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Interlink-2
(58439308)

Created by: BradleyAStrobel BradleyAStrobel
Started: 03/2011
Futures
Last trade: 3,892 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. 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.

7.6%
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.

(31.2%)
Max Drawdown
384
Num Trades
31.0%
Win Trades
1.3 : 1
Profit Factor
10.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011              (2.7%)+29.1%+12.9%(4.8%)+8.7%+5.1%(12.8%)+12.2%(0.4%)(2.5%)+46.2%
2012+8.5%(11.2%)+16.0%+2.1%(3.6%)+1.1%+10.2%+9.9%(8.8%)+30.2%+6.7%+3.0%+75.7%
2013(6.3%)(3.9%)(10.5%)+11.9%+4.7%(12.5%)(0.9%)+25.3%  -    -    -    -  +2.5%
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

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

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

Trading Record

This strategy has placed 63 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 4605 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/26/13 8:14 @CCZ3 COCOA LONG 20 2479 8/27 4:31 2456 1.42%
Trade id #82697862
Max drawdown($4,600)
Time8/27/13 4:31
Quant open0
Worst price2456
Drawdown as % of equity-1.42%
 ($4,760)
Includes Typical Broker Commissions trade costs of $160.00
8/8/13 5:58 QPAU3 PALLADIUM LONG 8 728.1 8/19 1:33 760.5 0.09%
Trade id #82419430
Max drawdown($240)
Time8/8/13 6:00
Quant open8
Worst price727.8
Drawdown as % of equity-0.09%
 $25,856
Includes Typical Broker Commissions trade costs of $64.00
8/14/13 22:43 @EUU3 EUROFX LONG 10 1.32980 8/15 1:33 1.32880 0.48%
Trade id #82534921
Max drawdown($1,500)
Time8/15/13 1:31
Quant open10
Worst price1.32860
Drawdown as % of equity-0.48%
 ($1,330)
Includes Typical Broker Commissions trade costs of $80.00
8/13/13 0:42 @WU3 WHEAT LONG 14 639 8/13 13:13 629 2/4 2.11%
Trade id #82485118
Max drawdown($6,650)
Time8/13/13 13:13
Quant open0
Worst price629 2/4
Drawdown as % of equity-2.11%
 ($6,762)
Includes Typical Broker Commissions trade costs of $112.00
8/7/13 11:50 @SBV3 Sugar #11 LONG 30 16.68 8/13 7:10 17.18 0.25%
Trade id #82405958
Max drawdown($672)
Time8/7/13 11:58
Quant open30
Worst price16.66
Drawdown as % of equity-0.25%
 $16,560
Includes Typical Broker Commissions trade costs of $240.00
8/8/13 8:52 @CDU3 CANADIAN DOLLAR LONG 15 0.9603 8/9 8:30 0.9669 0.11%
Trade id #82421801
Max drawdown($300)
Time8/8/13 9:18
Quant open15
Worst price0.9601
Drawdown as % of equity-0.11%
 $9,780
Includes Typical Broker Commissions trade costs of $120.00
8/5/13 10:41 @CTZ3 COTTON - #2 LONG 14 8570 8/8 9:42 8896 2.5%
Trade id #82357173
Max drawdown($5,950)
Time8/6/13 3:44
Quant open14
Worst price8485
Drawdown as % of equity-2.50%
 $22,708
Includes Typical Broker Commissions trade costs of $112.00
8/6/13 10:33 @LEV3 LIVE CATTLE LONG 20 124.950 8/7 11:53 124.900 0.9%
