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

Cybernetic System 1 - Hedge Fund Portfolio (52007197)

Created by: UserRemoved142 UserRemoved142
Started: 08/2010
Stocks
Last trade: 1,963 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $99.00 per month.

-0.4%
Annual Return (Compounded)
14.6%
Max Drawdown
60
Num Trades
40.0%
Win Trades
0.9 : 1
Profit Factor
11.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010                                                   -  (3.6%)+2.1%(1.4%)+5.3%+2.1%
2011+1.1%+2.8%+0.7%+4.3%(1.3%)(2.5%)+2.4%+0.1%(1%)(6.5%)+1.2%(1.2%)(0.3%)
2012(1.4%)+1.5%(0.2%)(0.6%)(3.1%)(0.2%)(0.2%)  -    -    -    -    -  (4.3%)
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -        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

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Long
Short
Both
Win
Loss
Both
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Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/14/12 9:30 DBC POWERSHARES DB COMMODITY INDEX SHORT 1,900 26.41 7/3 12:04 26.36 0%
Trade id #73632521
Max drawdown$0
Time7/3/12 11:51
Quant open-1,900
Worst price26.41
Drawdown as % of equity0.00%
$90
Includes Typical Broker Commissions trade costs of $5.00
5/7/12 9:31 TLT ISHARES 20+ YEAR TREASURY BOND LONG 130 118.32 7/3 12:04 125.54 0.04%
Trade id #73398589
Max drawdown($114)
Time5/10/12 12:58
Quant open130
Worst price117.44
Drawdown as % of equity-0.04%
$936
Includes Typical Broker Commissions trade costs of $2.60
12/27/11 9:31 VNQ VANGUARD REIT INDEX ETF LONG 550 58.10 7/3/12 12:04 66.51 0.08%
Trade id #69302676
Max drawdown($236)
Time1/13/12 10:12
Quant open550
Worst price57.67
Drawdown as % of equity-0.08%
$4,621
Includes Typical Broker Commissions trade costs of $5.00
12/5/11 9:31 SHY ISHARES BARCLAYS 1-3 YEAR TREA SHORT 180 84.48 7/3/12 12:04 84.37 0%
Trade id #68639211
Max drawdown($7)
Time2/6/12 7:56
Quant open180
Worst price0.00
Drawdown as % of equity-0.00%
$16
Includes Typical Broker Commissions trade costs of $3.60
10/3/11 9:31 DBA POWERSHARES DB AGRICULTURE SHORT 331 29.50 7/3/12 12:04 29.04 0.18%
Trade id #66341642
Max drawdown($562)
Time10/24/11 10:27
Quant open-331
Worst price31.20
Drawdown as % of equity-0.18%
$147
Includes Typical Broker Commissions trade costs of $6.62
2/6/12 9:31 RWX SPDR DOW JONES INTL REAL ESTAT LONG 850 35.42 6/4 12:25 33.78 0.47%
Trade id #70290927
Max drawdown($1,394)
Time6/4/12 12:25
Quant open0
Worst price33.78
Drawdown as % of equity-0.47%
($1,399)
Includes Typical Broker Commissions trade costs of $5.00
12/27/11 9:31 IWM ISHARES RUSSELL 2000 INDEX LONG 200 74.26 5/29/12 9:30 77.33 0.06%
Trade id #69302663
Max drawdown($178)
Time1/5/12 10:09
Quant open200
Worst price73.37
Drawdown as % of equity-0.06%
$610
Includes Typical Broker Commissions trade costs of $4.00
4/30/12 9:31 BWX SPDR BARCLAYS INTERNATIONAL TR LONG 500 60.40 5/29 9:30 58.72 0.33%
Trade id #73144014
Max drawdown($980)
Time5/23/12 13:38
Quant open500
Worst price58.44
Drawdown as % of equity-0.33%
($850)
Includes Typical Broker Commissions trade costs of $10.00
5/21/12 9:31 VWO VANGUARD FTSE EMERGING MARKETS SHORT 345 37.89 5/29 9:30 38.55 0.11%
Trade id #73855631
Max drawdown($317)
Time5/22/12 10:50
Quant open-345
Worst price38.81
Drawdown as % of equity-0.11%
($235)
Includes Typical Broker Commissions trade costs of $6.90
2/6/12 9:31 SCZ ISHARES MSCI EAFE SMALL CAP IN LONG 350 38.78 5/29 9:30 35.66 0.46%
Trade id #70290920
Max drawdown($1,337)
Time5/23/12 12:06
Quant open350
Worst price34.96
Drawdown as % of equity-0.46%
($1,099)
