Collective2 Collective2
Featured Strategy MT3 Algotrading Followed by live capital $3.09 million Hypothetical

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TRENDSETTER
(30869147)

Created by: na_na na_na
Started: 03/2008
Forex
Last trade: 5,811 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.

-
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.

(100.0%)
Max Drawdown
136
Num Trades
86.0%
Win Trades
0.3 : 1
Profit Factor
3.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2008              +9.4%+10.8%+4.1%+2.6%+5.5%(27%)+17.9%(104.1%)(1%)(1.7%)(104.9%)
2009(1.7%)(1.6%)  -    -    -    -    -    -  (0.7%)(0.8%)  -    -  (3.5%)
2010  -    -    -    -    -  (0.8%)(0.8%)(0.7%)  -    -    -    -  -
2011  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -                    0.0

Model Account Details

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

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

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

Trading Record

This strategy has placed 13 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 5888 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/30/08 6:56 GBP/USD GBP/USD LONG 20 1.78418 10/24 7:45 1.55800 1771.18%
Trade id #35428959
Max drawdown($51,435)
Time10/24/08 5:40
Quant open20
Worst price1.52700
Drawdown as % of equity1771.18%
 ($45,235)
9/30/08 6:56 AUD/USD AUD/USD LONG 40 0.79832 10/24 5:31 0.61875 2489.26%
Trade id #35428946
Max drawdown($72,288)
Time10/24/08 5:31
Quant open40
Worst price0.61760
Drawdown as % of equity2489.26%
 ($71,828)
10/1/08 0:32 CHF/JPY CHF/JPY LONG 10 94.640 10/24 3:15 81.188 158.61%
Trade id #35450943
Max drawdown($14,451)
Time10/24/08 2:57
Quant open10
Worst price80.895
Drawdown as % of equity-158.61%
 ($14,154)
9/25/08 16:09 GBP/CAD GBP/CAD LONG 40 1.88950 10/3 0:21 1.89682 2.44%
Trade id #35353795
Max drawdown($2,799)
Time10/2/08 3:29
Quant open20
Worst price1.87440
Drawdown as % of equity-2.44%
 $2,754
9/24/08 10:26 EUR/GBP EUR/GBP SHORT 10 0.79195 10/2 4:39 0.78756 1.65%
Trade id #35314226
Max drawdown($1,955)
Time9/29/08 13:47
Quant open-10
Worst price0.80302
Drawdown as % of equity-1.65%
 $777
9/23/08 5:07 GBP/NZD GBP/NZD SHORT 20 2.70690 9/26 1:13 2.69305 2.26%
Trade id #35268619
Max drawdown($2,704)
Time9/23/08 20:51
Quant open-10
Worst price2.72770
Drawdown as % of equity-2.26%
 $1,904
9/24/08 23:45 CHF/JPY CHF/JPY SHORT 10 97.605 9/26 1:13 97.320 0.41%
Trade id #35328379
Max drawdown($508)
Time9/25/08 10:11
Quant open-10
Worst price98.143
Drawdown as % of equity-0.41%
 $269
9/22/08 4:34 EUR/GBP EUR/GBP SHORT 10 0.79175 9/24 4:55 0.79023 0.98%
Trade id #35236813
Max drawdown($1,162)
Time9/22/08 15:36
Quant open-10
Worst price0.79800
Drawdown as % of equity-0.98%
 $283
9/22/08 4:35 CHF/JPY CHF/JPY SHORT 20 97.457 9/24 0:34 97.250 1.88%
Trade id #35236824
Max drawdown($2,241)
Time9/22/08 13:24
Quant open-20
Worst price98.640
Drawdown as % of equity-1.88%
 $391
8/5/08 4:41 GBP/USD GBP/USD LONG 42 1.87615 9/23 5:04 1.84750 68.09%
Trade id #34242958
Max drawdown($55,166)
Time9/11/08 5:49
Quant open42
Worst price1.74480
Drawdown as % of equity-68.09%
 ($12,033)
9/1/08 2:36 GBP/CHF GBP/CHF LONG 14 1.98824 9/8 0:10 2.00180 6.23%
Trade id #34744450
Max drawdown($4,897)
Time9/5/08 1:28
Quant open14
Worst price1.94930
Drawdown as % of equity-6.23%
 $1,706
7/28/08 15:16 USD/CAD USD/CAD SHORT 21 1.03797 8/13 6:12 1.07116 8.38%
Trade id #34087304
Max drawdown($10,715)
Time8/12/08 1:53
Quant open-21
Worst price1.09230