Trade id #82380312
Max drawdown($2,200)
Time8/6/13 14:00
Quant open20
Worst price124.675
Drawdown as % of equity-0.90%
 ($560)
Includes Typical Broker Commissions trade costs of $160.00
8/5/13 5:03 @CCU3 COCOA LONG 20 2310 8/7 10:11 2439 0.15%
Trade id #82349070
Max drawdown($400)
Time8/5/13 5:09
Quant open20
Worst price2308
Drawdown as % of equity-0.15%
 $25,640
Includes Typical Broker Commissions trade costs of $160.00
8/2/13 11:13 QPLV3 PLATINUM LONG 9 1446.0 8/5 22:45 1442.4 0.96%
Trade id #82334459
Max drawdown($2,475)
Time8/5/13 8:39
Quant open9
Worst price1440.5
Drawdown as % of equity-0.96%
 ($1,692)
Includes Typical Broker Commissions trade costs of $72.00
8/5/13 12:31 QPAU3 PALLADIUM LONG 8 737.5 8/5 22:26 729.0 2.8%
Trade id #82359756
Max drawdown($6,800)
Time8/5/13 22:26
Quant open0
Worst price729.0
Drawdown as % of equity-2.80%
 ($6,864)
Includes Typical Broker Commissions trade costs of $64.00
8/5/13 11:05 @RRU3 Rough Rice LONG 20 15.920 8/5 14:08 15.760 2.52%
Trade id #82357575
Max drawdown($6,400)
Time8/5/13 14:08
Quant open0
Worst price15.760
Drawdown as % of equity-2.52%
 ($6,560)
Includes Typical Broker Commissions trade costs of $160.00
8/2/13 9:06 QSIU3 Silver 5000 oz LONG 4 19.920 8/5 8:38 19.570 2.71%
Trade id #82330752
Max drawdown($7,000)
Time8/5/13 8:38
Quant open0
Worst price19.570
Drawdown as % of equity-2.71%
 ($7,032)
Includes Typical Broker Commissions trade costs of $32.00
8/1/13 4:04 @CCU3 COCOA LONG 18 2310 8/2 10:22 2278 2.23%
Trade id #82301054
Max drawdown($5,760)
Time8/2/13 10:22
Quant open0
Worst price2278
Drawdown as % of equity-2.23%
 ($5,904)
Includes Typical Broker Commissions trade costs of $144.00
8/1/13 11:06 @CTZ3 COTTON - #2 SHORT 14 8455 8/1 13:36 8535 2.14%
Trade id #82312199
Max drawdown($5,600)
Time8/1/13 13:36
Quant open0
Worst price8535
Drawdown as % of equity-2.14%
 ($5,712)
Includes Typical Broker Commissions trade costs of $112.00
7/30/13 12:47 @CTZ3 COTTON - #2 LONG 14 8545 8/1 10:30 8513 2.01%
Trade id #82259759
Max drawdown($5,250)
Time8/1/13 8:36
Quant open14
Worst price8470
Drawdown as % of equity-2.01%
 ($2,352)
Includes Typical Broker Commissions trade costs of $112.00
7/30/13 10:44 @GFQ3 FEEDER CATTLE SHORT 16 152.600 7/31 8:02 153.450 2.56%
Trade id #82256338
Max drawdown($6,800)
Time7/31/13 8:02
Quant open0
Worst price153.450
Drawdown as % of equity-2.56%
 ($6,928)
Includes Typical Broker Commissions trade costs of $128.00
7/26/13 11:52 @LBU3 Random Length Lumber Globex LONG 12 324.50 7/30 10:25 324.30 2.11%
Trade id #82211525
Max drawdown($5,544)
Time7/26/13 14:08
Quant open12
Worst price320.30
Drawdown as % of equity-2.11%
 ($360)
Includes Typical Broker Commissions trade costs of $96.00
7/29/13 11:48 @ADU3 AUSTRALIAN DOLLAR SHORT 10 0.9175 7/29 23:33 0.9065 0.27%
Trade id #82235256
Max drawdown($700)
