
    -0.00721
  • Treynor index (mean / b)
    -2.22853
  • Jensen alpha (a)
    -0.01545
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01424
  • SD
    0.00303
  • Sharpe ratio (Glass type estimate)
    -4.69535
  • Sharpe ratio (Hedges UMVUE)
    -4.67472
  • df
    171.00000
  • t
    -3.32011
  • p
    0.65507
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -7.50484
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -1.87270
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -7.49046
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.85899
  • Statistics related to Sortino ratio
  • Sortino ratio
    -4.56424
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.01424
  • Upside SD
    0.00000
  • Downside SD
    0.00312
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.18239
  • Mean of criterion
    -0.01424
  • SD of predictor
    0.12003
  • SD of criterion
    0.00303
  • Covariance
    0.00009
  • r
    0.25557
  • b (slope, estimate of beta)
    0.00646
  • a (intercept, estimate of alpha)
    -0.01542
  • Mean Square Error
    0.00001
  • DF error
    170.00000
  • t(b)
    3.44673
  • p(b)
    0.37221
  • t(a)
    -3.69485
  • p(a)
    0.63632
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    0.00276
  • Upperbound of 95% confidence interval for beta
    0.01016
  • Lowerbound of 95% confidence interval for alpha
    -0.02365
  • Upperbound of 95% confidence interval for alpha
    -0.00718
  • Treynor index (mean / b)
    -2.20523
  • Jensen alpha (a)
    -0.01542
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00031
  • Expected Shortfall on VaR
    0.00038
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00014
  • Expected Shortfall on VaR
    0.00031
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.99786
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    0.99995
  • 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
    1.00000
  • Percentage of outliers low
    0.00581
  • Mean of outliers low
    0.99786
  • 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
    1.00000
  • Minimum
    0.00214
  • Quartile 1
    0.00214
  • Median
    0.00214
  • Quartile 3
    0.00214
  • Maximum
    0.00214
  • 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)
    113
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.00428
  • Compounded annual return (geometric extrapolation)
    -0.00428
  • Calmar ratio (compounded annual return / max draw down)
    -1.99786
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -11.30400

Strategy Description








Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2008-12-28
Suggested Minimum Capital
$90,000
# Trades
17
# Profitable
6
% Profitable
35.3%
Net Dividends
$208
Correlation S&P500
-0.122
Sharpe Ratio
-0.50
Sortino Ratio
-0.70
Beta
-0.03
Alpha
-0.01

Latest Activity

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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.