Collective2 Collective2
Featured Strategy IC Algotrading +118.5% Annual Return (Compounded) since Mar 31, 2023 Hypothetical

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Chateau Woo Woo
(90164263)

Created by: ALondonPropTrader ALondonPropTrader
Started: 10/2014
Stocks, Options
Last trade: 3,402 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 $99.00 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.

9.8%
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.

(28.8%)
Max Drawdown
26
Num Trades
50.0%
Win Trades
11.5 : 1
Profit Factor
66.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014                                                               (2.2%)(1.9%)+0.5%(3.6%)
2015+0.4%+3.2%(1.8%)+0.1%+1.0%(3.1%)+3.2%(5.8%)(4%)+10.2%+0.6%(1.7%)+1.4%
2016(4.1%)+0.8%+6.1%(0.1%)+1.4%(1.2%)+6.8%(0.4%)(0.7%)(2.7%)+2.3%+2.8%+10.8%
2017+1.3%+3.9%(1.3%)+2.2%+1.3%+0.4%+1.7%(0.7%)+2.1%+2.5%+2.2%+1.4%+18.3%
2018+4.9%(4.9%)(1.3%)+0.8%+3.1%(0.4%)+3.0%+3.5%+0.2%(6.2%)+1.4%(8.1%)(5%)
2019+5.7%+6.4%+0.2%+4.3%(0.1%)+0.9%+0.8%+0.4%+1.0%+1.9%+2.1%+2.9%+29.6%
2020+1.0%(2.1%)(16.5%)+10.7%+5.4%+2.4%+3.9%+5.6%(2.6%)+1.8%+5.0%+1.1%+13.9%
2021+0.4%+2.1%+2.2%+6.4%+0.9%+1.7%+3.1%+2.2%(4.3%)+6.1%(0.2%)+4.4%+27.5%
2022(5.1%)(5.8%)+4.7%(4.2%)(5.5%)(2%)+1.5%+2.2%(10%)+3.0%+6.0%(4.2%)(18.9%)
2023+7.8%(3%)+2.2%+1.4%(1.3%)+4.5%+5.0%(1.4%)(4.7%)(3.1%)+9.5%+5.0%+23.0%
2024+2.4%+2.9%+2.6%(3.1%)+2.8%                                          +7.7%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 24 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/11/14 12:38 SPY1523M206 SPY Jan23'15 206 put SHORT 1 4.29 1/24/15 9:02 0.00 1.32%
Trade id #91275218
Max drawdown($326)
Time1/16/15 10:16
Quant open-1
Worst price7.55
Drawdown as % of equity-1.32%
 $428
Includes Typical Broker Commissions trade costs of $1.00
12/11/14 12:48 SPY1523A206 SPY Jan23'15 206 call SHORT 1 3.25 1/24/15 9:02 0.00 0.59%
Trade id #91275406
Max drawdown($144)
Time12/26/14 14:13
Quant open-1
Worst price4.69
Drawdown as % of equity-0.59%
 $324
Includes Typical Broker Commissions trade costs of $1.00
12/11/14 12:44 SPY1523M194.5 SPY Jan23'15 194.5 put LONG 1 1.48 1/24/15 9:02 0.00 0.59%
Trade id #91275331
Max drawdown($148)
Time1/24/15 9:02
Quant open0
Worst price0.00
Drawdown as % of equity-0.59%
 ($149)
Includes Typical Broker Commissions trade costs of $1.00
12/11/14 13:16 SPY1523A217 SPY Jan23'15 217 call LONG 1 0.19 1/24/15 9:02 0.00 0.08%
Trade id #91276038
Max drawdown($19)
Time1/24/15 9:02
Quant open0
Worst price0.00
Drawdown as % of equity-0.08%
 ($20)
Includes Typical Broker Commissions trade costs of $1.00
12/21/14 9:04 SPY SPDR S&P 500 SHORT 100 204.00 1/2/15 15:39 205.26 2.05%
Trade id #91437530
Max drawdown($497)
Time12/29/14 11:51
Quant open-100
Worst price208.97
Drawdown as % of equity-2.05%
 ($128)
Includes Typical Broker Commissions trade costs of $2.00
10/9/14 12:35 QQQ POWERSHARES QQQ LONG 87 97.15 1/2/15 11:40 102.17 2.5%
Trade id #90165276
Max drawdown($613)
Time10/16/14 7:06
Quant open87
Worst price90.10
Drawdown as % of equity-2.50%
 $435
Includes Typical Broker Commissions trade costs of $1.74
11/10/14 11:15 SPY1420X204 SPY Dec20'14 204 put SHORT 1 3.55 12/21 9:04 0.00 1.7%
Trade id #90712456
Max drawdown($405)
Time12/16/14 16:12
Quant open-1
Worst price7.60
Drawdown as % of equity-1.70%
 $354
Includes Typical Broker Commissions trade costs of $1.00
11/10/14 11:21 SPY1420X194 SPY Dec20'14 194 put LONG 1 1.00 12/21 9:04 0.00 0.41%
Trade id #90712647
Max drawdown($100)
Time12/21/14 9:04
Quant open0
Worst price0.00
Drawdown as % of equity-0.41%
 ($101)
Includes Typical Broker Commissions trade costs of $1.00