Time7/29/13 12:07
Quant open-10
Worst price0.9182
Drawdown as % of equity-0.27%
 $10,920
Includes Typical Broker Commissions trade costs of $80.00
7/25/13 12:04 @CTZ3 COTTON - #2 LONG 14 8635 7/26 6:11 8540 2.5%
Trade id #82189963
Max drawdown($6,650)
Time7/26/13 6:11
Quant open0
Worst price8540
Drawdown as % of equity-2.50%
 ($6,762)
Includes Typical Broker Commissions trade costs of $112.00
7/23/13 10:03 @LEQ3 LIVE CATTLE LONG 18 122.550 7/24 12:14 122.125 2.57%
Trade id #82142008
Max drawdown($6,840)
Time7/24/13 9:18
Quant open18
Worst price121.600
Drawdown as % of equity-2.57%
 ($3,204)
Includes Typical Broker Commissions trade costs of $144.00
7/23/13 21:01 QNGU3 Natural Gas LONG 8 3.728 7/24 10:21 3.724 0.66%
Trade id #82152903
Max drawdown($1,760)
Time7/24/13 7:57
Quant open8
Worst price3.706
Drawdown as % of equity-0.66%
 ($384)
Includes Typical Broker Commissions trade costs of $64.00
7/19/13 12:54 QHGU3 Copper LONG 9 313.80 7/23 21:46 318.35 0.09%
Trade id #82081652
Max drawdown($225)
Time7/19/13 12:59
Quant open9
Worst price313.70
Drawdown as % of equity-0.09%
 $10,166
Includes Typical Broker Commissions trade costs of $72.00
7/21/13 20:07 @ADU3 AUSTRALIAN DOLLAR LONG 10 0.9188 7/23 21:30 0.9233 1.49%
Trade id #82096152
Max drawdown($3,900)
Time7/22/13 5:15
Quant open10
Worst price0.9149
Drawdown as % of equity-1.49%
 $4,420
Includes Typical Broker Commissions trade costs of $80.00
7/18/13 11:05 @CTZ3 COTTON - #2 LONG 14 8445 7/22 7:44 8596 n/a $10,458
Includes Typical Broker Commissions trade costs of $112.00
7/19/13 13:36 @CU3 CORN LONG 18 544 3/4 7/21 20:03 538 1/4 2.22%
Trade id #82082260
Max drawdown($5,850)
Time7/21/13 20:03
Quant open0
Worst price538 1/4
Drawdown as % of equity-2.22%
 ($5,994)
Includes Typical Broker Commissions trade costs of $144.00
7/19/13 7:08 @ADU3 AUSTRALIAN DOLLAR LONG 10 0.9188 7/19 10:41 0.9162 0.99%
Trade id #82074697
Max drawdown($2,600)
Time7/19/13 10:41
Quant open0
Worst price0.9162
Drawdown as % of equity-0.99%
 ($2,680)
Includes Typical Broker Commissions trade costs of $80.00
7/17/13 11:05 @HEQ3 LEAN HOGS SHORT 18 95.875 7/18 10:39 96.750 2.42%
Trade id #82038648
Max drawdown($6,300)
Time7/18/13 10:39
Quant open0
Worst price96.750
Drawdown as % of equity-2.42%
 ($6,444)
Includes Typical Broker Commissions trade costs of $144.00
7/16/13 13:39 @LEQ3 LIVE CATTLE LONG 18 122.300 7/17 10:42 121.900 1.08%
Trade id #82021363
Max drawdown($2,880)
Time7/17/13 10:42
Quant open0
Worst price121.900
Drawdown as % of equity-1.08%
 ($3,024)
Includes Typical Broker Commissions trade costs of $144.00
7/16/13 11:10 QNGQ3 Natural Gas LONG 8 3.705 7/17 10:14 3.621 2.53%
Trade id #82017880
Max drawdown($6,720)
Time7/17/13 10:14
Quant open0
Worst price3.621
Drawdown as % of equity-2.53%
 ($6,784)
Includes Typical Broker Commissions trade costs of $64.00
Next

