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Mutual Fund Killer (MFK)
(46485830)

Created by: JohnFrench JohnFrench
Started: 01/2010
Stocks
Last trade: 3,570 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 $30.00 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.

6.0%
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.

(48.0%)
Max Drawdown
93
Num Trades
57.0%
Win Trades
3.2 : 1
Profit Factor
56.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010(2.9%)+1.2%+4.5%+1.8%(4.8%)(3.9%)+6.8%(3.3%)+3.8%+1.7%(0.1%)+5.4%+9.8%
2011+2.0%+6.8%(0.1%)+2.5%(0.6%)(6.4%)(7.4%)(21.5%)(5.4%)+3.9%(4.8%)+15.3%(18.6%)
2012  -  +2.0%+0.4%  -  (5.9%)+12.6%(0.4%)+1.2%(0.6%)+0.2%(2.7%)+0.6%+6.7%
2013+3.6%+1.8%+5.2%(1.3%)(0.4%)(10.4%)+1.2%(8.4%)+2.7%+3.9%+0.7%+3.1%+0.3%
2014+2.7%+0.3%(2.3%)+2.6%(1.7%)(0.6%)(9.3%)+8.5%(7.7%)+5.7%+3.0%+1.2%+0.9%
2015(2.1%)+8.6%+2.2%(0.8%)+1.3%(2.8%)  -  (9.9%)(5.7%)+8.8%+3.6%(6.3%)(4.9%)
2016(11.3%)+1.9%+15.5%+2.5%+2.9%+0.2%+6.8%+1.2%(1.3%)(6.4%)+15.8%+3.3%+31.6%
2017+2.2%+5.8%(1.7%)+2.9%+0.2%(0.4%)+1.6%(4.6%)+8.3%+4.3%+2.0%+4.1%+26.8%
2018+5.1%(6.3%)(1.3%)+1.3%+8.2%(1.4%)+1.0%+6.9%(1.8%)(19.2%)+2.5%(16.7%)(23.1%)
2019+19.4%+8.9%(2.1%)+7.2%(14.5%)  -  (8.3%)+11.1%(0.3%)+4.0%+6.0%+45.0%
2020(0.4%)  -  (6.1%)+9.8%+5.1%
2021+2.5%+12.2%+8.3%+10.8%(2.5%)(2%)(0.9%)+1.9%(3%)+5.3%(3%)+8.3%+42.8%
2022(12.7%)+1.7%+4.5%(10.9%)(4.5%)(12.8%)+13.3%(1.5%)(20.5%)+19.1%+7.0%(9.8%)(29.8%)
2023+15.2%(1.8%)(13.8%)+6.0%(3.7%)+4.5%+15.1%(6%)(9.4%)(5.6%)+8.8%+14.7%+20.3%
2024+0.4%+4.4%+8.0%(5.7%)                                                +6.8%

