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US Realized Income-Dividend System

Created by:
Lester John
Lester John
Started: 10/2012
Mostly Stocks; (some options)
Last trade: 250 days ago

Subscription terms. Subscriptions to this system cost $40.00 per month. You will be charged at the end of the term, but only if the Model Account on this web page has been profitable for the preceding month.

Try AutoTrade for free. We'll give you $100,000 in a Simulated Broker Account to AutoTrade US Realized Income-Dividend System.

Free AutoTrade
-14.1%
Annual Return (Compounded)
61.2%
Max Drawdown
535
Num Trades
90.3%
Win Trades
0.8 : 1
Profit Factor
59.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                               +1.0%+2.4%+1.2%+4.7%
2013+4.6%(2.6%)+0.2%+3.9%+2.3%(5.5%)(4.6%)(1.2%)+4.2%+5.8%(10.5%)(11.9%)(16.1%)
2014+17.1%(13%)(0.7%)(33.5%)(25.3%)+21.5%+20.3%+0.9%(0.1%)+0.9%+2.7%+6.4%(18.6%)

Model Account Details

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

Closed Trades

CSV
Show More detailsShow fewer details
Opened ETB/S#Symbol PriceClosedPriceDDP/L
11/13/13 10:08 SELL 800 SRPT SAREPTA THERAPEUTICS 13.73 12/15/14 14:59 13.23 7.15%
Trade id #84051196
Max drawdown($2,619)
Time11/24/14 7:23
Quant open-600
Worst price18.10
Drawdown as % of equity-7.15%
$388
Includes Typical Broker Commission and AutoTrade Fees trade costs of $16.00
4/11/14 10:44 SELL 100 SPWR SUNPOWER 27.04 4/11 14:31 26.64 0.12%
Trade id #87010988
Max drawdown($52)
Time4/11/14 10:58
Quant open-100
Worst price27.56
Drawdown as % of equity-0.12%
$38
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
4/11/14 9:36 SELL 100 WDAY WORKDAY 74.17 4/11 10:23 74.00 0.43%
Trade id #87008511
Max drawdown($179)
Time4/11/14 9:56
Quant open-100
Worst price75.96
Drawdown as % of equity-0.43%
$15
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
4/1/14 9:48 BUY 200 FIVE FIVE BELOW INC 43.03 4/10 15:20 37.32 2.75%
Trade id #86796700
Max drawdown($1,165)
Time4/10/14 15:18
Quant open200
Worst price37.21
Drawdown as % of equity-2.75%
($1,147)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $4.00
3/27/14 12:56 SELL 500 SFUN SOUFUN HOLDINGS ADR 13.16 4/8 12:57 13.10 73.05%
Trade id #86722358
Max drawdown($32,605)
Time4/2/14 9:42
Quant open-500
Worst price78.37
Drawdown as % of equity-73.05%
$22
Includes Typical Broker Commission and AutoTrade Fees trade costs of $10.00
3/31/14 10:24 BUY 100 GPOR GULFPORT ENERGY CORP 70.35 3/31 14:48 70.88 0.14%
Trade id #86772653
Max drawdown($64)
Time3/31/14 11:13
Quant open100
Worst price69.71
Drawdown as % of equity-0.14%
$51
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
3/26/14 10:42 BUY 300 STX SEAGATE TECHNOLOGY 55.60 3/31 10:30 55.80 0.3%
Trade id #86690926
Max drawdown($141)
Time3/27/14 11:35
Quant open100
Worst price54.46
Drawdown as % of equity-0.30%
$54
Includes Typical Broker Commission and AutoTrade Fees trade costs of $6.00
