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Featured Strategy Easiest Followed by live capital $481,000 Hypothetical

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King Strategies
(73738932)

Created by: RobKing RobKing
Started: 05/2012
Futures
Last trade: 3,724 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. You can subscribe to this system for free.

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.

2.2%
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.

(25.4%)
Max Drawdown
93
Num Trades
67.7%
Win Trades
1.4 : 1
Profit Factor
9.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                            +1.4%+3.6%+8.0%(0.6%)+1.8%+10.5%(4.2%)+6.8%+29.8%
2013+6.4%+11.3%(1.1%)(6.6%)(15%)+13.3%+3.2%(0.5%)(8.9%)+2.3%+7.6%(9.5%)(1.8%)
2014+4.6%(1.8%)(0.5%)(0.5%)(0.5%)  -    -    -    -    -    -    -  +1.2%
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
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 28 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3989 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/4/14 16:14 @ESH4 E-MINI S&P 500 LONG 1 1743.75 2/6 4:53 1754.00 1.94%
Trade id #85584178
Max drawdown($587)
Time2/5/14 10:25
Quant open1
Worst price1732.00
Drawdown as % of equity-1.94%
 $505
Includes Typical Broker Commissions trade costs of $8.00
2/3/14 10:13 @ESH4 E-MINI S&P 500 LONG 1 1760.25 2/3 13:19 1743.75 2.7%
Trade id #85546484
Max drawdown($825)
Time2/3/14 13:19
Quant open0
Worst price1743.75
Drawdown as % of equity-2.70%
 ($833)
Includes Typical Broker Commissions trade costs of $8.00
1/31/14 6:37 @ESH4 E-MINI S&P 500 LONG 1 1766.75 1/31 10:51 1776.75 0.9%
Trade id #85509958
Max drawdown($275)
Time1/31/14 8:29
Quant open1
Worst price1761.25
Drawdown as % of equity-0.90%
 $492
Includes Typical Broker Commissions trade costs of $8.00
1/29/14 14:01 @ESH4 E-MINI S&P 500 LONG 1 1770.00 1/30 8:48 1780.00 0.99%
Trade id #85462851
Max drawdown($300)
Time1/29/14 14:20
Quant open1
Worst price1764.00
Drawdown as % of equity-0.99%
 $492
Includes Typical Broker Commissions trade costs of $8.00
1/29/14 9:11 @ESH4 E-MINI S&P 500 LONG 1 1769.25 1/29 11:15 1779.50 0.13%
Trade id #85453161
Max drawdown($37)
Time1/29/14 9:38
Quant open1
Worst price1768.50
Drawdown as % of equity-0.13%
 $505
Includes Typical Broker Commissions trade costs of $8.00
1/27/14 10:28 @ESH4 E-MINI S&P 500 LONG 1 1779.00 1/28 16:37 1789.00 2.05%
Trade id #85393669
Max drawdown($600)
Time1/27/14 12:22
Quant open1
Worst price1767.00
Drawdown as % of equity-2.05%
 $492
Includes Typical Broker Commissions trade costs of $8.00
12/30/13 14:38 @ESH4 E-MINI S&P 500 LONG 2 1832.25 1/9/14 5:20 1831.50 2.58%
Trade id #84898430
Max drawdown($750)
Time1/2/14 12:33
Quant open2
Worst price1824.75
Drawdown as % of equity-2.58%
 ($91)
Includes Typical Broker Commissions trade costs of $16.00
12/20/13 9:33 @ESH4 E-MINI S&P 500 SHORT 1 1807.75 12/20 14:19 1817.75 1.7%
Trade id #84750568
Max drawdown($500)
Time12/20/13 14:19
Quant open0
Worst price1817.75
Drawdown as % of equity-1.70%
 ($508)
Includes Typical Broker Commissions trade costs of $8.00
12/11/13 14:50 @ESZ3 E-MINI S&P 500 LONG 2 1784.75 12/15 22:08 1770.75 4.61%
Trade id #84552940
Max drawdown($1,400)
Time12/15/13 22:08
Quant open1
Worst price1764.50
Drawdown as % of equity-4.61%
 ($1,416)
Includes Typical Broker Commissions trade costs of $16.00
12/10/13 8:31 @ESZ3 E-MINI S&P 500 LONG 2 1804.00 12/11 12:17 1790.00 4.47%
Trade id #84513335
Max drawdown($1,400)
Time12/11/13 12:17
Quant open1
Worst price1787.25
Drawdown as % of equity-4.47%
 ($1,416)
Includes Typical Broker Commissions trade costs of $16.00
