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For your consideration Sharpely TOS Rank on Leaderboard #2 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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(73157730)

Created by: AndieGoGiap AndieGoGiap
Started: 04/2012
Stocks
Last trade: 4,821 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 $79.00 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.

-
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
137
Num Trades
28.5%
Win Trades
0.0 : 1
Profit Factor
37.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                     (0.2%)(10.8%)+7.0%+3.9%(0.5%)(26.5%)(1.5%)+0.5%(2.5%)(30.1%)
2013+51.0%(32.5%)+49.8%+1.9%(1.2%)(3.3%)(24%)+33.7%(4.7%)+4.2%+0.2%+1.8%+53.0%
2014+1.4%+1.7%(32.3%)+30.0%(23.9%)(0.6%)(7.1%)+1.8%(4.1%)(0.6%)(0.6%)(5.5%)(41.9%)
2015(3.8%)+3.2%(0.7%)+1.6%(0.6%)+0.7%(3.2%)(2.5%)(4.3%)+2.0%(2.2%)(2.4%)(12%)
2016(6.7%)(0.9%)+5.2%+5.0%  -  +0.7%+5.6%+7.5%(0.2%)(0.2%)+2.6%(15.1%)+1.4%
2017+2.3%(1.5%)+0.9%+2.3%(3.3%)+0.5%+1.5%(2.7%)(3.7%)(1.9%)(0.8%)+1.7%(4.8%)
2018(1.5%)(2.3%)+1.0%(4.7%)+1.4%+2.1%+0.6%+1.2%+0.7%+0.3%  -  (0.1%)(1.6%)
2019+0.8%(2.6%)+5.6%+0.7%(1.7%)  -  (6.5%)+2.9%+4.6%+0.3%+3.9%+5.6%
2020(0.7%)(1.4%)(2.7%)(3.8%)(0.9%)+1.2%(1.6%)+0.5%+3.2%(0.9%)+1.1%(21.9%)(26.7%)
2021  -  +4.5%(3.4%)(1.4%)+3.1%+24.6%+0.6%+1.3%(1.3%)+6.5%(2.1%)+0.9%+35.0%
2022+1.7%+1.8%+1.2%+0.7%+1.4%(3.9%)(2.5%)+1.4%(3.7%)(0.7%)+3.9%+0.1%+1.1%
2023+2.6%(0.2%)(0.7%)(1.1%)  -  (216.8%)(2.1%)(0.8%)(1.9%)(2%)(1.8%)(3.2%)(208.5%)
2024(0.8%)(1.6%)(2.3%)(1.8%)(2.8%)(0.7%)(0.6%)(0.6%)(0.1%)(2%)(850.6%)(0.1%)(831.3%)
2025(0.4%)(0.1%)  -  (0.3%)(0.1%)  -  (0.5%)(0.2%)(0.1%)(0.2%)(0.1%)(0.7%)-
2026(0.4%)(0.6%)(0.3%)(0.4%)  -                                            

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

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/14/12 9:40 COW IPATHA SER B BLOOMBERG LIVESTOCK TOTAL RETURN ETN LONG 31 28.25 4/1/13 11:14 26.34 0.08%
Trade id #74544724
Max drawdown($86)
Time3/19/13 13:50
Quant open31
Worst price25.45
Drawdown as % of equity-0.08%
 ($60)
Includes Typical Broker Commissions trade costs of $0.62
6/14/12 9:48 CMD CANTEL MEDICAL CORP LONG 200 22.40 4/1/13 11:13 18.13 0.99%
Trade id #74545067
Max drawdown($991)
Time7/5/12 9:31
Quant open66
Worst price52.86
Drawdown as % of equity-0.99%
 ($858)
Includes Typical Broker Commissions trade costs of $4.00
6/14/12 9:38 GAZ BARCLAYS BANK IPATH SER B BLOOMBERG NATURAL GAS TR LONG 1,507 2.94 12/20 9:45 2.87 0.29%
Trade id #74544638
Max drawdown($210)
Time12/17/12 10:01
Quant open1,507
Worst price2.80
Drawdown as % of equity-0.29%
 ($110)
Includes Typical Broker Commissions trade costs of $5.00
6/14/12 9:33 GASZ LONG 143 31.18 12/20 9:36 28.60 0.71%
Trade id #74544499
Max drawdown($520)
Time11/21/12 11:00
Quant open143
Worst price27.54
Drawdown as % of equity-0.71%
 ($372)
Includes Typical Broker Commissions trade costs of $2.86
6/14/12 9:53 FFVX UBS E-TRACS Dly Sh 6Mo S&P500 VIX Fu ETN LONG 43 103.17 7/8 18:16 103.56 0.05%
Trade id #74545396
Max drawdown($49)
Time6/18/12 10:41
Quant open43
Worst price102.02
Drawdown as % of equity-0.05%
 $16
Includes Typical Broker Commissions trade costs of $0.86
6/14/12 9:50 EIPO UBS E-TRACS Next Gen Internet ETN LONG 303 14.74 7/8 18:15 15.31 0.01%
Trade id #74545233
Max drawdown($12)
Time6/14/12 10:31
Quant open303
Worst price14.70
Drawdown as % of equity-0.01%
 $167
Includes Typical Broker Commissions trade costs of $6.06
6/27/12 10:49 EEVX UBS E-TRACS Dly Sh 5Mo S&P500 VIX Fu ETN LONG 84 112.40 7/8 18:13 112.60 0.15%
Trade id #74869590
Max drawdown($140)
Time6/27/12 21:40
Quant open84
Worst price0.00
Drawdown as % of equity-0.15%
 $15
Includes Typical Broker Commissions trade costs of $1.68
6/14/12 9:51 EIPL UBS E-TRACS Mon 2x Next Gen Internet ETN LONG 158 28.48 6/27 10:39 31.28 0.08%
Trade id #74545318
Max drawdown($69)
Time6/14/12 10:00
