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Featured Strategy S2Prox0 Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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BGP SOPS
(71192713)

Created by: BryceWilberger BryceWilberger
Started: 03/2012
Stocks
Last trade: 3,324 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. You can subscribe to this system for free.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

-0.7%
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.

(82.6%)
Max Drawdown
101
Num Trades
55.4%
Win Trades
1.0 : 1
Profit Factor
20.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012              +1.9%(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)(0.2%)+0.4%
2013+161.3%+11.5%+21.4%  -    -  (1.5%)+3.4%(1.5%)+1.4%+0.9%  -  +0.8%+265.7%
2014(0.9%)+2.4%+0.2%+1.0%+0.2%+1.0%(1.6%)+2.5%(8.4%)(2.4%)(4.2%)(2.5%)(12.4%)
2015(1.1%)+6.5%(2.3%)+0.9%(0.6%)(2.4%)(1.2%)(3.1%)(2.9%)+4.3%(1.9%)(2%)(6.1%)
2016(3%)  -  +3.4%+1.6%(0.6%)+1.0%+1.9%(0.3%)+0.3%  -    -  +2.2%+6.6%
2017+0.3%+1.2%  -  (0.3%)+0.3%(0.6%)+0.9%(0.6%)+1.2%(0.3%)(0.6%)+0.6%+2.2%
2018+1.5%(2.7%)(71.9%)  -    -    -    -    -    -    -    -    -  (72.3%)
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

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

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/6/15 13:12 MUX MCEWEN MINING LONG 3,015 1.00 3/20 10:20 1.10 0.43%
Trade id #93026609
Max drawdown($301)
Time3/10/15 15:18
Quant open3,015
Worst price0.90
Drawdown as % of equity-0.43%
 $297
Includes Typical Broker Commissions trade costs of $5.00
1/13/15 9:30 RVLT REVOLUTION LIGHTING LONG 227 13.10 3/16 11:37 10.40 0.88%
Trade id #91825365
Max drawdown($614)
Time3/16/15 11:37
Quant open0
Worst price1.04
Drawdown as % of equity-0.88%
 ($618)
Includes Typical Broker Commissions trade costs of $4.54
3/2/15 11:51 SBLK STAR BULK CARRIERS LONG 145 20.65 3/16 9:37 16.40 0.88%
Trade id #92855994
Max drawdown($617)
Time3/16/15 9:37
Quant open0
Worst price3.28
Drawdown as % of equity-0.88%
 ($619)
Includes Typical Broker Commissions trade costs of $2.90
12/31/14 9:30 ENZN ENZON PHARMACEUTICALS LONG 2,857 1.04 2/19/15 9:57 1.15 0.46%
Trade id #91589918
Max drawdown($314)
Time1/26/15 9:32
Quant open2,857
Worst price0.93
Drawdown as % of equity-0.46%
 $309
Includes Typical Broker Commissions trade costs of $5.00
1/20/15 10:14 AKS AK STEEL HOLDING CORPORATION LONG 739 4.06 2/12 13:45 4.50 0.48%
Trade id #91974298
Max drawdown($325)
Time1/29/15 15:17
Quant open739
Worst price3.62
Drawdown as % of equity-0.48%
 $320
Includes Typical Broker Commissions trade costs of $5.00
11/12/14 9:30 GLUU GLU MOBILE LONG 1,632 3.64 2/5/15 9:30 4.20 0.61%
Trade id #90756513
Max drawdown($409)
Time1/16/15 9:33
Quant open777
Worst price3.27
Drawdown as % of equity-0.61%
 $896
Includes Typical Broker Commissions trade costs of $10.00
12/18/14 9:54 WPRT WESTPORT FUEL SYSTEMS NC LONG 813 3.69 2/4/15 11:36 4.00 0.54%
Trade id #91403919
Max drawdown($365)
Time1/20/15 10:40
Quant open813
Worst price3.24
Drawdown as % of equity-0.54%
 $247
Includes Typical Broker Commissions trade costs of $5.00
1/29/15 9:39 PRAN PRANA BIOTECH LONG 2,027 1.48 1/30 13:57 1.60 0.09%
Trade id #92175788
Max drawdown($60)
Time1/29/15 9:44
Quant open2,027
Worst price1.45
Drawdown as % of equity-0.09%
 $238
Includes Typical Broker Commissions trade costs of $5.00
1/14/15 9:30 ZHNE ZHONE TECHNOLOGIES LONG 1,899 1.55 1/28 9:37 1.70 0.42%
Trade id #91853959
Max drawdown($284)
Time1/26/15 9:42
Quant open1,899
Worst price1.40
Drawdown as % of equity-0.42%
 $280
Includes Typical Broker Commissions trade costs of $5.00
1/9/15 9:37 HELI CHC GROUP LTD LONG 38 79.50 1/20 11:44 63.00 0.92%
