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These are hypothetical performance results that have certain inherent limitations. Learn more

Spy 2x
(73390712)

Created by: Brad_Pears Brad_Pears
Started: 05/2012
Stocks
Last trade: 3,167 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 $90.00 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.

1.7%
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.

(27.3%)
Max Drawdown
125
Num Trades
52.8%
Win Trades
1.5 : 1
Profit Factor
13.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                            +5.9%+0.1%(4.2%)+0.2%+8.0%+9.3%+5.1%(3.8%)+21.4%
2013+6.2%(1.9%)+4.5%+3.0%+3.9%+0.6%+6.1%(0.5%)+2.8%+5.4%(1.4%)(0.3%)+31.9%
2014(4%)(7.4%)(1.7%)(3.6%)+2.4%  -  (4.2%)(1.8%)(4.1%)+0.6%(2.3%)(1%)(24.3%)
2015+9.4%(5.6%)+3.2%(2.3%)(1.3%)(2.1%)+2.6%(0.5%)(0.5%)(0.5%)  -  (0.5%)+1.0%
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 146 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3620 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/28/15 9:46 SSO PROSHARES ULTRA S&P 500 LONG 800 65.20 7/28 12:53 66.08 0.65%
Trade id #96103502
Max drawdown($200)
Time7/28/15 10:27
Quant open800
Worst price64.95
Drawdown as % of equity-0.65%
$699
Includes Typical Broker Commissions trade costs of $5.00
6/23/15 15:35 SSO PROSHARES ULTRA S&P 500 LONG 800 68.61 6/24 12:00 68.00 1.57%
Trade id #95371444
Max drawdown($488)
Time6/24/15 5:44
Quant open800
Worst price68.00
Drawdown as % of equity-1.57%
($493)
Includes Typical Broker Commissions trade costs of $5.00
6/22/15 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 2,000 19.90 6/23 12:21 19.96 0.71%
Trade id #95327952
Max drawdown($220)
Time6/22/15 11:24
Quant open2,000
Worst price19.79
Drawdown as % of equity-0.71%
$115
Includes Typical Broker Commissions trade costs of $5.00
6/19/15 10:02 SSO PROSHARES ULTRA S&P 500 LONG 800 68.15 6/19 11:46 67.95 0.51%
Trade id #95174101
Max drawdown($160)
Time6/19/15 11:46
Quant open0
Worst price67.95
Drawdown as % of equity-0.51%
($165)
Includes Typical Broker Commissions trade costs of $5.00
6/18/15 9:50 SDS PROSHARES ULTRASHORT S&P500 LONG 1,400 20.13 6/18 10:45 20.03 0.45%
Trade id #95142714
Max drawdown($140)
Time6/18/15 10:45
Quant open0
Worst price20.03
Drawdown as % of equity-0.45%
($145)
Includes Typical Broker Commissions trade costs of $5.00
6/18/15 9:31 SSO PROSHARES ULTRA S&P 500 LONG 400 67.42 6/18 9:46 67.79 n/a $140
Includes Typical Broker Commissions trade costs of $8.00
6/17/15 10:16 SDS PROSHARES ULTRASHORT S&P500 LONG 1,400 20.38 6/17 12:53 20.56 0.14%
Trade id #95079754
Max drawdown($42)
Time6/17/15 10:54
Quant open1,400
Worst price20.35
Drawdown as % of equity-0.14%
$247
Includes Typical Broker Commissions trade costs of $5.00
6/16/15 9:30 SSO PROSHARES ULTRA S&P 500 LONG 790 66.00 6/16 13:20 66.58 0.19%
Trade id #95045702
Max drawdown($59)
Time6/16/15 9:34
Quant open395
Worst price65.80
Drawdown as % of equity-0.19%
$444
Includes Typical Broker Commissions trade costs of $10.40
6/1/15 14:23 SSO PROSHARES ULTRA S&P 500 LONG 395 68.10 6/12 9:31 66.99 3.83%
Trade id #94735848
Max drawdown($1,153)
Time6/9/15 10:35
Quant open395
Worst price65.18
Drawdown as % of equity-3.83%
($446)
Includes Typical Broker Commissions trade costs of $7.90
4/20/15 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 330 20.78 5/8 9:43 20.30 0.71%
Trade id #93945349
Max drawdown($221)
Time4/27/15 9:59
Quant open330
Worst price20.11
Drawdown as % of equity-0.71%
($165)
Includes Typical Broker Commissions trade costs of $6.60
4/7/15 15:52 SDS PROSHARES ULTRASHORT S&P500 LONG 660 21.15 4/15 9:39 20.50 1.42%
Trade id #93723511
Max drawdown($442)
Time4/13/15 10:25
Quant open660
Worst price20.48
