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

Algo Swing Stocks ABC
(114642935)

Created by: Algo16 Algo16
Started: 11/2017
Stocks
Last trade: 2,032 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 $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.

0.5%
Annual Return (Compounded)

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 Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(6.2%)
Max Drawdown
272
Num Trades
71.0%
Win Trades
1.5 : 1
Profit Factor
6.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                                      +2.2%(2.1%)0.0
2018+0.7%+2.2%(2.2%)  -  +1.1%(0.8%)+2.6%  -    -    -    -    -  +3.5%
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        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

This strategy has placed 151 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2268 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/24/18 10:46 GBTC GRAYSCALE BITCOIN TRUST (BTC) LONG 190 10.78 9/4 15:25 9.59 1.19%
Trade id #119092008
Max drawdown($389)
Time8/21/18 10:09
Quant open190
Worst price8.73
Drawdown as % of equity-1.19%
($230)
Includes Typical Broker Commissions trade costs of $3.80
7/13/18 9:54 FLXN FLEXION THERAPEUTICS INC. COM LONG 30 27.44 9/4 15:24 22.61 0.61%
Trade id #118913661
Max drawdown($199)
Time8/27/18 14:18
Quant open30
Worst price20.79
Drawdown as % of equity-0.61%
($146)
Includes Typical Broker Commissions trade costs of $0.60
4/27/18 15:01 RYAM RAYONIER ADVANCED MATERIALS IN LONG 40 21.48 9/4 15:24 19.47 0.5%
Trade id #117701016
Max drawdown($156)
Time5/31/18 12:39
Quant open40
Worst price17.56
Drawdown as % of equity-0.50%
($81)
Includes Typical Broker Commissions trade costs of $0.80
4/17/18 12:54 DPW AULT GLOBAL HOLDINGS INC LONG 175 1.31 9/4 15:23 0.56 0.49%
Trade id #117545192
Max drawdown($161)
Time8/17/18 9:41
Quant open175
Worst price0.39
Drawdown as % of equity-0.49%
($136)
Includes Typical Broker Commissions trade costs of $3.50
3/19/18 15:33 XTNT XTANT MEDICAL HOLDINGS INC LONG 135 8.87 9/4 15:23 4.96 1.62%
Trade id #117124637
Max drawdown($528)
Time9/4/18 15:23
Quant open35
Worst price4.62
Drawdown as % of equity-1.62%
($531)
Includes Typical Broker Commissions trade costs of $2.70
7/3/18 13:43 RTH VANECK RETAIL ETF SHORT 12 98.12 9/4 9:30 110.79 0.47%
Trade id #118765347
Max drawdown($153)
Time8/31/18 16:04
Quant open-12
Worst price110.90
Drawdown as % of equity-0.47%
($152)
Includes Typical Broker Commissions trade costs of $0.24
7/17/18 13:56 OSTK OVERSTOCK.COM LONG 30 40.50 8/10 12:55 45.55 0.54%
Trade id #118980005
Max drawdown($177)
Time7/31/18 10:22
Quant open30
Worst price34.60
Drawdown as % of equity-0.54%
$151
Includes Typical Broker Commissions trade costs of $0.60
5/1/18 13:16 GBTC GRAYSCALE BITCOIN TRUST (BTC) LONG 190 11.96 7/24 10:46 12.28 2.18%
Trade id #117741431
Max drawdown($692)
Time6/28/18 9:41
Quant open140
