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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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RPH
(62626714)

Created by: richard_haines richard_haines
Started: 06/2011
Stocks
Last trade: 3,899 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.

-0.8%
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
57
Num Trades
50.9%
Win Trades
1.0 : 1
Profit Factor
27.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                                   +11.0%(7.6%)+0.4%+34.9%(4.4%)(16.3%)+15.6%+28.5%
2012(3.1%)(0.3%)+1.4%(5.7%)+7.3%+18.8%+6.0%(1.2%)(0.4%)+0.4%(12.5%)+3.5%+11.6%
2013+0.8%(1.4%)(6.4%)(3.1%)(2.6%)(4.3%)(5.2%)(5.3%)(3.9%)(1.6%)(2.1%)(1%)(30.9%)
2014+1.1%(2.5%)  -  +1.4%(0.6%)(2.2%)+2.5%(2.2%)+2.6%(3.1%)+0.4%(2.2%)(4.9%)
2015+1.2%(1.9%)(0.7%)(0.2%)+0.1%(0.3%)+0.4%+2.4%+3.1%(2.1%)(1.1%)+1.0%+1.8%
2016+3.1%(0.4%)(2.5%)(0.7%)(0.2%)(0.8%)(1.3%)(0.6%)(0.1%)+1.0%(2.4%)(0.4%)(5.4%)
2017+0.3%(0.7%)+0.2%(0.2%)+0.2%(0.4%)(0.1%)+0.3%(0.6%)(0.4%)(0.3%)  -  (1.7%)
2018(0.3%)+0.2%  -  (0.1%)(0.5%)  -  (0.2%)(0.1%)+0.1%+1.0%(0.3%)+1.1%+0.9%
2019(1%)(0.6%)+0.2%(0.3%)  -  +0.2%+0.1%+0.3%(0.2%)(0.2%)(0.2%)(0.2%)(1.7%)
2020+0.2%+0.2%+1.0%(1.3%)(0.5%)(0.1%)(0.3%)(0.2%)+0.2%(0.2%)(0.3%)(0.1%)(1.4%)
2021  -  (0.1%)+1.8%  -    -    -    -    -    -    -    -    -  +1.7%
2022  -    -    -    -    -    -    -    -  +0.1%(0.1%)  -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -  (0.1%)  -  (0.1%)
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

