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Featured Strategy Income Trades Followed by live capital $27,500 Hypothetical

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ShortTermStable
(38480160)

Created by: JuXiang2 JuXiang2
Started: 02/2009
Stocks
Last trade: 4,015 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 $80.00 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.

-5.5%
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.

(100.0%)
Max Drawdown
211
Num Trades
70.1%
Win Trades
0.9 : 1
Profit Factor
16.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2009       +1.3%+19.3%+16.7%+5.1%+2.7%(6.6%)(2.5%)(6%)+7.1%+4.9%(1%)+45.1%
2010+1.0%+1.6%(4.4%)(0.7%)+10.0%+4.2%+1.7%+1.3%(0.3%)+0.9%+2.2%(2.1%)+15.5%
2011(1.7%)(1.2%)+3.8%+1.0%+4.0%+2.8%+3.1%+19.0%+12.4%(18.4%)+42.4%(4.3%)+67.0%
2012(11.6%)(21.2%)(18%)+8.0%+41.9%(16.8%)+1.2%(7.9%)(11%)+2.3%+0.2%(10.6%)(44.6%)
2013(40.5%)(19.3%)+234.2%(80.4%)(145.5%)  -    -    -    -    -  (94%)  -  (100.9%)
2014(29.4%)  -    -    -    -  (0.1%)  -    -    -    -    -    -  -
2015  -    -    -    -  (0.3%)  -    -    -    -  (4399%)  -    -  (4385.2%)
2016  -    -  +1.5%  -    -    -    -  +3.3%  -    -    -    -  +4.8%
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.

Trading Record

This strategy has placed 68 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 4714 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/19/09 9:30 FAS DIREXION DAILY FINANCIAL BULL SHORT 76,140 6.82 5/21/13 11:47 11.13 1344.29%
Trade id #39391881
Max drawdown($847,133)
Time3/8/13 9:31
Quant open-6,192
Worst price164.10
Drawdown as % of equity-1344.29%
 ($328,479)
Includes Typical Broker Commissions trade costs of $717.68
3/19/09 9:30 FAZ DIREXION DAILY FINANCIAL BEAR SHORT 521 1370.93 3/16/12 11:18 1026.08 11.52%
Trade id #39391926
Max drawdown($12,562)
Time3/20/09 14:11
Quant open-1,100
Worst price35.47
Drawdown as % of equity-11.52%
 $184,786
Includes Typical Broker Commissions trade costs of $10.37
3/26/09 13:26 ERY DIREXION DAILY ENERGY BEAR 2X SHORT 1,030 220.50 3/15/12 11:18 140.82 11.87%
Trade id #39533421
Max drawdown($17,906)
Time7/8/09 12:23
Quant open-2,820
Worst price28.85
Drawdown as % of equity-11.87%
 $82,851
Includes Typical Broker Commissions trade costs of $20.70
3/26/09 13:25 ERX DIREXION DAILY ENERGY BULL 2X SHORT 7,150 35.73 3/15/12 10:48 43.61 30.56%
Trade id #39533399
Max drawdown($56,300)
Time3/15/12 10:48
Quant open7,036
Worst price55.90
Drawdown as % of equity-30.56%
 ($56,429)
Includes Typical Broker Commissions trade costs of $129.43
8/12/11 9:30 TNA DIREXION DAILY SMALL CAP BULL 3X SHORT 1,800 20.19 3/13/12 15:34 26.75 5.84%
Trade id #64558882
Max drawdown($11,810)
Time3/13/12 15:34
Quant open613
Worst price62.27
Drawdown as % of equity-5.84%
 ($11,833)
Includes Typical Broker Commissions trade costs of $23.00
7/13/10 9:38 TZA DIREXION DAILY SMALL CAP BEAR SHORT 74 1045.20 10/27/11 9:55 784.24 0.98%
Trade id #51037479
Max drawdown($1,646)
Time8/9/11 14:45
Quant open-436
Worst price68.31
Drawdown as % of equity-0.98%
 $26,368
Includes Typical Broker Commissions trade costs of $1.39
5/5/10 9:40 TMV DIREXION DAILY 20+ YR TRSY BEA SHORT 198 220.97 10/27/11 9:55 158.14 1.01%
Trade id #49054480
Max drawdown($1,562)
Time5/13/10 13:23
Quant open-400
Worst price57.40
Drawdown as % of equity-1.01%
 $12,437
Includes Typical Broker Commissions trade costs of $3.96
8/15/11 14:10 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS SHORT 50 48.01 10/27 9:55 58.17 0.32%
Trade id #64634436
Max drawdown($855)
Time10/18/11 10:06
Quant open-50
Worst price65.12
Drawdown as % of equity-0.32%
 ($509)
Includes Typical Broker Commissions trade costs of $1.00
8/15/11 14:16 VXZ IPATH SERIES B S&P 500 VIX MID-TERM FUTURES ETN LONG 13 219.92 10/27 9:55 240.32 0.03%
Trade id #64634685
Max drawdown($62)
Time8/17/11 9:54
Quant open50
Worst price53.74
