Collective2 Collective2
Featured Strategy Income Trades Followed by live capital $54,700 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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My profit system
(90440527)

Created by: ViktorK ViktorK
Started: 10/2014
Stocks
Last trade: 3,198 days ago
Subscriptions not currently available.

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 $32.00 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.

-10.5%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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
88
Num Trades
55.7%
Win Trades
2.3 : 1
Profit Factor
56.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014                                                               +8.5%+1.2%+4.2%+14.4%
2015+0.6%+6.7%(5%)+2.8%+2.7%(13.2%)(5%)(8%)+0.1%+4.7%(3.1%)(3%)(19.6%)
2016(2.3%)(2.6%)+10.6%(1.9%)(4%)+5.4%+2.6%+0.6%(1.4%)(1.2%)+1.0%+6.5%+13.2%
2017+2.2%+5.7%+0.9%+0.1%(2%)+2.7%(0.5%)(2.1%)+1.0%+2.4%+0.2%(1.1%)+9.5%
2018+0.2%(4.9%)+0.7%(3.4%)+1.2%+0.8%(6.8%)+3.5%+0.2%(4.4%)+11.6%(7.8%)(10.1%)
2019+5.7%+2.4%(0.1%)+1.8%  -    -  (3.2%)+3.3%(0.8%)(3.7%)+4.5%+8.7%
2020+4.1%(9.1%)  -  (25.4%)+12.7%+3.5%+0.3%+2.5%+12.8%(2.3%)(3.6%)
2021(1.5%)+0.6%+11.6%+2.4%+2.5%(2.8%)(3.2%)(0.9%)(2.4%)+2.4%+0.4%(1.4%)+7.1%
2022+9.8%(0.5%)+11.1%  -  (7.9%)(2%)+4.0%+3.3%(6.2%)+3.5%(1.5%)+3.0%+16.2%
2023(1.3%)(0.9%)  -  +6.0%(3.4%)+4.4%+1.7%(4.7%)(0.5%)+1.4%+2.3%+5.1%+9.8%
2024(5.8%)+1.0%+4.6%+0.7%                                                

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 168 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/22/15 11:14 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 1,800 97.39 8/3 15:22 83.75 35.67%
Trade id #95332356
Max drawdown($33,876)
Time7/28/15 9:51
Quant open1,800
Worst price78.57
Drawdown as % of equity-35.67%
 ($24,573)
Includes Typical Broker Commissions trade costs of $20.50
6/22/15 11:17 QQQ POWERSHARES QQQ LONG 500 110.97 7/17 14:25 109.80 1.52%
Trade id #95332428
Max drawdown($1,735)
Time6/29/15 13:14
Quant open500
Worst price107.50
Drawdown as % of equity-1.52%
 ($593)
Includes Typical Broker Commissions trade costs of $10.00
5/26/15 9:32 TNA DIREXION DAILY SMALL CAP BULL 3X SHORT 600 87.48 5/26 11:15 85.49 0.22%
Trade id #94617293
Max drawdown($270)
Time5/26/15 9:34
Quant open-500
Worst price88.27
Drawdown as % of equity-0.22%
 $1,184
Includes Typical Broker Commissions trade costs of $8.50
5/4/15 9:39 AMKR AMKOR TECHNOLOGY LONG 700 7.18 5/22 9:57 6.77 0.37%
Trade id #94215793
Max drawdown($427)
Time5/7/15 9:36
Quant open700
Worst price6.57
Drawdown as % of equity-0.37%
 ($292)
Includes Typical Broker Commissions trade costs of $5.00
5/18/15 9:34 CCO CLEAR CHANNEL OUTDOOR LONG 400 11.23 5/22 9:57 11.25 0.08%
Trade id #94475546
Max drawdown($96)
Time5/18/15 9:49
Quant open400
Worst price10.99
Drawdown as % of equity-0.08%
 $0
Includes Typical Broker Commissions trade costs of $8.00
5/11/15 9:36 DNR DENBURY RESOURCES LONG 700 7.64 5/22 9:57 7.55 0.35%
Trade id #94345381
Max drawdown($427)
Time5/18/15 11:18
Quant open700
Worst price7.03
Drawdown as % of equity-0.35%
 ($68)
Includes Typical Broker Commissions trade costs of $5.00
5/18/15 9:30 EXXI ENERGY XXI GULF COAST INC. COMMON STOCK LONG 1,300 3.60 5/22 9:57 3.51 0.33%
Trade id #94475148
Max drawdown($403)
Time5/20/15 10:47
Quant open1,300
Worst price3.29
Drawdown as % of equity-0.33%
 ($122)
Includes Typical Broker Commissions trade costs of $5.00
5/11/15 9:37 FCH FELCOR LODGING TRUST LONG 500 10.96 5/22 9:56 10.97 0.13%
Trade id #94345428
Max drawdown($155)
Time5/12/15 10:13
Quant open500
Worst price10.65
Drawdown as % of equity-0.13%
 ($5)
Includes Typical Broker Commissions trade costs of $10.00
5/5/15 9:31 GM GENERAL MOTORS LONG 150 35.37 5/22 9:56 35.58 0.11%
Trade id #94246686
Max drawdown($129)
Time5/12/15 9:45
