Strategy began
7/26/2012
Age
26 months ago
What it trades
Stocks
# Trades
23
# Profitable
8
% Profitable
34.80%
Avg trade duration
35.5 days
Max peaktovalley drawdown
40.09%
drawdown period
Feb 20, 2013  Aug 15, 2014
Annual Return (Compounded)
5.5%
Avg win
$6,254
Avg loss
$3,982
W:L ratio
0.84:1
Open PL
$1,996
Open PL (start day)
$1,997
Open PL Change $
($0.38)
Open PL Change %
0.02%
Close PL
($11,696)
Closed PL (start day)
($11,582)
Closed PL Change $
($114.97)
Closed PL Change %
0.99%
Equity
$90,415
Equity (start day)
$90,415
Equity Change $
$0.17
Equity Change %
n/a
Age
785
# Trades
23
Avg Trade Length
35.5
Profit Factor
0.8
Sortino Ratio
0.502
Calmar Ratio
0.114
Ann Return (w trading costs)
5.5%
Sharpe Ratio
0.343
Ann Return (Compnd, No Fees)
4.6%
Chance of 10% account loss
98.00%
Chance of 20% account loss
54.50%
Chance of 30% account loss
14.50%
Chance of 40% account loss
1.00%
Chance of 50% account loss
n/a
APD
0.10
Max Drawdown
40.1%
Popularity (Today)
0
Popularity (Last 6 weeks)
0
Trades Own System?
0
TOS percent
n/a
Subscription Price
$50
Billing Period (days)
30
Trial Days
7
Avg Loss
$3,982
Avg Win
$6,254
# Winners
8
# Losers
15
% Winners
34.8%
Avg Position Time (mins)
51135.20
Avg Position Time (hrs)
852.25
Developer

C2 Score
11.3
Mean
0.04486
SD
0.18752
Sharpe ratio (Glass type estimate)
0.23921
Sharpe ratio (Hedges UMVUE)
0.23195
df
25.00000
t
0.35211
p
0.63615
Lowerbound of 95% confidence interval for Sharpe Ratio
1.57005
Upperbound of 95% confidence interval for Sharpe Ratio
1.09632
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
1.56504
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
1.10113
Sortino ratio
0.38119
Upside Potential Ratio
1.93368
Upside part of mean
0.22755
Downside part of mean
0.27241
Upside SD
0.14188
Downside SD
0.11768
N nonnegative terms
9.00000
N negative terms
17.00000
N of observations
26.00000
Mean of predictor
0.17132
Mean of criterion
0.04486
SD of predictor
0.09994
SD of criterion
0.18752
Covariance
0.00354
r
0.18878
b (slope, estimate of beta)
0.35422
a (intercept, estimate of alpha)
0.10554
Mean Square Error
0.03532
DF error
24.00000
t(b)
0.94176
p(b)
0.17785
t(a)
0.73794
p(a)
0.76615
Lowerbound of 95% confidence interval for beta
0.42206
Upperbound of 95% confidence interval for beta
1.13050
Lowerbound of 95% confidence interval for alpha
0.40073
Upperbound of 95% confidence interval for alpha
0.18964
Treynor index (mean / b)
0.12664
Jensen alpha (a)
0.10554
Mean
0.06145
SD
0.18432
Sharpe ratio (Glass type estimate)
0.33341
Sharpe ratio (Hedges UMVUE)
0.32329
df
25.00000
t
0.49077
p
0.68607
Lowerbound of 95% confidence interval for Sharpe Ratio
1.66483
Upperbound of 95% confidence interval for Sharpe Ratio
1.00458
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
1.65784
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
1.01125
Sortino ratio
0.50642
Upside Potential Ratio
1.79598
Upside part of mean
0.21794
Downside part of mean
0.27939
Upside SD
0.13511
Downside SD
0.12135
N nonnegative terms
9.00000
N negative terms
17.00000
N of observations
26.00000
Mean of predictor
0.16527
Mean of criterion
0.06145
SD of predictor
0.09906
SD of criterion
0.18432
Covariance
0.00341
r
0.18649
b (slope, estimate of beta)
0.34697
a (intercept, estimate of alpha)
0.11880
Mean Square Error
0.03416
DF error
24.00000
t(b)
0.92991
p(b)
0.18084
t(a)
0.84926
p(a)
0.79793
Lowerbound of 95% confidence interval for beta
0.42312
Upperbound of 95% confidence interval for beta
1.11707
Lowerbound of 95% confidence interval for alpha
0.40751
Upperbound of 95% confidence interval for alpha
0.16991
Treynor index (mean / b)
0.17711
Jensen alpha (a)
0.11880
VaR(95%)
0.08848
Expected Shortfall on VaR
0.10835
VaR(95%)
0.05985
Expected Shortfall on VaR
0.08894
Number of observations
26.00000
Minimum
0.91976
Quartile 1
0.96598
Median
0.98716
Quartile 3
1.01180
Maximum
1.12606
Mean of quarter 1
0.94206
Mean of quarter 2
0.97727
Mean of quarter 3
0.99712
Mean of quarter 4
1.06909
Inter Quartile Range
0.04582
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
0.11539
Mean of outliers high
1.10833
Extreme Value Index (moments method)
1.19988
VaR(95%) (moments method)
0.06407
Expected Shortfall (moments method)
0.06706
Extreme Value Index (regression method)
0.79527
VaR(95%) (regression method)
