Collective2 Collective2
Featured Strategy Easiest Followed by live capital $564.3 thousand Hypothetical

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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more
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Super Bull
(104294566)

Created by: SeekAlpha SeekAlpha
Started: 07/2016
Stocks, Futures
Last trade: 2,294 days ago
Subscriptions not currently available.

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 $49.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

51.7%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

-
Max Drawdown
129
Num Trades
48.1%
Win Trades
1.7 : 1
Profit Factor
58.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                          (0.7%)(16.9%)(30.9%)+43.0%+46.8%+7.8%+28.9%
2017+0.7%+0.3%+0.8%+1.0%+0.5%+0.4%+1.3%(1.5%)(0.5%)+1.4%+2.5%(1%)+6.0%
2018+3.0%+3.0%+0.6%+1.8%+1.4%+1.8%(0.2%)+4.9%(0.2%)(6.5%)+2.4%+0.5%+12.7%
2019+2.8%+1.3%+1.9%+2.4%  -  (0.5%)  -  (3%)(2.3%)(0.1%)(1.2%)+0.2%+1.3%
2020+2.4%+0.1%+1.5%+6.5%+2.8%+6.2%+5.1%+4.7%(4%)+3.7%(1%)+2.0%+33.8%
2021+0.5%(0.1%)(3.5%)+3.5%(4.4%)+4.2%+1.5%(3.8%)(2.3%)(1.7%)+1.3%(4.2%)(9%)
2022(11.5%)+2.6%+0.7%(3.4%)(12%)(2.1%)+4.4%  -  (0.9%)(3.6%)(5%)(1.4%)(28.9%)
2023+5.9%(2.3%)+1.4%(0.8%)+4.5%+2.7%(1.2%)+0.9%(1.9%)+1.1%+4.2%+1.1%+16.1%
2024(0.1%)+4.5%+0.5%+0.7%                                                

