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Featured Strategy QUANT AI Gold and Silver +38.3% Cumul. Return since Sep 23, 2025 Hypothetical

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Sliema Trading
(70655876)

Created by: VitasRamanchauskas VitasRamanchauskas
Started: 02/2012
Stocks
Last trade: 4,500 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 $159.00 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.

4.1%
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.

(26.9%)
Max Drawdown
1475
Num Trades
46.8%
Win Trades
1.2 : 1
Profit Factor
9.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012       +1.9%+19.0%(0.7%)+9.3%+4.2%+0.4%+17.6%(4.5%)+4.3%+1.0%+10.5%+79.9%
2013+5.3%(6.1%)(5.1%)+0.6%+15.3%(6.3%)(8.1%)+7.0%+1.7%(3.3%)(2.9%)(8.7%)(12.5%)
2014(4.9%)+17.7%  -    -    -    -    -    -    -    -    -    -  +11.9%
2015  -    -    -    -    -    -    -    -    -  +0.3%  -    -  +0.3%
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
2025  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2026  -    -    -    -    -    -                                      0.0

Model Account Details

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

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

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

Trading Record

This strategy has placed 963 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 4640 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/12/14 9:30 TRMB TRIMBLE INC LONG 379 34.61 2/12 9:51 35.82 0.18%
Trade id #85747538
Max drawdown($94)
Time2/12/14 9:32
Quant open379
Worst price34.36
Drawdown as % of equity-0.18%
 $451
Includes Typical Broker Commissions trade costs of $7.58
2/12/14 9:30 TRIP TRIPADVISOR LONG 147 87.95 2/12 9:51 91.08 0.07%
Trade id #85747605
Max drawdown($36)
Time2/12/14 9:32
Quant open147
Worst price87.70
Drawdown as % of equity-0.07%
 $457
Includes Typical Broker Commissions trade costs of $2.94
2/12/14 9:30 TMHC TAYLOR MORRISON HOME CORP LONG 581 22.18 2/12 9:51 22.40 0.4%
Trade id #85747610
Max drawdown($217)
Time2/12/14 9:36
Quant open581
Worst price21.81
Drawdown as % of equity-0.40%
 $123
Includes Typical Broker Commissions trade costs of $5.00
2/12/14 9:30 SGEN SEATTLE GENETICS LONG 271 47.74 2/12 9:51 48.73 0.23%
Trade id #85747567
Max drawdown($124)
Time2/12/14 9:33
Quant open271
Worst price47.28
Drawdown as % of equity-0.23%
 $263
Includes Typical Broker Commissions trade costs of $5.42
2/12/14 9:30 ING ING GROEP LONG 888 14.46 2/12 9:51 14.50 0.02%
Trade id #85747599
Max drawdown($8)
Time2/12/14 9:32
Quant open888
Worst price14.45
Drawdown as % of equity-0.02%
 $31
Includes Typical Broker Commissions trade costs of $5.00
2/12/14 9:30 AB ALLIANCEBERNSTEIN LONG 552 23.00 2/12 9:49 23.39 0.36%
Trade id #85747619
Max drawdown($193)
Time2/12/14 9:37
Quant open552
Worst price22.65
Drawdown as % of equity-0.36%
 $210
