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

Test System 11234
(89456395)

Created by: AlphaTrading AlphaTrading
Started: 01/2015
Futures
Last trade: 3,115 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.

-23.1%
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.

(100.0%)
Max Drawdown
31
Num Trades
71.0%
Win Trades
0.8 : 1
Profit Factor
3.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015+13.1%(0.3%)+4.5%+3.4%+8.7%(8.5%)(15.1%)(111.3%)(790.7%)  -    -    -  (19.8%)
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 54 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3143 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/21/15 4:30 @ESU5 E-MINI S&P 500 LONG 2 2025.75 9/18 15:00 1960.00 114.68%
Trade id #96766629
Max drawdown($19,475)
Time8/24/15 9:32
Quant open2
Worst price1831.00
Drawdown as % of equity114.68%
($6,591)
Includes Typical Broker Commissions trade costs of $16.00
8/21/15 4:30 @EMDU5 Mini Midcap 400 LONG 2 1451.10 9/17 14:48 1455.10 153.22%
Trade id #96766618
Max drawdown($26,020)
Time8/24/15 9:32
Quant open2
Worst price1321.00
Drawdown as % of equity153.22%
$784
Includes Typical Broker Commissions trade costs of $16.00
8/21/15 4:33 @NQU5 E-MINI NASDAQ 100 STK IDX LONG 2 4359.75 9/17 13:20 4400.00 106.35%
Trade id #96766674
Max drawdown($18,060)
Time8/24/15 9:31
Quant open2
Worst price3908.25
Drawdown as % of equity106.35%
$1,594
Includes Typical Broker Commissions trade costs of $16.00
8/21/15 4:30 @TFSU5 Emini Russell 2000 LONG 2 1167.30 8/21 10:08 1165.80 13.73%
Trade id #96766623
Max drawdown($2,880)
Time8/21/15 9:32
Quant open2
Worst price1152.90
Drawdown as % of equity-13.73%
($316)
Includes Typical Broker Commissions trade costs of $16.00
8/20/15 16:18 @TFSU5 Emini Russell 2000 LONG 1 1166.40 8/20 21:49 1164.20 1.38%
Trade id #96757512
Max drawdown($380)
Time8/20/15 21:49
Quant open1
Worst price1162.60
Drawdown as % of equity-1.38%
($228)
Includes Typical Broker Commissions trade costs of $8.00
8/20/15 16:26 @NQU5 E-MINI NASDAQ 100 STK IDX LONG 1 4364.50 8/20 21:49 4347.50 1.58%
Trade id #96757586
Max drawdown($435)
Time8/20/15 21:48
Quant open1
Worst price4342.75
Drawdown as % of equity-1.58%
($348)
Includes Typical Broker Commissions trade costs of $8.00
8/20/15 16:30 @EMDU5 Mini Midcap 400 LONG 1 1448.70 8/20 21:49 1445.30 1.49%
Trade id #96757626
Max drawdown($410)
Time8/20/15 21:49
Quant open1
Worst price1444.60
Drawdown as % of equity-1.49%
($348)
Includes Typical Broker Commissions trade costs of $8.00
7/24/15 16:19 @TFSU5 Emini Russell 2000 LONG 2 1223.90 7/28 9:49 1201.60 14.72%
Trade id #96065628
Max drawdown($4,460)
Time7/28/15 9:49
Quant open0
Worst price1201.60
Drawdown as % of equity-14.72%
($4,476)
Includes Typical Broker Commissions trade costs of $16.00
6/29/15 16:18 @TFSU5 Emini Russell 2000 LONG 2 1245.30 6/30 9:30 1252.20 0.33%
Trade id #95564801
Max drawdown($100)
Time6/29/15 16:31
Quant open2
Worst price1244.80
Drawdown as % of equity-0.33%
$1,364
Includes Typical Broker Commissions trade costs of $16.00
6/12/15 16:43 @ESU5 E-MINI S&P 500 LONG 2 2085.00 6/15 9:31 2066.50 5.97%
Trade id #94986769
Max drawdown($1,850)
Time6/15/15 9:31
Quant open0
Worst price2066.50
Drawdown as % of equity-5.97%
($1,866)
Includes Typical Broker Commissions trade costs of $16.00
6/4/15 16:30 @ESM5 E-MINI S&P 500 LONG 2 2098.75 6/8 9:51 2086.88 4.69%
Trade id #94818149
Max drawdown($1,525)
Time6/5/15 9:42
Quant open2
Worst price2083.50
Drawdown as % of equity-4.69%
($1,204)
Includes Typical Broker Commissions trade costs of $16.00
6/4/15 16:30 @YMM5 MINI DOW LONG 2 17928 6/8 9:50 17814 3.68%
Trade id #94818147
Max drawdown($1,195)
Time6/5/15 9:42
Quant open2
Worst price17808
Drawdown as % of equity-3.68%
($1,146)
Includes Typical Broker Commissions trade costs of $16.00
6/4/15 16:30 @EMDM5 Mini Midcap 400 LONG 2 1523.30 6/5 14:05 1524.20 8.98%
Trade id #94818164
Max drawdown($2,920)
Time6/5/15 9:42
Quant open2
Worst price1508.70
Drawdown as % of equity-8.98%
$164
Includes Typical Broker Commissions trade costs of $16.00
5/26/15 16:30 @YMM5 MINI DOW LONG 2 18057 5/27 9:30 18067 0.93%
Trade id #94630123
Max drawdown($310)
Time5/27/15 1:23
Quant open2
Worst price18026
Drawdown as % of equity-0.93%