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

This strategy has placed 337 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/29/16 11:17 TERP1819M10 TERP Jan19'18 10 put SHORT 2 2.00 1/20/18 9:36 0.00 n/a $398
Includes Typical Broker Commissions trade costs of $2.00
9/8/16 23:09 @USZ6 US T-BOND SHORT 11 165 9/32 12/15 18:00 163 17/32 0.02%
Trade id #105717870
Max drawdown$5
Time9/13/16 13:04
Quant open
Worst price170 1/32
Drawdown as % of equity0.02%
 $18,974
Includes Typical Broker Commissions trade costs of $88.00
10/28/16 16:48 QGCZ6 Gold 100 oz LONG 1 1277.0 10/30 18:46 1278.5 0.02%
Trade id #106752905
Max drawdown$3
Time10/30/16 18:15
Quant open
Worst price1277.2
Drawdown as % of equity0.02%
 $142
Includes Typical Broker Commissions trade costs of $8.00
10/28/16 16:51 @TYZ6 US T-NOTE 10 YR SHORT 1 129 34/64 10/30 18:46 129 42/64 0%
Trade id #106752936
Max drawdown$0
Time10/28/16 16:53
Quant open
Worst price129 41/64
Drawdown as % of equity0.00%
 ($133)
Includes Typical Broker Commissions trade costs of $8.00
10/28/16 13:30 @QOZ6 miNY Gold SHORT 1 1277.00 10/28 13:44 1278.75 0.01%
Trade id #106745857
Max drawdown$2
Time10/28/16 13:31
Quant open
Worst price1280.00
Drawdown as % of equity0.01%
 ($96)
Includes Typical Broker Commissions trade costs of $8.00
10/28/16 13:05 QGCZ6 Gold 100 oz LONG 1 1272.0 10/28 13:44 1279.0 0.01%
Trade id #106743891
Max drawdown$2
Time10/28/16 13:39
Quant open
Worst price1278.6
Drawdown as % of equity0.01%
 $692
Includes Typical Broker Commissions trade costs of $8.00
10/25/16 10:14 SLB SCHLUMBERGER LONG 50 81.00 10/28 13:38 79.17 0.38%
Trade id #106647842
Max drawdown$101
Time10/25/16 10:27
Quant open
Worst price79.17
Drawdown as % of equity0.38%
 ($92)
Includes Typical Broker Commissions trade costs of $1.00
10/27/16 10:19 @TYZ6 US T-NOTE 10 YR LONG 1 129 24/64 10/28 8:45 129 25/64 0%
Trade id #106704305
Max drawdown$0
Time10/27/16 15:43
Quant open
Worst price129 13/64
Drawdown as % of equity0.00%
 $8
Includes Typical Broker Commissions trade costs of $8.00
10/19/16 9:34 INCY INCYTE LONG 25 88.13 10/27 15:22 86.77 0.36%
Trade id #106535436
Max drawdown$105
Time10/27/16 9:40
Quant open
Worst price86.68
Drawdown as % of equity0.36%
 ($35)
Includes Typical Broker Commissions trade costs of $0.50
10/27/16 10:43 @ESZ6 E-MINI S&P 500 LONG 1 2128.75 10/27 11:02 2128.25 0.01%
Trade id #106705348
Max drawdown$3
Time10/27/16 10:52
Quant open
Worst price2128.00
Drawdown as % of equity0.01%
 ($33)
Includes Typical Broker Commissions trade costs of $8.00
10/25/16 9:57 CELG CELGENE LONG 50 98.10 10/27 9:30 99.86 0.51%
Trade id #106647204
Max drawdown$147
Time10/27/16 7:37
Quant open
Worst price99.05
Drawdown as % of equity0.51%
 $87
Includes Typical Broker Commissions trade costs of $1.00
10/26/16 10:17 @YMZ6 MINI DOW LONG 2 18007 10/26 10:36 18050 0.15%
Trade id #106675810
Max drawdown$42
Time10/26/16 10:17
Quant open
Worst price18005
Drawdown as % of equity0.15%
 $409
Includes Typical Broker Commissions trade costs of $16.00
10/14/16 9:52 FCG FIRST TRUST NATURAL GAS ETF LONG 130 26.25 10/26 10:03 24.45 0.98%
Trade id #106457408
Max drawdown$261
Time10/19/16 11:02
Quant open
Worst price24.45
Drawdown as % of equity0.98%
 ($236)
Includes Typical Broker Commissions trade costs of $2.60
10/20/16 9:31 CLR CONTINENTAL RESOURCES LONG 20 52.18 10/26 10:01 49.83 0.28%
Trade id #106559667
Max drawdown$74
Time10/20/16 12:46
Quant open
Worst price49.85
Drawdown as % of equity0.28%
 ($47)
Includes Typical Broker Commissions trade costs of $0.40
10/3/16 9:31 WB WEIBO CORPORATION AMERICAN DEP LONG 50 50.64 10/26 9:59 53.15 0.4%
Trade id #106184445
Max drawdown$88
Time10/3/16 9:38
Quant open
Worst price49.35
Drawdown as % of equity0.40%
 $125
Includes Typical Broker Commissions trade costs of $1.00