12/8/13 18:04 @ESZ3 E-MINI S&P 500 SHORT 1 1808.75 12/10 8:31 1803.75 0.42%
Trade id #84477868
Max drawdown($137)
Time12/9/13 10:00
Quant open-1
Worst price1811.50
Drawdown as % of equity-0.42%
 $242
Includes Typical Broker Commissions trade costs of $8.00
12/2/13 19:01 @ESZ3 E-MINI S&P 500 LONG 3 1791.33 12/6 8:47 1792.08 3.12%
Trade id #84377937
Max drawdown($1,000)
Time12/4/13 9:36
Quant open2
Worst price1784.50
Drawdown as % of equity-3.12%
 $89
Includes Typical Broker Commissions trade costs of $24.00
11/19/13 9:41 @ESZ3 E-MINI S&P 500 LONG 2 1785.50 11/22 11:30 1796.25 3.59%
Trade id #84157924
Max drawdown($1,100)
Time11/20/13 15:10
Quant open2
Worst price1774.50
Drawdown as % of equity-3.59%
 $1,059
Includes Typical Broker Commissions trade costs of $16.00
11/12/13 12:05 @ESZ3 E-MINI S&P 500 LONG 1 1761.75 11/13 13:29 1771.75 1.22%
Trade id #84029945
Max drawdown($375)
Time11/13/13 8:34
Quant open1
Worst price1754.25
Drawdown as % of equity-1.22%
 $492
Includes Typical Broker Commissions trade costs of $8.00
11/8/13 11:30 @ESZ3 E-MINI S&P 500 LONG 1 1756.00 11/11 10:30 1767.25 0.08%
Trade id #83974428
Max drawdown($25)
Time11/8/13 11:34
Quant open1
Worst price1755.50
Drawdown as % of equity-0.08%
 $555
Includes Typical Broker Commissions trade costs of $8.00
11/7/13 11:15 @ESZ3 E-MINI S&P 500 LONG 1 1754.75 11/8 8:31 1738.25 2.69%
Trade id #83948671
Max drawdown($825)
Time11/8/13 8:31
Quant open0
Worst price1738.25
Drawdown as % of equity-2.69%
 ($833)
Includes Typical Broker Commissions trade costs of $8.00
11/1/13 13:06 @ESZ3 E-MINI S&P 500 LONG 2 1751.00 11/4 14:30 1760.12 0.12%
Trade id #83845657
Max drawdown($37)
Time11/1/13 13:21
Quant open1
Worst price1748.50
Drawdown as % of equity-0.12%
 $897
Includes Typical Broker Commissions trade costs of $16.00
10/30/13 14:18 @ESZ3 E-MINI S&P 500 LONG 1 1753.50 10/31 14:16 1763.50 0.55%
Trade id #83794341
Max drawdown($162)
Time10/31/13 10:38
Quant open1
Worst price1750.25
Drawdown as % of equity-0.55%
 $492
Includes Typical Broker Commissions trade costs of $8.00
10/21/13 18:02 @ESZ3 E-MINI S&P 500 LONG 1 1737.50 10/25 10:30 1748.00 0.51%
Trade id #83622903
Max drawdown($150)
Time10/23/13 10:53
Quant open1
Worst price1734.50
Drawdown as % of equity-0.51%
 $517
Includes Typical Broker Commissions trade costs of $8.00
10/9/13 9:50 @ESZ3 E-MINI S&P 500 LONG 1 1647.25 10/10 2:11 1657.25 1.27%
Trade id #83390899
Max drawdown($362)
Time10/9/13 11:24
Quant open1
Worst price1640.00
Drawdown as % of equity-1.27%
 $492
Includes Typical Broker Commissions trade costs of $8.00
9/30/13 15:00 @ESZ3 E-MINI S&P 500 LONG 1 1675.75 10/3 11:58 1664.25 1.96%
Trade id #83227278
Max drawdown($575)
Time10/3/13 11:58
Quant open0
Worst price1664.25
Drawdown as % of equity-1.96%
 ($583)
Includes Typical Broker Commissions trade costs of $8.00
9/23/13 13:30 @ESZ3 E-MINI S&P 500 LONG 6 1687.33 9/30 9:30 1684.00 3.41%
Trade id #83091795
Max drawdown($1,000)
Time9/30/13 9:30
Quant open5
Worst price1667.00
Drawdown as % of equity-3.41%
 ($1,048)
Includes Typical Broker Commissions trade costs of $48.00
9/20/13 10:11 @ESZ3 E-MINI S&P 500 LONG 2 1708.25 9/23 10:55 1694.25 4.61%
Trade id #83065344
Max drawdown($1,400)
Time9/23/13 10:55
Quant open1
Worst price1692.75
Drawdown as % of equity-4.61%
 ($1,416)
Includes Typical Broker Commissions trade costs of $16.00
8/22/13 16:43 @ESU3 E-MINI S&P 500 SHORT 1 1655.00 8/26 16:09 1654.75 2%
Trade id #82665980
Max drawdown($625)
Time8/26/13 11:31
Quant open-1
Worst price1667.50
Drawdown as % of equity-2.00%
 $5
Includes Typical Broker Commissions trade costs of $8.00