Quant open150
Worst price34.51
Drawdown as % of equity-0.11%
 $29
Includes Typical Broker Commissions trade costs of $3.00
5/4/15 9:40 HIG HARTFORD FINANCIAL LONG 120 41.29 5/22 9:56 42.05 0.08%
Trade id #94215915
Max drawdown($100)
Time5/19/15 6:51
Quant open120
Worst price40.45
Drawdown as % of equity-0.08%
 $89
Includes Typical Broker Commissions trade costs of $2.40
5/4/15 9:41 HIW HIGHWOODS PROPERTIES LONG 120 43.37 5/22 9:56 42.74 0.19%
Trade id #94215940
Max drawdown($229)
Time5/12/15 10:02
Quant open120
Worst price41.46
Drawdown as % of equity-0.19%
 ($78)
Includes Typical Broker Commissions trade costs of $2.40
5/18/15 9:31 LNDC LANDEC LONG 400 14.43 5/22 9:55 14.24 0.11%
Trade id #94475269
Max drawdown($136)
Time5/18/15 10:03
Quant open400
Worst price14.09
Drawdown as % of equity-0.11%
 ($84)
Includes Typical Broker Commissions trade costs of $8.00
5/5/15 9:30 MOV MOVADO GROUP LONG 200 29.48 5/22 9:55 28.25 0.4%
Trade id #94246492
Max drawdown($469)
Time5/6/15 10:35
Quant open200
Worst price27.14
Drawdown as % of equity-0.40%
 ($250)
Includes Typical Broker Commissions trade costs of $4.00
5/18/15 9:31 PICO PICO HOLDINGS LONG 300 17.36 5/22 9:55 16.76 0.16%
Trade id #94475391
Max drawdown($198)
Time5/21/15 11:04
Quant open300
Worst price16.70
Drawdown as % of equity-0.16%
 ($186)
Includes Typical Broker Commissions trade costs of $6.00
5/11/15 9:37 QEP QEP RESOURCES LONG 200 21.30 5/22 9:55 19.75 0.37%
Trade id #94345448
Max drawdown($452)
Time5/20/15 11:32
Quant open200
Worst price19.04
Drawdown as % of equity-0.37%
 ($314)
Includes Typical Broker Commissions trade costs of $4.00
5/5/15 9:33 QQQ POWERSHARES QQQ LONG 500 108.90 5/22 9:54 110.64 1.33%
Trade id #94246910
Max drawdown($1,550)
Time5/7/15 5:18
Quant open500
Worst price105.80
Drawdown as % of equity-1.33%
 $860
Includes Typical Broker Commissions trade costs of $10.00
5/5/15 9:36 SPY SPDR S&P 500 LONG 200 211.38 5/22 9:54 213.18 0.87%
Trade id #94247084
Max drawdown($1,014)
Time5/7/15 5:18
Quant open200
Worst price206.31
Drawdown as % of equity-0.87%
 $356
Includes Typical Broker Commissions trade costs of $4.00
5/18/15 9:32 SZYM SOLAZYME LONG 1,500 3.34 5/22 9:54 3.12 0.3%
Trade id #94475456
Max drawdown($375)
Time5/21/15 14:04
Quant open1,500
Worst price3.09
Drawdown as % of equity-0.30%
 ($335)
Includes Typical Broker Commissions trade costs of $5.00
5/5/15 9:37 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 500 85.49 5/22 9:53 90.25 1.24%
Trade id #94247116
Max drawdown($1,446)
Time5/6/15 14:42
Quant open300
Worst price80.59
Drawdown as % of equity-1.24%
 $2,371
Includes Typical Broker Commissions trade costs of $10.00
5/4/15 10:20 ZIOP ZIOPHARM ONCOLOGY LONG 500 9.82 5/22 9:53 9.37 0.33%
Trade id #94217442
Max drawdown($405)
Time5/18/15 9:34
Quant open500
Worst price9.01
Drawdown as % of equity-0.33%
 ($235)
Includes Typical Broker Commissions trade costs of $10.00
5/18/15 9:33 WTI W&T OFFSHORE LONG 800 5.67 5/22 9:53 5.48 0.4%
Trade id #94475499
Max drawdown($496)
Time5/20/15 11:33
Quant open800
Worst price5.05
Drawdown as % of equity-0.40%
 ($157)
Includes Typical Broker Commissions trade costs of $5.00
5/4/15 10:09 VSTM VERASTEM LONG 1,200 8.54 5/22 9:52 8.46 0.67%
Trade id #94217081
Max drawdown($804)
Time5/12/15 10:22
Quant open600
Worst price7.53
Drawdown as % of equity-0.67%
 ($104)
Includes Typical Broker Commissions trade costs of $7.50
5/11/15 9:36 FBHS FORTUNE BRANDS HOME LONG 100 44.76 5/19 12:10 45.85 0.08%
Trade id #94345413
Max drawdown($92)
Time5/12/15 10:37
Quant open100
Worst price43.84
Drawdown as % of equity-0.08%
 $107
Includes Typical Broker Commissions trade costs of $2.00
5/5/15 9:31 RPTP RAPTOR PHARMACEUTICAL LONG 500 9.70 5/15 15:24 11.31 0.12%
Trade id #94246794
Max drawdown($142)
Time5/5/15 13:37
Quant open500
Worst price9.41
Drawdown as % of equity-0.12%
 $795