$84
Includes Typical Broker Commissions trade costs of $16.00
5/26/15 16:30 @ESM5 E-MINI S&P 500 LONG 2 2106.00 5/27 9:30 2107.00 1.42%
Trade id #94630128
Max drawdown($475)
Time5/27/15 4:14
Quant open2
Worst price2101.25
Drawdown as % of equity-1.42%
$84
Includes Typical Broker Commissions trade costs of $16.00
5/6/15 16:30 @YMM5 MINI DOW LONG 2 17780 5/7 9:43 17796 4.69%
Trade id #94284273
Max drawdown($1,510)
Time5/7/15 5:18
Quant open2
Worst price17629
Drawdown as % of equity-4.69%
$144
Includes Typical Broker Commissions trade costs of $16.00
5/6/15 16:30 @NQM5 E-MINI NASDAQ 100 STK IDX LONG 2 4374.00 5/7 9:31 4378.50 5.15%
Trade id #94284241
Max drawdown($1,660)
Time5/7/15 5:18
Quant open2
Worst price4332.50
Drawdown as % of equity-5.15%
$164
Includes Typical Broker Commissions trade costs of $16.00
5/6/15 9:30 @EMDM5 Mini Midcap 400 LONG 2 1501.80 5/6 9:32 1503.10 n/a $244
Includes Typical Broker Commissions trade costs of $16.00
5/6/15 3:34 @EMDM5 Mini Midcap 400 LONG 2 1496.00 5/6 9:30 1501.60 1.48%
Trade id #94267255
Max drawdown($460)
Time5/6/15 3:38
Quant open2
Worst price1493.70
Drawdown as % of equity-1.48%
$1,104
Includes Typical Broker Commissions trade costs of $16.00
5/5/15 16:30 @ESM5 E-MINI S&P 500 LONG 2 2084.75 5/6 9:30 2090.50 1.13%
Trade id #94258861
Max drawdown($350)
Time5/6/15 3:38
Quant open2
Worst price2081.25
Drawdown as % of equity-1.13%
$559
Includes Typical Broker Commissions trade costs of $16.00
5/5/15 16:19 @TFSM5 Emini Russell 2000 LONG 2 1214.30 5/6 9:30 1217.30 2.26%
Trade id #94258766
Max drawdown($700)
Time5/6/15 3:38
Quant open2
Worst price1210.80
Drawdown as % of equity-2.26%
$584
Includes Typical Broker Commissions trade costs of $16.00
4/30/15 16:20 @TFSM5 Emini Russell 2000 LONG 2 1219.70 5/1 9:30 1221.30 0.13%
Trade id #94175386
Max drawdown($40)
Time4/30/15 16:22
Quant open2
Worst price1219.50
Drawdown as % of equity-0.13%
$304
Includes Typical Broker Commissions trade costs of $16.00
4/30/15 16:30 @EMDM5 Mini Midcap 400 LONG 2 1500.20 5/1 9:30 1500.30 0.85%
Trade id #94175459
Max drawdown($260)
Time4/30/15 19:56
Quant open2
Worst price1498.90
Drawdown as % of equity-0.85%
$4
Includes Typical Broker Commissions trade costs of $16.00
4/1/15 16:30 @EMDM5 Mini Midcap 400 LONG 4 1514.50 4/2 9:39 1516.30 9.19%
Trade id #93631799
Max drawdown($2,560)
Time4/2/15 4:36
Quant open4
Worst price1508.10
Drawdown as % of equity-9.19%
$688
Includes Typical Broker Commissions trade costs of $32.00
3/10/15 16:30 @EMDH5 Mini Midcap 400 LONG 2 1472.60 3/11 9:30 1475.20 0%
Trade id #93127694
Max drawdown$0
Time3/10/15 18:23
Quant open2
Worst price1472.60
Drawdown as % of equity0.00%
$504
Includes Typical Broker Commissions trade costs of $16.00
3/10/15 16:18 @TFSH5 Emini Russell 2000 LONG 2 1207.70 3/11 9:30 1209.80 0.14%
Trade id #93127508
Max drawdown($40)
Time3/10/15 16:20
Quant open2
Worst price1207.50
Drawdown as % of equity-0.14%
$404
Includes Typical Broker Commissions trade costs of $16.00
3/6/15 16:26 @ESH5 E-MINI S&P 500 LONG 2 2071.00 3/9 9:30 2072.75 1.79%
Trade id #93054686
Max drawdown($500)
Time3/9/15 4:16
Quant open2
Worst price2066.00
Drawdown as % of equity-1.79%
$159
Includes Typical Broker Commissions trade costs of $16.00
3/6/15 16:30 @EMDH5 Mini Midcap 400 LONG 1 1487.10 3/9 9:30 1488.90 1%
Trade id #93054739
Max drawdown($280)
Time3/9/15 4:20
Quant open1
Worst price1484.30
Drawdown as % of equity-1.00%
$172
Includes Typical Broker Commissions trade costs of $8.00
3/6/15 16:26 @NQH5 E-MINI NASDAQ 100 STK IDX LONG 2 4405.25 3/9 9:30 4410.00 1.29%
Trade id #93054692
Max drawdown($360)
Time3/9/15 4:16
Quant open2
Worst price4396.25
Drawdown as % of equity-1.29%
$174
Includes Typical Broker Commissions trade costs of $16.00
1/6/15 16:33 @EMDH5 Mini Midcap 400 LONG 2 1407.30 1/7 9:30 1417.30 0.96%
Trade id #91700622
Max drawdown($240)
Time1/6/15 17:14
Quant open2
Worst price1406.10
Drawdown as % of equity-0.96%
$1,984
Includes Typical Broker Commissions trade costs of $16.00

Statistics

  • Strategy began
    1/6/2015
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    3362.42
  • Age
    112 months ago
  • What it trades
    Futures
  • # Trades
    31
  • # Profitable
