Collective2 Collective2
Featured Strategy MT3 Algotrading +78.5% Annual Return (Compounded) since Mar 31, 2023 Hypothetical

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Project Athena
(62532506)

Created by: EdisonNica EdisonNica
Started: 06/2011
Stocks
Last trade: 4,840 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 $1.00 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.

0.8%
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.

(7.0%)
Max Drawdown
134
Num Trades
52.2%
Win Trades
1.5 : 1
Profit Factor
1.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                                   +6.3%(2.6%)+9.1%(0.3%)(0.3%)(0.3%)(0.3%)+11.7%
2012  -  (0.3%)  -    -    -    -    -    -    -    -    -    -  (0.3%)
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

This strategy has placed 64 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 4858 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/22/11 9:31 AIG AMERICAN INTERNATIONAL SHORT 240 22.82 8/22 10:35 22.40 n/a $96
Includes Typical Broker Commissions trade costs of $4.80
8/22/11 9:30 MMC MARSH & MCLENNAN LONG 200 27.94 8/22 10:35 27.96 0.34%
Trade id #64867381
Max drawdown($40)
Time8/22/11 9:39
Quant open200
Worst price27.74
Drawdown as % of equity-0.34%
 $0
Includes Typical Broker Commissions trade costs of $4.00
8/22/11 9:30 F FORD MOTOR SHORT 500 10.39 8/22 10:25 10.07 n/a $150
Includes Typical Broker Commissions trade costs of $10.00
8/22/11 9:30 ORLY O'REILLY AUTOMOTIVE LONG 85 62.06 8/22 10:25 62.25 0.24%
Trade id #64867264
Max drawdown($28)
Time8/22/11 9:47
Quant open85
Worst price61.72
Drawdown as % of equity-0.24%
 $14
Includes Typical Broker Commissions trade costs of $1.70
8/19/11 9:30 F FORD MOTOR SHORT 500 10.05 8/19 15:55 10.03 1.72%
Trade id #64805673
Max drawdown($200)
Time8/19/11 10:29
Quant open-500
Worst price10.45
Drawdown as % of equity-1.72%
 $0
Includes Typical Broker Commissions trade costs of $10.00
8/19/11 9:30 MMC MARSH & MCLENNAN LONG 200 27.19 8/19 15:55 27.38 0.12%
Trade id #64805938
Max drawdown($14)
Time8/19/11 9:33
Quant open200
Worst price27.12
Drawdown as % of equity-0.12%
 $34
Includes Typical Broker Commissions trade costs of $4.00
8/19/11 9:30 AIG AMERICAN INTERNATIONAL SHORT 250 22.32 8/19 15:55 22.24 2.08%
Trade id #64805815
Max drawdown($242)
Time8/19/11 10:29
Quant open-250
Worst price23.29
Drawdown as % of equity-2.08%
 $15
Includes Typical Broker Commissions trade costs of $5.00
8/19/11 9:30 ROST ROSS STORES LONG 320 17.51 8/19 15:55 17.49 0.55%
Trade id #64805920
Max drawdown($64)
Time8/19/11 11:18
Quant open80
Worst price69.24
Drawdown as % of equity-0.55%
 ($12)