11/10/14 11:19 SPY1420L214 SPY Dec20'14 214 call LONG 1 0.16 12/21 9:04 0.00 0.07%
Trade id #90712590
Max drawdown($16)
Time12/21/14 9:04
Quant open0
Worst price0.00
Drawdown as % of equity-0.07%
 ($17)
Includes Typical Broker Commissions trade costs of $1.00
11/10/14 11:22 SPY1420L204 SPY Dec20'14 204 call SHORT 1 2.70 12/21 9:04 0.00 0.92%
Trade id #90712663
Max drawdown($223)
Time11/21/14 9:31
Quant open-1
Worst price4.93
Drawdown as % of equity-0.92%
 $269
Includes Typical Broker Commissions trade costs of $1.00
10/30/14 11:15 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 13 126.00 12/10 14:22 117.52 0.09%
Trade id #90514516
Max drawdown($21)
Time11/4/14 11:10
Quant open-53
Worst price31.91
Drawdown as % of equity-0.09%
 $110
Includes Typical Broker Commissions trade costs of $0.26
11/3/14 12:31 TLT ISHARES 20+ YEAR TREASURY BOND LONG 30 118.60 12/1 12:23 122.10 0.09%
Trade id #90584476
Max drawdown($23)
Time11/7/14 8:48
Quant open30
Worst price117.83
Drawdown as % of equity-0.09%
 $104
Includes Typical Broker Commissions trade costs of $0.60
11/15/14 9:02 SPY SPDR S&P 500 SHORT 100 193.50 11/25 13:04 207.40 5.91%
Trade id #90816442
Max drawdown($1,429)
Time11/25/14 8:31
Quant open-100
Worst price207.79
Drawdown as % of equity-5.91%
 ($1,392)
Includes Typical Broker Commissions trade costs of $2.00
11/20/14 9:30 IWM ISHARES RUSSELL 2000 INDEX LONG 60 114.67 11/24 9:30 116.74 n/a $123
Includes Typical Broker Commissions trade costs of $1.20
10/10/14 10:48 SPY1414K193.5 SPY Nov14'14 193.5 call SHORT 1 3.14 11/15 9:02 0.00 3.13%
Trade id #90187527
Max drawdown($761)
Time11/11/14 11:27
Quant open-1
Worst price10.75
Drawdown as % of equity-3.13%
 $313
Includes Typical Broker Commissions trade costs of $1.00
10/9/14 13:31 SPY1414W183 SPY Nov14'14 183 put LONG 1 1.32 11/15 9:02 0.00 0.54%
Trade id #90166762
Max drawdown($132)
Time11/15/14 9:02
Quant open0
Worst price0.00
Drawdown as % of equity-0.54%
 ($133)
Includes Typical Broker Commissions trade costs of $1.00
10/24/14 9:34 SPY SPDR S&P 500 SHORT 50 196.62 11/15 9:02 203.75 1.5%
Trade id #90430638
Max drawdown($365)
Time11/10/14 11:31
Quant open-50
Worst price203.94
Drawdown as % of equity-1.50%
 ($357)
Includes Typical Broker Commissions trade costs of $1.00
10/9/14 13:28 SPY1414K203.5 SPY Nov14'14 203.5 call LONG 1 0.25 11/15 9:02 0.00 0.1%
Trade id #90166675
Max drawdown($25)
Time11/15/14 9:02
Quant open0
Worst price0.00
Drawdown as % of equity-0.10%
 ($26)
Includes Typical Broker Commissions trade costs of $1.00
10/9/14 13:05 SPY1414W193.5 SPY Nov14'14 193.5 put SHORT 1 3.78 11/15 9:02 0.00 1.78%
Trade id #90165960
Max drawdown($434)
Time10/16/14 15:52
Quant open-1
Worst price8.12
Drawdown as % of equity-1.78%
 $377
Includes Typical Broker Commissions trade costs of $1.00
10/24/14 9:30 IWM ISHARES RUSSELL 2000 INDEX SHORT 74 110.93 11/12 14:27 118.00 2.15%
Trade id #90430320
Max drawdown($523)
Time11/12/14 14:27
Quant open0
Worst price118.00
Drawdown as % of equity-2.15%
 ($524)
Includes Typical Broker Commissions trade costs of $1.48
10/9/14 12:32 FXI ISHARES FTSE CHINA 25 INDEX FU LONG 64 38.29 11/3 10:12 39.45 0.33%
Trade id #90165151
Max drawdown($79)
Time10/15/14 13:22
Quant open64
Worst price37.05
Drawdown as % of equity-0.33%
 $73
Includes Typical Broker Commissions trade costs of $1.28
10/24/14 9:30 SPY SPDR S&P 500 SHORT 25 195.25 10/24 9:30 195.24 n/a ($1)
Includes Typical Broker Commissions trade costs of $0.50
10/9/14 13:04 SPY1414K193.5 SPY Nov14'14 193.5 call LONG 1 3.78 10/10 10:48 3.14 0.26%
Trade id #90165924
Max drawdown($64)
Time10/10/14 10:48
Quant open0
Worst price3.14
Drawdown as % of equity-0.26%
 ($66)
Includes Typical Broker Commissions trade costs of $2.00
Next