Drawdown as % of equity-8.38%
 ($5,874)
7/29/08 9:16 EUR/CHF EUR/CHF SHORT 14 1.62946 8/5 4:40 1.63256 0.7%
Trade id #34102796
Max drawdown($974)
Time7/31/08 7:17
Quant open-14
Worst price1.63699
Drawdown as % of equity-0.70%
 ($372)
7/28/08 9:12 EUR/JPY EUR/JPY SHORT 14 169.583 7/28 15:12 169.357 0.03%
Trade id #34076083
Max drawdown($48)
Time7/28/08 9:21
Quant open-14
Worst price169.620
Drawdown as % of equity-0.03%
 $294
7/28/08 2:18 USD/JPY USD/JPY SHORT 13 107.766 7/28 6:15 107.734 0.05%
Trade id #34069148
Max drawdown($68)
Time7/28/08 2:25
Quant open-13
Worst price107.823
Drawdown as % of equity-0.05%
 $39
7/18/08 6:36 EUR/JPY EUR/JPY SHORT 13 169.075 7/24 15:58 168.221 0.78%
Trade id #33879578
Max drawdown($1,078)
Time7/23/08 2:52
Quant open-13
Worst price169.971
Drawdown as % of equity-0.78%
 $1,040
7/10/08 0:08 AUD/USD AUD/USD SHORT 26 0.96760 7/23 4:38 0.97158 1.09%
Trade id #33649642
Max drawdown($1,482)
Time7/22/08 7:07
Quant open-13
Worst price0.97900
Drawdown as % of equity-1.09%
 ($1,035)
7/17/08 14:43 USD/JPY USD/JPY SHORT 13 106.773 7/18 0:53 106.257 0.04%
Trade id #33867217
Max drawdown($50)
Time7/17/08 14:48
Quant open-13
Worst price106.814
Drawdown as % of equity-0.04%
 $631
7/14/08 6:26 EUR/CHF EUR/CHF SHORT 13 1.62290 7/14 11:38 1.61827 0.11%
Trade id #33751312
Max drawdown($153)
Time7/14/08 8:01
Quant open-13
Worst price1.62410
Drawdown as % of equity-0.11%
 $592
7/10/08 9:54 EUR/CHF EUR/CHF SHORT 13 1.62310 7/11 8:24 1.61867 0.16%
Trade id #33670060
Max drawdown($216)
Time7/11/08 1:57
Quant open-13
Worst price1.62480
Drawdown as % of equity-0.16%
 $563
7/10/08 3:17 EUR/JPY EUR/JPY SHORT 13 168.592 7/11 8:24 168.222 0.67%
Trade id #33652132
Max drawdown($914)
Time7/11/08 6:35
Quant open-13
Worst price169.340
Drawdown as % of equity-0.67%
 $452
7/9/08 6:02 EUR/CHF EUR/CHF SHORT 13 1.62155 7/9 23:59 1.61899 0.16%
Trade id #33622149
Max drawdown($211)
Time7/9/08 8:20
Quant open-13
Worst price1.62320
Drawdown as % of equity-0.16%
 $318
7/9/08 2:12 EUR/JPY EUR/JPY SHORT 13 168.581 7/9 23:59 168.073 0.28%
Trade id #33619960
Max drawdown($378)
Time7/9/08 8:15
Quant open-13
Worst price168.890
Drawdown as % of equity-0.28%
 $615
7/7/08 5:39 EUR/JPY EUR/JPY SHORT 13 168.185 7/8 2:47 167.540 0.39%
Trade id #33566682
Max drawdown($517)
Time7/7/08 16:15
Quant open-13
Worst price168.610
Drawdown as % of equity-0.39%
 $785
7/7/08 5:32 GBP/AUD GBP/AUD LONG 10 2.05687 7/7 9:36 2.06495 0.16%
Trade id #33566628
Max drawdown($217)
Time7/7/08 5:46
Quant open10
Worst price2.05459
Drawdown as % of equity-0.16%
 $771
7/3/08 11:43 AUD/USD AUD/USD SHORT 10 0.96044 7/7 4:34 0.95671 0.24%
Trade id #33538697
Max drawdown($326)
Time7/4/08 9:18
Quant open-10
Worst price0.96370
Drawdown as % of equity-0.24%
 $373
7/2/08 3:27 CHF/JPY CHF/JPY SHORT 10 104.339 7/3 10:41 103.885 0.53%
Trade id #33499281
Max drawdown($693)
Time7/3/08 7:22
Quant open-10
Worst price105.085
Drawdown as % of equity-0.53%
 $413
6/27/08 4:44 EUR/USD EUR/USD SHORT 20 1.57927 7/3 8:56 1.57906 1.75%
Trade id #33380887
Max drawdown($2,307)
Time7/3/08 7:37
Quant open-20
Worst price1.59080
Drawdown as % of equity-1.75%
 $40
7/1/08 6:12 GBP/USD GBP/USD SHORT 10 1.99827 7/1 11:05 1.99157 0.17%
Trade id #33473578
Max drawdown($223)
Time7/1/08 6:57
Quant open-10
Worst price2.00050
Drawdown as % of equity-0.17%
 $670
6/24/08 3:31 AUD/USD AUD/USD SHORT 10 0.95410 7/1 1:22 0.95388 0.94%
Trade id #33210783
Max drawdown($1,240)
Time6/30/08 4:46
Quant open-10
Worst price0.96650
Drawdown as % of equity-0.94%
 $22
Next