0.06760
Expected Shortfall (regression method)
0.07291
Number of observations
2.00000
Minimum
0.03042
Quartile 1
0.11583
Median
0.20124
Quartile 3
0.28666
Maximum
0.37207
Mean of quarter 1
0.03042
Mean of quarter 2
0.00000
Mean of quarter 3
0.00000
Mean of quarter 4
0.37207
Inter Quartile Range
0.17083
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
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
Annualized return (arithmetic extrapolation)
0.04873
Compounded annual return (geometric extrapolation)
0.05020
Calmar ratio (compounded annual return / max draw down)
0.13492
Compounded annual return / average of 25% largest draw downs
0.13492
Compounded annual return / Expected Shortfall lognormal
0.46332
0.00000
0.00000
Mean
0.04268
SD
0.16358
Sharpe ratio (Glass type estimate)
0.26091
Sharpe ratio (Hedges UMVUE)
0.26065
df
766.00000
t
0.38959
p
0.65152
Lowerbound of 95% confidence interval for Sharpe Ratio
1.57352
Upperbound of 95% confidence interval for Sharpe Ratio
1.05180
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
1.57331
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
1.05201
Sortino ratio
0.38705
Upside Potential Ratio
7.82843
Upside part of mean
0.86320
Downside part of mean
0.90588
Upside SD
0.12070
Downside SD
0.11027
N nonnegative terms
313.00000
N negative terms
454.00000
N of observations
767.00000
Mean of predictor
0.17133
Mean of criterion
0.04268
SD of predictor
0.10775
SD of criterion
0.16358
Covariance
0.00406
r
0.23056
b (slope, estimate of beta)
0.35002
a (intercept, estimate of alpha)
0.10265
Mean Square Error
0.02537
DF error
765.00000
t(b)
6.55370
p(b)
0.00000
t(a)
0.95878
p(a)
0.83101
Lowerbound of 95% confidence interval for beta
0.24518
Upperbound of 95% confidence interval for beta
0.45486
Lowerbound of 95% confidence interval for alpha
0.31281
Upperbound of 95% confidence interval for alpha
0.10752
Treynor index (mean / b)
0.12193
Jensen alpha (a)
0.10265
Mean
0.05599
SD
0.16311
Sharpe ratio (Glass type estimate)
0.34326
Sharpe ratio (Hedges UMVUE)
0.34292
df
766.00000
t
0.51255
p
0.69579
Lowerbound of 95% confidence interval for Sharpe Ratio
1.65587
Upperbound of 95% confidence interval for Sharpe Ratio
0.96954
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
1.65562
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
0.96978
Sortino ratio
0.50228
Upside Potential Ratio
7.67929
Upside part of mean
0.85603
Downside part of mean
0.91202
Upside SD
0.11897
Downside SD
0.11147
N nonnegative terms
313.00000
N negative terms
454.00000
N of observations
767.00000
Mean of predictor
0.16548
Mean of criterion
0.05599
SD of predictor
0.10778
SD of criterion
0.16311
Covariance
0.00405
r
0.23017
b (slope, estimate of beta)
0.34834
a (intercept, estimate of alpha)
0.11363
Mean Square Error
0.02523
DF error
765.00000
t(b)
6.54178
p(b)
0.00000
t(a)
1.06459
p(a)
0.85630
Lowerbound of 95% confidence interval for beta
0.24381
Upperbound of 95% confidence interval for beta
0.45287
Lowerbound of 95% confidence interval for alpha
0.32317
Upperbound of 95% confidence interval for alpha
0.09590
Treynor index (mean / b)
0.16073
Jensen alpha (a)
0.11363
VaR(95%)
0.01452
Expected Shortfall on VaR
0.01813
VaR(95%)
0.00670
Expected Shortfall on VaR
0.01340
Number of observations
767.00000
Minimum
0.95411
Quartile 1
0.99698
Median
1.00000
Quartile 3
1.00225
Maximum
1.05172
Mean of quarter 1
0.99053
Mean of quarter 2
0.99901
Mean of quarter 3
1.00065
Mean of quarter 4
1.00943
Inter Quartile Range
0.00527
Number outliers low
51.00000
Percentage of outliers low
0.06649
Mean of outliers low
0.98164
Number of outliers high
56.00000
Percentage of outliers high
0.07301
Mean of outliers high
1.01973
Extreme Value Index (moments method)
0.26341
VaR(95%) (moments method)
0.00872
Expected Shortfall (moments method)
0.01462
Extreme Value Index (regression method)
0.11220
VaR(95%) (regression method)
0.00868
Expected Shortfall (regression method)
0.01300
Number of observations
16.00000
Minimum
0.00107
Quartile 1
0.00522
Median
0.01752
Quartile 3
0.04180
Maximum
0.39416
Mean of quarter 1
0.00169
Mean of quarter 2
0.01050
Mean of quarter 3
0.02564
Mean of quarter 4
0.15158
Inter Quartile Range
0.03658
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
0.06250
Mean of outliers high
0.39416