Model Account Details

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

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

Trading Record

This strategy has placed 105 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3965 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/9/14 9:30 MVV PROSHARES ULTRA MIDCAP400 LONG 86 69.24 6/24 9:30 70.76 0.63%
Trade id #87999350
Max drawdown($84)
Time6/13/14 10:09
Quant open58
Worst price68.05
Drawdown as % of equity-0.63%
 $128
Includes Typical Broker Commissions trade costs of $1.72
6/5/14 9:30 MZZ PROSHARES ULTRASHORT MIDCAP400 LONG 82 47.99 6/9 9:33 46.48 0.93%
Trade id #87942918
Max drawdown($125)
Time6/6/14 12:41
Quant open82
Worst price46.46
Drawdown as % of equity-0.93%
 ($126)
Includes Typical Broker Commissions trade costs of $1.64
5/15/14 9:44 MZZ PROSHARES ULTRASHORT MIDCAP400 LONG 80 51.26 5/20 9:31 50.27 0.76%
Trade id #87583401
Max drawdown($103)
Time5/19/14 11:12
Quant open80
Worst price49.97
Drawdown as % of equity-0.76%
 ($81)
Includes Typical Broker Commissions trade costs of $1.60
5/6/14 9:30 MZZ PROSHARES ULTRASHORT MIDCAP400 LONG 118 50.59 5/7 9:31 50.57 0.22%
Trade id #87410607
Max drawdown($30)
Time5/6/14 10:45
Quant open118
Worst price50.33
Drawdown as % of equity-0.22%
 ($4)
Includes Typical Broker Commissions trade costs of $2.36
5/2/14 9:30 MVV PROSHARES ULTRA MIDCAP400 LONG 16 64.44 5/6 9:30 64.42 0.14%
Trade id #87362149
Max drawdown($19)
Time5/5/14 9:36
Quant open16
Worst price63.25
Drawdown as % of equity-0.14%
 $0
Includes Typical Broker Commissions trade costs of $0.32
4/30/14 9:30 MZZ PROSHARES ULTRASHORT MIDCAP400 LONG 38 51.76 5/2 9:44 50.38 0.44%
Trade id #87316082
Max drawdown($60)
Time5/1/14 12:10
Quant open38
Worst price50.18
Drawdown as % of equity-0.44%
 ($53)
Includes Typical Broker Commissions trade costs of $0.76
4/25/14 9:30 MVV PROSHARES ULTRA MIDCAP400 LONG 15 64.45 4/30 9:30 63.26 0.32%
Trade id #87239592
Max drawdown($44)
Time4/28/14 13:26
Quant open15
Worst price61.49
Drawdown as % of equity-0.32%
 ($18)
Includes Typical Broker Commissions trade costs of $0.30
4/8/14 9:30 MVV PROSHARES ULTRA MIDCAP400 LONG 128 62.77 4/24 9:30 64.77 2.56%
Trade id #86920971
Max drawdown($336)
Time4/15/14 13:00
Quant open128
Worst price60.14
Drawdown as % of equity-2.56%
 $254
Includes Typical Broker Commissions trade costs of $2.56
3/13/14 9:30 MVV PROSHARES ULTRA MIDCAP400 LONG 130 66.00 4/7 9:30 67.37 2.63%
Trade id #86448957
Max drawdown($341)
Time3/27/14 11:53
Quant open130
Worst price63.37
Drawdown as % of equity-2.63%
 $176
Includes Typical Broker Commissions trade costs of $2.60
3/12/14 9:31 MZZ PROSHARES ULTRASHORT MIDCAP400 LONG 50 50.64 3/13 9:32 49.52 0.42%
Trade id #86423649
Max drawdown($56)
Time3/13/14 9:32
Quant open0
Worst price49.52
Drawdown as % of equity-0.42%
 ($57)
Includes Typical Broker Commissions trade costs of $1.00
2/26/14 9:30 MVV PROSHARES ULTRA MIDCAP400 LONG 170 65.45 3/12 9:30 65.16 0.49%
Trade id #86173676
Max drawdown($66)
Time3/3/14 12:14
Quant open60
Worst price64.35
Drawdown as % of equity-0.49%
 ($52)
Includes Typical Broker Commissions trade costs of $3.40
2/21/14 9:31 MZZ PROSHARES ULTRASHORT MIDCAP400 LONG 40 51.57 2/26 9:44 50.86 0.37%
Trade id #86103008
Max drawdown($49)
Time2/24/14 11:58
Quant open40
Worst price50.33
Drawdown as % of equity-0.37%
 ($29)
Includes Typical Broker Commissions trade costs of $0.80
1/7/14 9:30 MVV PROSHARES ULTRA MIDCAP400 LONG 280 61.39 2/12 9:30 62.36 6%
Trade id #85026487
Max drawdown($782)
Time2/5/14 10:25
Quant open140
Worst price55.80
Drawdown as % of equity-6.00%
 $264
Includes Typical Broker Commissions trade costs of $5.60
12/26/13 9:30 MZZ PROSHARES ULTRASHORT MIDCAP400 LONG 90 53.93 1/7/14 9:30 54.24 0.25%
Trade id #84844016
Max drawdown($32)
Time12/31/13 11:41
Quant open180
Worst price13.31
Drawdown as % of equity-0.25%
 $26
Includes Typical Broker Commissions trade costs of $1.80
11/19/13 9:30 MVV PROSHARES ULTRA MIDCAP400 LONG 380 59.93 12/26 9:30 60.93 3.15%
Trade id #84157434
Max drawdown($400)
