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Naga (54338898)

Created by: Iris_kelly Iris_kelly
Started: 11/2010
Futures
Last trade: 2,166 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. There is a free trial period of 5 days. After that, subscriptions cost $124.95 per month.

Try AutoTrade for free. We'll give you $100,000 in a Simulated Broker Account to AutoTrade Naga.

Free AutoTrade

-3.8%
Annual Return (Compounded)
42.9%
Max Drawdown
197
Num Trades
40.6%
Win Trades
1.0 : 1
Profit Factor
4.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010                                                                      +1.2%(0.8%)+0.4%
2011+14.9%+4.9%+9.6%(1.5%)(5.6%)(18.1%)(6.8%)(4.2%)(14.7%)  -    -    -  (23.5%)
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
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.

System developer has asked us to delay this information by 2 hours.

Trading Record

This strategy has placed 232 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/14/11 9:35 @EMDZ1 Mini Midcap 400 LONG 1 843.00 9/14 10:03 833.70 5.77%
Trade id #65679554
Max drawdown($930)
Time9/14/11 10:03
Quant open0
Worst price833.70
Drawdown as % of equity-5.77%
($938)
Includes Typical Broker Commissions trade costs of $8.00
9/12/11 9:36 @EMDZ1 Mini Midcap 400 LONG 1 812.00 9/12 9:52 817.90 1.03%
Trade id #65583651
Max drawdown($160)
Time9/12/11 9:38
Quant open1
Worst price810.40
Drawdown as % of equity-1.03%
$582
Includes Typical Broker Commissions trade costs of $8.00
9/7/11 9:35 @EMDU1 Mini Midcap 400 SHORT 1 839.90 9/7 11:22 849.20 5.94%
Trade id #65425260
Max drawdown($930)
Time9/7/11 11:22
Quant open0
Worst price849.20
Drawdown as % of equity-5.94%
($938)
Includes Typical Broker Commissions trade costs of $8.00
9/2/11 10:10 @EMDU1 Mini Midcap 400 LONG 1 847.50 9/2 10:38 841.60 3.46%
Trade id #65295752
Max drawdown($590)
Time9/2/11 10:38
Quant open0
Worst price841.60
Drawdown as % of equity-3.46%
($598)
Includes Typical Broker Commissions trade costs of $8.00
8/31/11 11:05 @EMDU1 Mini Midcap 400 SHORT 1 880.70 8/31 12:01 876.10 1.44%
Trade id #65212397
Max drawdown($250)
Time8/31/11 11:16
Quant open-1
Worst price883.20
Drawdown as % of equity-1.44%
$452
Includes Typical Broker Commissions trade costs of $8.00
8/31/11 9:35 @EMDU1 Mini Midcap 400 LONG 1 880.70 8/31 11:05 880.70 1.81%
Trade id #65205240
Max drawdown($300)
Time8/31/11 9:42
Quant open1
Worst price877.70
Drawdown as % of equity-1.81%
($8)
Includes Typical Broker Commissions trade costs of $8.00
8/29/11 10:49 @EMDU1 Mini Midcap 400 SHORT 1 853.50 8/29 12:00 858.10 3.17%
Trade id #65112140
Max drawdown($540)
Time8/29/11 11:59
Quant open-1
Worst price858.90
Drawdown as % of equity-3.17%
($468)
Includes Typical Broker Commissions trade costs of $8.00
8/29/11 9:59 @EMDU1 Mini Midcap 400 LONG 1 853.30 8/29 10:49 853.50 1.62%
Trade id #65109144
Max drawdown($280)
Time8/29/11 10:05
Quant open1
Worst price850.50
Drawdown as % of equity-1.62%
$12
Includes Typical Broker Commissions trade costs of $8.00
8/29/11 9:45 @EMDU1 Mini Midcap 400 SHORT 1 850.60 8/29 9:59 853.10 1.97%
Trade id #65108305
Max drawdown($340)
Time8/29/11 9:50
Quant open-1
Worst price854.00
Drawdown as % of equity-1.97%
($258)
Includes Typical Broker Commissions trade costs of $8.00
8/25/11 9:36 @EMDU1 Mini Midcap 400 LONG 1 838.60 8/25 9:52 828.50 5.52%
Trade id #65009621
Max drawdown($1,010)
Time8/25/11 9:52
Quant open0
Worst price828.50
Drawdown as % of equity-5.52%
($1,018)
Includes Typical Broker Commissions trade costs of $8.00
8/23/11 10:14 @NQU1 E-MINI NASDAQ 100 STK IDX LONG 1 2080.25 8/23 12:00 2097.00 1.11%
Trade id #64922785
Max drawdown($200)
Time8/23/11 11:07
Quant open1
Worst price2070.25
Drawdown as % of equity-1.11%
$327
Includes Typical Broker Commissions trade costs of $8.00
8/5/11 9:45 @EMDU1 Mini Midcap 400 SHORT 1 856.90 8/5 9:53 846.90 0.83%
Trade id #64273055
Max drawdown($140)
Time8/5/11 9:47
Quant open-1
