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These are hypothetical performance results that have certain inherent limitations. Learn more
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Zero i
(69547192)

Created by: JohnSkillern JohnSkillern
Started: 04/2013
Stocks
Last trade: 3,730 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 $1.00 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.

0.5%
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.

(2.4%)
Max Drawdown
533
Num Trades
56.8%
Win Trades
1.3 : 1
Profit Factor
4.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                     +1.4%+2.4%+1.4%(0.3%)(1.1%)(0.6%)+1.5%(0.4%)+1.2%+5.7%
2014+0.9%(0.7%)  -    -    -    -    -    -    -    -    -    -  +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.

Trading Record

This strategy has placed 351 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3878 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/7/14 9:32 NWSA NEWS CORP CLASS A LONG 1,250 17.46 2/7 10:29 17.26 0.45%
Trade id #85659287
Max drawdown($492)
Time2/7/14 9:59
Quant open1,250
Worst price17.07
Drawdown as % of equity-0.45%
 ($259)
Includes Typical Broker Commissions trade costs of $10.00
2/7/14 9:30 LLTC LINEAR TECHNOLOGY LONG 487 43.90 2/7 10:20 43.75 0.11%
Trade id #85658909
Max drawdown($116)
Time2/7/14 9:34
Quant open487
Worst price43.66
Drawdown as % of equity-0.11%
 ($83)
Includes Typical Broker Commissions trade costs of $9.74
2/7/14 9:30 PAYX PAYCHEX LONG 520 41.10 2/7 10:20 40.76 0.16%
Trade id #85659019
Max drawdown($179)
Time2/7/14 10:20
Quant open520
Worst price40.76
Drawdown as % of equity-0.16%
 ($187)
Includes Typical Broker Commissions trade costs of $10.40
2/7/14 9:37 ATVI ACTIVISION BLIZZARD LONG 573 19.06 2/7 9:58 19.35 0.15%
Trade id #85659588
Max drawdown($160)
Time2/7/14 9:45
Quant open573
Worst price18.78
Drawdown as % of equity-0.15%
 $161
Includes Typical Broker Commissions trade costs of $5.00
2/7/14 9:32 EXPE EXPEDIA LONG 148 73.66 2/7 9:41 74.76 0.08%
Trade id #85659251
Max drawdown($87)
Time2/7/14 9:35
Quant open148
Worst price73.07
Drawdown as % of equity-0.08%
 $160
Includes Typical Broker Commissions trade costs of $2.96
2/6/14 9:34 NFLX NETFLIX LONG 186 56.35 2/6 10:04 57.19 0.05%
Trade id #85624942
Max drawdown($53)
Time2/6/14 9:37
Quant open26
Worst price400.42
Drawdown as % of equity-0.05%
 $153
Includes Typical Broker Commissions trade costs of $3.72
2/6/14 9:34 SHLD GLOBAL X DEFENSE TECH ETF LONG 630 34.44 2/6 9:49 34.96 0.14%
Trade id #85624971
Max drawdown($157)
Time2/6/14 9:42
Quant open630
Worst price34.19
Drawdown as % of equity-0.14%
 $318
Includes Typical Broker Commissions trade costs of $12.60
2/6/14 9:34 ORLY O'REILLY AUTOMOTIVE LONG 75 144.25 2/6 9:40 146.48 0.05%
Trade id #85624947
Max drawdown($54)
Time2/6/14 9:37
Quant open75
Worst price143.53
Drawdown as % of equity-0.05%
 $166
Includes Typical Broker Commissions trade costs of $1.50
2/5/14 10:10 CTSH COGNIZANT TECH SOLUTION LONG 238 45.58 2/5 11:00 45.26 0.14%
Trade id #85600755
Max drawdown($149)
Time2/5/14 10:23
Quant open119
Worst price89.91
Drawdown as % of equity-0.14%
 ($81)
Includes Typical Broker Commissions trade costs of $4.76
2/5/14 9:34 CHRW CH ROBINSON WORLDWIDE LONG 205 53.11 2/5 10:24 53.08 0.02%
Trade id #85599280
Max drawdown($20)
Time2/5/14 9:37
Quant open205
Worst price53.01
Drawdown as % of equity-0.02%
 ($10)
Includes Typical Broker Commissions trade costs of $4.10
2/5/14 9:31 BIIB BIOGEN INC. COMMON STOCK LONG 35 303.61 2/5 10:21 296.07 0.24%
Trade id #85599132
Max drawdown($264)
Time2/5/14 10:21
Quant open0
Worst price296.07
Drawdown as % of equity-0.24%
 ($265)
Includes Typical Broker Commissions trade costs of $0.70
2/5/14 9:31 ADP AUTOMATIC DATA PROCESSING LONG 145 74.68 2/5 10:21 73.15 0.22%
Trade id #85599139
Max drawdown($239)
Time2/5/14 10:19
Quant open145
Worst price73.03
Drawdown as % of equity-0.22%
 ($225)
Includes Typical Broker Commissions trade costs of $2.90
2/5/14 9:30 BIDU BAIDU LONG 71 153.05 2/5 10:20 150.65 0.16%
Trade id #85599111