Drawdown as % of equity-0.03%
 $265
Includes Typical Broker Commissions trade costs of $0.26
7/13/10 9:38 TNA DIREXION DAILY SMALL CAP BULL 3X SHORT 1,500 24.25 8/8/11 14:40 28.32 8.38%
Trade id #51037451
Max drawdown($14,678)
Time4/8/11 9:32
Quant open-316
Worst price91.91
Drawdown as % of equity-8.38%
 ($6,126)
Includes Typical Broker Commissions trade costs of $27.48
7/13/10 9:50 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS SHORT 740 37.64 8/8/11 14:40 42.51 2.51%
Trade id #51038318
Max drawdown($4,289)
Time8/25/10 10:01
Quant open-289
Worst price56.65
Drawdown as % of equity-2.51%
 ($3,621)
Includes Typical Broker Commissions trade costs of $14.80
9/20/10 13:12 XXV IPATH INVERSE S&P 500 VIX ST F SHORT 627 28.35 8/8/11 14:40 34.29 2.44%
Trade id #53066629
Max drawdown($4,572)
Time6/14/11 13:39
Quant open-627
Worst price35.64
Drawdown as % of equity-2.44%
 ($3,739)
Includes Typical Broker Commissions trade costs of $12.54
9/20/10 13:12 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 3 4322.99 11/9 10:47 2842.24 6.5%
Trade id #53066613
Max drawdown($12,430)
Time7/25/11 18:07
Quant open141
Worst price0.00
Drawdown as % of equity-6.50%
 $7,284
Includes Typical Broker Commissions trade costs of $0.05
7/13/10 9:47 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 46 41.66 7/13 9:49 41.79 n/a $5
Includes Typical Broker Commissions trade costs of $0.92
5/5/10 9:40 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS SHORT 654 36.87 7/13 9:46 41.66 3.99%
Trade id #49054391
Max drawdown($6,647)
Time7/1/10 11:03
Quant open-654
Worst price47.03
Drawdown as % of equity-3.99%
 ($3,146)
Includes Typical Broker Commissions trade costs of $13.08
12/23/09 10:12 GLD SPDR GOLD SHARES LONG 100 106.84 1/7/10 14:46 111.11 0.03%
Trade id #46031540
Max drawdown($44)
Time12/30/09 9:49
Quant open100
Worst price106.40
Drawdown as % of equity-0.03%
 $425
Includes Typical Broker Commissions trade costs of $2.00
12/23/09 10:15 GCZAD SHORT 1 1.89 1/7/10 14:46 3.55 0.15%
Trade id #46031698
Max drawdown($221)
Time1/6/10 14:09
Quant open-1
Worst price4.10
Drawdown as % of equity-0.15%
 ($168)
Includes Typical Broker Commissions trade costs of $2.00
11/27/09 9:31 GLD SPDR GOLD SHARES LONG 300 113.55 12/21 9:46 108.96 0.98%
Trade id #45416887
Max drawdown($1,449)
Time12/11/09 11:37
Quant open300
Worst price108.72
Drawdown as % of equity-0.98%
 ($1,383)
Includes Typical Broker Commissions trade costs of $6.00
12/7/09 9:40 GCZLF SHORT 1 3.45 12/20 9:01 0.00 0.1%
Trade id #45651544
Max drawdown($155)
Time12/7/09 13:28
Quant open-1
Worst price5.00
Drawdown as % of equity-0.10%
 $344
Includes Typical Broker Commissions trade costs of $1.00
11/30/09 10:38 FOSXL LONG 1 4.80 12/20 9:01 0.00 0.32%
Trade id #45462237
Max drawdown($480)
Time12/14/09 15:55
Quant open1
Worst price1.45
Drawdown as % of equity-0.32%
 ($481)
Includes Typical Broker Commissions trade costs of $1.00
12/7/09 9:42 GCZLG SHORT 1 1.09 12/20 9:01 0.00 0.05%
Trade id #45651691
Max drawdown($78)
Time12/7/09 13:29
Quant open-1
Worst price1.87
Drawdown as % of equity-0.05%
 $108
Includes Typical Broker Commissions trade costs of $1.00
11/30/09 10:40 FAYXT LONG 3 1.29 12/20 9:00 0.00 0.26%
Trade id #45462339
Max drawdown($387)
Time12/11/09 11:44
Quant open3
Worst price0.50
Drawdown as % of equity-0.26%
 ($389)
Includes Typical Broker Commissions trade costs of $2.10
12/2/09 9:37 GCZLP SHORT 1 1.90 12/7 9:41 0.29 0.02%
Trade id #45533203
Max drawdown($29)
Time12/3/09 15:21
Quant open-1
Worst price2.19
Drawdown as % of equity-0.02%
 $159
Includes Typical Broker Commissions trade costs of $2.00
12/2/09 9:38 GCZLU SHORT 1 0.56 12/7 9:38 0.12 0.01%
Trade id #45533281
Max drawdown($13)
Time12/2/09 10:20
Quant open-1
Worst price0.69
Drawdown as % of equity-0.01%
 $42
Includes Typical Broker Commissions trade costs of $2.00
3/30/09 9:48 TZA DIREXION DAILY SMALL CAP BEAR SHORT 14 6551.66 11/23 14:40 2784.87 0.37%