This strategy has placed 64 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 4091 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/9/13 9:30 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 2,517 57.48 8/16 9:30 55.55 4.89%
Trade id #81907690
Max drawdown($5,657)
Time8/15/13 15:42
Quant open2,088
Worst price54.77
Drawdown as % of equity-4.89%
 ($4,877)
Includes Typical Broker Commissions trade costs of $26.62
6/24/13 9:30 TZA DIREXION DAILY SMALL CAP BEAR LONG 1,151 126.87 7/9 9:30 116.82 9.63%
Trade id #81665127
Max drawdown($11,572)
Time7/9/13 9:30
Quant open1,680
Worst price28.07
Drawdown as % of equity-9.63%
 ($11,588)
Includes Typical Broker Commissions trade costs of $15.68
6/13/13 9:30 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 2,909 46.68 6/24 9:30 45.65 4.6%
Trade id #81471232
Max drawdown($6,105)
Time6/21/13 11:33
Quant open2,053
Worst price43.71
Drawdown as % of equity-4.60%
 ($3,025)
Includes Typical Broker Commissions trade costs of $11.07
6/3/13 9:30 TZA DIREXION DAILY SMALL CAP BEAR LONG 311 125.76 6/13 9:30 130.68 0.95%
Trade id #81243221
Max drawdown($1,244)
Time6/4/13 9:37
Quant open1,244
Worst price30.44
Drawdown as % of equity-0.95%
 $1,524
Includes Typical Broker Commissions trade costs of $6.22
5/14/13 9:30 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 2,042 48.30 5/24 9:30 48.80 1.74%
Trade id #80863100
Max drawdown($2,294)
Time5/23/13 9:40
Quant open1,489
Worst price46.76
Drawdown as % of equity-1.74%
 $996
Includes Typical Broker Commissions trade costs of $18.29
4/10/13 9:30 TZA DIREXION DAILY SMALL CAP BEAR LONG 1,462 149.98 5/7 9:30 149.04 8.02%
Trade id #80158473
Max drawdown($11,071)
Time5/3/13 10:31
Quant open3,709
Worst price34.51
Drawdown as % of equity-8.02%
 ($1,397)
Includes Typical Broker Commissions trade costs of $19.62
4/4/13 9:30 TZA DIREXION DAILY SMALL CAP BEAR LONG 40 162.80 4/8 9:30 158.88 0.12%
Trade id #80056331
Max drawdown($158)
Time4/8/13 9:30
Quant open0
Worst price39.72
Drawdown as % of equity-0.12%
 ($158)
Includes Typical Broker Commissions trade costs of $0.80
3/15/13 9:30 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 2,889 43.95 4/4 9:30 41.55 6.05%
Trade id #79728540
Max drawdown($7,969)
Time4/3/13 14:07
Quant open1,935
Worst price39.83
Drawdown as % of equity-6.05%
 ($6,956)
Includes Typical Broker Commissions trade costs of $21.91
3/6/13 9:31 TZA DIREXION DAILY SMALL CAP BEAR LONG 790 158.91 3/15 9:30 148.16 6.43%
Trade id #79564629
Max drawdown($9,004)
Time3/14/13 15:46
Quant open12,647
Worst price9.22
Drawdown as % of equity-6.43%
 ($8,352)
Includes Typical Broker Commissions trade costs of $6.94
1/31/13 9:30 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 4,586 38.44 2/26 9:30 38.36 0.27%
Trade id #78952949
Max drawdown($398)
Time2/26/13 9:30
Quant open531
Worst price75.50
Drawdown as % of equity-0.27%
 ($429)
Includes Typical Broker Commissions trade costs of $30.70
1/25/13 9:30 TZA DIREXION DAILY SMALL CAP BEAR LONG 772 177.12 1/31 9:30 180.45 1.23%
Trade id #78850129
Max drawdown($1,787)
Time1/28/13 15:06
Quant open10,515
Worst price10.90
Drawdown as % of equity-1.23%
 $2,748
Includes Typical Broker Commissions trade costs of $7.38
1/16/13 9:30 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 804 35.85 1/25 9:30 37.96 0.14%
Trade id #78678610
Max drawdown($196)
Time1/16/13 9:38
Quant open297
Worst price70.84
Drawdown as % of equity-0.14%
 $1,684
Includes Typical Broker Commissions trade costs of $9.02
12/21/12 9:30 TZA DIREXION DAILY SMALL CAP BEAR LONG 1,245 208.22 1/16/13 9:30 206.11 9.93%
Trade id #78278595
Max drawdown($14,236)
Time1/15/13 15:52
Quant open12,026
Worst price11.83
Drawdown as % of equity-9.93%
 ($2,641)
Includes Typical Broker Commissions trade costs of $17.13
12/7/12 9:30 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 2,662 29.13 12/21 9:30 31.20 0.12%
Trade id #78042096
Max drawdown($163)
Time12/7/12 11:02
Quant open122
Worst price57.26
Drawdown as % of equity-0.12%
 $5,506
Includes Typical Broker Commissions trade costs of $17.24
11/21/12 9:30 TZA DIREXION DAILY SMALL CAP BEAR LONG 589 264.05 12/5 9:30 239.68 11.25%
Trade id #77770729
Max drawdown($16,052)
Time12/3/12 9:32
Quant open9,424
Worst price14.80
Drawdown as % of equity-11.25%
