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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 04/15/2016
Most recent certification approved 4/15/16 12:59 ET
Trades at broker Interactive Brokers (Direct Connection non-US)
Scaling percentage used 100%
# trading signals issued by system since certification 138
# trading signals executed in manager's Interactive Brokers (Direct Connection non-US) account 134
Percent signals followed since 04/15/2016 97.1%
This information was last updated 7/20/17 8:35 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 04/15/2016, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

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

MT USA FUND (85633603)

Created by: Manuel_Casara Manuel_Casara
Started: 02/2014
Stocks
Last trade: 38 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. There is a free trial period of 10 days. After that, subscriptions cost $15.00 per month.

Try AutoTrade for free. We'll give you $100,000 in a Simulated Broker Account to AutoTrade MT USA FUND.

Free AutoTrade

15.5%
Annual Return (Compounded)
16.1%
Max Drawdown
148
Num Trades
48.6%
Win Trades
2.1 : 1
Profit Factor
59.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014       +7.8%+1.0%+4.7%+5.7%+7.1%(1.3%)+1.5%(7.4%)(3.1%)+7.7%(3.9%)+20.0%
2015(2.2%)+3.2%+1.0%(1.6%)+3.5%(1.6%)+2.1%+3.8%(0.1%)(0.1%)(3.1%)+1.3%+6.1%
2016+10.9%(0.4%)+0.4%+0.9%+3.5%(2.1%)+2.4%(2.4%)(2.8%)(0.7%)(1.2%)+2.3%+10.5%
2017+5.6%+3.5%+0.5%+1.9%+2.4%(1.6%)+3.8%                              +17.1%

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 48 hours.

