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Featured Strategy S2Prox0 Followed by live capital $158,000 Hypothetical

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Swingtrades
(74820384)

Created by: DavidOdle2 DavidOdle2
Started: 06/2012
Stocks
Last trade: 3,611 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 $49.00 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.

-
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.

(100.0%)
Max Drawdown
99
Num Trades
61.6%
Win Trades
0.0 : 1
Profit Factor
14.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                   +0.9%+8.8%+2.9%+1.0%(0.4%)+2.7%+3.0%+20.3%
2013(8.8%)+2.3%+1.1%+4.7%(5.2%)+2.3%(14.5%)+5.9%(14.8%)(2.9%)(9.4%)+0.2%(34.9%)
2014(0.2%)(4.6%)+15.2%+19.4%(34.2%)(46.1%)(4.7%)(14.4%)+15.7%+0.5%(35.2%)  -  0.0
2015(33.4%)(98.6%)(7622.5%)(49.1%)(11%)(62.1%)(135.3%)(234.1%)(131.3%)(2.1%)(0.2%)(269.6%)
2016(23.4%)(0.3%)(52.4%)(2.6%)(7.9%)(5.4%)(15.5%)(2.9%)(1.1%)(0.8%)(2.4%)(1.6%)(69.6%)
2017(0.8%)(0.8%)(273.6%)(2.6%)+2.4%  -  (0.2%)+0.1%(0.2%)(0.2%)(0.2%)(0.1%)(274.2%)
2018(0.3%)+0.1%+0.3%(0.1%)(0.1%)(8390.1%)  -    -    -    -    -    -  (8375.6%)
2019  -    -    -    -    -    -    -    -    -  (910.8%)  -  (911.4%)
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  -
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 177 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3691 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/28/14 13:41 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 100 64.91 4/29 10:04 68.71 0.29%
Trade id #87274151
Max drawdown($43)
Time4/28/14 14:03
Quant open100
Worst price64.48
Drawdown as % of equity-0.29%
 $378
Includes Typical Broker Commissions trade costs of $2.00
4/17/14 15:55 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 100 30.77 4/28 12:58 30.87 0.68%
Trade id #87120535
Max drawdown($94)
Time4/22/14 13:38
Quant open100
Worst price29.83
Drawdown as % of equity-0.68%
 $8
Includes Typical Broker Commissions trade costs of $2.00
4/21/14 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 100 55.86 4/28 12:57 56.11 1.02%
Trade id #87147090
Max drawdown($141)
Time4/24/14 9:31
Quant open50
Worst price53.03
Drawdown as % of equity-1.02%
 $23
Includes Typical Broker Commissions trade costs of $2.00
4/22/14 10:50 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 10 1402.45 4/25 11:36 1481.00 0.3%
Trade id #87171759
Max drawdown($41)
Time4/22/14 12:26
Quant open45
Worst price54.92
Drawdown as % of equity-0.30%
 $786
Includes Typical Broker Commissions trade costs of $0.20
4/11/14 11:04 IBB ISHARES BIOTECHNOLOGY ETF LONG 32 221.55 4/21 15:25 224.50 3.24%
Trade id #87011714
Max drawdown($450)
Time4/15/14 13:01
Quant open32
Worst price207.48
Drawdown as % of equity-3.24%
 $93
Includes Typical Broker Commissions trade costs of $0.64
4/11/14 15:40 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 30 66.56 4/15 10:06 67.56 0.37%
Trade id #87018750
Max drawdown($50)
Time4/14/14 15:15
Quant open30
Worst price64.87
Drawdown as % of equity-0.37%
 $29
Includes Typical Broker Commissions trade costs of $0.60
4/11/14 11:19 UPRO PROSHARES ULTRAPRO S&P 500 LONG 70 46.85 4/15 10:06 47.26 0.78%
Trade id #87012259
Max drawdown($105)
Time4/11/14 14:50
Quant open35
Worst price90.68
Drawdown as % of equity-0.78%
 $27
Includes Typical Broker Commissions trade costs of $1.40
4/9/14 10:29 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 100 31.46 4/11 9:50 32.89 0.66%
Trade id #86955622
Max drawdown($88)
Time4/10/14 9:45
Quant open100
Worst price30.58
Drawdown as % of equity-0.66%
 $141
Includes Typical Broker Commissions trade costs of $2.00
4/9/14 14:10 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 1 1428.50 4/11 9:49 1597.00 0.26%
Trade id #86961075
Max drawdown($35)
Time4/9/14 16:00
Quant open35
Worst price56.14
Drawdown as % of equity-0.26%
