Collective2 Collective2
Featured Strategy Income Trades Followed by live capital $60,000 Hypothetical

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Pairs Trading
(56449341)

Created by: KrishnamurthyUpadh KrishnamurthyUpadh
Started: 01/2011
Stocks, Options
Last trade: 4,267 days ago

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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.

-14.6%
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.

(85.7%)
Max Drawdown
190
Num Trades
71.6%
Win Trades
0.3 : 1
Profit Factor
35.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011(1.4%)+2.7%(0.5%)(1.6%)+0.9%+7.7%(0.5%)(1.7%)+0.7%(3.5%)+4.1%(0.1%)+6.5%
2012(7.7%)+6.0%(0.8%)+1.5%+1.7%(1.2%)+1.8%(1%)(0.2%)(0.2%)(0.3%)  -  (1.1%)
2013(0.7%)(0.3%)(0.9%)(1.9%)(0.2%)+1.3%+0.6%+0.1%+0.6%(1.7%)+0.1%(1.5%)(4.5%)
2014(0.4%)(1.6%)+1.1%(0.5%)(0.6%)(2.9%)+1.7%(2.2%)+1.6%(2.1%)(0.7%)(1%)(7.6%)
2015+2.2%(2.8%)+2.1%(2%)(0.2%)+1.5%+0.2%+2.8%+2.2%(4.2%)(0.7%)(0.2%)+0.7%
2016+3.8%(0.5%)(2.6%)+0.3%(0.7%)+0.4%(2%)(0.6%)+0.4%+0.8%(2%)(0.3%)(3.2%)
2017(1.2%)(2.1%)+0.2%(2.3%)(1.6%)+0.3%(1.2%)+0.4%(2.3%)+6.4%(1.3%)(1%)(5.8%)
2018(4.1%)+3.5%+1.4%(0.7%)(2%)+0.6%(2.9%)(1.8%)(0.2%)+4.7%(0.8%)+6.3%+3.4%
2019(3.4%)(3.9%)(1.7%)(2.6%)+0.3%(0.2%)(0.7%)+0.6%(1.1%)(2%)(2%)(3.2%)(18.3%)
2020(0.1%)+2.8%+18.5%(9.4%)(5.7%)(0.8%)(3.3%)(8.6%)+6.7%(0.8%)(10.3%)(1.9%)(15.2%)
2021(0.8%)(6.2%)(1%)(8.5%)+0.8%(4.9%)(1.2%)(9.2%)+4.3%(7.8%)+0.1%(5.5%)(34.1%)
2022+19.5%(1.9%)(6.5%)+16.4%(1.3%)+15.0%(12%)+5.6%+11.8%(3.3%)(7.8%)+0.8%+35.3%
2023(2.7%)+1.0%+1.5%(7.4%)(3.6%)(8%)(7.8%)+7.4%+0.6%+7.8%(14.5%)(10.2%)(32.5%)
2024(0.7%)(17.6%)(10.1%)+5.9%(13.1%)(12.1%)(2.4%)+13.4%(31.8%)(5.6%)+4.3%      (55.8%)

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.

System developer has asked us to delay this information by 4 hours.

