Collective2 Collective2
Featured Strategy QUANT AI Gold and Silver +39.4% Cumul. Return since Sep 23, 2025 Hypothetical

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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more
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System 76001071
(76001071)

Created by: PalAnand PalAnand
Started: 08/2012
Stocks
Last trade: 4,498 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. You can subscribe to this system for free.

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.

-
Max Drawdown
260
Num Trades
50.0%
Win Trades
1.0 : 1
Profit Factor
4.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                 (21.4%)+14.6%+7.9%(42%)+96.8%+10.9%
2013+47.2%(21.2%)(3%)+26.3%(33.8%)(23.2%)+113.6%(45.1%)+155.4%+75.6%(93.5%)(95.5%)(98.9%)
2014(21730.8%)(65%)  -    -    -    -    -    -    -    -    -    -  (35788.1%)
2015  -    -    -    -  (0.7%)  -    -    -    -  (0.3%)  -    -  (0.4%)
2016  -    -    -    -    -    -  (2%)(0.1%)  -    -    -    -  -
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2025  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2026  -    -    -    -    -                                            

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

Download CSV
Long
Short
Both
Win
Loss
Both
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Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/12/14 13:17 CBMXW COMBIMATRIX CORPORATION WARRANT LONG 3,194 12.44 2/14 15:54 6.00 322.85%
Trade id #85753635
Max drawdown($20,569)
Time2/14/14 15:54
Quant open0
Worst price6.00
Drawdown as % of equity-322.85%
 ($20,577)
Includes Typical Broker Commissions trade costs of $7.50
2/10/14 10:32 TDH DEUTSCHE X TRACKERS 2020 TARGE LONG 610 26.50 2/12 13:16 26.26 1.51%
Trade id #85688592
Max drawdown($396)
Time2/10/14 14:04
Quant open610
Worst price25.85
Drawdown as % of equity-1.51%
 ($151)
Includes Typical Broker Commissions trade costs of $5.00
2/5/14 10:43 CARV CARVER BANCORP LONG 1,597 13.78 2/7 13:17 14.01 10.74%
Trade id #85602375
Max drawdown($2,842)
Time2/6/14 11:15
Quant open1,597
Worst price12.00
Drawdown as % of equity-10.74%
 $362
Includes Typical Broker Commissions trade costs of $5.00
1/30/14 12:04 CARV CARVER BANCORP LONG 4,791 13.05 2/3 11:51 11.95 46.36%
Trade id #85490715
Max drawdown($11,434)
Time1/31/14 13:09
Quant open3,194
Worst price9.99
Drawdown as % of equity-46.36%
 ($5,264)
Includes Typical Broker Commissions trade costs of $10.00
1/29/14 10:52 ASTC ASTROTECH LONG 4,181 3.73 1/30 9:30 3.63 1.55%
Trade id #85457531
Max drawdown($501)
Time1/29/14 16:00
Quant open4,181
Worst price3.61
Drawdown as % of equity-1.55%
 ($423)
Includes Typical Broker Commissions trade costs of $5.00
1/28/14 11:29 DL CHINA DISTANCE EDUCATION LONG 1,597 21.78 1/30 9:30 20.67 7.71%
Trade id #85428731
Max drawdown($2,587)
Time1/29/14 9:40
Quant open1,597
Worst price20.16
Drawdown as % of equity-7.71%
 ($1,778)
Includes Typical Broker Commissions trade costs of $5.00
1/28/14 11:06 NVEEW NV5 HOLDINGS INC. WARRANT J LONG 3,950 2.80 1/29 10:46 2.31 7.23%
Trade id #85427990
Max drawdown($2,607)
Time1/28/14 15:50
Quant open3,950
Worst price2.14
Drawdown as % of equity-7.23%
 ($1,941)
Includes Typical Broker Commissions trade costs of $5.00
1/24/14 10:49 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 24 1662.50 1/28 10:33 1759.00 n/a $557
Includes Typical Broker Commissions trade costs of $0.47
1/23/14 11:38 BNSO BONSO ELECTRONICS INTL LONG 10,000 2.68 1/24 9:31 2.25 17.02%
Trade id #85335888
Max drawdown($5,900)
Time1/23/14 12:45
Quant open10,000
Worst price2.09
Drawdown as % of equity-17.02%
 ($4,305)
Includes Typical Broker Commissions trade costs of $5.00
1/23/14 10:49 SILC SILICOM LONG 1,310 60.36 1/23 11:34 59.06 3.77%
Trade id #85333928
Max drawdown($1,755)
Time1/23/14 11:34