Max drawdown($170)
Time2/5/14 10:20
Quant open71
Worst price150.65
Drawdown as % of equity-0.16%
 ($171)
Includes Typical Broker Commissions trade costs of $1.42
2/5/14 9:30 CHRW CH ROBINSON WORLDWIDE LONG 207 52.70 2/5 9:32 53.94 n/a $253
Includes Typical Broker Commissions trade costs of $4.14
2/4/14 9:31 KRFT KRAFT FOODS GROUP LONG 214 50.91 2/4 10:21 51.02 0.06%
Trade id #85573050
Max drawdown($68)
Time2/4/14 10:14
Quant open214
Worst price50.59
Drawdown as % of equity-0.06%
 $20
Includes Typical Broker Commissions trade costs of $4.28
2/4/14 9:30 CMCSA COMCAST LONG 207 52.60 2/4 10:20 52.80 0.08%
Trade id #85573017
Max drawdown($84)
Time2/4/14 9:36
Quant open207
Worst price52.19
Drawdown as % of equity-0.08%
 $37
Includes Typical Broker Commissions trade costs of $4.14
2/4/14 9:30 WFM WHOLE FOODS MARKET LONG 415 52.24 2/4 10:20 52.15 0.06%
Trade id #85572912
Max drawdown($65)
Time2/4/14 10:06
Quant open415
Worst price52.09
Drawdown as % of equity-0.06%
 ($47)
Includes Typical Broker Commissions trade costs of $8.30
2/4/14 9:30 ESRX EXPRESS SCRIPTS LONG 146 74.19 2/4 10:20 73.04 0.15%
Trade id #85572785
Max drawdown($168)
Time2/4/14 10:20
Quant open0
Worst price73.04
Drawdown as % of equity-0.15%
 ($171)
Includes Typical Broker Commissions trade costs of $2.92
2/4/14 9:30 TSLA TESLA INC. LONG 61 178.74 2/4 10:09 181.44 0.14%
Trade id #85572989
Max drawdown($154)
Time2/4/14 9:44
Quant open61
Worst price176.20
Drawdown as % of equity-0.14%
 $164
Includes Typical Broker Commissions trade costs of $1.22
2/3/14 10:06 AKAM AKAMAI TECHNOLOGIES LONG 230 47.61 2/3 10:57 46.25 0.41%
Trade id #85546143
Max drawdown($446)
Time2/3/14 10:26
Quant open230
Worst price45.67
Drawdown as % of equity-0.41%
 ($318)
Includes Typical Broker Commissions trade costs of $4.60
2/3/14 9:30 CSCO CISCO SYSTEMS LONG 505 21.71 2/3 10:20 21.71 0.01%
Trade id #85544490
Max drawdown($15)
Time2/3/14 10:01
Quant open505
Worst price21.68
Drawdown as % of equity-0.01%
 ($5)
Includes Typical Broker Commissions trade costs of $5.00
2/3/14 9:30 MYL MYLAN N.V. ORDINARY SHARES LONG 240 45.51 2/3 10:20 44.48 0.23%
Trade id #85544335
Max drawdown($247)
Time2/3/14 10:20
Quant open0
Worst price44.48
Drawdown as % of equity-0.23%
 ($252)
Includes Typical Broker Commissions trade costs of $4.80
2/3/14 9:30 MAT MATTEL LONG 296 37.04 2/3 10:20 36.77 0.15%
Trade id #85544462
Max drawdown($159)
Time2/3/14 9:38
Quant open296
Worst price36.50
Drawdown as % of equity-0.15%
 ($86)
Includes Typical Broker Commissions trade costs of $5.92
1/31/14 9:31 SPLS STAPLES LONG 832 13.10 1/31 10:21 13.04 0.07%
Trade id #85515353
Max drawdown($74)
Time1/31/14 9:35
Quant open832
Worst price13.01
Drawdown as % of equity-0.07%
 ($55)
Includes Typical Broker Commissions trade costs of $5.00
1/31/14 9:30 KRFT KRAFT FOODS GROUP LONG 209 52.00 1/31 10:20 52.39 0%
Trade id #85515317
Max drawdown($2)
Time1/31/14 9:32
Quant open209
Worst price51.99
Drawdown as % of equity-0.00%
 $78
Includes Typical Broker Commissions trade costs of $4.18
1/31/14 9:30 ESRX EXPRESS SCRIPTS LONG 148 73.50 1/31 10:20 73.86 0%
Trade id #85515221
Max drawdown($1)
Time1/31/14 9:45
Quant open148
Worst price73.49
Drawdown as % of equity-0.00%
 $50
Includes Typical Broker Commissions trade costs of $2.96
1/31/14 9:30 AMZN AMAZON.COM LONG 58 368.14 1/31 9:32 373.81 0.14%
Trade id #85515308
Max drawdown($151)
Time1/31/14 9:32
Quant open58
Worst price365.52
Drawdown as % of equity-0.14%
 $328
Includes Typical Broker Commissions trade costs of $1.16
1/31/14 9:30 LBTYA LIBERTY GLOBAL PLC CLASS A ORD LONG 155 70.04 1/31 9:30 71.20 n/a $176
Includes Typical Broker Commissions trade costs of $3.10
1/30/14 9:30 FB META PLATFORMS INC LONG 353 61.34 1/30 10:21 61.64 0.14%
Trade id #85484549
Max drawdown($155)
Time1/30/14 9:54
Quant open176
Worst price60.46
Drawdown as % of equity-0.14%
 $96
Includes Typical Broker Commissions trade costs of $7.06
1/30/14 9:30 CA XTRACKERS CALIFORNIA MUNI BNDS ETF LONG 337 32.08 1/30 10:20 32.45 n/a $118
Includes Typical Broker Commissions trade costs of $6.74
Next