Includes Typical Broker Commissions trade costs of $5.00
2/12/14 9:30 CTRL CONTROL4 CORPORATION COMMON ST LONG 614 21.50 2/12 9:49 22.87 0.67%
Trade id #85747563
Max drawdown($362)
Time2/12/14 9:36
Quant open614
Worst price20.91
Drawdown as % of equity-0.67%
 $836
Includes Typical Broker Commissions trade costs of $5.00
2/12/14 9:30 ANR ALPHA NATURAL RESOURCES LONG 2,354 5.47 2/12 9:40 5.37 0.43%
Trade id #85747603
Max drawdown($235)
Time2/12/14 9:40
Quant open0
Worst price5.37
Drawdown as % of equity-0.43%
 ($240)
Includes Typical Broker Commissions trade costs of $5.00
2/11/14 9:31 DWRE DEMANDWARE LONG 175 67.67 2/11 15:30 70.27 n/a $452
Includes Typical Broker Commissions trade costs of $3.50
2/11/14 9:31 MOS MOSAIC LONG 234 47.80 2/11 15:30 48.13 0.17%
Trade id #85722690
Max drawdown($93)
Time2/11/14 9:38
Quant open234
Worst price47.40
Drawdown as % of equity-0.17%
 $72
Includes Typical Broker Commissions trade costs of $4.68
2/11/14 9:34 PRI PRIMERICA LONG 266 43.40 2/11 15:30 44.66 0.1%
Trade id #85722929
Max drawdown($53)
Time2/11/14 9:36
Quant open266
Worst price43.20
Drawdown as % of equity-0.10%
 $330
Includes Typical Broker Commissions trade costs of $5.32
2/11/14 9:30 HUN HUNTSMAN LONG 501 22.94 2/11 11:21 22.53 0.38%
Trade id #85722661
Max drawdown($205)
Time2/11/14 11:21
Quant open0
Worst price22.53
Drawdown as % of equity-0.38%
 ($210)
Includes Typical Broker Commissions trade costs of $5.00
2/11/14 9:31 OMC OMNICOM GROUP LONG 149 76.06 2/11 10:03 74.67 0.57%
Trade id #85722660
Max drawdown($311)
Time2/11/14 9:33
Quant open149
Worst price73.97
Drawdown as % of equity-0.57%
 ($210)
Includes Typical Broker Commissions trade costs of $2.98
2/11/14 9:31 CVS CVS HEALTH CORP LONG 165 69.71 2/11 9:42 68.45 0.38%
Trade id #85722742
Max drawdown($208)
Time2/11/14 9:42
Quant open0
Worst price68.45
Drawdown as % of equity-0.38%
 ($211)
Includes Typical Broker Commissions trade costs of $3.30
2/11/14 9:30 REGN REGENERON PHARMACEUTICALS LONG 36 311.00 2/11 9:34 305.27 0.38%
Trade id #85722657
Max drawdown($206)
Time2/11/14 9:34
Quant open0
Worst price305.27
Drawdown as % of equity-0.38%
 ($207)
Includes Typical Broker Commissions trade costs of $0.72
2/11/14 9:30 ALLT ALLOT LTD LONG 678 16.85 2/11 9:34 16.55 0.41%
Trade id #85722598
Max drawdown($223)
Time2/11/14 9:32
Quant open678
Worst price16.52
Drawdown as % of equity-0.41%
 ($208)
Includes Typical Broker Commissions trade costs of $5.00
2/11/14 9:31 HNT HEALTH NET LONG 338 34.03 2/11 9:33 33.05 0.63%
Trade id #85722761
Max drawdown($341)
Time2/11/14 9:33
Quant open338
Worst price33.02
Drawdown as % of equity-0.63%
 ($338)
Includes Typical Broker Commissions trade costs of $6.76
2/10/14 9:30 HAS HASBRO LONG 240 50.94 2/10 15:30 52.55 0.37%
Trade id #85686499
Max drawdown($201)
Time2/10/14 9:32
Quant open240
Worst price50.10
Drawdown as % of equity-0.37%
 $381
Includes Typical Broker Commissions trade costs of $4.80
