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

2012  +0.5%  +5.4%  (5.7%)  +7.5%  +4.1%  (0.5%)  +11.3%  
2013  (11%)  (5.6%)  (18.6%)  (3.2%)                  (33.9%) 
2014                          0.0 
2015                          0.0 
2016                0.0 
Model Account Details
Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.
Started  $50,000  
Buy Power  $38,175  
Cash  $38,175  
Equity  $0  
Cumulative $  ($11,825)  
Total System Equity  $38,175  
Margined  $0  
Open P/L  $0 
Open positions are hidden from nonsubscribers.

Trading Record 

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Statistics
 Strategy began7/16/2012
 Starting Unit Size$50,000
 Strategy Age (days)1464.27
 Age49 months ago
 What it tradesFutures
 # Trades17
 # Profitable10
 % Profitable58.80%
 Avg trade duration11.5 days
 Max peaktovalley drawdown35.07%
 drawdown periodNov 21, 2012  April 05, 2013
 Annual Return (Compounded)7.3%
 Avg win$1,161
 Avg loss$3,348
 Model Account Values (Raw)
 Cash$38,175
 Margin Used$0
 Buying Power$38,175
 Ratios
 W:L ratio0.50:1
 Sharpe Ratio0.837
 Sortino Ratio1.004
 Calmar Ratio0.455
 Return Statistics
 Ann Return (w trading costs)7.3%
 Ann Return (Compnd, No Fees)6.5%
 Risk of Ruin (MonteCarlo)
 Chance of 10% account loss100.00%
 Chance of 20% account loss100.00%
 Chance of 30% account loss100.00%
 Chance of 40% account lossn/a
 Chance of 50% account lossn/a
 Popularity
 Popularity (Today)0
 Popularity (Last 6 weeks)0
 TradesOwnSystem Certification
 Trades Own System?0
 TOS percentn/a
 Subscription Price
 Billing Period (days)30
 Trial Days10
 Win / Loss
 Avg Loss$3,349
 Avg Win$1,161
 # Winners10
 # Losers7
 % Winners58.8%
 Frequency
 Avg Position Time (mins)16555.70
 Avg Position Time (hrs)275.93
 Avg Trade Length11.5 days
 Last Trade Ago1223
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio
 Mean0.15545
 SD0.21323
 Sharpe ratio (Glass type estimate)0.72900
 Sharpe ratio (Hedges UMVUE)0.69812
 df18.00000
 t0.91731
 p0.60566
 Lowerbound of 95% confidence interval for Sharpe Ratio2.29468
 Upperbound of 95% confidence interval for Sharpe Ratio0.85627
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.27235
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.87610
 Statistics related to Sortino ratio
 Sortino ratio0.78073
 Upside Potential Ratio0.50272
 Upside part of mean0.10009
 Downside part of mean0.25554
 Upside SD0.07380
 Downside SD0.19910
 N nonnegative terms4.00000
 N negative terms15.00000
 Statistics related to linear regression on benchmark
 N of observations19.00000
 Mean of predictor0.27157
 Mean of criterion0.15545
 SD of predictor0.16372
 SD of criterion0.21323
 Covariance0.00961
 r0.27519
 b (slope, estimate of beta)0.35841
 a (intercept, estimate of alpha)0.05811
 Mean Square Error0.04450
 DF error17.00000
 t(b)1.18019
 p(b)0.67295
 t(a)0.31105
 p(a)0.54785
 Lowerbound of 95% confidence interval for beta0.99915
 Upperbound of 95% confidence interval for beta0.28232
 Lowerbound of 95% confidence interval for alpha0.45229
 Upperbound of 95% confidence interval for alpha0.33606
 Treynor index (mean / b)0.43371
 Jensen alpha (a)0.05811
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.18038
 SD0.23026
 Sharpe ratio (Glass type estimate)0.78337
 Sharpe ratio (Hedges UMVUE)0.75019
 df18.00000
 t0.98572
 p0.61316
 Lowerbound of 95% confidence interval for Sharpe Ratio2.35109
 Upperbound of 95% confidence interval for Sharpe Ratio0.80532
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.32697
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.82659
 Statistics related to Sortino ratio
 Sortino ratio0.82511
 Upside Potential Ratio0.44549
 Upside part of mean0.09739
 Downside part of mean0.27777
 Upside SD0.07175
 Downside SD0.21861
 N nonnegative terms4.00000
 N negative terms15.00000
 Statistics related to linear regression on benchmark
 N of observations19.00000
 Mean of predictor0.25631
 Mean of criterion0.18038
 SD of predictor0.15885
 SD of criterion0.23026
 Covariance0.01022
 r0.27930
 b (slope, estimate of beta)0.40484
 a (intercept, estimate of alpha)0.07661
 Mean Square Error0.05176
 DF error17.00000
 t(b)1.19931
 p(b)0.67547
 t(a)0.38222
 p(a)0.55868
 Lowerbound of 95% confidence interval for beta1.11703
 Upperbound of 95% confidence interval for beta0.30735