Trading Record

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Long
Short
Both
Win
Loss
Both
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Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/5/13 13:06 SPY1316C155 SPY Mar16'13 155 call SHORT 1 0.69 3/17 9:20 0.00 0.19%
Trade id #79547640
Max drawdown($108)
Time3/14/13 15:47
Quant open-1
Worst price1.77
Drawdown as % of equity-0.19%
 $68
Includes Typical Broker Commissions trade costs of $1.00
3/5/13 13:00 BBRY1316O12 BBRY Mar16'13 12 put SHORT 2 0.35 3/17 9:20 0.00 0.01%
Trade id #79547494
Max drawdown($8)
Time3/5/13 15:43
Quant open-2
Worst price0.39
Drawdown as % of equity-0.01%
 $69
Includes Typical Broker Commissions trade costs of $1.40
2/22/13 12:50 BBRY1301O12.5 BBRY Mar1'13 12.5 put SHORT 2 0.25 3/2 9:05 0.00 0.05%
Trade id #79364363
Max drawdown($26)
Time2/26/13 12:11
Quant open-2
Worst price0.38
Drawdown as % of equity-0.05%
 $49
Includes Typical Broker Commissions trade costs of $1.40
2/21/13 12:53 BBRY1322N13 BBRY Feb22'13 13 put SHORT 3 0.11 2/23 9:00 0.00 0%
Trade id #79340189
Max drawdown$0
Time2/21/13 12:56
Quant open-3
Worst price0.11
Drawdown as % of equity0.00%
 $31
Includes Typical Broker Commissions trade costs of $2.40
1/9/13 11:46 SPY1319A147 SPY Jan19'13 147 call SHORT 1 0.58 1/20 9:32 0.00 0.14%
Trade id #78555892
Max drawdown($75)
Time1/20/13 0:43
Quant open1
Worst price0.00
Drawdown as % of equity-0.14%
 $57
Includes Typical Broker Commissions trade costs of $1.00
1/9/13 11:45 RIMM1319M11 RIMM Jan19'13 11 put SHORT 3 0.19 1/20 9:32 0.00 0.04%
Trade id #78555878
Max drawdown($24)
Time1/9/13 15:37
Quant open-3
Worst price0.27
Drawdown as % of equity-0.04%
 $55
Includes Typical Broker Commissions trade costs of $2.10
12/31/12 11:49 RIMM1311M11 RIMM Jan11'13 11 put SHORT 2 0.31 1/9/13 11:44 0.02 n/a $55
Includes Typical Broker Commissions trade costs of $2.80
12/6/12 14:25 FB META PLATFORMS INC SHORT 200 27.17 12/29 9:01 26.00 0.56%
Trade id #78027307
Max drawdown($316)
Time12/13/12 11:49
Quant open-200
Worst price28.75
Drawdown as % of equity-0.56%
 $230
Includes Typical Broker Commissions trade costs of $4.00
12/26/12 11:22 FB1228X26 FB Dec28'12 26 put SHORT 2 0.10 12/29 9:01 0.00 0.25%
Trade id #78328797
Max drawdown($144)
Time12/28/12 9:32
Quant open-2
Worst price0.82
Drawdown as % of equity-0.25%
 $19
Includes Typical Broker Commissions trade costs of $1.40
12/27/12 11:56 RIMM1228L11.5 RIMM Dec28'12 11.5 call SHORT 1 0.23 12/29 9:01 0.00 0.07%
Trade id #78350197
Max drawdown($37)
Time12/28/12 10:21
Quant open-1
Worst price0.60
Drawdown as % of equity-0.07%
 $22
Includes Typical Broker Commissions trade costs of $1.00
12/24/12 13:00 RIMM1228L10 RIMM Dec28'12 10 call SHORT 2 0.72 12/29 9:00 0.00 0.47%
Trade id #78304723
Max drawdown($266)
Time12/28/12 10:24
Quant open-2
Worst price2.05
Drawdown as % of equity-0.47%
 $143
Includes Typical Broker Commissions trade costs of $1.40
12/17/12 10:44 FB1222X26 FB Dec22'12 26 put SHORT 2 0.45 12/23 10:47 0.00 0.02%
Trade id #78189972
Max drawdown($10)
Time12/17/12 11:30
Quant open-2
Worst price0.50
Drawdown as % of equity-0.02%
 $89
Includes Typical Broker Commissions trade costs of $1.40
12/6/12 14:26 FB1214X26 FB Dec14'12 26 put SHORT 2 0.35 12/15 9:00 0.00 0.04%
Trade id #78027327
Max drawdown($20)
Time12/6/12 14:58
Quant open-2
Worst price0.45
Drawdown as % of equity-0.04%
 $69
Includes Typical Broker Commissions trade costs of $1.40
8/2/12 9:40 SPY SPDR S&P 500 SHORT 100 136.80 8/24 12:45 141.41 1.12%
Trade id #75743499
Max drawdown($629)
Time8/21/12 10:41
Quant open-100
Worst price143.09
Drawdown as % of equity-1.12%
 ($463)
Includes Typical Broker Commissions trade costs of $2.00
8/2/12 14:25 SPY1203T136 SPY Aug3'12 136 put SHORT 1 0.67 8/4 9:00 0.00 0.01%
Trade id #75758779
Max drawdown($3)
Time8/2/12 14:31
Quant open-1
Worst price0.70
