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Free AutoTradeJan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2010  +66.3%  +99.9%  (8.9%)  (8.4%)  (23.9%)  +1.0%  (11.7%)  +88.1%  
2011  (45.6%)  (26.1%)  (79.7%)  (152.3%)                  (104.3%) 
2012                          0.0 
2013                          0.0 
2014                  (0.2%)         
2015                          0.0 
2016                    0.0 
Model Account Details
Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.
Started  $20,000  
Buy Power  $8,473  
Cash  $1  
Equity  $1  
Cumulative $  ($11,526)  
Total System Equity  $8,473  
Margined  $1  
Open P/L  $0  
Data has been delayed by 111 hours for nonsubscribers 
System developer has asked us to delay this information by 111 hours.
Open positions are hidden from nonsubscribers.

Trading Record 

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Statistics
 Strategy began6/15/2010
 Starting Unit Size$20,000
 Strategy Age (days)2295.41
 Age77 months ago
 What it tradesFutures
 # Trades390
 # Profitable165
 % Profitable42.30%
 Avg trade duration2.1 days
 Max peaktovalley drawdown100%
 drawdown periodApril 07, 2011  April 08, 2011
 Annual Return (Compounded)0.0%
 Avg win$969.55
 Avg loss$762.22
 Model Account Values (Raw)
 Cash$8,473
 Margin Used$0
 Buying Power$8,473
 Ratios
 W:L ratio0.93:1
 Sharpe Ratio0.659
 Sortino Ratio0.86
 Calmar Ratio0.292
 Daily Change
 Open PL$0.00
 Open PL (start day)$0.00
 Open PL Change $$0.00
 Open PL Change %n/a
 Close PL($11,526)
 Closed PL (start day)($11,526)
 Closed PL Change $($0.15)
 Closed PL Change %n/a
 Equity$8,473
 Equity (start day)$8,474
 Equity Change $($0.15)
 Equity Change %n/a
 Return Statistics
 Ann Return (w trading costs)n/a
 Ann Return (Compnd, No Fees)12.8%
 Risk of Ruin (MonteCarlo)
 Chance of 10% account loss100.00%
 Chance of 20% account loss100.00%
 Chance of 30% account loss100.00%
 Chance of 40% account loss100.00%
 Chance of 50% account loss100.00%
 Popularity
 Popularity (Today)0
 Popularity (Last 6 weeks)0
 TradesOwnSystem Certification
 Trades Own System?0
 TOS percentn/a
 Subscription Price
 Billing Period (days)30
 Trial Days4
 Win / Loss
 Avg Loss$762
 Avg Win$970
 # Winners165
 # Losers225
 % Winners42.3%
 Frequency
 Avg Position Time (mins)3002.63
 Avg Position Time (hrs)50.04
 Avg Trade Length2.1 days
 Last Trade Ago1998
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio
 Mean0.02924
 SD0.95805
 Sharpe ratio (Glass type estimate)0.03052
 Sharpe ratio (Hedges UMVUE)0.02982
 df33.00000
 t0.05138
 p0.47967
 Lowerbound of 95% confidence interval for Sharpe Ratio1.13409
 Upperbound of 95% confidence interval for Sharpe Ratio1.19474
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.13459
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.19424
 Statistics related to Sortino ratio
 Sortino ratio0.06392
 Upside Potential Ratio1.43172
 Upside part of mean0.65502
 Downside part of mean0.62578
 Upside SD0.82561
 Downside SD0.45751
 N nonnegative terms3.00000
 N negative terms31.00000
 Statistics related to linear regression on benchmark
 N of observations34.00000
 Mean of predictor0.23944
 Mean of criterion0.02924
 SD of predictor0.17466
 SD of criterion0.95805
 Covariance0.02467
 r0.14740
 b (slope, estimate of beta)0.80852
 a (intercept, estimate of alpha)0.22283
 Mean Square Error0.92599
 DF error32.00000
 t(b)0.84303
 p(b)0.79727
 t(a)0.36170
 p(a)0.35998
 Lowerbound of 95% confidence interval for beta2.76206
 Upperbound of 95% confidence interval for beta1.14502
 Lowerbound of 95% confidence interval for alpha1.03208
 Upperbound of 95% confidence interval for alpha1.47774
 Treynor index (mean / b)0.03617
 Jensen alpha (a)0.22283
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.31303
 SD0.80917
 Sharpe ratio (Glass type estimate)0.38686
 Sharpe ratio (Hedges UMVUE)0.37799
 df33.00000
 t0.65117
 p0.74028