Statistics

  • Strategy began
    10/9/2014
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    3501.2
  • Age
    117 months ago
  • What it trades
    Stocks, Options
  • # Trades
    26
  • # Profitable
    13
  • % Profitable
    50.00%
  • Avg trade duration
    422.8 days
  • Max peak-to-valley drawdown
    28.82%
  • drawdown period
    Feb 20, 2020 - March 22, 2020
  • Annual Return (Compounded)
    9.8%
  • Avg win
    $2,670
  • Avg loss
    $274.46
  • Model Account Values (Raw)
  • Cash
    $18,572
  • Margin Used
    $0
  • Buying Power
    $49,693
  • Ratios
  • W:L ratio
    11.50:1
  • Sharpe Ratio
    0.51
  • Sortino Ratio
    0.75
  • Calmar Ratio
    2.145
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -24.37%
  • Correlation to SP500
    0.88550
  • Return Percent SP500 (cumu) during strategy life
    175.04%
  • Return Statistics
  • Ann Return (w trading costs)
    9.8%
  • Slump
  • Current Slump as Pcnt Equity
    0.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.099%
  • Instruments
  • Percent Trades Options
    0.50%
  • Percent Trades Stocks
    0.50%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    10.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • 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
    $274
  • Avg Win
    $2,670
  • Sum Trade PL (losers)
    $3,568.000
  • Age
  • Num Months filled monthly returns table
    116
  • Win / Loss
  • Sum Trade PL (winners)
    $34,712.000
  • # Winners
    13
  • Num Months Winners
    77
  • Dividends
  • Dividends Received in Model Acct
    6307
  • Win / Loss
  • # Losers
    13
  • % Winners
    50.0%
  • Frequency
  • Avg Position Time (mins)
    608771.00
  • Avg Position Time (hrs)
    10146.20
  • Avg Trade Length
    422.8 days
  • Last Trade Ago
    3394
  • Regression
  • Alpha
    0.00
  • Beta
    0.75
  • Treynor Index
    0.03
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    15.57
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    8.88
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.12
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    0.339
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.183
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.155
  • Hold-and-Hope Ratio
    4.472
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35058
  • SD
    0.24619
  • Sharpe ratio (Glass type estimate)
    1.42400
  • Sharpe ratio (Hedges UMVUE)
    1.38078
  • df
    25.00000
  • t
    2.09608
  • p
    0.02318
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.02272
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.79917
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.00466
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.76622
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.65056
  • Upside Potential Ratio
    4.08036
  • Upside part of mean
    0.53969
  • Downside part of mean
    -0.18911
  • Upside SD
    0.22589
  • Downside SD
    0.13226
  • N nonnegative terms
    17.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.38679
  • Mean of criterion
    0.35058
  • SD of predictor
    0.26109
  • SD of criterion
    0.24619
  • Covariance
    0.06120
  • r
    0.95205
  • b (slope, estimate of beta)
    0.89773
  • a (intercept, estimate of alpha)
    0.00335
  • Mean Square Error
    0.00591
  • DF error
    24.00000
  • t(b)
    15.24530
  • p(b)
    0.00000
  • t(a)
    0.05872
  • p(a)
    0.47683
  • Lowerbound of 95% confidence interval for beta
    0.77620
  • Upperbound of 95% confidence interval for beta
    1.01927
  • Lowerbound of 95% confidence interval for alpha
    -0.11424
  • Upperbound of 95% confidence interval for alpha
    0.12094
  • Treynor index (mean / b)
    0.39051
  • Jensen alpha (a)
    0.00335
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31648
  • SD
    0.24470
  • Sharpe ratio (Glass type estimate)
    1.29332
  • Sharpe ratio (Hedges UMVUE)
    1.25407
  • df
    25.00000
  • t
    1.90372
  • p
    0.03426
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.09714
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.65981
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.12209
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.63022
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.22824
  • Upside Potential Ratio
    3.62423
  • Upside part of mean
    0.51475
