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

Freestyle ES/GC Trading (64925125)

Created by: MaryChen MaryChen
Started: 08/2011
Futures
Last trade: 2,240 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 $75.00 per month.

-5.9%
Annual Return (Compounded)
57.6%
Max Drawdown
44
Num Trades
86.4%
Win Trades
0.8 : 1
Profit Factor
2.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                                                 +13.5%(40.9%)+1.4%  -    -  (32%)
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.

Trading Record

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Long
Short
Both
Win
Loss
Both
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Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/26/11 21:22 @ESZ1 E-MINI S&P 500 SHORT 10 1248.38 10/27 8:05 1267.50 32.21%
Trade id #67260844
Max drawdown($9,687)
Time10/27/11 8:05
Quant open-10
Worst price1267.75
Drawdown as % of equity-32.21%
($9,643)
Includes Typical Broker Commissions trade costs of $80.00
10/25/11 10:56 @ESZ1 E-MINI S&P 500 SHORT 5 1236.50 10/26 11:37 1224.25 3.88%
Trade id #67181837
Max drawdown($1,125)
Time10/25/11 12:30
Quant open-5
Worst price1241.00
Drawdown as % of equity-3.88%
$3,023
Includes Typical Broker Commissions trade costs of $40.00
10/12/11 12:17 @ESZ1 E-MINI S&P 500 SHORT 5 1206.50 10/13 1:56 1196.00 9%
Trade id #66700835
Max drawdown($2,375)
Time10/12/11 14:34
Quant open-5
Worst price1216.00
Drawdown as % of equity-9.00%
$2,585
Includes Typical Broker Commissions trade costs of $40.00
10/3/11 15:47 @ESZ1 E-MINI S&P 500 SHORT 5 1102.50 10/4 3:34 1084.50 4.85%
Trade id #66362912
Max drawdown($1,062)
Time10/3/11 15:49
Quant open-5
Worst price1106.75
Drawdown as % of equity-4.85%
$4,460
Includes Typical Broker Commissions trade costs of $40.00
9/28/11 13:14 QGCZ1 Gold 100 oz SHORT 2 1618.1 9/28 16:22 1614.9 2.54%
Trade id #66210877
Max drawdown($540)
Time9/28/11 13:42
Quant open-2
Worst price1620.8
Drawdown as % of equity-2.54%
$624
Includes Typical Broker Commissions trade costs of $16.00
9/26/11 22:42 QGCZ1 Gold 100 oz SHORT 2 1646.0 9/26 22:45 1645.7 1.42%
Trade id #66122231
Max drawdown($300)
Time9/26/11 22:45
Quant open-2
Worst price1647.5
Drawdown as % of equity-1.42%
$44
Includes Typical Broker Commissions trade costs of $16.00
9/19/11 11:02 QGCZ1 Gold 100 oz LONG 2 1790.2 9/23 8:44 1686.0 66.43%
Trade id #65832468
Max drawdown($20,920)
Time9/23/11 8:41
Quant open2
Worst price1685.6
Drawdown as % of equity-66.43%
($20,856)
Includes Typical Broker Commissions trade costs of $16.00
9/15/11 15:26 @ESZ1 E-MINI S&P 500 LONG 5 1198.75 9/16 9:27 1206.75 2.52%
Trade id #65742284
Max drawdown($1,000)
Time9/16/11 4:31
Quant open5
Worst price1194.75