 Lowerbound of 95% confidence interval for Sharpe Ratio1.55209
 Upperbound of 95% confidence interval for Sharpe Ratio0.78412
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.54594
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.78997
 Statistics related to Sortino ratio
 Sortino ratio0.53648
 Upside Potential Ratio0.78243
 Upside part of mean0.45654
 Downside part of mean0.76958
 Upside SD0.55064
 Downside SD0.58349
 N nonnegative terms3.00000
 N negative terms31.00000
 Statistics related to linear regression on benchmark
 N of observations34.00000
 Mean of predictor0.22212
 Mean of criterion0.31303
 SD of predictor0.17630
 SD of criterion0.80917
 Covariance0.01782
 r0.12490
 b (slope, estimate of beta)0.57325
 a (intercept, estimate of alpha)0.18570
 Mean Square Error0.66468
 DF error32.00000
 t(b)0.71210
 p(b)0.75922
 t(a)0.35967
 p(a)0.63927
 Lowerbound of 95% confidence interval for beta2.21299
 Upperbound of 95% confidence interval for beta1.06650
 Lowerbound of 95% confidence interval for alpha1.23737
 Upperbound of 95% confidence interval for alpha0.86597
 Treynor index (mean / b)0.54607
 Jensen alpha (a)0.18570
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.33655
 Expected Shortfall on VaR0.39607
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.17170
 Expected Shortfall on VaR0.34202
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations34.00000
 Minimum0.51279
 Quartile 11.00000
 Median1.00000
 Quartile 31.00000
 Maximum2.29280
 Mean of quarter 10.80581
 Mean of quarter 21.00000
 Mean of quarter 31.00000
 Mean of quarter 41.20653
 Inter Quartile Range0.00000
 Number outliers low7.00000
 Percentage of outliers low0.20588
 Mean of outliers low0.75033
 Number of outliers high4.00000
 Percentage of outliers high0.11765
 Mean of outliers high1.46469
 Risk estimates for a oneperiod 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)0.81715
 VaR(95%) (regression method)0.22799
 Expected Shortfall (regression method)0.26963
 DRAW DOWN STATISTICS
 Quartiles of draw downs
 Number of observations1.00000
 Minimum0.87765
 Quartile 10.87765
 Median0.87765
 Quartile 30.87765
 Maximum0.87765
 Mean of quarter 10.00000
 Mean of quarter 20.00000
 Mean of quarter 30.00000
 Mean of quarter 40.00000
 Inter Quartile Range0.00000
 Number outliers low0.00000
 Percentage of outliers low0.00000
 Mean of outliers low0.00000
 Number of outliers high0.00000
 Percentage of outliers high0.00000
 Mean of outliers high0.00000
 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)0.20340
 Compounded annual return (geometric extrapolation)0.26146
 Calmar ratio (compounded annual return / max draw down)0.29791
 Compounded annual return / average of 25% largest draw downs0.00000
 Compounded annual return / Expected Shortfall lognormal0.66014
 0.00000
 0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio
 Mean0.20044
 SD0.45899
 Sharpe ratio (Glass type estimate)0.43671
 Sharpe ratio (Hedges UMVUE)0.43638
 df991.00000
 t0.74159
 p0.77075
 Lowerbound of 95% confidence interval for Sharpe Ratio1.59093
 Upperbound of 95% confidence interval for Sharpe Ratio0.71774
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.59071
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.71796
 Statistics related to Sortino ratio
 Sortino ratio0.60796
 Upside Potential Ratio3.65093
 Upside part of mean1.20372
 Downside part of mean1.40416
 Upside SD0.31918
 Downside SD0.32970
 N nonnegative terms114.00000
 N negative terms878.00000
 Statistics related to linear regression on benchmark
 N of observations992.00000
 Mean of predictor0.24130
 Mean of criterion0.20044
 SD of predictor0.21978
 SD of criterion0.45899
 Covariance0.00347
 r0.03438
 b (slope, estimate of beta)0.07180
 a (intercept, estimate of alpha)0.18312
 Mean Square Error0.21063
 DF error990.00000
 t(b)1.08235
 p(b)0.86032
 t(a)0.67637
 p(a)0.75052
 Lowerbound of 95% confidence interval for beta0.20197
