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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more

Tech Long Only
(74206509)

Created by: melissaM melissaM
Started: 06/2012
Futures
Last trade: 3,051 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 $20.00 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.

3.0%
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.

(41.5%)
Max Drawdown
39
Num Trades
89.7%
Win Trades
1.1 : 1
Profit Factor
14.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                   +7.9%+3.8%(0.1%)+0.9%+1.4%+7.5%+1.8%+25.3%
2013(0.1%)  -  (0.2%)+2.5%(0.1%)+3.5%+0.8%(0.1%)(0.1%)+0.7%(0.1%)(0.1%)+6.9%
2014(0.1%)(0.1%)(0.1%)+0.9%(0.1%)(0.1%)(0.1%)+3.3%+0.1%+6.5%(0.1%)+5.7%+16.7%
2015+1.8%+7.3%+1.0%(0.1%)(0.1%)+1.6%+3.0%(40.7%)(1.4%)(3.6%)(0.1%)  -  (35%)
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.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 10 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3152 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/3/15 10:32 QQQ1520W99 QQQ Nov20'15 99 put LONG 8 1.00 11/20 11:59 0.00 0.86%
Trade id #96219940
Max drawdown($800)
Time8/5/15 13:47
Quant open8
Worst price0.87
Drawdown as % of equity-0.86%
($806)
Includes Typical Broker Commissions trade costs of $5.60
7/23/15 18:38 @NQU5 E-MINI NASDAQ 100 STK IDX LONG 9 4503.94 8/23 23:20 4290.61 73.32%
Trade id #96043347
Max drawdown($45,694)
Time8/23/15 23:18
Quant open5
Worst price4047.00
Drawdown as % of equity-73.32%
($38,472)
Includes Typical Broker Commissions trade costs of $72.00
7/7/15 18:01 @NQU5 E-MINI NASDAQ 100 STK IDX LONG 2 4385.38 7/13 9:45 4429.50 1.83%
Trade id #95754455
Max drawdown($1,650)
Time7/8/15 14:51
Quant open1
Worst price4336.50
Drawdown as % of equity-1.83%
$1,749
Includes Typical Broker Commissions trade costs of $16.00
6/29/15 18:00 @NQU5 E-MINI NASDAQ 100 STK IDX LONG 2 4387.88 7/1 5:11 4431.00 0.23%
Trade id #95565672
Max drawdown($205)
Time6/30/15 12:33
Quant open1
Worst price4372.00
Drawdown as % of equity-0.23%
$1,709
Includes Typical Broker Commissions trade costs of $16.00
6/28/15 18:00 @NQU5 E-MINI NASDAQ 100 STK IDX LONG 1 4400.00 6/29 9:40 4440.00 n/a $792
Includes Typical Broker Commissions trade costs of $8.00
3/15/15 23:07 @NQH5 E-MINI NASDAQ 100 STK IDX LONG 1 4310.25 3/16 10:12 4355.00 0%
Trade id #93230448
Max drawdown$0
Time3/15/15 23:11
Quant open1
Worst price4310.25
Drawdown as % of equity0.00%
$887
Includes Typical Broker Commissions trade costs of $8.00
2/9/15 18:00 @NQH5 E-MINI NASDAQ 100 STK IDX LONG 1 4219.75 2/10 12:11 4260.00 0.2%
Trade id #92401667
Max drawdown($175)
Time2/10/15 3:56
Quant open1
Worst price4211.00
Drawdown as % of equity-0.20%
$797
Includes Typical Broker Commissions trade costs of $8.00
1/27/15 17:25 @NQH5 E-MINI NASDAQ 100 STK IDX LONG 3 4193.67 2/5 15:32 4240.33 5.6%
Trade id #92130033
Max drawdown($4,570)
Time2/2/15 10:07
Quant open2
Worst price4085.50
Drawdown as % of equity-5.60%
$2,776
Includes Typical Broker Commissions trade costs of $24.00
1/4/15 18:00 @NQH5 E-MINI NASDAQ 100 STK IDX LONG 3 4176.83 1/22 15:01 4240.00 7.13%
Trade id #91643129
Max drawdown($5,413)
Time1/15/15 23:17
Quant open2
Worst price4041.50
Drawdown as % of equity-7.13%
$3,766
Includes Typical Broker Commissions trade costs of $24.00
12/14/14 18:00 @NQH5 E-MINI NASDAQ 100 STK IDX LONG 3 4183.33 12/19 0:23 4285.00 5.37%
Trade id #91307641
Max drawdown($3,760)
Time12/16/14 16:14
Quant open2
Worst price4080.75
Drawdown as % of equity-5.37%
$6,076
Includes Typical Broker Commissions trade costs of $24.00
12/9/14 20:46 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 1 4293.50 12/18 4:41 4203.25 5.98%
Trade id #91232503
Max drawdown($4,185)
Time12/16/14 16:14
Quant open1
Worst price4084.25
Drawdown as % of equity-5.98%