Trade id #39581063
Max drawdown($437)
Time3/30/09 10:46
Quant open-275
Worst price55.88
Drawdown as % of equity-0.37%
 $61,090
Includes Typical Broker Commissions trade costs of $0.25
3/30/09 9:48 TNA DIREXION DAILY SMALL CAP BULL 3X SHORT 4,452 10.76 11/23 11:20 17.45 20.46%
Trade id #39581000
Max drawdown($29,771)
Time6/2/09 13:35
Quant open-1,309
Worst price31.37
Drawdown as % of equity-20.46%
 ($29,820)
Includes Typical Broker Commissions trade costs of $49.10
3/23/09 9:32 BGZ SHORT 143 275.79 10/15 14:36 157.23 0.27%
Trade id #39447157
Max drawdown($286)
Time3/23/09 9:53
Quant open-298
Worst price69.13
Drawdown as % of equity-0.27%
 $16,833
Includes Typical Broker Commissions trade costs of $2.85
7/29/09 11:34 SPXU PROSHARES ULTRAPRO SHORT S&P50 SHORT 41 1164.47 10/15 14:36 986.00 0.03%
Trade id #42049433
Max drawdown($43)
Time7/29/09 13:34
Quant open-120
Worst price61.10
Drawdown as % of equity-0.03%
 $7,316
Includes Typical Broker Commissions trade costs of $0.82
7/10/09 10:27 FASJS SHORT 3 5.40 9/17 9:52 44.30 8.26%
Trade id #41637253
Max drawdown($11,670)
Time8/24/09 9:45
Quant open-3
Worst price36.50
Drawdown as % of equity-8.26%
 ($11,675)
Includes Typical Broker Commissions trade costs of $5.10
7/9/09 9:56 BWBJG SHORT 2 2.55 9/17 9:51 18.60 2.44%
Trade id #41599321
Max drawdown($3,210)
Time9/17/09 9:37
Quant open-2
Worst price18.45
Drawdown as % of equity-2.44%
 ($3,213)
Includes Typical Broker Commissions trade costs of $3.40
Next

Statistics

  • Strategy began
    2/17/2009
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    5564.57
  • Age
    186 months ago
  • What it trades
    Stocks
  • # Trades
    211
  • # Profitable
    148
  • % Profitable
    70.10%
  • Avg trade duration
    21.6 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    May 18, 2013 - May 20, 2013
  • Annual Return (Compounded)
    -5.5%
  • Avg win
    $3,082
  • Avg loss
    $7,972
  • Model Account Values (Raw)
  • Cash
    $49,278
  • Margin Used
    $0
  • Buying Power
    $49,278
  • Ratios
  • W:L ratio
    0.90:1
  • Sharpe Ratio
    -0.17
  • Sortino Ratio
    -0.21
  • Calmar Ratio
    -0.183
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -619.47%
  • Correlation to SP500
    -0.09510
  • Return Percent SP500 (cumu) during strategy life
    572.01%
  • Return Statistics
  • Ann Return (w trading costs)
    -5.5%
  • Slump
  • Current Slump as Pcnt Equity
    620.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.81%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.055%
  • Instruments
  • Percent Trades Options
    0.07%
  • Percent Trades Stocks
    0.93%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -4.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • 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
    $7,972
  • Avg Win
    $3,082
  • Sum Trade PL (losers)
    $502,237.000
  • Age
  • Num Months filled monthly returns table
    52
  • Win / Loss
  • Sum Trade PL (winners)
    $456,207.000
  • # Winners
    148
  • Num Months Winners
    29
  • Dividends
  • Dividends Received in Model Acct
    -4283
  • Win / Loss
  • # Losers
    63
  • % Winners
    70.1%
  • Frequency
  • Avg Position Time (mins)
    31107.30
  • Avg Position Time (hrs)
    518.46
  • Avg Trade Length
    21.6 days
  • Last Trade Ago
    4010
  • Regression
  • Alpha
    0.00
  • Beta
    -0.65
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.09
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    66.85
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    55.93
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.88
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.31
  • Avg(MAE) / Avg(PL) - All trades
    -22.805
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.188
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.080
  • Hold-and-Hope Ratio
    -0.044