Includes Typical Broker Commissions trade costs of $7.00
12/27/11 9:31 IJR ISHARES CORE S&P SMALL-CAP ETF LONG 200 68.92 5/29/12 9:30 71.68 0.01%
Trade id #69302678
Max drawdown($28)
Time1/9/12 11:19
Quant open200
Worst price68.78
Drawdown as % of equity-0.01%
$548
Includes Typical Broker Commissions trade costs of $4.00
1/30/12 9:31 VWO VANGUARD FTSE EMERGING MARKETS LONG 345 41.76 5/21 9:30 37.89 0.5%
Trade id #70088167
Max drawdown($1,469)
Time5/18/12 16:01
Quant open345
Worst price37.50
Drawdown as % of equity-0.50%
($1,342)
Includes Typical Broker Commissions trade costs of $6.90
3/19/12 9:30 GLD SPDR GOLD SHARES LONG 350 160.85 5/11 9:31 153.24 0.89%
Trade id #71715603
Max drawdown($2,664)
Time5/11/12 9:31
Quant open0
Worst price153.24
Drawdown as % of equity-0.89%
($2,671)
Includes Typical Broker Commissions trade costs of $7.00
2/27/12 9:31 TLT ISHARES 20+ YEAR TREASURY BOND SHORT 130 118.50 5/7 9:30 118.32 0.03%
Trade id #70970061
Max drawdown($83)
Time2/28/12 10:30
Quant open-130
Worst price119.14
Drawdown as % of equity-0.03%
$20
Includes Typical Broker Commissions trade costs of $2.60
3/26/12 9:31 BWX SPDR BARCLAYS INTERNATIONAL TR SHORT 500 59.82 4/30 9:30 60.40 0.1%
Trade id #72016390
Max drawdown($310)
Time4/27/12 13:58
Quant open-500
Worst price60.44
Drawdown as % of equity-0.10%
($300)
Includes Typical Broker Commissions trade costs of $10.00
2/6/12 9:30 DBC POWERSHARES DB COMMODITY INDEX LONG 1,800 28.31 4/18 11:00 27.93 0.23%
Trade id #70290541
Max drawdown($684)
Time4/18/12 11:00
Quant open0
Worst price27.93
Drawdown as % of equity-0.23%
($689)
Includes Typical Broker Commissions trade costs of $5.00
2/21/12 9:31 BWX SPDR BARCLAYS INTERNATIONAL TR LONG 500 59.97 3/26 9:30 59.82 0.17%
Trade id #70818593
Max drawdown($520)
Time3/16/12 9:31
Quant open500
Worst price58.93
Drawdown as % of equity-0.17%
($85)
Includes Typical Broker Commissions trade costs of $10.00
2/13/12 9:31 GLD SPDR GOLD SHARES LONG 350 167.33 3/6 9:30 162.15 0.59%
Trade id #70546163
Max drawdown($1,813)
Time3/6/12 9:30
Quant open0
Worst price162.15
Drawdown as % of equity-0.59%
($1,820)
Includes Typical Broker Commissions trade costs of $7.00
10/31/11 9:30 TLT ISHARES 20+ YEAR TREASURY BOND LONG 130 113.61 2/27/12 9:31 118.50 0.01%
Trade id #67425564
Max drawdown($19)
Time10/31/11 9:33
Quant open130
Worst price113.46
Drawdown as % of equity-0.01%
$633
Includes Typical Broker Commissions trade costs of $2.60
10/31/11 9:30 BWX SPDR BARCLAYS INTERNATIONAL TR SHORT 500 61.35 2/21/12 9:30 59.97 0.02%
Trade id #67425542
Max drawdown($70)
Time10/31/11 10:43
Quant open-500
Worst price61.49
Drawdown as % of equity-0.02%
$680
Includes Typical Broker Commissions trade costs of $10.00
2/6/12 9:30 GLD SPDR GOLD SHARES SHORT 350 166.96 2/13 9:31 167.33 0.39%
Trade id #70290582
Max drawdown($1,193)
Time2/9/12 9:33
Quant open-350
Worst price170.37
Drawdown as % of equity-0.39%
($137)
Includes Typical Broker Commissions trade costs of $7.00
1/30/12 9:30 RWX SPDR DOW JONES INTL REAL ESTAT SHORT 850 34.47 2/6 9:30 35.42 0.37%
Trade id #70088047
Max drawdown($1,113)
Time2/3/12 16:00
Quant open-850
Worst price35.78
Drawdown as % of equity-0.37%
($813)
Includes Typical Broker Commissions trade costs of $5.00
9/1/11 9:30 SCZ ISHARES MSCI EAFE SMALL CAP IN SHORT 428 39.09 2/6/12 9:30 38.63 0.07%
Trade id #65250348
Max drawdown($226)
Time10/27/11 15:22
Quant open-428
Worst price39.62
Drawdown as % of equity-0.07%
$190
Includes Typical Broker Commissions trade costs of $8.56
10/3/11 9:31 DBC POWERSHARES DB COMMODITY INDEX SHORT 2,166 25.31 1/31/12 9:32 28.12 2.17%