Drawdown as % of equity-0.01%
 $66
Includes Typical Broker Commissions trade costs of $1.00
6/25/12 13:24 SPY SPDR S&P 500 SHORT 400 134.52 7/24 12:39 134.11 1.86%
Trade id #74809663
Max drawdown($1,029)
Time7/19/12 12:26
Quant open-200
Worst price138.18
Drawdown as % of equity-1.86%
 $157
Includes Typical Broker Commissions trade costs of $8.00
7/13/12 11:04 SPY1221G136 SPY Jul21'12 136 call SHORT 2 0.90 7/22 9:04 0.00 0.14%
Trade id #75245712
Max drawdown($78)
Time7/18/12 10:05
Quant open-1
Worst price1.40
Drawdown as % of equity-0.14%
 $178
Includes Typical Broker Commissions trade costs of $2.00
7/6/12 12:24 SPY1213S134 SPY Jul13'12 134 put SHORT 2 0.74 7/13 11:02 0.03 0.29%
Trade id #75062436
Max drawdown($162)
Time7/12/12 10:44
Quant open-2
Worst price1.55
Drawdown as % of equity-0.29%
 $139
Includes Typical Broker Commissions trade costs of $3.40
6/25/12 13:25 SPY1229R130 SPY Jun29'12 130 put SHORT 1 0.83 6/30 9:00 0.00 0%
Trade id #74809672
Max drawdown$0
Time6/25/12 15:02
Quant open-1
Worst price0.83
Drawdown as % of equity0.00%
 $82
Includes Typical Broker Commissions trade costs of $1.00
6/22/12 13:46 SPY1229F135 SPY Jun29'12 135 call SHORT 1 0.43 6/30 9:00 0.00 0.18%
Trade id #74778889
Max drawdown($102)
Time6/29/12 16:01
Quant open-1
Worst price1.45
Drawdown as % of equity-0.18%
 $42
Includes Typical Broker Commissions trade costs of $1.00
5/30/12 9:48 SPY SPDR S&P 500 SHORT 200 132.11 6/22 13:41 133.10 1.49%
Trade id #74104745
Max drawdown($828)
Time6/19/12 13:37
Quant open-200
Worst price136.25
Drawdown as % of equity-1.49%
 ($202)
Includes Typical Broker Commissions trade costs of $4.00
6/19/12 12:14 SPY1229R134 SPY Jun29'12 134 put SHORT 2 0.88 6/22 10:14 1.75 0.54%
Trade id #74664513
Max drawdown($305)
Time6/21/12 15:58
Quant open-2
Worst price2.40
Drawdown as % of equity-0.54%
 ($178)
Includes Typical Broker Commissions trade costs of $3.40
6/14/12 15:29 SPY1222F135 SPY Jun22'12 135 call SHORT 1 0.72 6/22 10:12 0.02 0.18%
Trade id #74563189
Max drawdown($103)
Time6/19/12 13:39
Quant open-1
Worst price1.75
Drawdown as % of equity-0.18%
 $68
Includes Typical Broker Commissions trade costs of $2.00
6/14/12 15:58 SPY1222R130 SPY Jun22'12 130 put SHORT 1 1.00 6/19 12:09 0.06 n/a $92
Includes Typical Broker Commissions trade costs of $2.00
6/15/12 14:00 SPY1222R132 SPY Jun22'12 132 put SHORT 1 1.21 6/19 12:09 0.13 0%
Trade id #74599514
Max drawdown($1)
Time6/15/12 14:10
Quant open-1
Worst price1.22
Drawdown as % of equity-0.00%
 $106
Includes Typical Broker Commissions trade costs of $2.00
6/8/12 15:15 SPY1216R127 SPY Jun16'12 127 put SHORT 1 0.21 6/17 9:04 0.00 0.02%
Trade id #74407980
Max drawdown($13)
Time6/11/12 15:59
Quant open-1
Worst price0.34
Drawdown as % of equity-0.02%
 $20
Includes Typical Broker Commissions trade costs of $1.00
6/1/12 14:30 SPY1216F132 SPY Jun16'12 132 call SHORT 1 0.73 6/17 9:04 0.00 0.27%
Trade id #74197459
Max drawdown($152)
Time6/17/12 1:42
Quant open1
Worst price0.00
Drawdown as % of equity-0.27%
 $72
Includes Typical Broker Commissions trade costs of $1.00
6/1/12 14:19 SPY1216R128 SPY Jun16'12 128 put LONG 1 2.61 6/17 9:04 0.00 0.46%
Trade id #74197007
Max drawdown($261)
Time6/17/12 9:04
Quant open0
Worst price0.00
Drawdown as % of equity-0.46%
 ($262)
Includes Typical Broker Commissions trade costs of $1.00
5/30/12 9:49 SPY1216R129 SPY Jun16'12 129 put SHORT 1 1.36 6/17 9:04 0.00 0.06%
Trade id #74104787
Max drawdown($32)
Time6/6/12 9:31
Quant open-1
Worst price1.68
Drawdown as % of equity-0.06%
 $135
Includes Typical Broker Commissions trade costs of $1.00
6/1/12 14:19 SPY1208R126 SPY Jun8'12 126 put SHORT 1 1.00 6/9 9:41 0.00 0.01%
Trade id #74197053
Max drawdown($4)
Time6/4/12 12:32
Quant open-1
Worst price1.04
Drawdown as % of equity-0.01%
 $99
Includes Typical Broker Commissions trade costs of $1.00
Next