 Lowerbound of 95% confidence interval for alpha0.49950
 Upperbound of 95% confidence interval for alpha0.34627
 Treynor index (mean / b)0.44555
 Jensen alpha (a)0.07661
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.11694
 Expected Shortfall on VaR0.14087
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.06430
 Expected Shortfall on VaR0.13224
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations19.00000
 Minimum0.81548
 Quartile 11.00000
 Median1.00000
 Quartile 31.00000
 Maximum1.06394
 Mean of quarter 10.92157
 Mean of quarter 21.00000
 Mean of quarter 31.00000
 Mean of quarter 41.03236
 Inter Quartile Range0.00000
 Number outliers low4.00000
 Percentage of outliers low0.21053
 Mean of outliers low0.90196
 Number of outliers high4.00000
 Percentage of outliers high0.21053
 Mean of outliers high1.04045
 Risk estimates for a oneperiod unit investment (based on Ex
 Extreme Value Index (moments method)0.00000
 VaR(95%) (moments method)0.00000
 Expected Shortfall (moments method)0.00000
 Extreme Value Index (regression method)0.21303
 VaR(95%) (regression method)0.06749
 Expected Shortfall (regression method)0.09647
 DRAW DOWN STATISTICS
 Quartiles of draw downs
 Number of observations2.00000
 Minimum0.02037
 Quartile 10.09883
 Median0.17729
 Quartile 30.25575
 Maximum0.33421
 Mean of quarter 10.02037
 Mean of quarter 20.00000
 Mean of quarter 30.00000
 Mean of quarter 40.33421
 Inter Quartile Range0.15692
 Number outliers low0.00000
 Percentage of outliers low0.00000
 Mean of outliers low0.00000
 Number of outliers high0.00000
 Percentage of outliers high0.00000
 Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T
 Extreme Value Index (moments method)0.00000
 VaR(95%) (moments method)0.00000
 Expected Shortfall (moments method)0.00000
 Extreme Value Index (regression method)0.00000
 VaR(95%) (regression method)0.00000
 Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.14937
 Compounded annual return (geometric extrapolation)0.15670
 Calmar ratio (compounded annual return / max draw down)0.46885
 Compounded annual return / average of 25% largest draw downs0.46885
 Compounded annual return / Expected Shortfall lognormal1.11232
 0.00000
 0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio
 Mean0.15410
 SD0.20499
 Sharpe ratio (Glass type estimate)0.75175
 Sharpe ratio (Hedges UMVUE)0.75074
 df559.00000
 t0.95915
 p0.83105
 Lowerbound of 95% confidence interval for Sharpe Ratio2.28820
 Upperbound of 95% confidence interval for Sharpe Ratio0.78536
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.28752
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.78604
 Statistics related to Sortino ratio
 Sortino ratio0.92361
 Upside Potential Ratio2.82081
 Upside part of mean0.47064
 Downside part of mean0.62474
 Upside SD0.11907
 Downside SD0.16684
 N nonnegative terms83.00000
 N negative terms477.00000
 Statistics related to linear regression on benchmark
 N of observations560.00000
 Mean of predictor0.29957
 Mean of criterion0.15410
 SD of predictor0.20978
 SD of criterion0.20499
 Covariance0.00412
 r0.09581
 b (slope, estimate of beta)0.09362
 a (intercept, estimate of alpha)0.12605
 Mean Square Error0.04171
 DF error558.00000
 t(b)2.27372
 p(b)0.98832
 t(a)0.78517
 p(a)0.78366
 Lowerbound of 95% confidence interval for beta0.17450
 Upperbound of 95% confidence interval for beta0.01274
 Lowerbound of 95% confidence interval for alpha0.44139
 Upperbound of 95% confidence interval for alpha0.18929
 Treynor index (mean / b)1.64595
 Jensen alpha (a)0.12605
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.17571
 SD0.20953
 Sharpe ratio (Glass type estimate)0.83858
 Sharpe ratio (Hedges UMVUE)0.83746
 df559.00000
 t1.06994
 p0.85745
 Lowerbound of 95% confidence interval for Sharpe Ratio2.37519
 Upperbound of 95% confidence interval for Sharpe Ratio0.69868
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.37439
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.69948
 Statistics related to Sortino ratio
 Sortino ratio1.00358
 Upside Potential Ratio2.64928
 Upside part of mean0.46384
 Downside part of mean0.63955
 Upside SD0.11516
 Downside SD0.17508
 N nonnegative terms83.00000
 N negative terms477.00000
 Statistics related to linear regression on benchmark
 N of observations560.00000
 Mean of predictor0.27752
 Mean of criterion0.17571