3/28/14 11:38 SELL 100 NOW SERVICENOW 58.93 3/28 14:06 58.52 0.1%
Trade id #86745492
Max drawdown($48)
Time3/28/14 12:39
Quant open-100
Worst price59.41
Drawdown as % of equity-0.10%
$39
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
3/28/14 11:10 SELL 100 NPSP NPS PHARMA 28.36 3/28 11:33 28.07 0.01%
Trade id #86744382
Max drawdown($4)
Time3/28/14 11:12
Quant open-100
Worst price28.40
Drawdown as % of equity-0.01%
$27
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
3/27/14 15:30 BUY 100 SODA SODASTREAM INTERNATIONAL 42.66 3/28 9:44 43.25 0.02%
Trade id #86726160
Max drawdown($11)
Time3/27/14 15:56
Quant open100
Worst price42.55
Drawdown as % of equity-0.02%
$57
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
3/27/14 13:35 SELL 100 AWAY HOMEAWAY 38.40 3/27 14:35 38.09 -0%
Trade id #86723372
Max drawdown($1)
Time3/27/14 13:37
Quant open-100
Worst price38.41
Drawdown as % of equity-0.00%
$29
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
3/26/14 14:37 SELL 100 AEGR AEGERION PHARMACEUTICALS 45.23 3/27 12:05 44.84 0.4%
Trade id #86698017
Max drawdown($190)
Time3/27/14 10:08
Quant open-100
Worst price47.13
Drawdown as % of equity-0.40%
$37
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
3/26/14 13:23 SELL 100 MPEL MELCO CROWN ENTERTAINMENT ADR 37.16 3/27 12:05 35.80 0.02%
Trade id #86695789
Max drawdown($9)
Time3/26/14 13:45
Quant open-100
Worst price37.25
Drawdown as % of equity-0.02%
$134
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
3/24/14 13:41 SELL 100 RYL RYLAND GROUP INC THE 38.77 3/27 12:04 38.27 0.22%
Trade id #86640911
Max drawdown($107)
Time3/25/14 9:33
Quant open-100
Worst price39.84
Drawdown as % of equity-0.22%
$48
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
3/27/14 10:06 BUY 100 SODA SODASTREAM INTERNATIONAL 43.02 3/27 10:26 43.10 0.04%
Trade id #86717123
Max drawdown($20)
Time3/27/14 10:08
Quant open100
Worst price42.81
Drawdown as % of equity-0.04%
$6
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
3/26/14 10:24 SELL 100 SFLY SHUTTERFLY INC 43.49 3/26 13:22 42.92 0.07%
Trade id #86690369
Max drawdown($34)
Time3/26/14 11:30
Quant open-100
Worst price43.83
Drawdown as % of equity-0.07%
$55
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
3/24/14 14:21 SELL 400 NPSP NPS PHARMA 28.46 3/26 13:22 28.32 1.09%
Trade id #86642687
Max drawdown($538)
Time3/25/14 9:31
Quant open-200
Worst price30.45
Drawdown as % of equity-1.09%
$48
Includes Typical Broker Commission and AutoTrade Fees trade costs of $8.00
3/25/14 12:11 BUY 100 SNDK SANDISK CORP 80.40 3/26 9:32 81.64 0.05%
Trade id #86666677
Max drawdown($24)
Time3/25/14 12:29
Quant open100
Worst price80.16
Drawdown as % of equity-0.05%
$122
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
3/25/14 10:17 BUY 300 TRLA TRULIA 35.13 3/25 15:46 35.39 0.75%
Trade id #86662059
Max drawdown($370)
Time3/25/14 12:29
Quant open300