Drawdown as % of equity-2.52%
$1,960
Includes Typical Broker Commissions trade costs of $40.00
9/15/11 9:06 @ESZ1 E-MINI S&P 500 LONG 5 1191.00 9/15 11:21 1191.50 4.49%
Trade id #65723482
Max drawdown($1,750)
Time9/15/11 11:02
Quant open5
Worst price1184.00
Drawdown as % of equity-4.49%
$85
Includes Typical Broker Commissions trade costs of $40.00
9/14/11 0:22 QGCZ1 Gold 100 oz SHORT 1 1838.0 9/14 2:43 1827.0 0.46%
Trade id #65666390
Max drawdown($180)
Time9/14/11 0:26
Quant open-1
Worst price1839.8
Drawdown as % of equity-0.46%
$1,092
Includes Typical Broker Commissions trade costs of $8.00
9/13/11 3:10 @ESZ1 E-MINI S&P 500 LONG 5 1155.25 9/13 15:19 1160.50 11.23%
Trade id #65623389
Max drawdown($4,062)
Time9/13/11 4:20
Quant open5
Worst price1139.00
Drawdown as % of equity-11.23%
$1,273
Includes Typical Broker Commissions trade costs of $40.00
9/12/11 2:30 @ESU1 E-MINI S&P 500 LONG 5 1141.25 9/12 9:08 1142.00 8.19%
Trade id #65570553
Max drawdown($2,937)
Time9/12/11 8:08
Quant open5
Worst price1129.50
Drawdown as % of equity-8.19%
$148
Includes Typical Broker Commissions trade costs of $40.00
9/9/11 8:59 @ESU1 E-MINI S&P 500 LONG 5 1180.25 9/9 11:23 1160.25 12.86%
Trade id #65514324
Max drawdown($5,000)
Time9/9/11 11:23
Quant open0
Worst price1160.25
Drawdown as % of equity-12.86%
($5,040)
Includes Typical Broker Commissions trade costs of $40.00
9/9/11 4:42 @ESU1 E-MINI S&P 500 LONG 5 1180.50 9/9 8:15 1183.00 1.63%
Trade id #65507037
Max drawdown($687)
Time9/9/11 7:07
Quant open5
Worst price1177.75
Drawdown as % of equity-1.63%
$585
Includes Typical Broker Commissions trade costs of $40.00
9/8/11 14:26 @ESU1 E-MINI S&P 500 SHORT 2 1184.75 9/8 19:20 1188.00 1.37%
Trade id #65484691
Max drawdown($575)
Time9/8/11 15:45
Quant open-2
Worst price1190.50
Drawdown as % of equity-1.37%
($341)
Includes Typical Broker Commissions trade costs of $16.00
9/8/11 13:46 @ESU1 E-MINI S&P 500 LONG 2 1186.50 9/8 13:51 1187.00 0.3%
Trade id #65482578
Max drawdown($125)
Time9/8/11 13:51
Quant open2
Worst price1185.25
Drawdown as % of equity-0.30%
$34
Includes Typical Broker Commissions trade costs of $16.00
9/8/11 9:36 QGCZ1 Gold 100 oz LONG 1 1858.0 9/8 13:14 1860.0 2.15%
Trade id #65469605
Max drawdown($880)
Time9/8/11 10:41
Quant open1
Worst price1849.2
Drawdown as % of equity-2.15%
$192
Includes Typical Broker Commissions trade costs of $8.00
9/8/11 9:43 @ESU1 E-MINI S&P 500 SHORT 2 1197.50 9/8 12:55 1197.00 1.52%
Trade id #65470437
Max drawdown($625)
Time9/8/11 11:09
Quant open-2
Worst price1203.75
Drawdown as % of equity-1.52%
$34
Includes Typical Broker Commissions trade costs of $16.00
9/8/11 7:55 QGCZ1 Gold 100 oz LONG 1 1854.7 9/8 9:26 1867.0 3.14%