Time12/11/13 15:47
Quant open90
Worst price115.94
Drawdown as % of equity-3.15%
 $372
Includes Typical Broker Commissions trade costs of $7.60
11/18/13 11:01 MZZ PROSHARES ULTRASHORT MIDCAP400 LONG 20 56.56 11/19 9:32 57.24 0.03%
Trade id #84137096
Max drawdown($3)
Time11/18/13 11:35
Quant open80
Worst price14.10
Drawdown as % of equity-0.03%
 $14
Includes Typical Broker Commissions trade costs of $0.40
10/25/13 9:30 MVV PROSHARES ULTRA MIDCAP400 LONG 60 58.52 11/15 9:30 60.38 0.73%
Trade id #83711316
Max drawdown($91)
Time11/7/13 15:59
Quant open20
Worst price112.94
Drawdown as % of equity-0.73%
 $111
Includes Typical Broker Commissions trade costs of $1.20
10/21/13 9:30 MZZ PROSHARES ULTRASHORT MIDCAP400 LONG 73 58.60 10/25 9:30 58.40 0.57%
Trade id #83607331
Max drawdown($72)
Time10/22/13 10:22
Quant open290
Worst price14.40
Drawdown as % of equity-0.57%
 ($15)
Includes Typical Broker Commissions trade costs of $1.46
9/18/13 9:30 MVV PROSHARES ULTRA MIDCAP400 LONG 180 54.42 10/21 9:30 56.91 3.07%
Trade id #83023558
Max drawdown($366)
Time10/9/13 11:24
Quant open80
Worst price104.25
Drawdown as % of equity-3.07%
 $445
Includes Typical Broker Commissions trade costs of $3.60
9/10/13 9:30 MZZ PROSHARES ULTRASHORT MIDCAP400 LONG 70 65.72 9/18 9:30 63.76 1.24%
Trade id #82915172
Max drawdown($151)
Time9/17/13 15:59
Quant open280
Worst price15.89
Drawdown as % of equity-1.24%
 ($138)
Includes Typical Broker Commissions trade costs of $1.40
8/12/13 9:30 MVV PROSHARES ULTRA MIDCAP400 LONG 500 52.43 9/10 9:30 51.96 6.99%
Trade id #82470522
Max drawdown($829)
Time9/3/13 14:45
Quant open100
Worst price96.57
Drawdown as % of equity-6.99%
 ($245)
Includes Typical Broker Commissions trade costs of $10.00
7/26/13 9:30 MVV PROSHARES ULTRA MIDCAP400 LONG 240 54.55 8/7 9:30 54.59 0.34%
Trade id #82207029
Max drawdown($42)
Time7/29/13 11:30
Quant open39
Worst price105.05
Drawdown as % of equity-0.34%
 $4
Includes Typical Broker Commissions trade costs of $4.80
7/15/13 9:30 MZZ PROSHARES ULTRASHORT MIDCAP400 LONG 31 66.84 7/26 9:30 66.44 0.57%
Trade id #81995074
Max drawdown($70)
Time7/23/13 9:31
Quant open124
Worst price16.14
Drawdown as % of equity-0.57%
 ($13)
Includes Typical Broker Commissions trade costs of $0.62
7/12/13 9:30 MVV PROSHARES ULTRA MIDCAP400 LONG 20 52.41 7/15 9:30 52.84 0.02%
Trade id #81972152
Max drawdown($2)
Time7/12/13 9:45
Quant open10
Worst price104.57
Drawdown as % of equity-0.02%
 $9
Includes Typical Broker Commissions trade costs of $0.40
6/28/13 9:30 MVV PROSHARES ULTRA MIDCAP400 LONG 46 47.60 7/9 9:30 50.53 0.14%
Trade id #81760135
Max drawdown($17)
Time6/28/13 10:07
Quant open23
Worst price94.41
Drawdown as % of equity-0.14%
 $134
Includes Typical Broker Commissions trade costs of $0.92
6/25/13 9:30 MVV PROSHARES ULTRA MIDCAP400 LONG 46 45.60 6/27 9:31 47.17 0.28%
Trade id #81691410
Max drawdown($34)
Time6/25/13 10:19
Quant open23
Worst price89.71
Drawdown as % of equity-0.28%
 $71
Includes Typical Broker Commissions trade costs of $0.92
6/24/13 9:30 MZZ PROSHARES ULTRASHORT MIDCAP400 LONG 29 79.60 6/25 9:30 77.36 0.52%
Trade id #81665031
Max drawdown($65)
Time6/25/13 9:30
Quant open0
Worst price19.34
Drawdown as % of equity-0.52%
 ($66)
Includes Typical Broker Commissions trade costs of $0.58
6/19/13 9:30 MVV PROSHARES ULTRA MIDCAP400 LONG 200 48.81 6/24 9:30 44.40 6.98%
Trade id #81581859
Max drawdown($883)
Time6/24/13 9:30
Quant open0
Worst price88.79
Drawdown as % of equity-6.98%
 ($887)
Includes Typical Broker Commissions trade costs of $4.00
6/17/13 9:30 MZZ PROSHARES ULTRASHORT MIDCAP400 LONG 46 72.36 6/19 9:30 72.10 0.13%
Trade id #81524224
Max drawdown($17)
Time6/18/13 14:10
Quant open61
Worst price17.80
Drawdown as % of equity-0.13%
 ($13)
Includes Typical Broker Commissions trade costs of $0.92
6/14/13 9:30 MVV PROSHARES ULTRA MIDCAP400 LONG 48 48.95 6/17 9:30 49.33 0.19%
Trade id #81497845
Max drawdown($25)
Time6/14/13 14:06
Quant open24
Worst price96.84
Drawdown as % of equity-0.19%
 $17
Includes Typical Broker Commissions trade costs of $0.96
Next