Includes Typical Broker Commissions trade costs of $10.00
5/4/15 9:40 GCA GLOBAL CASH ACCESS LONG 700 7.37 5/15 15:23 7.93 0.04%
Trade id #94215872
Max drawdown($49)
Time5/5/15 15:55
Quant open700
Worst price7.30
Drawdown as % of equity-0.04%
 $387
Includes Typical Broker Commissions trade costs of $5.00
5/5/15 9:31 TTGT TECHTARGET LONG 500 10.72 5/14 9:44 9.54 0.96%
Trade id #94246614
Max drawdown($1,120)
Time5/7/15 9:31
Quant open500
Worst price8.48
Drawdown as % of equity-0.96%
 ($600)
Includes Typical Broker Commissions trade costs of $10.00
4/28/15 10:09 XIV VELOCITYSHARES DAILY INVERSE V SHORT 2,200 39.89 4/30 13:44 40.05 4.63%
Trade id #94112538
Max drawdown($5,269)
Time4/28/15 16:15
Quant open-2,200
Worst price42.29
Drawdown as % of equity-4.63%
 ($366)
Includes Typical Broker Commissions trade costs of $24.50
4/28/15 10:10 TZA DIREXION DAILY SMALL CAP BEAR LONG 1,125 40.62 4/30 13:44 42.12 1.31%
Trade id #94112574
Max drawdown($1,568)
Time4/28/15 12:28
Quant open4,300
Worst price9.80
Drawdown as % of equity-1.31%
 $1,675
Includes Typical Broker Commissions trade costs of $13.75
4/9/15 11:45 XIV VELOCITYSHARES DAILY INVERSE V SHORT 400 37.13 4/14 10:08 38.18 1.23%
Trade id #93767805
Max drawdown($1,452)
Time4/13/15 9:47
Quant open-400
Worst price40.76
Drawdown as % of equity-1.23%
 ($429)
Includes Typical Broker Commissions trade costs of $8.00
4/9/15 11:44 TNA DIREXION DAILY SMALL CAP BULL 3X SHORT 500 89.92 4/14 10:08 90.88 1.74%
Trade id #93767774
Max drawdown($2,052)
Time4/13/15 11:28
Quant open-500
Worst price94.02
Drawdown as % of equity-1.74%
 ($492)
Includes Typical Broker Commissions trade costs of $10.00
Next

Statistics

  • Strategy began
    10/26/2014
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    3481
  • Age
    116 months ago
  • What it trades
    Stocks
  • # Trades
    88
  • # Profitable
    49
  • % Profitable
    55.70%
  • Avg trade duration
    564.9 days
  • Max peak-to-valley drawdown
    %
  • drawdown period
    Dec , - Dec ,
  • Cumul. Return
    -9.2%
  • Avg win
    $1,966
  • Avg loss
    $1,880
  • Model Account Values (Raw)
  • Cash
    $96,849
  • Margin Used
    $59,902
  • Buying Power
    $68,666
  • Ratios
  • W:L ratio
    2.34:1
  • Sharpe Ratio
    0.18
  • Sortino Ratio
    0.25
  • Calmar Ratio
    0.638
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -7.02%
  • Correlation to SP500
    0.45850
  • Return Percent SP500 (cumu) during strategy life
    165.84%
  • Return Statistics
  • Ann Return (w trading costs)
    -10.5%
  • Slump
  • Current Slump as Pcnt Equity
    0.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.092%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    4.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    6.67%
  • 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)
    520
  • 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
    $1,883
  • Avg Win
    $1,931
  • Sum Trade PL (losers)
    $73,424.000
  • Age
  • Num Months filled monthly returns table
    115
  • Win / Loss
  • Sum Trade PL (winners)
    $94,632.000
  • # Winners
    49
  • Num Months Winners
    64
  • Dividends
  • Dividends Received in Model Acct
    30120
  • Win / Loss
  • # Losers
    39
  • % Winners
    55.7%
  • Frequency
  • Avg Position Time (mins)
    1212620.00
  • Avg Position Time (hrs)
    20210.30
  • Avg Trade Length
    842.1 days
  • Last Trade Ago
    3193
  • Regression
  • Alpha
    -0.00
  • Beta
    0.53
  • Treynor Index
    0.02
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    89.12
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    58.18
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    3.45
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    7.449
  • 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
    0.07
  • Avg(MAE) / Avg(PL) - Winning trades