Trade id #91769705
Max drawdown($627)
Time1/20/15 11:44
Quant open0
Worst price2.10
Drawdown as % of equity-0.92%
 ($628)
Includes Typical Broker Commissions trade costs of $0.76
1/15/15 9:41 GDP GOODRICH PETROLEUM CORP LONG 1,049 2.86 1/16 10:34 3.08 0.29%
Trade id #91885557
Max drawdown($194)
Time1/15/15 12:47
Quant open1,049
Worst price2.67
Drawdown as % of equity-0.29%
 $226
Includes Typical Broker Commissions trade costs of $5.00
12/24/14 9:30 SMT SMART TECHNOLOGIES INC. COMMON LONG 242 12.20 1/13/15 11:44 13.60 0.42%
Trade id #91493443
Max drawdown($290)
Time1/12/15 9:38
Quant open2,419
Worst price1.10
Drawdown as % of equity-0.42%
 $334
Includes Typical Broker Commissions trade costs of $4.84
12/30/14 9:30 GALE GALENA BIOPHARMA LONG 1,948 1.53 1/12/15 9:30 1.70 0.32%
Trade id #91567933
Max drawdown($214)
Time1/7/15 16:31
Quant open1,948
Worst price1.42
Drawdown as % of equity-0.32%
 $326
Includes Typical Broker Commissions trade costs of $5.00
12/24/14 9:30 SALT SCORPIO BULKERS INC LONG 120 24.96 1/8/15 14:33 27.60 0.75%
Trade id #91493467
Max drawdown($519)
Time1/5/15 9:46
Quant open1,442
Worst price1.72
Drawdown as % of equity-0.75%
 $315
Includes Typical Broker Commissions trade costs of $2.40
12/19/14 9:31 MDR MCDERMOTT INTERNATIONAL LONG 2,450 2.45 12/23 11:05 2.69 0.22%
Trade id #91427437
Max drawdown($150)
Time12/19/14 12:29
Quant open1,250
Worst price2.28
Drawdown as % of equity-0.22%
 $590
Includes Typical Broker Commissions trade costs of $10.00
12/17/14 9:30 NKA NISKA GAS STORAGE LONG 1,003 2.98 12/17 10:17 3.25 n/a $266
Includes Typical Broker Commissions trade costs of $5.00
11/11/14 9:30 UPIP UNWIRED PLANET LONG 172 17.28 12/15 9:30 13.44 1.82%
Trade id #90731336
Max drawdown($1,220)
Time12/15/14 9:00
Quant open2,069
Worst price0.85
Drawdown as % of equity-1.82%
 ($663)
Includes Typical Broker Commissions trade costs of $3.44
10/6/14 9:31 MNI MCCLATCHY LONG 1,865 3.19 12/9 13:11 3.53 0.71%
Trade id #90082741
Max drawdown($493)
Time10/17/14 14:11
Quant open865
Worst price2.84
Drawdown as % of equity-0.71%
 $627
Includes Typical Broker Commissions trade costs of $10.00
11/28/14 9:30 BXE BELLATRIX EXPLORATION LONG 680 4.28 12/8 9:48 3.60 0.67%
Trade id #91045550
Max drawdown($462)
Time12/8/14 9:48
Quant open0
Worst price3.60
Drawdown as % of equity-0.67%
 ($467)
Includes Typical Broker Commissions trade costs of $5.00
11/19/14 9:30 DRYS DRYSHIPS LONG 84 36.00 12/5 9:40 28.75 0.87%
Trade id #90880520
Max drawdown($609)
Time12/1/14 16:01
Quant open2,098
Worst price1.15
Drawdown as % of equity-0.87%
 ($611)
Includes Typical Broker Commissions trade costs of $1.68
11/14/14 9:44 LAS LENTUO INTERNATIONAL LONG 2,239 1.33 12/3 14:01 1.10 0.75%
Trade id #90804734
Max drawdown($515)
Time12/3/14 14:01
Quant open0
Worst price1.10
Drawdown as % of equity-0.75%
 ($520)
Includes Typical Broker Commissions trade costs of $5.00
11/14/14 9:30 ACFN ACORN ENERGY INC LONG 2,804 1.07 12/3 9:31 0.85 0.9%
Trade id #90804135
Max drawdown($617)
Time12/3/14 9:31
Quant open0
Worst price0.85
Drawdown as % of equity-0.90%
 ($622)
Includes Typical Broker Commissions trade costs of $5.00
11/13/14 9:41 KEG KEY ENERGY SERVICES INC LONG 1,190 2.52 11/28 9:36 2.00 0.87%
Trade id #90779608
Max drawdown($619)
Time11/28/14 9:36
Quant open0
Worst price2.00
Drawdown as % of equity-0.87%
 ($624)
Includes Typical Broker Commissions trade costs of $5.00
11/13/14 9:30 HMY HARMONY GOLD MINING CO. LONG 1,807 1.66 11/18 9:31 1.80 0.36%
Trade id #90779175
Max drawdown($252)
Time11/14/14 9:16
Quant open1,807
Worst price1.52
Drawdown as % of equity-0.36%
 $248
Includes Typical Broker Commissions trade costs of $5.00
11/4/14 9:30 PPP PRIMERO MINING LONG 845 3.51 11/17 14:03 3.85 0.61%