    22
  • % Profitable
    71.00%
  • Avg trade duration
    3.8 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Aug 27, 2015 - Sept 17, 2015
  • Cumul. Return
    -18.8%
  • Avg win
    $592.50
  • Avg loss
    $1,822
  • Model Account Values (Raw)
  • Cash
    $21,632
  • Margin Used
    $0
  • Buying Power
    $21,632
  • Ratios
  • W:L ratio
    0.79:1
  • Sharpe Ratio
    -0.39
  • Sortino Ratio
    -0.4
  • Calmar Ratio
    -0.072
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -20.33%
  • Correlation to SP500
    0.12870
  • Return Percent SP500 (cumu) during strategy life
    162.38%
  • Return Statistics
  • Ann Return (w trading costs)
    -23.1%
  • Slump
  • Current Slump as Pcnt Equity
    68.60%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.95%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.188%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -1.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    637
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    381
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,823
  • Avg Win
    $592
  • Sum Trade PL (losers)
    $16,403.000
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $13,035.000
  • # Winners
    22
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    9
  • % Winners
    71.0%
  • Frequency
  • Avg Position Time (mins)
    5440.80
  • Avg Position Time (hrs)
    90.68
  • Avg Trade Length
    3.8 days
  • Last Trade Ago
    3107
  • Regression
  • Alpha
    0.00
  • Beta
    1.21
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    86.51
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    45.82
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    3.03
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.06
  • Avg(MAE) / Avg(PL) - All trades
    -24.691
  • 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
    4.460
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.988
  • Hold-and-Hope Ratio
    -0.041
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    28841.60000
  • SD
    24978.60000
  • Sharpe ratio (Glass type estimate)
    1.15465
  • Sharpe ratio (Hedges UMVUE)
    1.04231
  • df
    8.00000
  • t
    0.99996
  • p
    0.17331
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.20926
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.45192
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.27777
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.36239
  • Statistics related to Sortino ratio
  • Sortino ratio
    24808.70000
  • Upside Potential Ratio
    24810.00000
  • Upside part of mean
    28843.10000
  • Downside part of mean
    -1.50896
  • Upside SD
    24978.50000
  • Downside SD
    1.16256
  • N nonnegative terms
    5.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    -0.04228
  • Mean of criterion
    28841.60000
  • SD of predictor
    0.15273
  • SD of criterion
    24978.60000
  • Covariance
    1320.86000
  • r
    0.34624
  • b (slope, estimate of beta)
    56627.50000
  • a (intercept, estimate of alpha)
    31235.60000
  • Mean Square Error
    627581000.00000
  • DF error
    7.00000
  • t(b)
    0.97646
  • p(b)
    0.18068
  • t(a)
    1.07595
  • p(a)
    0.15882
  • Lowerbound of 95% confidence interval for beta
    -80504.40000
  • Upperbound of 95% confidence interval for beta
    193759.00000
  • Lowerbound of 95% confidence interval for alpha
    -37411.60000
  • Upperbound of 95% confidence interval for alpha
    99882.70000
  • Treynor index (mean / b)
    0.50932
  • Jensen alpha (a)
    31235.60000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.20283
  • SD
    17.56970
  • Sharpe ratio (Glass type estimate)
    -0.01154
  • Sharpe ratio (Hedges UMVUE)
    -0.01042
  • df
    8.00000
  • t
    -0.01000
  • p
    0.50387
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.27444
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.25192
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.27360
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.25276
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.01705
  • Upside Potential Ratio
    1.15297
  • Upside part of mean
    13.71630
  • Downside part of mean
    -13.91910
  • Upside SD