Trading Record

This strategy has placed 202 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/12/17 9:30 ABBV ABBVIE INC LONG 63 69.87 6/12 9:30 69.70 0.04%
Trade id #112011950
Max drawdown($10)
Time6/12/17 9:30
Quant open0
Worst price69.70
Drawdown as % of equity-0.04%
($11)
Includes Typical Broker Commissions trade costs of $1.26
5/1/17 9:30 TEL TE CONNECTIVITY LONG 56 77.57 5/30 14:49 78.78 1.15%
Trade id #111341339
Max drawdown($255)
Time5/18/17 9:36
Quant open56
Worst price73.01
Drawdown as % of equity-1.15%
$67
Includes Typical Broker Commissions trade costs of $1.12
4/10/17 9:30 CMCSA COMCAST LONG 112 37.97 4/27 9:52 40.45 0.5%
Trade id #110875201
Max drawdown($109)
Time4/13/17 12:46
Quant open112
Worst price36.99
Drawdown as % of equity-0.50%
$276
Includes Typical Broker Commissions trade costs of $2.24
3/22/17 12:00 MSFT MICROSOFT SHORT 43 64.88 3/22 12:06 64.90 0.01%
Trade id #110381445
Max drawdown($1)
Time3/22/17 12:06
Quant open-43
Worst price64.91
Drawdown as % of equity-0.01%
($2)
Includes Typical Broker Commissions trade costs of $0.86
12/19/16 9:30 MSFT MICROSOFT LONG 57 62.63 3/22/17 12:00 64.88 n/a $127
Includes Typical Broker Commissions trade costs of $1.14
12/19/16 9:34 INTU INTUIT LONG 30 117.51 3/22/17 11:56 121.36 n/a $114
Includes Typical Broker Commissions trade costs of $0.60
2/2/17 9:30 AMZN AMAZON.COM LONG 9 836.75 3/22 11:55 831.12 1.48%
Trade id #109232433
Max drawdown($321)
Time2/2/17 18:42
Quant open9
Worst price801.00
Drawdown as % of equity-1.48%
($51)
Includes Typical Broker Commissions trade costs of $0.18
2/1/17 9:30 FB FACEBOOK LONG 30 132.22 3/10 9:30 138.96 0.1%
Trade id #109199797
Max drawdown($21)
Time2/8/17 8:03
Quant open30
Worst price131.50
Drawdown as % of equity-0.10%
$201
Includes Typical Broker Commissions trade costs of $0.60
1/30/17 14:27 FL FOOT LOCKER LONG 58 68.02 3/2 9:38 76.61 0.82%
Trade id #109144957
Max drawdown($175)
Time2/6/17 17:40
Quant open58
Worst price65.00
Drawdown as % of equity-0.82%
$497
Includes Typical Broker Commissions trade costs of $1.16
10/10/16 9:30 CSCO CISCO SYSTEMS LONG 125 31.57 2/7/17 9:30 31.42 1.05%
Trade id #106329085
Max drawdown($221)
Time1/12/17 11:01
Quant open125
Worst price29.80
Drawdown as % of equity-1.05%
($21)
Includes Typical Broker Commissions trade costs of $2.50
11/28/16 10:31 S SPRINT LONG 488 7.89 2/6/17 9:30 8.43 n/a $255
Includes Typical Broker Commissions trade costs of $9.76
1/17/17 9:31 AAPL APPLE LONG 50 119.04 2/1 14:26 129.90 0.05%
Trade id #108685082
Max drawdown($11)
Time1/17/17 9:35
Quant open50
Worst price118.81
Drawdown as % of equity-0.05%
$542
Includes Typical Broker Commissions trade costs of $1.00
11/28/16 9:30 ACN ACCENTURE LONG 63 120.74 1/30/17 9:30 114.90 1.94%
Trade id #107538676
Max drawdown($403)
Time1/6/17 9:56
Quant open63
Worst price114.34
Drawdown as % of equity-1.94%
($369)
Includes Typical Broker Commissions trade costs of $1.26
12/19/16 9:31 CVX CHEVRON LONG 30 118.08 1/30/17 9:30 113.00 0.78%
Trade id #108044734
Max drawdown($170)
Time1/27/17 8:38
Quant open30
Worst price112.40
Drawdown as % of equity-0.78%
($153)
Includes Typical Broker Commissions trade costs of $0.60
12/19/16 9:32 AMZN AMAZON.COM LONG 7 757.77 1/13/17 10:12 819.55 0.34%
Trade id #108044829
Max drawdown($70)
Time1/3/17 12:49
Quant open7
Worst price747.70
Drawdown as % of equity-0.34%
$432
Includes Typical Broker Commissions trade costs of $0.14