Trade id #65464740
Max drawdown($1,260)
Time9/8/11 8:31
Quant open1
Worst price1842.1
Drawdown as % of equity-3.14%
$1,222
Includes Typical Broker Commissions trade costs of $8.00
9/8/11 8:37 @ESU1 E-MINI S&P 500 LONG 2 1189.25 9/8 9:14 1190.50 0.8%
Trade id #65466304
Max drawdown($325)
Time9/8/11 8:49
Quant open2
Worst price1186.00
Drawdown as % of equity-0.80%
$109
Includes Typical Broker Commissions trade costs of $16.00
9/8/11 8:23 @ESU1 E-MINI S&P 500 SHORT 4 1192.75 9/8 8:27 1192.00 0%
Trade id #65465580
Max drawdown$0
Time9/8/11 8:25
Quant open-4
Worst price1192.75
Drawdown as % of equity0.00%
$118
Includes Typical Broker Commissions trade costs of $32.00
9/7/11 21:41 @ESU1 E-MINI S&P 500 SHORT 4 1199.50 9/8 8:16 1193.25 1.55%
Trade id #65451791
Max drawdown($600)
Time9/8/11 5:50
Quant open-4
Worst price1202.50
Drawdown as % of equity-1.55%
$1,218
Includes Typical Broker Commissions trade costs of $32.00
9/7/11 12:31 @ESU1 E-MINI S&P 500 LONG 4 1189.50 9/7 16:31 1199.50 0.27%
Trade id #65434622
Max drawdown($100)
Time9/7/11 12:33
Quant open4
Worst price1189.00
Drawdown as % of equity-0.27%
$1,968
Includes Typical Broker Commissions trade costs of $32.00
9/7/11 10:08 @ESU1 E-MINI S&P 500 SHORT 4 1186.88 9/7 12:30 1189.00 1.15%
Trade id #65428282
Max drawdown($425)
Time9/7/11 12:30
Quant open0
Worst price1189.00
Drawdown as % of equity-1.15%
($457)
Includes Typical Broker Commissions trade costs of $32.00
9/6/11 16:49 @ESU1 E-MINI S&P 500 SHORT 6 1170.92 9/7 9:32 1176.50 7.71%
Trade id #65398595
Max drawdown($2,875)
Time9/7/11 6:53
Quant open-6
Worst price1180.50
Drawdown as % of equity-7.71%
($1,723)
Includes Typical Broker Commissions trade costs of $48.00
9/6/11 13:49 @ESU1 E-MINI S&P 500 SHORT 4 1160.00 9/6 14:37 1159.00 1.54%
Trade id #65390433
Max drawdown($600)
Time9/6/11 14:28
Quant open-4
Worst price1163.00
Drawdown as % of equity-1.54%
$168
Includes Typical Broker Commissions trade costs of $32.00
9/2/11 8:47 QGCZ1 Gold 100 oz LONG 1 1871.8 9/6 11:23 1872.2 2.37%
Trade id #65290584
Max drawdown($1,000)
Time9/6/11 4:04
Quant open1
Worst price1861.8
Drawdown as % of equity-2.37%
$32
Includes Typical Broker Commissions trade costs of $8.00
9/6/11 4:02 @ESU1 E-MINI S&P 500 SHORT 1 1152.00 9/6 7:48 1146.00 0.55%
Trade id #65366066
Max drawdown($225)
Time9/6/11 5:10
Quant open-1
Worst price1156.50
Drawdown as % of equity-0.55%
$292
Includes Typical Broker Commissions trade costs of $8.00
9/5/11 11:29 @ESU1 E-MINI S&P 500 SHORT 1 1146.00 9/5 20:22 1140.25 n/a $280
Includes Typical Broker Commissions trade costs of $8.00
9/2/11 8:34 @ESU1 E-MINI S&P 500 LONG 2 1180.00 9/2 8:44 1185.00 n/a $484
Includes Typical Broker Commissions trade costs of $16.00