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1189.70000
  • SD
    2766.60000
  • Sharpe ratio (Glass type estimate)
    0.43002
  • Sharpe ratio (Hedges UMVUE)
    0.42496
  • df
    64.00000
  • t
    1.00082
  • p
    0.16034
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.41705
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.27377
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.42038
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.27031
  • Statistics related to Sortino ratio
  • Sortino ratio
    2132.09000
  • Upside Potential Ratio
    2133.11000
  • Upside part of mean
    1190.27000
  • Downside part of mean
    -0.56839
  • Upside SD
    2766.64000
  • Downside SD
    0.55800
  • N nonnegative terms
    47.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    65.00000
  • Mean of predictor
    0.28987
  • Mean of criterion
    1189.70000
  • SD of predictor
    0.27370
  • SD of criterion
    2766.60000
  • Covariance
    27.81590
  • r
    0.03673
  • b (slope, estimate of beta)
    371.32200
  • a (intercept, estimate of alpha)
    1082.06000
  • Mean Square Error
    7765100.00000
  • DF error
    63.00000
  • t(b)
    0.29177
  • p(b)
    0.38571
  • t(a)
    0.86368
  • p(a)
    0.19552
  • Lowerbound of 95% confidence interval for beta
    -2171.89000
  • Upperbound of 95% confidence interval for beta
    2914.53000
  • Lowerbound of 95% confidence interval for alpha
    -1421.57000
  • Upperbound of 95% confidence interval for alpha
    3585.70000
  • Treynor index (mean / b)
    3.20396
  • Jensen alpha (a)
    1082.06000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.20464
  • SD
    6.18508
  • Sharpe ratio (Glass type estimate)
    -0.03309
  • Sharpe ratio (Hedges UMVUE)
    -0.03270
  • df
    64.00000
  • t
    -0.07701
  • p
    0.53057
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.87514
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.80917
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.87485
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.80946
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.04297
  • Upside Potential Ratio
    0.48625
  • Upside part of mean
    2.31581
  • Downside part of mean
    -2.52046
  • Upside SD
    3.87147
  • Downside SD
    4.76255
  • N nonnegative terms
    47.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    65.00000
  • Mean of predictor
    0.24784
  • Mean of criterion
    -0.20464
  • SD of predictor
    0.28767
  • SD of criterion
    6.18508
  • Covariance
    -0.18567
  • r
    -0.10435
  • b (slope, estimate of beta)
    -2.24368
  • a (intercept, estimate of alpha)
    0.35143
  • Mean Square Error
    38.43930
  • DF error
    63.00000
  • t(b)
    -0.83283
  • p(b)
    0.79596
  • t(a)
    0.12797
  • p(a)
    0.44929
  • Lowerbound of 95% confidence interval for beta
    -7.62727
  • Upperbound of 95% confidence interval for beta
    3.13992
  • Lowerbound of 95% confidence interval for alpha
    -5.13666
  • Upperbound of 95% confidence interval for alpha
    5.83953
  • Treynor index (mean / b)
    0.09121
  • Jensen alpha (a)
    0.35143
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.94786
  • Expected Shortfall on VaR
    0.97082
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06702
  • Expected Shortfall on VaR
    0.16982
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    65.00000
  • Minimum
    0.00002
  • Quartile 1
    0.99905
  • Median
    1.00000
  • Quartile 3
    1.02789
  • Maximum
    6440.00000
  • Mean of quarter 1
    0.81890
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00836
  • Mean of quarter 4
    403.94700
  • Inter Quartile Range
    0.02884
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.15385
  • Mean of outliers low
    0.70661
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.16923
  • Mean of outliers high
    587.08700