 $169
Includes Typical Broker Commissions trade costs of $0.02
4/8/14 10:45 UPRO PROSHARES ULTRAPRO S&P 500 LONG 200 47.78 4/9 9:43 48.58 0.17%
Trade id #86925302
Max drawdown($22)
Time4/8/14 10:48
Quant open100
Worst price95.33
Drawdown as % of equity-0.17%
 $157
Includes Typical Broker Commissions trade costs of $4.00
4/1/14 10:08 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 2 1455.50 4/7 12:13 1559.00 1.31%
Trade id #86797462
Max drawdown($165)
Time4/4/14 9:31
Quant open45
Worst price54.54
Drawdown as % of equity-1.31%
 $207
Includes Typical Broker Commissions trade costs of $0.04
3/31/14 9:52 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 200 30.81 4/7 12:12 31.89 2.13%
Trade id #86771327
Max drawdown($270)
Time4/4/14 9:31
Quant open200
Worst price29.46
Drawdown as % of equity-2.13%
 $212
Includes Typical Broker Commissions trade costs of $4.00
3/25/14 10:34 TZA DIREXION DAILY SMALL CAP BEAR LONG 100 60.76 3/27 9:31 65.36 0.1%
Trade id #86662846
Max drawdown($12)
Time3/26/14 9:31
Quant open400
Worst price15.16
Drawdown as % of equity-0.10%
 $458
Includes Typical Broker Commissions trade costs of $2.00
3/20/14 13:36 TZA DIREXION DAILY SMALL CAP BEAR LONG 150 58.96 3/24 11:30 62.68 1.99%
Trade id #86589326
Max drawdown($234)
Time3/21/14 11:47
Quant open600
Worst price14.35
Drawdown as % of equity-1.99%
 $555
Includes Typical Broker Commissions trade costs of $3.00
3/14/14 9:31 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 100 79.07 3/17 9:47 82.99 0.18%
Trade id #86479001
Max drawdown($21)
Time3/14/14 9:39
Quant open100
Worst price78.86
Drawdown as % of equity-0.18%
 $390
Includes Typical Broker Commissions trade costs of $2.00
2/11/14 15:26 TZA DIREXION DAILY SMALL CAP BEAR LONG 50 71.96 3/14 9:31 62.72 6.4%
Trade id #85732428
Max drawdown($736)
Time3/4/14 13:07
Quant open200
Worst price14.31
Drawdown as % of equity-6.40%
 ($463)
Includes Typical Broker Commissions trade costs of $1.00
2/12/14 10:27 TECS DIREXION DAILY TECHNOLOGY BEAR 3X LONG 50 82.56 3/14 9:30 81.40 2.88%
Trade id #85749578
Max drawdown($318)
Time3/7/14 9:32
Quant open200
Worst price19.05
Drawdown as % of equity-2.88%
 ($59)
Includes Typical Broker Commissions trade costs of $1.00
1/24/14 12:33 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 170 70.10 2/11 15:26 70.20 13.2%
Trade id #85366123
Max drawdown($1,478)
Time2/5/14 10:26
Quant open170
Worst price61.40
Drawdown as % of equity-13.20%
 $15
Includes Typical Broker Commissions trade costs of $3.40
12/18/13 15:58 TZA DIREXION DAILY SMALL CAP BEAR LONG 100 73.84 1/24/14 12:33 70.16 8.49%
Trade id #84705296
Max drawdown($976)
Time1/22/14 15:27
Quant open400
Worst price16.02
Drawdown as % of equity-8.49%
 ($370)
Includes Typical Broker Commissions trade costs of $2.00
10/16/13 13:08 TZA DIREXION DAILY SMALL CAP BEAR LONG 95 85.68 12/11 13:03 80.48 11.43%
Trade id #83537452
Max drawdown($1,318)
Time11/29/13 10:33
Quant open380
Worst price17.95
Drawdown as % of equity-11.43%
 ($496)
Includes Typical Broker Commissions trade costs of $1.90
6/27/13 10:59 TZA DIREXION DAILY SMALL CAP BEAR LONG 151 111.70 9/24 10:48 91.28 25.2%
Trade id #81740544
Max drawdown($3,290)
Time9/18/13 15:04
Quant open400
Worst price22.31
Drawdown as % of equity-25.20%
 ($3,177)
Includes Typical Broker Commissions trade costs of $3.01
6/27/13 14:53 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 2 491.00 7/3 12:22 553.01 0.36%
Trade id #81746315
Max drawdown($56)
Time6/28/13 9:31
Quant open200
Worst price4.63
Drawdown as % of equity-0.36%
 $124
Includes Typical Broker Commissions trade costs of $0.04
6/20/13 12:04 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 150 45.76 6/27 9:54 46.81 3.18%
Trade id #81617895
Max drawdown($479)
Time6/24/13 12:21
Quant open150
Worst price42.57
Drawdown as % of equity-3.18%
 $154