Statistics

  • Strategy began
    1/19/2010
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    5210.75
  • Age
    174 months ago
  • What it trades
    Stocks
  • # Trades
    93
  • # Profitable
    53
  • % Profitable
    57.00%
  • Avg trade duration
    46.8 days
  • Max peak-to-valley drawdown
    47.99%
  • drawdown period
    April 29, 2011 - Aug 08, 2011
  • Annual Return (Compounded)
    6.0%
  • Avg win
    $451.91
  • Avg loss
    $197.53
  • Model Account Values (Raw)
  • Cash
    $10,331
  • Margin Used
    $0
  • Buying Power
    $23,071
  • Ratios
  • W:L ratio
    3.17:1
  • Sharpe Ratio
    0.24
  • Sortino Ratio
    0.36
  • Calmar Ratio
    0.385
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -213.49%
  • Correlation to SP500
    0.60940
  • Return Percent SP500 (cumu) during strategy life
    344.34%
  • Return Statistics
  • Ann Return (w trading costs)
    6.0%
  • Slump
  • Current Slump as Pcnt Equity
    17.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.17%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.060%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    7.2%
  • 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)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $198
  • Avg Win
    $452
  • Sum Trade PL (losers)
    $7,901.000
  • Age
  • Num Months filled monthly returns table
    164
  • Win / Loss
  • Sum Trade PL (winners)
    $23,951.000
  • # Winners
    53
  • Num Months Winners
    94
  • Dividends
  • Dividends Received in Model Acct
    1068
  • Win / Loss
  • # Losers
    40
  • % Winners
    57.0%
  • Frequency
  • Avg Position Time (mins)
    67389.10
  • Avg Position Time (hrs)
    1123.15
  • Avg Trade Length
    46.8 days
  • Last Trade Ago
    3571
  • Regression
  • Alpha
    -0.01
  • Beta
    1.04
  • Treynor Index
    0.02
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    27.64
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    37.98
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.31
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    1.482
  • 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
    0.469
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.559
  • Hold-and-Hope Ratio
    0.756
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16830
  • SD
    0.25770
  • Sharpe ratio (Glass type estimate)
    0.65306
  • Sharpe ratio (Hedges UMVUE)
    0.64721
  • df
    84.00000
  • t
    1.73809
  • p
    0.04293
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.09184
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.39415
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.09569
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.39011
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.95598
  • Upside Potential Ratio
    2.01463
  • Upside part of mean
    0.35466
  • Downside part of mean
    -0.18637
  • Upside SD
    0.19235
  • Downside SD
    0.17605
  • N nonnegative terms
    61.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    85.00000
  • Mean of predictor
    0.22188
  • Mean of criterion
    0.16830
  • SD of predictor
    0.20889
  • SD of criterion
    0.25770
  • Covariance
    0.04484
  • r
    0.83295
  • b (slope, estimate of beta)
    1.02761
  • a (intercept, estimate of alpha)
    -0.05971
  • Mean Square Error
    0.02058
  • DF error
    83.00000
  • t(b)
    13.71410
  • p(b)
    -0.00000
  • t(a)
    -1.05854
  • p(a)
    0.85356
  • Lowerbound of 95% confidence interval for beta
    0.87858
  • Upperbound of 95% confidence interval for beta
    1.17665
  • Lowerbound of 95% confidence interval for alpha
    -0.17190
  • Upperbound of 95% confidence interval for alpha
    0.05248
  • Treynor index (mean / b)
    0.16377
  • Jensen alpha (a)
    -0.05971
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13311
  • SD
    0.26742
  • Sharpe ratio (Glass type estimate)
    0.49778
  • Sharpe ratio (Hedges UMVUE)
    0.49332
  • df
    84.00000
  • t
    1.32482
  • p
    0.09441
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.24392
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.23658
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.24687
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.23352
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.66338