Includes Typical Broker Commissions trade costs of $6.40
8/18/11 9:30 VTR VENTAS LONG 100 48.02 8/18 10:09 47.13 1.05%
Trade id #64753743
Max drawdown($121)
Time8/18/11 10:07
Quant open100
Worst price46.81
Drawdown as % of equity-1.05%
 ($91)
Includes Typical Broker Commissions trade costs of $2.00
8/18/11 9:30 C CITIGROUP SHORT 180 28.70 8/18 10:09 26.96 0.13%
Trade id #64753738
Max drawdown($14)
Time8/18/11 9:32
Quant open-180
Worst price28.78
Drawdown as % of equity-0.13%
 $309
Includes Typical Broker Commissions trade costs of $3.60
8/18/11 9:30 F FORD MOTOR SHORT 500 10.67 8/18 10:09 10.33 0.02%
Trade id #64753682
Max drawdown($2)
Time8/18/11 9:32
Quant open-500
Worst price10.68
Drawdown as % of equity-0.02%
 $160
Includes Typical Broker Commissions trade costs of $10.00
8/18/11 9:30 ORLY O'REILLY AUTOMOTIVE LONG 95 59.88 8/18 10:08 59.95 n/a $5
Includes Typical Broker Commissions trade costs of $1.90
8/17/11 9:30 AIG AMERICAN INTERNATIONAL SHORT 200 24.64 8/17 15:55 24.80 1.66%
Trade id #64705546
Max drawdown($186)
Time8/17/11 10:44
Quant open-200
Worst price25.57
Drawdown as % of equity-1.66%
 ($36)
Includes Typical Broker Commissions trade costs of $4.00
8/17/11 9:30 F FORD MOTOR SHORT 400 11.34 8/17 15:55 11.10 0.22%
Trade id #64705521
Max drawdown($24)
Time8/17/11 9:54
Quant open-400
Worst price11.40
Drawdown as % of equity-0.22%
 $88
Includes Typical Broker Commissions trade costs of $8.00
8/17/11 9:30 MCO MOODY'S LONG 170 31.31 8/17 15:55 31.33 0.15%
Trade id #64705450
Max drawdown($17)
Time8/17/11 14:46
Quant open170
Worst price31.21
Drawdown as % of equity-0.15%
 $0
Includes Typical Broker Commissions trade costs of $3.40
8/17/11 9:30 TWX TIME WARNER INC LONG 170 30.58 8/17 15:55 30.47 0.86%
Trade id #64705529
Max drawdown($96)
Time8/17/11 13:44
Quant open170
Worst price30.01
Drawdown as % of equity-0.86%
 ($22)
Includes Typical Broker Commissions trade costs of $3.40
8/16/11 9:30 MMC MARSH & MCLENNAN LONG 170 28.33 8/16 15:55 28.34 0.5%
Trade id #64663015
Max drawdown($55)
Time8/16/11 13:09
Quant open170
Worst price28.00
Drawdown as % of equity-0.50%
 ($1)
Includes Typical Broker Commissions trade costs of $3.40
8/16/11 9:30 F FORD MOTOR SHORT 400 11.23 8/16 15:55 11.23 0.8%
Trade id #64662923
Max drawdown($88)
Time8/16/11 12:11
Quant open-400
Worst price11.45
Drawdown as % of equity-0.80%
 ($8)
Includes Typical Broker Commissions trade costs of $8.00
8/16/11 9:30 C CITIGROUP SHORT 170 30.64 8/16 15:55 29.95 0.11%
Trade id #64662997
Max drawdown($11)
Time8/16/11 12:11
Quant open-170
Worst price30.71
Drawdown as % of equity-0.11%
 $114
Includes Typical Broker Commissions trade costs of $3.40