Includes Typical Broker Commissions trade costs of $3.00
6/3/13 12:08 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 100 48.22 6/7 12:04 49.00 1.74%
Trade id #81251186
Max drawdown($265)
Time6/6/13 12:28
Quant open100
Worst price45.56
Drawdown as % of equity-1.74%
 $76
Includes Typical Broker Commissions trade costs of $2.00
4/23/13 14:21 TZA DIREXION DAILY SMALL CAP BEAR LONG 83 142.31 5/23 10:07 130.72 13.59%
Trade id #80442271
Max drawdown($1,999)
Time5/22/13 10:30
Quant open330
Worst price29.54
Drawdown as % of equity-13.59%
 ($964)
Includes Typical Broker Commissions trade costs of $1.66
4/16/13 12:54 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 100 39.10 4/22 15:15 39.41 1.18%
Trade id #80275452
Max drawdown($191)
Time4/18/13 14:58
Quant open100
Worst price37.18
Drawdown as % of equity-1.18%
 $29
Includes Typical Broker Commissions trade costs of $2.00
4/8/13 9:30 TZA DIREXION DAILY SMALL CAP BEAR LONG 13 159.12 4/16 9:30 162.72 1.06%
Trade id #80109790
Max drawdown($166)
Time4/11/13 11:29
Quant open50
Worst price36.44
Drawdown as % of equity-1.06%
 $47
Includes Typical Broker Commissions trade costs of $0.26
3/20/13 9:30 S SENTINELONE INC LONG 400 6.01 4/15 9:30 7.20 0.05%
Trade id #79796488
Max drawdown($8)
Time3/20/13 10:22
Quant open400
Worst price5.99
Drawdown as % of equity-0.05%
 $468
Includes Typical Broker Commissions trade costs of $8.00
3/5/13 13:12 TZA DIREXION DAILY SMALL CAP BEAR LONG 29 156.92 4/5 10:45 164.64 22.12%
Trade id #79547743
Max drawdown($3,403)
Time3/25/13 10:11
Quant open113
Worst price9.14
Drawdown as % of equity-22.12%
 $58
Includes Typical Broker Commissions trade costs of $0.57
3/26/13 10:33 JCP J.C. PENNEY LONG 150 15.12 4/5 10:43 15.72 0.98%
Trade id #79892506
Max drawdown($153)
Time4/4/13 10:02
Quant open150
Worst price14.10
Drawdown as % of equity-0.98%
 $87
Includes Typical Broker Commissions trade costs of $3.00
Next

Statistics

  • Strategy began
    6/26/2012
  • Suggested Minimum Cap
    $12,750
  • Strategy Age (days)
    4313.52
  • Age
    144 months ago
  • What it trades
    Stocks
  • # Trades
    99
  • # Profitable
    61
  • % Profitable
    61.60%
  • Avg trade duration
    83.8 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    April 02, 2015 - Dec 17, 2020
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $150.31
  • Avg loss
    $245,797
  • Model Account Values (Raw)
  • Cash
    ($4,651,860)
  • Margin Used
    $0
  • Buying Power
    ($4,651,860)
  • Ratios
  • W:L ratio
    0.00:1
  • Sharpe Ratio
    -0.4
  • Sortino Ratio
    -0.4
  • Calmar Ratio
    -0.925
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -73481.30%
  • Correlation to SP500
    -0.08520
  • Return Percent SP500 (cumu) during strategy life
    284.14%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.96%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • 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)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • 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
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $245,797
  • Avg Win
    $150
  • Sum Trade PL (losers)
    $9,340,270.000
  • Age
  • Num Months filled monthly returns table
    35
  • Win / Loss
  • Sum Trade PL (winners)
    $9,169.000
  • # Winners
    61
  • Num Months Winners
    16
  • Dividends
  • Dividends Received in Model Acct
    6
  • Win / Loss
  • # Losers
    38
  • % Winners
    61.6%
  • Frequency
  • Avg Position Time (mins)
    120684.00
  • Avg Position Time (hrs)
    2011.39
  • Avg Trade Length
    83.8 days
  • Last Trade Ago
    3604
  • Regression
  • Alpha
    0.00
  • Beta
    -3.49
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    64.79
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    24.94
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.72