Statistics

  • Strategy began
    8/23/2011
  • Starting Unit Size
    $30,000
  • Strategy Age (days)
    2302.88
  • Age
    77 months ago
  • What it trades
    Futures
  • # Trades
    44
  • # Profitable
    38
  • % Profitable
    86.40%
  • Avg trade duration
    9.3 hours
  • Max peak-to-valley drawdown
    57.64%
  • drawdown period
    Sept 21, 2011 - Sept 26, 2011
  • Annual Return (Compounded)
    -5.9%
  • Avg win
    $798.55
  • Avg loss
    $6,304
  • Model Account Values (Raw)
  • Cash
    $22,515
  • Margin Used
    $0
  • Buying Power
    $22,515
  • Ratios
  • W:L ratio
    0.80:1
  • Sharpe Ratio
    -0.137
  • Sortino Ratio
    -0.177
  • Calmar Ratio
    -0.277
  • Return Statistics
  • Ann Return (w trading costs)
    -5.9%
  • Ann Return (Compnd, No Fees)
    -4.4%
  • 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
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    309
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    7
  • Win / Loss
  • Avg Loss
    $6,305
  • Avg Win
    $799
  • # Winners
    38
  • # Losers
    6
  • % Winners
    86.4%
  • Frequency
  • Avg Position Time (mins)
    557.08
  • Avg Position Time (hrs)
    9.29
  • Avg Trade Length
    0.4 days
  • Last Trade Ago
    2238
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.15294
  • SD
    0.23987
  • Sharpe ratio (Glass type estimate)
    -0.63758
  • Sharpe ratio (Hedges UMVUE)
    -0.61449
  • df
    21.00000
  • t
    -0.86329
  • p
    0.61718
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.09037
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.82995
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.07390
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.84492
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.72357
  • Upside Potential Ratio
    0.38590
  • Upside part of mean
    0.08157
  • Downside part of mean
    -0.23451
  • Upside SD
    0.11044
  • Downside SD
    0.21137
  • N nonnegative terms
    1.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.42159
  • Mean of criterion
    -0.15294
  • SD of predictor
    0.16133
  • SD of criterion
    0.23987
  • Covariance
    -0.01255
  • r
    -0.32438
  • b (slope, estimate of beta)
    -0.48230
  • a (intercept, estimate of alpha)
    0.05040
  • Mean Square Error
    0.05406
  • DF error
    20.00000
  • t(b)
    -1.53363
  • p(b)
    0.66219
  • t(a)
    0.23230
  • p(a)
    0.47406
  • Lowerbound of 95% confidence interval for beta
    -1.13831
  • Upperbound of 95% confidence interval for beta
    0.17370
  • Lowerbound of 95% confidence interval for alpha
    -0.40214
  • Upperbound of 95% confidence interval for alpha
    0.50294
  • Treynor index (mean / b)
    0.31710
  • Jensen alpha (a)
    0.05040
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.18446
  • SD
    0.26119
  • Sharpe ratio (Glass type estimate)
    -0.70624
  • Sharpe ratio (Hedges UMVUE)
    -0.68066
  • df
    21.00000
  • t
    -0.95626
  • p
    0.62913
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.16109
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.76493
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.14276
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.78143
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.76989
  • Upside Potential Ratio
    0.31658
  • Upside part of mean
    0.07585
  • Downside part of mean
    -0.26031
  • Upside SD
    0.10270
  • Downside SD
    0.23959
  • N nonnegative terms
    1.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.40226
  • Mean of criterion
    -0.18446
  • SD of predictor
    0.15159
  • SD of criterion
    0.26119
  • Covariance
    -0.01253
  • r
    -0.31653
  • b (slope, estimate of beta)
    -0.54538
  • a (intercept, estimate of alpha)
    0.03492
  • Mean Square Error
    0.06445
  • DF error
    20.00000
  • t(b)
    -1.49227
  • p(b)
    0.65826
  • t(a)
    0.14657
  • p(a)
    0.48362
  • Lowerbound of 95% confidence interval for beta
    -1.30773
  • Upperbound of 95% confidence interval for beta
    0.21697
  • Lowerbound of 95% confidence interval for alpha
    -0.46208
  • Upperbound of 95% confidence interval for alpha
    0.53193
  • Treynor index (mean / b)
    0.33823
  • Jensen alpha (a)
    0.03492
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13011
  • Expected Shortfall on VaR
    0.15676
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06618
  • Expected Shortfall on VaR
    0.13832
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.74855
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.15187
  • Mean of quarter 1
    0.93649
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02531
  • Inter Quartile Range
    0.00000
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.09091
  • Mean of outliers low
    0.80948
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.04545
  • Mean of outliers high
    1.15187
  • 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)
    -1.08870
  • VaR(95%) (regression method)
    0.23984
  • Expected Shortfall (regression method)
    0.30777
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.34845
  • Quartile 1
    0.34845
  • Median
    0.34845
  • Quartile 3
    0.34845
  • Maximum
    0.34845
  • 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)
    -0.13609
  • Compounded annual return (geometric extrapolation)
    -0.14491
  • Calmar ratio (compounded annual return / max draw down)
    -0.41589
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.92441
  • 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
    -0.06468
  • SD
    0.47018
  • Sharpe ratio (Glass type estimate)
    -0.13757
  • Sharpe ratio (Hedges UMVUE)
    -0.13736
  • df
    488.00000
  • t
    -0.18795
  • p
    0.57450
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.57218
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.29716
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.57203