Statistics

  • Strategy began
    3/1/2008
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    6041.85
  • Age
    202 months ago
  • What it trades
    Forex
  • # Trades
    136
  • # Profitable
    117
  • % Profitable
    86.00%
  • Avg trade duration
    2.2 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Oct 24, 2008 - Oct 24, 2008
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $463.96
  • Avg loss
    $8,222
  • Model Account Values (Raw)
  • Cash
    ($1,945)
  • Margin Used
    $0
  • Buying Power
    ($1,945)
  • Ratios
  • W:L ratio
    0.35:1
  • Sharpe Ratio
    -1.32
  • Sortino Ratio
    -1.32
  • Calmar Ratio
    -0.888
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -427.84%
  • Correlation to SP500
    0.30520
  • Return Percent SP500 (cumu) during strategy life
    328.56%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.97%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • 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)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $8,223
  • Avg Win
    $464
  • Sum Trade PL (losers)
    $156,229.000
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $54,283.000
  • # Winners
    117
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    19
  • % Winners
    86.0%
  • Frequency
  • Avg Position Time (mins)
    3103.85
  • Avg Position Time (hrs)
    51.73
  • Avg Trade Length
    2.2 days
  • Last Trade Ago
    5805
  • Regression
  • Alpha
    0.00
  • Beta
    1.19
  • 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
    75.37
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    79.97
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    3.40
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.17
  • Avg(MAE) / Avg(PL) - All trades
    -3.148
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    1.646
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.511
  • Hold-and-Hope Ratio
    -0.318
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    11790.50000
  • SD
    27016.20000
  • Sharpe ratio (Glass type estimate)
    0.43642
  • Sharpe ratio (Hedges UMVUE)
    0.43112
  • df
    62.00000
  • t
    0.99997
  • p
    0.16061
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.42414
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.29351
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.42763
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.28988
  • Statistics related to Sortino ratio
  • Sortino ratio
    19086.60000
  • Upside Potential Ratio
    19087.30000
  • Upside part of mean
    11790.80000
  • Downside part of mean
    -0.39426
  • Upside SD
    27016.10000
  • Downside SD
    0.61773
  • N nonnegative terms
    59.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    63.00000
  • Mean of predictor
    0.23612
  • Mean of criterion
    11790.50000
  • SD of predictor
    0.26000
  • SD of criterion
    27016.20000
  • Covariance
    -1377.26000
  • r
    -0.19607
  • b (slope, estimate of beta)
    -20372.90000
  • a (intercept, estimate of alpha)
    16601.00000
  • Mean Square Error
    713319000.00000
  • DF error
    61.00000
  • t(b)
    -1.56167
  • p(b)
    0.93823
  • t(a)
    1.37693
  • p(a)
    0.08678
  • Lowerbound of 95% confidence interval for beta
    -46459.20000
  • Upperbound of 95% confidence interval for beta
    5713.37000
  • Lowerbound of 95% confidence interval for alpha
    -7507.47000
  • Upperbound of 95% confidence interval for alpha
    40709.40000
  • Treynor index (mean / b)
    -0.57873
  • Jensen alpha (a)
    16601.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.22262
  • SD
    8.57905
  • Sharpe ratio (Glass type estimate)
    -0.25908
  • Sharpe ratio (Hedges UMVUE)
    -0.25593
  • df
    62.00000
  • t
    -0.59362
  • p
    0.72254
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.11467
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.59856
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.11251
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.60065
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.31542
  • Upside Potential Ratio
    0.30339
  • Upside part of mean
    2.13782
  • Downside part of mean
    -4.36044
  • Upside SD
    4.81563
  • Downside SD
