Collective2 Collective2
Featured Strategy Quant AI pro +18.2% Cumul. Return since Dec 2, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Momentum and Value
(52642265)

Created by: CE2 CE2
Started: 09/2010
Options
Last trade: 5,116 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. You can subscribe to this system for free.

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.

-26.0%
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.

(90.5%)
Max Drawdown
10
Num Trades
50.0%
Win Trades
0.4 : 1
Profit Factor
0.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010                                                        +44.0%(22.4%)(74.5%)(56.7%)(87.7%)
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.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/19/10 9:00 POL POLISHED.COM INC LONG 2,800 12.50 12/20 9:49 13.01 n/a $1,423
Includes Typical Broker Commissions trade costs of $5.00
10/19/10 9:46 BRF1122A60 BRF Jan22'11 60 call LONG 11 2.60 12/20 9:49 0.30 96.75%
Trade id #54078910
Max drawdown($2,530)
Time12/17/10 12:15
Quant open11
Worst price0.50
Drawdown as % of equity-96.75%
 ($2,545)
Includes Typical Broker Commissions trade costs of $15.40
10/21/10 14:23 EWH1122A18 EWH Jan22'11 18 call LONG 4 1.40 12/20 9:49 0.75 8.83%
Trade id #54079085
Max drawdown($260)
Time12/15/10 13:47
Quant open4
Worst price1.00
Drawdown as % of equity-8.83%
 ($266)
Includes Typical Broker Commissions trade costs of $5.60
10/8/10 12:04 POL1018L12.5 POL Dec18'10 12.5 call LONG 28 1.15 12/19 9:00 0.00 56.54%
Trade id #53668995
Max drawdown($3,220)
Time11/22/10 9:36
Quant open28
Worst price0.20
Drawdown as % of equity-56.54%
 ($3,240)
Includes Typical Broker Commissions trade costs of $19.60
10/14/10 11:58 VHC1018L17 VHC Dec18'10 17 call LONG 12 3.00 12/19 9:00 0.00 88.21%
Trade id #53844878
Max drawdown($3,600)
Time12/8/10 13:14
Quant open12
Worst price0.05
Drawdown as % of equity-88.21%
 ($3,608)
Includes Typical Broker Commissions trade costs of $8.40
10/8/10 9:33 SOL1020K13 SOL Nov20'10 13 call LONG 33 1.20 11/21 9:01 0.00 44.08%
Trade id #53660843
Max drawdown($3,960)
Time11/12/10 9:33
Quant open33
Worst price0.05
Drawdown as % of equity-44.08%
 ($3,983)
Includes Typical Broker Commissions trade costs of $23.10
9/7/10 9:33 EWM1016J12 EWM Oct16'10 12 call LONG 33 1.43 10/5 9:33 1.70 n/a $844
Includes Typical Broker Commissions trade costs of $46.20
9/10/10 15:32 CIB1122A65 CIB Jan22'11 65 call LONG 6 3.20 10/5 9:33 4.20 2.15%
Trade id #52824210
Max drawdown($300)
Time9/24/10 9:35
Quant open6
Worst price2.70
Drawdown as % of equity-2.15%
 $592
Includes Typical Broker Commissions trade costs of $8.40
9/7/10 15:43 ECH1020K70 ECH Nov20'10 70 call LONG 12 2.75 10/5 9:33 5.00 n/a $2,683
Includes Typical Broker Commissions trade costs of $16.80
9/7/10 9:30 GXG FTSE COLOMBIA 20 ETF LONG 160 20.94 9/10 14:10 21.16 0.2%
Trade id #52688924
Max drawdown($19)
Time9/7/10 10:24
Quant open80
Worst price41.63
Drawdown as % of equity-0.20%
 $32
Includes Typical Broker Commissions trade costs of $3.20
Next