  • Upside Potential Ratio
    1.68404
  • Upside part of mean
    0.33792
  • Downside part of mean
    -0.20481
  • Upside SD
    0.17855
  • Downside SD
    0.20066
  • N nonnegative terms
    61.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    85.00000
  • Mean of predictor
    0.19933
  • Mean of criterion
    0.13311
  • SD of predictor
    0.20345
  • SD of criterion
    0.26742
  • Covariance
    0.04504
  • r
    0.82788
  • b (slope, estimate of beta)
    1.08815
  • a (intercept, estimate of alpha)
    -0.08378
  • Mean Square Error
    0.02277
  • DF error
    83.00000
  • t(b)
    13.44660
  • p(b)
    -0.00000
  • t(a)
    -1.42135
  • p(a)
    0.92052
  • Lowerbound of 95% confidence interval for beta
    0.92719
  • Upperbound of 95% confidence interval for beta
    1.24910
  • Lowerbound of 95% confidence interval for alpha
    -0.20103
  • Upperbound of 95% confidence interval for alpha
    0.03346
  • Treynor index (mean / b)
    0.12233
  • Jensen alpha (a)
    -0.08378
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10942
  • Expected Shortfall on VaR
    0.13734
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02241
  • Expected Shortfall on VaR
    0.05617
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    85.00000
  • Minimum
    0.71822
  • Quartile 1
    0.99603
  • Median
    1.00978
  • Quartile 3
    1.03606
  • Maximum
    1.25377
  • Mean of quarter 1
    0.94013
  • Mean of quarter 2
    1.00436
  • Mean of quarter 3
    1.02362
  • Mean of quarter 4
    1.09151
  • Inter Quartile Range
    0.04003
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.05882
  • Mean of outliers low
    0.81218
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.07059
  • Mean of outliers high
    1.17029
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.68895
  • VaR(95%) (moments method)
    0.02840
  • Expected Shortfall (moments method)
    0.10947
  • Extreme Value Index (regression method)
    0.81733
  • VaR(95%) (regression method)
    0.04575
  • Expected Shortfall (regression method)
    0.29951
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.02121
  • Quartile 1
    0.06838
  • Median
    0.10876
  • Quartile 3
    0.23450
  • Maximum
    0.28909
  • Mean of quarter 1
    0.02981
  • Mean of quarter 2
    0.09140
  • Mean of quarter 3
    0.17184
  • Mean of quarter 4
    0.26765
  • Inter Quartile Range
    0.16612
  • 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)
    0.22128
  • Compounded annual return (geometric extrapolation)
    0.14238
  • Calmar ratio (compounded annual return / max draw down)
    0.49252
  • Compounded annual return / average of 25% largest draw downs
    0.53196
  • Compounded annual return / Expected Shortfall lognormal
    1.03670
  • 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
    0.18574
  • SD
    0.30470
  • Sharpe ratio (Glass type estimate)
    0.60960
  • Sharpe ratio (Hedges UMVUE)
    0.60935
  • df
    1876.00000
  • t
    1.63164
  • p
    0.48118
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.12299
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.34205
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.12317
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.34187
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.89136
  • Upside Potential Ratio
    6.81518
  • Upside part of mean
    1.42017
  • Downside part of mean
    -1.23443
  • Upside SD
    0.22249
  • Downside SD
    0.20838
  • N nonnegative terms
    1041.00000
  • N negative terms
    836.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1877.00000
  • Mean of predictor
    0.23334
  • Mean of criterion
    0.18574
  • SD of predictor
    0.22365
  • SD of criterion
    0.30470
  • Covariance
    0.04568
  • r
    0.67038
  • b (slope, estimate of beta)
    0.91332
  • a (intercept, estimate of alpha)
    -0.02700
  • Mean Square Error
    0.05115
  • DF error
    1875.00000
  • t(b)
    39.12030
  • p(b)
    0.10780
  • t(a)
    -0.32332
  • p(a)
    0.50475
  • Lowerbound of 95% confidence interval for beta
    0.86754
  • Upperbound of 95% confidence interval for beta
    0.95911
  • Lowerbound of 95% confidence interval for alpha
    -0.19343
  • Upperbound of 95% confidence interval for alpha
    0.13868