12/20/16 9:44 KS KAPSTONE PAPER SHORT 100 23.06 12/21 9:30 22.59 0.03%
Trade id #108075842
Max drawdown($7)
Time12/20/16 9:54
Quant open-100
Worst price23.13
Drawdown as % of equity-0.03%
$45
Includes Typical Broker Commissions trade costs of $2.00
12/5/16 9:30 KS KAPSTONE PAPER LONG 181 21.49 12/20 9:44 22.87 0.5%
Trade id #107728280
Max drawdown($99)
Time12/6/16 11:11
Quant open181
Worst price20.94
Drawdown as % of equity-0.50%
$245
Includes Typical Broker Commissions trade costs of $3.62
12/6/16 9:47 NFLX NETFLIX LONG 31 120.82 12/8 10:30 126.00 0%
Trade id #107761012
Max drawdown($0)
Time12/6/16 9:50
Quant open31
Worst price120.79
Drawdown as % of equity-0.00%
$160
Includes Typical Broker Commissions trade costs of $0.62
7/25/16 9:31 SBAC SBA COMMUNICATIONS LONG 25 113.41 9/12 9:30 109.57 0.47%
Trade id #104803423
Max drawdown($96)
Time9/12/16 9:30
Quant open0
Worst price109.57
Drawdown as % of equity-0.47%
($97)
Includes Typical Broker Commissions trade costs of $0.50
8/8/16 9:31 MAT MATTEL LONG 120 33.98 9/12 9:30 31.52 1.66%
Trade id #105039814
Max drawdown($338)
Time9/12/16 9:13
Quant open120
Worst price31.16
Drawdown as % of equity-1.66%
($297)
Includes Typical Broker Commissions trade costs of $2.40
7/25/16 9:30 AMZN AMAZON.COM LONG 4 746.75 9/12 9:30 757.67 n/a $44
Includes Typical Broker Commissions trade costs of $0.08
7/11/16 9:32 MMM 3M LONG 22 177.88 9/12 9:30 174.75 0.34%
Trade id #104571844
Max drawdown($69)
Time9/12/16 9:30
Quant open0
Worst price174.75
Drawdown as % of equity-0.34%
($69)
Includes Typical Broker Commissions trade costs of $0.44
7/11/16 9:30 CSCO CISCO SYSTEMS LONG 138 29.35 9/12 9:30 29.79 n/a $58
Includes Typical Broker Commissions trade costs of $2.76
8/8/16 9:30 SWHC SMITH & WESSON HOLDING LONG 137 29.92 9/6 9:31 27.69 1.85%
Trade id #105039533
Max drawdown($388)
Time9/2/16 9:41
Quant open137
Worst price27.08
Drawdown as % of equity-1.85%
($308)
Includes Typical Broker Commissions trade costs of $2.74
8/9/16 9:30 COST COSTCO WHOLESALE LONG 24 167.73 9/6 9:30 157.83 1.4%
Trade id #105065996
Max drawdown($292)
Time9/1/16 15:27
Quant open24
Worst price155.54
Drawdown as % of equity-1.40%
($238)
Includes Typical Broker Commissions trade costs of $0.48
6/6/16 9:41 INTU INTUIT LONG 22 107.55 8/30 9:41 110.28 0.15%
Trade id #102698414
Max drawdown($30)
Time8/23/16 18:40
Quant open22
Worst price106.15
Drawdown as % of equity-0.15%
$60
Includes Typical Broker Commissions trade costs of $0.44
7/11/16 9:30 CVX CHEVRON LONG 38 104.90 8/29 9:30 101.14 1.25%
Trade id #104571651
Max drawdown($265)
Time8/2/16 13:42
Quant open38
Worst price97.91
Drawdown as % of equity-1.25%
($144)
Includes Typical Broker Commissions trade costs of $0.76
7/25/16 15:43 ACN ACCENTURE SHORT 65 112.84 8/1 9:30 112.93 0.49%
Trade id #104812258
Max drawdown($104)
Time7/27/16 9:31
Quant open-65
Worst price114.45
Drawdown as % of equity-0.49%
($7)
Includes Typical Broker Commissions trade costs of $1.30
7/11/16 9:30 PHM PULTEGROUP LONG 198 20.51 8/1 9:30 21.54 0.46%
Trade id #104571614
Max drawdown($98)
Time7/18/16 9:20
Quant open198
Worst price20.01
Drawdown as % of equity-0.46%
$200
Includes Typical Broker Commissions trade costs of $3.96
7/25/16 9:30 MDLZ MONDELEZ INTERNATIONAL LONG 73 45.39 8/1 9:30 43.88 0.67%
Trade id #104803099
Max drawdown($142)
Time7/28/16 10:21
Quant open73
Worst price43.44
Drawdown as % of equity-0.67%
($112)
Includes Typical Broker Commissions trade costs of $1.46