Worst price8.24
Drawdown as % of equity-2.18%
$57
Includes Typical Broker Commissions trade costs of $3.80
7/13/18 9:55 VRAY VIEWRAY INC. COMMON STOCK LONG 75 8.76 7/20 12:52 9.58 0.02%
Trade id #118913713
Max drawdown($6)
Time7/13/18 10:02
Quant open75
Worst price8.67
Drawdown as % of equity-0.02%
$61
Includes Typical Broker Commissions trade costs of $1.50
7/9/18 14:43 OSTK OVERSTOCK.COM LONG 30 38.00 7/17 13:56 40.45 0.13%
Trade id #118830592
Max drawdown($43)
Time7/11/18 9:31
Quant open30
Worst price36.55
Drawdown as % of equity-0.13%
$73
Includes Typical Broker Commissions trade costs of $0.60
7/10/18 11:36 VRAY VIEWRAY INC. COMMON STOCK LONG 100 8.51 7/13 9:55 8.72 0.03%
Trade id #118844987
Max drawdown($9)
Time7/11/18 15:25
Quant open100
Worst price8.42
Drawdown as % of equity-0.03%
$19
Includes Typical Broker Commissions trade costs of $2.00
7/9/18 14:42 FLXN FLEXION THERAPEUTICS INC. COM LONG 30 26.30 7/13 9:54 27.35 0.03%
Trade id #118830539
Max drawdown($10)
Time7/10/18 10:50
Quant open30
Worst price25.95
Drawdown as % of equity-0.03%
$31
Includes Typical Broker Commissions trade costs of $0.60
7/12/18 12:40 ATUS ALTICE USA INC LONG 75 18.91 7/12 15:57 18.93 0%
Trade id #118898778
Max drawdown($0)
Time7/12/18 12:42
Quant open75
Worst price18.90
Drawdown as % of equity-0.00%
$1
Includes Typical Broker Commissions trade costs of $1.50
7/12/18 12:39 CBAY CYMABAY THERAPEUTICS INC. COMM LONG 100 13.80 7/12 15:57 13.87 0.07%
Trade id #118898724
Max drawdown($24)
Time7/12/18 13:54
Quant open100
Worst price13.56
Drawdown as % of equity-0.07%
$5
Includes Typical Broker Commissions trade costs of $2.00
7/12/18 9:58 ZYNE ZYNERBA PHARMACEUTICALS INC. LONG 100 10.66 7/12 12:19 10.16 0.17%
Trade id #118893201
Max drawdown($55)
Time7/12/18 12:12
Quant open100
Worst price10.11
Drawdown as % of equity-0.17%
($52)
Includes Typical Broker Commissions trade costs of $2.00
7/6/18 11:54 VRAY VIEWRAY INC. COMMON STOCK LONG 125 8.21 7/10 11:35 8.50 0.05%
Trade id #118805312
Max drawdown($16)
Time7/9/18 11:03
Quant open90
Worst price8.00
Drawdown as % of equity-0.05%
$35
Includes Typical Broker Commissions trade costs of $2.50
6/15/18 10:08 CNAT CONATUS PHARMACEUTICALS INC LONG 150 5.45 7/9 14:42 4.68 0.64%
Trade id #118455376
Max drawdown($202)
Time6/28/18 10:38
Quant open150
Worst price4.10
Drawdown as % of equity-0.64%
($119)
Includes Typical Broker Commissions trade costs of $3.00
4/18/18 13:37 VRAY VIEWRAY INC. COMMON STOCK LONG 175 7.61 7/6 11:54 7.86 0.56%
Trade id #117566033
Max drawdown($176)
Time5/24/18 9:03
Quant open175
Worst price6.60
Drawdown as % of equity-0.56%
$41
Includes Typical Broker Commissions trade costs of $3.50
6/13/18 9:33 BIIB BIOGEN INC. COMMON STOCK LONG 4 307.21 7/6 9:57 352.77 0.3%
Trade id #118408578
Max drawdown($95)
Time6/18/18 9:48
Quant open4
Worst price283.24
Drawdown as % of equity-0.30%
$182