8/21/13 15:58 @ESU3 E-MINI S&P 500 LONG 1 1640.00 8/22 10:12 1650.00 1.39%
Trade id #82643168
Max drawdown($425)
Time8/21/13 20:11
Quant open1
Worst price1631.50
Drawdown as % of equity-1.39%
 $492
Includes Typical Broker Commissions trade costs of $8.00
7/25/13 7:34 @ESU3 E-MINI S&P 500 LONG 3 1683.83 8/8 14:30 1688.50 1.01%
Trade id #82182969
Max drawdown($312)
Time7/26/13 10:56
Quant open1
Worst price1670.50
Drawdown as % of equity-1.01%
 $676
Includes Typical Broker Commissions trade costs of $24.00
7/23/13 15:40 @ESU3 E-MINI S&P 500 LONG 1 1689.50 7/24 13:35 1678.00 1.89%
Trade id #82149194
Max drawdown($575)
Time7/24/13 13:35
Quant open0
Worst price1678.00
Drawdown as % of equity-1.89%
 ($583)
Includes Typical Broker Commissions trade costs of $8.00
7/16/13 11:46 @ESU3 E-MINI S&P 500 LONG 1 1668.75 7/17 9:06 1678.75 0.49%
Trade id #82018928
Max drawdown($150)
Time7/17/13 5:17
Quant open1
Worst price1665.75
Drawdown as % of equity-0.49%
 $492
Includes Typical Broker Commissions trade costs of $8.00
6/21/13 11:26 @ESU3 E-MINI S&P 500 LONG 1 1576.00 6/21 13:09 1586.00 0.92%
Trade id #81642615
Max drawdown($275)
Time6/21/13 11:33
Quant open1
Worst price1570.50
Drawdown as % of equity-0.92%
 $492
Includes Typical Broker Commissions trade costs of $8.00
6/13/13 11:33 @ESU3 E-MINI S&P 500 LONG 1 1610.50 6/13 16:00 1631.00 0.09%
Trade id #81475907
Max drawdown($25)
Time6/13/13 11:37
Quant open1
Worst price1610.00
Drawdown as % of equity-0.09%
 $1,017
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    5/16/2012
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    4353.82
  • Age
    145 months ago
  • What it trades
    Futures
  • # Trades
    93
  • # Profitable
    63
  • % Profitable
    67.70%
  • Avg trade duration
    2.4 days
  • Max peak-to-valley drawdown
    25.36%
  • drawdown period
    March 18, 2013 - May 30, 2013
  • Annual Return (Compounded)
    2.1%
  • Avg win
    $585.86
  • Avg loss
    $865.37
  • Model Account Values (Raw)
  • Cash
    $30,939
  • Margin Used
    $0
  • Buying Power
    $30,939
  • Ratios
  • W:L ratio
    1.42:1
  • Sharpe Ratio
    0.06
  • Sortino Ratio
    0.08
  • Calmar Ratio
    0.547
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -252.33%
  • Correlation to SP500
    0.04230
  • Return Percent SP500 (cumu) during strategy life
    278.25%
  • Return Statistics
  • Ann Return (w trading costs)
    2.1%
  • Slump
  • Current Slump as Pcnt Equity
    21.60%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.93%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.021%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    3.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    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
  • Chance of 100% 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
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $865
  • Avg Win
    $586
  • Sum Trade PL (losers)
    $25,961.000
  • Age
  • Num Months filled monthly returns table
    144
  • Win / Loss
  • Sum Trade PL (winners)
    $36,909.000
  • # Winners
    63
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    30
  • % Winners
    67.7%
  • Frequency
  • Avg Position Time (mins)
    3473.40
  • Avg Position Time (hrs)
    57.89
  • Avg Trade Length
    2.4 days
  • Last Trade Ago
    3725
  • Regression
  • Alpha
    0.00
  • Beta
    0.02
  • Treynor Index
    0.07
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    27.35
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    14.03
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.56
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    4.518