Statistics

  • Strategy began
    9/5/2010
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    5213.56
  • Age
    174 months ago
  • What it trades
    Options
  • # Trades
    10
  • # Profitable
    5
  • % Profitable
    50.00%
  • Avg trade duration
    38.6 days
  • Max peak-to-valley drawdown
    90.51%
  • drawdown period
    Oct 15, 2010 - Dec 20, 2010
  • Annual Return (Compounded)
    -26.0%
  • Avg win
    $1,130
  • Avg loss
    $2,714
  • Model Account Values (Raw)
  • Cash
    $2,083
  • Margin Used
    $0
  • Buying Power
    $2,083
  • Ratios
  • W:L ratio
    0.42:1
  • Sharpe Ratio
    -0.33
  • Sortino Ratio
    -0.43
  • Calmar Ratio
    -0.414
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -172.17%
  • Correlation to SP500
    0.03120
  • Return Percent SP500 (cumu) during strategy life
    436.97%
  • Return Statistics
  • Ann Return (w trading costs)
    -26.0%
  • Slump
  • Current Slump as Pcnt Equity
    1389.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.99%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.260%
  • Instruments
  • Percent Trades Options
    0.81%
  • Percent Trades Stocks
    0.19%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -10.4%
  • 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)
    n/a
  • 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
    $2,714
  • Avg Win
    $1,131
  • Sum Trade PL (losers)
    $13,570.000
  • Age
  • Num Months filled monthly returns table
    172
  • Win / Loss
  • Sum Trade PL (winners)
    $5,653.000
  • # Winners
    5
  • Num Months Winners
    1
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    5
  • % Winners
    50.0%
  • Frequency
  • Avg Position Time (mins)
    55617.50
  • Avg Position Time (hrs)
    926.96
  • Avg Trade Length
    38.6 days
  • Last Trade Ago
    5108
  • Regression
  • Alpha
    -0.03
  • Beta
    0.06
  • Treynor Index
    -0.58
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.52
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    15.62
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    2.61
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.56
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.72
  • Avg(MAE) / Avg(PL) - All trades
    -1.074
  • 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
    0.12
  • Avg(MAE) / Avg(PL) - Winning trades
    0.504
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.000
  • Hold-and-Hope Ratio
    -0.931
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.38632
  • SD
    0.70015
  • Sharpe ratio (Glass type estimate)
    -0.55177
  • Sharpe ratio (Hedges UMVUE)
    -0.53567
  • df
    26.00000
  • t
    -0.82765
  • p
    0.79230
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.86169
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.76856
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.85040
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.77906
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.67579
  • Upside Potential Ratio
    0.46312
  • Upside part of mean
    0.26474
  • Downside part of mean
    -0.65106
  • Upside SD
    0.39711
  • Downside SD
    0.57166
  • N nonnegative terms
    1.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    27.00000
  • Mean of predictor
    0.29436
  • Mean of criterion
    -0.38632
  • SD of predictor
    0.19257
  • SD of criterion
    0.70015
  • Covariance
    0.00187
  • r
    0.01384
  • b (slope, estimate of beta)
    0.05031
  • a (intercept, estimate of alpha)
    -0.40113
  • Mean Square Error
    0.50972
  • DF error
    25.00000
  • t(b)
    0.06920
  • p(b)
    0.47269
  • t(a)
    -0.76864
  • p(a)
    0.77534
  • Lowerbound of 95% confidence interval for beta
    -1.44717
  • Upperbound of 95% confidence interval for beta
    1.54780
  • Lowerbound of 95% confidence interval for alpha
    -1.47595
  • Upperbound of 95% confidence interval for alpha
    0.67369
  • Treynor index (mean / b)
    -7.67811
  • Jensen alpha (a)
    -0.40113
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.70718
  • SD
    0.87106
  • Sharpe ratio (Glass type estimate)
    -0.81187
  • Sharpe ratio (Hedges UMVUE)
    -0.78818
  • df
    26.00000
  • t
    -1.21780
  • p
    0.88288
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.12929
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.52065
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.11227
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.53590
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.86051
  • Upside Potential Ratio
    0.25255
  • Upside part of mean
    0.20755
  • Downside part of mean