10/25/16 10:25 TMUS T-MOBILE US INC. COMMON STOCK LONG 100 51.40 10/25 12:43 50.67 0.42%
Trade id #106648236
Max drawdown$113
Time10/25/16 10:28
Quant open
Worst price50.51
Drawdown as % of equity0.42%
 ($75)
Includes Typical Broker Commissions trade costs of $2.00
10/21/16 10:01 GILD GILEAD SCIENCES LONG 100 74.59 10/25 10:31 74.45 0.29%
Trade id #106588703
Max drawdown$76
Time10/24/16 8:12
Quant open
Worst price73.74
Drawdown as % of equity0.29%
 ($16)
Includes Typical Broker Commissions trade costs of $2.00
10/19/16 9:34 FB META PLATFORMS INC LONG 50 129.16 10/21 15:48 131.86 0.21%
Trade id #106535438
Max drawdown$53
Time10/20/16 10:19
Quant open
Worst price129.60
Drawdown as % of equity0.21%
 $134
Includes Typical Broker Commissions trade costs of $1.00
10/12/16 14:18 IYR ISHARES DOW JONES US REAL ESTA LONG 50 77.26 10/21 15:43 77.91 0.23%
Trade id #106406810
Max drawdown$58
Time10/20/16 9:31
Quant open
Worst price77.43
Drawdown as % of equity0.23%
 $31
Includes Typical Broker Commissions trade costs of $1.00
10/12/16 10:56 CXRX CONCORDIA HEALTHCARE LONG 100 4.30 10/21 11:12 5.07 0.36%
Trade id #106394682
Max drawdown$97
Time10/12/16 12:29
Quant open
Worst price3.43
Drawdown as % of equity0.36%
 $75
Includes Typical Broker Commissions trade costs of $2.00
10/4/16 14:34 SPY SPDR S&P 500 SHORT 60 214.52 10/21 9:30 212.57 0.51%
Trade id #106226337
Max drawdown$139
Time10/7/16 11:48
Quant open
Worst price216.63
Drawdown as % of equity0.51%
 $116
Includes Typical Broker Commissions trade costs of $1.20
10/20/16 14:53 @ESZ6 E-MINI S&P 500 LONG 1 2136.50 10/21 8:31 2130.25 0.04%
Trade id #106570283
Max drawdown$9
Time10/20/16 15:15
Quant open
Worst price2128.75
Drawdown as % of equity0.04%
 ($321)
Includes Typical Broker Commissions trade costs of $8.00
10/20/16 9:50 @ESZ6 E-MINI S&P 500 LONG 1 2136.50 10/20 10:33 2130.75 0.04%
Trade id #106560657
Max drawdown$9
Time10/20/16 10:06
Quant open
Worst price2131.50
Drawdown as % of equity0.04%
 ($296)
Includes Typical Broker Commissions trade costs of $8.00
10/11/16 10:40 XLB MATERIALS SELECT SECTOR SPDR SHORT 70 46.55 10/19 12:25 46.38 0.21%
Trade id #106364759
Max drawdown$54
Time10/13/16 10:04
Quant open
Worst price47.14
Drawdown as % of equity0.21%
 $11
Includes Typical Broker Commissions trade costs of $1.40
8/12/16 9:57 SUNEQ LONG 30,000 0.06 10/19 10:43 0.08 2.16%
Trade id #105145808
Max drawdown$550
Time8/16/16 10:56
Quant open
Worst price0.05
Drawdown as % of equity2.16%
 $766
Includes Typical Broker Commissions trade costs of $15.00
10/17/16 10:01 NFLX NETFLIX LONG 60 98.54 10/17 15:34 100.04 0.17%
Trade id #106484964
Max drawdown$47
Time10/17/16 10:44
Quant open
Worst price98.59
Drawdown as % of equity0.17%
 $89
Includes Typical Broker Commissions trade costs of $1.20
10/7/16 14:03 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 100 11.87 10/17 10:27 12.04 0.71%
Trade id #106309637
Max drawdown$184
Time10/13/16 14:40
Quant open
Worst price11.66
Drawdown as % of equity0.71%
 $15
Includes Typical Broker Commissions trade costs of $2.00
10/10/16 10:21 TWTR TWITTER INC LONG 50 17.06 10/14 13:53 16.78 0.4%
Trade id #106332537
Max drawdown$103
Time10/11/16 9:08
Quant open
Worst price16.28
Drawdown as % of equity0.40%
 ($15)
Includes Typical Broker Commissions trade costs of $1.00
10/10/16 9:52 @TYZ6 US T-NOTE 10 YR LONG 1 129 50/64 10/13 21:33 130 0%
Trade id #106330921
Max drawdown$0
Time10/11/16 12:04
Quant open
Worst price129 34/64
Drawdown as % of equity0.00%
 $211
Includes Typical Broker Commissions trade costs of $8.00
10/13/16 10:59 @NQZ6 E-MINI NASDAQ 100 STK IDX SHORT 2 4768.00 10/13 11:18 4775.50 0.05%
Trade id #106434193
Max drawdown$13
Time10/13/16 11:05
Quant open
Worst price4769.50
Drawdown as % of equity0.05%
 ($316)
Includes Typical Broker Commissions trade costs of $16.00
Next