    11.52700
  • Downside SD
    11.89650
  • N nonnegative terms
    5.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    -0.05325
  • Mean of criterion
    -0.20283
  • SD of predictor
    0.15874
  • SD of criterion
    17.56970
  • Covariance
    2.32078
  • r
    0.83211
  • b (slope, estimate of beta)
    92.10060
  • a (intercept, estimate of alpha)
    4.70140
  • Mean Square Error
    108.51500
  • DF error
    7.00000
  • t(b)
    3.96962
  • p(b)
    0.00270
  • t(a)
    0.38881
  • p(a)
    0.35449
  • Lowerbound of 95% confidence interval for beta
    37.23780
  • Upperbound of 95% confidence interval for beta
    146.96300
  • Lowerbound of 95% confidence interval for alpha
    -23.89140
  • Upperbound of 95% confidence interval for alpha
    33.29420
  • Treynor index (mean / b)
    -0.00220
  • Jensen alpha (a)
    4.70140
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.99977
  • Expected Shortfall on VaR
    0.99993
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.26125
  • Expected Shortfall on VaR
    0.57490
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.00003
  • Quartile 1
    0.97821
  • Median
    1.01110
  • Quartile 3
    1.09994
  • Maximum
    21633.00000
  • Mean of quarter 1
    0.62387
  • Mean of quarter 2
    1.00555
  • Mean of quarter 3
    1.08875
  • Mean of quarter 4
    10817.10000
  • Inter Quartile Range
    0.12172
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.11111
  • Mean of outliers low
    0.00003
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    21633.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.28097
  • VaR(95%) (moments method)
    0.13108
  • Expected Shortfall (moments method)
    0.25582
  • Extreme Value Index (regression method)
    2.39597
  • VaR(95%) (regression method)
    1.95735
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.99997
  • Quartile 1
    0.99997
  • Median
    0.99997
  • Quartile 3
    0.99997
  • Maximum
    0.99997
  • 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)
    -0.17957
  • Compounded annual return (geometric extrapolation)
    -0.17541
  • Calmar ratio (compounded annual return / max draw down)
    -0.17542
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.17543
  • 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
    24771.20000
  • SD
    13729.70000
  • Sharpe ratio (Glass type estimate)
    1.80421
  • Sharpe ratio (Hedges UMVUE)
    1.79942
  • df
    283.00000
  • t
    1.63933
  • p
    0.05113
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.35953
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.96488
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36275
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.96160
  • Statistics related to Sortino ratio
  • Sortino ratio
    10828.90000
  • Upside Potential Ratio
    10832.20000
  • Upside part of mean
    24778.90000
  • Downside part of mean
    -7.69114
  • Upside SD
    13770.40000
  • Downside SD
    2.28751
  • N nonnegative terms
    35.00000
  • N negative terms
    249.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    284.00000
  • Mean of predictor
    0.02008
  • Mean of criterion
    24771.20000
  • SD of predictor
    0.15129
  • SD of criterion
    13729.70000
  • Covariance
    495.45700
  • r
    0.23852
  • b (slope, estimate of beta)
    21645.50000
  • a (intercept, estimate of alpha)
    8811.65000
  • Mean Square Error
    178410000.00000
  • DF error
    282.00000
  • t(b)
    4.12449
  • p(b)
    0.00002
  • t(a)
    1.65546
  • p(a)
    0.04947
  • Lowerbound of 95% confidence interval for beta
    11315.20000
  • Upperbound of 95% confidence interval for beta
    31975.80000
  • Lowerbound of 95% confidence interval for alpha
    -4600.60000
  • Upperbound of 95% confidence interval for alpha
    53273.90000
  • Treynor index (mean / b)
    1.14441
  • Jensen alpha (a)
    24336.60000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.18517
  • SD
    23.38420
  • Sharpe ratio (Glass type estimate)
    -0.00792
  • Sharpe ratio (Hedges UMVUE)
    -0.00790
  • df
    283.00000
  • t
    -0.00719
  • p
    0.50287
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.16501