Trade id #90603320
Max drawdown($430)
Time11/6/14 9:32
Quant open845
Worst price3.00
Drawdown as % of equity-0.61%
 $282
Includes Typical Broker Commissions trade costs of $5.00
11/14/14 13:19 AMD ADVANCED MICRO DEVICES INC. C LONG 1,136 2.64 11/14 13:19 2.65 n/a $6
Includes Typical Broker Commissions trade costs of $5.00
10/27/14 9:30 THLD THRESHOLD PHARMACEUTICALS LONG 997 3.00 11/11 9:40 3.30 0.59%
Trade id #90451489
Max drawdown($418)
Time11/7/14 9:40
Quant open997
Worst price2.58
Drawdown as % of equity-0.59%
 $294
Includes Typical Broker Commissions trade costs of $5.00
10/22/14 9:53 FWM FAIRWAY GROUP HOLDINGS CORP. C LONG 1,027 2.92 11/7 9:30 2.21 1.03%
Trade id #90384604
Max drawdown($729)
Time11/7/14 9:30
Quant open0
Worst price2.21
Drawdown as % of equity-1.03%
 ($734)
Includes Typical Broker Commissions trade costs of $5.00
10/28/14 9:30 TEAR TEARLAB CORPORATION LONG 1,010 2.95 11/6 9:31 2.39 0.8%
Trade id #90471437
Max drawdown($566)
Time11/6/14 9:31
Quant open0
Worst price2.39
Drawdown as % of equity-0.80%
 ($571)
Includes Typical Broker Commissions trade costs of $5.00
10/30/14 14:36 AMZG AMERICAN EAGLE ENERGY CORPORAT LONG 1,613 1.83 11/4 9:35 1.50 0.75%
Trade id #90518947
Max drawdown($540)
Time11/4/14 9:35
Quant open0
Worst price1.50
Drawdown as % of equity-0.75%
 ($545)
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    3/5/2012
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    4432.75
  • Age
    148 months ago
  • What it trades
    Stocks
  • # Trades
    101
  • # Profitable
    56
  • % Profitable
    55.40%
  • Avg trade duration
    55.0 days
  • Max peak-to-valley drawdown
    82.62%
  • drawdown period
    Oct 05, 2014 - March 15, 2018
  • Annual Return (Compounded)
    -0.8%
  • Avg win
    $1,582
  • Avg loss
    $1,911
  • Model Account Values (Raw)
  • Cash
    $22,928
  • Margin Used
    $0
  • Buying Power
    $22,928
  • Ratios
  • W:L ratio
    1.03:1
  • Sharpe Ratio
    0.12
  • Sortino Ratio
    0.22
  • Calmar Ratio
    0.051
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -281.08%
  • Correlation to SP500
    0.04570
  • Return Percent SP500 (cumu) during strategy life
    271.73%
  • Return Statistics
  • Ann Return (w trading costs)
    -0.8%
  • Slump
  • Current Slump as Pcnt Equity
    475.40%
  • Instruments
  • Percent Trades Futures
    0.02%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.79%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.007%
  • Instruments
  • Percent Trades Options
    0.16%
  • Percent Trades Stocks
    0.82%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    26.67%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,911
  • Avg Win
    $1,583
  • Sum Trade PL (losers)
    $85,998.000
  • Age
  • Num Months filled monthly returns table
    146
  • Win / Loss
  • Sum Trade PL (winners)
    $88,640.000
  • # Winners
    56
  • Num Months Winners
    30
  • Dividends
  • Dividends Received in Model Acct
    286
  • Win / Loss
  • # Losers
    45
  • % Winners
    55.5%
  • Frequency
  • Avg Position Time (mins)
    79150.40
  • Avg Position Time (hrs)
    1319.17
  • Avg Trade Length
    55.0 days
  • Last Trade Ago
    3337
  • Regression
  • Alpha
    0.01
  • Beta
    0.12
  • Treynor Index
    0.14
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    89.66
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    10.39
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.57
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    1.515
  • 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
    0.173
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.027
  • Hold-and-Hope Ratio
    -0.114