Statistics

  • Strategy began
    2/6/2014
  • Starting Unit Size
    $5,000
  • Strategy Age (days)
    1259.61
  • Age
    42 months ago
  • What it trades
    Stocks
  • # Trades
    148
  • # Profitable
    72
  • % Profitable
    48.60%
  • Avg trade duration
    38.8 days
  • Max peak-to-valley drawdown
    16.15%
  • drawdown period
    July 23, 2014 - Nov 04, 2014
  • Annual Return (Compounded)
    15.5%
  • Avg win
    $259.86
  • Avg loss
    $122.00
  • Model Account Values (Raw)
  • Cash
    $5,264
  • Margin Used
    $0
  • Buying Power
    $6,261
  • Ratios
  • W:L ratio
    2.09:1
  • Sharpe Ratio
    1.284
  • Sortino Ratio
    1.971
  • Calmar Ratio
    1.298
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.18600
  • Return Statistics
  • Ann Return (w trading costs)
    15.5%
  • Ann Return (Compnd, No Fees)
    17.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    12.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    563
  • Popularity (Last 6 weeks)
    854
  • C2 Score
    72.6
  • Trades-Own-System Certification
  • Trades Own System?
    183561
  • TOS percent
    100%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    10
  • Win / Loss
  • Avg Loss
    $122
  • Avg Win
    $260
  • # Winners
    72
  • # Losers
    76
  • % Winners
    48.6%
  • Frequency
  • Avg Position Time (mins)
    55884.00
  • Avg Position Time (hrs)
    931.40
  • Avg Trade Length
    38.8 days
  • Last Trade Ago
    38
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15428
  • SD
    0.12940
  • Sharpe ratio (Glass type estimate)
    1.19232
  • Sharpe ratio (Hedges UMVUE)
    1.16796
  • df
    37.00000
  • t
    2.12175
  • p
    0.02031
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05057
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.31894
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.03487
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.30106
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.40799
  • Upside Potential Ratio
    3.84026
  • Upside part of mean
    0.24605
  • Downside part of mean
    -0.09177
  • Upside SD
    0.11908
  • Downside SD
    0.06407
  • N nonnegative terms
    25.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.08517
  • Mean of criterion
    0.15428
  • SD of predictor
    0.12452
  • SD of criterion
    0.12940
  • Covariance
    0.00226
  • r
    0.14012
  • b (slope, estimate of beta)
    0.14561
  • a (intercept, estimate of alpha)
    0.14188
  • Mean Square Error
    0.01687
  • DF error
    36.00000
  • t(b)
    0.84911
  • p(b)
    0.20072
  • t(a)
    1.90604
  • p(a)
    0.03233
  • Lowerbound of 95% confidence interval for beta
    -0.20217
  • Upperbound of 95% confidence interval for beta
    0.49339
  • Lowerbound of 95% confidence interval for alpha
    -0.00909
  • Upperbound of 95% confidence interval for alpha
    0.29284
  • Treynor index (mean / b)
    1.05956
  • Jensen alpha (a)
    0.14188
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14505
  • SD
    0.12724
  • Sharpe ratio (Glass type estimate)
    1.13997
  • Sharpe ratio (Hedges UMVUE)
    1.11668
  • df
    37.00000
  • t
    2.02860
  • p
    0.02487
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00132
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.26414
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.01373
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.24709
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.19432
  • Upside Potential Ratio
    3.61160
  • Upside part of mean
    0.23875
  • Downside part of mean
    -0.09369
  • Upside SD
    0.11467
  • Downside SD
    0.06610
  • N nonnegative terms
    25.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.07720
  • Mean of criterion
    0.14505
  • SD of predictor
    0.12418
  • SD of criterion
    0.12724
  • Covariance
    0.00218
  • r
    0.13813
  • b (slope, estimate of beta)
    0.14153
  • a (intercept, estimate of alpha)
    0.13413
  • Mean Square Error
    0.01632
  • DF error
    36.00000
  • t(b)
    0.83678
  • p(b)
    0.20412
  • t(a)
    1.83802
  • p(a)
    0.03716
  • Lowerbound of 95% confidence interval for beta
    -0.20150
  • Upperbound of 95% confidence interval for beta
    0.48457
  • Lowerbound of 95% confidence interval for alpha
    -0.01387
  • Upperbound of 95% confidence interval for alpha
    0.28213
  • Treynor index (mean / b)
    1.02488
  • Jensen alpha (a)
    0.13413
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04718
  • Expected Shortfall on VaR
    0.06161
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01331
  • Expected Shortfall on VaR
    0.02971
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    38.00000
  • Minimum
    0.91432
  • Quartile 1
    0.99786
  • Median
    1.00973
  • Quartile 3
    1.03488
  • Maximum
    1.11010
  • Mean of quarter 1
    0.97409
  • Mean of quarter 2
    1.00311
  • Mean of quarter 3
    1.02165
  • Mean of quarter 4
    1.06134
  • Inter Quartile Range
    0.03703
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02632
  • Mean of outliers low
    0.91432
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.02632
  • Mean of outliers high
    1.11010
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.67721
  • VaR(95%) (moments method)
    0.00941
  • Expected Shortfall (moments method)
    0.00950
  • Extreme Value Index (regression method)
    -0.04590
  • VaR(95%) (regression method)
    0.03191
  • Expected Shortfall (regression method)
    0.04857