Worst price33.90
Drawdown as % of equity-0.75%
$72
Includes Typical Broker Commission and AutoTrade Fees trade costs of $6.00
3/25/14 10:36 SELL 100 INCY INCYTE CORPORATION 55.16 3/25 11:58 53.54 0.04%
Trade id #86662997
Max drawdown($19)
Time3/25/14 10:40
Quant open-100
Worst price55.35
Drawdown as % of equity-0.04%
$160
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
3/25/14 10:36 SELL 100 AWAY HOMEAWAY 39.50 3/25 11:58 38.49 n/a $99
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
10/22/13 10:02 BUY 100 SLB SCHLUMBERGER LTD 94.37 3/25/14 9:34 95.29 1.17%
Trade id #83636121
Max drawdown($549)
Time3/14/14 15:19
Quant open100
Worst price88.88
Drawdown as % of equity-1.17%
$90
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
3/24/14 11:49 SELL 100 AWAY HOMEAWAY 39.98 3/24 15:44 39.56 0.04%
Trade id #86638137
Max drawdown($21)
Time3/24/14 12:05
Quant open-100
Worst price40.19
Drawdown as % of equity-0.04%
$40
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
3/24/14 11:50 SELL 200 ISIS ISIS PHARMACEUTICALS INC 41.70 3/24 15:03 41.98 0.23%
Trade id #86638179
Max drawdown($110)
Time3/24/14 12:10
Quant open-100
Worst price42.50
Drawdown as % of equity-0.23%
($59)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $4.00
3/24/14 11:50 SELL 200 NPSP NPS PHARMA 27.97 3/24 12:59 27.47 0.06%
Trade id #86638169
Max drawdown($28)
Time3/24/14 12:11
Quant open-200
Worst price28.11
Drawdown as % of equity-0.06%
$96
Includes Typical Broker Commission and AutoTrade Fees trade costs of $4.00
3/24/14 11:32 SELL 200 SALE RETAILMENOT INC. SERIES 1 COM 35.48 3/24 12:14 35.17 0.07%
Trade id #86637684
Max drawdown($34)
Time3/24/14 11:43
Quant open-200
Worst price35.65
Drawdown as % of equity-0.07%
$58
Includes Typical Broker Commission and AutoTrade Fees trade costs of $4.00
3/24/14 10:07 SELL 200 YOKU YOUKU.COM INC 28.35 3/24 11:14 27.62 0.03%
Trade id #86634285
Max drawdown($16)
Time3/24/14 10:15
Quant open-200
Worst price28.43
Drawdown as % of equity-0.03%
$142
Includes Typical Broker Commission and AutoTrade Fees trade costs of $4.00
3/24/14 9:47 SELL 200 AEGR AEGERION PHARMACEUTICALS 46.69 3/24 11:14 45.93 0.22%
Trade id #86633524
Max drawdown($105)
Time3/24/14 10:01
Quant open-100
Worst price47.74
Drawdown as % of equity-0.22%
$147
Includes Typical Broker Commission and AutoTrade Fees trade costs of $4.00
3/24/14 10:15 SELL 100 GILD GILEAD SCIENCES INC 69.95 3/24 10:51 69.98 0.22%
Trade id #86634683
Max drawdown($106)
Time3/24/14 10:30
Quant open-100
Worst price71.01
Drawdown as % of equity-0.22%
($5)
Includes Typical Broker Commission and AutoTrade Fees trade costs of $2.00
3/21/14 10:47 BUY 200 WLP WELLPOINT INC. 100.37 3/24 9:33 101.20 0.29%
Trade id #86608759
Max drawdown($144)
Time3/21/14 15:49
Quant open200
Worst price99.65
Drawdown as % of equity-0.29%
$162
Includes Typical Broker Commission and AutoTrade Fees trade costs of $4.00