 ($14,363)
Includes Typical Broker Commissions trade costs of $8.39
11/13/12 9:30 TZA DIREXION DAILY SMALL CAP BEAR LONG 29 277.92 11/14 9:30 275.84 0.15%
Trade id #77614129
Max drawdown($239)
Time11/13/12 11:07
Quant open460
Worst price16.85
Drawdown as % of equity-0.15%
 ($61)
Includes Typical Broker Commissions trade costs of $0.58
11/5/12 9:30 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 9,174 27.42 11/13 9:30 26.65 6.45%
Trade id #77472325
Max drawdown($10,142)
Time11/9/12 9:32
Quant open2,860
Worst price51.29
Drawdown as % of equity-6.45%
 ($7,017)
Includes Typical Broker Commissions trade costs of $12.50
10/17/12 9:30 TZA DIREXION DAILY SMALL CAP BEAR LONG 205 233.68 11/5 9:30 252.32 0.36%
Trade id #77187586
Max drawdown($574)
Time10/18/12 10:02
Quant open3,273
Worst price14.43
Drawdown as % of equity-0.36%
 $3,816
Includes Typical Broker Commissions trade costs of $4.10
9/24/12 9:30 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 7,156 31.39 10/12 9:30 30.25 5.68%
Trade id #76760331
Max drawdown($8,990)
Time10/10/12 13:03
Quant open1,992
Worst price58.75
Drawdown as % of equity-5.68%
 ($8,214)
Includes Typical Broker Commissions trade costs of $25.42
9/10/12 9:30 TZA DIREXION DAILY SMALL CAP BEAR LONG 703 236.80 9/24 9:30 225.85 9.31%
Trade id #76505216
Max drawdown($15,416)
Time9/14/12 10:23
Quant open10,632
Worst price13.35
Drawdown as % of equity-9.31%
 ($7,481)
Includes Typical Broker Commissions trade costs of $6.51
8/7/12 9:30 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 6,356 27.60 9/10 9:30 29.89 0.86%
Trade id #75845793
Max drawdown($1,379)
Time8/31/12 10:11
Quant open2,312
Worst price54.61
Drawdown as % of equity-0.86%
 $14,474
Includes Typical Broker Commissions trade costs of $38.00
7/31/12 9:30 TZA DIREXION DAILY SMALL CAP BEAR LONG 222 293.93 8/7 9:30 280.32 1.87%
Trade id #75679909
Max drawdown($3,020)
Time8/7/12 9:30
Quant open0
Worst price17.52
Drawdown as % of equity-1.87%
 ($3,024)
Includes Typical Broker Commissions trade costs of $4.44
7/16/12 9:30 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 6,884 25.69 7/31 9:30 26.02 7.86%
Trade id #75272649
Max drawdown($11,852)
Time7/24/12 15:22
Quant open2,518
Worst price47.12
Drawdown as % of equity-7.86%
 $2,262
Includes Typical Broker Commissions trade costs of $18.54
7/3/12 9:30 TZA DIREXION DAILY SMALL CAP BEAR LONG 554 279.67 7/16 9:30 290.19 4.78%
Trade id #74991705
Max drawdown($7,209)
Time7/5/12 11:10
Quant open8,383
Worst price16.63
Drawdown as % of equity-4.78%
 $5,823
Includes Typical Broker Commissions trade costs of $8.34
6/26/12 10:21 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 2,184 23.67 7/2 9:30 27.33 0.92%
Trade id #74833300
Max drawdown($1,343)
Time6/26/12 11:11
Quant open1,092
Worst price46.10
Drawdown as % of equity-0.92%
 $7,988
Includes Typical Broker Commissions trade costs of $5.00
6/15/12 9:30 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 3,402 23.68 6/19 9:30 24.07 0.57%
Trade id #74582208
Max drawdown($833)
Time6/15/12 9:40
Quant open1,701
Worst price46.88
Drawdown as % of equity-0.57%
 $1,288
Includes Typical Broker Commissions trade costs of $7.50
6/11/12 9:30 TZA DIREXION DAILY SMALL CAP BEAR LONG 188 323.04 6/15 9:30 340.54 0.09%
Trade id #74439039
Max drawdown($120)
Time6/11/12 9:32
Quant open3,002
Worst price20.15
Drawdown as % of equity-0.09%
 $3,286
Includes Typical Broker Commissions trade costs of $3.76
5/29/12 9:31 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 6,520 23.52 6/11 9:30 24.77 8.54%
Trade id #74063879
Max drawdown($10,448)
Time6/4/12 13:26
Quant open1,265
Worst price41.55
Drawdown as % of equity-8.54%
 $8,095
Includes Typical Broker Commissions trade costs of $16.72
5/25/12 9:30 TZA DIREXION DAILY SMALL CAP BEAR LONG 20 343.68 5/29 9:31 334.40 0.15%
Trade id #74010143
Max drawdown($199)
Time5/29/12 9:31
Quant open312
Worst price20.84
Drawdown as % of equity-0.15%
 ($186)
Includes Typical Broker Commissions trade costs of $0.40
5/1/12 9:30 TZA DIREXION DAILY SMALL CAP BEAR LONG 418 289.66 5/14 9:31 321.71 5.07%
Trade id #73192689
Max drawdown($5,877)
Time5/1/12 11:55
Quant open6,320
Worst price17.18
Drawdown as % of equity-5.07%
 $13,066
Includes Typical Broker Commissions trade costs of $8.35
Next