($1,813)
Includes Typical Broker Commissions trade costs of $8.00
10/10/14 9:38 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 6 3849.00 10/21 14:26 3881.00 28.87%
Trade id #90185522
Max drawdown($16,500)
Time10/16/14 7:06
Quant open5
Worst price3684.00
Drawdown as % of equity-28.87%
$3,792
Includes Typical Broker Commissions trade costs of $48.00
10/2/14 13:22 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 1 3973.25 10/3 9:56 4013.00 0.08%
Trade id #90037863
Max drawdown($60)
Time10/2/14 13:42
Quant open1
Worst price3970.25
Drawdown as % of equity-0.08%
$787
Includes Typical Broker Commissions trade costs of $8.00
9/26/14 5:16 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 1 4015.00 9/26 13:54 4020.50 0.31%
Trade id #89918864
Max drawdown($220)
Time9/26/14 9:05
Quant open1
Worst price4004.00
Drawdown as % of equity-0.31%
$102
Includes Typical Broker Commissions trade costs of $8.00
8/6/14 17:27 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 1 3871.75 8/11 9:59 3909.00 1.29%
Trade id #88958292
Max drawdown($905)
Time8/8/14 3:41
Quant open1
Worst price3826.50
Drawdown as % of equity-1.29%
$737
Includes Typical Broker Commissions trade costs of $8.00
8/3/14 18:00 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 2 3873.00 8/4 15:20 3912.00 0.33%
Trade id #88891316
Max drawdown($230)
Time8/4/14 10:59
Quant open2
Worst price3867.25
Drawdown as % of equity-0.33%
$1,544
Includes Typical Broker Commissions trade costs of $16.00
4/13/14 18:00 @NQM4 E-MINI NASDAQ 100 STK IDX LONG 1 3435.75 4/14 9:25 3470.00 0.31%
Trade id #87022502
Max drawdown($210)
Time4/13/14 18:53
Quant open1
Worst price3425.25
Drawdown as % of equity-0.31%
$677
Includes Typical Broker Commissions trade costs of $8.00
9/30/13 18:18 @NQZ3 E-MINI NASDAQ 100 STK IDX LONG 1 3220.25 10/2 13:38 3245.50 0.21%
Trade id #83229877
Max drawdown($145)
Time10/1/13 9:31
Quant open1
Worst price3213.00
Drawdown as % of equity-0.21%
$497
Includes Typical Broker Commissions trade costs of $8.00
7/3/13 18:28 @NQU3 E-MINI NASDAQ 100 STK IDX LONG 1 2936.25 7/4 11:38 2964.75 0.04%
Trade id #81840777
Max drawdown($25)
Time7/3/13 18:41
Quant open1
Worst price2935.00
Drawdown as % of equity-0.04%
$562
Includes Typical Broker Commissions trade costs of $8.00
6/21/13 11:09 @NQU3 E-MINI NASDAQ 100 STK IDX LONG 2 2862.50 6/26 15:16 2890.00 2.75%
Trade id #81641964
Max drawdown($1,790)
Time6/24/13 11:30
Quant open2
Worst price2817.75
Drawdown as % of equity-2.75%
$1,084
Includes Typical Broker Commissions trade costs of $16.00
6/20/13 17:23 @NQU3 E-MINI NASDAQ 100 STK IDX LONG 1 2880.00 6/21 8:45 2884.75 0.11%
Trade id #81624987
Max drawdown($75)
Time6/20/13 19:11
Quant open1
Worst price2876.25
Drawdown as % of equity-0.11%
$87
Includes Typical Broker Commissions trade costs of $8.00
6/11/13 18:07 @NQM3 E-MINI NASDAQ 100 STK IDX LONG 2 2944.12 6/18 10:54 2974.00 2.93%
Trade id #81431043
Max drawdown($1,855)
Time6/13/13 2:28
Quant open2
Worst price2897.75
Drawdown as % of equity-2.93%
$1,179
Includes Typical Broker Commissions trade costs of $16.00
4/17/13 18:00 @NQM3 E-MINI NASDAQ 100 STK IDX LONG 3 2763.08 4/22 12:11 2790.33 1.49%
Trade id #80313760
Max drawdown($930)
Time4/18/13 14:59
Quant open1
Worst price2724.00
Drawdown as % of equity-1.49%
$1,611
Includes Typical Broker Commissions trade costs of $24.00
1/8/13 20:46 @NQH3 E-MINI NASDAQ 100 STK IDX LONG 1 2719.00 1/10 11:25 2719.00 0.25%
Trade id #78540469
Max drawdown($155)
Time1/9/13 6:04
Quant open1
Worst price2711.25
Drawdown as % of equity-0.25%
($8)
Includes Typical Broker Commissions trade costs of $8.00
12/26/12 18:00 @NQH3 E-MINI NASDAQ 100 STK IDX LONG 1 2631.00 12/31 14:59 2658.00 1.65%
Trade id #78334780
Max drawdown($1,020)
Time12/30/12 18:02
Quant open1
Worst price2580.00
Drawdown as % of equity-1.65%