    7.04650
  • N nonnegative terms
    59.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    63.00000
  • Mean of predictor
    0.20051
  • Mean of criterion
    -2.22262
  • SD of predictor
    0.26318
  • SD of criterion
    8.57905
  • Covariance
    0.49113
  • r
    0.21752
  • b (slope, estimate of beta)
    7.09057
  • a (intercept, estimate of alpha)
    -3.64433
  • Mean Square Error
    71.26720
  • DF error
    61.00000
  • t(b)
    1.74056
  • p(b)
    0.04340
  • t(a)
    -0.96568
  • p(a)
    0.83099
  • Lowerbound of 95% confidence interval for beta
    -1.05537
  • Upperbound of 95% confidence interval for beta
    15.23650
  • Lowerbound of 95% confidence interval for alpha
    -11.19060
  • Upperbound of 95% confidence interval for alpha
    3.90193
  • Treynor index (mean / b)
    -0.31346
  • Jensen alpha (a)
    -3.64433
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.98586
  • Expected Shortfall on VaR
    0.99328
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00431
  • Expected Shortfall on VaR
    0.04117
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    63.00000
  • Minimum
    0.00001
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    61902.80000
  • Mean of quarter 1
    0.87063
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    3869.87000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.06349
  • Mean of outliers low
    0.48254
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.06349
  • Mean of outliers high
    15476.50000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -6.30408
  • VaR(95%) (regression method)
    0.46214
  • Expected Shortfall (regression method)
    0.48759
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.05706
  • Quartile 1
    0.29279
  • Median
    0.52853
  • Quartile 3
    0.76426
  • Maximum
    0.99999
  • Mean of quarter 1
    0.05706
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99999
  • Inter Quartile Range
    0.47147
  • 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)
    -0.19048
  • Compounded annual return (geometric extrapolation)
    -0.89167
  • Calmar ratio (compounded annual return / max draw down)
    -0.89168
  • Compounded annual return / average of 25% largest draw downs
    -0.89168
  • Compounded annual return / Expected Shortfall lognormal
    -0.89771
  • 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
    119516.00000
  • SD
    108151.00000
  • Sharpe ratio (Glass type estimate)
    1.10509
  • Sharpe ratio (Hedges UMVUE)
    1.10449
  • df
    1395.00000
  • t
    2.55087
  • p
    0.45666
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.25482
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.95499
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25441
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.95457
  • Statistics related to Sortino ratio
  • Sortino ratio
    89827.40000
  • Upside Potential Ratio
    89829.30000
  • Upside part of mean
    119518.00000
  • Downside part of mean
    -2.54583
  • Upside SD
    108364.00000
  • Downside SD
    1.33051
  • N nonnegative terms
    1307.00000
  • N negative terms
    89.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1396.00000
  • Mean of predictor
    0.41871
  • Mean of criterion
    119516.00000
  • SD of predictor
    0.56775
  • SD of criterion
    108151.00000
  • Covariance
    23750.60000
  • r
    0.38680
  • b (slope, estimate of beta)
    73682.50000
  • a (intercept, estimate of alpha)
    88664.40000
  • Mean Square Error
    9953730000.00000
  • DF error
    1394.00000
  • t(b)
    15.66080
  • p(b)
    0.30660
  • t(a)
    2.04926
  • p(a)
    0.47260
  • Lowerbound of 95% confidence interval for beta
    64453.00000
  • Upperbound of 95% confidence interval for beta
    82912.00000
  • Lowerbound of 95% confidence interval for alpha
    3789.99000
  • Upperbound of 95% confidence interval for alpha
    173539.00000
  • Treynor index (mean / b)
    1.62204
  • Jensen alpha (a)
    88664.40000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.18998
  • SD
    18.81150
  • Sharpe ratio (Glass type estimate)
    -0.11642
  • Sharpe ratio (Hedges UMVUE)
    -0.11636
  • df
    1395.00000
  • t
    -0.26873
  • p
    0.50458