Statistics

  • Strategy began
    6/18/2011
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    4688.44
  • Age
    156 months ago
  • What it trades
    Stocks
  • # Trades
    57
  • # Profitable
    29
  • % Profitable
    50.90%
  • Avg trade duration
    78.1 days
  • Max peak-to-valley drawdown
    %
  • drawdown period
    Dec , - Dec ,
  • Annual Return (Compounded)
    -0.8%
  • Avg win
    $5,482
  • Avg loss
    $5,857
  • Model Account Values (Raw)
  • Cash
    $100,260
  • Margin Used
    $0
  • Buying Power
    $78,920
  • Ratios
  • W:L ratio
    0.97:1
  • Sharpe Ratio
    -0.1
  • Sortino Ratio
    -0.15
  • Calmar Ratio
    -0.036
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -50.49%
  • Correlation to SP500
    -0.05660
  • Return Percent SP500 (cumu) during strategy life
    291.94%
  • Return Statistics
  • Ann Return (w trading costs)
    -0.8%
  • Slump
  • Current Slump as Pcnt Equity
    94.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.90%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.008%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -0.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    88.50%
  • Chance of 20% account loss
    65.00%
  • Chance of 30% account loss
    36.50%
  • Chance of 40% account loss
    13.50%
  • Chance of 60% account loss (Monte Carlo)
    0.50%
  • 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
    1.50%
  • 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
    $5,858
  • Avg Win
    $5,482
  • Sum Trade PL (losers)
    $164,013.000
  • Age
  • Num Months filled monthly returns table
    155
  • Win / Loss
  • Sum Trade PL (winners)
    $158,980.000
  • # Winners
    29
  • Num Months Winners
    62
  • Dividends
  • Dividends Received in Model Acct
    39
  • Win / Loss
  • # Losers
    28
  • % Winners
    50.9%
  • Frequency
  • Avg Position Time (mins)
    112457.00
  • Avg Position Time (hrs)
    1874.28
  • Avg Trade Length
    78.1 days
  • Last Trade Ago
    3899
  • Regression
  • Alpha
    -0.00
  • Beta
    -0.05
  • Treynor Index
    0.10
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.05
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    24.98
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    45.41
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.84
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.07
  • Avg(MAE) / Avg(PL) - All trades
    -20.968
  • 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
    0.05
  • Avg(MAE) / Avg(PL) - Winning trades
    0.653
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.478
  • Hold-and-Hope Ratio
    -0.048
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05742
  • SD
    0.31293
  • Sharpe ratio (Glass type estimate)
    0.18349
  • Sharpe ratio (Hedges UMVUE)
    0.17869
  • df
    29.00000
  • t
    0.29012
  • p
    0.38690
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.05853
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.42240
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.06175
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.41913
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.29608
  • Upside Potential Ratio
    2.33594
  • Upside part of mean
    0.45299
  • Downside part of mean
    -0.39557
  • Upside SD
    0.23943
  • Downside SD
    0.19392
  • N nonnegative terms
    14.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.15686
  • Mean of criterion
    0.05742
  • SD of predictor
    0.18887
  • SD of criterion
    0.31293
  • Covariance
    0.01934
  • r
    0.32715
  • b (slope, estimate of beta)
    0.54202
  • a (intercept, estimate of alpha)
    -0.02761
  • Mean Square Error
    0.09057
  • DF error
    28.00000
  • t(b)
    1.83190
  • p(b)
    0.03881
  • t(a)
    -0.14091
  • p(a)
    0.55553
  • Lowerbound of 95% confidence interval for beta
    -0.06406
  • Upperbound of 95% confidence interval for beta
    1.14811
  • Lowerbound of 95% confidence interval for alpha
    -0.42891
  • Upperbound of 95% confidence interval for alpha
    0.37370
  • Treynor index (mean / b)
    0.10593
  • Jensen alpha (a)
    -0.02761
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01093
  • SD
    0.30886
  • Sharpe ratio (Glass type estimate)
    0.03540
  • Sharpe ratio (Hedges UMVUE)
    0.03448
  • df
    29.00000
  • t
    0.05598
  • p
    0.47787
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.20450
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.27475
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.20514
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.27410
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.05304
  • Upside Potential Ratio
    2.06926