Quant open630
Worst price7.01
Drawdown as % of equity-0.08%
 $439
Includes Typical Broker Commissions trade costs of $3.16
6/14/12 9:49 EEVX UBS E-TRACS Dly Sh 5Mo S&P500 VIX Fu ETN LONG 43 101.19 6/27 10:38 110.73 n/a $409
Includes Typical Broker Commissions trade costs of $0.86
5/31/12 9:32 ARNA ARENA PHARMACEUTICALS LONG 819 6.71 6/14 9:33 7.75 0.1%
Trade id #74141173
Max drawdown($95)
Time6/5/12 12:18
Quant open195
Worst price6.15
Drawdown as % of equity-0.10%
 $834
Includes Typical Broker Commissions trade costs of $11.91
6/8/12 9:51 ZSL PROSHARES ULTRASHORT SILVER LONG 140 32.47 6/14 9:33 31.09 0.3%
Trade id #74390882
Max drawdown($269)
Time6/13/12 10:51
Quant open70
Worst price61.08
Drawdown as % of equity-0.30%
 ($196)
Includes Typical Broker Commissions trade costs of $2.80
6/13/12 10:26 GASX DIREXION NATURAL GAS BEAR 3X SHORT 48 111.48 6/14 9:33 115.56 0.34%
Trade id #74512886
Max drawdown($309)
Time6/13/12 15:52
Quant open-193
Worst price29.47
Drawdown as % of equity-0.34%
 ($197)
Includes Typical Broker Commissions trade costs of $0.96
6/12/12 11:36 INDL DIREXION DAILY MSCI INDIA BULL 2X ETF SHORT 87 61.08 6/13 10:26 62.16 0.14%
Trade id #74481882
Max drawdown($122)
Time6/12/12 16:00
Quant open-349
Worst price15.62
Drawdown as % of equity-0.14%
 ($96)
Includes Typical Broker Commissions trade costs of $1.74
6/8/12 9:58 FXP PROSHARES ULTRASHORT FTSE CHIN SHORT 43 124.68 6/12 11:26 118.96 0.03%
Trade id #74392329
Max drawdown($30)
Time6/8/12 10:03
Quant open-172
Worst price31.35
Drawdown as % of equity-0.03%
 $245
Includes Typical Broker Commissions trade costs of $0.86
6/8/12 9:31 HAL HALLIBURTON LONG 129 27.98 6/8 14:58 27.72 0.08%
Trade id #74389399
Max drawdown($68)
Time6/8/12 10:38
Quant open129
Worst price27.45
Drawdown as % of equity-0.08%
 ($37)
Includes Typical Broker Commissions trade costs of $2.58
6/7/12 10:47 ZSL PROSHARES ULTRASHORT SILVER SHORT 30 31.43 6/8 9:51 32.48 0.04%
Trade id #74353458
Max drawdown($39)
Time6/8/12 9:31
Quant open-15
Worst price65.47
Drawdown as % of equity-0.04%
 ($32)
Includes Typical Broker Commissions trade costs of $0.60
6/5/12 9:43 ZSL PROSHARES ULTRASHORT SILVER LONG 140 32.72 6/7 10:47 31.43 0.56%
Trade id #74267925
Max drawdown($499)
Time6/6/12 12:49
Quant open70
Worst price58.30
Drawdown as % of equity-0.56%
 ($184)
Includes Typical Broker Commissions trade costs of $2.80
6/7/12 10:20 FSE FACTORSHARES 2X: S&P500 BULL/T SHORT 510 10.36 6/7 10:47 10.35 n/a $0
Includes Typical Broker Commissions trade costs of $5.00
6/5/12 10:16 SOXL DIREXION DAILY SEMICONDUCTOR BULL 3X ETF SHORT 784 5.86 6/7 10:20 6.54 0.87%
Trade id #74272543
Max drawdown($770)
Time6/7/12 9:32
Quant open-196
Worst price27.35
Drawdown as % of equity-0.87%
 ($544)
Includes Typical Broker Commissions trade costs of $5.00
6/5/12 9:55 UBR PROSHARES ULTRA MSCI BRAZIL SHORT 27 171.96 6/5 10:13 174.96 0.09%
Trade id #74268876
Max drawdown($81)
Time6/5/12 10:13
Quant open0
Worst price14.58
Drawdown as % of equity-0.09%
 ($82)
Includes Typical Broker Commissions trade costs of $0.54
6/4/12 9:57 UGAZ SHORT 224 20.54 6/4 13:27 20.37 0.06%
Trade id #74226996
Max drawdown($58)
Time6/4/12 10:32
Quant open-224
Worst price20.80
Drawdown as % of equity-0.06%
 $34
Includes Typical Broker Commissions trade costs of $4.48
6/1/12 10:11 NUGT DIREXION DAILY GOLD MINERS INDEX BULL 2X ETF SHORT 3 6078.33 6/1 15:54 6338.33 1.12%
Trade id #74181148
Max drawdown($1,026)
Time6/1/12 14:22
Quant open-1,510
Worst price12.85
Drawdown as % of equity-1.12%
 ($780)
Includes Typical Broker Commissions trade costs of $0.06
5/31/12 10:07 CCH COLLIER CREEK HOLDINGS SHORT 213 17.08 6/1 10:11 16.93 0.03%
Trade id #74143274
Max drawdown($25)
Time5/31/12 11:36
Quant open-213
Worst price17.20
Drawdown as % of equity-0.03%
 $28
Includes Typical Broker Commissions trade costs of $4.26
5/30/12 11:08 OSIR OSIRIS THERAPEUTICS SHORT 519 7.13 5/31 10:07 6.68 0%