Worst price858.30
Drawdown as % of equity-0.83%
$992
Includes Typical Broker Commissions trade costs of $8.00
8/4/11 9:50 @EMDU1 Mini Midcap 400 SHORT 1 892.30 8/4 10:02 896.50 2.42%
Trade id #64216248
Max drawdown($420)
Time8/4/11 10:02
Quant open0
Worst price896.50
Drawdown as % of equity-2.42%
($428)
Includes Typical Broker Commissions trade costs of $8.00
8/3/11 9:55 @EMDU1 Mini Midcap 400 SHORT 1 904.40 8/3 10:21 898.40 2.15%
Trade id #64165085
Max drawdown($360)
Time8/3/11 10:02
Quant open-1
Worst price908.00
Drawdown as % of equity-2.15%
$592
Includes Typical Broker Commissions trade costs of $8.00
8/2/11 11:17 @EMDU1 Mini Midcap 400 SHORT 1 926.40 8/2 12:24 924.80 0.06%
Trade id #64121280
Max drawdown($10)
Time8/2/11 11:19
Quant open-1
Worst price926.50
Drawdown as % of equity-0.06%
$152
Includes Typical Broker Commissions trade costs of $8.00
8/2/11 9:39 @EMDU1 Mini Midcap 400 LONG 1 933.60 8/2 11:17 926.40 4.76%
Trade id #64115889
Max drawdown($800)
Time8/2/11 11:14
Quant open1
Worst price925.60
Drawdown as % of equity-4.76%
($728)
Includes Typical Broker Commissions trade costs of $8.00
7/29/11 9:40 @EMDU1 Mini Midcap 400 SHORT 1 928.30 7/29 9:56 934.70 3.56%
Trade id #64001807
Max drawdown($640)
Time7/29/11 9:56
Quant open0
Worst price934.70
Drawdown as % of equity-3.56%
($648)
Includes Typical Broker Commissions trade costs of $8.00
7/28/11 10:10 @EMDU1 Mini Midcap 400 LONG 1 953.10 7/28 14:32 949.10 2.17%
Trade id #63959266
Max drawdown($400)
Time7/28/11 14:32
Quant open0
Worst price949.10
Drawdown as % of equity-2.17%
($408)
Includes Typical Broker Commissions trade costs of $8.00
7/27/11 13:24 @EMDU1 Mini Midcap 400 SHORT 1 954.10 7/27 15:22 948.30 1.07%
Trade id #63925005
Max drawdown($190)
Time7/27/11 13:45
Quant open-1
Worst price956.00
Drawdown as % of equity-1.07%
$572
Includes Typical Broker Commissions trade costs of $8.00
7/26/11 15:50 @EMDU1 Mini Midcap 400 SHORT 1 975.10 7/26 16:00 975.70 0.44%
Trade id #63888318
Max drawdown($80)
Time7/26/11 16:00
Quant open-1
Worst price975.90
Drawdown as % of equity-0.44%
($68)
Includes Typical Broker Commissions trade costs of $8.00
7/26/11 14:19 @EMDU1 Mini Midcap 400 LONG 1 980.30 7/26 15:50 975.20 2.88%
Trade id #63884675
Max drawdown($520)
Time7/26/11 15:50
Quant open1
Worst price975.10
Drawdown as % of equity-2.88%
($518)
Includes Typical Broker Commissions trade costs of $8.00
7/26/11 12:34 @EMDU1 Mini Midcap 400 SHORT 1 978.90 7/26 14:19 980.30 0.8%
Trade id #63880016
Max drawdown($150)
Time7/26/11 14:18
Quant open-1
Worst price980.40
Drawdown as % of equity-0.80%
($148)
Includes Typical Broker Commissions trade costs of $8.00
7/26/11 12:13 @EMDU1 Mini Midcap 400 LONG 1 979.30 7/26 12:34 978.90 0.22%
Trade id #63879026
Max drawdown($40)
Time7/26/11 12:31
Quant open1
Worst price978.90
Drawdown as % of equity-0.22%
($48)
Includes Typical Broker Commissions trade costs of $8.00
7/25/11 15:01 @EMDU1 Mini Midcap 400 SHORT 1 985.50 7/25 16:00 982.20 n/a $322
Includes Typical Broker Commissions trade costs of $8.00
7/25/11 10:02 @EMDU1 Mini Midcap 400 LONG 1 984.30 7/25 15:01 985.60 0.33%
Trade id #63832863
Max drawdown($60)
Time7/25/11 10:05
Quant open1
Worst price983.70
Drawdown as % of equity-0.33%
$122
Includes Typical Broker Commissions trade costs of $8.00
6/17/11 11:28 @EMDU1 Mini Midcap 400 LONG 1 935.70 6/17 12:24 933.70 1.08%
Trade id #62609016
Max drawdown($200)
Time6/17/11 12:24
Quant open0
Worst price933.70
Drawdown as % of equity-1.08%
($208)
Includes Typical Broker Commissions trade costs of $8.00
6/17/11 9:54 @EMDU1 Mini Midcap 400 SHORT 1 932.40 6/17 10:00 933.80 0.76%
Trade id #62603875
Max drawdown($140)
Time6/17/11 10:00
Quant open0
Worst price933.80
Drawdown as % of equity-0.76%
($148)
Includes Typical Broker Commissions trade costs of $8.00
6/17/11 9:38 @EMDU1 Mini Midcap 400 SHORT 1 933.90 6/17 9:47 935.00 0.59%
Trade id #62602859
Max drawdown($110)
Time6/17/11 9:47
Quant open0
Worst price935.00