Quant open1,310
Worst price59.02
Drawdown as % of equity-3.77%
 ($1,711)
Includes Typical Broker Commissions trade costs of $7.50
1/22/14 10:42 LUNA LUNA INNOVATIONS LONG 17,000 3.14 1/23 10:28 2.09 40.84%
Trade id #85305897
Max drawdown($19,040)
Time1/23/14 9:49
Quant open17,000
Worst price2.02
Drawdown as % of equity-40.84%
 ($17,855)
Includes Typical Broker Commissions trade costs of $5.00
1/21/14 13:36 KOOL NORTH SHORE EQUITY ROTATION ETF LONG 1,000 35.00 1/22 9:30 57.00 2.22%
Trade id #85284687
Max drawdown($800)
Time1/21/14 15:04
Quant open20,000
Worst price1.71
Drawdown as % of equity-2.22%
 $21,995
Includes Typical Broker Commissions trade costs of $5.00
1/21/14 11:23 KOOL NORTH SHORE EQUITY ROTATION ETF LONG 1,026 32.80 1/21 12:48 34.40 2.48%
Trade id #85281066
Max drawdown($821)
Time1/21/14 11:28
Quant open20,527
Worst price1.60
Drawdown as % of equity-2.48%
 $1,637
Includes Typical Broker Commissions trade costs of $5.00
1/17/14 10:40 KONE KINGTONE WIRELESSINFO LONG 1,974 13.51 1/21 10:26 11.35 16.18%
Trade id #85237460
Max drawdown($5,783)
Time1/21/14 9:31
Quant open1,974
Worst price10.58
Drawdown as % of equity-16.18%
 ($4,272)
Includes Typical Broker Commissions trade costs of $7.50
1/7/14 11:02 VRS VERSO CORPORATION LONG 10,336 4.26 1/17 10:04 3.11 33.23%
Trade id #85029343
Max drawdown($13,044)
Time1/16/14 16:00
Quant open10,336
Worst price3.00
Drawdown as % of equity-33.23%
 ($11,925)
Includes Typical Broker Commissions trade costs of $12.50
1/16/14 10:40 YRCW YRC WORLDWIDE LONG 144 14.85 1/17 10:04 14.84 0.05%
Trade id #85212360
Max drawdown($20)
Time1/16/14 14:27
Quant open144
Worst price14.71
Drawdown as % of equity-0.05%
 ($4)
Includes Typical Broker Commissions trade costs of $2.88
1/10/14 10:11 GALT GALECTIN THERAPEUTICS LONG 987 16.90 1/16 10:16 12.05 12.53%
Trade id #85105236
Max drawdown($5,630)
Time1/14/14 14:18
Quant open987
Worst price11.20
Drawdown as % of equity-12.53%
 ($4,792)
Includes Typical Broker Commissions trade costs of $5.00
1/9/14 11:37 ICPT NTERCEPT PHARMACEUTICALS LONG 89 282.76 1/10 9:52 433.05 4.19%
Trade id #85081023
Max drawdown($1,579)
Time1/9/14 14:17
Quant open89
Worst price265.01
Drawdown as % of equity-4.19%
 $13,374
Includes Typical Broker Commissions trade costs of $1.78
1/6/14 10:21 SCTY SOLARCITY LONG 610 66.98 1/9 11:35 66.32 6.6%
Trade id #85004946
Max drawdown($2,641)
Time1/7/14 10:18
Quant open610
Worst price62.65
Drawdown as % of equity-6.60%
 ($408)
Includes Typical Broker Commissions trade costs of $5.00
1/3/14 10:39 JRJC CHINA FINANCE ONLINE LONG 6,765 6.77 1/6 9:51 5.98 12.95%
Trade id #84980495
Max drawdown($5,885)
Time1/6/14 9:38
Quant open6,765
Worst price5.90
Drawdown as % of equity-12.95%
 ($5,349)
Includes Typical Broker Commissions trade costs of $5.00
11/21/13 10:30 CBMXW COMBIMATRIX CORPORATION WARRANT LONG 143,285 1.76 1/3/14 9:53 0.79 294.49%
Trade id #84212493
Max drawdown($138,986)
Time1/3/14 9:53
Quant open57,314
Worst price0.61
Drawdown as % of equity-294.49%
 ($139,006)
Includes Typical Broker Commissions trade costs of $20.00
11/22/13 11:44 PTIX PROTAGENIC THERAPEUTICS INC. LONG 5,168 3.77 11/25 9:53 3.56 0.77%
Trade id #84239049
Max drawdown($1,059)
Time11/25/13 9:53
Quant open0
Worst price3.56
Drawdown as % of equity-0.77%
 ($1,067)
Includes Typical Broker Commissions trade costs of $7.50
11/21/13 11:22 FONR FONAR LONG 5,168 20.99 11/22 9:40 21.01 5.45%
Trade id #84214243
Max drawdown($9,173)
Time11/21/13 15:13
Quant open5,168
Worst price19.21
Drawdown as % of equity-5.45%
 $122
Includes Typical Broker Commissions trade costs of $7.50
11/20/13 12:35 GALE GALENA BIOPHARMA LONG 6,765 3.34 11/21 11:33 3.49 0.54%
Trade id #84190341
Max drawdown($1,014)
Time11/20/13 14:56
Quant open6,765
Worst price3.19
Drawdown as % of equity-0.54%
 $1,010
Includes Typical Broker Commissions trade costs of $5.00