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.37077
  • VaR(95%) (moments method)
    0.01006
  • Expected Shortfall (moments method)
    0.02208
  • Extreme Value Index (regression method)
    0.65643
  • VaR(95%) (regression method)
    0.16119
  • Expected Shortfall (regression method)
    0.62572
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00510
  • Quartile 1
    0.06597
  • Median
    0.15242
  • Quartile 3
    0.26527
  • Maximum
    1.00000
  • Mean of quarter 1
    0.03339
  • Mean of quarter 2
    0.07882
  • Mean of quarter 3
    0.22602
  • Mean of quarter 4
    0.63917
  • Inter Quartile Range
    0.19929
  • 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
    0.16667
  • Mean of outliers high
    1.00000
  • 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)
    -0.12368
  • Compounded annual return (geometric extrapolation)
    -0.18506
  • Calmar ratio (compounded annual return / max draw down)
    -0.18506
  • Compounded annual return / average of 25% largest draw downs
    -0.28953
  • Compounded annual return / Expected Shortfall lognormal
    -0.19062
  • 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
    1102.39000
  • SD
    2581.52000
  • Sharpe ratio (Glass type estimate)
    0.42703
  • Sharpe ratio (Hedges UMVUE)
    0.42681
  • df
    1438.00000
  • t
    1.00079
  • p
    0.48681
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.40949
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.26342
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.40965
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.26327
  • Statistics related to Sortino ratio
  • Sortino ratio
    1874.85000
  • Upside Potential Ratio
    1877.97000
  • Upside part of mean
    1104.23000
  • Downside part of mean
    -1.83617
  • Upside SD
    2581.52000
  • Downside SD
    0.58799
  • N nonnegative terms
    1049.00000
  • N negative terms
    390.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1439.00000
  • Mean of predictor
    0.35110
  • Mean of criterion
    1102.39000
  • SD of predictor
    0.37816
  • SD of criterion
    2581.52000
  • Covariance
    3.34464
  • r
    0.00343
  • b (slope, estimate of beta)
    23.38800
  • a (intercept, estimate of alpha)
    1094.18000
  • Mean Square Error
    6668810.00000
  • DF error
    1437.00000
  • t(b)
    0.12987
  • p(b)
    0.49782
  • t(a)
    0.99136
  • p(a)
    0.48336
  • Lowerbound of 95% confidence interval for beta
    -329.86000
  • Upperbound of 95% confidence interval for beta
    376.63600
  • Lowerbound of 95% confidence interval for alpha
    -1070.89000
  • Upperbound of 95% confidence interval for alpha
    3259.25000
  • Treynor index (mean / b)
    47.13510
  • Jensen alpha (a)
    1094.18000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.20182
  • SD
    5.87227
  • Sharpe ratio (Glass type estimate)
    -0.03437
  • Sharpe ratio (Hedges UMVUE)
    -0.03435
  • df
    1438.00000
  • t
    -0.08055
  • p
    0.50106
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.87068
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.80194
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.87066
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.80196
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.04533
  • Upside Potential Ratio
    0.77253
  • Upside part of mean
    3.43966
  • Downside part of mean
    -3.64148
  • Upside SD
    3.82558
  • Downside SD
    4.45248
  • N nonnegative terms
    1049.00000
  • N negative terms
    390.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1439.00000
  • Mean of predictor
    0.27693
  • Mean of criterion
    -0.20182
  • SD of predictor
    0.38887
  • SD of criterion
    5.87227
  • Covariance
    -0.01185
  • r
    -0.00519
  • b (slope, estimate of beta)
    -0.07834
  • a (intercept, estimate of alpha)
    -0.18013
  • Mean Square Error