Statistics

  • Strategy began
    1/4/2011
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    5062.85
  • Age
    169 months ago
  • What it trades
    Stocks, Options
  • # Trades
    190
  • # Profitable
    136
  • % Profitable
    71.60%
  • Avg trade duration
    63.3 days
  • Max peak-to-valley drawdown
    85.68%
  • drawdown period
    July 14, 2011 - Oct 11, 2024
  • Annual Return (Compounded)
    -14.6%
  • Avg win
    $196.62
  • Avg loss
    $1,116
  • Model Account Values (Raw)
  • Cash
    $70,197
  • Margin Used
    $27,975
  • Buying Power
    ($1,899)
  • Ratios
  • W:L ratio
    0.35:1
  • Sharpe Ratio
    -0.65
  • Sortino Ratio
    -0.87
  • Calmar Ratio
    -0.312
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -459.98%
  • Correlation to SP500
    -0.58720
  • Return Percent SP500 (cumu) during strategy life
    365.84%
  • Return Statistics
  • Ann Return (w trading costs)
    -14.6%
  • Slump
  • Current Slump as Pcnt Equity
    569.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.96%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.146%
  • Instruments
  • Percent Trades Options
    0.38%
  • Percent Trades Stocks
    0.62%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -9.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • 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
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,117
  • Avg Win
    $197
  • Sum Trade PL (losers)
    $60,305.000
  • Age
  • Num Months filled monthly returns table
    167
  • Win / Loss
  • Sum Trade PL (winners)
    $26,740.000
  • # Winners
    136
  • Num Months Winners
    60
  • Dividends
  • Dividends Received in Model Acct
    -5860
  • Win / Loss
  • # Losers
    54
  • % Winners
    71.6%
  • Frequency
  • Avg Position Time (mins)
    91209.00
  • Avg Position Time (hrs)
    1520.15
  • Avg Trade Length
    63.3 days
  • Last Trade Ago
    4260
  • Regression
  • Alpha
    -0.02
  • Beta
    -0.64
  • Treynor Index
    0.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    31.11
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    40.53
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.42
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.11
  • Avg(MAE) / Avg(PL) - All trades
    -2.440
  • 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
    0.908
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.145
  • Hold-and-Hope Ratio
    -0.554
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.23119
  • SD
    0.24731
  • Sharpe ratio (Glass type estimate)
    -0.93484
  • Sharpe ratio (Hedges UMVUE)
    -0.92270
  • df
    58.00000
  • t
    -2.07288
  • p
    0.97868
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.83104
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.03091
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.82243
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.02298
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.93299
  • Upside Potential Ratio
    0.34385
  • Upside part of mean
    0.08521
  • Downside part of mean
    -0.31640
  • Upside SD
    0.05634
  • Downside SD
    0.24780
  • N nonnegative terms
    22.00000
  • N negative terms
    37.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    59.00000
  • Mean of predictor
    0.30086
  • Mean of criterion
    -0.23119
  • SD of predictor
    0.23087
  • SD of criterion
    0.24731
  • Covariance
    -0.04434
  • r
    -0.77654
  • b (slope, estimate of beta)
    -0.83183
  • a (intercept, estimate of alpha)
    0.01907
  • Mean Square Error
    0.02471
  • DF error
    57.00000
  • t(b)
    -9.30502
  • p(b)
    1.00000
  • t(a)
    0.25153
  • p(a)
    0.40115
  • Lowerbound of 95% confidence interval for beta
    -1.01084
  • Upperbound of 95% confidence interval for beta
    -0.65282
  • Lowerbound of 95% confidence interval for alpha
    -0.13275
  • Upperbound of 95% confidence interval for alpha
    0.17089
  • Treynor index (mean / b)
    0.27793
  • Jensen alpha (a)
    0.01907
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.27251
  • SD
    0.30250
  • Sharpe ratio (Glass type estimate)
    -0.90087
  • Sharpe ratio (Hedges UMVUE)
    -0.88917
  • df
    58.00000
  • t
    -1.99754
  • p
    0.97477
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.79607