Trade id #66341649
Max drawdown($6,801)
Time10/27/11 13:59
Quant open-2,166
Worst price28.45
Drawdown as % of equity-2.17%
($6,096)
Includes Typical Broker Commissions trade costs of $8.12
9/1/11 9:30 VWO VANGUARD FTSE EMERGING MARKETS SHORT 385 44.04 1/30/12 9:30 41.83 0.04%
Trade id #65250336
Max drawdown($123)
Time9/1/11 10:04
Quant open-385
Worst price44.36
Drawdown as % of equity-0.04%
$844
Includes Typical Broker Commissions trade costs of $7.70
10/31/11 9:30 RWX SPDR DOW JONES INTL REAL ESTAT SHORT 850 35.41 1/26/12 9:58 35.18 0%
Trade id #67425616
Max drawdown($8)
Time11/8/11 15:56
Quant open-850
Worst price35.42
Drawdown as % of equity-0.00%
$191
Includes Typical Broker Commissions trade costs of $5.00
11/28/11 9:31 IJR ISHARES CORE S&P SMALL-CAP ETF SHORT 260 63.29 12/27 9:30 68.92 0.51%
Trade id #68329872
Max drawdown($1,559)
Time12/23/11 9:31
Quant open-260
Worst price69.29
Drawdown as % of equity-0.51%
($1,469)
Includes Typical Broker Commissions trade costs of $5.20
11/28/11 9:31 VNQ VANGUARD REIT INDEX ETF SHORT 600 53.88 12/27 9:30 58.10 0.97%
Trade id #68329858
Max drawdown($2,994)
Time12/22/11 14:36
Quant open-600
Worst price58.87
Drawdown as % of equity-0.97%
($2,537)
Includes Typical Broker Commissions trade costs of $5.00
10/31/11 9:30 IWM ISHARES RUSSELL 2000 INDEX SHORT 100 74.85 12/27 9:30 74.26 0.01%
Trade id #67425625
Max drawdown($21)
Time12/7/11 15:45
Quant open-100
Worst price75.06
Drawdown as % of equity-0.01%
$57
Includes Typical Broker Commissions trade costs of $2.00
9/1/10 9:31 GLD SPDR GOLD SHARES LONG 440 135.37 12/14/11 9:30 156.56 0.05%
Trade id #52531752
Max drawdown($136)
Time9/3/10 10:30
Quant open136
Worst price121.15
Drawdown as % of equity-0.05%
$9,315
Includes Typical Broker Commissions trade costs of $8.80

Statistics

  • Strategy began
    8/15/2010
  • Starting Unit Size
    $300,000
  • Strategy Age (days)
    2647.92
  • Age
    88 months ago
  • What it trades
    Stocks
  • # Trades
    60
  • # Profitable
    24
  • % Profitable
    40.00%
  • Avg trade duration
    102.4 days
  • Max peak-to-valley drawdown
    14.63%
  • drawdown period
    Sept 06, 2011 - May 18, 2012
  • Annual Return (Compounded)
    -0.4%
  • Avg win
    $1,555
  • Avg loss
    $1,204
  • Model Account Values (Raw)
  • Cash
    $295,069
  • Margin Used
    $0
  • Buying Power
    $295,069
  • Ratios
  • W:L ratio
    0.89:1
  • Sharpe Ratio
    -0.296
  • Sortino Ratio
    -0.419
  • Calmar Ratio
    -0.037
  • Return Statistics
  • Ann Return (w trading costs)
    -0.4%
  • Ann Return (Compnd, No Fees)
    -0.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    60
  • Win / Loss
  • Avg Loss
    $1,204
  • Avg Win
    $1,556
  • # Winners
    24
  • # Losers
    36
  • % Winners
    40.0%
  • Frequency
  • Avg Position Time (mins)
    147424.00
  • Avg Position Time (hrs)
    2457.07
  • Avg Trade Length
    102.4 days
  • Last Trade Ago
    1960
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03137
  • SD
    0.05862
  • Sharpe ratio (Glass type estimate)
    -0.53522
  • Sharpe ratio (Hedges UMVUE)
    -0.52458
  • df
    38.00000
  • t
    -0.96488
  • p
    0.82965
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.62556
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.56201
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.61815
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.56899
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.74413
  • Upside Potential Ratio
    1.26380
  • Upside part of mean
    0.05328
  • Downside part of mean
    -0.08466
  • Upside SD