$532
Includes Typical Broker Commissions trade costs of $8.00
12/5/12 10:44 @NQZ2 E-MINI NASDAQ 100 STK IDX LONG 1 2628.75 12/7 8:31 2665.00 0.2%
Trade id #77995987
Max drawdown($125)
Time12/6/12 9:34
Quant open1
Worst price2622.50
Drawdown as % of equity-0.20%
$717
Includes Typical Broker Commissions trade costs of $8.00
11/7/12 17:28 @NQZ2 E-MINI NASDAQ 100 STK IDX LONG 6 2558.00 11/23 12:08 2581.33 10.65%
Trade id #77528777
Max drawdown($5,920)
Time11/16/12 11:32
Quant open4
Worst price2492.00
Drawdown as % of equity-10.65%
$2,752
Includes Typical Broker Commissions trade costs of $48.00
11/4/12 18:00 @NQZ2 E-MINI NASDAQ 100 STK IDX LONG 1 2639.00 11/5 15:39 2667.00 0.08%
Trade id #77462641
Max drawdown($45)
Time11/5/12 8:30
Quant open1
Worst price2636.75
Drawdown as % of equity-0.08%
$552
Includes Typical Broker Commissions trade costs of $8.00
10/23/12 19:13 @NQZ2 E-MINI NASDAQ 100 STK IDX LONG 3 2646.83 11/2 8:30 2672.00 2.08%
Trade id #77291679
Max drawdown($1,185)
Time10/25/12 16:47
Quant open1
Worst price2604.50
Drawdown as % of equity-2.08%
$1,486
Includes Typical Broker Commissions trade costs of $24.00
10/21/12 18:00 @NQZ2 E-MINI NASDAQ 100 STK IDX LONG 1 2666.25 10/22 15:57 2692.00 0.31%
Trade id #77245968
Max drawdown($175)
Time10/21/12 19:46
Quant open1
Worst price2657.50
Drawdown as % of equity-0.31%
$507
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    6/3/2012
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    4309.34
  • Age
    144 months ago
  • What it trades
    Futures
  • # Trades
    39
  • # Profitable
    35
  • % Profitable
    89.70%
  • Avg trade duration
    7.3 days
  • Max peak-to-valley drawdown
    41.5%
  • drawdown period
    Aug 17, 2015 - Aug 23, 2015
  • Annual Return (Compounded)
    3.0%
  • Avg win
    $1,281
  • Avg loss
    $10,251
  • Model Account Values (Raw)
  • Cash
    $53,835
  • Margin Used
    $0
  • Buying Power
    $53,835
  • Ratios
  • W:L ratio
    1.09:1
  • Sharpe Ratio
    -0.12
  • Sortino Ratio
    -0.15
  • Calmar Ratio
    0.04
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -44.07%
  • Correlation to SP500
    0.07610
  • Return Percent SP500 (cumu) during strategy life
    311.13%
  • Return Statistics
  • Ann Return (w trading costs)
    3.0%
  • Slump
  • Current Slump as Pcnt Equity
    83.00%
  • Instruments
  • Percent Trades Futures
    0.97%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.73%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.030%
  • Instruments
  • Percent Trades Options
    0.01%
  • Percent Trades Stocks
    0.01%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    0.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    39.00%
  • Chance of 20% account loss
    5.50%
  • Chance of 30% account loss
    2.00%
  • 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)
    622
  • Popularity (Last 6 weeks)
    955
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    886
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $10,251
  • Avg Win
    $1,281
  • Sum Trade PL (losers)
    $41,005.000
  • Age
  • Num Months filled monthly returns table
    142
  • Win / Loss
  • Sum Trade PL (winners)
    $44,840.000
  • # Winners
    35
  • Num Months Winners
    20
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    4
  • % Winners
    89.7%
  • Frequency
  • Avg Position Time (mins)
    10572.60
  • Avg Position Time (hrs)
    176.21
  • Avg Trade Length
    7.3 days
  • Last Trade Ago
    2956
  • Regression
  • Alpha
    -0.01
  • Beta
    0.04
  • Treynor Index
    -0.09
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.05
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    19.47
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    14.80
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.79