Statistics

  • Strategy began
    4/7/2013
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    4034.65
  • Age
    135 months ago
  • What it trades
    Stocks
  • # Trades
    533
  • # Profitable
    303
  • % Profitable
    56.80%
  • Avg trade duration
    41.3 minutes
  • Max peak-to-valley drawdown
    2.42%
  • drawdown period
    July 01, 2013 - Oct 10, 2013
  • Annual Return (Compounded)
    0.5%
  • Avg win
    $129.57
  • Avg loss
    $131.12
  • Model Account Values (Raw)
  • Cash
    $109,102
  • Margin Used
    $0
  • Buying Power
    $109,102
  • Ratios
  • W:L ratio
    1.30:1
  • Sharpe Ratio
    -1.26
  • Sortino Ratio
    -1.93
  • Calmar Ratio
    1.555
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -220.56%
  • Correlation to SP500
    -0.01010
  • Return Percent SP500 (cumu) during strategy life
    226.51%
  • Return Statistics
  • Ann Return (w trading costs)
    0.5%
  • Slump
  • Current Slump as Pcnt Equity
    0.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.93%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.005%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    0.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • 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
  • 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
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $131
  • Avg Win
    $130
  • Sum Trade PL (losers)
    $30,158.000
  • Age
  • Num Months filled monthly returns table
    133
  • Win / Loss
  • Sum Trade PL (winners)
    $39,260.000
  • # Winners
    303
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    230
  • % Winners
    56.9%
  • Frequency
  • Avg Position Time (mins)
    41.25
  • Avg Position Time (hrs)
    0.69
  • Avg Trade Length
    0.0 days
  • Last Trade Ago
    3729
  • Regression
  • Alpha
    -0.00
  • Beta
    -0.00
  • Treynor Index
    6.48
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    49.56
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    65.00
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.95
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -9.285
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.669
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.571
  • Hold-and-Hope Ratio
    -0.108
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00010
  • SD
    0.02789
  • Sharpe ratio (Glass type estimate)
    -0.00372
  • Sharpe ratio (Hedges UMVUE)
    -0.00364
  • df
    37.00000
  • t
    -0.00662
  • p
    0.50262
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.10512
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.09769
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.10505
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.09776
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.00960
  • Upside Potential Ratio
    2.68023
  • Upside part of mean
    0.02896
  • Downside part of mean
    -0.02907
  • Upside SD
    0.02531
  • Downside SD
    0.01081
  • N nonnegative terms
    6.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.38184
  • Mean of criterion
    -0.00010
  • SD of predictor
    0.28537
  • SD of criterion
    0.02789
  • Covariance
    -0.00012
  • r
    -0.01454
  • b (slope, estimate of beta)
    -0.00142
  • a (intercept, estimate of alpha)
    0.00044
  • Mean Square Error
    0.00080
  • DF error
    36.00000
  • t(b)
    -0.08727
  • p(b)
    0.53453
  • t(a)
    0.02573
  • p(a)
    0.48981
  • Lowerbound of 95% confidence interval for beta
    -0.03445
  • Upperbound of 95% confidence interval for beta
    0.03161
  • Lowerbound of 95% confidence interval for alpha
    -0.03416
  • Upperbound of 95% confidence interval for alpha
    0.03504
  • Treynor index (mean / b)
    0.07299
  • Jensen alpha (a)
    0.00044
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00047
  • SD
    0.02752
  • Sharpe ratio (Glass type estimate)
    -0.01726
  • Sharpe ratio (Hedges UMVUE)
    -0.01690
  • df
    37.00000
  • t
    -0.03071
  • p
    0.51217
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.11858
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.08424
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.11831
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.08451