    0.777
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.110
  • Hold-and-Hope Ratio
    0.140
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02777
  • SD
    0.21876
  • Sharpe ratio (Glass type estimate)
    0.12692
  • Sharpe ratio (Hedges UMVUE)
    0.11599
  • df
    9.00000
  • t
    0.11586
  • p
    0.45515
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.02429
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.27129
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.03171
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.26369
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.17226
  • Upside Potential Ratio
    1.89737
  • Upside part of mean
    0.30582
  • Downside part of mean
    -0.27805
  • Upside SD
    0.13098
  • Downside SD
    0.16118
  • N nonnegative terms
    6.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.06060
  • Mean of criterion
    0.02777
  • SD of predictor
    0.06926
  • SD of criterion
    0.21876
  • Covariance
    0.00961
  • r
    0.63393
  • b (slope, estimate of beta)
    2.00221
  • a (intercept, estimate of alpha)
    -0.09357
  • Mean Square Error
    0.03220
  • DF error
    8.00000
  • t(b)
    2.31841
  • p(b)
    0.02452
  • t(a)
    -0.45999
  • p(a)
    0.67112
  • Lowerbound of 95% confidence interval for beta
    0.01071
  • Upperbound of 95% confidence interval for beta
    3.99370
  • Lowerbound of 95% confidence interval for alpha
    -0.56267
  • Upperbound of 95% confidence interval for alpha
    0.37552
  • Treynor index (mean / b)
    0.01387
  • Jensen alpha (a)
    -0.09357
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00560
  • SD
    0.22355
  • Sharpe ratio (Glass type estimate)
    0.02504
  • Sharpe ratio (Hedges UMVUE)
    0.02288
  • df
    9.00000
  • t
    0.02285
  • p
    0.49113
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.12271
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17142
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.12418
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.16994
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.03290
  • Upside Potential Ratio
    1.74810
  • Upside part of mean
    0.29737
  • Downside part of mean
    -0.29177
  • Upside SD
    0.12666
  • Downside SD
    0.17011
  • N nonnegative terms
    6.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.05830
  • Mean of criterion
    0.00560
  • SD of predictor
    0.06804
  • SD of criterion
    0.22355
  • Covariance
    0.00942
  • r
    0.61930
  • b (slope, estimate of beta)
    2.03487
  • a (intercept, estimate of alpha)
    -0.11304
  • Mean Square Error
    0.03466
  • DF error
    8.00000
  • t(b)
    2.23099
  • p(b)
    0.02811
  • t(a)
    -0.53635
  • p(a)
    0.69685
  • Lowerbound of 95% confidence interval for beta
    -0.06843
  • Upperbound of 95% confidence interval for beta
    4.13816
  • Lowerbound of 95% confidence interval for alpha
    -0.59903
  • Upperbound of 95% confidence interval for alpha
    0.37296
  • Treynor index (mean / b)
    0.00275
  • Jensen alpha (a)
    -0.11304
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10029
  • Expected Shortfall on VaR
    0.12398
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04631
  • Expected Shortfall on VaR
    0.09283
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.88050
  • Quartile 1
    0.97615
  • Median
    1.02133
  • Quartile 3
    1.04378
  • Maximum
    1.08943
  • Mean of quarter 1
    0.92378
  • Mean of quarter 2
    1.00704
  • Mean of quarter 3
    1.02910
  • Mean of quarter 4
    1.06261
  • Inter Quartile Range
    0.06763
  • 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)
    -11.19330
  • VaR(95%) (moments method)
    0.07021
  • Expected Shortfall (moments method)
    0.07021
  • Extreme Value Index (regression method)