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.562
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.106
  • Hold-and-Hope Ratio
    0.221
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09976
  • SD
    0.17178
  • Sharpe ratio (Glass type estimate)
    0.58071
  • Sharpe ratio (Hedges UMVUE)
    0.57097
  • df
    45.00000
  • t
    1.13697
  • p
    0.13079
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.43062
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58575
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43702
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.57895
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.00860
  • Upside Potential Ratio
    2.11350
  • Upside part of mean
    0.20903
  • Downside part of mean
    -0.10928
  • Upside SD
    0.14112
  • Downside SD
    0.09891
  • N nonnegative terms
    13.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    46.00000
  • Mean of predictor
    0.31795
  • Mean of criterion
    0.09976
  • SD of predictor
    0.23156
  • SD of criterion
    0.17178
  • Covariance
    -0.00654
  • r
    -0.16451
  • b (slope, estimate of beta)
    -0.12204
  • a (intercept, estimate of alpha)
    0.13856
  • Mean Square Error
    0.02936
  • DF error
    44.00000
  • t(b)
    -1.10627
  • p(b)
    0.86269
  • t(a)
    1.46952
  • p(a)
    0.07440
  • Lowerbound of 95% confidence interval for beta
    -0.34436
  • Upperbound of 95% confidence interval for beta
    0.10029
  • Lowerbound of 95% confidence interval for alpha
    -0.05147
  • Upperbound of 95% confidence interval for alpha
    0.32858
  • Treynor index (mean / b)
    -0.81742
  • Jensen alpha (a)
    0.13856
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08499
  • SD
    0.17009
  • Sharpe ratio (Glass type estimate)
    0.49968
  • Sharpe ratio (Hedges UMVUE)
    0.49129
  • df
    45.00000
  • t
    0.97831
  • p
    0.16658
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50939
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.50331
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51490
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.49749
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.80371
  • Upside Potential Ratio
    1.88519
  • Upside part of mean
    0.19935
  • Downside part of mean
    -0.11436
  • Upside SD
    0.13312
  • Downside SD
    0.10575
  • N nonnegative terms
    13.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    46.00000
  • Mean of predictor
    0.28861
  • Mean of criterion
    0.08499
  • SD of predictor
    0.22338
  • SD of criterion
    0.17009
  • Covariance
    -0.00615
  • r
    -0.16188
  • b (slope, estimate of beta)
    -0.12326
  • a (intercept, estimate of alpha)
    0.12057
  • Mean Square Error
    0.02881
  • DF error
    44.00000
  • t(b)
    -1.08817
  • p(b)
    0.85878
  • t(a)
    1.30122
  • p(a)
    0.09998
  • Lowerbound of 95% confidence interval for beta
    -0.35156
  • Upperbound of 95% confidence interval for beta
    0.10503
  • Lowerbound of 95% confidence interval for alpha
    -0.06617
  • Upperbound of 95% confidence interval for alpha
    0.30730
  • Treynor index (mean / b)
    -0.68949
  • Jensen alpha (a)
    0.12057
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07103
  • Expected Shortfall on VaR
    0.08975
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02581
  • Expected Shortfall on VaR
    0.05547
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    46.00000
  • Minimum
    0.84903
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.01493
  • Maximum
    1.17380
  • Mean of quarter 1
    0.97139