    34.50660
  • DF error
    1437.00000
  • t(b)
    -0.19667
  • p(b)
    0.50330
  • t(a)
    -0.07179
  • p(a)
    0.50121
  • Lowerbound of 95% confidence interval for beta
    -0.85976
  • Upperbound of 95% confidence interval for beta
    0.70307
  • Lowerbound of 95% confidence interval for alpha
    -5.10172
  • Upperbound of 95% confidence interval for alpha
    4.74146
  • Treynor index (mean / b)
    2.57618
  • Jensen alpha (a)
    -0.18013
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.44982
  • Expected Shortfall on VaR
    0.52316
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00949
  • Expected Shortfall on VaR
    0.02528
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1439.00000
  • Minimum
    0.00003
  • Quartile 1
    0.99935
  • Median
    1.00000
  • Quartile 3
    1.00172
  • Maximum
    6051.00000
  • Mean of quarter 1
    0.97201
  • Mean of quarter 2
    0.99997
  • Mean of quarter 3
    1.00022
  • Mean of quarter 4
    17.84660
  • Inter Quartile Range
    0.00237
  • Number outliers low
    256.00000
  • Percentage of outliers low
    0.17790
  • Mean of outliers low
    0.96153
  • Number of outliers high
    254.00000
  • Percentage of outliers high
    0.17651
  • Mean of outliers high
    24.87570
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.26002
  • VaR(95%) (moments method)
    0.01292
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.64795
  • VaR(95%) (regression method)
    0.01726
  • Expected Shortfall (regression method)
    0.06418
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    42.00000
  • Minimum
    0.00032
  • Quartile 1
    0.00553
  • Median
    0.01192
  • Quartile 3
    0.03774
  • Maximum
    1.00000
  • Mean of quarter 1
    0.00198
  • Mean of quarter 2
    0.00829
  • Mean of quarter 3
    0.01912
  • Mean of quarter 4
    0.21663
  • Inter Quartile Range
    0.03221
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.30552
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.70146
  • VaR(95%) (moments method)
    0.19001
  • Expected Shortfall (moments method)
    0.71856
  • Extreme Value Index (regression method)
    1.12220
  • VaR(95%) (regression method)
    0.22343
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.12198
  • Compounded annual return (geometric extrapolation)
    -0.18276
  • Calmar ratio (compounded annual return / max draw down)
    -0.18276
  • Compounded annual return / average of 25% largest draw downs
    -0.84365
  • Compounded annual return / Expected Shortfall lognormal
    -0.34934
  • 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
    0.00000
  • 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
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.51500
  • Mean of criterion
    0.00000
  • SD of predictor
    0.39170
  • 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
    0.00000
  • 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
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.43809
  • Mean of criterion
    0.00000
  • SD of predictor
    0.39323
  • 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
  • VAR (95 Confidence Intrvl)
    0.45000
  • 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
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -327172000
  • Max Equity Drawdown (num days)
    2
  • 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

Short term stable stock trades. NOTE: subscribers should match total sizes of every open position PROPORTIONALLY to your account, as my trades are designed to be as market-neutral as possible.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2009-02-17
Suggested Minimum Capital
$100,000
# Trades
211
# Profitable
148
% Profitable
70.1%
Net Dividends
($4,282)
Correlation S&P500
-0.095
Sharpe Ratio
-0.17
Sortino Ratio
-0.21
Beta
-0.65
Alpha
0.00

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.