Trade id #74108874
Max drawdown$0
Time5/30/12 11:10
Quant open-504
Worst price7.14
Drawdown as % of equity0.00%
 $229
Includes Typical Broker Commissions trade costs of $5.15
5/25/12 11:15 ROSG ROSETTA GENOMICS SHORT 728 14.90 5/30 11:08 13.90 1.4%
Trade id #74014467
Max drawdown($1,274)
Time5/29/12 10:04
Quant open-728
Worst price16.65
Drawdown as % of equity-1.40%
 $721
Includes Typical Broker Commissions trade costs of $9.78
5/24/12 11:31 ROSG ROSETTA GENOMICS LONG 521 17.80 5/25 11:15 15.06 2.33%
Trade id #73985066
Max drawdown($2,120)
Time5/25/12 9:31
Quant open499
Worst price13.55
Drawdown as % of equity-2.33%
 ($1,437)
Includes Typical Broker Commissions trade costs of $7.71
5/24/12 10:07 ROSG ROSETTA GENOMICS SHORT 525 16.00 5/24 11:31 17.80 4.19%
Trade id #73978225
Max drawdown($3,900)
Time5/24/12 11:12
Quant open-525
Worst price23.43
Drawdown as % of equity-4.19%
 ($950)
Includes Typical Broker Commissions trade costs of $5.00
5/23/12 10:06 SOXS DIREXION DAILY SEMICONDUCTOR BEAR 3X ETF SHORT 11 762.72 5/24 9:33 732.16 0.37%
Trade id #73939914
Max drawdown($349)
Time5/23/12 12:12
Quant open-179
Worst price49.62
Drawdown as % of equity-0.37%
 $336
Includes Typical Broker Commissions trade costs of $0.22
5/22/12 10:43 UGAZ SHORT 276 32.83 5/23 9:50 31.22 0.11%
Trade id #73897417
Max drawdown($102)
Time5/22/12 11:04
Quant open-137
Worst price33.63
Drawdown as % of equity-0.11%
 $438
Includes Typical Broker Commissions trade costs of $5.52
5/22/12 9:36 ROSG ROSETTA GENOMICS SHORT 1,314 7.16 5/22 12:20 7.68 0.77%
Trade id #73893534
Max drawdown($709)
Time5/22/12 10:21
Quant open-1,314
Worst price7.70
Drawdown as % of equity-0.77%
 ($696)
Includes Typical Broker Commissions trade costs of $7.50

Statistics

  • Strategy began
    4/30/2012
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    5147.93
  • Age
    172 months ago
  • What it trades
    Stocks
  • # Trades
    137
  • # Profitable
    39
  • % Profitable
    28.50%
  • Avg trade duration
    362.8 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Jan 04, 2021 - April 09, 2025
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $752.33
  • Avg loss
    $13,303
  • Model Account Values (Raw)
  • Cash
    ($538,084)
  • Margin Used
    $11,832
  • Buying Power
    ($1,770,706)
  • Ratios
  • W:L ratio
    0.03:1
  • Sharpe Ratio
    0.03
  • Sortino Ratio
    0.04
  • Calmar Ratio
    -0.977
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -1707.02%
  • Correlation to SP500
    0.03850
  • Return Percent SP500 (cumu) during strategy life
    431.61%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.87%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • 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
    $13,304
  • Avg Win
    $752
  • Sum Trade PL (losers)
    $1,303,760.000
  • Age
  • Num Months filled monthly returns table
    135
  • Win / Loss
  • Sum Trade PL (winners)
    $29,341.000
  • # Winners
    39
  • Num Months Winners
    66
  • Dividends
  • Dividends Received in Model Acct
    11049
  • Win / Loss
  • # Losers
    98
  • % Winners
    28.5%
  • Frequency
  • Avg Position Time (mins)
    916768.00
  • Avg Position Time (hrs)
    15279.50
  • Avg Trade Length
    636.6 days
  • Last Trade Ago
    4812
  • Regression
  • Alpha
    0.00
  • Beta
    0.21
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    82.44
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    46.02
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.02
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -1.093
  • 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
    1.028
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.034
  • Hold-and-Hope Ratio
    -8.438
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.43237
  • SD
    0.73784
  • Sharpe ratio (Glass type estimate)
    -0.58599
  • Sharpe ratio (Hedges UMVUE)
    -0.57333