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00180
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.78777
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00944
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.89290
  • Upside Potential Ratio
    0.27354
  • Upside part of mean
    0.08348
  • Downside part of mean
    -0.35600
  • Upside SD
    0.05474
  • Downside SD
    0.30520
  • N nonnegative terms
    22.00000
  • N negative terms
    37.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    59.00000
  • Mean of predictor
    0.27285
  • Mean of criterion
    -0.27251
  • SD of predictor
    0.21692
  • SD of criterion
    0.30250
  • Covariance
    -0.04737
  • r
    -0.72195
  • b (slope, estimate of beta)
    -1.00678
  • a (intercept, estimate of alpha)
    0.00219
  • Mean Square Error
    0.04458
  • DF error
    57.00000
  • t(b)
    -7.87714
  • p(b)
    1.00000
  • t(a)
    0.02159
  • p(a)
    0.49143
  • Lowerbound of 95% confidence interval for beta
    -1.26271
  • Upperbound of 95% confidence interval for beta
    -0.75084
  • Lowerbound of 95% confidence interval for alpha
    -0.20088
  • Upperbound of 95% confidence interval for alpha
    0.20525
  • Treynor index (mean / b)
    0.27068
  • Jensen alpha (a)
    0.00219
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15325
  • Expected Shortfall on VaR
    0.18316
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06890
  • Expected Shortfall on VaR
    0.14544
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    59.00000
  • Minimum
    0.56767
  • Quartile 1
    0.98138
  • Median
    0.99602
  • Quartile 3
    1.00994
  • Maximum
    1.08429
  • Mean of quarter 1
    0.91363
  • Mean of quarter 2
    0.98913
  • Mean of quarter 3
    1.00212
  • Mean of quarter 4
    1.02865
  • Inter Quartile Range
    0.02856
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.06780
  • Mean of outliers low
    0.76079
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.03390
  • Mean of outliers high
    1.06992
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.94750
  • VaR(95%) (moments method)
    0.09006
  • Expected Shortfall (moments method)
    1.72454
  • Extreme Value Index (regression method)
    1.25864
  • VaR(95%) (regression method)
    0.06653
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00484
  • Quartile 1
    0.00898
  • Median
    0.03535
  • Quartile 3
    0.22923
  • Maximum
    0.73589
  • Mean of quarter 1
    0.00484
  • Mean of quarter 2
    0.01036
  • Mean of quarter 3
    0.06035
  • Mean of quarter 4
    0.73589
  • Inter Quartile Range
    0.22026
  • 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
    0.25000
  • Mean of outliers high
    0.73589
  • 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)
    -0.14229
  • Compounded annual return (geometric extrapolation)
    -0.21699
  • Calmar ratio (compounded annual return / max draw down)
    -0.29486
  • Compounded annual return / average of 25% largest draw downs
    -0.29486
  • Compounded annual return / Expected Shortfall lognormal
    -1.18466
  • 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
    -0.27740
  • SD
    0.23642
  • Sharpe ratio (Glass type estimate)
    -1.17335
  • Sharpe ratio (Hedges UMVUE)
    -1.17267
  • df
    1289.00000
  • t
    -2.60358
  • p
    0.54600
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.05758
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.28868
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.05712
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.28822
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.62889
  • Upside Potential Ratio
    4.11997
  • Upside part of mean
    0.70164
  • Downside part of mean
    -0.97904
  • Upside SD
    0.16475
  • Downside SD
    0.17030
  • N nonnegative terms
    516.00000
  • N negative terms
    774.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1290.00000
  • Mean of predictor
    0.31812
  • Mean of criterion
    -0.27740
  • SD of predictor
    0.26778
  • SD of criterion
    0.23642
  • Covariance
    -0.04165
  • r
    -0.65784
  • b (slope, estimate of beta)
    -0.58079
  • a (intercept, estimate of alpha)
    -0.09300
  • Mean Square Error
    0.03173
  • DF error
    1288.00000
  • t(b)
    -31.34680
  • p(b)
    0.82892
  • t(a)
    -1.15088
  • p(a)
    0.51603