    0.04065
  • Downside SD
    0.04216
  • N nonnegative terms
    9.00000
  • N negative terms
    30.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    39.00000
  • Mean of predictor
    0.25176
  • Mean of criterion
    -0.03137
  • SD of predictor
    0.15589
  • SD of criterion
    0.05862
  • Covariance
    -0.00010
  • r
    -0.01145
  • b (slope, estimate of beta)
    -0.00431
  • a (intercept, estimate of alpha)
    -0.03029
  • Mean Square Error
    0.00353
  • DF error
    37.00000
  • t(b)
    -0.06965
  • p(b)
    0.52757
  • t(a)
    -0.83122
  • p(a)
    0.79441
  • Lowerbound of 95% confidence interval for beta
    -0.12956
  • Upperbound of 95% confidence interval for beta
    0.12094
  • Lowerbound of 95% confidence interval for alpha
    -0.10412
  • Upperbound of 95% confidence interval for alpha
    0.04355
  • Treynor index (mean / b)
    7.28748
  • Jensen alpha (a)
    -0.03029
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03301
  • SD
    0.05837
  • Sharpe ratio (Glass type estimate)
    -0.56551
  • Sharpe ratio (Hedges UMVUE)
    -0.55427
  • df
    38.00000
  • t
    -1.01950
  • p
    0.84279
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.65645
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.53267
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.64858
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.54004
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.77368
  • Upside Potential Ratio
    1.22725
  • Upside part of mean
    0.05236
  • Downside part of mean
    -0.08536
  • Upside SD
    0.03987
  • Downside SD
    0.04266
  • N nonnegative terms
    9.00000
  • N negative terms
    30.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    39.00000
  • Mean of predictor
    0.23733
  • Mean of criterion
    -0.03301
  • SD of predictor
    0.15180
  • SD of criterion
    0.05837
  • Covariance
    -0.00011
  • r
    -0.01189
  • b (slope, estimate of beta)
    -0.00457
  • a (intercept, estimate of alpha)
    -0.03192
  • Mean Square Error
    0.00350
  • DF error
    37.00000
  • t(b)
    -0.07233
  • p(b)
    0.52864
  • t(a)
    -0.88488
  • p(a)
    0.80903
  • Lowerbound of 95% confidence interval for beta
    -0.13264
  • Upperbound of 95% confidence interval for beta
    0.12350
  • Lowerbound of 95% confidence interval for alpha
    -0.10501
  • Upperbound of 95% confidence interval for alpha
    0.04117
  • Treynor index (mean / b)
    7.21960
  • Jensen alpha (a)
    -0.03192
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03000
  • Expected Shortfall on VaR
    0.03679
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02074
  • Expected Shortfall on VaR
    0.03460
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    39.00000
  • Minimum
    0.96276
  • Quartile 1
    0.99420
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.04114
  • Mean of quarter 1
    0.98050
  • Mean of quarter 2
    0.99897
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01941
  • Inter Quartile Range
    0.00580
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.17949
  • Mean of outliers low
    0.97584
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.17949
  • Mean of outliers high
    1.02665
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.17886
  • VaR(95%) (moments method)
    0.01778
  • Expected Shortfall (moments method)
    0.01893
  • Extreme Value Index (regression method)
    -0.31449
  • VaR(95%) (regression method)
    0.02048
  • Expected Shortfall (regression method)
    0.02541