  • Upside part of mean
    0.42657
  • Downside part of mean
    -0.41563
  • Upside SD
    0.22300
  • Downside SD
    0.20614
  • N nonnegative terms
    14.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.13815
  • Mean of criterion
    0.01093
  • SD of predictor
    0.19300
  • SD of criterion
    0.30886
  • Covariance
    0.02017
  • r
    0.33832
  • b (slope, estimate of beta)
    0.54141
  • a (intercept, estimate of alpha)
    -0.06386
  • Mean Square Error
    0.08749
  • DF error
    28.00000
  • t(b)
    1.90240
  • p(b)
    0.03372
  • t(a)
    -0.33409
  • p(a)
    0.62960
  • Lowerbound of 95% confidence interval for beta
    -0.04155
  • Upperbound of 95% confidence interval for beta
    1.12438
  • Lowerbound of 95% confidence interval for alpha
    -0.45544
  • Upperbound of 95% confidence interval for alpha
    0.32771
  • Treynor index (mean / b)
    0.02020
  • Jensen alpha (a)
    -0.06386
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13562
  • Expected Shortfall on VaR
    0.16678
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07986
  • Expected Shortfall on VaR
    0.13730
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    30.00000
  • Minimum
    0.83934
  • Quartile 1
    0.95376
  • Median
    0.98930
  • Quartile 3
    1.06610
  • Maximum
    1.20428
  • Mean of quarter 1
    0.90088
  • Mean of quarter 2
    0.97526
  • Mean of quarter 3
    1.02016
  • Mean of quarter 4
    1.12417
  • Inter Quartile Range
    0.11234
  • 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)
    -2.35140
  • VaR(95%) (moments method)
    0.09914
  • Expected Shortfall (moments method)
    0.10010
  • Extreme Value Index (regression method)
    -0.52572
  • VaR(95%) (regression method)
    0.12437
  • Expected Shortfall (regression method)
    0.14330
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00955
  • Quartile 1
    0.06269
  • Median
    0.12053
  • Quartile 3
    0.21829
  • Maximum
    0.39119
  • Mean of quarter 1
    0.00955
  • Mean of quarter 2
    0.08040
  • Mean of quarter 3
    0.16066
  • Mean of quarter 4
    0.39119
  • Inter Quartile Range
    0.15560
  • 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)
    0.02144
  • Compounded annual return (geometric extrapolation)
    0.02110
  • Calmar ratio (compounded annual return / max draw down)
    0.05395
  • Compounded annual return / average of 25% largest draw downs
    0.05395
  • Compounded annual return / Expected Shortfall lognormal
    0.12654
  • 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
    0.05524
  • SD
    0.31872
  • Sharpe ratio (Glass type estimate)
    0.17331
  • Sharpe ratio (Hedges UMVUE)
    0.17316
  • df
    885.00000
  • t
    0.27814
  • p
    0.39049
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.04802
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.39456
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.04813
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.39446
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.25952
  • Upside Potential Ratio
    6.98916
  • Upside part of mean
    1.48763
  • Downside part of mean
    -1.43239
  • Upside SD
    0.23701
  • Downside SD
    0.21285
  • N nonnegative terms
    338.00000
  • N negative terms
    548.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    886.00000
  • Mean of predictor
    0.15788
  • Mean of criterion
    0.05524
  • SD of predictor
    0.17234
  • SD of criterion
    0.31872
  • Covariance
    0.00262
  • r
    0.04773
  • b (slope, estimate of beta)
    0.08828
  • a (intercept, estimate of alpha)
    0.00100
  • Mean Square Error
    0.10147
  • DF error
    884.00000
  • t(b)
    1.42081
  • p(b)
    0.07786
  • t(a)
    0.20783
  • p(a)
    0.41771
  • Lowerbound of 95% confidence interval for beta
    -0.03367
  • Upperbound of 95% confidence interval for beta
    0.21022
  • Lowerbound of 95% confidence interval for alpha
    -0.34873
  • Upperbound of 95% confidence interval for alpha
    0.43133
  • Treynor index (mean / b)
    0.62573
  • Jensen alpha (a)
    0.04130
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00481
  • SD
    0.31739
  • Sharpe ratio (Glass type estimate)
    0.01514
  • Sharpe ratio (Hedges UMVUE)
    0.01513
  • df
    885.00000
  • t
    0.02431
  • p
    0.49031
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.20612
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.23641
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.20613
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.23640
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.02199
  • Upside Potential Ratio
    6.68125
  • Upside part of mean
    1.46063