Drawdown as % of equity-0.59%
($118)
Includes Typical Broker Commissions trade costs of $8.00
6/16/11 10:38 @EMDU1 Mini Midcap 400 LONG 1 933.20 6/16 11:00 932.30 0.48%
Trade id #62555193
Max drawdown($90)
Time6/16/11 11:00
Quant open0
Worst price932.30
Drawdown as % of equity-0.48%
($98)
Includes Typical Broker Commissions trade costs of $8.00
6/16/11 10:08 @EMDU1 Mini Midcap 400 LONG 1 930.40 6/16 10:28 931.30 n/a $82
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    11/12/2010
  • Starting Unit Size
    $14,507
  • Strategy Age (days)
    2468.6
  • Age
    82 months ago
  • What it trades
    Futures
  • # Trades
    197
  • # Profitable
    80
  • % Profitable
    40.60%
  • Avg trade duration
    1.2 hours
  • Max peak-to-valley drawdown
    42.92%
  • drawdown period
    April 11, 2011 - Sept 14, 2011
  • Annual Return (Compounded)
    -3.8%
  • Avg win
    $303.73
  • Avg loss
    $201.84
  • Model Account Values (Raw)
  • Cash
    $15,192
  • Margin Used
    $0
  • Buying Power
    $15,192
  • Ratios
  • W:L ratio
    1.03:1
  • Sharpe Ratio
    0.149
  • Sortino Ratio
    0.253
  • Calmar Ratio
    0.058
  • Return Statistics
  • Ann Return (w trading costs)
    -3.8%
  • Ann Return (Compnd, No Fees)
    0.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 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
    5
  • Win / Loss
  • Avg Loss
    $202
  • Avg Win
    $304
  • # Winners
    80
  • # Losers
    117
  • % Winners
    40.6%
  • Frequency
  • Avg Position Time (mins)
    71.38
  • Avg Position Time (hrs)
    1.19
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    2163
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00702
  • SD
    0.18803
  • Sharpe ratio (Glass type estimate)
    0.03736
  • Sharpe ratio (Hedges UMVUE)
    0.03642
  • df
    30.00000
  • t
    0.06005
  • p
    0.47626
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.18238
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.25656
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.18305
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.25588
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.05587
  • Upside Potential Ratio
    1.27763
  • Upside part of mean
    0.16066
  • Downside part of mean
    -0.15363
  • Upside SD
    0.13567
  • Downside SD
    0.12575
  • N nonnegative terms
    5.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.24800
  • Mean of criterion
    0.00702
  • SD of predictor
    0.18127
  • SD of criterion
    0.18803
  • Covariance
    -0.00286
  • r
    -0.08404
  • b (slope, estimate of beta)
    -0.08717
  • a (intercept, estimate of alpha)
    0.02864
  • Mean Square Error
    0.03632
  • DF error
    29.00000
  • t(b)
    -0.45418
  • p(b)
    0.67346
  • t(a)
    0.22420
  • p(a)
    0.41209
  • Lowerbound of 95% confidence interval for beta
    -0.47973
  • Upperbound of 95% confidence interval for beta
    0.30538
  • Lowerbound of 95% confidence interval for alpha
    -0.23266
  • Upperbound of 95% confidence interval for alpha
    0.28995
  • Treynor index (mean / b)
    -0.08059
  • Jensen alpha (a)
    0.02864
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01002
  • SD
    0.18788
  • Sharpe ratio (Glass type estimate)
    -0.05334
  • Sharpe ratio (Hedges UMVUE)
    -0.05199
  • df
    30.00000
  • t
    -0.08573
  • p
    0.53387
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.27241
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.16660
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.27150
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.16751
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.07457
  • Upside Potential Ratio
    1.13004
  • Upside part of mean
    0.15188
  • Downside part of mean
    -0.16190
  • Upside SD
    0.12691
  • Downside SD
    0.13440
  • N nonnegative terms
    5.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.22903
  • Mean of criterion
    -0.01002