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.96552
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.73269
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.96546
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.73275
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.16177
  • Upside Potential Ratio
    1.15413
  • Upside part of mean
    15.62410
  • Downside part of mean
    -17.81410
  • Upside SD
    13.05270
  • Downside SD
    13.53750
  • N nonnegative terms
    1307.00000
  • N negative terms
    89.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1396.00000
  • Mean of predictor
    0.25952
  • Mean of criterion
    -2.18998
  • SD of predictor
    0.56378
  • SD of criterion
    18.81150
  • Covariance
    4.37057
  • r
    0.41211
  • b (slope, estimate of beta)
    13.75070
  • a (intercept, estimate of alpha)
    -5.75863
  • Mean Square Error
    293.98400
  • DF error
    1394.00000
  • t(b)
    16.88720
  • p(b)
    0.29395
  • t(a)
    -0.77495
  • p(a)
    0.51038
  • Lowerbound of 95% confidence interval for beta
    12.15340
  • Upperbound of 95% confidence interval for beta
    15.34810
  • Lowerbound of 95% confidence interval for alpha
    -20.33570
  • Upperbound of 95% confidence interval for alpha
    8.81846
  • Treynor index (mean / b)
    -0.15926
  • Jensen alpha (a)
    -5.75863
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.85339
  • Expected Shortfall on VaR
    0.90258
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00127
  • Expected Shortfall on VaR
    0.01223
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1396.00000
  • Minimum
    0.00001
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    139370.00000
  • Mean of quarter 1
    0.96113
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1825.71000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    89.00000
  • Percentage of outliers low
    0.06375
  • Mean of outliers low
    0.84759
  • Number of outliers high
    78.00000
  • Percentage of outliers high
    0.05587
  • Mean of outliers high
    8165.40000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.49953
  • VaR(95%) (moments method)
    0.00122
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.55392
  • VaR(95%) (regression method)
    0.02331
  • Expected Shortfall (regression method)
    0.05729
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.02578
  • Quartile 1
    0.10540
  • Median
    0.12521
  • Quartile 3
    0.26643
  • Maximum
    0.99999
  • Mean of quarter 1
    0.07442
  • Mean of quarter 2
    0.12504
  • Mean of quarter 3
    0.20314
  • Mean of quarter 4
    0.99999
  • Inter Quartile Range
    0.16104
  • 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
    0.22222
  • Mean of outliers high
    0.99999
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.79208
  • Expected Shortfall (moments method)
    1.14447
  • Extreme Value Index (regression method)
    -26.94650
  • VaR(95%) (regression method)
    3027.18000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.18768
  • Compounded annual return (geometric extrapolation)
    -0.88808
  • Calmar ratio (compounded annual return / max draw down)
    -0.88809
  • Compounded annual return / average of 25% largest draw downs
    -0.88809
  • Compounded annual return / Expected Shortfall lognormal
    -0.98393
  • 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
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.49970
  • Mean of criterion
    0.00000
  • SD of predictor
    0.70226
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.25621
  • Mean of criterion
    0.00000
  • SD of predictor
    0.69333
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • VAR (95 Confidence Intrvl)
    0.85300
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -358536000
  • Max Equity Drawdown (num days)
    2555
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Summary Statistics

Strategy began
2008-03-01
Suggested Minimum Capital
$100,000
# Trades
136
# Profitable
117
% Profitable
86.0%
Correlation S&P500
0.305
Sharpe Ratio
-1.32
Sortino Ratio
-1.32
Beta
1.19
Alpha
0.00

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

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