2/10/14 9:31 SFUN FANG HOLDINGS LTD LONG 765 16.14 2/10 9:53 15.84 0.41%
Trade id #85686551
Max drawdown($226)
Time2/10/14 9:53
Quant open0
Worst price79.21
Drawdown as % of equity-0.41%
 ($231)
Includes Typical Broker Commissions trade costs of $5.00
2/10/14 9:32 CNA CNA FINANCIAL LONG 304 41.50 2/10 9:41 40.75 0.42%
Trade id #85686677
Max drawdown($228)
Time2/10/14 9:41
Quant open0
Worst price40.75
Drawdown as % of equity-0.42%
 ($234)
Includes Typical Broker Commissions trade costs of $6.08
2/10/14 9:31 GOGO GOGO INC. COMMON STOCK LONG 579 21.14 2/10 9:37 20.75 0.41%
Trade id #85686603
Max drawdown($226)
Time2/10/14 9:37
Quant open0
Worst price20.75
Drawdown as % of equity-0.41%
 ($231)
Includes Typical Broker Commissions trade costs of $5.00
2/7/14 9:31 ADEP ADEPT TECHNOLOGY LONG 818 16.43 2/7 10:16 17.90 n/a $1,197
Includes Typical Broker Commissions trade costs of $5.00
2/7/14 9:31 ATVI ACTIVISION BLIZZARD LONG 720 18.95 2/7 10:16 19.44 0.23%
Trade id #85659172
Max drawdown($122)
Time2/7/14 9:45
Quant open720
Worst price18.78
Drawdown as % of equity-0.23%
 $348
Includes Typical Broker Commissions trade costs of $5.00
2/7/14 9:30 MSG MADISON SQUARE GARDEN CO NEW LONG 211 58.97 2/7 10:11 57.89 1.01%
Trade id #85659067
Max drawdown($544)
Time2/7/14 9:32
Quant open211
Worst price56.39
Drawdown as % of equity-1.01%
 ($232)
Includes Typical Broker Commissions trade costs of $4.22
2/7/14 9:31 LGF LIONS GATE ENTERTAINMENT LONG 390 32.95 2/7 10:08 32.36 0.43%
Trade id #85659183
Max drawdown($230)
Time2/7/14 10:08
Quant open0
Worst price32.36
Drawdown as % of equity-0.43%
 ($238)
Includes Typical Broker Commissions trade costs of $7.80
2/7/14 9:31 MT ARCELORMITTAL LONG 725 17.47 2/7 9:53 17.16 0.42%
Trade id #85659131
Max drawdown($225)
Time2/7/14 9:53
Quant open0
Worst price17.16
Drawdown as % of equity-0.42%
 ($230)
Includes Typical Broker Commissions trade costs of $5.00
2/7/14 9:30 MITK MITEK SYSTEMS LONG 2,155 6.06 2/7 9:39 6.18 0.24%
Trade id #85658922
Max drawdown($129)
Time2/7/14 9:32
Quant open2,155
Worst price6.00
Drawdown as % of equity-0.24%
 $254
Includes Typical Broker Commissions trade costs of $5.00
2/7/14 9:30 MCO MOODY'S LONG 161 84.17 2/7 9:38 82.64 0.46%
Trade id #85659026
Max drawdown($246)
Time2/7/14 9:38
Quant open0
Worst price82.64
Drawdown as % of equity-0.46%
 ($249)
Includes Typical Broker Commissions trade costs of $3.22
2/7/14 9:31 UBNT UBIQUITI NETWORKS LONG 302 45.00 2/7 9:36 43.98 0.85%
Trade id #85659161
Max drawdown($459)
Time2/7/14 9:36
Quant open302
Worst price43.48
Drawdown as % of equity-0.85%
 ($314)
Includes Typical Broker Commissions trade costs of $6.04
2/6/14 9:31 DNKN DUNKIN BRANDS GROUP LONG 251 48.25 2/6 10:11 49.30 0.2%
Trade id #85624834
Max drawdown($105)
Time2/6/14 9:33
Quant open251
Worst price47.83
Drawdown as % of equity-0.20%
 $259
Includes Typical Broker Commissions trade costs of $5.02