Statistics

  • Strategy began
    7/1/2016
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    2859.83
  • Age
    95 months ago
  • What it trades
    Stocks, Futures
  • # Trades
    129
  • # Profitable
    62
  • % Profitable
    48.10%
  • Avg trade duration
    178.5 days
  • Max peak-to-valley drawdown
    %
  • drawdown period
    Dec , - Dec ,
  • Cumul. Return
    18.5%
  • Avg win
    $894.29
  • Avg loss
    $527.12
  • Model Account Values (Raw)
  • Cash
    $38,801
  • Margin Used
    $12,791
  • Buying Power
    $35,172
  • Ratios
  • W:L ratio
    1.69:1
  • Sharpe Ratio
    0.25
  • Sortino Ratio
    0.41
  • Calmar Ratio
    0.807
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    13.76%
  • Correlation to SP500
    0.15730
  • Return Percent SP500 (cumu) during strategy life
    138.64%
  • Return Statistics
  • Ann Return (w trading costs)
    51.7%
  • Slump
  • Current Slump as Pcnt Equity
    32.00%
  • Instruments
  • Percent Trades Futures
    0.61%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.41%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.185%
  • Instruments
  • Percent Trades Options
    0.01%
  • Percent Trades Stocks
    0.38%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    7.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    68.00%
  • Chance of 20% account loss
    41.50%
  • Chance of 30% account loss
    19.00%
  • Chance of 40% account loss
    7.00%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    100.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    1.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    803
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    301
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $527
  • Avg Win
    $14,777
  • Sum Trade PL (losers)
    $35,319.000
  • Age
  • Num Months filled monthly returns table
    94
  • Win / Loss
  • Sum Trade PL (winners)
    $930,950.000
  • # Winners
    63
  • Num Months Winners
    55
  • Dividends
  • Dividends Received in Model Acct
    -342
  • Win / Loss
  • # Losers
    67
  • % Winners
    48.5%
  • Frequency
  • Avg Position Time (mins)
    285378.00
  • Avg Position Time (hrs)
    4756.30
  • Avg Trade Length
    198.2 days
  • Last Trade Ago
    2291
  • Regression
  • Alpha
    0.01
  • Beta
    0.24
  • Treynor Index
    0.09
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    1.93
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.49
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    5.79
  • Avg(MAE) / Avg(PL) - All trades
    -1.033
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    17.05
  • Avg(MAE) / Avg(PL) - Winning trades
    0.073
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.002
  • Hold-and-Hope Ratio
    0.000
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11921
  • SD
    1.07873
  • Sharpe ratio (Glass type estimate)
    0.11051
  • Sharpe ratio (Hedges UMVUE)
    0.07996
  • df
    3.00000
  • t
    0.06380
  • p
    0.47657
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.29397
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.49764
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.31539
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.47532
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.20313
  • Upside Potential Ratio
    2.24554
  • Upside part of mean
    1.31783
  • Downside part of mean
    -1.19862
  • Upside SD
    0.72768
  • Downside SD
    0.58687
  • N nonnegative terms
    2.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    -0.03252
  • Mean of criterion
    0.11921
  • SD of predictor
    0.09255
  • SD of criterion
    1.07873
  • Covariance
    -0.03692
  • r
    -0.36978
  • b (slope, estimate of beta)
    -4.31012
  • a (intercept, estimate of alpha)
    -0.02094
  • Mean Square Error
    1.50681
  • DF error
    2.00000
  • t(b)
    -0.56285
  • p(b)
    0.68489
  • t(a)
    -0.00978
  • p(a)
    0.50346
  • Lowerbound of 95% confidence interval for beta
    -37.25860
  • Upperbound of 95% confidence interval for beta
    28.63840
  • Lowerbound of 95% confidence interval for alpha
    -9.23148
  • Upperbound of 95% confidence interval for alpha
    9.18960
  • Treynor index (mean / b)
    -0.02766
  • Jensen alpha (a)
    -0.02094