Includes Typical Broker Commissions trade costs of $0.08
6/29/18 13:38 CAH CARDINAL HEALTH LONG 35 49.44 6/29 15:59 48.81 0.07%
Trade id #118716816
Max drawdown($22)
Time6/29/18 15:58
Quant open35
Worst price48.80
Drawdown as % of equity-0.07%
($23)
Includes Typical Broker Commissions trade costs of $0.70
6/29/18 13:38 MRNS MARINUS PHARMACEUTICALS INC. LONG 125 7.18 6/29 15:59 7.08 0.06%
Trade id #118716801
Max drawdown($18)
Time6/29/18 15:46
Quant open125
Worst price7.03
Drawdown as % of equity-0.06%
($16)
Includes Typical Broker Commissions trade costs of $2.50
6/29/18 12:48 FLXN FLEXION THERAPEUTICS INC. COM LONG 70 25.86 6/29 15:59 25.92 0.06%
Trade id #118715843
Max drawdown($17)
Time6/29/18 14:23
Quant open70
Worst price25.61
Drawdown as % of equity-0.06%
$3
Includes Typical Broker Commissions trade costs of $1.40
6/29/18 12:47 DVAX DYNAVAX TECHNOLOGIES CORPORATI LONG 100 15.40 6/29 15:59 15.35 0.09%
Trade id #118715810
Max drawdown($30)
Time6/29/18 14:53
Quant open100
Worst price15.10
Drawdown as % of equity-0.09%
($7)
Includes Typical Broker Commissions trade costs of $2.00
6/29/18 12:45 SXC SUNCOKE ENERGY LONG 100 13.43 6/29 15:59 13.39 0.02%
Trade id #118715794
Max drawdown($7)
Time6/29/18 15:17
Quant open100
Worst price13.36
Drawdown as % of equity-0.02%
($6)
Includes Typical Broker Commissions trade costs of $2.00
6/26/18 10:00 LPNT LIFEPOINT HEALTH INC COMMON LONG 25 51.45 6/26 12:00 51.15 0.05%
Trade id #118651410
Max drawdown($15)
Time6/26/18 10:30
Quant open25
Worst price50.85
Drawdown as % of equity-0.05%
($9)
Includes Typical Broker Commissions trade costs of $0.50
6/25/18 15:11 GLYC GLYCOMIMETICS INC. COMMON STO LONG 70 15.51 6/25 15:59 15.32 0.06%
Trade id #118637689
Max drawdown($18)
Time6/25/18 15:53
Quant open70
Worst price15.24
Drawdown as % of equity-0.06%
($14)
Includes Typical Broker Commissions trade costs of $1.40
6/20/18 10:56 SIMO SILICON MOTION TECH LONG 20 53.50 6/20 15:58 54.15 0%
Trade id #118537878
Max drawdown($0)
Time6/20/18 10:58
Quant open20
Worst price53.47
Drawdown as % of equity-0.00%
$13
Includes Typical Broker Commissions trade costs of $0.40
6/20/18 10:54 MNK MALLINCKRODT PLC LONG 100 20.10 6/20 15:58 20.16 0.03%
Trade id #118537809
Max drawdown($8)
Time6/20/18 12:26
Quant open100
Worst price20.02
Drawdown as % of equity-0.03%
$4
Includes Typical Broker Commissions trade costs of $2.00
6/13/18 9:33 PTLA PORTOLA PHARMACEUTICALS INC. LONG 20 42.80 6/20 10:38 43.27 0.21%
Trade id #118408562
Max drawdown($68)
Time6/15/18 10:15
Quant open20
Worst price39.40
Drawdown as % of equity-0.21%
$9
Includes Typical Broker Commissions trade costs of $0.40
5/14/18 12:13 ABUS ARBUTUS BIOPHARMA CORPORATION LONG 150 6.45 6/18 12:46 6.35 0.4%
Trade id #117921660
Max drawdown($127)
Time5/30/18 13:06
Quant open150
Worst price5.60
Drawdown as % of equity-0.40%
($18)
Includes Typical Broker Commissions trade costs of $3.00