Statistics

  • Strategy began
    3/6/2011
  • Suggested Minimum Cap
    $260,000
  • Strategy Age (days)
    4796.91
  • Age
    160 months ago
  • What it trades
    Futures
  • # Trades
    384
  • # Profitable
    119
  • % Profitable
    31.00%
  • Avg trade duration
    1.8 days
  • Max peak-to-valley drawdown
    31.21%
  • drawdown period
    Nov 26, 2012 - Aug 06, 2013
  • Annual Return (Compounded)
    7.6%
  • Avg win
    $8,080
  • Avg loss
    $2,798
  • Model Account Values (Raw)
  • Cash
    $319,960
  • Margin Used
    $0
  • Buying Power
    $319,960
  • Ratios
  • W:L ratio
    1.30:1
  • Sharpe Ratio
    0.35
  • Sortino Ratio
    0.63
  • Calmar Ratio
    0.501
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -120.28%
  • Correlation to SP500
    0.03510
  • Return Percent SP500 (cumu) during strategy life
    283.80%
  • Return Statistics
  • Ann Return (w trading costs)
    7.6%
  • Slump
  • Current Slump as Pcnt Equity
    3.40%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.81%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.076%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    9.2%
  • 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
    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
  • 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
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $2,799
  • Avg Win
    $8,081
  • Sum Trade PL (losers)
    $741,652.000
  • Age
  • Num Months filled monthly returns table
    158
  • Win / Loss
  • Sum Trade PL (winners)
    $961,610.000
  • # Winners
    119
  • Num Months Winners
    17
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    265
  • % Winners
    31.0%
  • Frequency
  • Avg Position Time (mins)
    2593.33
  • Avg Position Time (hrs)
    43.22
  • Avg Trade Length
    1.8 days
  • Last Trade Ago
    3893
  • Regression
  • Alpha
    0.02
  • Beta
    0.03
  • Treynor Index
    0.56
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    21.30
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    26.13
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.00
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    6.432
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.206
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.142
  • Hold-and-Hope Ratio
    0.151
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09892
  • SD
    0.20034
  • Sharpe ratio (Glass type estimate)
    0.49379
  • Sharpe ratio (Hedges UMVUE)
    0.49098
  • df
    132.00000
  • t
    1.64391
  • p
    0.42918
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.09884
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.08460
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10072
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.08268
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.14502
  • Upside Potential Ratio
    2.15522
  • Upside part of mean
    0.18620
  • Downside part of mean
    -0.08728
  • Upside SD
    0.18217
  • Downside SD
    0.08640
  • N nonnegative terms
    18.00000
  • N negative terms
    115.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    133.00000
  • Mean of predictor
    0.11144
  • Mean of criterion
    0.09892
  • SD of predictor
    0.17493
  • SD of criterion
    0.20034
  • Covariance
    -0.00120
  • r
    -0.03434
  • b (slope, estimate of beta)
    -0.03932
  • a (intercept, estimate of alpha)
    0.10331
  • Mean Square Error
    0.04039
  • DF error
    131.00000
  • t(b)
    -0.39324
  • p(b)
    0.52185
  • t(a)
    1.68279
  • p(a)
    0.40772
  • Lowerbound of 95% confidence interval for beta
    -0.23716
  • Upperbound of 95% confidence interval for beta
    0.15851
  • Lowerbound of 95% confidence interval for alpha
    -0.01814
  • Upperbound of 95% confidence interval for alpha
    0.22475
  • Treynor index (mean / b)
    -2.51559
  • Jensen alpha (a)
    0.10331
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08008
  • SD
    0.18858
  • Sharpe ratio (Glass type estimate)
    0.42466
  • Sharpe ratio (Hedges UMVUE)
    0.42224
  • df
    132.00000
  • t
    1.41377
  • p
    0.43893
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.16708
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.01482
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.16868
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.01317
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.86517
  • Upside Potential Ratio
    1.85000
  • Upside part of mean
    0.17124
  • Downside part of mean
    -0.09116
  • Upside SD
    0.16511
  • Downside SD
    0.09256
  • N nonnegative terms
    18.00000
  • N negative terms
    115.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    133.00000