11/20/13 12:22 ZHNE ZHONE TECHNOLOGIES LONG 8,362 5.08 11/21 10:27 5.18 0.38%
Trade id #84189869
Max drawdown($710)
Time11/20/13 12:57
Quant open4,181
Worst price4.95
Drawdown as % of equity-0.38%
 $826
Includes Typical Broker Commissions trade costs of $10.00
11/20/13 11:05 AERI AERIE PHARMACEUTICALS INC. CO LONG 4,181 12.46 11/21 10:26 12.11 1.44%
Trade id #84186901
Max drawdown($2,759)
Time11/20/13 15:56
Quant open4,181
Worst price11.80
Drawdown as % of equity-1.44%
 ($1,468)
Includes Typical Broker Commissions trade costs of $5.00
11/20/13 11:45 PLNR PLANAR SYSTEMS LONG 10,946 2.48 11/21 10:26 2.40 1.26%
Trade id #84188679
Max drawdown($2,408)
Time11/20/13 15:42
Quant open10,946
Worst price2.26
Drawdown as % of equity-1.26%
 ($881)
Includes Typical Broker Commissions trade costs of $5.00
11/20/13 12:49 PCOM POINTS INTERNATIONAL LONG 3,948 26.41 11/21 10:25 26.00 1.05%
Trade id #84190736
Max drawdown($2,013)
Time11/21/13 10:22
Quant open3,948
Worst price25.90
Drawdown as % of equity-1.05%
 ($1,632)
Includes Typical Broker Commissions trade costs of $12.50
11/20/13 12:14 ESCA ESCALADE LONG 2,584 9.82 11/20 13:08 9.84 0%
Trade id #84189542
Max drawdown$0
Time11/20/13 12:29
Quant open2,584
Worst price9.82
Drawdown as % of equity0.00%
 $47
Includes Typical Broker Commissions trade costs of $5.00
11/20/13 11:27 ANIP ANI PHARMACEUTICALS LONG 4,181 13.22 11/20 12:35 13.31 0.01%
Trade id #84187914
Max drawdown($25)
Time11/20/13 11:30
Quant open2,584
Worst price13.17
Drawdown as % of equity-0.01%
 $361
Includes Typical Broker Commissions trade costs of $7.50

Statistics

  • Strategy began
    8/14/2012
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    5035.2
  • Age
    168 months ago
  • What it trades
    Stocks
  • # Trades
    260
  • # Profitable
    130
  • % Profitable
    50.00%
  • Avg trade duration
    2.3 days
  • Max peak-to-valley drawdown
    %
  • drawdown period
    Dec , - Dec ,
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $2,748
  • Avg loss
    $2,773
  • Model Account Values (Raw)
  • Cash
    $6,774
  • Margin Used
    $0
  • Buying Power
    $6,774
  • Ratios
  • W:L ratio
    0.99:1
  • Sharpe Ratio
    0.1
  • Sortino Ratio
    0.14
  • Calmar Ratio
    -0.1
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -588.26%
  • Correlation to SP500
    0.00710
  • Return Percent SP500 (cumu) during strategy life
    427.50%
  • 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
    0.91%
  • 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)
    -2.8%
  • 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)
    n/a
  • 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
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $2,773
  • Avg Win
    $2,749
  • Sum Trade PL (losers)
    $360,536.000
  • Age
  • Num Months filled monthly returns table
    18
  • Win / Loss
  • Sum Trade PL (winners)
    $357,318.000
  • # Winners
    130
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    130
  • % Winners
    50.0%
  • Frequency
  • Avg Position Time (mins)
    3286.78
  • Avg Position Time (hrs)
    54.78
  • Avg Trade Length
    2.3 days
  • Last Trade Ago
    4486
  • Regression
  • Alpha
    0.00
  • Beta
    11947.80
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.17
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    40.59
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    70.43
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.42
  • MAE:Equity, average, winning trades
    0.26
  • MAE:Equity, average, losing trades
    0.08
  • Avg(MAE) / Avg(PL) - All trades
    -35.113
  • 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
    0.443
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.187
  • Hold-and-Hope Ratio
    -0.028
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.80070