  • Downside part of mean
    -1.45582
  • Upside SD
    0.22985
  • Downside SD
    0.21862
  • N nonnegative terms
    338.00000
  • N negative terms
    548.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    886.00000
  • Mean of predictor
    0.14297
  • Mean of criterion
    0.00481
  • SD of predictor
    0.17267
  • SD of criterion
    0.31739
  • Covariance
    0.00258
  • r
    0.04703
  • b (slope, estimate of beta)
    0.08645
  • a (intercept, estimate of alpha)
    -0.00755
  • Mean Square Error
    0.10063
  • DF error
    884.00000
  • t(b)
    1.39998
  • p(b)
    0.08093
  • t(a)
    -0.03818
  • p(a)
    0.51522
  • Lowerbound of 95% confidence interval for beta
    -0.03475
  • Upperbound of 95% confidence interval for beta
    0.20766
  • Lowerbound of 95% confidence interval for alpha
    -0.39588
  • Upperbound of 95% confidence interval for alpha
    0.38078
  • Treynor index (mean / b)
    0.05560
  • Jensen alpha (a)
    -0.00755
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02774
  • Expected Shortfall on VaR
    0.03465
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01078
  • Expected Shortfall on VaR
    0.02288
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    886.00000
  • Minimum
    0.90146
  • Quartile 1
    0.99724
  • Median
    1.00000
  • Quartile 3
    1.00252
  • Maximum
    1.12297
  • Mean of quarter 1
    0.98408
  • Mean of quarter 2
    0.99937
  • Mean of quarter 3
    1.00054
  • Mean of quarter 4
    1.01676
  • Inter Quartile Range
    0.00528
  • Number outliers low
    101.00000
  • Percentage of outliers low
    0.11399
  • Mean of outliers low
    0.97228
  • Number of outliers high
    103.00000
  • Percentage of outliers high
    0.11625
  • Mean of outliers high
    1.02995
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.60713
  • VaR(95%) (moments method)
    0.01303
  • Expected Shortfall (moments method)
    0.03846
  • Extreme Value Index (regression method)
    0.28375
  • VaR(95%) (regression method)
    0.01415
  • Expected Shortfall (regression method)
    0.02645
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.01331
  • Quartile 1
    0.03320
  • Median
    0.05923
  • Quartile 3
    0.15748
  • Maximum
    0.41084
  • Mean of quarter 1
    0.01975
  • Mean of quarter 2
    0.04576
  • Mean of quarter 3
    0.09647
  • Mean of quarter 4
    0.30346
  • Inter Quartile Range
    0.12429
  • 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
    0.09091
  • Mean of outliers high
    0.41084
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.88816
  • VaR(95%) (moments method)
    0.34679
  • Expected Shortfall (moments method)
    0.34928
  • Extreme Value Index (regression method)
    -0.35334
  • VaR(95%) (regression method)
    0.43171
  • Expected Shortfall (regression method)
    0.50701
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.01504
  • Compounded annual return (geometric extrapolation)
    0.01487
  • Calmar ratio (compounded annual return / max draw down)
    0.03619
  • Compounded annual return / average of 25% largest draw downs
    0.04899
  • Compounded annual return / Expected Shortfall lognormal
    0.42905
  • 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
    -0.27589
  • SD
    0.11051
  • Sharpe ratio (Glass type estimate)
    -2.49653
  • Sharpe ratio (Hedges UMVUE)
    -2.48556
  • df
    171.00000
  • t
    -1.76531
  • p
    0.58491
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.27734
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.29148
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.26986
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.29874
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.93291
  • Upside Potential Ratio
    4.69777
  • Upside part of mean
    0.44191
  • Downside part of mean
    -0.71780
  • Upside SD
    0.05928
  • Downside SD
    0.09407
  • N nonnegative terms
    63.00000
  • N negative terms
    109.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.26102
  • Mean of criterion
    -0.27589
  • SD of predictor
    0.11993
  • SD of criterion
    0.11051
  • Covariance
    -0.00329
  • r
    -0.24841
  • b (slope, estimate of beta)
    -0.22890
  • a (intercept, estimate of alpha)
    -0.21615
  • Mean Square Error
    0.01153
  • DF error
    170.00000
  • t(b)
    -3.34363
  • p(b)
    0.62420
  • t(a)
    -1.41382
  • p(a)
    0.55390
  • Lowerbound of 95% confidence interval for beta
    -0.36405
  • Upperbound of 95% confidence interval for beta
    -0.09376
  • Lowerbound of 95% confidence interval for alpha
    -0.51793
  • Upperbound of 95% confidence interval for alpha
    0.08564
  • Treynor index (mean / b)
    1.20528