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.28
  • Avg(MAE) / Avg(PL) - All trades
    34.938
  • 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
    1.257
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.236
  • Hold-and-Hope Ratio
    0.029
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20807
  • SD
    0.08529
  • Sharpe ratio (Glass type estimate)
    2.43966
  • Sharpe ratio (Hedges UMVUE)
    2.38695
  • df
    35.00000
  • t
    4.22562
  • p
    0.00008
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.15894
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.69249
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.12474
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.64915
  • Statistics related to Sortino ratio
  • Sortino ratio
    105.36800
  • Upside Potential Ratio
    107.74900
  • Upside part of mean
    0.21277
  • Downside part of mean
    -0.00470
  • Upside SD
    0.10332
  • Downside SD
    0.00197
  • N nonnegative terms
    19.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    36.00000
  • Mean of predictor
    0.16057
  • Mean of criterion
    0.20807
  • SD of predictor
    0.09489
  • SD of criterion
    0.08529
  • Covariance
    0.00076
  • r
    0.09399
  • b (slope, estimate of beta)
    0.08447
  • a (intercept, estimate of alpha)
    0.19451
  • Mean Square Error
    0.00742
  • DF error
    34.00000
  • t(b)
    0.55049
  • p(b)
    0.29279
  • t(a)
    3.50417
  • p(a)
    0.00065
  • Lowerbound of 95% confidence interval for beta
    -0.22738
  • Upperbound of 95% confidence interval for beta
    0.39633
  • Lowerbound of 95% confidence interval for alpha
    0.08170
  • Upperbound of 95% confidence interval for alpha
    0.30731
  • Treynor index (mean / b)
    2.46313
  • Jensen alpha (a)
    0.19451
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20277
  • SD
    0.08265
  • Sharpe ratio (Glass type estimate)
    2.45331
  • Sharpe ratio (Hedges UMVUE)
    2.40029
  • df
    35.00000
  • t
    4.24925
  • p
    0.00008
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.17107
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.70750
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.13670
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.66388
  • Statistics related to Sortino ratio
  • Sortino ratio
    102.72500
  • Upside Potential Ratio
    105.10600
  • Upside part of mean
    0.20747
  • Downside part of mean
    -0.00470
  • Upside SD
    0.10032
  • Downside SD
    0.00197
  • N nonnegative terms
    19.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    36.00000
  • Mean of predictor
    0.15512
  • Mean of criterion
    0.20277
  • SD of predictor
    0.09362
  • SD of criterion
    0.08265
  • Covariance
    0.00071
  • r
    0.09205
  • b (slope, estimate of beta)
    0.08126
  • a (intercept, estimate of alpha)
    0.19016
  • Mean Square Error
    0.00697
  • DF error
    34.00000
  • t(b)
    0.53902
  • p(b)
    0.29669
  • t(a)
    3.54897
  • p(a)
    0.00058
  • Lowerbound of 95% confidence interval for beta
    -0.22512
  • Upperbound of 95% confidence interval for beta
    0.38764
  • Lowerbound of 95% confidence interval for alpha
    0.08127
  • Upperbound of 95% confidence interval for alpha
    0.29905
  • Treynor index (mean / b)
    2.49521
  • Jensen alpha (a)
    0.19016
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02210
  • Expected Shortfall on VaR
    0.03176
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00088
  • Expected Shortfall on VaR
    0.00133
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    36.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00449
  • Quartile 3
    1.03464
  • Maximum
    1.08100
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00017