  • SD
    1.42154
  • Sharpe ratio (Glass type estimate)
    0.56326
  • Sharpe ratio (Hedges UMVUE)
    0.54068
  • df
    19.00000
  • t
    0.72717
  • p
    0.39572
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.97255
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.08461
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.98720
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.06857
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.98375
  • Upside Potential Ratio
    2.77020
  • Upside part of mean
    2.25475
  • Downside part of mean
    -1.45405
  • Upside SD
    1.14485
  • Downside SD
    0.81393
  • N nonnegative terms
    11.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.16486
  • Mean of criterion
    0.80070
  • SD of predictor
    0.08280
  • SD of criterion
    1.42154
  • Covariance
    -0.00732
  • r
    -0.06217
  • b (slope, estimate of beta)
    -1.06730
  • a (intercept, estimate of alpha)
    0.97666
  • Mean Square Error
    2.12480
  • DF error
    18.00000
  • t(b)
    -0.26427
  • p(b)
    0.53108
  • t(a)
    0.74508
  • p(a)
    0.41352
  • Lowerbound of 95% confidence interval for beta
    -9.55235
  • Upperbound of 95% confidence interval for beta
    7.41775
  • Lowerbound of 95% confidence interval for alpha
    -1.77724
  • Upperbound of 95% confidence interval for alpha
    3.73056
  • Treynor index (mean / b)
    -0.75021
  • Jensen alpha (a)
    0.97666
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.31445
  • SD
    1.68740
  • Sharpe ratio (Glass type estimate)
    -0.18635
  • Sharpe ratio (Hedges UMVUE)
    -0.17888
  • df
    19.00000
  • t
    -0.24058
  • p
    0.53507
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.70328
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.33536
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.69813
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.34037
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.22441
  • Upside Potential Ratio
    1.28687
  • Upside part of mean
    1.80318
  • Downside part of mean
    -2.11763
  • Upside SD
    0.86591
  • Downside SD
    1.40122
  • N nonnegative terms
    11.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.16041
  • Mean of criterion
    -0.31445
  • SD of predictor
    0.08219
  • SD of criterion
    1.68740
  • Covariance
    -0.02019
  • r
    -0.14559
  • b (slope, estimate of beta)
    -2.98910
  • a (intercept, estimate of alpha)
    0.16504
  • Mean Square Error
    2.94180
  • DF error
    18.00000
  • t(b)
    -0.62436
  • p(b)
    0.57280
  • t(a)
    0.10755
  • p(a)
    0.48733
  • Lowerbound of 95% confidence interval for beta
    -13.04720
  • Upperbound of 95% confidence interval for beta
    7.06905
  • Lowerbound of 95% confidence interval for alpha
    -3.05894
  • Upperbound of 95% confidence interval for alpha
    3.38901
  • Treynor index (mean / b)
    0.10520
  • Jensen alpha (a)
    0.16504
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.56283
  • Expected Shortfall on VaR
    0.63794
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.26272
  • Expected Shortfall on VaR
    0.50687
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    20.00000
  • Minimum
    0.19952
  • Quartile 1
    0.78870
  • Median
    1.04881
  • Quartile 3
    1.25142
  • Maximum
    2.00561
  • Mean of quarter 1
    0.59066
  • Mean of quarter 2
    0.92729
  • Mean of quarter 3
    1.17652
  • Mean of quarter 4
    1.57574
  • Inter Quartile Range
    0.46272
  • 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
    0.05000
  • Mean of outliers high
    2.00561
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.06850
  • VaR(95%) (moments method)
    0.42939
  • Expected Shortfall (moments method)
    0.58692
  • Extreme Value Index (regression method)