 Upperbound of 95% confidence interval for beta0.05837
 Lowerbound of 95% confidence interval for alpha0.71440
 Upperbound of 95% confidence interval for alpha0.34817
 Treynor index (mean / b)2.79183
 Jensen alpha (a)0.18312
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.30774
 SD0.46651
 Sharpe ratio (Glass type estimate)0.65965
 Sharpe ratio (Hedges UMVUE)0.65915
 df991.00000
 t1.12019
 p0.86855
 Lowerbound of 95% confidence interval for Sharpe Ratio1.81404
 Upperbound of 95% confidence interval for Sharpe Ratio0.49504
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.81369
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.49539
 Statistics related to Sortino ratio
 Sortino ratio0.86045
 Upside Potential Ratio3.23472
 Upside part of mean1.15688
 Downside part of mean1.46462
 Upside SD0.29964
 Downside SD0.35764
 N nonnegative terms114.00000
 N negative terms878.00000
 Statistics related to linear regression on benchmark
 N of observations992.00000
 Mean of predictor0.21710
 Mean of criterion0.30774
 SD of predictor0.21977
 SD of criterion0.46651
 Covariance0.00374
 r0.03646
 b (slope, estimate of beta)0.07741
 a (intercept, estimate of alpha)0.29093
 Mean Square Error0.21757
 DF error990.00000
 t(b)1.14811
 p(b)0.87440
 t(a)1.05768
 p(a)0.85477
 Lowerbound of 95% confidence interval for beta0.20971
 Upperbound of 95% confidence interval for beta0.05490
 Lowerbound of 95% confidence interval for alpha0.83071
 Upperbound of 95% confidence interval for alpha0.24885
 Treynor index (mean / b)3.97561
 Jensen alpha (a)0.29093
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.04139
 Expected Shortfall on VaR0.05137
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.01316
 Expected Shortfall on VaR0.02901
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations992.00000
 Minimum0.72040
 Quartile 11.00000
 Median1.00000
 Quartile 31.00000
 Maximum1.24543
 Mean of quarter 10.98377
 Mean of quarter 21.00000
 Mean of quarter 31.00000
 Mean of quarter 41.01401
 Inter Quartile Range0.00000
 Number outliers low135.00000
 Percentage of outliers low0.13609
 Mean of outliers low0.97019
 Number of outliers high116.00000
 Percentage of outliers high0.11693
 Mean of outliers high1.02995
 Risk estimates for a oneperiod unit investment (based on Ex
 Extreme Value Index (moments method)0.15287
 VaR(95%) (moments method)0.00235
 Expected Shortfall (moments method)0.00387
 Extreme Value Index (regression method)0.20982
 VaR(95%) (regression method)0.01676
 Expected Shortfall (regression method)0.03986
 DRAW DOWN STATISTICS
 Quartiles of draw downs
 Number of observations7.00000
 Minimum0.00471
 Quartile 10.03891
 Median0.06563
 Quartile 30.13153
 Maximum0.88078
 Mean of quarter 10.01021
 Mean of quarter 20.06388
 Mean of quarter 30.11321
 Mean of quarter 40.51531
 Inter Quartile Range0.09261
 Number outliers low0.00000
 Percentage of outliers low0.00000
 Mean of outliers low0.00000
 Number of outliers high1.00000
 Percentage of outliers high0.14286
 Mean of outliers high0.88078
 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)0.19985
 Compounded annual return (geometric extrapolation)0.25754
 Calmar ratio (compounded annual return / max draw down)0.29240
 Compounded annual return / average of 25% largest draw downs0.49978
 Compounded annual return / Expected Shortfall lognormal5.01365
 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
 Mean0.00995
 SD0.00000
 Sharpe ratio (Glass type estimate)0.00000
 Sharpe ratio (Hedges UMVUE)0.00000
 df0.00000
 t0.00000
 p0.00000
 Lowerbound of 95% confidence interval for Sharpe Ratio0.00000
 Upperbound of 95% confidence interval for Sharpe Ratio0.00000
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.00000
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.00000
 Statistics related to Sortino ratio
 Sortino ratio18.54720
 Upside Potential Ratio0.00000
 Upside part of mean0.00000
 Downside part of mean0.00995