  • Mean of quarter 3
    1.01676
  • Mean of quarter 4
    1.05575
  • Inter Quartile Range
    0.03464
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.29766
  • Compounded annual return (geometric extrapolation)
    0.23703
  • 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
    7.46265
  • 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
    0.10070
  • SD
    0.15877
  • Sharpe ratio (Glass type estimate)
    0.63426
  • Sharpe ratio (Hedges UMVUE)
    0.63380
  • df
    1036.00000
  • t
    1.10123
  • p
    0.48290
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.49506
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76330
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.49538
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.76298
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.84986
  • Upside Potential Ratio
    3.72887
  • Upside part of mean
    0.44184
  • Downside part of mean
    -0.34114
  • Upside SD
    0.10570
  • Downside SD
    0.11849
  • N nonnegative terms
    152.00000
  • N negative terms
    885.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1037.00000
  • Mean of predictor
    0.14159
  • Mean of criterion
    0.10070
  • SD of predictor
    0.12486
  • SD of criterion
    0.15877
  • Covariance
    0.00520
  • r
    0.26251
  • b (slope, estimate of beta)
    0.33380
  • a (intercept, estimate of alpha)
    -0.01100
  • Mean Square Error
    0.02349
  • DF error
    1035.00000
  • t(b)
    8.75232
  • p(b)
    0.33482
  • t(a)
    0.60421
  • p(a)
    0.48805
  • Lowerbound of 95% confidence interval for beta
    0.25896
  • Upperbound of 95% confidence interval for beta
    0.40864
  • Lowerbound of 95% confidence interval for alpha
    -0.12011
  • Upperbound of 95% confidence interval for alpha
    0.22699
  • Treynor index (mean / b)
    0.30168
  • Jensen alpha (a)
    0.05344
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08787
  • SD
    0.16099
  • Sharpe ratio (Glass type estimate)
    0.54581
  • Sharpe ratio (Hedges UMVUE)
    0.54542
  • df
    1036.00000
  • t
    0.94766
  • p
    0.48529
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.58339
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.67481
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58368
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.67451
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.71108
  • Upside Potential Ratio
    3.53175
  • Upside part of mean
    0.43642
  • Downside part of mean
    -0.34855
  • Upside SD
    0.10317
  • Downside SD
    0.12357
  • N nonnegative terms
    152.00000
  • N negative terms
    885.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1037.00000
  • Mean of predictor
    0.13377
  • Mean of criterion
    0.08787
  • SD of predictor
    0.12487
  • SD of criterion
    0.16099
  • Covariance
    0.00527
  • r
    0.26211
  • b (slope, estimate of beta)
    0.33791
  • a (intercept, estimate of alpha)
    0.04267
  • Mean Square Error
    0.02416
  • DF error
    1035.00000
  • t(b)
    8.73798
  • p(b)
    0.33507
  • t(a)
    0.47580
  • p(a)
    0.49059
  • Lowerbound of 95% confidence interval for beta
    0.26203
  • Upperbound of 95% confidence interval for beta
    0.41379
  • Lowerbound of 95% confidence interval for alpha
    -0.13329
  • Upperbound of 95% confidence interval for alpha
    0.21863
  • Treynor index (mean / b)
    0.26003
  • Jensen alpha (a)
    0.04267
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01392
  • Expected Shortfall on VaR
    0.01749
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00311
  • Expected Shortfall on VaR
    0.00707
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1037.00000
  • Minimum
    0.87921