Statistics

  • Strategy began
    2/15/2012
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    5221.4
  • Age
    174 months ago
  • What it trades
    Stocks
  • # Trades
    1475
  • # Profitable
    691
  • % Profitable
    46.80%
  • Avg trade duration
    3.1 hours
  • Max peak-to-valley drawdown
    26.86%
  • drawdown period
    Feb 07, 2013 - Feb 04, 2014
  • Annual Return (Compounded)
    4.1%
  • Avg win
    $294.06
  • Avg loss
    $213.08
  • Model Account Values (Raw)
  • Cash
    $56,141
  • Margin Used
    $0
  • Buying Power
    $56,141
  • Ratios
  • W:L ratio
    1.22:1
  • Sharpe Ratio
    0.23
  • Sortino Ratio
    0.37
  • Calmar Ratio
    2.141
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -389.79%
  • Correlation to SP500
    0.02450
  • Return Percent SP500 (cumu) during strategy life
    441.60%
  • Return Statistics
  • Ann Return (w trading costs)
    4.1%
  • Slump
  • Current Slump as Pcnt Equity
    13.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.93%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.041%
  • Instruments
  • Percent Trades Options
    0.00%
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    7.5%
  • 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
    $213
  • Avg Win
    $294
  • Sum Trade PL (losers)
    $167,055.000
  • Age
  • Num Months filled monthly returns table
    173
  • Win / Loss
  • Sum Trade PL (winners)
    $203,195.000
  • # Winners
    691
  • Num Months Winners
    18
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    784
  • % Winners
    46.9%
  • Frequency
  • Avg Position Time (mins)
    183.90
  • Avg Position Time (hrs)
    3.06
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    4494
  • Regression
  • Alpha
    0.01
  • Beta
    0.01
  • Treynor Index
    0.46
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    71.38
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    65.55
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.63
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -7.697
  • 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
    0.397
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.160
  • Hold-and-Hope Ratio
    -0.129
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22902
  • SD
    0.21669
  • Sharpe ratio (Glass type estimate)
    1.05691
  • Sharpe ratio (Hedges UMVUE)
    1.04159
  • df
    52.00000
  • t
    2.22118
  • p
    0.01536
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.09769
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.00645
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.08774
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.99544
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.27882
  • Upside Potential Ratio
    4.63761
  • Upside part of mean
    0.32393
  • Downside part of mean
    -0.09491
  • Upside SD
    0.21345
  • Downside SD
    0.06985
  • N nonnegative terms
    17.00000
  • N negative terms
    36.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    53.00000
  • Mean of predictor
    0.37250
  • Mean of criterion
    0.22902
  • SD of predictor
    0.23592
  • SD of criterion
    0.21669
  • Covariance
    -0.00323
  • r
    -0.06327
  • b (slope, estimate of beta)
    -0.05812
  • a (intercept, estimate of alpha)
    0.25067
  • Mean Square Error
    0.04768
  • DF error
    51.00000
  • t(b)
    -0.45278
  • p(b)
    0.67368
  • t(a)
    2.19159
  • p(a)
    0.01650
  • Lowerbound of 95% confidence interval for beta
    -0.31581
  • Upperbound of 95% confidence interval for beta
    0.19957
  • Lowerbound of 95% confidence interval for alpha
    0.02105
  • Upperbound of 95% confidence interval for alpha
    0.48030
  • Treynor index (mean / b)
    -3.94063
  • Jensen alpha (a)
    0.25067
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20579
  • SD
    0.20120
  • Sharpe ratio (Glass type estimate)
    1.02282
  • Sharpe ratio (Hedges UMVUE)
    1.00800
  • df
    52.00000
  • t
    2.14955
  • p
    0.01813
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.06512
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97113
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05548
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.96052
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.85405
  • Upside Potential Ratio
    4.20254
  • Upside part of mean
    0.30302
  • Downside part of mean
    -0.09723
  • Upside SD
    0.19505
  • Downside SD
    0.07210
  • N nonnegative terms
    17.00000
  • N negative terms
    36.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    53.00000
  • Mean of predictor
    0.34085
  • Mean of criterion
    0.20579
  • SD of predictor
    0.22574