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    -1.002
  • 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
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.968
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.000
  • Hold-and-Hope Ratio
    -9.750
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    3739.52000
  • SD
    7080.45000
  • Sharpe ratio (Glass type estimate)
    0.52815
  • Sharpe ratio (Hedges UMVUE)
    0.51865
  • df
    42.00000
  • t
    0.99977
  • p
    0.16157
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51643
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.56656
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.52266
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.55996
  • Statistics related to Sortino ratio
  • Sortino ratio
    4509.59000
  • Upside Potential Ratio
    4510.81000
  • Upside part of mean
    3740.54000
  • Downside part of mean
    -1.01328
  • Upside SD
    7080.41000
  • Downside SD
    0.82924
  • N nonnegative terms
    14.00000
  • N negative terms
    29.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    43.00000
  • Mean of predictor
    0.33491
  • Mean of criterion
    3739.52000
  • SD of predictor
    0.19137
  • SD of criterion
    7080.45000
  • Covariance
    162.92300
  • r
    0.12024
  • b (slope, estimate of beta)
    4448.69000
  • a (intercept, estimate of alpha)
    2249.61000
  • Mean Square Error
    50613000.00000
  • DF error
    41.00000
  • t(b)
    0.77553
  • p(b)
    0.22124
  • t(a)
    0.53298
  • p(a)
    0.29846
  • Lowerbound of 95% confidence interval for beta
    -7135.99000
  • Upperbound of 95% confidence interval for beta
    16033.40000
  • Lowerbound of 95% confidence interval for alpha
    -6274.52000
  • Upperbound of 95% confidence interval for alpha
    10773.70000
  • Treynor index (mean / b)
    0.84059
  • Jensen alpha (a)
    2249.61000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.66536
  • SD
    8.38655
  • Sharpe ratio (Glass type estimate)
    -0.31781
  • Sharpe ratio (Hedges UMVUE)
    -0.31210
  • df
    42.00000
  • t
    -0.60161
  • p
    0.72467
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.35358
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.72166
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.34964
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.72544
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.40142
  • Upside Potential Ratio
    0.42300
  • Upside part of mean
    2.80861
  • Downside part of mean
    -5.47397
  • Upside SD
    5.02038
  • Downside SD
    6.63976
  • N nonnegative terms
    14.00000
  • N negative terms
    29.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    43.00000
  • Mean of predictor
    0.31372
  • Mean of criterion
    -2.66536
  • SD of predictor
    0.17746
  • SD of criterion
    8.38655
  • Covariance
    0.21515
  • r
    0.14456
  • b (slope, estimate of beta)
    6.83175
  • a (intercept, estimate of alpha)
    -4.80862
  • Mean Square Error
    70.54410
  • DF error
    41.00000
  • t(b)
    0.93547
  • p(b)
    0.17751
  • t(a)
    -0.96296
  • p(a)
    0.82939
  • Lowerbound of 95% confidence interval for beta
    -7.91705
  • Upperbound of 95% confidence interval for beta
    21.58050
  • Lowerbound of 95% confidence interval for alpha
    -14.89340
  • Upperbound of 95% confidence interval for alpha
    5.27614
  • Treynor index (mean / b)
    -0.39014
  • Jensen alpha (a)
    -4.80862
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.98507
  • Expected Shortfall on VaR
    0.99282
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.23076
  • Expected Shortfall on VaR
    0.48853
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    43.00000
  • Minimum
    0.00008
  • Quartile 1
    0.98344
  • Median
    1.00000
  • Quartile 3