    -0.91473
  • Upside SD
    0.31132
  • Downside SD
    0.82182
  • N nonnegative terms
    1.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    27.00000
  • Mean of predictor
    0.27330
  • Mean of criterion
    -0.70718
  • SD of predictor
    0.19030
  • SD of criterion
    0.87106
  • Covariance
    -0.00309
  • r
    -0.01867
  • b (slope, estimate of beta)
    -0.08546
  • a (intercept, estimate of alpha)
    -0.68383
  • Mean Square Error
    0.78882
  • DF error
    25.00000
  • t(b)
    -0.09337
  • p(b)
    0.53682
  • t(a)
    -1.06387
  • p(a)
    0.85122
  • Lowerbound of 95% confidence interval for beta
    -1.97053
  • Upperbound of 95% confidence interval for beta
    1.79961
  • Lowerbound of 95% confidence interval for alpha
    -2.00765
  • Upperbound of 95% confidence interval for alpha
    0.63999
  • Treynor index (mean / b)
    8.27499
  • Jensen alpha (a)
    -0.68383
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.37658
  • Expected Shortfall on VaR
    0.43641
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.18470
  • Expected Shortfall on VaR
    0.38373
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    27.00000
  • Minimum
    0.40651
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.59650
  • Mean of quarter 1
    0.79381
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.08521
  • Inter Quartile Range
    0.00000
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.11111
  • Mean of outliers low
    0.51889
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.03704
  • Mean of outliers high
    1.59650
  • 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)
    -2.41439
  • VaR(95%) (regression method)
    0.76851
  • Expected Shortfall (regression method)
    0.81531
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.86953
  • Quartile 1
    0.86953
  • Median
    0.86953
  • Quartile 3
    0.86953
  • Maximum
    0.86953
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.35187
  • Compounded annual return (geometric extrapolation)
    -0.50204
  • Calmar ratio (compounded annual return / max draw down)
    -0.57737
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.15038
  • 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
    -0.49456
  • SD
    0.63287
  • Sharpe ratio (Glass type estimate)
    -0.78145
  • Sharpe ratio (Hedges UMVUE)
    -0.78070
  • df
    778.00000
  • t
    -1.17596
  • p
    0.88001
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.08424
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.52180
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.08372
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.52232
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.02667
  • Upside Potential Ratio
    2.23991
  • Upside part of mean
    1.07899
  • Downside part of mean
    -1.57355
  • Upside SD
    0.41070
  • Downside SD
    0.48171
  • N nonnegative terms
    34.00000
  • N negative terms
    745.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    779.00000
  • Mean of predictor
    0.30091
  • Mean of criterion
    -0.49456
  • SD of predictor
    0.23700
  • SD of criterion
    0.63287
  • Covariance
    0.00810
  • r
    0.05400
  • b (slope, estimate of beta)
    0.14419
  • a (intercept, estimate of alpha)
    0.05800
  • Mean Square Error
    0.39987
  • DF error
    777.00000
  • t(b)
    1.50732
  • p(b)
    0.06607
  • t(a)
    -1.27718
  • p(a)
    0.89904
  • Lowerbound of 95% confidence interval for beta
    -0.04359
  • Upperbound of 95% confidence interval for beta
    0.33197
  • Lowerbound of 95% confidence interval for alpha
    -1.36477
  • Upperbound of 95% confidence interval for alpha
    0.28888
  • Treynor index (mean / b)
    -3.42992
  • Jensen alpha (a)
    -0.53795
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.70271
  • SD
    0.65380
  • Sharpe ratio (Glass type estimate)
    -1.07480
  • Sharpe ratio (Hedges UMVUE)
    -1.07376
  • df
    778.00000
  • t
    -1.61740
  • p
    0.94690
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.37801
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.22906
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.37730
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22977
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.30183
  • Upside Potential Ratio
    1.86306
  • Upside part of mean
    1.00565
  • Downside part of mean
    -1.70836
  • Upside SD
    0.37011
  • Downside SD
    0.53978
  • N nonnegative terms
    34.00000
  • N negative terms
    745.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    779.00000
  • Mean of predictor