  • Mean of predictor
    0.09499
  • Mean of criterion
    0.08008
  • SD of predictor
    0.18052
  • SD of criterion
    0.18858
  • Covariance
    -0.00097
  • r
    -0.02844
  • b (slope, estimate of beta)
    -0.02971
  • a (intercept, estimate of alpha)
    0.08291
  • Mean Square Error
    0.03581
  • DF error
    131.00000
  • t(b)
    -0.32568
  • p(b)
    0.51811
  • t(a)
    1.44197
  • p(a)
    0.42063
  • Lowerbound of 95% confidence interval for beta
    -0.21019
  • Upperbound of 95% confidence interval for beta
    0.15077
  • Lowerbound of 95% confidence interval for alpha
    -0.03083
  • Upperbound of 95% confidence interval for alpha
    0.19664
  • Treynor index (mean / b)
    -2.69522
  • Jensen alpha (a)
    0.08291
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07953
  • Expected Shortfall on VaR
    0.10005
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02316
  • Expected Shortfall on VaR
    0.04965
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    133.00000
  • Minimum
    0.84203
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.29302
  • Mean of quarter 1
    0.97939
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.06384
  • Inter Quartile Range
    0.00000
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09023
  • Mean of outliers low
    0.94161
  • Number of outliers high
    19.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    1.11088
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -9.73922
  • VaR(95%) (moments method)
    0.00009
  • Expected Shortfall (moments method)
    0.00009
  • Extreme Value Index (regression method)
    -0.24280
  • VaR(95%) (regression method)
    0.02567
  • Expected Shortfall (regression method)
    0.05866
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.01418
  • Quartile 1
    0.02626
  • Median
    0.12634
  • Quartile 3
    0.14440
  • Maximum
    0.15797
  • Mean of quarter 1
    0.01738
  • Mean of quarter 2
    0.07915
  • Mean of quarter 3
    0.13678
  • Mean of quarter 4
    0.15500
  • Inter Quartile Range
    0.11814
  • 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)
    0.20841
  • Compounded annual return (geometric extrapolation)
    0.11404
  • Calmar ratio (compounded annual return / max draw down)
    0.72188
  • Compounded annual return / average of 25% largest draw downs
    0.73574
  • Compounded annual return / Expected Shortfall lognormal
    1.13981
  • 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
    0.10405
  • SD
    0.22352
  • Sharpe ratio (Glass type estimate)
    0.46550
  • Sharpe ratio (Hedges UMVUE)
    0.46538
  • df
    2911.00000
  • t
    1.55190
  • p
    0.06040
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.12254
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.05350
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.12264
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.05340
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.81298
  • Upside Potential Ratio
    4.03652
  • Upside part of mean
    0.51661
  • Downside part of mean
    -0.41256
  • Upside SD
    0.18332
  • Downside SD
    0.12798
  • N nonnegative terms
    258.00000
  • N negative terms
    2654.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2912.00000
  • Mean of predictor
    0.10998
  • Mean of criterion
    0.10405
  • SD of predictor
    0.18748
  • SD of criterion
    0.22352
  • Covariance
    0.00140
  • r
    0.03345
  • b (slope, estimate of beta)
    0.03988
  • a (intercept, estimate of alpha)
    0.10000
  • Mean Square Error
    0.04992
  • DF error
    2910.00000
  • t(b)
    1.80568
  • p(b)
    0.03554
  • t(a)
    1.48607
  • p(a)
    0.06868
  • Lowerbound of 95% confidence interval for beta
    -0.00343
  • Upperbound of 95% confidence interval for beta
    0.08319
  • Lowerbound of 95% confidence interval for alpha
    -0.03184
  • Upperbound of 95% confidence interval for alpha
    0.23116
  • Treynor index (mean / b)
    2.60874
  • Jensen alpha (a)
    0.09966
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07978
  • SD
    0.21907
  • Sharpe ratio (Glass type estimate)
    0.36419
  • Sharpe ratio (Hedges UMVUE)
    0.36409
  • df
    2911.00000
  • t
    1.21415
  • p
    0.11239
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22381
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.95214
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22388
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.95207
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.58359
  • Upside Potential Ratio
    3.66642
  • Upside part of mean
    0.50123
  • Downside part of mean
    -0.42145
  • Upside SD
    0.17120
  • Downside SD