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.02803
  • Quartile 1
    0.02946
  • Median
    0.03090
  • Quartile 3
    0.07854
  • Maximum
    0.12619
  • Mean of quarter 1
    0.02803
  • Mean of quarter 2
    0.03090
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.12619
  • Inter Quartile Range
    0.04908
  • 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)
    -0.00506
  • Compounded annual return (geometric extrapolation)
    -0.00509
  • Calmar ratio (compounded annual return / max draw down)
    -0.04031
  • Compounded annual return / average of 25% largest draw downs
    -0.04031
  • Compounded annual return / Expected Shortfall lognormal
    -0.13825
  • 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
    -0.02839
  • SD
    0.09577
  • Sharpe ratio (Glass type estimate)
    -0.29648
  • Sharpe ratio (Hedges UMVUE)
    -0.29622
  • df
    857.00000
  • t
    -0.53653
  • p
    0.70413
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.37957
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.78675
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.37938
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.78693
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.41943
  • Upside Potential Ratio
    5.52959
  • Upside part of mean
    0.37432
  • Downside part of mean
    -0.40271
  • Upside SD
    0.06768
  • Downside SD
    0.06769
  • N nonnegative terms
    229.00000
  • N negative terms
    629.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    858.00000
  • Mean of predictor
    0.26365
  • Mean of criterion
    -0.02839
  • SD of predictor
    0.22217
  • SD of criterion
    0.09577
  • Covariance
    0.00777
  • r
    0.36524
  • b (slope, estimate of beta)
    0.15743
  • a (intercept, estimate of alpha)
    -0.07000
  • Mean Square Error
    0.00796
  • DF error
    856.00000
  • t(b)
    11.47910
  • p(b)
    0.00000
  • t(a)
    -1.41427
  • p(a)
    0.92118
  • Lowerbound of 95% confidence interval for beta
    0.13052
  • Upperbound of 95% confidence interval for beta
    0.18435
  • Lowerbound of 95% confidence interval for alpha
    -0.16691
  • Upperbound of 95% confidence interval for alpha
    0.02711
  • Treynor index (mean / b)
    -0.18035
  • Jensen alpha (a)
    -0.06990
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03297
  • SD
    0.09571
  • Sharpe ratio (Glass type estimate)
    -0.34444
  • Sharpe ratio (Hedges UMVUE)
    -0.34414
  • df
    857.00000
  • t
    -0.62332
  • p
    0.73338
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.42756
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.73882
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.42733
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.73905
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.48263
  • Upside Potential Ratio
    5.44614
  • Upside part of mean
    0.37202
  • Downside part of mean
    -0.40498
  • Upside SD
    0.06700
  • Downside SD
    0.06831
  • N nonnegative terms
    229.00000
  • N negative terms
    629.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    858.00000
  • Mean of predictor
    0.23884
  • Mean of criterion
    -0.03297
  • SD of predictor
    0.22226
  • SD of criterion
    0.09571
  • Covariance
    0.00778
  • r
    0.36550
  • b (slope, estimate of beta)
    0.15740
  • a (intercept, estimate of alpha)
    -0.07056
  • Mean Square Error
    0.00795
  • DF error
    856.00000
  • t(b)
    11.48850
  • p(b)
    0.00000
  • t(a)
    -1.42925
  • p(a)
    0.92335
  • Lowerbound of 95% confidence interval for beta
    0.13051