    0.50679
  • VaR(95%) (regression method)
    0.48372
  • Expected Shortfall (regression method)
    0.95069
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.05742
  • Quartile 1
    0.21677
  • Median
    0.32509
  • Quartile 3
    0.51580
  • Maximum
    0.92229
  • Mean of quarter 1
    0.05742
  • Mean of quarter 2
    0.26988
  • Mean of quarter 3
    0.38030
  • Mean of quarter 4
    0.92229
  • Inter Quartile Range
    0.29903
  • 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)
    -0.23880
  • Compounded annual return (geometric extrapolation)
    -0.26251
  • Calmar ratio (compounded annual return / max draw down)
    -0.28462
  • Compounded annual return / average of 25% largest draw downs
    -0.28462
  • Compounded annual return / Expected Shortfall lognormal
    -0.41149
  • 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
    1.70225
  • SD
    2.56202
  • Sharpe ratio (Glass type estimate)
    0.66442
  • Sharpe ratio (Hedges UMVUE)
    0.66357
  • df
    588.00000
  • t
    0.86940
  • p
    0.19249
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83417
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.16251
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.83476
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.16190
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.77818
  • Upside Potential Ratio
    8.57970
  • Upside part of mean
    8.21338
  • Downside part of mean
    -6.51112
  • Upside SD
    2.37588
  • Downside SD
    0.95730
  • N nonnegative terms
    202.00000
  • N negative terms
    387.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    589.00000
  • Mean of predictor
    0.16736
  • Mean of criterion
    1.70225
  • SD of predictor
    0.11366
  • SD of criterion
    2.56202
  • Covariance
    -0.01007
  • r
    -0.03459
  • b (slope, estimate of beta)
    -0.77968
  • a (intercept, estimate of alpha)
    0.80200
  • Mean Square Error
    6.56729
  • DF error
    587.00000
  • t(b)
    -0.83852
  • p(b)
    0.79896
  • t(a)
    0.93287
  • p(a)
    0.17564
  • Lowerbound of 95% confidence interval for beta
    -2.60589
  • Upperbound of 95% confidence interval for beta
    1.04653
  • Lowerbound of 95% confidence interval for alpha
    -2.02582
  • Upperbound of 95% confidence interval for alpha
    5.69131
  • Treynor index (mean / b)
    -2.18327
  • Jensen alpha (a)
    1.83274
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.30635
  • SD
    1.84662
  • Sharpe ratio (Glass type estimate)
    -0.16590
  • Sharpe ratio (Hedges UMVUE)
    -0.16569
  • df
    588.00000
  • t
    -0.21708
  • p
    0.58589
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.66372
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.33205
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.66357
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.33220
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.27460
  • Upside Potential Ratio
    6.06338
  • Upside part of mean
    6.76438
  • Downside part of mean
    -7.07073
  • Upside SD
    1.46965
  • Downside SD
    1.11561
  • N nonnegative terms
    202.00000
  • N negative terms
    387.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    589.00000
  • Mean of predictor
    0.16087
  • Mean of criterion
    -0.30635
  • SD of predictor
    0.11370
  • SD of criterion
    1.84662
  • Covariance
    -0.00513
  • r
    -0.02445
  • b (slope, estimate of beta)
    -0.39708
  • a (intercept, estimate of alpha)
    -0.24247
  • Mean Square Error
    3.41376
  • DF error
    587.00000
  • t(b)
    -0.59255
  • p(b)
    0.72315
  • t(a)
    -0.17122
  • p(a)
    0.56795
  • Lowerbound of 95% confidence interval for beta
    -1.71320
  • Upperbound of 95% confidence interval for beta
    0.91904
  • Lowerbound of 95% confidence interval for alpha