Statistics

  • Strategy began
    10/7/2012
  • Age
    27 months ago
  • What it trades
    Stocks
  • # Trades
    535
  • # Profitable
    483
  • % Profitable
    90.30%
  • Avg trade duration
    20.2 days
  • Max peak-to-valley drawdown
    61.18%
  • drawdown period
    Nov 09, 2013 - June 06, 2014
  • Annual Return (Compounded)
    -14.1%
  • Avg win
    $95.28
  • Avg loss
    $1,129
  • W:L ratio
    0.83:1
  • Open PL
    ($36,988)
  • Open PL (start day)
    ($36,989)
  • Open PL Change $
    $0.50
  • Open PL Change %
    n/a
  • Close PL
    $24,269
  • Closed PL (start day)
    $24,427
  • Closed PL Change $
    ($157.2)
  • Closed PL Change %
    -0.64%
  • Equity
    $37,437
  • Equity (start day)
    $37,438
  • Equity Change $
    ($0.02)
  • Equity Change %
    n/a
  • GENERAL STATISTICS
  • Age
    800
  • # Trades
    535
  • Avg Trade Length
    20.2
  • PROFIT
  • Profit Factor
    0.8
  • SORTINO STATISTICS
  • Sortino Ratio
    -0.787
  • CALMAR STATISTICS
  • Calmar Ratio
    -0.234
  • Ann Return (w trading costs)
    -14.1%
  • SHARPE STATISTICS
  • Sharpe Ratio
    -0.565
  • Ann Return (Compnd, No Fees)
    -12.3%
  • 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 50% account loss
    100.00%
  • PROFIT STATISTICS
  • APD
    -0.07
  • DRAW DOWN STATISTICS
  • Max Drawdown
    61.2%
  • POPULARITY STATISTICS
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • TOS STATISTICS
  • Trades Own System?
    0
  • TOS percent
    n/a
  • BILLING STATISTICS
  • Subscription Price
    $40
  • Billing Period (days)
    30
  • Trial Days
    0
  • WIN STATISTICS
  • Avg Loss
    $1,130
  • Avg Win
    $95
  • # Winners
    483
  • # Losers
    52
  • % Winners
    90.3%
  • TIME STATISTICS
  • Avg Position Time (mins)
    29155.00
  • Avg Position Time (hrs)
    485.92
  • OWNER STATISTICS
  • Developer
    -
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.09937
  • SD
    0.48732
  • Sharpe ratio (Glass type estimate)
    -0.20390
  • Sharpe ratio (Hedges UMVUE)
    -0.19652
  • df
    21.00000
  • t
    -0.27609
  • p
    0.53826
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.65036
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.24732
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.64527
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.25223
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.28131
  • Upside Potential Ratio
    1.22968
  • Upside part of mean
    0.43435
  • Downside part of mean
    -0.53372
  • Upside SD
    0.32053
  • Downside SD
    0.35323
  • N nonnegative terms
    9.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.13434
  • Mean of criterion
    -0.09937
  • SD of predictor
    0.09064
  • SD of criterion
    0.48732
  • Covariance
    -0.00647
  • r
    -0.14649
  • b (slope, estimate of beta)
    -0.78760
  • a (intercept, estimate of alpha)
    0.00644
  • Mean Square Error
    0.24400
  • DF error
    20.00000
  • t(b)
    -0.66229
  • p(b)
    0.57325
  • t(a)
    0.01616
  • p(a)
    0.49819
  • Lowerbound of 95% confidence interval for beta
    -3.26824
  • Upperbound of 95% confidence interval for beta
    1.69305
  • Lowerbound of 95% confidence interval for alpha
    -0.82433
  • Upperbound of 95% confidence interval for alpha
    0.83720
  • Treynor index (mean / b)
    0.12616
  • Jensen alpha (a)
    0.00644
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.22368
  • SD
    0.52448
  • Sharpe ratio (Glass type estimate)
    -0.42647
  • Sharpe ratio (Hedges UMVUE)
    -0.41103
  • df
    21.00000
  • t
    -0.57745
  • p
    0.57938
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.87468
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.03169
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.86388
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.04183
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.51094
  • Upside Potential Ratio
    0.89631
  • Upside part of mean
    0.39238
  • Downside part of mean
    -0.61605
  • Upside SD
    0.27404
  • Downside SD
    0.43777
  • N nonnegative terms
    9.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.12961
  • Mean of criterion
    -0.22368
  • SD of predictor
    0.09023
  • SD of criterion
    0.52448
  • Covariance
    -0.00826