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.04391
  • Upside Potential Ratio
    2.64286
  • Upside part of mean
    0.02858
  • Downside part of mean
    -0.02906
  • Upside SD
    0.02491
  • Downside SD
    0.01082
  • N nonnegative terms
    6.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.33964
  • Mean of criterion
    -0.00047
  • SD of predictor
    0.26690
  • SD of criterion
    0.02752
  • Covariance
    -0.00004
  • r
    -0.00573
  • b (slope, estimate of beta)
    -0.00059
  • a (intercept, estimate of alpha)
    -0.00027
  • Mean Square Error
    0.00078
  • DF error
    36.00000
  • t(b)
    -0.03441
  • p(b)
    0.51363
  • t(a)
    -0.01638
  • p(a)
    0.50649
  • Lowerbound of 95% confidence interval for beta
    -0.03545
  • Upperbound of 95% confidence interval for beta
    0.03426
  • Lowerbound of 95% confidence interval for alpha
    -0.03420
  • Upperbound of 95% confidence interval for alpha
    0.03366
  • Treynor index (mean / b)
    0.80310
  • Jensen alpha (a)
    -0.00027
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01302
  • Expected Shortfall on VaR
    0.01629
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00611
  • Expected Shortfall on VaR
    0.00727
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    38.00000
  • Minimum
    0.99231
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.03702
  • Mean of quarter 1
    0.99824
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01057
  • Inter Quartile Range
    0.00000
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.13158
  • Mean of outliers low
    0.99649
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.21053
  • Mean of outliers high
    1.01321
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.36101
  • VaR(95%) (moments method)
    0.00184
  • Expected Shortfall (moments method)
    0.00312
  • Extreme Value Index (regression method)
    -1.67032
  • VaR(95%) (regression method)
    0.00450
  • Expected Shortfall (regression method)
    0.00545
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00360
  • Median
    0.00719
  • Quartile 3
    0.00876
  • Maximum
    0.01033
  • Mean of quarter 1
    0.00001
  • Mean of quarter 2
    0.00719
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.01033
  • Inter Quartile Range
    0.00516
  • 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)
    0.02866
  • Compounded annual return (geometric extrapolation)
    0.02781
  • Calmar ratio (compounded annual return / max draw down)
    2.69149
  • Compounded annual return / average of 25% largest draw downs
    2.69149
  • Compounded annual return / Expected Shortfall lognormal
    1.70738
  • 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
    -0.00050
  • SD
    0.01717
  • Sharpe ratio (Glass type estimate)
    -0.02931
  • Sharpe ratio (Hedges UMVUE)
    -0.02928
  • df
    834.00000
  • t
    -0.05232
  • p
    0.52085
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.12719
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.06858
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.12716
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.06860
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.04828
  • Upside Potential Ratio
    5.63667
  • Upside part of mean
    0.05875
  • Downside part of mean
    -0.05925
  • Upside SD
    0.01363
  • Downside SD
    0.01042
  • N nonnegative terms
    116.00000
  • N negative terms
    719.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    835.00000
  • Mean of predictor
    0.38338
  • Mean of criterion
    -0.00050
  • SD of predictor
    0.28927
  • SD of criterion
    0.01717
  • Covariance
    -0.00009
  • r
    -0.01796
  • b (slope, estimate of beta)
    -0.00107
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00030
  • DF error
    833.00000
  • t(b)
    -0.51851
  • p(b)
    0.69788
  • t(a)
    -0.00978
  • p(a)
    0.50390
  • Lowerbound of 95% confidence interval for beta
    -0.00510
  • Upperbound of 95% confidence interval for beta
    0.00297
  • Lowerbound of 95% confidence interval for alpha
    -0.01904
  • Upperbound of 95% confidence interval for alpha
    0.01885
  • Treynor index (mean / b)
    0.47194
  • Jensen alpha (a)
    -0.00009