 SD of predictor0.20956
 SD of criterion0.20953
 Covariance0.00423
 r0.09625
 b (slope, estimate of beta)0.09624
 a (intercept, estimate of alpha)0.14900
 Mean Square Error0.04358
 DF error558.00000
 t(b)2.28428
 p(b)0.98864
 t(a)0.90841
 p(a)0.81797
 Lowerbound of 95% confidence interval for beta0.17900
 Upperbound of 95% confidence interval for beta0.01348
 Lowerbound of 95% confidence interval for alpha0.47119
 Upperbound of 95% confidence interval for alpha0.17318
 Treynor index (mean / b)1.82575
 Jensen alpha (a)0.14900
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.01891
 Expected Shortfall on VaR0.02352
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.00571
 Expected Shortfall on VaR0.01276
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations560.00000
 Minimum0.85780
 Quartile 11.00000
 Median1.00000
 Quartile 31.00000
 Maximum1.11137
 Mean of quarter 10.99283
 Mean of quarter 21.00000
 Mean of quarter 31.00000
 Mean of quarter 41.00549
 Inter Quartile Range0.00000
 Number outliers low84.00000
 Percentage of outliers low0.15000
 Mean of outliers low0.98806
 Number of outliers high83.00000
 Percentage of outliers high0.14821
 Mean of outliers high1.00926
 Risk estimates for a oneperiod unit investment (based on Ex
 Extreme Value Index (moments method)0.46322
 VaR(95%) (moments method)0.00304
 Expected Shortfall (moments method)0.00842
 Extreme Value Index (regression method)0.53600
 VaR(95%) (regression method)0.00612
 Expected Shortfall (regression method)0.02147
 DRAW DOWN STATISTICS
 Quartiles of draw downs
 Number of observations10.00000
 Minimum0.00211
 Quartile 10.00627
 Median0.01378
 Quartile 30.03102
 Maximum0.33580
 Mean of quarter 10.00347
 Mean of quarter 20.01013
 Mean of quarter 30.01422
 Mean of quarter 40.15760
 Inter Quartile Range0.02475
 Number outliers low0.00000
 Percentage of outliers low0.00000
 Mean of outliers low0.00000
 Number of outliers high2.00000
 Percentage of outliers high0.20000
 Mean of outliers high0.21810
 Risk estimates based on draw downs (based on Extreme Value T
 Extreme Value Index (moments method)1.45520
 VaR(95%) (moments method)0.12295
 Expected Shortfall (moments method)0.13080
 Extreme Value Index (regression method)0.88372
 VaR(95%) (regression method)0.38751
 Expected Shortfall (regression method)3.82121
 COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.14528
 Compounded annual return (geometric extrapolation)0.15275
 Calmar ratio (compounded annual return / max draw down)0.45489
 Compounded annual return / average of 25% largest draw downs0.96924
 Compounded annual return / Expected Shortfall lognormal6.49342
 0.00000
 0.00000
 Analysis based on DAILY values, last 6 months only
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio
 Mean0.00995
 SD0.00000
 Sharpe ratio (Glass type estimate)0.00000
 Sharpe ratio (Hedges UMVUE)0.00000
 df0.00000
 t0.00000
 p0.00000
 Lowerbound of 95% confidence interval for Sharpe Ratio0.00000
 Upperbound of 95% confidence interval for Sharpe Ratio0.00000
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.00000
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.00000
 Statistics related to Sortino ratio
 Sortino ratio18.54720
 Upside Potential Ratio0.00000
 Upside part of mean0.00000
 Downside part of mean0.00995
 Upside SD0.00000
 Downside SD0.00054
 N nonnegative terms0.00000
 N negative terms172.00000
 Statistics related to linear regression on benchmark
 N of observations172.00000
 Mean of predictor0.13415
 Mean of criterion0.00995
 SD of predictor0.28202
 SD of criterion0.00000
 Covariance0.00000
 r0.00000
 b (slope, estimate of beta)0.00000
 a (intercept, estimate of alpha)0.00000
 Mean Square Error0.00000
 DF error0.00000
 t(b)0.00000
 p(b)0.00000
 t(a)0.00000
 p(a)0.00000
 Lowerbound of 95% confidence interval for beta0.00000
 Upperbound of 95% confidence interval for beta0.00000
 Lowerbound of 95% confidence interval for alpha0.00000
 Upperbound of 95% confidence interval for alpha0.00000
 Treynor index (mean / b)0.00000
 Jensen alpha (a)0.00000
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio
 Mean0.00995
 SD0.00000
 Sharpe ratio (Glass type estimate)31576300000000000.00000
 Sharpe ratio (Hedges UMVUE)31437600000000000.00000
 df171.00000
 t22327800000000000.00000
 p1.00000
 Lowerbound of 95% confidence interval for Sharpe Ratio0.00000