    -3.02375
  • Upperbound of 95% confidence interval for alpha
    2.53881
  • Treynor index (mean / b)
    0.77150
  • Jensen alpha (a)
    -0.24247
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15182
  • Expected Shortfall on VaR
    0.18583
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05094
  • Expected Shortfall on VaR
    0.10712
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    589.00000
  • Minimum
    0.55501
  • Quartile 1
    0.98570
  • Median
    1.00000
  • Quartile 3
    1.00928
  • Maximum
    3.54084
  • Mean of quarter 1
    0.92820
  • Mean of quarter 2
    0.99652
  • Mean of quarter 3
    1.00155
  • Mean of quarter 4
    1.09416
  • Inter Quartile Range
    0.02358
  • Number outliers low
    68.00000
  • Percentage of outliers low
    0.11545
  • Mean of outliers low
    0.87773
  • Number of outliers high
    65.00000
  • Percentage of outliers high
    0.11036
  • Mean of outliers high
    1.18160
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.52391
  • VaR(95%) (moments method)
    0.05994
  • Expected Shortfall (moments method)
    0.14818
  • Extreme Value Index (regression method)
    0.23192
  • VaR(95%) (regression method)
    0.06606
  • Expected Shortfall (regression method)
    0.11615
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00174
  • Quartile 1
    0.03988
  • Median
    0.18168
  • Quartile 3
    0.38241
  • Maximum
    0.96823
  • Mean of quarter 1
    0.01956
  • Mean of quarter 2
    0.11033
  • Mean of quarter 3
    0.28179
  • Mean of quarter 4
    0.58741
  • Inter Quartile Range
    0.34253
  • 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
    0.05263
  • Mean of outliers high
    0.96823
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.37200
  • VaR(95%) (moments method)
    0.65712
  • Expected Shortfall (moments method)
    0.76105
  • Extreme Value Index (regression method)
    0.56370
  • VaR(95%) (regression method)
    0.69491
  • Expected Shortfall (regression method)
    1.36393
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.23245
  • Compounded annual return (geometric extrapolation)
    -0.25651
  • Calmar ratio (compounded annual return / max draw down)
    -0.26493
  • Compounded annual return / average of 25% largest draw downs
    -0.43668
  • Compounded annual return / Expected Shortfall lognormal
    -1.38033
  • 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
    -3.10039
  • SD
    2.03325
  • Sharpe ratio (Glass type estimate)
    -1.52485
  • Sharpe ratio (Hedges UMVUE)
    -1.51815
  • df
    171.00000
  • t
    -1.07823
  • p
    0.55226
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.29915
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.25388
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.29462
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.25832
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.18742
  • Upside Potential Ratio
    4.64514
  • Upside part of mean
    6.58390
  • Downside part of mean
    -9.68429
  • Upside SD
    1.45913
  • Downside SD
    1.41737
  • N nonnegative terms
    40.00000
  • N negative terms
    132.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.14500
  • Mean of criterion
    -3.10039
  • SD of predictor
    0.10938
  • SD of criterion
    2.03325
  • Covariance
    0.00590
  • r
    0.02652
  • b (slope, estimate of beta)
    0.49300
  • a (intercept, estimate of alpha)
    -3.17187
  • Mean Square Error
    4.15548
  • DF error
    170.00000
  • t(b)
    0.34590
  • p(b)
    0.48674
  • t(a)
    -1.09743
  • p(a)
    0.54194
  • Lowerbound of 95% confidence interval for beta
    -2.32048
  • Upperbound of 95% confidence interval for beta
    3.30648
  • Lowerbound of 95% confidence interval for alpha
    -8.87731
  • Upperbound of 95% confidence interval for alpha