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.14917
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.16499
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.14919
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.01139
  • Upside Potential Ratio
    2.20766
  • Upside part of mean
    35.88170
  • Downside part of mean
    -36.06690
  • Upside SD
    16.75480
  • Downside SD
    16.25330
  • N nonnegative terms
    35.00000
  • N negative terms
    249.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    284.00000
  • Mean of predictor
    0.00865
  • Mean of criterion
    -0.18517
  • SD of predictor
    0.15149
  • SD of criterion
    23.38420
  • Covariance
    1.44690
  • r
    0.40846
  • b (slope, estimate of beta)
    63.05220
  • a (intercept, estimate of alpha)
    -0.73073
  • Mean Square Error
    457.20400
  • DF error
    282.00000
  • t(b)
    7.51464
  • p(b)
    0.00000
  • t(a)
    -0.03105
  • p(a)
    0.51238
  • Lowerbound of 95% confidence interval for beta
    46.53610
  • Upperbound of 95% confidence interval for beta
    79.56830
  • Lowerbound of 95% confidence interval for alpha
    -47.05340
  • Upperbound of 95% confidence interval for alpha
    45.59190
  • Treynor index (mean / b)
    -0.00294
  • Jensen alpha (a)
    -0.73073
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.87436
  • Expected Shortfall on VaR
    0.91890
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07152
  • Expected Shortfall on VaR
    0.16070
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    284.00000
  • Minimum
    0.00015
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    9781.00000
  • Mean of quarter 1
    0.91067
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    289.12700
  • Inter Quartile Range
    0.00000
  • Number outliers low
    32.00000
  • Percentage of outliers low
    0.11268
  • Mean of outliers low
    0.80180
  • Number of outliers high
    35.00000
  • Percentage of outliers high
    0.12324
  • Mean of outliers high
    585.48500
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    2.12020
  • VaR(95%) (moments method)
    0.00451
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.53592
  • VaR(95%) (regression method)
    0.04926
  • Expected Shortfall (regression method)
    0.08221
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00514
  • Quartile 1
    0.00751
  • Median
    0.02011
  • Quartile 3
    0.05047
  • Maximum
    0.99997
  • Mean of quarter 1
    0.00598
  • Mean of quarter 2
    0.00959
  • Mean of quarter 3
    0.03063
  • Mean of quarter 4
    0.52852
  • Inter Quartile Range
    0.04295
  • 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
    0.99997
  • 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)
    -0.16313
  • Compounded annual return (geometric extrapolation)
    -0.16073
  • Calmar ratio (compounded annual return / max draw down)
    -0.16073
  • Compounded annual return / average of 25% largest draw downs
    -0.30410
  • Compounded annual return / Expected Shortfall lognormal
    -0.17491
  • 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
    40900.80000
  • SD
    17607.90000
  • Sharpe ratio (Glass type estimate)
    2.32286
  • Sharpe ratio (Hedges UMVUE)
    2.31266
  • df
    171.00000
  • t
    1.64251
  • p
    0.42087
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.46313
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.10220
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46996
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.09528
  • Statistics related to Sortino ratio
  • Sortino ratio
    13918.40000
  • Upside Potential Ratio
    13922.70000
  • Upside part of mean
    40913.30000
  • Downside part of mean
    -12.51590
  • Upside SD
    17694.60000
  • Downside SD
    2.93861
  • N nonnegative terms
    26.00000
  • N negative terms
    146.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    -0.04646
  • Mean of criterion
    40900.80000
  • SD of predictor
    0.16744
  • SD of criterion
    17607.90000
  • Covariance
    827.92400
  • r
    0.28081
  • b (slope, estimate of beta)
    29529.90000
  • a (intercept, estimate of alpha)
    42272.90000