  • SD of predictor
    0.18325
  • SD of criterion
    0.18788
  • Covariance
    -0.00260
  • r
    -0.07550
  • b (slope, estimate of beta)
    -0.07741
  • a (intercept, estimate of alpha)
    0.00771
  • Mean Square Error
    0.03631
  • DF error
    29.00000
  • t(b)
    -0.40774
  • p(b)
    0.65677
  • t(a)
    0.06104
  • p(a)
    0.47587
  • Lowerbound of 95% confidence interval for beta
    -0.46570
  • Upperbound of 95% confidence interval for beta
    0.31088
  • Lowerbound of 95% confidence interval for alpha
    -0.25056
  • Upperbound of 95% confidence interval for alpha
    0.26598
  • Treynor index (mean / b)
    0.12946
  • Jensen alpha (a)
    0.00771
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08611
  • Expected Shortfall on VaR
    0.10641
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04009
  • Expected Shortfall on VaR
    0.08301
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    31.00000
  • Minimum
    0.84601
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.17018
  • Mean of quarter 1
    0.95794
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.05335
  • Inter Quartile Range
    0.00000
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.12903
  • Mean of outliers low
    0.91588
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.19355
  • Mean of outliers high
    1.07113
  • 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)
    -0.10583
  • VaR(95%) (regression method)
    0.05266
  • Expected Shortfall (regression method)
    0.09198
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.30086
  • Quartile 1
    0.30086
  • Median
    0.30086
  • Quartile 3
    0.30086
  • Maximum
    0.30086
  • 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)
    0.01830
  • Compounded annual return (geometric extrapolation)
    0.01805
  • Calmar ratio (compounded annual return / max draw down)
    0.05998
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.16959
  • 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
    0.05538
  • SD
    0.37085
  • Sharpe ratio (Glass type estimate)
    0.14935
  • Sharpe ratio (Hedges UMVUE)
    0.14918
  • df
    693.00000
  • t
    0.24306
  • p
    0.40401
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.05498
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.35358
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.05510
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.35346
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.25298
  • Upside Potential Ratio
    3.27534
  • Upside part of mean
    0.71706
  • Downside part of mean
    -0.66168
  • Upside SD
    0.29902
  • Downside SD
    0.21893
  • N nonnegative terms
    75.00000
  • N negative terms
    619.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    694.00000
  • Mean of predictor
    0.27968
  • Mean of criterion
    0.05538
  • SD of predictor
    0.26447
  • SD of criterion
    0.37085
  • Covariance
    0.02671
  • r
    0.27236
  • b (slope, estimate of beta)
    0.38191
  • a (intercept, estimate of alpha)
    -0.05100
  • Mean Square Error
    0.12751
  • DF error
    692.00000
  • t(b)
    7.44613
  • p(b)
    0.00000
  • t(a)
    -0.23389
  • p(a)
    0.59243
  • Lowerbound of 95% confidence interval for beta
    0.28121
  • Upperbound of 95% confidence interval for beta
    0.48261
  • Lowerbound of 95% confidence interval for alpha
    -0.48313
  • Upperbound of 95% confidence interval for alpha
    0.38027
  • Treynor index (mean / b)
    0.14502
  • Jensen alpha (a)
    -0.05143
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01046
  • SD
    0.36137
  • Sharpe ratio (Glass type estimate)
    -0.02896
  • Sharpe ratio (Hedges UMVUE)
    -0.02893
  • df
    693.00000
  • t
    -0.04713
  • p
    0.51879
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.23321
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.17530
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.23318