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.09633
  • Mean of quarter 1
    0.99614
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00516
  • Inter Quartile Range
    0.00000
  • Number outliers low
    87.00000
  • Percentage of outliers low
    0.08390
  • Mean of outliers low
    0.98847
  • Number of outliers high
    152.00000
  • Percentage of outliers high
    0.14658
  • Mean of outliers high
    1.00879
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.59433
  • VaR(95%) (moments method)
    0.00162
  • Expected Shortfall (moments method)
    0.00743
  • Extreme Value Index (regression method)
    0.50780
  • VaR(95%) (regression method)
    0.00232
  • Expected Shortfall (regression method)
    0.01147
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    26.00000
  • Minimum
    0.00008
  • Quartile 1
    0.00411
  • Median
    0.01463
  • Quartile 3
    0.03506
  • Maximum
    0.29056
  • Mean of quarter 1
    0.00137
  • Mean of quarter 2
    0.00820
  • Mean of quarter 3
    0.02106
  • Mean of quarter 4
    0.09821
  • Inter Quartile Range
    0.03095
  • 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
    0.07692
  • Mean of outliers high
    0.21463
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.58127
  • VaR(95%) (moments method)
    0.11186
  • Expected Shortfall (moments method)
    0.28733
  • Extreme Value Index (regression method)
    1.41401
  • VaR(95%) (regression method)
    0.11425
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11377
  • Compounded annual return (geometric extrapolation)
    0.10276
  • Calmar ratio (compounded annual return / max draw down)
    0.35367
  • Compounded annual return / average of 25% largest draw downs
    1.04638
  • Compounded annual return / Expected Shortfall lognormal
    5.87598
  • 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
    -0.51181
  • SD
    0.25793
  • Sharpe ratio (Glass type estimate)
    -1.98427
  • Sharpe ratio (Hedges UMVUE)
    -1.97555
  • df
    171.00000
  • t
    -1.40309
  • p
    0.56779
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.76119
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.79836
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.75525
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.80415
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.05587
  • Upside Potential Ratio
    1.55370
  • Upside part of mean
    0.38679
  • Downside part of mean
    -0.89860
  • Upside SD
    0.07020
  • Downside SD
    0.24895
  • N nonnegative terms
    27.00000
  • N negative terms
    145.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    -0.13318
  • Mean of criterion
    -0.51181
  • SD of predictor
    0.12128
  • SD of criterion
    0.25793
  • Covariance
    0.01249
  • r
    0.39918
  • b (slope, estimate of beta)
    0.84893
  • a (intercept, estimate of alpha)
    -0.39875
  • Mean Square Error
    0.05626
  • DF error
    170.00000
  • t(b)
    5.67649
  • p(b)
    0.30041
  • t(a)
    -1.18667
  • p(a)
    0.54532
  • Lowerbound of 95% confidence interval for beta
    0.55371
  • Upperbound of 95% confidence interval for beta
    1.14415
  • Lowerbound of 95% confidence interval for alpha
    -1.06207
  • Upperbound of 95% confidence interval for alpha
    0.26457
  • Treynor index (mean / b)
    -0.60289
  • Jensen alpha (a)
    -0.39875
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.54741
  • SD
    0.27035
  • Sharpe ratio (Glass type estimate)
    -2.02487
  • Sharpe ratio (Hedges UMVUE)
    -2.01598
  • df
    171.00000
  • t
    -1.43180
  • p
    0.56915
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.80212
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.75808
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.79601
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.76405