  • df
    35.00000
  • t
    -1.01497
  • p
    0.84146
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.72171
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.55791
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.71286
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.56620
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.66273
  • Upside Potential Ratio
    0.63390
  • Upside part of mean
    0.41356
  • Downside part of mean
    -0.84593
  • Upside SD
    0.34530
  • Downside SD
    0.65240
  • N nonnegative terms
    13.00000
  • N negative terms
    23.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    36.00000
  • Mean of predictor
    0.51872
  • Mean of criterion
    -0.43237
  • SD of predictor
    0.26718
  • SD of criterion
    0.73784
  • Covariance
    0.01701
  • r
    0.08627
  • b (slope, estimate of beta)
    0.23824
  • a (intercept, estimate of alpha)
    -0.55595
  • Mean Square Error
    0.55625
  • DF error
    34.00000
  • t(b)
    0.50490
  • p(b)
    0.30844
  • t(a)
    -1.12244
  • p(a)
    0.86523
  • Lowerbound of 95% confidence interval for beta
    -0.72067
  • Upperbound of 95% confidence interval for beta
    1.19714
  • Lowerbound of 95% confidence interval for alpha
    -1.56251
  • Upperbound of 95% confidence interval for alpha
    0.45062
  • Treynor index (mean / b)
    -1.81486
  • Jensen alpha (a)
    -0.55595
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -3.86526
  • SD
    6.35558
  • Sharpe ratio (Glass type estimate)
    -0.60817
  • Sharpe ratio (Hedges UMVUE)
    -0.59503
  • df
    35.00000
  • t
    -1.05338
  • p
    0.85031
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.74438
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.53652
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.73516
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.54511
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.60788
  • Upside Potential Ratio
    0.05747
  • Upside part of mean
    0.36543
  • Downside part of mean
    -4.23069
  • Upside SD
    0.29032
  • Downside SD
    6.35862
  • N nonnegative terms
    13.00000
  • N negative terms
    23.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    36.00000
  • Mean of predictor
    0.47606
  • Mean of criterion
    -3.86526
  • SD of predictor
    0.24886
  • SD of criterion
    6.35558
  • Covariance
    -0.09715
  • r
    -0.06143
  • b (slope, estimate of beta)
    -1.56875
  • a (intercept, estimate of alpha)
    -3.11844
  • Mean Square Error
    41.42460
  • DF error
    34.00000
  • t(b)
    -0.35885
  • p(b)
    0.63904
  • t(a)
    -0.73219
  • p(a)
    0.76547
  • Lowerbound of 95% confidence interval for beta
    -10.45300
  • Upperbound of 95% confidence interval for beta
    7.31547
  • Lowerbound of 95% confidence interval for alpha
    -11.77380
  • Upperbound of 95% confidence interval for alpha
    5.53696
  • Treynor index (mean / b)
    2.46391
  • Jensen alpha (a)
    -3.11844
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.96456
  • Expected Shortfall on VaR
    0.98041
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.18653
  • Expected Shortfall on VaR
    0.39129
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    36.00000
  • Minimum
    0.00002
  • Quartile 1
    0.94381
  • Median
    0.99323
  • Quartile 3
    1.01885
  • Maximum
    1.49966
  • Mean of quarter 1
    0.75395
  • Mean of quarter 2
    0.97029
  • Mean of quarter 3
    1.00504
  • Mean of quarter 4
    1.13591
  • Inter Quartile Range
    0.07504
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.11111
  • Mean of outliers low
    0.54608
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.05556
  • Mean of outliers high
    1.38800
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.84890
  • VaR(95%) (moments method)
    0.26061
  • Expected Shortfall (moments method)