Drawdown as % of equity-1.42%
($434)
Includes Typical Broker Commissions trade costs of $5.00
3/26/15 10:08 SDS PROSHARES ULTRASHORT S&P500 LONG 330 21.76 4/6 10:23 21.15 0.9%
Trade id #93506058
Max drawdown($283)
Time3/30/15 15:03
Quant open330
Worst price20.90
Drawdown as % of equity-0.90%
($208)
Includes Typical Broker Commissions trade costs of $6.60
3/20/15 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 660 20.75 3/25 13:00 21.24 0.28%
Trade id #93375481
Max drawdown($89)
Time3/23/15 10:15
Quant open330
Worst price20.43
Drawdown as % of equity-0.28%
$314
Includes Typical Broker Commissions trade costs of $9.10
3/17/15 9:30 SSO PROSHARES ULTRA S&P 500 LONG 410 65.04 3/18 14:37 66.54 0.88%
Trade id #93271380
Max drawdown($270)
Time3/18/15 13:42
Quant open205
Worst price128.76
Drawdown as % of equity-0.88%
$609
Includes Typical Broker Commissions trade costs of $8.20
2/18/15 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 320 21.00 3/10 10:06 21.62 0.54%
Trade id #92592772
Max drawdown($166)
Time2/25/15 13:39
Quant open320
Worst price20.48
Drawdown as % of equity-0.54%
$192
Includes Typical Broker Commissions trade costs of $6.40
2/2/15 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 960 22.84 2/13 11:03 21.38 4.58%
Trade id #92233546
Max drawdown($1,408)
Time2/13/15 11:03
Quant open320
Worst price21.00
Drawdown as % of equity-4.58%
($1,423)
Includes Typical Broker Commissions trade costs of $15.30
1/28/15 15:17 SDS PROSHARES ULTRASHORT S&P500 LONG 640 22.85 1/29 14:29 22.85 0.1%
Trade id #92156954
Max drawdown($32)
Time1/28/15 15:23
Quant open640
Worst price22.80
Drawdown as % of equity-0.10%
($5)
Includes Typical Broker Commissions trade costs of $5.00
1/23/15 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 620 22.10 1/27 10:55 22.66 0.09%
Trade id #92057669
Max drawdown($27)
Time1/23/15 12:39
Quant open310
Worst price21.81
Drawdown as % of equity-0.09%
$338
Includes Typical Broker Commissions trade costs of $8.70
1/20/15 9:30 SSO PROSHARES ULTRA S&P 500 LONG 440 62.04 1/22 14:35 63.83 1.91%
Trade id #91972295
Max drawdown($585)
Time1/20/15 11:54
Quant open220
Worst price121.43
Drawdown as % of equity-1.91%
$776
Includes Typical Broker Commissions trade costs of $8.80
1/13/15 9:58 SDS PROSHARES ULTRASHORT S&P500 LONG 620 22.50 1/14 14:04 23.35 0.04%
Trade id #91826658
Max drawdown($12)
Time1/13/15 10:01
Quant open310
Worst price21.98
Drawdown as % of equity-0.04%
$518
Includes Typical Broker Commissions trade costs of $8.70
12/23/14 9:46 SDS PROSHARES ULTRASHORT S&P500 LONG 1,020 22.30 1/6/15 12:53 23.26 0.23%
Trade id #91473300
Max drawdown($68)
Time12/29/14 10:37
Quant open340
Worst price21.33
Drawdown as % of equity-0.23%
$963
Includes Typical Broker Commissions trade costs of $12.70
12/9/14 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 1,040 23.18 12/17 14:00 23.30 0.86%
Trade id #91217085
Max drawdown($249)
Time12/9/14 16:00
Quant open520
Worst price22.18
Drawdown as % of equity-0.86%
$118
Includes Typical Broker Commissions trade costs of $7.50
12/1/14 9:49 SDS PROSHARES ULTRASHORT S&P500 LONG 520 22.35 12/5 14:16 21.85 0.99%
Trade id #91071179
Max drawdown($291)
Time12/5/14 11:57
Quant open520
Worst price21.79
Drawdown as % of equity-0.99%
($265)
Includes Typical Broker Commissions trade costs of $5.00
10/31/14 9:53 SDS PROSHARES ULTRASHORT S&P500 LONG 520 23.51 11/18 10:00 22.50 1.77%
Trade id #90536244
Max drawdown($525)
Time11/18/14 10:00
Quant open0
Worst price22.50
Drawdown as % of equity-1.77%
($530)
Includes Typical Broker Commissions trade costs of $5.00
10/23/14 14:40 SDS PROSHARES ULTRASHORT S&P500 LONG 520 24.73 10/28 15:31 24.15 1%
Trade id #90414933
Max drawdown($302)
Time10/28/14 15:31
Quant open0