  • Downside part of mean
    -0.19827
  • Upside SD
    0.21389
  • Downside SD
    0.14203
  • N nonnegative terms
    17.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.34847
  • Mean of criterion
    0.31648
  • SD of predictor
    0.25703
  • SD of criterion
    0.24470
  • Covariance
    0.05994
  • r
    0.95304
  • b (slope, estimate of beta)
    0.90732
  • a (intercept, estimate of alpha)
    0.00031
  • Mean Square Error
    0.00572
  • DF error
    24.00000
  • t(b)
    15.41740
  • p(b)
    0.00000
  • t(a)
    0.00556
  • p(a)
    0.49780
  • Lowerbound of 95% confidence interval for beta
    0.78586
  • Upperbound of 95% confidence interval for beta
    1.02878
  • Lowerbound of 95% confidence interval for alpha
    -0.11388
  • Upperbound of 95% confidence interval for alpha
    0.11449
  • Treynor index (mean / b)
    0.34881
  • Jensen alpha (a)
    0.00031
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08590
  • Expected Shortfall on VaR
    0.11219
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02766
  • Expected Shortfall on VaR
    0.06165
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    26.00000
  • Minimum
    0.83544
  • Quartile 1
    0.98474
  • Median
    1.03170
  • Quartile 3
    1.07503
  • Maximum
    1.15446
  • Mean of quarter 1
    0.94768
  • Mean of quarter 2
    1.00896
  • Mean of quarter 3
    1.05587
  • Mean of quarter 4
    1.11391
  • Inter Quartile Range
    0.09029
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03846
  • Mean of outliers low
    0.83544
  • 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)
    0.52827
  • VaR(95%) (moments method)
    0.05303
  • Expected Shortfall (moments method)
    0.12915
  • Extreme Value Index (regression method)
    0.66549
  • VaR(95%) (regression method)
    0.06436
  • Expected Shortfall (regression method)
    0.21085
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01497
  • Quartile 1
    0.02963
  • Median
    0.04302
  • Quartile 3
    0.07461
  • Maximum
    0.16456
  • Mean of quarter 1
    0.02230
  • Mean of quarter 2
    0.04302
  • Mean of quarter 3
    0.07461
  • Mean of quarter 4
    0.16456
  • Inter Quartile Range
    0.04498
  • 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
    0.20000
  • Mean of outliers high
    0.16456
  • 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)
    0.51180
  • Compounded annual return (geometric extrapolation)
    0.41112
  • Calmar ratio (compounded annual return / max draw down)
    2.49834
  • Compounded annual return / average of 25% largest draw downs
    2.49834
  • Compounded annual return / Expected Shortfall lognormal
    3.66459
  • 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
    0.41810
  • SD
    0.27569
  • Sharpe ratio (Glass type estimate)
    1.51657
  • Sharpe ratio (Hedges UMVUE)
    1.51463
  • df
    588.00000
  • t
    2.27388
  • p
    0.01167
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.20591
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.82604
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.20457
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.82469
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.24277
  • Upside Potential Ratio
    8.81564
  • Upside part of mean
    1.64343
  • Downside part of mean
    -1.22533
  • Upside SD
    0.20442
  • Downside SD
    0.18642
  • N nonnegative terms
    324.00000
  • N negative terms
    265.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    589.00000
  • Mean of predictor
    0.47055
  • Mean of criterion
    0.41810
  • SD of predictor
    0.32939
  • SD of criterion
    0.27569
  • Covariance
    0.08107
  • r
    0.89278
  • b (slope, estimate of beta)
    0.74722
  • a (intercept, estimate of alpha)
    0.06600
  • Mean Square Error
    0.01545
  • DF error
    587.00000
  • t(b)
    48.01450
  • p(b)
    -0.00000
  • t(a)
    0.79899
  • p(a)
    0.21231
  • Lowerbound of 95% confidence interval for beta
    0.71666
  • Upperbound of 95% confidence interval for beta
    0.77779
  • Lowerbound of 95% confidence interval for alpha
    -0.09696
  • Upperbound of 95% confidence interval for alpha
    0.22995
  • Treynor index (mean / b)
    0.55954
  • Jensen alpha (a)
    0.06650
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37983
  • SD
    0.27571
  • Sharpe ratio (Glass type estimate)
    1.37763