  • Lowerbound of 95% confidence interval for beta
    -0.61714
  • Upperbound of 95% confidence interval for beta
    -0.54444
  • Lowerbound of 95% confidence interval for alpha
    -0.25055
  • Upperbound of 95% confidence interval for alpha
    0.06527
  • Treynor index (mean / b)
    0.47763
  • Jensen alpha (a)
    -0.09264
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.30530
  • SD
    0.23548
  • Sharpe ratio (Glass type estimate)
    -1.29649
  • Sharpe ratio (Hedges UMVUE)
    -1.29574
  • df
    1289.00000
  • t
    -2.87682
  • p
    0.55079
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.18095
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.41154
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.18044
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41103
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.74259
  • Upside Potential Ratio
    3.93094
  • Upside part of mean
    0.68870
  • Downside part of mean
    -0.99400
  • Upside SD
    0.15833
  • Downside SD
    0.17520
  • N nonnegative terms
    516.00000
  • N negative terms
    774.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1290.00000
  • Mean of predictor
    0.28106
  • Mean of criterion
    -0.30530
  • SD of predictor
    0.27385
  • SD of criterion
    0.23548
  • Covariance
    -0.04208
  • r
    -0.65258
  • b (slope, estimate of beta)
    -0.56115
  • a (intercept, estimate of alpha)
    -0.14758
  • Mean Square Error
    0.03186
  • DF error
    1288.00000
  • t(b)
    -30.90890
  • p(b)
    0.82629
  • t(a)
    -1.83091
  • p(a)
    0.52548
  • Lowerbound of 95% confidence interval for beta
    -0.59676
  • Upperbound of 95% confidence interval for beta
    -0.52553
  • Lowerbound of 95% confidence interval for alpha
    -0.30571
  • Upperbound of 95% confidence interval for alpha
    0.01055
  • Treynor index (mean / b)
    0.54406
  • Jensen alpha (a)
    -0.14758
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02478
  • Expected Shortfall on VaR
    0.03068
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00947
  • Expected Shortfall on VaR
    0.02029
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1290.00000
  • Minimum
    0.89350
  • Quartile 1
    0.99687
  • Median
    1.00000
  • Quartile 3
    1.00168
  • Maximum
    1.13970
  • Mean of quarter 1
    0.98659
  • Mean of quarter 2
    0.99873
  • Mean of quarter 3
    1.00051
  • Mean of quarter 4
    1.01036
  • Inter Quartile Range
    0.00480
  • Number outliers low
    111.00000
  • Percentage of outliers low
    0.08605
  • Mean of outliers low
    0.97142
  • Number of outliers high
    77.00000
  • Percentage of outliers high
    0.05969
  • Mean of outliers high
    1.02986
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.79056
  • VaR(95%) (moments method)
    0.01355
  • Expected Shortfall (moments method)
    0.06819
  • Extreme Value Index (regression method)
    0.60783
  • VaR(95%) (regression method)
    0.01023
  • Expected Shortfall (regression method)
    0.02783
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00112
  • Median
    0.00438
  • Quartile 3
    0.01978
  • Maximum
    0.77634
  • Mean of quarter 1
    0.00023
  • Mean of quarter 2
    0.00208
  • Mean of quarter 3
    0.01244
  • Mean of quarter 4
    0.19503
  • Inter Quartile Range
    0.01867
  • 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
    0.10000
  • Mean of outliers high
    0.43614
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.22727
  • VaR(95%) (moments method)
    0.14430
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    2.00331
  • VaR(95%) (regression method)
    0.25097
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.15127
  • Compounded annual return (geometric extrapolation)
    -0.24224
  • Calmar ratio (compounded annual return / max draw down)
    -0.31203
  • Compounded annual return / average of 25% largest draw downs
    -1.24209
  • Compounded annual return / Expected Shortfall lognormal
    -7.89610
  • 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
    -2.29101
  • SD
    0.62130
  • Sharpe ratio (Glass type estimate)
    -3.68745
  • Sharpe ratio (Hedges UMVUE)
    -3.66613
  • df
    130.00000
  • t
    -2.60742
  • p
    0.61147
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.48829
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.87279