Worst price24.15
Drawdown as % of equity-1.00%
($307)
Includes Typical Broker Commissions trade costs of $5.00
10/17/14 11:16 SSO PROSHARES ULTRA S&P 500 LONG 300 54.20 10/21 13:37 56.55 0.95%
Trade id #90315926
Max drawdown($282)
Time10/17/14 14:10
Quant open150
Worst price106.52
Drawdown as % of equity-0.95%
$701
Includes Typical Broker Commissions trade costs of $6.00
10/16/14 9:45 SDS PROSHARES ULTRASHORT S&P500 LONG 520 28.09 10/17 9:30 26.79 2.25%
Trade id #90287771
Max drawdown($676)
Time10/17/14 9:30
Quant open0
Worst price26.79
Drawdown as % of equity-2.25%
($681)
Includes Typical Broker Commissions trade costs of $5.00
10/13/14 15:30 SDS PROSHARES ULTRASHORT S&P500 LONG 520 26.75 10/15 9:45 27.90 0.56%
Trade id #90219657
Max drawdown($165)
Time10/14/14 12:08
Quant open520
Worst price26.43
Drawdown as % of equity-0.56%
$593
Includes Typical Broker Commissions trade costs of $5.00
10/2/14 14:14 SSO PROSHARES ULTRA S&P 500 LONG 600 57.78 10/7 9:33 57.50 0.56%
Trade id #90039985
Max drawdown($167)
Time10/7/14 9:33
Quant open0
Worst price115.00
Drawdown as % of equity-0.56%
($176)
Includes Typical Broker Commissions trade costs of $8.50
9/29/14 11:15 SDS PROSHARES ULTRASHORT S&P500 LONG 600 24.50 10/1 10:08 25.08 0.3%
Trade id #89955691
Max drawdown($90)
Time9/30/14 11:30
Quant open600
Worst price24.35
Drawdown as % of equity-0.30%
$343
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    5/7/2012
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    4336.43
  • Age
    145 months ago
  • What it trades
    Stocks
  • # Trades
    125
  • # Profitable
    66
  • % Profitable
    52.80%
  • Avg trade duration
    5.6 days
  • Max peak-to-valley drawdown
    27.27%
  • drawdown period
    Oct 23, 2013 - Dec 09, 2014
  • Annual Return (Compounded)
    1.7%
  • Avg win
    $550.65
  • Avg loss
    $422.73
  • Model Account Values (Raw)
  • Cash
    $31,561
  • Margin Used
    $0
  • Buying Power
    $31,561
  • Ratios
  • W:L ratio
    1.46:1
  • Sharpe Ratio
    0
  • Sortino Ratio
    0.01
  • Calmar Ratio
    0.533
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -260.18%
  • Correlation to SP500
    0.04330
  • Return Percent SP500 (cumu) during strategy life
    283.65%
  • Return Statistics
  • Ann Return (w trading costs)
    1.7%
  • Slump
  • Current Slump as Pcnt Equity
    33.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.88%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.017%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    3.9%
  • 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)
    338
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $423
  • Avg Win
    $551
  • Sum Trade PL (losers)
    $24,941.000
  • Age
  • Num Months filled monthly returns table
    143
  • Win / Loss
  • Sum Trade PL (winners)
    $36,343.000
  • # Winners
    66
  • Num Months Winners
    20
  • Dividends
  • Dividends Received in Model Acct
    155
  • Win / Loss
  • # Losers
    59
  • % Winners
    52.8%
  • Frequency
  • Avg Position Time (mins)
    8106.88
  • Avg Position Time (hrs)
    135.12
  • Avg Trade Length
    5.6 days
  • Last Trade Ago
    3159
  • Regression
  • Alpha
    -0.00
  • Beta
    0.02
  • Treynor Index
    0.01
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    9.63
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    11.21
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.37
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    3.603
  • 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
    0.05
  • Avg(MAE) / Avg(PL) - Winning trades
    0.343
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.128
  • Hold-and-Hope Ratio
    0.275
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07068
