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Featured Strategy QUANT AI Gold and Silver +36.6% Cumul. Return since Sep 23, 2025 Hypothetical

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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
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PockETFul
(78491186)

Created by: GabsGarcia-Kairuz GabsGarcia-Kairuz
Started: 01/2013
Stocks
Last trade: 3,660 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 $70.00 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.

-10.5%
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.

(53.7%)
Max Drawdown
118
Num Trades
43.2%
Win Trades
0.9 : 1
Profit Factor
12.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013+12.5%+0.2%+0.3%+2.2%+2.7%(4.4%)(1.9%)+1.6%+2.7%+0.2%(2.2%)(3.1%)+10.2%
2014(3.7%)+1.9%(6.9%)+0.5%+2.1%+1.9%(4.1%)+7.4%(3.2%)(8.3%)(1.6%)(13.3%)(25.5%)
2015(1.5%)(3.2%)(2.4%)(4.7%)+3.3%+3.3%+0.2%(16.1%)(6.6%)(0.9%)+0.9%(3%)(27.8%)
2016(5.4%)(6.9%)+7.0%+4.1%+10.5%(2.7%)  -    -    -    -    -    -  +5.3%
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2025  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2026  -    -    -    -    -    -                                      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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/11/16 12:03 SSO PROSHARES ULTRA S&P 500 LONG 936 63.92 6/1 9:30 65.05 6.57%
Trade id #102295230
Max drawdown($1,283)
Time5/19/16 11:14
Quant open624
Worst price61.86
Drawdown as % of equity-6.57%
 $1,049
Includes Typical Broker Commissions trade costs of $14.98
5/10/16 9:30 SSO PROSHARES ULTRA S&P 500 LONG 312 64.38 5/10 10:39 64.86 0.11%
Trade id #102270036
Max drawdown($21)
Time5/10/16 9:33
Quant open312
Worst price64.31
Drawdown as % of equity-0.11%
 $144
Includes Typical Broker Commissions trade costs of $6.24
4/11/16 9:30 SSO PROSHARES ULTRA S&P 500 LONG 305 63.58 4/21 14:35 65.68 1.81%
Trade id #101754043
Max drawdown($344)
Time4/11/16 18:06
Quant open305
Worst price62.45
Drawdown as % of equity-1.81%
 $634
Includes Typical Broker Commissions trade costs of $6.10
3/17/16 9:30 SSO PROSHARES ULTRA S&P 500 LONG 300 61.93 3/31 13:46 63.97 0.74%
Trade id #101309332
Max drawdown($138)
Time3/24/16 9:34
Quant open300
Worst price61.47
Drawdown as % of equity-0.74%
 $606
Includes Typical Broker Commissions trade costs of $6.00
3/1/16 9:37 SSO PROSHARES ULTRA S&P 500 LONG 482 57.02 3/1 11:31 57.96 0.72%
Trade id #100918657
Max drawdown($130)
Time3/1/16 9:48
Quant open482
Worst price56.75
Drawdown as % of equity-0.72%
 $443
Includes Typical Broker Commissions trade costs of $9.64
3/1/16 9:30 SSO PROSHARES ULTRA S&P 500 LONG 324 57.09 3/1 9:36 57.00 0.25%
Trade id #100918258
Max drawdown($45)
Time3/1/16 9:36
Quant open324
Worst price56.95
Drawdown as % of equity-0.25%
 ($35)
Includes Typical Broker Commissions trade costs of $6.48
2/1/16 9:30 SSO PROSHARES ULTRA S&P 500 LONG 337 55.81 2/3 10:14 53.25 4.65%
Trade id #100283806
Max drawdown($863)
Time2/3/16 10:14
Quant open0
Worst price53.25
Drawdown as % of equity-4.65%
 ($870)
Includes Typical Broker Commissions trade costs of $6.74