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00065
  • SD
    0.01716
  • Sharpe ratio (Glass type estimate)
    -0.03790
  • Sharpe ratio (Hedges UMVUE)
    -0.03786
  • df
    834.00000
  • t
    -0.06766
  • p
    0.52696
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.13578
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.05999
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.13575
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.06002
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.06227
  • Upside Potential Ratio
    5.61742
  • Upside part of mean
    0.05865
  • Downside part of mean
    -0.05930
  • Upside SD
    0.01360
  • Downside SD
    0.01044
  • N nonnegative terms
    116.00000
  • N negative terms
    719.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    835.00000
  • Mean of predictor
    0.34015
  • Mean of criterion
    -0.00065
  • SD of predictor
    0.29550
  • SD of criterion
    0.01716
  • Covariance
    -0.00009
  • r
    -0.01688
  • b (slope, estimate of beta)
    -0.00098
  • a (intercept, estimate of alpha)
    -0.00032
  • Mean Square Error
    0.00029
  • DF error
    833.00000
  • t(b)
    -0.48717
  • p(b)
    0.68687
  • t(a)
    -0.03288
  • p(a)
    0.51311
  • Lowerbound of 95% confidence interval for beta
    -0.00493
  • Upperbound of 95% confidence interval for beta
    0.00297
  • Lowerbound of 95% confidence interval for alpha
    -0.01924
  • Upperbound of 95% confidence interval for alpha
    0.01860
  • Treynor index (mean / b)
    0.66355
  • Jensen alpha (a)
    -0.00032
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00174
  • Expected Shortfall on VaR
    0.00219
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00072
  • Expected Shortfall on VaR
    0.00149
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    835.00000
  • Minimum
    0.99388
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00796
  • Mean of quarter 1
    0.99946
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00096
  • Inter Quartile Range
    0.00000
  • Number outliers low
    81.00000
  • Percentage of outliers low
    0.09701
  • Mean of outliers low
    0.99861
  • Number of outliers high
    120.00000
  • Percentage of outliers high
    0.14371
  • Mean of outliers high
    1.00166
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15698
  • VaR(95%) (moments method)
    0.00090
  • Expected Shortfall (moments method)
    0.00182
  • Extreme Value Index (regression method)
    -0.15037
  • VaR(95%) (regression method)
    0.00090
  • Expected Shortfall (regression method)
    0.00180
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00017
  • Quartile 1
    0.00090
  • Median
    0.00176
  • Quartile 3
    0.00715
  • Maximum
    0.01777
  • Mean of quarter 1
    0.00043
  • Mean of quarter 2
    0.00121
  • Mean of quarter 3
    0.00322
  • Mean of quarter 4
    0.01349
  • Inter Quartile Range
    0.00626
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.01747
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.44245
  • VaR(95%) (moments method)
    0.01517
  • Expected Shortfall (moments method)
    0.01748
  • Extreme Value Index (regression method)
    -1.45275
  • VaR(95%) (regression method)
    0.01424
  • Expected Shortfall (regression method)
    0.01459
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.02848
  • Compounded annual return (geometric extrapolation)
    0.02763
  • Calmar ratio (compounded annual return / max draw down)
    1.55484
  • Compounded annual return / average of 25% largest draw downs
    2.04846
  • Compounded annual return / Expected Shortfall lognormal
    12.63920
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.85974
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.42205
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.76937
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.42459
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6823660000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.00200
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -2212060000000000056916943650684928.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -348886000
  • Max Equity Drawdown (num days)
    101
  • 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