  • SD of criterion
    0.20120
  • Covariance
    -0.00274
  • r
    -0.06027
  • b (slope, estimate of beta)
    -0.05372
  • a (intercept, estimate of alpha)
    0.22410
  • Mean Square Error
    0.04112
  • DF error
    51.00000
  • t(b)
    -0.43121
  • p(b)
    0.66593
  • t(a)
    2.12570
  • p(a)
    0.01920
  • Lowerbound of 95% confidence interval for beta
    -0.30382
  • Upperbound of 95% confidence interval for beta
    0.19638
  • Lowerbound of 95% confidence interval for alpha
    0.01245
  • Upperbound of 95% confidence interval for alpha
    0.43574
  • Treynor index (mean / b)
    -3.83082
  • Jensen alpha (a)
    0.22410
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07539
  • Expected Shortfall on VaR
    0.09735
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02179
  • Expected Shortfall on VaR
    0.04479
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    53.00000
  • Minimum
    0.92194
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.04050
  • Maximum
    1.24465
  • Mean of quarter 1
    0.97589
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.01109
  • Mean of quarter 4
    1.10217
  • Inter Quartile Range
    0.04050
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.03774
  • Mean of outliers low
    0.92288
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.05660
  • Mean of outliers high
    1.23094
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -64.04220
  • VaR(95%) (moments method)
    0.00016
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.69437
  • VaR(95%) (regression method)
    0.06088
  • Expected Shortfall (regression method)
    0.06810
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.04021
  • Quartile 1
    0.06860
  • Median
    0.08206
  • Quartile 3
    0.08663
  • Maximum
    0.08838
  • Mean of quarter 1
    0.04021
  • Mean of quarter 2
    0.07806
  • Mean of quarter 3
    0.08605
  • Mean of quarter 4
    0.08838
  • Inter Quartile Range
    0.01803
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.25000
  • Mean of outliers low
    0.04021
  • 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)
    0.40915
  • Compounded annual return (geometric extrapolation)
    0.26326
  • Calmar ratio (compounded annual return / max draw down)
    2.97876
  • Compounded annual return / average of 25% largest draw downs
    2.97876
  • Compounded annual return / Expected Shortfall lognormal
    2.70418
  • 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
    0.21176
  • SD
    0.12758
  • Sharpe ratio (Glass type estimate)
    1.65981
  • Sharpe ratio (Hedges UMVUE)
    1.65875
  • df
    1167.00000
  • t
    3.50453
  • p
    0.43515
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.72874
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.59018
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.72803
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.58946
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.14681
  • Upside Potential Ratio
    7.95612
  • Upside part of mean
    0.53540
  • Downside part of mean
    -0.32364
  • Upside SD
    0.10911
  • Downside SD
    0.06729
  • N nonnegative terms
    211.00000
  • N negative terms
    957.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1168.00000
  • Mean of predictor
    0.39837
  • Mean of criterion
    0.21176
  • SD of predictor
    0.27097
  • SD of criterion
    0.12758
  • Covariance
    0.00039
  • r
    0.01125
  • b (slope, estimate of beta)
    0.00530
  • a (intercept, estimate of alpha)
    0.21000
  • Mean Square Error
    0.01629
  • DF error
    1166.00000
  • t(b)
    0.38432
  • p(b)
    0.49437
  • t(a)
    3.45410
  • p(a)
    0.44968
  • Lowerbound of 95% confidence interval for beta
    -0.02175
  • Upperbound of 95% confidence interval for beta
    0.03235
  • Lowerbound of 95% confidence interval for alpha
    0.09056
  • Upperbound of 95% confidence interval for alpha
    0.32873
  • Treynor index (mean / b)
    39.96330
  • Jensen alpha (a)
    0.20965
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20362
  • SD
    0.12647
  • Sharpe ratio (Glass type estimate)
    1.61001
  • Sharpe ratio (Hedges UMVUE)
    1.60897
  • df
    1167.00000
  • t
    3.39937
  • p
    0.43706
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.67911
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.54025
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.67840
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.53954
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.99575
  • Upside Potential Ratio
    7.79048
  • Upside part of mean
    0.52952
  • Downside part of mean
    -0.32590
  • Upside SD
    0.10733
  • Downside SD
    0.06797