  • Sharpe ratio (Hedges UMVUE)
    1.37587
  • df
    588.00000
  • t
    2.06556
  • p
    0.01965
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.06752
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.68666
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06631
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.68543
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.99075
  • Upside Potential Ratio
    8.50605
  • Upside part of mean
    1.62295
  • Downside part of mean
    -1.24311
  • Upside SD
    0.20009
  • Downside SD
    0.19080
  • N nonnegative terms
    324.00000
  • N negative terms
    265.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    589.00000
  • Mean of predictor
    0.41532
  • Mean of criterion
    0.37983
  • SD of predictor
    0.33259
  • SD of criterion
    0.27571
  • Covariance
    0.08176
  • r
    0.89157
  • b (slope, estimate of beta)
    0.73910
  • a (intercept, estimate of alpha)
    0.07287
  • Mean Square Error
    0.01562
  • DF error
    587.00000
  • t(b)
    47.69580
  • p(b)
    -0.00000
  • t(a)
    0.87164
  • p(a)
    0.19188
  • Lowerbound of 95% confidence interval for beta
    0.70866
  • Upperbound of 95% confidence interval for beta
    0.76953
  • Lowerbound of 95% confidence interval for alpha
    -0.09132
  • Upperbound of 95% confidence interval for alpha
    0.23706
  • Treynor index (mean / b)
    0.51391
  • Jensen alpha (a)
    0.07287
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02622
  • Expected Shortfall on VaR
    0.03311
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00987
  • Expected Shortfall on VaR
    0.02117
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    589.00000
  • Minimum
    0.90218
  • Quartile 1
    0.99591
  • Median
    1.00099
  • Quartile 3
    1.00853
  • Maximum
    1.10524
  • Mean of quarter 1
    0.98277
  • Mean of quarter 2
    0.99891
  • Mean of quarter 3
    1.00461
  • Mean of quarter 4
    1.02064
  • Inter Quartile Range
    0.01262
  • Number outliers low
    34.00000
  • Percentage of outliers low
    0.05772
  • Mean of outliers low
    0.96047
  • Number of outliers high
    30.00000
  • Percentage of outliers high
    0.05093
  • Mean of outliers high
    1.04115
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.52977
  • VaR(95%) (moments method)
    0.01591
  • Expected Shortfall (moments method)
    0.03915
  • Extreme Value Index (regression method)
    0.20650
  • VaR(95%) (regression method)
    0.01522
  • Expected Shortfall (regression method)
    0.02545
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    50.00000
  • Minimum
    0.00036
  • Quartile 1
    0.00303
  • Median
    0.01130
  • Quartile 3
    0.02490
  • Maximum
    0.23465
  • Mean of quarter 1
    0.00129
  • Mean of quarter 2
    0.00562
  • Mean of quarter 3
    0.01743
  • Mean of quarter 4
    0.08353
  • Inter Quartile Range
    0.02187
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.12000
  • Mean of outliers high
    0.13764
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.43397
  • VaR(95%) (moments method)
    0.08193
  • Expected Shortfall (moments method)
    0.16987
  • Extreme Value Index (regression method)
    0.30917
  • VaR(95%) (regression method)
    0.09171
  • Expected Shortfall (regression method)
    0.16685
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.66762
  • Compounded annual return (geometric extrapolation)
    0.50342
  • Calmar ratio (compounded annual return / max draw down)
    2.14537
  • Compounded annual return / average of 25% largest draw downs
    6.02683
  • Compounded annual return / Expected Shortfall lognormal
    15.20640
  • 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
    0.57930
  • SD
    0.36405
  • Sharpe ratio (Glass type estimate)
    1.59128
  • Sharpe ratio (Hedges UMVUE)
    1.58208
  • df
    130.00000
  • t
    1.12520
  • p
    0.45089
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.19030
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.36680
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.19639
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.36055
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.36454
  • Upside Potential Ratio
    10.40300
  • Upside part of mean
    2.54869
  • Downside part of mean
    -1.96939
  • Upside SD
    0.26977
  • Downside SD
    0.24499