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01323
  • Quartile 1
    0.01844
  • Median
    0.01935
  • Quartile 3
    0.05055
  • Maximum
    0.08691
  • Mean of quarter 1
    0.01583
  • Mean of quarter 2
    0.01935
  • Mean of quarter 3
    0.05055
  • Mean of quarter 4
    0.08691
  • Inter Quartile Range
    0.03211
  • 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)
    0.23030
  • Compounded annual return (geometric extrapolation)
    0.18882
  • Calmar ratio (compounded annual return / max draw down)
    2.17270
  • Compounded annual return / average of 25% largest draw downs
    2.17270
  • Compounded annual return / Expected Shortfall lognormal
    3.06487
  • 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
    0.15113
  • SD
    0.11755
  • Sharpe ratio (Glass type estimate)
    1.28564
  • Sharpe ratio (Hedges UMVUE)
    1.28448
  • df
    830.00000
  • t
    2.28966
  • p
    0.01115
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.18301
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.38752
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.18223
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.38673
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.97099
  • Upside Potential Ratio
    8.59425
  • Upside part of mean
    0.65899
  • Downside part of mean
    -0.50786
  • Upside SD
    0.08950
  • Downside SD
    0.07668
  • N nonnegative terms
    407.00000
  • N negative terms
    424.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    831.00000
  • Mean of predictor
    0.08565
  • Mean of criterion
    0.15113
  • SD of predictor
    0.13100
  • SD of criterion
    0.11755
  • Covariance
    0.00341
  • r
    0.22157
  • b (slope, estimate of beta)
    0.19882
  • a (intercept, estimate of alpha)
    0.13400
  • Mean Square Error
    0.01316
  • DF error
    829.00000
  • t(b)
    6.54197
  • p(b)
    0.00000
  • t(a)
    2.08051
  • p(a)
    0.01889
  • Lowerbound of 95% confidence interval for beta
    0.13917
  • Upperbound of 95% confidence interval for beta
    0.25847
  • Lowerbound of 95% confidence interval for alpha
    0.00759
  • Upperbound of 95% confidence interval for alpha
    0.26062
  • Treynor index (mean / b)
    0.76016
  • Jensen alpha (a)
    0.13411
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14419
  • SD
    0.11733
  • Sharpe ratio (Glass type estimate)
    1.22892
  • Sharpe ratio (Hedges UMVUE)
    1.22781
  • df
    830.00000
  • t
    2.18863
  • p
    0.01445
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.12647
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.33068
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.12570
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.32991
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.86351
  • Upside Potential Ratio
    8.46472
  • Upside part of mean
    0.65497
  • Downside part of mean
    -0.51078
  • Upside SD
    0.08856
  • Downside SD
    0.07738
  • N nonnegative terms
    407.00000
  • N negative terms
    424.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    831.00000
  • Mean of predictor
    0.07704
  • Mean of criterion
    0.14419
  • SD of predictor
    0.13123
  • SD of criterion
    0.11733
  • Covariance
    0.00344
  • r
    0.22348
  • b (slope, estimate of beta)
    0.19982
  • a (intercept, estimate of alpha)
    0.12880
  • Mean Square Error
    0.01310
  • DF error
    829.00000
  • t(b)
    6.60141
  • p(b)
    0.00000
  • t(a)
    2.00319
  • p(a)
    0.02274
  • Lowerbound of 95% confidence interval for beta
    0.14041
  • Upperbound of 95% confidence interval for beta
    0.25923
  • Lowerbound of 95% confidence interval for alpha
    0.00259
  • Upperbound of 95% confidence interval for alpha
    0.25500
  • Treynor index (mean / b)
    0.72162
  • Jensen alpha (a)
    0.12880
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01131
  • Expected Shortfall on VaR
    0.01430
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00446
  • Expected Shortfall on VaR
    0.00936
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    831.00000
  • Minimum
    0.96698
  • Quartile 1
    0.99820
  • Median
    1.00001
  • Quartile 3
    1.00314
  • Maximum
    1.05298
  • Mean of quarter 1
    0.99294
  • Mean of quarter 2
    0.99953
  • Mean of quarter 3
    1.00141
  • Mean of quarter 4
    1.00885
  • Inter Quartile Range
    0.00494
  • Number outliers low
    43.00000
  • Percentage of outliers low
    0.05174
  • Mean of outliers low
    0.98286
  • Number of outliers high
    56.00000
  • Percentage of outliers high
    0.06739
  • Mean of outliers high
    1.01714
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.48270
  • VaR(95%) (moments method)
    0.00654
  • Expected Shortfall (moments method)
    0.01471
  • Extreme Value Index (regression method)
    0.14444
  • VaR(95%) (regression method)
    0.00632
  • Expected Shortfall (regression method)
    0.01000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    33.00000
  • Minimum
    0.00009
  • Quartile 1
    0.00277
  • Median
    0.01127
  • Quartile 3
    0.03226
  • Maximum
    0.14471
  • Mean of quarter 1
    0.00125
  • Mean of quarter 2
    0.00690
  • Mean of quarter 3
    0.01924
  • Mean of quarter 4
    0.06843
  • Inter Quartile Range
    0.02949
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.06061
  • Mean of outliers high
    0.12174
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.06693
  • VaR(95%) (moments method)
    0.06698
  • Expected Shortfall (moments method)