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.31007
  • SD
    1.07276
  • Sharpe ratio (Glass type estimate)
    -0.28904
  • Sharpe ratio (Hedges UMVUE)
    -0.20915
  • df
    3.00000
  • t
    -0.16688
  • p
    0.56096
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.66836
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.13541
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.60803
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.18973
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.43759
  • Upside Potential Ratio
    1.56470
  • Upside part of mean
    1.10875
  • Downside part of mean
    -1.41882
  • Upside SD
    0.60746
  • Downside SD
    0.70860
  • N nonnegative terms
    2.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    -0.03574
  • Mean of criterion
    -0.31007
  • SD of predictor
    0.09230
  • SD of criterion
    1.07276
  • Covariance
    -0.02788
  • r
    -0.28159
  • b (slope, estimate of beta)
    -3.27268
  • a (intercept, estimate of alpha)
    -0.42703
  • Mean Square Error
    1.58934
  • DF error
    2.00000
  • t(b)
    -0.41502
  • p(b)
    0.64080
  • t(a)
    -0.19396
  • p(a)
    0.56794
  • Lowerbound of 95% confidence interval for beta
    -37.20140
  • Upperbound of 95% confidence interval for beta
    30.65600
  • Lowerbound of 95% confidence interval for alpha
    -9.90014
  • Upperbound of 95% confidence interval for alpha
    9.04607
  • Treynor index (mean / b)
    0.09475
  • Jensen alpha (a)
    -0.42703
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.41446
  • Expected Shortfall on VaR
    0.48230
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.23345
  • Expected Shortfall on VaR
    0.40448
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.66880
  • Quartile 1
    0.86719
  • Median
    0.97688
  • Quartile 3
    1.12045
  • Maximum
    1.42050
  • Mean of quarter 1
    0.66880
  • Mean of quarter 2
    0.93332
  • Mean of quarter 3
    1.02044
  • Mean of quarter 4
    1.42050
  • Inter Quartile Range
    0.25326
  • 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
    1.00000
  • Minimum
    0.37580
  • Quartile 1
    0.37580
  • Median
    0.37580
  • Quartile 3
    0.37580
  • Maximum
    0.37580
  • 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)
    -0.28560
  • Compounded annual return (geometric extrapolation)
    -0.25927
  • Calmar ratio (compounded annual return / max draw down)
    -0.68993
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.53758
  • 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
    0.85095
  • SD
    0.67469
  • Sharpe ratio (Glass type estimate)
    1.26126
  • Sharpe ratio (Hedges UMVUE)
    1.25408
  • df
    132.00000
  • t
    0.78424
  • p
    0.46595
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.89684
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.41472
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.90166
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.40981
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.07954
  • Upside Potential Ratio
    11.14870
  • Upside part of mean
    4.56207
  • Downside part of mean
    -3.71112
  • Upside SD
    0.53520
  • Downside SD
    0.40920
  • N nonnegative terms
    61.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    133.00000
  • Mean of predictor
    0.11489
  • Mean of criterion
    0.85095
  • SD of predictor
    0.09699
  • SD of criterion
    0.67469
  • Covariance
    -0.01270
  • r
    -0.19410
  • b (slope, estimate of beta)
    -1.35021
  • a (intercept, estimate of alpha)
    0.28800
  • Mean Square Error
    0.44140
  • DF error
    131.00000
  • t(b)
    -2.26465
  • p(b)
    0.62279
  • t(a)
    0.93967
  • p(a)
    0.44797
  • Lowerbound of 95% confidence interval for beta
    -2.52966
  • Upperbound of 95% confidence interval for beta
    -0.17076
  • Lowerbound of 95% confidence interval for alpha
    -1.11197
  • Upperbound of 95% confidence interval for alpha
    3.12414
  • Treynor index (mean / b)
    -0.63024
  • Jensen alpha (a)
    1.00608
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.62798
  • SD
    0.66687
  • Sharpe ratio (Glass type estimate)
    0.94168
  • Sharpe ratio (Hedges UMVUE)
    0.93632
  • df
    132.00000
  • t