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.08858
  • Upside Potential Ratio
    1.46643
  • Upside part of mean
    0.38435
  • Downside part of mean
    -0.93176
  • Upside SD
    0.06955
  • Downside SD
    0.26210
  • N nonnegative terms
    27.00000
  • N negative terms
    145.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    -0.14055
  • Mean of criterion
    -0.54741
  • SD of predictor
    0.12170
  • SD of criterion
    0.27035
  • Covariance
    0.01322
  • r
    0.40176
  • b (slope, estimate of beta)
    0.89248
  • a (intercept, estimate of alpha)
    -0.42198
  • Mean Square Error
    0.06165
  • DF error
    170.00000
  • t(b)
    5.72024
  • p(b)
    0.29912
  • t(a)
    -1.19939
  • p(a)
    0.54580
  • VAR (95 Confidence Intrvl)
    0.01900
  • Lowerbound of 95% confidence interval for beta
    0.58449
  • Upperbound of 95% confidence interval for beta
    1.20047
  • Lowerbound of 95% confidence interval for alpha
    -1.11649
  • Upperbound of 95% confidence interval for alpha
    0.27253
  • Treynor index (mean / b)
    -0.61336
  • Jensen alpha (a)
    -0.42198
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02524
  • Expected Shortfall on VaR
    0.03115
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00815
  • Expected Shortfall on VaR
    0.01830
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.87921
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.02836
  • Mean of quarter 1
    0.98965
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00452
  • Inter Quartile Range
    0.00000
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.12209
  • Mean of outliers low
    0.97880
  • Number of outliers high
    27.00000
  • Percentage of outliers high
    0.15698
  • Mean of outliers high
    1.00719
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.79671
  • VaR(95%) (moments method)
    0.00309
  • Expected Shortfall (moments method)
    0.02344
  • Extreme Value Index (regression method)
    0.37841
  • VaR(95%) (regression method)
    0.00836
  • Expected Shortfall (regression method)
    0.02710
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00337
  • Quartile 1
    0.01050
  • Median
    0.01461
  • Quartile 3
    0.03742
  • Maximum
    0.29056
  • Mean of quarter 1
    0.00693
  • Mean of quarter 2
    0.01461
  • Mean of quarter 3
    0.03742
  • Mean of quarter 4
    0.29056
  • Inter Quartile Range
    0.02692
  • 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
    0.20000
  • Mean of outliers high
    0.29056
  • 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
  • Max Equity Drawdown (num days)
    6
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.47130
  • Compounded annual return (geometric extrapolation)
    -0.41577
  • Calmar ratio (compounded annual return / max draw down)
    -1.43094
  • Compounded annual return / average of 25% largest draw downs
    -1.43094
  • Compounded annual return / Expected Shortfall lognormal
    -13.34850

Strategy Description

Purchase NQ emini futures (or you can attempt with stocks like TQQQ or similar but I would recommend NQ as it trades more hours).

This system does have drawdowns of 30% so do not use too much leverage or you will wipe your account.

The mechanisms behind this system are very complicated, it is not a simple buy the market when it is down system and endlessly add positions. That being said I will reveal nothing about how the system works, and hopefully let the results speak for themselves.

Summary Statistics

Strategy began
2012-06-03
Suggested Minimum Capital
$20,000
# Trades
39
# Profitable
35
% Profitable
89.7%
Correlation S&P500
0.076
Sharpe Ratio
-0.12
Sortino Ratio
-0.15
Beta
0.04
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.