  • SD
    0.10813
  • Sharpe ratio (Glass type estimate)
    0.65366
  • Sharpe ratio (Hedges UMVUE)
    0.64532
  • df
    59.00000
  • t
    1.46164
  • p
    0.07457
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.23343
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.53535
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.23890
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.52954
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.37925
  • Upside Potential Ratio
    3.11590
  • Upside part of mean
    0.15968
  • Downside part of mean
    -0.08900
  • Upside SD
    0.09637
  • Downside SD
    0.05125
  • N nonnegative terms
    21.00000
  • N negative terms
    39.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    60.00000
  • Mean of predictor
    0.25467
  • Mean of criterion
    0.07068
  • SD of predictor
    0.20941
  • SD of criterion
    0.10813
  • Covariance
    -0.00157
  • r
    -0.06921
  • b (slope, estimate of beta)
    -0.03574
  • a (intercept, estimate of alpha)
    0.07978
  • Mean Square Error
    0.01184
  • DF error
    58.00000
  • t(b)
    -0.52838
  • p(b)
    0.70037
  • t(a)
    1.54573
  • p(a)
    0.06380
  • Lowerbound of 95% confidence interval for beta
    -0.17114
  • Upperbound of 95% confidence interval for beta
    0.09966
  • Lowerbound of 95% confidence interval for alpha
    -0.02354
  • Upperbound of 95% confidence interval for alpha
    0.18310
  • Treynor index (mean / b)
    -1.97768
  • Jensen alpha (a)
    0.07978
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06475
  • SD
    0.10587
  • Sharpe ratio (Glass type estimate)
    0.61166
  • Sharpe ratio (Hedges UMVUE)
    0.60386
  • df
    59.00000
  • t
    1.36772
  • p
    0.08829
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27428
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.49255
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.27941
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.48712
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.24116
  • Upside Potential Ratio
    2.96876
  • Upside part of mean
    0.15489
  • Downside part of mean
    -0.09013
  • Upside SD
    0.09300
  • Downside SD
    0.05217
  • N nonnegative terms
    21.00000
  • N negative terms
    39.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    60.00000
  • Mean of predictor
    0.23100
  • Mean of criterion
    0.06475
  • SD of predictor
    0.20381
  • SD of criterion
    0.10587
  • Covariance
    -0.00138
  • r
    -0.06397
  • b (slope, estimate of beta)
    -0.03323
  • a (intercept, estimate of alpha)
    0.07243
  • Mean Square Error
    0.01135
  • DF error
    58.00000
  • t(b)
    -0.48819
  • p(b)
    0.68637
  • t(a)
    1.44340
  • p(a)
    0.07714
  • Lowerbound of 95% confidence interval for beta
    -0.16947
  • Upperbound of 95% confidence interval for beta
    0.10302
  • Lowerbound of 95% confidence interval for alpha
    -0.02802
  • Upperbound of 95% confidence interval for alpha
    0.17288
  • Treynor index (mean / b)
    -1.94879
  • Jensen alpha (a)
    0.07243
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04388
  • Expected Shortfall on VaR
    0.05595
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02005
  • Expected Shortfall on VaR
    0.03743
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    60.00000
  • Minimum
    0.94376
  • Quartile 1
    0.99818
  • Median
    1.00000
  • Quartile 3
    1.01600
  • Maximum
    1.09504
  • Mean of quarter 1
    0.97645
  • Mean of quarter 2
    0.99994
  • Mean of quarter 3
    1.00404
  • Mean of quarter 4
    1.05245
  • Inter Quartile Range
    0.01782
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.06667