  • N nonnegative terms
    211.00000
  • N negative terms
    957.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1168.00000
  • Mean of predictor
    0.36113
  • Mean of criterion
    0.20362
  • SD of predictor
    0.27246
  • SD of criterion
    0.12647
  • Covariance
    0.00041
  • r
    0.01203
  • b (slope, estimate of beta)
    0.00558
  • a (intercept, estimate of alpha)
    0.20160
  • Mean Square Error
    0.01601
  • DF error
    1166.00000
  • t(b)
    0.41066
  • p(b)
    0.49399
  • t(a)
    3.35328
  • p(a)
    0.45113
  • Lowerbound of 95% confidence interval for beta
    -0.02109
  • Upperbound of 95% confidence interval for beta
    0.03225
  • Lowerbound of 95% confidence interval for alpha
    0.08365
  • Upperbound of 95% confidence interval for alpha
    0.31956
  • Treynor index (mean / b)
    36.47730
  • Jensen alpha (a)
    0.20160
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01200
  • Expected Shortfall on VaR
    0.01522
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00380
  • Expected Shortfall on VaR
    0.00817
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1168.00000
  • Minimum
    0.96402
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.07049
  • Mean of quarter 1
    0.99541
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00825
  • Inter Quartile Range
    0.00000
  • Number outliers low
    169.00000
  • Percentage of outliers low
    0.14469
  • Mean of outliers low
    0.99206
  • Number of outliers high
    215.00000
  • Percentage of outliers high
    0.18407
  • Mean of outliers high
    1.01121
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.64463
  • VaR(95%) (moments method)
    0.00309
  • Expected Shortfall (moments method)
    0.00419
  • Extreme Value Index (regression method)
    -0.27471
  • VaR(95%) (regression method)
    0.00506
  • Expected Shortfall (regression method)
    0.00828
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    26.00000
  • Minimum
    0.00033
  • Quartile 1
    0.00346
  • Median
    0.02331
  • Quartile 3
    0.04755
  • Maximum
    0.12166
  • Mean of quarter 1
    0.00166
  • Mean of quarter 2
    0.01019
  • Mean of quarter 3
    0.03093
  • Mean of quarter 4
    0.08637
  • Inter Quartile Range
    0.04409
  • 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
    0.03846
  • Mean of outliers high
    0.12166
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.65240
  • VaR(95%) (moments method)
    0.09256
  • Expected Shortfall (moments method)
    0.09494
  • Extreme Value Index (regression method)
    -1.20610
  • VaR(95%) (regression method)
    0.11152
  • Expected Shortfall (regression method)
    0.11701
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.40536
  • Compounded annual return (geometric extrapolation)
    0.26052
  • Calmar ratio (compounded annual return / max draw down)
    2.14132
  • Compounded annual return / average of 25% largest draw downs
    3.01629
  • Compounded annual return / Expected Shortfall lognormal
    17.11890
  • 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
    1.08812
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.47647
  • 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
    0.97291
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.47829
  • 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)
    -6812610000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.01200
  • 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)
    1052640000000000161488695860396032.00000
  • 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?
    -431377000
  • Max Equity Drawdown (num days)
    362
  • 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

Daytrading system, no overnight positions. I always use stops, minimal drawdowns is my primary goal.

2:1 margin leverage available at C2 is used. Usually 4:1 margin leverage is available for intraday trading (but not at C2). Statistically 4:1 leverage is much better, so I would recommend to use 4:1 leverage if possible.

Starting on August 2013, it uses an improved algorithm. Now it is a long only system; the problem with the slippage is now fixed.

The system is semi-automatic; I choose suitable stocks manually on discretionary basis; further trading is fully automated now.
Trade this strategy at Tradier

Summary Statistics

Strategy began
2012-02-15
Suggested Minimum Capital
$15,000
# Trades
1475
# Profitable
691
% Profitable
46.8%
Correlation S&P500
0.025
Sharpe Ratio
0.23
Sortino Ratio
0.37
Beta
0.01
Alpha
0.01

Latest Activity

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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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