    0.09181
  • Extreme Value Index (regression method)
    0.37084
  • VaR(95%) (regression method)
    0.08038
  • Expected Shortfall (regression method)
    0.14190
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.22892
  • Compounded annual return (geometric extrapolation)
    0.18780
  • Calmar ratio (compounded annual return / max draw down)
    1.29775
  • Compounded annual return / average of 25% largest draw downs
    2.74429
  • Compounded annual return / Expected Shortfall lognormal
    13.13700
  • 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
    0.23933
  • SD
    0.13681
  • Sharpe ratio (Glass type estimate)
    1.74934
  • Sharpe ratio (Hedges UMVUE)
    1.73923
  • df
    130.00000
  • t
    1.23697
  • p
    0.44607
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.03388
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.52603
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.04063
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.51909
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.50444
  • Upside Potential Ratio
    8.91485
  • Upside part of mean
    0.85193
  • Downside part of mean
    -0.61260
  • Upside SD
    0.09829
  • Downside SD
    0.09556
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14497
  • Mean of criterion
    0.23933
  • SD of predictor
    0.07107
  • SD of criterion
    0.13681
  • Covariance
    0.00386
  • r
    0.39665
  • b (slope, estimate of beta)
    0.76356
  • a (intercept, estimate of alpha)
    0.12864
  • Mean Square Error
    0.01589
  • DF error
    129.00000
  • t(b)
    4.90773
  • p(b)
    0.25427
  • t(a)
    0.71580
  • p(a)
    0.45998
  • Lowerbound of 95% confidence interval for beta
    0.45573
  • Upperbound of 95% confidence interval for beta
    1.07138
  • Lowerbound of 95% confidence interval for alpha
    -0.22693
  • Upperbound of 95% confidence interval for alpha
    0.48422
  • Treynor index (mean / b)
    0.31344
  • Jensen alpha (a)
    0.12864
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22989
  • SD
    0.13706
  • Sharpe ratio (Glass type estimate)
    1.67738
  • Sharpe ratio (Hedges UMVUE)
    1.66768
  • df
    130.00000
  • t
    1.18609
  • p
    0.44827
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.10506
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.45353
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.11153
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.44689
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.38025
  • Upside Potential Ratio
    8.77019
  • Upside part of mean
    0.84705
  • Downside part of mean
    -0.61716
  • Upside SD
    0.09754
  • Downside SD
    0.09658
  • N nonnegative terms
    76.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14240
  • Mean of criterion
    0.22989
  • SD of predictor
    0.07109
  • SD of criterion
    0.13706
  • Covariance
    0.00389
  • r
    0.39909
  • b (slope, estimate of beta)
    0.76937
  • a (intercept, estimate of alpha)
    0.12033
  • Mean Square Error
    0.01591
  • DF error
    129.00000
  • t(b)
    4.94351
  • p(b)
    0.25285
  • t(a)
    0.66933
  • p(a)
    0.46257
  • Lowerbound of 95% confidence interval for beta
    0.46145
  • Upperbound of 95% confidence interval for beta
    1.07729
  • Lowerbound of 95% confidence interval for alpha
    -0.23537
  • Upperbound of 95% confidence interval for alpha
    0.47603
  • Treynor index (mean / b)
    0.29881
  • Jensen alpha (a)
    0.12033
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01297
  • Expected Shortfall on VaR
    0.01645
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00469
  • Expected Shortfall on VaR
    0.01025
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96699
  • Quartile 1
    0.99813
  • Median
    1.00102
  • Quartile 3
    1.00449
  • Maximum
    1.02086
  • Mean of quarter 1
    0.99118
  • Mean of quarter 2
    0.99993
  • Mean of quarter 3
    1.00238
  • Mean of quarter 4
    1.01064
  • Inter Quartile Range
    0.00636
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.97851
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.01861
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.56245
  • VaR(95%) (moments method)
    0.00789
  • Expected Shortfall (moments method)
    0.02096
  • Extreme Value Index (regression method)
    0.53599
  • VaR(95%) (regression method)
    0.00694
  • Expected Shortfall (regression method)
    0.01703
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00058
  • Quartile 1
    0.00306
  • Median
    0.01871
  • Quartile 3
    0.02991
  • Maximum
    0.09877
  • Mean of quarter 1
    0.00135
  • Mean of quarter 2
    0.01004
  • Mean of quarter 3
    0.02207
  • Mean of quarter 4
    0.06065
  • Inter Quartile Range
    0.02686
  • 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
    0.10000
  • Mean of outliers high
    0.09877
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.54359
  • VaR(95%) (moments method)
    0.06921
  • Expected Shortfall (moments method)
    0.07220
  • Extreme Value Index (regression method)
    0.35655
  • VaR(95%) (regression method)
    0.10761
  • Expected Shortfall (regression method)
    0.19960
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.27515
  • Compounded annual return (geometric extrapolation)
    0.29408
  • Calmar ratio (compounded annual return / max draw down)
    2.97751
  • Compounded annual return / average of 25% largest draw downs
    4.84842
  • Compounded annual return / Expected Shortfall lognormal
    17.88110