General Description:

Zero i is a fully mechanical intraday stock trading system designed exclusively for autotrade with a low-cost broker through the Collective2 platform. The mean-reversion logics that drive this system are closely based on its swing trade predecessor Zero: http://www.collective2.com/cgi-perl/system34634928. Zero i is powered by a proprietary java application running daily on our Manhattan-based VPS.

Specifications:

Instruments Traded: stocks - Nasdaq 100

Account Type: cash, or margin IRA. Note that this system does not rely on leveraging capital, however, in order to avoid 'free-riding' penalties, a margin IRA account is required to allow cash proceeds from unsettled sales to be available for trading. See the following link for more information about this: http://ibkb.interactivebrokers.com/node/188.

Recommended Commission Structure: commission costs per trade should be 0.01 USD per share or less. An IB Cost Plus commission plan or better is ideal in order to maximize long-term profits.

Minimum Recommended Trading Capital: 27.5K. Zero i is a daytrade system therefore your liquid account value must meet the SEC Pattern Day Trading requirements in order to make all intended trades--the recommended trading amount assumes 25K plus a 10% drawdown cushion.

Trade Duration: trades can last between 3 sec and 50 min. All open trades are automatically closed before market close at 4PM ie. no trades are held overnight.

Max # of Simultaneous Positions: 10

Max Position Size: 10% of liquid capital. Note that pending individual stock volatility, a position can be averaged into, with a maximum total exposure of 20% of liquid capital to a given stock--such increased exposure is always limited to the max 50 min. trade duration.

Stoploss: 8% is hard-coded per position. Also, a 1% total portfolio stop equivalent to 10% per position has been selected in C2's risk contraint settings.

Disclaimer:

Past results are not indicative of future results and neither Vendor nor C2 is responsible for unfavorable performance deviations. It is recommended for a serious subscriber to papertrade Zero i for at least one week in a simulation brokerage account to become familiar with its idiosyncrasies before trading real money. It should be known that all fills in a simulation account will be similar but not the same as fills in a real account. Vendor is not responsible for syncing problems related to broker bridging software such as Tradebullet or Trader68. This system is only available to individuals through C2.


Feel free to private message me with any questions.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2013-04-07
Suggested Minimum Capital
$25,000
# Trades
533
# Profitable
303
% Profitable
56.8%
Correlation S&P500
-0.010
Sharpe Ratio
-1.26
Sortino Ratio
-1.93
Beta
-0.00
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.