    1.77493
  • Extreme Value Index (regression method)
    1.35036
  • VaR(95%) (regression method)
    0.18223
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01253
  • Quartile 1
    0.07650
  • Median
    0.18784
  • Quartile 3
    0.45840
  • Maximum
    0.99999
  • Mean of quarter 1
    0.01253
  • Mean of quarter 2
    0.09782
  • Mean of quarter 3
    0.27786
  • Mean of quarter 4
    0.99999
  • Inter Quartile Range
    0.38190
  • 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)
    -0.33333
  • Compounded annual return (geometric extrapolation)
    -0.97845
  • Calmar ratio (compounded annual return / max draw down)
    -0.97846
  • Compounded annual return / average of 25% largest draw downs
    -0.97846
  • Compounded annual return / Expected Shortfall lognormal
    -0.99800
  • 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
    -0.00492
  • SD
    1.20220
  • Sharpe ratio (Glass type estimate)
    -0.00409
  • Sharpe ratio (Hedges UMVUE)
    -0.00409
  • df
    800.00000
  • t
    -0.00716
  • p
    0.50286
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.12503
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.11685
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.12503
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.11685
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.00570
  • Upside Potential Ratio
    3.48362
  • Upside part of mean
    3.00617
  • Downside part of mean
    -3.01109
  • Upside SD
    0.83595
  • Downside SD
    0.86294
  • N nonnegative terms
    356.00000
  • N negative terms
    445.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    801.00000
  • Mean of predictor
    0.57669
  • Mean of criterion
    -0.00492
  • SD of predictor
    0.34189
  • SD of criterion
    1.20220
  • Covariance
    0.00756
  • r
    0.01840
  • b (slope, estimate of beta)
    0.06469
  • a (intercept, estimate of alpha)
    -0.04200
  • Mean Square Error
    1.44661
  • DF error
    799.00000
  • t(b)
    0.52013
  • p(b)
    0.30156
  • t(a)
    -0.06106
  • p(a)
    0.52434
  • Lowerbound of 95% confidence interval for beta
    -0.17945
  • Upperbound of 95% confidence interval for beta
    0.30884
  • Lowerbound of 95% confidence interval for alpha
    -1.39981
  • Upperbound of 95% confidence interval for alpha
    1.31535
  • Treynor index (mean / b)
    -0.07609
  • Jensen alpha (a)
    -0.04223
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -3.79340
  • SD
    6.34506
  • Sharpe ratio (Glass type estimate)
    -0.59785
  • Sharpe ratio (Hedges UMVUE)
    -0.59729
  • df
    800.00000
  • t
    -1.04534
  • p
    0.85191
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.71902
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.52363
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.71861
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.52403
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.60161
  • Upside Potential Ratio
    0.43209
  • Upside part of mean
    2.72450
  • Downside part of mean
    -6.51790
  • Upside SD
    0.71135
  • Downside SD
    6.30543
  • N nonnegative terms
    356.00000
  • N negative terms
    445.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    801.00000
  • Mean of predictor
    0.51865
  • Mean of criterion
    -3.79340
  • SD of predictor
    0.33809
  • SD of criterion
    6.34506
  • Covariance
    0.02090
  • r
    0.00974
  • b (slope, estimate of beta)
    0.18286
  • a (intercept, estimate of alpha)
    -3.88824
  • Mean Square Error
    40.30630
  • DF error
    799.00000
  • t(b)
    0.27543
  • p(b)
    0.39153
  • t(a)
    -1.06607
  • p(a)
    0.85664
  • Lowerbound of 95% confidence interval for beta
    -1.12035
  • Upperbound of 95% confidence interval for beta
    1.48607
  • Lowerbound of 95% confidence interval for alpha
    -11.04760
  • Upperbound of 95% confidence interval for alpha