  • Upperbound of 95% confidence interval for beta
    0.18429
  • Lowerbound of 95% confidence interval for alpha
    -0.16746
  • Upperbound of 95% confidence interval for alpha
    0.02634
  • Treynor index (mean / b)
    -0.20946
  • Jensen alpha (a)
    -0.07056
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00980
  • Expected Shortfall on VaR
    0.01225
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00443
  • Expected Shortfall on VaR
    0.00920
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    858.00000
  • Minimum
    0.96366
  • Quartile 1
    0.99966
  • Median
    1.00000
  • Quartile 3
    1.00053
  • Maximum
    1.03741
  • Mean of quarter 1
    0.99419
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00002
  • Mean of quarter 4
    1.00580
  • Inter Quartile Range
    0.00087
  • Number outliers low
    162.00000
  • Percentage of outliers low
    0.18881
  • Mean of outliers low
    0.99259
  • Number of outliers high
    168.00000
  • Percentage of outliers high
    0.19580
  • Mean of outliers high
    1.00710
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.13670
  • VaR(95%) (moments method)
    0.00345
  • Expected Shortfall (moments method)
    0.00562
  • Extreme Value Index (regression method)
    0.23842
  • VaR(95%) (regression method)
    0.00487
  • Expected Shortfall (regression method)
    0.00904
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00138
  • Quartile 1
    0.01436
  • Median
    0.02035
  • Quartile 3
    0.03943
  • Maximum
    0.13727
  • Mean of quarter 1
    0.00788
  • Mean of quarter 2
    0.01756
  • Mean of quarter 3
    0.02612
  • Mean of quarter 4
    0.06923
  • Inter Quartile Range
    0.02507
  • 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
    0.05556
  • Mean of outliers high
    0.13727
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.33226
  • VaR(95%) (moments method)
    0.08186
  • Expected Shortfall (moments method)
    0.13440
  • Extreme Value Index (regression method)
    1.25270
  • VaR(95%) (regression method)
    0.09852
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.00502
  • Compounded annual return (geometric extrapolation)
    -0.00505
  • Calmar ratio (compounded annual return / max draw down)
    -0.03677
  • Compounded annual return / average of 25% largest draw downs
    -0.07292
  • Compounded annual return / Expected Shortfall lognormal
    -0.41225
  • 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
    0.61970
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.22031
  • 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
    0.59487
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.22022
  • 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)
    -6772240000000000.00000
  • p(a)
    1.00000
  • 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
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    3570430000000000372335326879809536.00000
  • 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
  • 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 downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

See my initial blog post http://thecybernetictrader.wordpress.com/2010/07/06/a-description-of-my-trading-system/ for a description of this trading system.

Summary Statistics

Strategy began
2010-08-15
Minimum Capital Required
$300,000
# Trades
60
# Profitable
24
% Profitable
40.0%
Net Dividends
Correlation S&P500
0.252
Sharpe Ratio
-0.296

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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