Statistics

  • Strategy began
    11/2/2017
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    2335.19
  • Age
    78 months ago
  • What it trades
    Stocks
  • # Trades
    272
  • # Profitable
    193
  • % Profitable
    71.00%
  • Avg trade duration
    9.6 days
  • Max peak-to-valley drawdown
    6.24%
  • drawdown period
    Nov 28, 2017 - Feb 09, 2018
  • Annual Return (Compounded)
    0.5%
  • Avg win
    $39.82
  • Avg loss
    $62.41
  • Model Account Values (Raw)
  • Cash
    $32,665
  • Margin Used
    $0
  • Buying Power
    $32,665
  • Ratios
  • W:L ratio
    1.54:1
  • Sharpe Ratio
    -0.39
  • Sortino Ratio
    -0.59
  • Calmar Ratio
    1.104
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -99.30%
  • Correlation to SP500
    0.06590
  • Return Percent SP500 (cumu) during strategy life
    103.44%
  • Return Statistics
  • Ann Return (w trading costs)
    0.5%
  • Slump
  • Current Slump as Pcnt Equity
    1.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.89%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.005%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    0.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $62
  • Avg Win
    $40
  • Sum Trade PL (losers)
    $4,930.000
  • Age
  • Num Months filled monthly returns table
    77
  • Win / Loss
  • Sum Trade PL (winners)
    $7,685.000
  • # Winners
    193
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    -87
  • Win / Loss
  • # Losers
    79
  • % Winners
    71.0%
  • Frequency
  • Avg Position Time (mins)
    13776.60
  • Avg Position Time (hrs)
    229.61
  • Avg Trade Length
    9.6 days
  • Last Trade Ago
    2029
  • Regression
  • Alpha
    -0.00
  • Beta
    0.01
  • Treynor Index
    -0.40
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    45.77
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    68.27
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.35
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    7.326
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    1.328
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.954
  • Hold-and-Hope Ratio
    0.136
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02267
  • SD
    0.05863
  • Sharpe ratio (Glass type estimate)
    0.38666
  • Sharpe ratio (Hedges UMVUE)
    0.37266
  • df
    21.00000
  • t
    0.52355
  • p
    0.42789
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.07005
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.83432
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.07925
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.82457
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.68933
  • Upside Potential Ratio
    2.16032
  • Upside part of mean
    0.07104
  • Downside part of mean
    -0.04837
  • Upside SD
    0.04735
  • Downside SD
    0.03288
  • N nonnegative terms
    6.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.27519
  • Mean of criterion
    0.02267
  • SD of predictor
    0.24438
  • SD of criterion
    0.05863
  • Covariance
    0.00149
  • r
    0.10379
  • b (slope, estimate of beta)
    0.02490
  • a (intercept, estimate of alpha)
    0.01582
  • Mean Square Error
    0.00357
  • DF error
    20.00000
  • t(b)
    0.46667
  • p(b)
    0.44811
  • t(a)
    0.34010
  • p(a)
    0.46209
  • Lowerbound of 95% confidence interval for beta
    -0.08639
  • Upperbound of 95% confidence interval for beta
    0.13619
  • Lowerbound of 95% confidence interval for alpha
    -0.08119
  • Upperbound of 95% confidence interval for alpha
    0.11283
  • Treynor index (mean / b)
    0.91047
  • Jensen alpha (a)
    0.01582
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02098
  • SD
    0.05814
  • Sharpe ratio (Glass type estimate)
    0.36082
  • Sharpe ratio (Hedges UMVUE)
    0.34775
  • df
    21.00000
  • t
    0.48855
  • p
    0.43264
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.09498
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.80817
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.10360
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.79909
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.62890
  • Upside Potential Ratio
    2.09227
  • Upside part of mean
    0.06979
  • Downside part of mean
    -0.04881
  • Upside SD
    0.04637
  • Downside SD
    0.03336
  • N nonnegative terms
    6.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.24282
  • Mean of criterion
    0.02098
  • SD of predictor
    0.24862
  • SD of criterion
    0.05814
  • Covariance
    0.00167
  • r
    0.11537
  • b (slope, estimate of beta)
    0.02698
  • a (intercept, estimate of alpha)
    0.01443
  • Mean Square Error
    0.00350
  • DF error
    20.00000
  • t(b)
    0.51940
  • p(b)
    0.44232
  • t(a)
    0.31716
  • p(a)
    0.46463
  • Lowerbound of 95% confidence interval for beta
    -0.08137
  • Upperbound of 95% confidence interval for beta
    0.13532
  • Lowerbound of 95% confidence interval for alpha
    -0.08046
  • Upperbound of 95% confidence interval for alpha
    0.10931
  • Treynor index (mean / b)
    0.77759
  • Jensen alpha (a)
    0.01443
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02553
  • Expected Shortfall on VaR
    0.03232
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01161
  • Expected Shortfall on VaR
    0.02306
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.96470
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00437
  • Maximum
    1.05080
  • Mean of quarter 1
    0.99077
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00079
  • Mean of quarter 4
    1.02404
  • Inter Quartile Range
    0.00437
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.09091
  • Mean of outliers low
    0.97232
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.22727
  • Mean of outliers high
    1.02782
  • 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)
    -1.39524
  • VaR(95%) (regression method)
    0.03733
  • Expected Shortfall (regression method)
    0.04507
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02005
  • Quartile 1
    0.02387
  • Median
    0.02768
  • Quartile 3
    0.03149
  • Maximum
    0.03530
  • Mean of quarter 1
    0.02005
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.03530
  • Inter Quartile Range
    0.00762
  • 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)
    0.05114
  • Compounded annual return (geometric extrapolation)
    0.05010
  • Calmar ratio (compounded annual return / max draw down)