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00144
  • Mean of quarter 4
    1.06808
  • Inter Quartile Range
    0.01493
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.08696
  • Mean of outliers low
    0.92202
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.17391
  • Mean of outliers high
    1.09198
  • 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)
    0.24152
  • VaR(95%) (regression method)
    0.04611
  • Expected Shortfall (regression method)
    0.10947
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01101
  • Quartile 1
    0.05033
  • Median
    0.08964
  • Quartile 3
    0.12896
  • Maximum
    0.16827
  • Mean of quarter 1
    0.01101
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.16827
  • Inter Quartile Range
    0.07863
  • 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)
    0.14127
  • Compounded annual return (geometric extrapolation)
    0.11952
  • Calmar ratio (compounded annual return / max draw down)
    0.71026
  • Compounded annual return / average of 25% largest draw downs
    0.71026
  • Compounded annual return / Expected Shortfall lognormal
    1.33170
  • 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
    0.09126
  • SD
    0.12646
  • Sharpe ratio (Glass type estimate)
    0.72166
  • Sharpe ratio (Hedges UMVUE)
    0.72113
  • df
    1019.00000
  • t
    1.42391
  • p
    0.47164
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27233
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.71534
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.27271
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.71496
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.07038
  • Upside Potential Ratio
    5.01988
  • Upside part of mean
    0.42801
  • Downside part of mean
    -0.33675
  • Upside SD
    0.09348
  • Downside SD
    0.08526
  • N nonnegative terms
    161.00000
  • N negative terms
    859.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1020.00000
  • Mean of predictor
    0.36112
  • Mean of criterion
    0.09126
  • SD of predictor
    0.27245
  • SD of criterion
    0.12646
  • Covariance
    0.00117
  • r
    0.03399
  • b (slope, estimate of beta)
    0.01578
  • a (intercept, estimate of alpha)
    0.08600
  • Mean Square Error
    0.01599
  • DF error
    1018.00000
  • t(b)
    1.08522
  • p(b)
    0.48300
  • t(a)
    1.33066
  • p(a)
    0.47917
  • Lowerbound of 95% confidence interval for beta
    -0.01275
  • Upperbound of 95% confidence interval for beta
    0.04431
  • Lowerbound of 95% confidence interval for alpha
    -0.04062
  • Upperbound of 95% confidence interval for alpha
    0.21175
  • Treynor index (mean / b)
    5.78391
  • Jensen alpha (a)
    0.08557
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08326
  • SD
    0.12643
  • Sharpe ratio (Glass type estimate)
    0.65850
  • Sharpe ratio (Hedges UMVUE)
    0.65801
  • df
    1019.00000
  • t
    1.29928
  • p
    0.47412
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.33541
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.65209
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.33574
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.65176
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.95870
  • Upside Potential Ratio
    4.87882
  • Upside part of mean
    0.42369
  • Downside part of mean
    -0.34043
  • Upside SD
    0.09195
  • Downside SD
    0.08684
  • N nonnegative terms
    161.00000
  • N negative terms
    859.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1020.00000
  • Mean of predictor
    0.32344
  • Mean of criterion
    0.08326
  • SD of predictor