    -1.10359
  • VaR(95%) (regression method)
    0.14075
  • Expected Shortfall (regression method)
    0.15113
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.03189
  • Quartile 1
    0.07080
  • Median
    0.10971
  • Quartile 3
    0.14862
  • Maximum
    0.18753
  • Mean of quarter 1
    0.03189
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.18753
  • Inter Quartile Range
    0.07782
  • 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)
    0.01565
  • Compounded annual return (geometric extrapolation)
    0.01567
  • Calmar ratio (compounded annual return / max draw down)
    0.08355
  • Compounded annual return / average of 25% largest draw downs
    0.08355
  • Compounded annual return / Expected Shortfall lognormal
    0.12638
  • 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
    -0.07064
  • SD
    0.23857
  • Sharpe ratio (Glass type estimate)
    -0.29607
  • Sharpe ratio (Hedges UMVUE)
    -0.29535
  • df
    305.00000
  • t
    -0.27924
  • p
    0.60988
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.37407
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.78240
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.37358
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.78289
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.38426
  • Upside Potential Ratio
    6.32766
  • Upside part of mean
    1.16315
  • Downside part of mean
    -1.23379
  • Upside SD
    0.15151
  • Downside SD
    0.18382
  • N nonnegative terms
    104.00000
  • N negative terms
    202.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    306.00000
  • Mean of predictor
    -0.02526
  • Mean of criterion
    -0.07064
  • SD of predictor
    0.14254
  • SD of criterion
    0.23857
  • Covariance
    0.01461
  • r
    0.42960
  • b (slope, estimate of beta)
    0.71903
  • a (intercept, estimate of alpha)
    -0.05200
  • Mean Square Error
    0.04657
  • DF error
    304.00000
  • t(b)
    8.29465
  • p(b)
    0.00000
  • t(a)
    -0.22932
  • p(a)
    0.59061
  • Lowerbound of 95% confidence interval for beta
    0.54845
  • Upperbound of 95% confidence interval for beta
    0.88961
  • Lowerbound of 95% confidence interval for alpha
    -0.50272
  • Upperbound of 95% confidence interval for alpha
    0.39778
  • Treynor index (mean / b)
    -0.09824
  • Jensen alpha (a)
    -0.05247
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.09932
  • SD
    0.24056
  • Sharpe ratio (Glass type estimate)
    -0.41287
  • Sharpe ratio (Hedges UMVUE)
    -0.41186
  • df
    305.00000
  • t
    -0.38940
  • p
    0.65138
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.49094
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.66578
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.49021
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66650
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.52813
  • Upside Potential Ratio
    6.12487
  • Upside part of mean
    1.15185
  • Downside part of mean
    -1.25117
  • Upside SD
    0.14947
  • Downside SD
    0.18806
  • N nonnegative terms
    104.00000
  • N negative terms
    202.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    306.00000
  • Mean of predictor
    -0.03541
  • Mean of criterion
    -0.09932
  • SD of predictor
    0.14274
  • SD of criterion
    0.24056
  • Covariance
    0.01474
  • r
    0.42935
  • b (slope, estimate of beta)
    0.72360
  • a (intercept, estimate of alpha)
    -0.07370
  • Mean Square Error
    0.04736
  • DF error
    304.00000
  • t(b)
    8.28891
  • p(b)
    0.00000
  • t(a)
    -0.31938
  • p(a)
    0.62517
  • Lowerbound of 95% confidence interval for beta
    0.55182
  • Upperbound of 95% confidence interval for beta
    0.89539
  • Lowerbound of 95% confidence interval for alpha
    -0.52777
  • Upperbound of 95% confidence interval for alpha