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33349
  • SD
    0.96802
  • Sharpe ratio (Glass type estimate)
    0.34451
  • Sharpe ratio (Hedges UMVUE)
    0.33860
  • df
    44.00000
  • t
    0.66715
  • p
    0.25408
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.67209
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.35727
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.67599
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.35319
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.93402
  • Upside Potential Ratio
    1.77424
  • Upside part of mean
    0.63350
  • Downside part of mean
    -0.30001
  • Upside SD
    0.89332
  • Downside SD
    0.35706
  • N nonnegative terms
    20.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    45.00000
  • Mean of predictor
    0.29936
  • Mean of criterion
    0.33349
  • SD of predictor
    0.22363
  • SD of criterion
    0.96802
  • Covariance
    0.00608
  • r
    0.02810
  • b (slope, estimate of beta)
    0.12163
  • a (intercept, estimate of alpha)
    0.29708
  • Mean Square Error
    0.95809
  • DF error
    43.00000
  • t(b)
    0.18434
  • p(b)
    0.42731
  • t(a)
    0.54743
  • p(a)
    0.29346
  • Lowerbound of 95% confidence interval for beta
    -1.20907
  • Upperbound of 95% confidence interval for beta
    1.45234
  • Lowerbound of 95% confidence interval for alpha
    -0.79736
  • Upperbound of 95% confidence interval for alpha
    1.39152
  • Treynor index (mean / b)
    2.74176
  • Jensen alpha (a)
    0.29708
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00853
  • SD
    0.80315
  • Sharpe ratio (Glass type estimate)
    0.01062
  • Sharpe ratio (Hedges UMVUE)
    0.01043
  • df
    44.00000
  • t
    0.02056
  • p
    0.49184
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.00154
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.02270
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.00169
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.02256
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.01460
  • Upside Potential Ratio
    0.73638
  • Upside part of mean
    0.42993
  • Downside part of mean
    -0.42140
  • Upside SD
    0.53837
  • Downside SD
    0.58385
  • N nonnegative terms
    20.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    45.00000
  • Mean of predictor
    0.27228
  • Mean of criterion
    0.00853
  • SD of predictor
    0.21486
  • SD of criterion
    0.80315
  • Covariance
    0.00490
  • r
    0.02839
  • b (slope, estimate of beta)
    0.10611
  • a (intercept, estimate of alpha)
    -0.02036
  • Mean Square Error
    0.65951
  • DF error
    43.00000
  • t(b)
    0.18621
  • p(b)
    0.42658
  • t(a)
    -0.04554
  • p(a)
    0.51806
  • Lowerbound of 95% confidence interval for beta
    -1.04304
  • Upperbound of 95% confidence interval for beta
    1.25525
  • Lowerbound of 95% confidence interval for alpha
    -0.92213
  • Upperbound of 95% confidence interval for alpha
    0.88140
  • Treynor index (mean / b)
    0.08036
  • Jensen alpha (a)
    -0.02036
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.31658
  • Expected Shortfall on VaR
    0.37747
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05927
  • Expected Shortfall on VaR
    0.13656
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    45.00000
  • Minimum
    0.32694
  • Quartile 1
    0.99496
  • Median
    1.00000
  • Quartile 3
    1.01008
  • Maximum
    2.68608
  • Mean of quarter 1
    0.91144
  • Mean of quarter 2
    0.99963
  • Mean of quarter 3
    1.00511
  • Mean of quarter 4
    1.21509
  • Inter Quartile Range
    0.01512
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.15556
  • Mean of outliers low