  • Mean Square Error
    287271000.00000
  • DF error
    170.00000
  • t(b)
    3.81486
  • p(b)
    0.35959
  • t(a)
    1.76341
  • p(a)
    0.43299
  • Lowerbound of 95% confidence interval for beta
    14249.50000
  • Upperbound of 95% confidence interval for beta
    44810.30000
  • Lowerbound of 95% confidence interval for alpha
    -5048.83000
  • Upperbound of 95% confidence interval for alpha
    89594.70000
  • Treynor index (mean / b)
    1.38506
  • Jensen alpha (a)
    42272.90000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.71823
  • SD
    30.08200
  • Sharpe ratio (Glass type estimate)
    -0.02388
  • Sharpe ratio (Hedges UMVUE)
    -0.02377
  • df
    171.00000
  • t
    -0.01688
  • p
    0.50082
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.79568
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.74793
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.79558
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.74804
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.03439
  • Upside Potential Ratio
    2.80816
  • Upside part of mean
    58.64830
  • Downside part of mean
    -59.36660
  • Upside SD
    21.52880
  • Downside SD
    20.88500
  • N nonnegative terms
    26.00000
  • N negative terms
    146.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    -0.06044
  • Mean of criterion
    -0.71823
  • SD of predictor
    0.16776
  • SD of criterion
    30.08200
  • Covariance
    2.39371
  • r
    0.47433
  • b (slope, estimate of beta)
    85.05540
  • a (intercept, estimate of alpha)
    4.42239
  • Mean Square Error
    705.45700
  • DF error
    170.00000
  • t(b)
    7.02505
  • p(b)
    0.26284
  • t(a)
    0.11771
  • p(a)
    0.49549
  • VAR (95 Confidence Intrvl)
    0.77700
  • Lowerbound of 95% confidence interval for beta
    61.15510
  • Upperbound of 95% confidence interval for beta
    108.95600
  • Lowerbound of 95% confidence interval for alpha
    -69.74000
  • Upperbound of 95% confidence interval for alpha
    78.58470
  • Treynor index (mean / b)
    -0.00844
  • Jensen alpha (a)
    4.42239
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.93074
  • Expected Shortfall on VaR
    0.95955
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.11421
  • Expected Shortfall on VaR
    0.25276
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.00015
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    9781.00000
  • Mean of quarter 1
    0.85456
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    476.73700
  • Inter Quartile Range
    0.00000
  • Number outliers low
    28.00000
  • Percentage of outliers low
    0.16279
  • Mean of outliers low
    0.77665
  • Number of outliers high
    26.00000
  • Percentage of outliers high
    0.15116
  • Mean of outliers high
    787.79500
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    2.38656
  • VaR(95%) (moments method)
    0.01283
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.73085
  • VaR(95%) (regression method)
    0.07567
  • Expected Shortfall (regression method)
    0.10014
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00514
  • Quartile 1
    0.00640
  • Median
    0.00821
  • Quartile 3
    0.25719
  • Maximum
    0.99997
  • Mean of quarter 1
    0.00514
  • Mean of quarter 2
    0.00682
  • Mean of quarter 3
    0.00959
  • Mean of quarter 4
    0.99997
  • Inter Quartile Range
    0.25079
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    0.99997
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    21
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.59645
  • Compounded annual return (geometric extrapolation)
    -0.50751
  • Calmar ratio (compounded annual return / max draw down)
    -0.50752
  • Compounded annual return / average of 25% largest draw downs
    -0.50752
  • Compounded annual return / Expected Shortfall lognormal
    -0.52890

Strategy Description

Summary Statistics

Strategy began
2015-01-06
Suggested Minimum Capital
$25,000
# Trades
31
# Profitable
22
% Profitable
71.0%
Correlation S&P500
0.129
Sharpe Ratio
-0.39
Sortino Ratio
-0.40
Beta
1.21
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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