    3.27108
  • Treynor index (mean / b)
    -20.74500
  • Jensen alpha (a)
    -3.88824
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.48277
  • Expected Shortfall on VaR
    0.55655
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02716
  • Expected Shortfall on VaR
    0.06328
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    801.00000
  • Minimum
    0.00002
  • Quartile 1
    0.99530
  • Median
    1.00000
  • Quartile 3
    1.00481
  • Maximum
    1.53859
  • Mean of quarter 1
    0.95627
  • Mean of quarter 2
    0.99816
  • Mean of quarter 3
    1.00171
  • Mean of quarter 4
    1.04443
  • Inter Quartile Range
    0.00951
  • Number outliers low
    64.00000
  • Percentage of outliers low
    0.07990
  • Mean of outliers low
    0.88349
  • Number of outliers high
    64.00000
  • Percentage of outliers high
    0.07990
  • Mean of outliers high
    1.11778
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.16442
  • VaR(95%) (moments method)
    0.03355
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.93662
  • VaR(95%) (regression method)
    0.02260
  • Expected Shortfall (regression method)
    0.36223
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00087
  • Quartile 1
    0.01812
  • Median
    0.22716
  • Quartile 3
    0.31813
  • Maximum
    0.99999
  • Mean of quarter 1
    0.00694
  • Mean of quarter 2
    0.12514
  • Mean of quarter 3
    0.31522
  • Mean of quarter 4
    0.56590
  • Inter Quartile Range
    0.30001
  • 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
    0.99999
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.24711
  • VaR(95%) (moments method)
    0.63766
  • Expected Shortfall (moments method)
    1.02003
  • Extreme Value Index (regression method)
    2.40258
  • VaR(95%) (regression method)
    1.18394
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.32709
  • Compounded annual return (geometric extrapolation)
    -0.97684
  • Calmar ratio (compounded annual return / max draw down)
    -0.97685
  • Compounded annual return / average of 25% largest draw downs
    -1.72619
  • Compounded annual return / Expected Shortfall lognormal
    -1.75519
  • 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
    -1.93719
  • SD
    1.42424
  • Sharpe ratio (Glass type estimate)
    -1.36016
  • Sharpe ratio (Hedges UMVUE)
    -1.35230
  • df
    130.00000
  • t
    -0.96178
  • p
    0.54203
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.13435
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.41911
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.12897
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.42438
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.36487
  • Upside Potential Ratio
    0.48382
  • Upside part of mean
    0.68670
  • Downside part of mean
    -2.62389
  • Upside SD
    0.11325
  • Downside SD
    1.41932
  • N nonnegative terms
    36.00000
  • N negative terms
    95.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.17742
  • Mean of criterion
    -1.93719
  • SD of predictor
    0.46446
  • SD of criterion
    1.42424
  • Covariance
    0.04077
  • r
    0.06164
  • b (slope, estimate of beta)
    0.18901
  • a (intercept, estimate of alpha)
    -2.15974
  • Mean Square Error
    2.03642
  • DF error
    129.00000
  • t(b)
    0.70141
  • p(b)
    0.46079
  • t(a)
    -1.05718
  • p(a)
    0.55892
  • Lowerbound of 95% confidence interval for beta
    -0.34415
  • Upperbound of 95% confidence interval for beta
    0.72217
  • Lowerbound of 95% confidence interval for alpha
    -6.20171
  • Upperbound of 95% confidence interval for alpha
    1.88222
  • Treynor index (mean / b)
    -10.24910
  • Jensen alpha (a)
    -2.15974
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -21.84480
  • SD
    15.48270
  • Sharpe ratio (Glass type estimate)
    -1.41091
  • Sharpe ratio (Hedges UMVUE)