    0.85769
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    1.44680
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.82392
  • VaR(95%) (moments method)
    0.03957
  • Expected Shortfall (moments method)
    0.26103
  • Extreme Value Index (regression method)
    -0.13741
  • VaR(95%) (regression method)
    0.05851
  • Expected Shortfall (regression method)
    0.08386
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00381
  • Quartile 1
    0.00473
  • Median
    0.02842
  • Quartile 3
    0.21660
  • Maximum
    0.71095
  • Mean of quarter 1
    0.00381
  • Mean of quarter 2
    0.00504
  • Mean of quarter 3
    0.05181
  • Mean of quarter 4
    0.71095
  • Inter Quartile Range
    0.21187
  • 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
    0.71095
  • 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)
    0.03904
  • Compounded annual return (geometric extrapolation)
    0.03711
  • Calmar ratio (compounded annual return / max draw down)
    0.05219
  • Compounded annual return / average of 25% largest draw downs
    0.05219
  • Compounded annual return / Expected Shortfall lognormal
    0.09830
  • 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
    0.23263
  • SD
    0.65340
  • Sharpe ratio (Glass type estimate)
    0.35602
  • Sharpe ratio (Hedges UMVUE)
    0.35576
  • df
    1002.00000
  • t
    0.69659
  • p
    0.48900
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.64589
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.35781
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.64609
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.35760
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.63582
  • Upside Potential Ratio
    2.40446
  • Upside part of mean
    0.87971
  • Downside part of mean
    -0.64708
  • Upside SD
    0.54117
  • Downside SD
    0.36586
  • N nonnegative terms
    302.00000
  • N negative terms
    701.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1003.00000
  • Mean of predictor
    0.35133
  • Mean of criterion
    0.23263
  • SD of predictor
    0.27177
  • SD of criterion
    0.65340
  • Covariance
    0.00427
  • r
    0.02406
  • b (slope, estimate of beta)
    0.05784
  • a (intercept, estimate of alpha)
    0.21200
  • Mean Square Error
    0.42712
  • DF error
    1001.00000
  • t(b)
    0.76139
  • p(b)
    0.22330
  • t(a)
    0.63358
  • p(a)
    0.26325
  • Lowerbound of 95% confidence interval for beta
    -0.09123
  • Upperbound of 95% confidence interval for beta
    0.20692
  • Lowerbound of 95% confidence interval for alpha
    -0.44525
  • Upperbound of 95% confidence interval for alpha
    0.86985
  • Treynor index (mean / b)
    4.02179
  • Jensen alpha (a)
    0.21230
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00778
  • SD
    0.71372
  • Sharpe ratio (Glass type estimate)
    0.01090
  • Sharpe ratio (Hedges UMVUE)
    0.01090
  • df
    1002.00000
  • t
    0.02133
  • p
    0.49966
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.99082
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.01263
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.99083
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.01262
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.01335
  • Upside Potential Ratio
    1.33519
  • Upside part of mean
    0.77846
  • Downside part of mean
    -0.77068
  • Upside SD
    0.41104
  • Downside SD
    0.58304
  • N nonnegative terms
    302.00000
  • N negative terms
    701.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1003.00000
  • Mean of predictor
    0.31403
  • Mean of criterion
    0.00778
  • SD of predictor
    0.27287
  • SD of criterion
    0.71372