  • Mean of outliers low
    0.95734
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.15000
  • Mean of outliers high
    1.06742
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.51324
  • VaR(95%) (moments method)
    0.01510
  • Expected Shortfall (moments method)
    0.01578
  • Extreme Value Index (regression method)
    -0.24806
  • VaR(95%) (regression method)
    0.02572
  • Expected Shortfall (regression method)
    0.03440
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01374
  • Quartile 1
    0.02434
  • Median
    0.03495
  • Quartile 3
    0.10503
  • Maximum
    0.17512
  • Mean of quarter 1
    0.01374
  • Mean of quarter 2
    0.03495
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.17512
  • Inter Quartile Range
    0.08069
  • 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)
    0.11786
  • Compounded annual return (geometric extrapolation)
    0.09709
  • Calmar ratio (compounded annual return / max draw down)
    0.55442
  • Compounded annual return / average of 25% largest draw downs
    0.55442
  • Compounded annual return / Expected Shortfall lognormal
    1.73525
  • 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
    0.06814
  • SD
    0.08488
  • Sharpe ratio (Glass type estimate)
    0.80285
  • Sharpe ratio (Hedges UMVUE)
    0.80239
  • df
    1312.00000
  • t
    1.79727
  • p
    0.47522
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.07336
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.67876
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.07367
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.67845
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.32677
  • Upside Potential Ratio
    7.67539
  • Upside part of mean
    0.39421
  • Downside part of mean
    -0.32606
  • Upside SD
    0.06766
  • Downside SD
    0.05136
  • N nonnegative terms
    336.00000
  • N negative terms
    977.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1313.00000
  • Mean of predictor
    0.26800
  • Mean of criterion
    0.06814
  • SD of predictor
    0.23481
  • SD of criterion
    0.08488
  • Covariance
    0.00088
  • r
    0.04405
  • b (slope, estimate of beta)
    0.01592
  • a (intercept, estimate of alpha)
    0.06400
  • Mean Square Error
    0.00720
  • DF error
    1311.00000
  • t(b)
    1.59662
  • p(b)
    0.47196
  • t(a)
    1.68153
  • p(a)
    0.47048
  • Lowerbound of 95% confidence interval for beta
    -0.00364
  • Upperbound of 95% confidence interval for beta
    0.03549
  • Lowerbound of 95% confidence interval for alpha
    -0.01065
  • Upperbound of 95% confidence interval for alpha
    0.13839
  • Treynor index (mean / b)
    4.27938
  • Jensen alpha (a)
    0.06387
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06454
  • SD
    0.08462
  • Sharpe ratio (Glass type estimate)
    0.76275
  • Sharpe ratio (Hedges UMVUE)
    0.76231
  • df
    1312.00000
  • t
    1.70750
  • p
    0.47646
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.11341
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.63861
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.11370
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.63832
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.24920
  • Upside Potential Ratio
    7.58510
  • Upside part of mean
    0.39190
  • Downside part of mean
    -0.32736
  • Upside SD
    0.06709
  • Downside SD
    0.05167
  • N nonnegative terms
    336.00000
  • N negative terms
    977.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1313.00000
  • Mean of predictor
    0.23990
  • Mean of criterion
    0.06454
  • SD of predictor
    0.23753
  • SD of criterion
    0.08462
  • Covariance