  • r
    -0.17459
  • b (slope, estimate of beta)
    -1.01487
  • a (intercept, estimate of alpha)
    -0.09213
  • Mean Square Error
    0.28003
  • DF error
    20.00000
  • t(b)
    -0.79297
  • p(b)
    0.58730
  • t(a)
    -0.21701
  • p(a)
    0.52423
  • Lowerbound of 95% confidence interval for beta
    -3.68456
  • Upperbound of 95% confidence interval for beta
    1.65481
  • Lowerbound of 95% confidence interval for alpha
    -0.97777
  • Upperbound of 95% confidence interval for alpha
    0.79350
  • Treynor index (mean / b)
    0.22040
  • Jensen alpha (a)
    -0.09213
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.23484
  • Expected Shortfall on VaR
    0.28065
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.11286
  • Expected Shortfall on VaR
    0.22726
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.58604
  • Quartile 1
    0.96795
  • Median
    0.99399
  • Quartile 3
    1.04144
  • Maximum
    1.40800
  • Mean of quarter 1
    0.85299
  • Mean of quarter 2
    0.98364
  • Mean of quarter 3
    1.01586
  • Mean of quarter 4
    1.12010
  • Inter Quartile Range
    0.07349
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.09091
  • Mean of outliers low
    0.71480
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.04545
  • Mean of outliers high
    1.40800
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.43240
  • VaR(95%) (moments method)
    0.10729
  • Expected Shortfall (moments method)
    0.13147
  • Extreme Value Index (regression method)
    0.39763
  • VaR(95%) (regression method)
    0.21038
  • Expected Shortfall (regression method)
    0.45324
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00334
  • Quartile 1
    0.02259
  • Median
    0.07179
  • Quartile 3
    0.23371
  • Maximum
    0.59112
  • Mean of quarter 1
    0.00334
  • Mean of quarter 2
    0.02900
  • Mean of quarter 3
    0.11457
  • Mean of quarter 4
    0.59112
  • Inter Quartile Range
    0.21112
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    0.59112
  • 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)
    -0.17683
  • Compounded annual return (geometric extrapolation)
    -0.19243
  • Calmar ratio (compounded annual return / max draw down)
    -0.32553
  • Compounded annual return / average of 25% largest draw downs
    -0.32553
  • Compounded annual return / Expected Shortfall lognormal
    -0.68567
  • 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
    -0.12221
  • SD
    0.29125
  • Sharpe ratio (Glass type estimate)
    -0.41959
  • Sharpe ratio (Hedges UMVUE)
    -0.41911
  • df
    655.00000
  • t
    -0.57943
  • p
    0.71875
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.83897
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.00001
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.83859
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.00037
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.60189
  • Upside Potential Ratio
    6.46165
  • Upside part of mean
    1.31197
  • Downside part of mean
    -1.43418
  • Upside SD
    0.20861
  • Downside SD
    0.20304
  • N nonnegative terms
    299.00000
  • N negative terms
    357.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    656.00000
  • Mean of predictor
    0.15922
  • Mean of criterion
    -0.12221
  • SD of predictor
    0.11914
  • SD of criterion
    0.29125
  • Covariance
    -0.00137
  • r
    -0.03947
  • b (slope, estimate of beta)
    -0.09650
  • a (intercept, estimate of alpha)
    -0.10684
  • Mean Square Error
    0.08483
  • DF error
    654.00000
  • t(b)
    -1.01027
  • p(b)
    0.84363
  • t(a)
    -0.50527
  • p(a)
    0.69323
  • Lowerbound of 95% confidence interval for beta
    -0.28405
  • Upperbound of 95% confidence interval for beta
    0.09106
  • Lowerbound of 95% confidence interval for alpha
    -0.52206
  • Upperbound of 95% confidence interval for alpha
    0.30837
  • Treynor index (mean / b)
    1.26643
  • Jensen alpha (a)
    -0.10684
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.16444
  • SD
    0.29063
  • Sharpe ratio (Glass type estimate)
    -0.56581
  • Sharpe ratio (Hedges UMVUE)
    -0.56516
  • df
    655.00000
  • t
    -0.78134
  • p
    0.78256
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.98527