  • Treynor index (mean / b)
    0.20337
  • Jensen alpha (a)
    -0.02738
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13923
  • SD
    0.30518
  • Sharpe ratio (Glass type estimate)
    0.45623
  • Sharpe ratio (Hedges UMVUE)
    0.45604
  • df
    1876.00000
  • t
    1.22113
  • p
    0.48591
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27621
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.18860
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.27636
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.18845
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.64621
  • Upside Potential Ratio
    6.48085
  • Upside part of mean
    1.39635
  • Downside part of mean
    -1.25712
  • Upside SD
    0.21618
  • Downside SD
    0.21546
  • N nonnegative terms
    1041.00000
  • N negative terms
    836.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1877.00000
  • Mean of predictor
    0.20818
  • Mean of criterion
    0.13923
  • SD of predictor
    0.22422
  • SD of criterion
    0.30518
  • Covariance
    0.04596
  • r
    0.67170
  • b (slope, estimate of beta)
    0.91424
  • a (intercept, estimate of alpha)
    -0.05110
  • Mean Square Error
    0.05114
  • DF error
    1875.00000
  • t(b)
    39.26160
  • p(b)
    0.10717
  • t(a)
    -0.60378
  • p(a)
    0.50888
  • Lowerbound of 95% confidence interval for beta
    0.86857
  • Upperbound of 95% confidence interval for beta
    0.95991
  • Lowerbound of 95% confidence interval for alpha
    -0.21707
  • Upperbound of 95% confidence interval for alpha
    0.11488
  • Treynor index (mean / b)
    0.15229
  • Jensen alpha (a)
    -0.05110
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03002
  • Expected Shortfall on VaR
    0.03761
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00978
  • Expected Shortfall on VaR
    0.02166
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1877.00000
  • Minimum
    0.87252
  • Quartile 1
    0.99623
  • Median
    1.00008
  • Quartile 3
    1.00472
  • Maximum
    1.12016
  • Mean of quarter 1
    0.98231
  • Mean of quarter 2
    0.99887
  • Mean of quarter 3
    1.00195
  • Mean of quarter 4
    1.01975
  • Inter Quartile Range
    0.00848
  • Number outliers low
    147.00000
  • Percentage of outliers low
    0.07832
  • Mean of outliers low
    0.96301
  • Number of outliers high
    165.00000
  • Percentage of outliers high
    0.08791
  • Mean of outliers high
    1.03836
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.49227
  • VaR(95%) (moments method)
    0.01490
  • Expected Shortfall (moments method)
    0.03463
  • Extreme Value Index (regression method)
    0.23859
  • VaR(95%) (regression method)
    0.01473
  • Expected Shortfall (regression method)
    0.02549
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    66.00000
  • Minimum
    0.00019
  • Quartile 1
    0.00676
  • Median
    0.02425
  • Quartile 3
    0.05620
  • Maximum
    0.38759
  • Mean of quarter 1
    0.00301
  • Mean of quarter 2
    0.01455
  • Mean of quarter 3
    0.03650
  • Mean of quarter 4
    0.14423
  • Inter Quartile Range
    0.04945
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.06061
  • Mean of outliers high
    0.30934
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.24231
  • VaR(95%) (moments method)
    0.14392
  • Expected Shortfall (moments method)
    0.23150
  • Extreme Value Index (regression method)
    0.10843
  • VaR(95%) (regression method)
    0.15366
  • Expected Shortfall (regression method)
    0.22656
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.23888
  • Compounded annual return (geometric extrapolation)
    0.14939
  • Calmar ratio (compounded annual return / max draw down)
    0.38543
  • Compounded annual return / average of 25% largest draw downs
    1.03578
  • Compounded annual return / Expected Shortfall lognormal
    3.97216
  • 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
    0.22383
  • SD
    0.67847
  • Sharpe ratio (Glass type estimate)
    0.32990
  • Sharpe ratio (Hedges UMVUE)
    0.32799
  • df
    130.00000
  • t
    0.23327
  • p
    0.48977
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.44280
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.10139
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.44410