    0.58553
  • p
    0.47455
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.21425
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.09407
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.21781
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.09045
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.48070
  • Upside Potential Ratio
    10.43780
  • Upside part of mean
    4.42679
  • Downside part of mean
    -3.79881
  • Upside SD
    0.51249
  • Downside SD
    0.42411
  • N nonnegative terms
    61.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    133.00000
  • Mean of predictor
    0.11020
  • Mean of criterion
    0.62798
  • SD of predictor
    0.09698
  • SD of criterion
    0.66687
  • Covariance
    -0.01241
  • r
    -0.19182
  • b (slope, estimate of beta)
    -1.31908
  • a (intercept, estimate of alpha)
    0.77335
  • Mean Square Error
    0.43162
  • DF error
    131.00000
  • t(b)
    -2.23702
  • p(b)
    0.62136
  • t(a)
    0.73055
  • p(a)
    0.45948
  • Lowerbound of 95% confidence interval for beta
    -2.48557
  • Upperbound of 95% confidence interval for beta
    -0.15259
  • Lowerbound of 95% confidence interval for alpha
    -1.32079
  • Upperbound of 95% confidence interval for alpha
    2.86748
  • Treynor index (mean / b)
    -0.47607
  • Jensen alpha (a)
    0.77335
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05570
  • Expected Shortfall on VaR
    0.06970
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02612
  • Expected Shortfall on VaR
    0.05053
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    133.00000
  • Minimum
    0.88328
  • Quartile 1
    0.98518
  • Median
    1.00000
  • Quartile 3
    1.01440
  • Maximum
    1.13540
  • Mean of quarter 1
    0.96318
  • Mean of quarter 2
    0.99451
  • Mean of quarter 3
    1.00630
  • Mean of quarter 4
    1.04720
  • Inter Quartile Range
    0.02922
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03008
  • Mean of outliers low
    0.91321
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06767
  • Mean of outliers high
    1.09253
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.02882
  • VaR(95%) (moments method)
    0.03382
  • Expected Shortfall (moments method)
    0.04508
  • Extreme Value Index (regression method)
    0.03948
  • VaR(95%) (regression method)
    0.03932
  • Expected Shortfall (regression method)
    0.05553
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00485
  • Quartile 1
    0.01700
  • Median
    0.01912
  • Quartile 3
    0.09804
  • Maximum
    0.48306
  • Mean of quarter 1
    0.01070
  • Mean of quarter 2
    0.01838
  • Mean of quarter 3
    0.01985
  • Mean of quarter 4
    0.30358
  • Inter Quartile Range
    0.08104
  • 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
    0.16667
  • Mean of outliers high
    0.48306
  • 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)
    0.72349
  • Compounded annual return (geometric extrapolation)
    0.89256
  • Calmar ratio (compounded annual return / max draw down)
    1.84772
  • Compounded annual return / average of 25% largest draw downs
    2.94007
  • Compounded annual return / Expected Shortfall lognormal
    12.80520
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.04700
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.25%
  • Max Equity Drawdown (num days)
    53

Strategy Description

100% TOS Trade my own money!!!

Rule of trading:

Rule 1: Never lose money
Rule 2: Never forget rule No.1.
Rule 3: Follow the trends.
Rule 4: Calculate the risk/reward ratio before putting a trade on, then guard against the risk of holding it too long.
Rule 5: Cut your losses short, let your profits run.
Rule 6: Buy the fear, sell the greed.
Rule 7: Do not overtrade.

DISCLAIMER: PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
Enjoy trading!
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2016-07-01
Suggested Minimum Capital
$25,000
# Trades
129
# Profitable
62
% Profitable
48.1%
Net Dividends
($406)
Correlation S&P500
0.157
Sharpe Ratio
0.25
Sortino Ratio
0.41
Beta
0.24
Alpha
0.01

Latest Activity

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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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