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.85400
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.98479
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.85448
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.78703
  • Upside Potential Ratio
    6.17932
  • Upside part of mean
    1.29110
  • Downside part of mean
    -1.45555
  • Upside SD
    0.20190
  • Downside SD
    0.20894
  • N nonnegative terms
    299.00000
  • N negative terms
    357.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    656.00000
  • Mean of predictor
    0.15209
  • Mean of criterion
    -0.16444
  • SD of predictor
    0.11917
  • SD of criterion
    0.29063
  • Covariance
    -0.00148
  • r
    -0.04287
  • b (slope, estimate of beta)
    -0.10456
  • a (intercept, estimate of alpha)
    -0.14854
  • Mean Square Error
    0.08444
  • DF error
    654.00000
  • t(b)
    -1.09743
  • p(b)
    0.86357
  • t(a)
    -0.70422
  • p(a)
    0.75923
  • Lowerbound of 95% confidence interval for beta
    -0.29164
  • Upperbound of 95% confidence interval for beta
    0.08253
  • Lowerbound of 95% confidence interval for alpha
    -0.56272
  • Upperbound of 95% confidence interval for alpha
    0.26564
  • Treynor index (mean / b)
    1.57271
  • Jensen alpha (a)
    -0.14854
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02591
  • Expected Shortfall on VaR
    0.03225
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00995
  • Expected Shortfall on VaR
    0.02118
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    656.00000
  • Minimum
    0.88411
  • Quartile 1
    0.99627
  • Median
    1.00000
  • Quartile 3
    1.00365
  • Maximum
    1.10936
  • Mean of quarter 1
    0.98460
  • Mean of quarter 2
    0.99879
  • Mean of quarter 3
    1.00125
  • Mean of quarter 4
    1.01406
  • Inter Quartile Range
    0.00738
  • Number outliers low
    54.00000
  • Percentage of outliers low
    0.08232
  • Mean of outliers low
    0.96988
  • Number of outliers high
    35.00000
  • Percentage of outliers high
    0.05335
  • Mean of outliers high
    1.03783
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.43054
  • VaR(95%) (moments method)
    0.01337
  • Expected Shortfall (moments method)
    0.02799
  • Extreme Value Index (regression method)
    0.26511
  • VaR(95%) (regression method)
    0.01360
  • Expected Shortfall (regression method)
    0.02386
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00130
  • Median
    0.00550
  • Quartile 3
    0.01496
  • Maximum
    0.61178
  • Mean of quarter 1
    0.00059
  • Mean of quarter 2
    0.00370
  • Mean of quarter 3
    0.01167
  • Mean of quarter 4
    0.20328
  • Inter Quartile Range
    0.01366
  • 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
    0.18750
  • Mean of outliers high
    0.26559
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.35738
  • VaR(95%) (moments method)
    0.07940
  • Expected Shortfall (moments method)
    0.17250
  • Extreme Value Index (regression method)
    1.43699
  • VaR(95%) (regression method)
    0.38807
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.13381
  • Compounded annual return (geometric extrapolation)
    -0.14315
  • Calmar ratio (compounded annual return / max draw down)
    -0.23399
  • Compounded annual return / average of 25% largest draw downs
    -0.70420
  • Compounded annual return / Expected Shortfall lognormal
    -4.43845
  • 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
    -0.50257
  • SD
    0.51811
  • Sharpe ratio (Glass type estimate)
    -0.97001
  • Sharpe ratio (Hedges UMVUE)
    -0.96574
  • df
    171.00000
  • t
    -0.68590
  • p
    0.53333
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.74235
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.80508
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.73944
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.80795
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.40689
  • Upside Potential Ratio
    7.46752
  • Upside part of mean
    2.66753
  • Downside part of mean
    -3.17010
  • Upside SD
    0.37417
  • Downside SD
    0.35722
  • N nonnegative terms
    66.00000
  • N negative terms
    106.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.15623
  • Mean of criterion