Extreme Value Index (moments method)
0.81407
VaR(95%) (moments method)
0.17019
Expected Shortfall (moments method)
0.86960
Extreme Value Index (regression method)
3.34041
VaR(95%) (regression method)
0.21453
Expected Shortfall (regression method)
0.00000
Annualized return (arithmetic extrapolation)
0.04376
Compounded annual return (geometric extrapolation)
0.04500
Calmar ratio (compounded annual return / max draw down)
0.11416
Compounded annual return / average of 25% largest draw downs
0.29685
Compounded annual return / Expected Shortfall lognormal
2.48164
0.00000
0.00000
Mean
0.18596
SD
0.07732
Sharpe ratio (Glass type estimate)
2.40512
Sharpe ratio (Hedges UMVUE)
2.39456
df
171.00000
t
1.70068
p
0.58188
Lowerbound of 95% confidence interval for Sharpe Ratio
5.18514
Upperbound of 95% confidence interval for Sharpe Ratio
0.38176
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
5.17796
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
0.38884
Sortino ratio
2.91471
Upside Potential Ratio
6.18586
Upside part of mean
0.39466
Downside part of mean
0.58062
Upside SD
0.04442
Downside SD
0.06380
N nonnegative terms
70.00000
N negative terms
102.00000
N of observations
172.00000
Mean of predictor
0.16201
Mean of criterion
0.18596
SD of predictor
0.08899
SD of criterion
0.07732
Covariance
0.00042
r
0.06152
b (slope, estimate of beta)
0.05345
a (intercept, estimate of alpha)
0.19462
Mean Square Error
0.00599
DF error
170.00000
t(b)
0.80368
p(b)
0.46924
t(a)
1.76948
p(a)
0.56724
Lowerbound of 95% confidence interval for beta
0.07784
Upperbound of 95% confidence interval for beta
0.18475
Lowerbound of 95% confidence interval for alpha
0.41174
Upperbound of 95% confidence interval for alpha
0.02250
Treynor index (mean / b)
3.47882
Jensen alpha (a)
0.19462
Mean
0.18898
SD
0.07746
Sharpe ratio (Glass type estimate)
2.43965
Sharpe ratio (Hedges UMVUE)
2.42893
df
171.00000
t
1.72509
p
0.58302
Lowerbound of 95% confidence interval for Sharpe Ratio
5.22000
Upperbound of 95% confidence interval for Sharpe Ratio
0.34769
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
5.21266
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
0.35480
Sortino ratio
2.94680
Upside Potential Ratio
6.13837
Upside part of mean
0.39367
Downside part of mean
0.58265
Upside SD
0.04423
Downside SD
0.06413
N nonnegative terms
70.00000
N negative terms
102.00000
N of observations
172.00000
Mean of predictor
0.15802
Mean of criterion
0.18898
SD of predictor
0.08918
SD of criterion
0.07746
Covariance
0.00044
r
0.06402
b (slope, estimate of beta)
0.05561
a (intercept, estimate of alpha)
0.19777
Mean Square Error
0.00601
DF error
170.00000
t(b)
0.83643
p(b)
0.46799
t(a)
1.79549
p(a)
0.56821
Lowerbound of 95% confidence interval for beta
0.07563
Upperbound of 95% confidence interval for beta
0.18685
Lowerbound of 95% confidence interval for alpha
0.41521
Upperbound of 95% confidence interval for alpha
0.01966
Treynor index (mean / b)
3.39853
Jensen alpha (a)
0.19777
VaR(95%)
0.00739
Expected Shortfall on VaR
0.00912
VaR(95%)
0.00432
Expected Shortfall on VaR
0.00825
Number of observations
172.00000
Minimum
0.98027
Quartile 1
0.99759
Median
1.00000
Quartile 3
1.00188
Maximum
1.01733
Mean of quarter 1
0.99418
Mean of quarter 2
0.99913
Mean of quarter 3
1.00060
Mean of quarter 4
1.00404
Inter Quartile Range
0.00429
Number outliers low
6.00000
Percentage of outliers low
0.03488
Mean of outliers low
0.98722
Number of outliers high
2.00000
Percentage of outliers high
0.01163
Mean of outliers high
1.01289
Extreme Value Index (moments method)
0.05082
VaR(95%) (moments method)
0.00547
Expected Shortfall (moments method)
0.00757
Extreme Value Index (regression method)
0.24228
VaR(95%) (regression method)
0.00535
Expected Shortfall (regression method)
0.00823
Number of observations
1.00000
Minimum
0.10695
Quartile 1
0.10695
Median
0.10695
Quartile 3
0.10695
Maximum
0.10695
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
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
Annualized return (arithmetic extrapolation)
0.17125
Compounded annual return (geometric extrapolation)
0.16392
Calmar ratio (compounded annual return / max draw down)
1.53277
Compounded annual return / average of 25% largest draw downs
0.00000
Compounded annual return / Expected Shortfall lognormal
17.97120