8/16/11 9:30 ORLY O'REILLY AUTOMOTIVE LONG 90 60.09 8/16 15:55 60.58 0.39%
Trade id #64662900
Max drawdown($43)
Time8/16/11 9:51
Quant open90
Worst price59.61
Drawdown as % of equity-0.39%
 $42
Includes Typical Broker Commissions trade costs of $1.80
8/15/11 9:30 AIG AMERICAN INTERNATIONAL SHORT 200 23.39 8/15 15:55 24.51 2.14%
Trade id #64622099
Max drawdown($238)
Time8/15/11 15:22
Quant open-200
Worst price24.58
Drawdown as % of equity-2.14%
 ($228)
Includes Typical Broker Commissions trade costs of $4.00
8/15/11 9:30 F FORD MOTOR SHORT 500 11.29 8/15 15:55 11.34 0.36%
Trade id #64622067
Max drawdown($40)
Time8/15/11 14:30
Quant open-500
Worst price11.37
Drawdown as % of equity-0.36%
 ($35)
Includes Typical Broker Commissions trade costs of $10.00
8/15/11 9:30 ORLY O'REILLY AUTOMOTIVE LONG 90 60.37 8/15 15:55 60.69 0.42%
Trade id #64621998
Max drawdown($46)
Time8/15/11 9:55
Quant open90
Worst price59.85
Drawdown as % of equity-0.42%
 $27
Includes Typical Broker Commissions trade costs of $1.80
8/15/11 9:30 MMC MARSH & MCLENNAN LONG 180 28.28 8/15 9:30 0.00 0.06%
Trade id #64622110
Max drawdown($7)
Time8/15/11 9:32
Quant open180
Worst price28.24
Drawdown as % of equity-0.06%
 ($2)
Includes Typical Broker Commissions trade costs of $1.80
8/11/11 9:30 F FORD MOTOR SHORT 500 10.48 8/11 9:37 10.68 0.93%
Trade id #64510987
Max drawdown($105)
Time8/11/11 9:37
Quant open-500
Worst price10.69
Drawdown as % of equity-0.93%
 ($110)
Includes Typical Broker Commissions trade costs of $10.00
8/11/11 9:30 ORLY O'REILLY AUTOMOTIVE LONG 90 58.01 8/11 9:36 58.84 n/a $73
Includes Typical Broker Commissions trade costs of $1.80
8/11/11 9:30 C CITIGROUP SHORT 190 29.20 8/11 9:35 29.32 0.52%
Trade id #64510960
Max drawdown($58)
Time8/11/11 9:32
Quant open-190
Worst price29.51
Drawdown as % of equity-0.52%
 ($27)
Includes Typical Broker Commissions trade costs of $3.80
8/5/11 9:30 AIG AMERICAN INTERNATIONAL SHORT 200 26.01 8/5 15:55 25.20 0.69%
Trade id #64270953
Max drawdown($78)
Time8/5/11 9:42
Quant open-200
Worst price26.40
Drawdown as % of equity-0.69%
 $158
Includes Typical Broker Commissions trade costs of $4.00
8/5/11 9:31 MHP The McGraw-Hill Companies, Inc. LONG 125 43.75 8/5 15:55 41.80 3.86%
Trade id #64271261
Max drawdown($442)
Time8/5/11 11:58
Quant open125
Worst price40.21
Drawdown as % of equity-3.86%
 ($247)
Includes Typical Broker Commissions trade costs of $2.50
8/5/11 9:32 TROW T. ROWE PRICE LONG 100 52.89 8/5 15:55 51.79 2.2%
Trade id #64271295
Max drawdown($252)
Time8/5/11 11:58
Quant open100
Worst price50.37
Drawdown as % of equity-2.20%
 ($112)
Includes Typical Broker Commissions trade costs of $2.00
Next