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.47353
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.85873
  • Statistics related to Sortino ratio
  • Sortino ratio
    -4.75708
  • Upside Potential Ratio
    5.58006
  • Upside part of mean
    2.68736
  • Downside part of mean
    -4.97838
  • Upside SD
    0.41372
  • Downside SD
    0.48160
  • N nonnegative terms
    40.00000
  • N negative terms
    91.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.43419
  • Mean of criterion
    -2.29101
  • SD of predictor
    0.41894
  • SD of criterion
    0.62130
  • Covariance
    -0.22839
  • r
    -0.87746
  • b (slope, estimate of beta)
    -1.30130
  • a (intercept, estimate of alpha)
    -0.42470
  • Mean Square Error
    0.08950
  • DF error
    129.00000
  • t(b)
    -20.77740
  • p(b)
    0.97473
  • t(a)
    -0.98195
  • p(a)
    0.55477
  • Lowerbound of 95% confidence interval for beta
    -1.42522
  • Upperbound of 95% confidence interval for beta
    -1.17739
  • Lowerbound of 95% confidence interval for alpha
    -1.28044
  • Upperbound of 95% confidence interval for alpha
    0.43103
  • Treynor index (mean / b)
    1.76055
  • Jensen alpha (a)
    -0.42470
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.49269
  • SD
    0.61958
  • Sharpe ratio (Glass type estimate)
    -4.02318
  • Sharpe ratio (Hedges UMVUE)
    -3.99992
  • df
    130.00000
  • t
    -2.84482
  • p
    0.62104
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.83020
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -1.20121
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.81405
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.18580
  • Statistics related to Sortino ratio
  • Sortino ratio
    -5.01396
  • Upside Potential Ratio
    5.24213
  • Upside part of mean
    2.60612
  • Downside part of mean
    -5.09881
  • Upside SD
    0.39687
  • Downside SD
    0.49715
  • N nonnegative terms
    40.00000
  • N negative terms
    91.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.34285
  • Mean of criterion
    -2.49269
  • SD of predictor
    0.42085
  • SD of criterion
    0.61958
  • Covariance
    -0.22824
  • r
    -0.87530
  • b (slope, estimate of beta)
    -1.28861
  • a (intercept, estimate of alpha)
    -0.76228
  • Mean Square Error
    0.09047
  • DF error
    129.00000
  • t(b)
    -20.55800
  • p(b)
    0.97407
  • t(a)
    -1.75797
  • p(a)
    0.59700
  • VAR (95 Confidence Intrvl)
    0.02500
  • Lowerbound of 95% confidence interval for beta
    -1.41263
  • Upperbound of 95% confidence interval for beta
    -1.16460
  • Lowerbound of 95% confidence interval for alpha
    -1.62019
  • Upperbound of 95% confidence interval for alpha
    0.09564
  • Treynor index (mean / b)
    1.93440
  • Jensen alpha (a)
    -0.76228
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06991
  • Expected Shortfall on VaR
    0.08458
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05217
  • Expected Shortfall on VaR
    0.08079
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.89350
  • Quartile 1
    0.97228
  • Median
    0.98771
  • Quartile 3
    1.00648
  • Maximum
    1.13471
  • Mean of quarter 1
    0.94819
  • Mean of quarter 2
    0.98021
  • Mean of quarter 3
    0.99718
  • Mean of quarter 4
    1.04005
  • Inter Quartile Range
    0.03420
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.90343
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.09711
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.37512
  • VaR(95%) (moments method)
    0.05428
  • Expected Shortfall (moments method)
    0.06309
  • Extreme Value Index (regression method)
    -0.21775
  • VaR(95%) (regression method)
    0.05473
  • Expected Shortfall (regression method)
    0.06612
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.71547
  • Quartile 1
    0.71547
  • Median
    0.71547
  • Quartile 3
    0.71547
  • Maximum
    0.71547
  • 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?
    -362383000
  • Max Equity Drawdown (num days)
    4838
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.41681
  • Compounded annual return (geometric extrapolation)
    -0.91497
  • Calmar ratio (compounded annual return / max draw down)
    -1.27883
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -10.81810