    1.01481
  • Maximum
    13404.00000
  • Mean of quarter 1
    0.67791
  • Mean of quarter 2
    0.99805
  • Mean of quarter 3
    1.00400
  • Mean of quarter 4
    1219.51000
  • Inter Quartile Range
    0.03137
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.18605
  • Mean of outliers low
    0.57386
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.09302
  • Mean of outliers high
    3351.83000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.54975
  • VaR(95%) (moments method)
    0.15206
  • Expected Shortfall (moments method)
    0.42474
  • Extreme Value Index (regression method)
    -1.61151
  • VaR(95%) (regression method)
    0.30586
  • Expected Shortfall (regression method)
    0.31988
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.12008
  • Quartile 1
    0.34004
  • Median
    0.56001
  • Quartile 3
    0.77997
  • Maximum
    0.99994
  • Mean of quarter 1
    0.12008
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99994
  • Inter Quartile Range
    0.43993
  • 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)
    -0.27905
  • Compounded annual return (geometric extrapolation)
    -0.92846
  • Calmar ratio (compounded annual return / max draw down)
    -0.92851
  • Compounded annual return / average of 25% largest draw downs
    -0.92851
  • Compounded annual return / Expected Shortfall lognormal
    -0.93517
  • 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
    4204.22000
  • SD
    7045.73000
  • Sharpe ratio (Glass type estimate)
    0.59670
  • Sharpe ratio (Hedges UMVUE)
    0.59623
  • df
    954.00000
  • t
    1.13923
  • p
    0.12745
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.43037
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.62351
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43070
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.62317
  • Statistics related to Sortino ratio
  • Sortino ratio
    2619.79000
  • Upside Potential Ratio
    2622.67000
  • Upside part of mean
    4208.84000
  • Downside part of mean
    -4.61651
  • Upside SD
    7046.83000
  • Downside SD
    1.60479
  • N nonnegative terms
    245.00000
  • N negative terms
    710.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    955.00000
  • Mean of predictor
    0.39691
  • Mean of criterion
    4204.22000
  • SD of predictor
    0.30266
  • SD of criterion
    7045.73000
  • Covariance
    -43.34330
  • r
    -0.02033
  • b (slope, estimate of beta)
    -473.17900
  • a (intercept, estimate of alpha)
    4392.03000
  • Mean Square Error
    49673900.00000
  • DF error
    953.00000
  • t(b)
    -0.62760
  • p(b)
    0.73479
  • t(a)
    1.18585
  • p(a)
    0.11799
  • Lowerbound of 95% confidence interval for beta
    -1952.77000
  • Upperbound of 95% confidence interval for beta
    1006.41000
  • Lowerbound of 95% confidence interval for alpha
    -2876.32000
  • Upperbound of 95% confidence interval for alpha
    11660.40000
  • Treynor index (mean / b)
    -8.88505
  • Jensen alpha (a)
    4392.03000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.62071
  • SD
    11.94300
  • Sharpe ratio (Glass type estimate)
    -0.21944
  • Sharpe ratio (Hedges UMVUE)
    -0.21926
  • df
    954.00000
  • t
    -0.41895
  • p
    0.66233
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.24604
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.80724
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.24590
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.80737
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.30388
  • Upside Potential Ratio
    1.38867
  • Upside part of mean
    11.97630
  • Downside part of mean
    -14.59700
  • Upside SD
    8.25428
  • Downside SD
    8.62427
  • N nonnegative terms
    245.00000
  • N negative terms
    710.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    955.00000