    0.13671
  • N nonnegative terms
    258.00000
  • N negative terms
    2654.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2912.00000
  • Mean of predictor
    0.09234
  • Mean of criterion
    0.07978
  • SD of predictor
    0.18791
  • SD of criterion
    0.21907
  • Covariance
    0.00137
  • r
    0.03340
  • b (slope, estimate of beta)
    0.03893
  • a (intercept, estimate of alpha)
    0.07619
  • Mean Square Error
    0.04795
  • DF error
    2910.00000
  • t(b)
    1.80265
  • p(b)
    0.03577
  • t(a)
    1.15935
  • p(a)
    0.12320
  • Lowerbound of 95% confidence interval for beta
    -0.00342
  • Upperbound of 95% confidence interval for beta
    0.08128
  • Lowerbound of 95% confidence interval for alpha
    -0.05267
  • Upperbound of 95% confidence interval for alpha
    0.20504
  • Treynor index (mean / b)
    2.04910
  • Jensen alpha (a)
    0.07619
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02172
  • Expected Shortfall on VaR
    0.02722
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00517
  • Expected Shortfall on VaR
    0.01150
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2912.00000
  • Minimum
    0.78148
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.28558
  • Mean of quarter 1
    0.99409
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00792
  • Inter Quartile Range
    0.00000
  • Number outliers low
    278.00000
  • Percentage of outliers low
    0.09547
  • Mean of outliers low
    0.98452
  • Number of outliers high
    258.00000
  • Percentage of outliers high
    0.08860
  • Mean of outliers high
    1.02236
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.91796
  • VaR(95%) (moments method)
    0.00299
  • Expected Shortfall (moments method)
    0.00435
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    31.00000
  • Minimum
    0.00035
  • Quartile 1
    0.01606
  • Median
    0.03900
  • Quartile 3
    0.11126
  • Maximum
    0.22707
  • Mean of quarter 1
    0.00843
  • Mean of quarter 2
    0.02653
  • Mean of quarter 3
    0.07273
  • Mean of quarter 4
    0.17366
  • Inter Quartile Range
    0.09521
  • 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)
    -1.53928
  • VaR(95%) (moments method)
    0.19068
  • Expected Shortfall (moments method)
    0.19555
  • Extreme Value Index (regression method)
    -0.68981
  • VaR(95%) (regression method)
    0.18439
  • Expected Shortfall (regression method)
    0.19792
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.20782
  • Compounded annual return (geometric extrapolation)
    0.11370
  • Calmar ratio (compounded annual return / max draw down)
    0.50072
  • Compounded annual return / average of 25% largest draw downs
    0.65473
  • Compounded annual return / Expected Shortfall lognormal
    4.17677
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.29622
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.12009
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.28888
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.11996
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6791280000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.02200
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -529691000000000042285617463164928.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -370106000
  • Max Equity Drawdown (num days)
    253
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Interlink-2 is a continuation of the now defunct Interlink Trading. The recent inclusion of the new subscription fee regulation within the performance graph skewered the data into negative territory. As equity accumulated from 100,000 to 1,300,000 the program was rescaled to 10,000 where current equity traded would be 130,000. However,
with this program, as risk capital goes down, in order find the correct position size, the risk taken on a percentage basis per position must go up and subsequently, the profitability of the program. The new regulation has made rescaling down to a level where, if percentage risk per position has go up, it becomes a gross misrepresentation of performance because the rescaling does not keep the same profitable percentages. For this reason, the new regulation has forced the termination of Interlink Trading. For more information, please contact me via private message.

Summary Statistics

Strategy began
2011-03-06
Suggested Minimum Capital
$260,000
# Trades
384
# Profitable
119
% Profitable
31.0%
Correlation S&P500
0.035
Sharpe Ratio
0.35
Sortino Ratio
0.63
Beta
0.03
Alpha
0.02

Latest Activity

#PERSONNAME#
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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This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.