    1.41909
  • Compounded annual return / average of 25% largest draw downs
    1.41909
  • Compounded annual return / Expected Shortfall lognormal
    1.55021
  • 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
    0.02118
  • SD
    0.04836
  • Sharpe ratio (Glass type estimate)
    0.43788
  • Sharpe ratio (Hedges UMVUE)
    0.43721
  • df
    489.00000
  • t
    0.59883
  • p
    0.27478
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.99575
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.87113
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.99623
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.87065
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.73018
  • Upside Potential Ratio
    6.95546
  • Upside part of mean
    0.20174
  • Downside part of mean
    -0.18056
  • Upside SD
    0.03866
  • Downside SD
    0.02900
  • N nonnegative terms
    109.00000
  • N negative terms
    381.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    490.00000
  • Mean of predictor
    0.40911
  • Mean of criterion
    0.02118
  • SD of predictor
    0.37739
  • SD of criterion
    0.04836
  • Covariance
    0.00117
  • r
    0.06418
  • b (slope, estimate of beta)
    0.00823
  • a (intercept, estimate of alpha)
    0.01800
  • Mean Square Error
    0.00233
  • DF error
    488.00000
  • t(b)
    1.42075
  • p(b)
    0.07801
  • t(a)
    0.50308
  • p(a)
    0.30757
  • Lowerbound of 95% confidence interval for beta
    -0.00315
  • Upperbound of 95% confidence interval for beta
    0.01960
  • Lowerbound of 95% confidence interval for alpha
    -0.05176
  • Upperbound of 95% confidence interval for alpha
    0.08738
  • Treynor index (mean / b)
    2.57475
  • Jensen alpha (a)
    0.01781
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02001
  • SD
    0.04822
  • Sharpe ratio (Glass type estimate)
    0.41502
  • Sharpe ratio (Hedges UMVUE)
    0.41439
  • df
    489.00000
  • t
    0.56757
  • p
    0.28529
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.01859
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.84825
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.01903
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.84780
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.68761
  • Upside Potential Ratio
    6.90515
  • Upside part of mean
    0.20097
  • Downside part of mean
    -0.18096
  • Upside SD
    0.03840
  • Downside SD
    0.02910
  • N nonnegative terms
    109.00000
  • N negative terms
    381.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    490.00000
  • Mean of predictor
    0.33897
  • Mean of criterion
    0.02001
  • SD of predictor
    0.37282
  • SD of criterion
    0.04822
  • Covariance
    0.00119
  • r
    0.06615
  • b (slope, estimate of beta)
    0.00856
  • a (intercept, estimate of alpha)
    0.01711
  • Mean Square Error
    0.00232
  • DF error
    488.00000
  • t(b)
    1.46441
  • p(b)
    0.07186
  • t(a)
    0.48513
  • p(a)
    0.31390
  • Lowerbound of 95% confidence interval for beta
    -0.00292
  • Upperbound of 95% confidence interval for beta
    0.02003
  • Lowerbound of 95% confidence interval for alpha
    -0.05220
  • Upperbound of 95% confidence interval for alpha
    0.08642
  • Treynor index (mean / b)
    2.33921
  • Jensen alpha (a)
    0.01711
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00481
  • Expected Shortfall on VaR
    0.00605
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00206
  • Expected Shortfall on VaR
    0.00420
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    490.00000
  • Minimum
    0.98809
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.02753
  • Mean of quarter 1
    0.99758
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00316
  • Inter Quartile Range
    0.00000
  • Number outliers low
    103.00000
  • Percentage of outliers low
    0.21020
  • Mean of outliers low
    0.99711
  • Number of outliers high
    114.00000
  • Percentage of outliers high
    0.23265
  • Mean of outliers high
    1.00341
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.04168
  • VaR(95%) (moments method)
    0.00225
  • Expected Shortfall (moments method)
    0.00327
  • Extreme Value Index (regression method)
    -0.20392
  • VaR(95%) (regression method)
    0.00262
  • Expected Shortfall (regression method)
    0.00365
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00074
  • Quartile 1
    0.00251
  • Median
    0.00459
  • Quartile 3
    0.01181
  • Maximum
    0.04444
  • Mean of quarter 1
    0.00114
  • Mean of quarter 2
    0.00338
  • Mean of quarter 3
    0.00732
  • Mean of quarter 4
    0.02864
  • Inter Quartile Range
    0.00930
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.11765
  • Mean of outliers high
    0.03786
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.45494
  • VaR(95%) (moments method)
    0.02649
  • Expected Shortfall (moments method)
    0.02752
  • Extreme Value Index (regression method)
    0.17026
  • VaR(95%) (regression method)
    0.03141
  • Expected Shortfall (regression method)
    0.04730
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05013
  • Compounded annual return (geometric extrapolation)
    0.04909
  • Calmar ratio (compounded annual return / max draw down)
    1.10444
  • Compounded annual return / average of 25% largest draw downs
    1.71408
  • Compounded annual return / Expected Shortfall lognormal
    8.11395
  • 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
    1.24106
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.53224
  • 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
    1.10187
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.52115
  • 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)
    -6808330000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.00500
  • 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)
    205087000000000000535152522428416.00000
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -497229000
  • Max Equity Drawdown (num days)
    73
  • 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

Summary Statistics

Strategy began
2017-11-02
Suggested Minimum Capital
$15,000
# Trades
272
# Profitable
193
% Profitable
71.0%
Net Dividends
Correlation S&P500
0.066
Sharpe Ratio
-0.39
Sortino Ratio
-0.59
Beta
0.01
Alpha
-0.00

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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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.