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.65813
  • Mean of criterion
    0.57930
  • SD of predictor
    0.41742
  • SD of criterion
    0.36405
  • Covariance
    0.13909
  • r
    0.91531
  • b (slope, estimate of beta)
    0.79827
  • a (intercept, estimate of alpha)
    0.05393
  • Mean Square Error
    0.02166
  • DF error
    129.00000
  • t(b)
    25.81280
  • p(b)
    0.01460
  • t(a)
    0.25788
  • p(a)
    0.48555
  • Lowerbound of 95% confidence interval for beta
    0.73708
  • Upperbound of 95% confidence interval for beta
    0.85946
  • Lowerbound of 95% confidence interval for alpha
    -0.35986
  • Upperbound of 95% confidence interval for alpha
    0.46773
  • Treynor index (mean / b)
    0.72569
  • Jensen alpha (a)
    0.05393
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.51291
  • SD
    0.36418
  • Sharpe ratio (Glass type estimate)
    1.40839
  • Sharpe ratio (Hedges UMVUE)
    1.40025
  • df
    130.00000
  • t
    0.99588
  • p
    0.45649
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.37136
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.18282
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.37678
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.17728
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.05291
  • Upside Potential Ratio
    10.05770
  • Upside part of mean
    2.51290
  • Downside part of mean
    -1.99998
  • Upside SD
    0.26495
  • Downside SD
    0.24985
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.57071
  • Mean of criterion
    0.51291
  • SD of predictor
    0.41828
  • SD of criterion
    0.36418
  • Covariance
    0.13961
  • r
    0.91646
  • b (slope, estimate of beta)
    0.79794
  • a (intercept, estimate of alpha)
    0.05753
  • Mean Square Error
    0.02140
  • DF error
    129.00000
  • t(b)
    26.01420
  • p(b)
    0.01431
  • t(a)
    0.27709
  • p(a)
    0.48447
  • VAR (95 Confidence Intrvl)
    0.02600
  • Lowerbound of 95% confidence interval for beta
    0.73725
  • Upperbound of 95% confidence interval for beta
    0.85862
  • Lowerbound of 95% confidence interval for alpha
    -0.35324
  • Upperbound of 95% confidence interval for alpha
    0.46830
  • Treynor index (mean / b)
    0.64280
  • Jensen alpha (a)
    0.05753
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03444
  • Expected Shortfall on VaR
    0.04345
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01676
  • Expected Shortfall on VaR
    0.03276
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93673
  • Quartile 1
    0.99142
  • Median
    1.00228
  • Quartile 3
    1.01537
  • Maximum
    1.06989
  • Mean of quarter 1
    0.97307
  • Mean of quarter 2
    0.99750
  • Mean of quarter 3
    1.00870
  • Mean of quarter 4
    1.03019
  • Inter Quartile Range
    0.02396
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.94519
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.06989
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.61031
  • VaR(95%) (moments method)
    0.02497
  • Expected Shortfall (moments method)
    0.02841
  • Extreme Value Index (regression method)
    -0.22624
  • VaR(95%) (regression method)
    0.02471
  • Expected Shortfall (regression method)
    0.03084
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00110
  • Quartile 1
    0.00679
  • Median
    0.02230
  • Quartile 3
    0.03503
  • Maximum
    0.22102
  • Mean of quarter 1
    0.00286
  • Mean of quarter 2
    0.01674
  • Mean of quarter 3
    0.02894
  • Mean of quarter 4
    0.10222
  • Inter Quartile Range
    0.02823
  • 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
    0.09091
  • Mean of outliers high
    0.22102
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.53953
  • VaR(95%) (moments method)
    0.10770
  • Expected Shortfall (moments method)
    0.27537
  • Extreme Value Index (regression method)
    2.63144
  • VaR(95%) (regression method)
    0.28194
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -346721000
  • Max Equity Drawdown (num days)
    31
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.62101
  • Compounded annual return (geometric extrapolation)
    0.71742
  • Calmar ratio (compounded annual return / max draw down)
    3.24595
  • Compounded annual return / average of 25% largest draw downs
    7.01845
  • Compounded annual return / Expected Shortfall lognormal
    16.51310