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.29731
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.17722
  • Upside Potential Ratio
    1.73152
  • Upside part of mean
    0.63197
  • Downside part of mean
    -0.69665
  • Upside SD
    0.29567
  • Downside SD
    0.36498
  • N nonnegative terms
    21.00000
  • N negative terms
    468.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    489.00000
  • Mean of predictor
    0.44080
  • Mean of criterion
    -0.06468
  • SD of predictor
    0.23004
  • SD of criterion
    0.47018
  • Covariance
    -0.00096
  • r
    -0.00891
  • b (slope, estimate of beta)
    -0.01822
  • a (intercept, estimate of alpha)
    -0.05700
  • Mean Square Error
    0.22151
  • DF error
    487.00000
  • t(b)
    -0.19673
  • p(b)
    0.57794
  • t(a)
    -0.16330
  • p(a)
    0.56483
  • Lowerbound of 95% confidence interval for beta
    -0.20019
  • Upperbound of 95% confidence interval for beta
    0.16375
  • Lowerbound of 95% confidence interval for alpha
    -0.73828
  • Upperbound of 95% confidence interval for alpha
    0.62497
  • Treynor index (mean / b)
    3.55012
  • Jensen alpha (a)
    -0.05665
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.18169
  • SD
    0.49352
  • Sharpe ratio (Glass type estimate)
    -0.36814
  • Sharpe ratio (Hedges UMVUE)
    -0.36757
  • df
    488.00000
  • t
    -0.50294
  • p
    0.69238
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.80281
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.06682
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.80240
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.06725
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.43823
  • Upside Potential Ratio
    1.43221
  • Upside part of mean
    0.59378
  • Downside part of mean
    -0.77547
  • Upside SD
    0.26704
  • Downside SD
    0.41459
  • N nonnegative terms
    21.00000
  • N negative terms
    468.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    489.00000
  • Mean of predictor
    0.41395
  • Mean of criterion
    -0.18169
  • SD of predictor
    0.23047
  • SD of criterion
    0.49352
  • Covariance
    -0.00187
  • r
    -0.01643
  • b (slope, estimate of beta)
    -0.03519
  • a (intercept, estimate of alpha)
    -0.16712
  • Mean Square Error
    0.24400
  • DF error
    487.00000
  • t(b)
    -0.36268
  • p(b)
    0.64150
  • t(a)
    -0.45938
  • p(a)
    0.67692
  • Lowerbound of 95% confidence interval for beta
    -0.22582
  • Upperbound of 95% confidence interval for beta
    0.15545
  • Lowerbound of 95% confidence interval for alpha
    -0.88192
  • Upperbound of 95% confidence interval for alpha
    0.54768
  • Treynor index (mean / b)
    5.16324
  • Jensen alpha (a)
    -0.16712
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04957
  • Expected Shortfall on VaR
    0.06155
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00898
  • Expected Shortfall on VaR
    0.02038
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    489.00000
  • Minimum
    0.71782
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.31776
  • Mean of quarter 1
    0.98983
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00969
  • Inter Quartile Range
    0.00000
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.02454
  • Mean of outliers low
    0.89580
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.04294
  • Mean of outliers high
    1.05627
  • 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)
    0.93556
  • VaR(95%) (regression method)
    -0.00757
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01493
  • Quartile 1
    0.08726
  • Median
    0.13733
  • Quartile 3
    0.25123
  • Maximum
    0.51506
  • Mean of quarter 1
    0.01493
  • Mean of quarter 2
    0.11137
  • Mean of quarter 3
    0.16329
  • Mean of quarter 4
    0.51506
  • Inter Quartile Range
    0.16397
  • 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
    0.25000
  • Mean of outliers high
    0.51506
  • 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)
    -0.13368
  • Compounded annual return (geometric extrapolation)
    -0.14254
  • Calmar ratio (compounded annual return / max draw down)
    -0.27674
  • Compounded annual return / average of 25% largest draw downs
    -0.27674
  • Compounded annual return / Expected Shortfall lognormal
    -2.31596
  • 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
    0.62138
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.21185
  • 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
    0.59825
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.21261
  • 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)
    -6764380000000000.00000
  • 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)
    170662000000000013058837594505216.00000
  • 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

Faq

1. What's your educational background?

Master in Electrical Engineering, Master in Bio Engieering, PhD Candidate ABD (all but dissertation) in Electrical Engineering.

2. What's your trading experience

More than 11 years' personal trading experience. 3 years' trader and partner of a stock trading firm.

3. What's your trading methodology/philosophy?

Enter conservatively, exit aggressively. The system is mainly based on pattern analysis. Correlation analysis, fuzzy decision are also applied into the system development.

4. How's the system risk/drawdown control?

The system uses different size based on the confidence lelvel, trading plan. Average down is used when appropriate.

5. How's the customer relationship?

I will do my best to answer subscriber's question promptly.

Summary Statistics

Strategy began
2011-08-23
Minimum Capital Required
$30,000
# Trades
44
# Profitable
38
% Profitable
86.4%
Correlation S&P500
0.048
Sharpe Ratio
-0.137

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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