    0.27275
  • Mean of criterion
    -0.70271
  • SD of predictor
    0.23697
  • SD of criterion
    0.65380
  • Covariance
    0.00775
  • r
    0.05005
  • b (slope, estimate of beta)
    0.13808
  • a (intercept, estimate of alpha)
    -0.74037
  • Mean Square Error
    0.42694
  • DF error
    777.00000
  • t(b)
    1.39684
  • p(b)
    0.08143
  • t(a)
    -1.70185
  • p(a)
    0.95541
  • Lowerbound of 95% confidence interval for beta
    -0.05597
  • Upperbound of 95% confidence interval for beta
    0.33214
  • Lowerbound of 95% confidence interval for alpha
    -1.59436
  • Upperbound of 95% confidence interval for alpha
    0.11362
  • Treynor index (mean / b)
    -5.08899
  • Jensen alpha (a)
    -0.74037
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05826
  • Expected Shortfall on VaR
    0.07195
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01547
  • Expected Shortfall on VaR
    0.03455
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    779.00000
  • Minimum
    0.67389
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.39796
  • Mean of quarter 1
    0.98184
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01254
  • Inter Quartile Range
    0.00000
  • Number outliers low
    44.00000
  • Percentage of outliers low
    0.05648
  • Mean of outliers low
    0.91951
  • Number of outliers high
    34.00000
  • Percentage of outliers high
    0.04365
  • Mean of outliers high
    1.07189
  • 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)
    -0.12319
  • VaR(95%) (regression method)
    0.00827
  • Expected Shortfall (regression method)
    0.05930
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01080
  • Quartile 1
    0.04698
  • Median
    0.06444
  • Quartile 3
    0.09688
  • Maximum
    0.88063
  • Mean of quarter 1
    0.02889
  • Mean of quarter 2
    0.06444
  • Mean of quarter 3
    0.09688
  • Mean of quarter 4
    0.88063
  • Inter Quartile Range
    0.04990
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.88063
  • 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)
    -0.34961
  • Compounded annual return (geometric extrapolation)
    -0.49981
  • Calmar ratio (compounded annual return / max draw down)
    -0.56755
  • Compounded annual return / average of 25% largest draw downs
    -0.56755
  • Compounded annual return / Expected Shortfall lognormal
    -6.94656
  • 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
    -0.00995
  • 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
    -18.54720
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.00995
  • Upside SD
    0.00000
  • Downside SD
    0.00054
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.05933
  • Mean of criterion
    -0.00995
  • SD of predictor
    0.25607
  • 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
    -0.00995
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -31576300000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -31437600000000000.00000
  • df
    171.00000
  • t
    -22327800000000000.00000
  • p
    1.00000
  • 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
    -34769500000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -28105800000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -18.54720
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.00995
  • Upside SD
    0.00000
  • Downside SD
    0.00054
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.02664
  • Mean of criterion
    -0.00995
  • SD of predictor
    0.25664
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.00995
  • Mean Square Error
    0.00000
  • DF error
    170.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -22262100000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.09800
  • 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
    -0.00995
  • Upperbound of 95% confidence interval for alpha
    -0.00995
  • Treynor index (mean / b)
    -486997000000000000255185347674112.00000
  • Jensen alpha (a)
    -0.00995
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00003
  • Expected Shortfall on VaR
    0.00003
  • 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
    172.00000
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    66
  • 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

Technical and market timing. Using momentum and value.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2010-09-05
Suggested Minimum Capital
$10,000
# Trades
10
# Profitable
5
% Profitable
50.0%
Correlation S&P500
0.031
Sharpe Ratio
-0.33
Sortino Ratio
-0.43
Beta
0.06
Alpha
-0.03

Latest Activity

#PERSONNAME#
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.