    0.38037
  • Treynor index (mean / b)
    -0.13726
  • Jensen alpha (a)
    -0.07370
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02139
  • Expected Shortfall on VaR
    0.02667
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00968
  • Expected Shortfall on VaR
    0.02041
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    306.00000
  • Minimum
    0.92349
  • Quartile 1
    0.99864
  • Median
    1.00000
  • Quartile 3
    1.00280
  • Maximum
    1.04479
  • Mean of quarter 1
    0.98596
  • Mean of quarter 2
    0.99986
  • Mean of quarter 3
    1.00052
  • Mean of quarter 4
    1.01296
  • Inter Quartile Range
    0.00417
  • Number outliers low
    44.00000
  • Percentage of outliers low
    0.14379
  • Mean of outliers low
    0.97872
  • Number of outliers high
    43.00000
  • Percentage of outliers high
    0.14052
  • Mean of outliers high
    1.01884
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.18366
  • VaR(95%) (moments method)
    0.00645
  • Expected Shortfall (moments method)
    0.01090
  • Extreme Value Index (regression method)
    0.10491
  • VaR(95%) (regression method)
    0.01291
  • Expected Shortfall (regression method)
    0.02157
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00153
  • Quartile 1
    0.00296
  • Median
    0.00595
  • Quartile 3
    0.04552
  • Maximum
    0.26072
  • Mean of quarter 1
    0.00212
  • Mean of quarter 2
    0.00477
  • Mean of quarter 3
    0.04205
  • Mean of quarter 4
    0.13264
  • Inter Quartile Range
    0.04256
  • 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
    0.26072
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.99802
  • VaR(95%) (moments method)
    0.12633
  • Expected Shortfall (moments method)
    0.14168
  • Extreme Value Index (regression method)
    0.88045
  • VaR(95%) (regression method)
    0.27383
  • Expected Shortfall (regression method)
    2.49221
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.08591
  • Compounded annual return (geometric extrapolation)
    -0.08549
  • Calmar ratio (compounded annual return / max draw down)
    -0.32791
  • Compounded annual return / average of 25% largest draw downs
    -0.64454
  • Compounded annual return / Expected Shortfall lognormal
    -3.20576
  • 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
    -0.44071
  • SD
    0.28599
  • Sharpe ratio (Glass type estimate)
    -1.54098
  • Sharpe ratio (Hedges UMVUE)
    -1.53421
  • df
    171.00000
  • t
    -1.08964
  • p
    0.55280
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.31538
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.23785
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.31078
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.24236
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.88812
  • Upside Potential Ratio
    5.52553
  • Upside part of mean
    1.28972
  • Downside part of mean
    -1.73042
  • Upside SD
    0.16553
  • Downside SD
    0.23341
  • N nonnegative terms
    54.00000
  • N negative terms
    118.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    -0.11814
  • Mean of criterion
    -0.44071
  • SD of predictor
    0.15511
  • SD of criterion
    0.28599
  • Covariance
    0.02022
  • r
    0.45593
  • b (slope, estimate of beta)
    0.84067
  • a (intercept, estimate of alpha)
    -0.34139
  • Mean Square Error
    0.06517
  • DF error
    170.00000
  • t(b)
    6.67926
  • p(b)
    0.27203
  • t(a)
    -0.94481
  • p(a)
    0.53614
  • Lowerbound of 95% confidence interval for beta
    0.59222
  • Upperbound of 95% confidence interval for beta
    1.08912
  • Lowerbound of 95% confidence interval for alpha
    -1.05466
  • Upperbound of 95% confidence interval for alpha
    0.37189
  • Treynor index (mean / b)
    -0.52423
  • Jensen alpha (a)