    -1.40276
  • df
    130.00000
  • t
    -0.99767
  • p
    0.54358
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.18536
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.36885
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.17980
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.37429
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.41098
  • Upside Potential Ratio
    0.04394
  • Upside part of mean
    0.68032
  • Downside part of mean
    -22.52510
  • Upside SD
    0.11180
  • Downside SD
    15.48210
  • N nonnegative terms
    36.00000
  • N negative terms
    95.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.06788
  • Mean of criterion
    -21.84480
  • SD of predictor
    0.46477
  • SD of criterion
    15.48270
  • Covariance
    0.17144
  • r
    0.02383
  • b (slope, estimate of beta)
    0.79368
  • a (intercept, estimate of alpha)
    -22.69240
  • Mean Square Error
    241.43600
  • DF error
    129.00000
  • t(b)
    0.27068
  • p(b)
    0.48483
  • t(a)
    -1.02235
  • p(a)
    0.55700
  • VAR (95 Confidence Intrvl)
    0.48300
  • Lowerbound of 95% confidence interval for beta
    -5.00770
  • Upperbound of 95% confidence interval for beta
    6.59506
  • Lowerbound of 95% confidence interval for alpha
    -66.60830
  • Upperbound of 95% confidence interval for alpha
    21.22360
  • Treynor index (mean / b)
    -27.52330
  • Jensen alpha (a)
    -22.69240
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.80924
  • Expected Shortfall on VaR
    0.86503
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02819
  • Expected Shortfall on VaR
    0.06567
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00002
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00090
  • Maximum
    1.03715
  • Mean of quarter 1
    0.96055
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00005
  • Mean of quarter 4
    1.01048
  • Inter Quartile Range
    0.00090
  • Number outliers low
    27.00000
  • Percentage of outliers low
    0.20611
  • Mean of outliers low
    0.95181
  • Number of outliers high
    29.00000
  • Percentage of outliers high
    0.22137
  • Mean of outliers high
    1.01169
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.45775
  • VaR(95%) (moments method)
    0.00852
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.19709
  • VaR(95%) (regression method)
    0.01172
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00066
  • Quartile 1
    0.00143
  • Median
    0.00612
  • Quartile 3
    0.01438
  • Maximum
    0.99998
  • Mean of quarter 1
    0.00113
  • Mean of quarter 2
    0.00366
  • Mean of quarter 3
    0.00901
  • Mean of quarter 4
    0.34735
  • Inter Quartile Range
    0.01296
  • 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
    0.10000
  • Mean of outliers high
    0.99998
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    2.01256
  • VaR(95%) (moments method)
    0.29094
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    5.41516
  • VaR(95%) (regression method)
    4.59193
  • 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?
    -525934000
  • Max Equity Drawdown (num days)
    1556
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.99996
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00002
  • Compounded annual return / average of 25% largest draw downs
    -2.87891
  • Compounded annual return / Expected Shortfall lognormal
    -1.15603

Strategy Description

Trade this strategy at Tradier

Summary Statistics

Strategy began
2012-04-30
Suggested Minimum Capital
$15,000
# Trades
137
# Profitable
39
% Profitable
28.5%
Net Dividends
$11,048
Correlation S&P500
0.038
Sharpe Ratio
0.03
Sortino Ratio
0.04
Beta
0.21
Alpha
0.00

Latest Activity

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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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