  • Covariance
    0.00371
  • r
    0.01905
  • b (slope, estimate of beta)
    0.04983
  • a (intercept, estimate of alpha)
    -0.00787
  • Mean Square Error
    0.50972
  • DF error
    1001.00000
  • t(b)
    0.60291
  • p(b)
    0.27335
  • t(a)
    -0.02151
  • p(a)
    0.50858
  • Lowerbound of 95% confidence interval for beta
    -0.11237
  • Upperbound of 95% confidence interval for beta
    0.21204
  • Lowerbound of 95% confidence interval for alpha
    -0.72572
  • Upperbound of 95% confidence interval for alpha
    0.70999
  • Treynor index (mean / b)
    0.15616
  • Jensen alpha (a)
    -0.00787
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06993
  • Expected Shortfall on VaR
    0.08679
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00678
  • Expected Shortfall on VaR
    0.01587
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1003.00000
  • Minimum
    0.33072
  • Quartile 1
    0.99886
  • Median
    1.00000
  • Quartile 3
    1.00130
  • Maximum
    1.88090
  • Mean of quarter 1
    0.99050
  • Mean of quarter 2
    0.99993
  • Mean of quarter 3
    1.00016
  • Mean of quarter 4
    1.01338
  • Inter Quartile Range
    0.00244
  • Number outliers low
    113.00000
  • Percentage of outliers low
    0.11266
  • Mean of outliers low
    0.98185
  • Number of outliers high
    109.00000
  • Percentage of outliers high
    0.10867
  • Mean of outliers high
    1.02734
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.79864
  • VaR(95%) (moments method)
    0.00616
  • Expected Shortfall (moments method)
    0.03358
  • 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
    25.00000
  • Minimum
    0.00092
  • Quartile 1
    0.00383
  • Median
    0.00781
  • Quartile 3
    0.01851
  • Maximum
    0.71311
  • Mean of quarter 1
    0.00219
  • Mean of quarter 2
    0.00612
  • Mean of quarter 3
    0.01475
  • Mean of quarter 4
    0.19575
  • Inter Quartile Range
    0.01468
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.16000
  • Mean of outliers high
    0.27860
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.07868
  • VaR(95%) (moments method)
    0.14785
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.44639
  • VaR(95%) (regression method)
    0.19010
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.03824
  • Compounded annual return (geometric extrapolation)
    0.03633
  • Calmar ratio (compounded annual return / max draw down)
    0.05095
  • Compounded annual return / average of 25% largest draw downs
    0.18562
  • Compounded annual return / Expected Shortfall lognormal
    0.41863
  • 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
    1.25067
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.57762
  • 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
    1.08165
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.58033
  • 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)
    -6821190000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.07000
  • 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)
    -63251699999999996444035715694592.00000
  • 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?
    -350844000
  • Max Equity Drawdown (num days)
    1257
  • 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

Market Neutral Strategies
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2012-03-05
Suggested Minimum Capital
$20,000
# Trades
101
# Profitable
56
% Profitable
55.4%
Net Dividends
$285
Correlation S&P500
0.046
Sharpe Ratio
0.12
Sortino Ratio
0.22
Beta
0.12
Alpha
0.01

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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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.