Strategy Description

Past performance are published on our website www.mirrortrading.com .
We track records on the Italian market since 12/22/2009 , and since 02/06/12 on the U.S. market .
We only do trading following the dominant trend in the market . We use our proprietary algorithm to calculate levels of support and resistance. We also use the classical rules of technical analysis.Our order are given only when the market is closed, at the weekend, after analysis of previous week 19s data . Only in very rare cases we carry out modifications to the active orders during the week , when volatility increases wide.
Our analyzes are to 70% automatic , while 30% are analyzed by at least 3 traders to eliminate emotionality and errors by the choices of trading.
We believe that a fully automated trading system can be very dangerous when the market changes , while human intelligence knows when it's time to break the rules.
Our trading system is not based on past data, this way there is no 18overfitting 19 , instead the system is based on our own trading theory (such as Fibonacci or Elliott) that we call Mirror Trading because it uses levels of trading of our invention. For this reason, we expect that in the future we will continue to achieve good results.
We had some good results in the past performances with low draw down .
We're here to get involved in Collective2 100% , a website that we believe ingenious and well built.

To maintain the highest quality of the signals we will accept a maximum of 50 followers.

Summary Statistics

Strategy began
2014-02-06
Minimum Capital Required
$5,000
# Trades
148
# Profitable
72
% Profitable
48.6%
Net Dividends
Correlation S&P500
0.186
Sharpe Ratio
1.284

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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