    -0.34139
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.48227
  • SD
    0.28919
  • Sharpe ratio (Glass type estimate)
    -1.66765
  • Sharpe ratio (Hedges UMVUE)
    -1.66033
  • df
    171.00000
  • t
    -1.17921
  • p
    0.55710
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.44266
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.11210
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.43772
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.11706
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.01649
  • Upside Potential Ratio
    5.33628
  • Upside part of mean
    1.27624
  • Downside part of mean
    -1.75851
  • Upside SD
    0.16316
  • Downside SD
    0.23916
  • N nonnegative terms
    54.00000
  • N negative terms
    118.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    -0.13016
  • Mean of criterion
    -0.48227
  • SD of predictor
    0.15549
  • SD of criterion
    0.28919
  • Covariance
    0.02051
  • r
    0.45602
  • b (slope, estimate of beta)
    0.84812
  • a (intercept, estimate of alpha)
    -0.37188
  • Mean Square Error
    0.06663
  • DF error
    170.00000
  • t(b)
    6.68080
  • p(b)
    0.27199
  • t(a)
    -1.01768
  • p(a)
    0.53891
  • VAR (95 Confidence Intrvl)
    0.03700
  • Lowerbound of 95% confidence interval for beta
    0.59752
  • Upperbound of 95% confidence interval for beta
    1.09871
  • Lowerbound of 95% confidence interval for alpha
    -1.09323
  • Upperbound of 95% confidence interval for alpha
    0.34947
  • Treynor index (mean / b)
    -0.56864
  • Jensen alpha (a)
    -0.37188
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02669
  • Expected Shortfall on VaR
    0.03299
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01396
  • Expected Shortfall on VaR
    0.02848
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.92349
  • Quartile 1
    0.99711
  • Median
    1.00000
  • Quartile 3
    1.00451
  • Maximum
    1.04479
  • Mean of quarter 1
    0.98050
  • Mean of quarter 2
    0.99946
  • Mean of quarter 3
    1.00057
  • Mean of quarter 4
    1.01446
  • Inter Quartile Range
    0.00740
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.15116
  • Mean of outliers low
    0.97315
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.07558
  • Mean of outliers high
    1.02796
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.38334
  • VaR(95%) (moments method)
    0.01176
  • Expected Shortfall (moments method)
    0.01454
  • Extreme Value Index (regression method)
    0.10605
  • VaR(95%) (regression method)
    0.01806
  • Expected Shortfall (regression method)
    0.02923
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00062
  • Quartile 1
    0.00074
  • Median
    0.00334
  • Quartile 3
    0.08787
  • Maximum
    0.26072
  • Mean of quarter 1
    0.00068
  • Mean of quarter 2
    0.00334
  • Mean of quarter 3
    0.08787
  • Mean of quarter 4
    0.26072
  • Inter Quartile Range
    0.08713
  • 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
    0.20000
  • Mean of outliers high
    0.26072
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    63
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.42069
  • Compounded annual return (geometric extrapolation)
    -0.37645
  • Calmar ratio (compounded annual return / max draw down)
    -1.44386
  • Compounded annual return / average of 25% largest draw downs
    -1.44386
  • Compounded annual return / Expected Shortfall lognormal
    -11.41060

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2014-10-26
Suggested Minimum Capital
$25,000
# Trades
88
# Profitable
49
% Profitable
55.7%
Net Dividends
$30,102
Correlation S&P500
0.459
Sharpe Ratio
0.18
Sortino Ratio
0.25
Beta
0.53
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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