 Upperbound of 95% confidence interval for Sharpe Ratio0.00000
 Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation34769500000000000.00000
 Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation28105800000000000.00000
 Statistics related to Sortino ratio
 Sortino ratio18.54720
 Upside Potential Ratio0.00000
 Upside part of mean0.00000
 Downside part of mean0.00995
 Upside SD0.00000
 Downside SD0.00054
 N nonnegative terms0.00000
 N negative terms172.00000
 Statistics related to linear regression on benchmark
 N of observations172.00000
 Mean of predictor0.09449
 Mean of criterion0.00995
 SD of predictor0.28262
 SD of criterion0.00000
 Covariance0.00000
 r0.00000
 b (slope, estimate of beta)0.00000
 a (intercept, estimate of alpha)0.00995
 Mean Square Error0.00000
 DF error170.00000
 t(b)0.00000
 p(b)0.50000
 t(a)22258800000000000.00000
 p(a)1.00000
 Lowerbound of 95% confidence interval for beta0.00000
 Upperbound of 95% confidence interval for beta0.00000
 Lowerbound of 95% confidence interval for alpha0.00995
 Upperbound of 95% confidence interval for alpha0.00995
 Treynor index (mean / b)933603999999999993906031428108288.00000
 Jensen alpha (a)0.00995
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)
 VaR(95%)0.00003
 Expected Shortfall on VaR0.00003
 assuming Pareto losses only (using partial moments from Sortino statistics)
 VaR(95%)0.00000
 Expected Shortfall on VaR0.00000
 ORDER STATISTICS
 Quartiles of return rates
 Number of observations172.00000
 Minimum1.00000
 Quartile 11.00000
 Median1.00000
 Quartile 31.00000
 Maximum1.00000
 Mean of quarter 11.00000
 Mean of quarter 21.00000
 Mean of quarter 31.00000
 Mean of quarter 41.00000
 Inter Quartile Range0.00000
 Number outliers low0.00000
 Percentage of outliers low0.00000
 Mean of outliers low0.00000
 Number of outliers high0.00000
 Percentage of outliers high0.00000
 Mean of outliers high0.00000
 Risk estimates for a oneperiod unit investment (based on Ex
 Extreme Value Index (moments method)0.00000
 VaR(95%) (moments method)0.00000
 Expected Shortfall (moments method)0.00000
 Extreme Value Index (regression method)0.00000
 VaR(95%) (regression method)0.00000
 Expected Shortfall (regression method)0.00000
 DRAW DOWN STATISTICS
 Quartiles of draw downs
 Number of observations0.00000
 Minimum0.00000
 Quartile 10.00000
 Median0.00000
 Quartile 30.00000
 Maximum0.00000
 Mean of quarter 10.00000
 Mean of quarter 20.00000
 Mean of quarter 30.00000
 Mean of quarter 40.00000
 Inter Quartile Range0.00000
 Number outliers low0.00000
 Percentage of outliers low0.00000
 Mean of outliers low0.00000
 Number of outliers high0.00000
 Percentage of outliers high0.00000
 Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T
 Extreme Value Index (moments method)0.00000
 VaR(95%) (moments method)0.00000
 Expected Shortfall (moments method)0.00000
 Extreme Value Index (regression method)0.00000
 VaR(95%) (regression method)0.00000
 Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS
 Annualized return (arithmetic extrapolation)0.00000
 Compounded annual return (geometric extrapolation)0.00000
 Calmar ratio (compounded annual return / max draw down)0.00000
 Compounded annual return / average of 25% largest draw downs0.00000
 Compounded annual return / Expected Shortfall lognormal0.00000
Strategy Description
Statistics
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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.
Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.
About the results you see on this Web site
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have underor overcompensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.
In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.
Material assumptions and methods used when calculating results
The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.
 Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
 Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been rescaled downward to make current goforward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
 All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any pertrade AutoTrade fees, plus estimated broker commissions if any.
 "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.
Trading is risky
There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.