    -0.50257
  • SD of predictor
    0.12939
  • SD of criterion
    0.51811
  • Covariance
    -0.00951
  • r
    -0.14180
  • b (slope, estimate of beta)
    -0.56781
  • a (intercept, estimate of alpha)
    -0.41386
  • Mean Square Error
    0.26459
  • DF error
    170.00000
  • t(b)
    -1.86774
  • p(b)
    0.57090
  • t(a)
    -0.56772
  • p(a)
    0.52175
  • Lowerbound of 95% confidence interval for beta
    -1.16792
  • Upperbound of 95% confidence interval for beta
    0.03231
  • Lowerbound of 95% confidence interval for alpha
    -1.85290
  • Upperbound of 95% confidence interval for alpha
    1.02518
  • Treynor index (mean / b)
    0.88510
  • Jensen alpha (a)
    -0.41386
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.63580
  • SD
    0.51632
  • Sharpe ratio (Glass type estimate)
    -1.23141
  • Sharpe ratio (Hedges UMVUE)
    -1.22600
  • df
    171.00000
  • t
    -0.87074
  • p
    0.54227
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.00450
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.54526
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.00085
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.54885
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.72253
  • Upside Potential Ratio
    7.04632
  • Upside part of mean
    2.60085
  • Downside part of mean
    -3.23665
  • Upside SD
    0.36051
  • Downside SD
    0.36911
  • N nonnegative terms
    66.00000
  • N negative terms
    106.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.14788
  • Mean of criterion
    -0.63580
  • SD of predictor
    0.12931
  • SD of criterion
    0.51632
  • Covariance
    -0.01000
  • r
    -0.14976
  • b (slope, estimate of beta)
    -0.59797
  • a (intercept, estimate of alpha)
    -0.54737
  • Mean Square Error
    0.26214
  • DF error
    170.00000
  • t(b)
    -1.97493
  • p(b)
    0.57488
  • t(a)
    -0.75453
  • p(a)
    0.52889
  • Lowerbound of 95% confidence interval for beta
    -1.19566
  • Upperbound of 95% confidence interval for beta
    -0.00028
  • Lowerbound of 95% confidence interval for alpha
    -1.97942
  • Upperbound of 95% confidence interval for alpha
    0.88468
  • Treynor index (mean / b)
    1.06327
  • Jensen alpha (a)
    -0.54737
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04652
  • Expected Shortfall on VaR
    0.05750
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02411
  • Expected Shortfall on VaR
    0.04639
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.88411
  • Quartile 1
    0.98676
  • Median
    0.99938
  • Quartile 3
    1.00623
  • Maximum
    1.10936
  • Mean of quarter 1
    0.96868
  • Mean of quarter 2
    0.99457
  • Mean of quarter 3
    1.00145
  • Mean of quarter 4
    1.02958
  • Inter Quartile Range
    0.01947
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.05233
  • Mean of outliers low
    0.93342
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.06395
  • Mean of outliers high
    1.06817
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35738
  • VaR(95%) (moments method)
    0.03324
  • Expected Shortfall (moments method)
    0.05893
  • Extreme Value Index (regression method)
    0.34245
  • VaR(95%) (regression method)
    0.02877
  • Expected Shortfall (regression method)
    0.04789
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.54432
  • Quartile 1
    0.54432
  • Median
    0.54432
  • Quartile 3
    0.54432
  • Maximum
    0.54432
  • 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)
    -0.53739
  • Compounded annual return (geometric extrapolation)
    -0.46519
  • Calmar ratio (compounded annual return / max draw down)
    -0.85463
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -8.09067

Strategy Description

This is a computer driven model that picks long and short positions based on the direction of the market and the stock. It is a trading system purely focused on the direction of the market and limiting risk when possible.

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. For any trading system on our Web site, we assume you will invest the amount that appears as the starting amount of that system's performance chart.
  • 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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