  • Mean of predictor
    0.34836
  • Mean of criterion
    -2.62071
  • SD of predictor
    0.31567
  • SD of criterion
    11.94300
  • Covariance
    -0.30100
  • r
    -0.07984
  • b (slope, estimate of beta)
    -3.02059
  • a (intercept, estimate of alpha)
    -1.56847
  • Mean Square Error
    141.87400
  • DF error
    953.00000
  • t(b)
    -2.47259
  • p(b)
    0.99321
  • t(a)
    -0.25082
  • p(a)
    0.59900
  • Lowerbound of 95% confidence interval for beta
    -5.41800
  • Upperbound of 95% confidence interval for beta
    -0.62319
  • Lowerbound of 95% confidence interval for alpha
    -13.84030
  • Upperbound of 95% confidence interval for alpha
    10.70330
  • Treynor index (mean / b)
    0.86761
  • Jensen alpha (a)
    -1.56847
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.70584
  • Expected Shortfall on VaR
    0.77661
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05059
  • Expected Shortfall on VaR
    0.11561
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    955.00000
  • Minimum
    0.00008
  • Quartile 1
    0.99765
  • Median
    1.00000
  • Quartile 3
    1.00020
  • Maximum
    13395.00000
  • Mean of quarter 1
    0.93031
  • Mean of quarter 2
    0.99960
  • Mean of quarter 3
    1.00001
  • Mean of quarter 4
    65.18990
  • Inter Quartile Range
    0.00255
  • Number outliers low
    181.00000
  • Percentage of outliers low
    0.18953
  • Mean of outliers low
    0.90931
  • Number of outliers high
    148.00000
  • Percentage of outliers high
    0.15497
  • Mean of outliers high
    104.65700
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.49532
  • VaR(95%) (moments method)
    0.03410
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.75192
  • VaR(95%) (regression method)
    0.02607
  • Expected Shortfall (regression method)
    0.12843
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00162
  • Median
    0.00793
  • Quartile 3
    0.01325
  • Maximum
    0.99994
  • Mean of quarter 1
    0.00094
  • Mean of quarter 2
    0.00441
  • Mean of quarter 3
    0.01125
  • Mean of quarter 4
    0.31228
  • Inter Quartile Range
    0.01163
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.17647
  • Mean of outliers high
    0.40783
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.57241
  • VaR(95%) (moments method)
    0.20232
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    2.37462
  • VaR(95%) (regression method)
    0.49323
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.27432
  • Compounded annual return (geometric extrapolation)
    -0.92519
  • Calmar ratio (compounded annual return / max draw down)
    -0.92525
  • Compounded annual return / average of 25% largest draw downs
    -2.96265
  • Compounded annual return / Expected Shortfall lognormal
    -1.19132
  • 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
    1.73985
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.52428
  • 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
    1.60024
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.51838
  • 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)
    -6744130000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.70600
  • 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)
    247293000000000003286743990140928.00000
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -401797000
  • Max Equity Drawdown (num days)
    2086
  • 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

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2012-06-26
Suggested Minimum Capital
$12,700
# Trades
99
# Profitable
61
% Profitable
61.6%
Net Dividends
$6
Correlation S&P500
-0.085
Sharpe Ratio
-0.40
Sortino Ratio
-0.40
Beta
-3.49
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

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