Statistics

  • Strategy began
    6/15/2011
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    4899.03
  • Age
    164 months ago
  • What it trades
    Stocks
  • # Trades
    134
  • # Profitable
    70
  • % Profitable
    52.20%
  • Avg trade duration
    7.7 hours
  • Max peak-to-valley drawdown
    6.97%
  • drawdown period
    July 18, 2011 - July 28, 2011
  • Annual Return (Compounded)
    0.8%
  • Avg win
    $83.93
  • Avg loss
    $60.84
  • Model Account Values (Raw)
  • Cash
    $11,980
  • Margin Used
    $0
  • Buying Power
    $11,980
  • Ratios
  • W:L ratio
    1.51:1
  • Sharpe Ratio
    -0.48
  • Sortino Ratio
    -0.9
  • Calmar Ratio
    1.465
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -361.62%
  • Correlation to SP500
    -0.05010
  • Return Percent SP500 (cumu) during strategy life
    367.60%
  • Return Statistics
  • Ann Return (w trading costs)
    0.8%
  • Slump
  • Current Slump as Pcnt Equity
    1.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.98%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.008%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • 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
    $61
  • Avg Win
    $84
  • Sum Trade PL (losers)
    $3,894.000
  • Age
  • Num Months filled monthly returns table
    162
  • Win / Loss
  • Sum Trade PL (winners)
    $5,875.000
  • # Winners
    70
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    64
  • % Winners
    52.2%
  • Frequency
  • Avg Position Time (mins)
    460.83
  • Avg Position Time (hrs)
    7.68
  • Avg Trade Length
    0.3 days
  • Last Trade Ago
    4832
  • Regression
  • Alpha
    -0.00
  • Beta
    -0.01
  • Treynor Index
    0.50
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    59.88
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    33.13
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.29
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    14.464
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.508
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.528
  • Hold-and-Hope Ratio
    0.068
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03514
  • SD
    0.07700
  • Sharpe ratio (Glass type estimate)
    0.45637
  • Sharpe ratio (Hedges UMVUE)
    0.44651
  • df
    35.00000
  • t
    0.79046
  • p
    0.21729
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.68341
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58974
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68990
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.58292
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.26116
  • Upside Potential Ratio
    7.49811
  • Upside part of mean
    0.06183
  • Downside part of mean
    -0.02669
  • Upside SD
    0.07615
  • Downside SD
    0.00825
  • N nonnegative terms
    3.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    36.00000
  • Mean of predictor
    0.47304
  • Mean of criterion
    0.03514
  • SD of predictor
    0.24891
  • SD of criterion
    0.07700
  • Covariance
    -0.00107
  • r
    -0.05595
  • b (slope, estimate of beta)
    -0.01731
  • a (intercept, estimate of alpha)
    0.04333
  • Mean Square Error
    0.00608
  • DF error
    34.00000
  • t(b)
    -0.32678
  • p(b)
    0.62708
  • t(a)
    0.84075
  • p(a)
    0.20318
  • Lowerbound of 95% confidence interval for beta
    -0.12495
  • Upperbound of 95% confidence interval for beta
    0.09033
  • Lowerbound of 95% confidence interval for alpha
    -0.06140
  • Upperbound of 95% confidence interval for alpha
    0.14805
  • Treynor index (mean / b)
    -2.03017
  • Jensen alpha (a)
    0.04333
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03231
  • SD
    0.07342
  • Sharpe ratio (Glass type estimate)
    0.44010
  • Sharpe ratio (Hedges UMVUE)
    0.43059
  • df
    35.00000
  • t
    0.76228
  • p
    0.22550
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.69924
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.57326
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.70548
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.56667
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.92186
  • Upside Potential Ratio
    7.15841
  • Upside part of mean
    0.05898
  • Downside part of mean
    -0.02666
  • Upside SD
    0.07252
  • Downside SD
    0.00824
  • N nonnegative terms
    3.00000
  • N negative terms
    33.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    36.00000
  • Mean of predictor
    0.43528
  • Mean of criterion
    0.03231
  • SD of predictor
    0.23825
  • SD of criterion
    0.07342
  • Covariance
    -0.00088
  • r
    -0.05009
  • b (slope, estimate of beta)
    -0.01544
  • a (intercept, estimate of alpha)
    0.03903
  • Mean Square Error
    0.00553
  • DF error
    34.00000
  • t(b)
    -0.29244
  • p(b)
    0.61414
  • t(a)
    0.80126
  • p(a)
    0.21427
  • Lowerbound of 95% confidence interval for beta
    -0.12270
  • Upperbound of 95% confidence interval for beta
    0.09183
  • Lowerbound of 95% confidence interval for alpha
    -0.05996
  • Upperbound of 95% confidence interval for alpha
    0.13802
  • Treynor index (mean / b)
    -2.09328
  • Jensen alpha (a)
    0.03903
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03166
  • Expected Shortfall on VaR
    0.04016
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00298
  • Expected Shortfall on VaR
    0.00298
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    36.00000
  • Minimum
    0.99684
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.10980
  • Mean of quarter 1
    0.99964
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02139
  • Inter Quartile Range
    0.00000
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.05556
  • Mean of outliers low
    0.99838
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.08333
  • Mean of outliers high
    1.06416
  • 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
    1.00000
  • Minimum
    0.00324
  • Quartile 1
    0.00324
  • Median
    0.00324
  • Quartile 3
    0.00324
  • Maximum
    0.00324
  • 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)
    0.06600
  • Compounded annual return (geometric extrapolation)
    0.06207
  • Calmar ratio (compounded annual return / max draw down)