 Upside SD0.00000
 Downside SD0.00054
 N nonnegative terms0.00000
 N negative terms172.00000
 Statistics related to linear regression on benchmark
 N of observations172.00000
 Mean of predictor0.06710
 Mean of criterion0.00995
 SD of predictor0.25999
 SD of criterion0.00000
 Covariance0.00000
 r0.00000
 b (slope, estimate of beta)0.00000
 a (intercept, estimate of alpha)0.00000
 Mean Square Error0.00000
 DF error0.00000
 t(b)0.00000
 p(b)0.00000
 t(a)0.00000
 p(a)0.00000
 Lowerbound of 95% confidence interval for beta0.00000
 Upperbound of 95% confidence interval for beta0.00000
 Lowerbound of 95% confidence interval for alpha0.00000
 Upperbound of 95% confidence interval for alpha0.00000
 Treynor index (mean / b)0.00000
 Jensen alpha (a)0.00000
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.00995
 SD0.00000
 Sharpe ratio (Glass type estimate)31576300000000000.00000
 Sharpe ratio (Hedges UMVUE)31437600000000000.00000
 df171.00000
 t22327800000000000.00000
 p1.00000
 Lowerbound of 95% confidence interval for Sharpe Ratio0.00000
 Upperbound of 95% confidence interval for Sharpe Ratio0.00000
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation34769500000000000.00000
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation28105800000000000.00000
 Statistics related to Sortino ratio
 Sortino ratio18.54720
 Upside Potential Ratio0.00000
 Upside part of mean0.00000
 Downside part of mean0.00995
 Upside SD0.00000
 Downside SD0.00054
 N nonnegative terms0.00000
 N negative terms172.00000
 Statistics related to linear regression on benchmark
 N of observations172.00000
 Mean of predictor0.03339
 Mean of criterion0.00995
 SD of predictor0.26062
 SD of criterion0.00000
 Covariance0.00000
 r0.00000
 b (slope, estimate of beta)0.00000
 a (intercept, estimate of alpha)0.00995
 Mean Square Error0.00000
 DF error170.00000
 t(b)0.00000
 p(b)0.50000
 t(a)22261900000000000.00000
 p(a)1.00000
 Lowerbound of 95% confidence interval for beta0.00000
 Upperbound of 95% confidence interval for beta0.00000
 Lowerbound of 95% confidence interval for alpha0.00995
 Upperbound of 95% confidence interval for alpha0.00995
 Treynor index (mean / b)893143000000000046852222650155008.00000
 Jensen alpha (a)0.00995
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.00003
 Expected Shortfall on VaR0.00003
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.00000
 Expected Shortfall on VaR0.00000
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations172.00000
 Minimum1.00000
 Quartile 11.00000
 Median1.00000
 Quartile 31.00000
 Maximum1.00000
 Mean of quarter 11.00000
 Mean of quarter 21.00000
 Mean of quarter 31.00000
 Mean of quarter 41.00000
 Inter Quartile Range0.00000
 Number outliers low0.00000
 Percentage of outliers low0.00000
 Mean of outliers low0.00000
 Number of outliers high0.00000
 Percentage of outliers high0.00000
 Mean of outliers high0.00000
 Risk estimates for a oneperiod 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 observations0.00000
 Minimum0.00000
 Quartile 10.00000
 Median0.00000
 Quartile 30.00000
 Maximum0.00000
 Mean of quarter 10.00000
 Mean of quarter 20.00000
 Mean of quarter 30.00000
 Mean of quarter 40.00000
 Inter Quartile Range0.00000
 Number outliers low0.00000
 Percentage of outliers low0.00000
 Mean of outliers low0.00000
 Number of outliers high0.00000
 Percentage of outliers high0.00000
 Mean of outliers high0.00000
 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)0.00000
 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 downs0.00000
 Compounded annual return / Expected Shortfall lognormal0.00000
Strategy Description
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Statistics
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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.
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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.