    0.00088
  • r
    0.04393
  • b (slope, estimate of beta)
    0.01565
  • a (intercept, estimate of alpha)
    0.06079
  • Mean Square Error
    0.00715
  • DF error
    1311.00000
  • t(b)
    1.59210
  • p(b)
    0.47204
  • t(a)
    1.60600
  • p(a)
    0.47180
  • Lowerbound of 95% confidence interval for beta
    -0.00363
  • Upperbound of 95% confidence interval for beta
    0.03493
  • Lowerbound of 95% confidence interval for alpha
    -0.01347
  • Upperbound of 95% confidence interval for alpha
    0.13504
  • Treynor index (mean / b)
    4.12439
  • Jensen alpha (a)
    0.06079
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00832
  • Expected Shortfall on VaR
    0.01048
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00363
  • Expected Shortfall on VaR
    0.00738
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1313.00000
  • Minimum
    0.97331
  • Quartile 1
    0.99979
  • Median
    1.00000
  • Quartile 3
    1.00028
  • Maximum
    1.03592
  • Mean of quarter 1
    0.99535
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00001
  • Mean of quarter 4
    1.00613
  • Inter Quartile Range
    0.00049
  • Number outliers low
    290.00000
  • Percentage of outliers low
    0.22087
  • Mean of outliers low
    0.99479
  • Number of outliers high
    286.00000
  • Percentage of outliers high
    0.21782
  • Mean of outliers high
    1.00693
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.06841
  • VaR(95%) (moments method)
    0.00311
  • Expected Shortfall (moments method)
    0.00474
  • Extreme Value Index (regression method)
    -0.03255
  • VaR(95%) (regression method)
    0.00437
  • Expected Shortfall (regression method)
    0.00654
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    31.00000
  • Minimum
    0.00078
  • Quartile 1
    0.00413
  • Median
    0.00760
  • Quartile 3
    0.02757
  • Maximum
    0.18184
  • Mean of quarter 1
    0.00220
  • Mean of quarter 2
    0.00591
  • Mean of quarter 3
    0.01854
  • Mean of quarter 4
    0.06396
  • Inter Quartile Range
    0.02344
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.06452
  • Mean of outliers high
    0.12668
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.02640
  • VaR(95%) (moments method)
    0.06051
  • Expected Shortfall (moments method)
    0.08314
  • Extreme Value Index (regression method)
    1.25074
  • VaR(95%) (regression method)
    0.05123
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11760
  • Compounded annual return (geometric extrapolation)
    0.09686
  • Calmar ratio (compounded annual return / max draw down)
    0.53265
  • Compounded annual return / average of 25% largest draw downs
    1.51424
  • Compounded annual return / Expected Shortfall lognormal
    9.24230
  • 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
    0.95124
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.41702
  • 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
    0.86322
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.41754
  • 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)
    -6810860000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.00800
  • 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)
    -401106000000000036656453607489536.00000
  • 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?
    -324230000
  • Max Equity Drawdown (num days)
    412
  • 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

Summary Statistics

Strategy began
2012-05-07
Suggested Minimum Capital
$15,000
# Trades
125
# Profitable
66
% Profitable
52.8%
Net Dividends
Correlation S&P500
0.043
Sharpe Ratio
0.00
Sortino Ratio
0.01
Beta
0.02
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.