    0.27452
  • SD of criterion
    0.12643
  • Covariance
    0.00119
  • r
    0.03441
  • b (slope, estimate of beta)
    0.01585
  • a (intercept, estimate of alpha)
    0.07813
  • Mean Square Error
    0.01598
  • DF error
    1018.00000
  • t(b)
    1.09866
  • p(b)
    0.48279
  • t(a)
    1.21618
  • p(a)
    0.48096
  • Lowerbound of 95% confidence interval for beta
    -0.01246
  • Upperbound of 95% confidence interval for beta
    0.04416
  • Lowerbound of 95% confidence interval for alpha
    -0.04793
  • Upperbound of 95% confidence interval for alpha
    0.20419
  • Treynor index (mean / b)
    5.25276
  • Jensen alpha (a)
    0.07813
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01245
  • Expected Shortfall on VaR
    0.01567
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00402
  • Expected Shortfall on VaR
    0.00884
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1020.00000
  • Minimum
    0.93159
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.06510
  • Mean of quarter 1
    0.99522
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00660
  • Inter Quartile Range
    0.00000
  • Number outliers low
    115.00000
  • Percentage of outliers low
    0.11274
  • Mean of outliers low
    0.98940
  • Number of outliers high
    161.00000
  • Percentage of outliers high
    0.15784
  • Mean of outliers high
    1.01046
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.64196
  • VaR(95%) (moments method)
    0.00261
  • Expected Shortfall (moments method)
    0.00384
  • Extreme Value Index (regression method)
    0.06288
  • VaR(95%) (regression method)
    0.00466
  • Expected Shortfall (regression method)
    0.01060
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00054
  • Quartile 1
    0.00550
  • Median
    0.01554
  • Quartile 3
    0.02523
  • Maximum
    0.21498
  • Mean of quarter 1
    0.00243
  • Mean of quarter 2
    0.00952
  • Mean of quarter 3
    0.02085
  • Mean of quarter 4
    0.08372
  • Inter Quartile Range
    0.01973
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.21739
  • Mean of outliers high
    0.09521
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.21350
  • VaR(95%) (moments method)
    0.07201
  • Expected Shortfall (moments method)
    0.07708
  • Extreme Value Index (regression method)
    0.04089
  • VaR(95%) (regression method)
    0.06313
  • Expected Shortfall (regression method)
    0.08780
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13910
  • Compounded annual return (geometric extrapolation)
    0.11758
  • Calmar ratio (compounded annual return / max draw down)
    0.54691
  • Compounded annual return / average of 25% largest draw downs
    1.40437
  • Compounded annual return / Expected Shortfall lognormal
    7.50520
  • 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
    0.85994
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.44334
  • 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
    0.76023
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.44650
  • 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)
    -6828650000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.01200
  • 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)
    78073900000000000701318029115392.00000
  • 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?
    -358570000
  • 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
2012-05-16
Suggested Minimum Capital
$20,000
# Trades
93
# Profitable
63
% Profitable
67.7%
Correlation S&P500
0.042
Sharpe Ratio
0.06
Sortino Ratio
0.08
Beta
0.02
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.