Strategy Description

The system is built on careful research and extensive back testing of daily adjusted closing prices of US equities going back over 20 years from today. A combination of options and single name equities are used in managing the portfolio. We have real experience using IB trade workstation for about a year and half using this strategy on a portfolio of close to $50K.

The results were tracked on our live blog at
http://mkt-neutral.blogspot.com

The portfolio is managed with strict risk controls with holding period limits, stop gains, and stop losses on all pairs. Maximum concentration at inception is not more than 8% on each leg of a trade.

The main strategy is one of convergence. We comb through over 6000 securities in the US market on a daily basis, and identify pairs of stocks that are co-integrated over a specific period of time, but have diverged from the mean by x standard deviation through this period. We short the stock that we believe is overvalued and long the one that we believe is under valued.

The trades posted here are for a portfolio of size $50K, however one can scale it lower to manage a smaller portfolio. Our experience has shown that the trading cost can range anywhere from 50 to 150bps annually.

We take a broader view view when it comes to what we call a pair. About 60% of the trades will b pairs of stocks. The rest of the trades could be pairs of positions in the same name, or pairs of options positions in two different stocks. Some of the recent trades that were executed include

Strangle on TIF
Covered call on MSFT
Calendar call spread on GOOG.
Put buying on MAR.
Put buying on PLL.

Direct put/call buying is a low risk strategy if done in small increments and hence we may not have hedges in place as your max loss is limited by the premium. But we are very well aware of the theta decay and hence keep this kind of strategy to the minimum.

We may also try to offset some of these buying with selling options. We are always aware of the worst case exposure when selling uncovered options. Hence uncovered options are usually limited to very short time frames or ones that result in low worst case exposure.
Selling one call on MAR on a portfolio of $50K is manageable. However selling one call on AAPL is not manageable.


Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2011-01-04
Suggested Minimum Capital
$25,000
# Trades
190
# Profitable
136
% Profitable
71.6%
Net Dividends
($5,859)
Correlation S&P500
-0.587
Sharpe Ratio
-0.65
Sortino Ratio
-0.87
Beta
-0.64
Alpha
-0.02

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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