    2.53357
  • Treynor index (mean / b)
    -6.28882
  • Jensen alpha (a)
    -3.17187
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -5.21173
  • SD
    2.08144
  • Sharpe ratio (Glass type estimate)
    -2.50391
  • Sharpe ratio (Hedges UMVUE)
    -2.49291
  • df
    171.00000
  • t
    -1.77053
  • p
    0.58516
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.28479
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.28417
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.27728
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.29146
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.03995
  • Upside Potential Ratio
    3.36116
  • Upside part of mean
    5.76242
  • Downside part of mean
    -10.97420
  • Upside SD
    1.20289
  • Downside SD
    1.71441
  • N nonnegative terms
    40.00000
  • N negative terms
    132.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.13900
  • Mean of criterion
    -5.21173
  • SD of predictor
    0.10957
  • SD of criterion
    2.08144
  • Covariance
    0.00521
  • r
    0.02283
  • b (slope, estimate of beta)
    0.43367
  • a (intercept, estimate of alpha)
    -5.27201
  • Mean Square Error
    4.35561
  • DF error
    170.00000
  • t(b)
    0.29774
  • p(b)
    0.48858
  • t(a)
    -1.78204
  • p(a)
    0.56771
  • VAR (95 Confidence Intrvl)
    0.11800
  • Lowerbound of 95% confidence interval for beta
    -2.44159
  • Upperbound of 95% confidence interval for beta
    3.30893
  • Lowerbound of 95% confidence interval for alpha
    -11.11200
  • Upperbound of 95% confidence interval for alpha
    0.56794
  • Treynor index (mean / b)
    -12.01770
  • Jensen alpha (a)
    -5.27201
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.18106
  • Expected Shortfall on VaR
    0.21791
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08353
  • Expected Shortfall on VaR
    0.17253
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.55501
  • Quartile 1
    0.98193
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.63292
  • Mean of quarter 1
    0.88912
  • Mean of quarter 2
    0.99836
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.07658
  • Inter Quartile Range
    0.01807
  • Number outliers low
    31.00000
  • Percentage of outliers low
    0.18023
  • Mean of outliers low
    0.85806
  • Number of outliers high
    22.00000
  • Percentage of outliers high
    0.12791
  • Mean of outliers high
    1.14156
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.47042
  • VaR(95%) (moments method)
    0.08558
  • Expected Shortfall (moments method)
    0.19594
  • Extreme Value Index (regression method)
    0.18740
  • VaR(95%) (regression method)
    0.10868
  • Expected Shortfall (regression method)
    0.18724
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.20860
  • Quartile 1
    0.39851
  • Median
    0.58841
  • Quartile 3
    0.77832
  • Maximum
    0.96823
  • Mean of quarter 1
    0.20860
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.96823
  • Inter Quartile Range
    0.37981
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    214
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.85159
  • Compounded annual return (geometric extrapolation)
    -0.99449
  • Calmar ratio (compounded annual return / max draw down)
    -1.02713
  • Compounded annual return / average of 25% largest draw downs
    -1.02713
  • Compounded annual return / Expected Shortfall lognormal
    -4.56381

Strategy Description

Trade this strategy at Tradier

Summary Statistics

Strategy began
2012-08-14
Suggested Minimum Capital
$10,000
# Trades
260
# Profitable
130
% Profitable
50.0%
Correlation S&P500
0.007
Sharpe Ratio
0.10
Sortino Ratio
0.14
Beta
11947.80
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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