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.10008
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.48836
  • Upside Potential Ratio
    8.93940
  • Upside part of mean
    4.09716
  • Downside part of mean
    -3.87333
  • Upside SD
    0.49693
  • Downside SD
    0.45833
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.41956
  • Mean of criterion
    0.22383
  • SD of predictor
    0.39496
  • SD of criterion
    0.67847
  • Covariance
    0.21490
  • r
    0.80197
  • b (slope, estimate of beta)
    1.37767
  • a (intercept, estimate of alpha)
    -0.35419
  • Mean Square Error
    0.16554
  • DF error
    129.00000
  • t(b)
    15.24810
  • p(b)
    0.05129
  • t(a)
    -0.61423
  • p(a)
    0.53436
  • Lowerbound of 95% confidence interval for beta
    1.19891
  • Upperbound of 95% confidence interval for beta
    1.55643
  • Lowerbound of 95% confidence interval for alpha
    -1.49508
  • Upperbound of 95% confidence interval for alpha
    0.78671
  • Treynor index (mean / b)
    0.16247
  • Jensen alpha (a)
    -0.35419
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00479
  • SD
    0.67924
  • Sharpe ratio (Glass type estimate)
    -0.00705
  • Sharpe ratio (Hedges UMVUE)
    -0.00701
  • df
    130.00000
  • t
    -0.00499
  • p
    0.50022
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.77886
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.76476
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.77882
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.76480
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.01004
  • Upside Potential Ratio
    8.33910
  • Upside part of mean
    3.97936
  • Downside part of mean
    -3.98415
  • Upside SD
    0.47973
  • Downside SD
    0.47719
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.34174
  • Mean of criterion
    -0.00479
  • SD of predictor
    0.39568
  • SD of criterion
    0.67924
  • Covariance
    0.21515
  • r
    0.80049
  • b (slope, estimate of beta)
    1.37415
  • a (intercept, estimate of alpha)
    -0.47439
  • Mean Square Error
    0.16702
  • DF error
    129.00000
  • t(b)
    15.16960
  • p(b)
    0.05186
  • t(a)
    -0.81962
  • p(a)
    0.54578
  • VAR (95 Confidence Intrvl)
    0.03000
  • Lowerbound of 95% confidence interval for beta
    1.19493
  • Upperbound of 95% confidence interval for beta
    1.55338
  • Lowerbound of 95% confidence interval for alpha
    -1.61952
  • Upperbound of 95% confidence interval for alpha
    0.67075
  • Treynor index (mean / b)
    -0.00348
  • Jensen alpha (a)
    -0.47439
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06671
  • Expected Shortfall on VaR
    0.08283
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03474
  • Expected Shortfall on VaR
    0.06532
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.87252
  • Quartile 1
    0.97810
  • Median
    0.99894
  • Quartile 3
    1.01971
  • Maximum
    1.11332
  • Mean of quarter 1
    0.95196
  • Mean of quarter 2
    0.98938
  • Mean of quarter 3
    1.00677
  • Mean of quarter 4
    1.05549
  • Inter Quartile Range
    0.04161
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.89693
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.09272
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.11821
  • VaR(95%) (moments method)
    0.04796
  • Expected Shortfall (moments method)
    0.06838
  • Extreme Value Index (regression method)
    0.28926
  • VaR(95%) (regression method)
    0.03919
  • Expected Shortfall (regression method)
    0.05807
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02392
  • Quartile 1
    0.10989
  • Median
    0.19585
  • Quartile 3
    0.28182
  • Maximum
    0.36778
  • Mean of quarter 1
    0.02392
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.36778
  • Inter Quartile Range
    0.17193
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -369310000
  • Max Equity Drawdown (num days)
    101
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.00478
  • Compounded annual return (geometric extrapolation)
    -0.00478
  • Calmar ratio (compounded annual return / max draw down)
    -0.01299
  • Compounded annual return / average of 25% largest draw downs
    -0.01299
  • Compounded annual return / Expected Shortfall lognormal
    -0.05768