Strategy Description

We have combined five systems to provide opportunity and profit in a wide range of market conditions.

We stand by all our signals and trade these systems in our own accounts using futures and options on futures. System trades will be executed by an experienced London prop trader.


Two reversion systems trade SPY and IWM ETF's long in up trends and short in down trends.


One system sells defined risk option spreads (Iron Flies) in SPY to capture volatility compression and theta decay.


One system shorts VXX to capture down trends created by the drag component of the underlying futures roll.


One momentum system monitors a basket of 22 ETF's comprised of currencies, commodities, indices and bonds. A proprietary algorithm selects the top two derivatives and holds them for a month.


All five systems are low trade frequency, high probability trade generators. This suite will not burn through your account with commission charges and has both a real time two year Interactive Brokers track record and ten year theoretical backtest to support the short track record on Collective2.


Portfolio heat is carefully monitored and kept to less than 10% of account size and averaging 5% of account size. Average trade risk is 1% of equity.


All systems have stops in place at point of entry or are defined risk options trades.


When you subscribe/trial our suite of system we will e-mail a comprehensive description of each component system plus a hypothetical back test. We also share a spreadsheet to help keep your position sizing in line with whatever size account, and leverage, you choose to trade.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2014-10-09
Suggested Minimum Capital
$25,000
# Trades
26
# Profitable
13
% Profitable
50.0%
Net Dividends
$6,306
Correlation S&P500
0.885
Sharpe Ratio
0.51
Sortino Ratio
0.75
Beta
0.75
Alpha
0.00

Latest Activity

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

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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