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.17533
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.04272
  • Upside Potential Ratio
    2.77153
  • Upside part of mean
    0.67893
  • Downside part of mean
    -0.68940
  • Upside SD
    0.26532
  • Downside SD
    0.24497
  • N nonnegative terms
    75.00000
  • N negative terms
    619.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    694.00000
  • Mean of predictor
    0.24467
  • Mean of criterion
    -0.01046
  • SD of predictor
    0.26418
  • SD of criterion
    0.36137
  • Covariance
    0.02534
  • r
    0.26544
  • b (slope, estimate of beta)
    0.36309
  • a (intercept, estimate of alpha)
    -0.09930
  • Mean Square Error
    0.12156
  • DF error
    692.00000
  • t(b)
    7.24243
  • p(b)
    0.00000
  • t(a)
    -0.46277
  • p(a)
    0.67816
  • Lowerbound of 95% confidence interval for beta
    0.26466
  • Upperbound of 95% confidence interval for beta
    0.46152
  • Lowerbound of 95% confidence interval for alpha
    -0.52060
  • Upperbound of 95% confidence interval for alpha
    0.32200
  • Treynor index (mean / b)
    -0.02882
  • Jensen alpha (a)
    -0.09930
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03609
  • Expected Shortfall on VaR
    0.04501
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00817
  • Expected Shortfall on VaR
    0.01830
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    694.00000
  • Minimum
    0.72197
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.38509
  • Mean of quarter 1
    0.99031
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01096
  • Inter Quartile Range
    0.00000
  • Number outliers low
    83.00000
  • Percentage of outliers low
    0.11960
  • Mean of outliers low
    0.97968
  • Number of outliers high
    75.00000
  • Percentage of outliers high
    0.10807
  • Mean of outliers high
    1.02543
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -4.17451
  • VaR(95%) (moments method)
    0.00101
  • Expected Shortfall (moments method)
    0.00103
  • 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
    8.00000
  • Minimum
    0.00168
  • Quartile 1
    0.01315
  • Median
    0.07249
  • Quartile 3
    0.15479
  • Maximum
    0.30086
  • Mean of quarter 1
    0.00481
  • Mean of quarter 2
    0.03014
  • Mean of quarter 3
    0.10580
  • Mean of quarter 4
    0.29198
  • Inter Quartile Range
    0.14164
  • 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)
    0.01785
  • Compounded annual return (geometric extrapolation)
    0.01760
  • Calmar ratio (compounded annual return / max draw down)
    0.05848
  • Compounded annual return / average of 25% largest draw downs
    0.06026
  • Compounded annual return / Expected Shortfall lognormal
    0.39091
  • 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
    0.34293
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.28527
  • 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
    0.30200
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.28703
  • 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)
    -6852040000000000.00000
  • 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)
    -81968200000000003299560172552192.00000
  • 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

100% automated, no manual intervention, and no discretion. Orders generated by NinjaTrader.

Contracts are never added to losing positions.


Note: the algorithm was tweaked on 7/25/11. The developer believes the performance subsequent to this change is more indicative of what one can expect going forward.


Your questions and comments are encouraged. Please contact the developer via PM.

Summary Statistics

Strategy began
2010-11-12
Minimum Capital Required
$14,500
# Trades
197
# Profitable
80
% Profitable
40.6%
Correlation S&P500
-0.025
Sharpe Ratio
0.149

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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