    19.12800
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    1.54537
  • 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
    0.03192
  • SD
    0.04022
  • Sharpe ratio (Glass type estimate)
    0.79358
  • Sharpe ratio (Hedges UMVUE)
    0.79284
  • df
    801.00000
  • t
    1.38844
  • p
    0.08269
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32757
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.91426
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32808
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.91375
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.87429
  • Upside Potential Ratio
    5.27062
  • Upside part of mean
    0.08975
  • Downside part of mean
    -0.05783
  • Upside SD
    0.03646
  • Downside SD
    0.01703
  • N nonnegative terms
    26.00000
  • N negative terms
    776.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    802.00000
  • Mean of predictor
    0.53403
  • Mean of criterion
    0.03192
  • SD of predictor
    0.32610
  • SD of criterion
    0.04022
  • Covariance
    -0.00070
  • r
    -0.05369
  • b (slope, estimate of beta)
    -0.00662
  • a (intercept, estimate of alpha)
    0.03500
  • Mean Square Error
    0.00161
  • DF error
    800.00000
  • t(b)
    -1.52072
  • p(b)
    0.93564
  • t(a)
    1.53568
  • p(a)
    0.06251
  • Lowerbound of 95% confidence interval for beta
    -0.01517
  • Upperbound of 95% confidence interval for beta
    0.00193
  • Lowerbound of 95% confidence interval for alpha
    -0.00986
  • Upperbound of 95% confidence interval for alpha
    0.08077
  • Treynor index (mean / b)
    -4.82013
  • Jensen alpha (a)
    0.03545
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03111
  • SD
    0.03998
  • Sharpe ratio (Glass type estimate)
    0.77816
  • Sharpe ratio (Hedges UMVUE)
    0.77743
  • df
    801.00000
  • t
    1.36146
  • p
    0.08688
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34297
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.89881
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.34346
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.89832
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.81627
  • Upside Potential Ratio
    5.20097
  • Upside part of mean
    0.08908
  • Downside part of mean
    -0.05797
  • Upside SD
    0.03615
  • Downside SD
    0.01713
  • N nonnegative terms
    26.00000
  • N negative terms
    776.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    802.00000
  • Mean of predictor
    0.47965
  • Mean of criterion
    0.03111
  • SD of predictor
    0.32968
  • SD of criterion
    0.03998
  • Covariance
    -0.00070
  • r
    -0.05294
  • b (slope, estimate of beta)
    -0.00642
  • a (intercept, estimate of alpha)
    0.03419
  • Mean Square Error
    0.00160
  • DF error
    800.00000
  • t(b)
    -1.49958
  • p(b)
    0.93294
  • t(a)
    1.49137
  • p(a)
    0.06813
  • Lowerbound of 95% confidence interval for beta
    -0.01482
  • Upperbound of 95% confidence interval for beta
    0.00198
  • Lowerbound of 95% confidence interval for alpha
    -0.01081
  • Upperbound of 95% confidence interval for alpha
    0.07919
  • Treynor index (mean / b)
    -4.84552
  • Jensen alpha (a)
    0.03419
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00394
  • Expected Shortfall on VaR
    0.00496
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00075
  • Expected Shortfall on VaR
    0.00166
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    802.00000
  • Minimum
    0.98315
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.02464
  • Mean of quarter 1
    0.99953
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00138
  • Inter Quartile Range
    0.00000
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.02618
  • Mean of outliers low
    0.99551
  • Number of outliers high
    26.00000
  • Percentage of outliers high
    0.03242
  • Mean of outliers high
    1.01067
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.05336
  • VaR(95%) (moments method)
    -0.00030
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.24641
  • VaR(95%) (regression method)
    -0.00075
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00187
  • Quartile 1
    0.00328
  • Median
    0.00990
  • Quartile 3
    0.01997
  • Maximum
    0.04150
  • Mean of quarter 1
    0.00256
  • Mean of quarter 2
    0.00337
  • Mean of quarter 3
    0.01644
  • Mean of quarter 4
    0.03132
  • Inter Quartile Range
    0.01670
  • 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)
    0.06468
  • Compounded annual return (geometric extrapolation)
    0.06079
  • Calmar ratio (compounded annual return / max draw down)
    1.46505
  • Compounded annual return / average of 25% largest draw downs
    1.94078
  • Compounded annual return / Expected Shortfall lognormal
    12.24890
  • 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
    -0.02791
  • 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
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.99300
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.45560
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • 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
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.88692
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.46032
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6818110000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.00400
  • 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
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    650018000000000032342070911827968.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -385824000
  • Max Equity Drawdown (num days)
    10
  • 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

There is 2 month history with excellent results. We stopped publishing predictions. We will continue if/once we will have subscribers.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2011-06-15
Suggested Minimum Capital
$10,000
# Trades
134
# Profitable
70
% Profitable
52.2%
Correlation S&P500
-0.050
Sharpe Ratio
-0.48
Sortino Ratio
-0.90
Beta
-0.01
Alpha
-0.00

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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