  • Jensen alpha (a)
    -0.21615
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.28213
  • SD
    0.11127
  • Sharpe ratio (Glass type estimate)
    -2.53544
  • Sharpe ratio (Hedges UMVUE)
    -2.52430
  • df
    171.00000
  • t
    -1.79282
  • p
    0.58620
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.31664
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.25296
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.30899
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.26039
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.96304
  • Upside Potential Ratio
    4.62274
  • Upside part of mean
    0.44015
  • Downside part of mean
    -0.72228
  • Upside SD
    0.05895
  • Downside SD
    0.09521
  • N nonnegative terms
    63.00000
  • N negative terms
    109.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.25378
  • Mean of criterion
    -0.28213
  • SD of predictor
    0.11973
  • SD of criterion
    0.11127
  • Covariance
    -0.00327
  • r
    -0.24547
  • b (slope, estimate of beta)
    -0.22813
  • a (intercept, estimate of alpha)
    -0.22423
  • Mean Square Error
    0.01170
  • DF error
    170.00000
  • t(b)
    -3.30163
  • p(b)
    0.62274
  • t(a)
    -1.45606
  • p(a)
    0.55549
  • VAR (95 Confidence Intrvl)
    0.02500
  • Lowerbound of 95% confidence interval for beta
    -0.36452
  • Upperbound of 95% confidence interval for beta
    -0.09173
  • Lowerbound of 95% confidence interval for alpha
    -0.52823
  • Upperbound of 95% confidence interval for alpha
    0.07977
  • Treynor index (mean / b)
    1.23669
  • Jensen alpha (a)
    -0.22423
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01063
  • Expected Shortfall on VaR
    0.01311
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00552
  • Expected Shortfall on VaR
    0.01125
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.96144
  • Quartile 1
    0.99769
  • Median
    0.99994
  • Quartile 3
    1.00090
  • Maximum
    1.01624
  • Mean of quarter 1
    0.99281
  • Mean of quarter 2
    0.99892
  • Mean of quarter 3
    1.00020
  • Mean of quarter 4
    1.00498
  • Inter Quartile Range
    0.00321
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.06977
  • Mean of outliers low
    0.98512
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.08140
  • Mean of outliers high
    1.00971
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.39789
  • VaR(95%) (moments method)
    0.00700
  • Expected Shortfall (moments method)
    0.01347
  • Extreme Value Index (regression method)
    0.44345
  • VaR(95%) (regression method)
    0.00671
  • Expected Shortfall (regression method)
    0.01342
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01604
  • Quartile 1
    0.05666
  • Median
    0.09729
  • Quartile 3
    0.13791
  • Maximum
    0.17853
  • Mean of quarter 1
    0.01604
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.17853
  • Inter Quartile Range
    0.08124
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    649
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.25447
  • Compounded annual return (geometric extrapolation)
    -0.23828
  • Calmar ratio (compounded annual return / max draw down)
    -1.33469
  • Compounded annual return / average of 25% largest draw downs
    -1.33469
  • Compounded annual return / Expected Shortfall lognormal
    -18.18080

Strategy Description

RPH is an over bought over sold mechanical signal based on market internals. There is a separate component that is confirmation. When that component is not aligned with the internals we are in cash.

All signals are based on a mechanical evaluation. There is no guessing or speculation on my part that would alter the signal. Because of its pure mechanical nature this is a good signal to analyze using Kelly Criteria.

I have traded this signal exactly as it has been broadcast using 60% of my 401 since 10/20/11.

I have recently lowered the monthly fee for RPH to $49.00 monthly. For those interested in trading RPH using the "Auto Trade" technology I will discount the signal to $25.00 monthly. Please contact me using personal messaging and I will adjust your charges.

If you have any questions regarding this signal please feel free to contact me. I am happy to be of assistance to you any way I can.

Thank you and may your highest aspirations be attained.

Rick Haines
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2011-06-18
Suggested Minimum Capital
$100,000
# Trades
57
# Profitable
29
% Profitable
50.9%
Net Dividends
$39
Correlation S&P500
-0.057
Sharpe Ratio
-0.10
Sortino Ratio
-0.15
Beta
-0.05
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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