Strategy Description

Update 12/31/12

Performance Summary for 2012

Equity + 13.5% (SPY +10.9%)
Max DD 5.1% (SPY 10.6%)
+ve Trades 65.5%
+ve Months 83.3% (SPY 75%)

Update 11/2/12

Further to the change I made on 15th August 2011 MFK has gained 46.5% since that date (annualized 37.9%). At the time of writing 11 of the last 12 months have been profitable. Overall (after 35 months live) 67% of trades have been profitable and 71% of months. The vast majority of trades have a risk category of "Low" (per C2's classification).

Update 7/10/12

I have actually been trading MFK via the TOS program since Feb 7th 2012. I was forced to change brokers when Options Express stopped supporting auto-trading on C2. The TOS prgram start date displayed by C2 signifies the day I switched to using MB Trading.

Update 7/4/12.

MFK has been live on C2 for 2.5 years in that time I have made one change to the system (no ongoing tinkering with parameters at all) that being to remove the long-term elements after its slump in July of last year. I had mistakenly believed that diversifying across time would add something to the system but upon detailed investigation of both the back-test and 18mths of live trading it actually detracted from performance from all perspectives.

Since I made that change (on August 15th 2011) the system has gain 41% (46.5% annualized) with a maximum DD of 11.90%. SPY has returned 12.8% (14.7% annualized) in the
same period with a maximum DD of 9.7%. During this period MFK has only been 31% invested on average. And yes I am in the TOS program at 100%.

Description

Mutual Fund Killer (MFK) is an Excel-based timing model which uses a small number of standard TA indicators. It is intended to out-perform the typical Mutual Fund in terms of offering higher returns for less risk and as such employs various techniques and strategies to ensure it will perform in an acceptable fashion across all types of market environments. Back testing indicates that ultra-high yielding years will be the exception rather than the norm and as such the Standard Deviation (SD) of returns is quite low.

The program will issue trades on a fairly frequent basis (about 40% of days - note this means there will be two buy or sell signals per week not two round trips) and will typically phase into (or out of) a long or short position. It will then endeavor to buy dips and sell short-term highs until such a point in time that the markets orientation is considered to have altered whereupon a cash or alternate bias may be assumed. The number of shares referenced may vary considerably from one signal to another. Because of the frequency of trading signals with MFK it is highly recommended that a discount broker such as Interactive Brokers is utilized.

The approximate monthly cost of trading MFK with IB would be commissions of $8.40 (8.4 trades per month * $1) + subscription costs of $19.20 ($30 per month * 64% of months profitable) = $27.60 per month.

Back testing to 1985 would indicate that the model will achieve a CAGR of around 25% with an average maximum annual realized Drawdown of 10% or thereabouts but of course neither back tests or even past live performance are guarantees of how this or any other timing model will perform in the future.

Typically the model will be around 55% in cash but on occasion will utilize some margin albeit rather infrequently (up to 20% per the Back test).
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2010-01-19
Suggested Minimum Capital
$15,000
# Trades
93
# Profitable
53
% Profitable
57.0%
Net Dividends
$1,067
Correlation S&P500
0.609
Sharpe Ratio
0.24
Sortino Ratio
0.36
Beta
1.04
Alpha
-0.01

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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This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.