12/24/15 9:30 SSO PROSHARES ULTRA S&P 500 LONG 313 64.09 1/4/16 9:30 60.77 5.53%
Trade id #98913888
Max drawdown($1,092)
Time1/4/16 7:20
Quant open313
Worst price60.60
Drawdown as % of equity-5.53%
 ($1,047)
Includes Typical Broker Commissions trade costs of $6.26
11/23/15 9:31 SSO PROSHARES ULTRA S&P 500 LONG 300 66.10 12/2 9:30 66.89 1.85%
Trade id #98486260
Max drawdown($362)
Time11/24/15 10:51
Quant open300
Worst price64.89
Drawdown as % of equity-1.85%
 $231
Includes Typical Broker Commissions trade costs of $6.00
10/19/15 9:30 SSO PROSHARES ULTRA S&P 500 LONG 304 62.03 10/26 9:30 64.95 1.04%
Trade id #97866377
Max drawdown($197)
Time10/21/15 16:16
Quant open304
Worst price61.38
Drawdown as % of equity-1.04%
 $882
Includes Typical Broker Commissions trade costs of $6.08
10/1/15 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 853 23.18 10/5 9:30 22.13 4.83%
Trade id #97546160
Max drawdown($929)
Time10/5/15 8:01
Quant open853
Worst price22.09
Drawdown as % of equity-4.83%
 ($901)
Includes Typical Broker Commissions trade costs of $5.00
8/17/15 9:31 SSO PROSHARES ULTRA S&P 500 LONG 352 66.08 9/1 9:30 56.09 27.05%
Trade id #96671923
Max drawdown($5,660)
Time8/24/15 9:32
Quant open352
Worst price50.00
Drawdown as % of equity-27.05%
 ($3,523)
Includes Typical Broker Commissions trade costs of $7.04
7/14/15 9:30 SSO PROSHARES ULTRA S&P 500 LONG 353 66.83 8/3 13:08 66.19 3.36%
Trade id #95873390
Max drawdown($780)
Time7/27/15 9:44
Quant open353
Worst price64.62
Drawdown as % of equity-3.36%
 ($233)
Includes Typical Broker Commissions trade costs of $7.06
6/15/15 9:30 SSO PROSHARES ULTRA S&P 500 LONG 343 65.75 6/19 12:00 67.89 0.81%
Trade id #95009738
Max drawdown($185)
Time6/15/15 9:51
Quant open343
Worst price65.21
Drawdown as % of equity-0.81%
 $727
Includes Typical Broker Commissions trade costs of $6.86
5/11/15 9:31 SSO PROSHARES ULTRA S&P 500 LONG 336 67.71 5/26 9:30 68.13 98.36%
Trade id #94344938
Max drawdown($11,316)
Time5/20/15 18:32
Quant open168
Worst price68.07
Drawdown as % of equity-98.36%
 $132
Includes Typical Broker Commissions trade costs of $6.72
4/13/15 9:31 SSO PROSHARES ULTRA S&P 500 LONG 336 66.78 5/4 9:31 67.57 2.78%
Trade id #93816410
Max drawdown($613)
Time4/17/15 14:17
Quant open168
Worst price129.90
Drawdown as % of equity-2.78%
 $258
Includes Typical Broker Commissions trade costs of $6.72
3/13/15 9:31 SSO PROSHARES ULTRA S&P 500 LONG 350 64.51 4/6 9:30 63.90 2.17%
Trade id #93208908
Max drawdown($483)
Time3/13/15 11:50
Quant open175
Worst price126.27
Drawdown as % of equity-2.17%
 ($224)
Includes Typical Broker Commissions trade costs of $7.00
3/13/15 9:30 SDS PROSHARES ULTRASHORT S&P500 SHORT 1,057 21.52 4/6 9:30 21.56 2.19%
Trade id #93208757
Max drawdown($486)
Time3/13/15 11:49
Quant open-1,057
Worst price21.98
Drawdown as % of equity-2.19%
 ($47)
Includes Typical Broker Commissions trade costs of $5.00
3/12/15 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 1,050 21.86 3/12 15:55 21.45 1.94%
Trade id #93177491
Max drawdown($441)
Time3/12/15 15:48
Quant open1,050
Worst price21.44
Drawdown as % of equity-1.94%
 ($436)
Includes Typical Broker Commissions trade costs of $5.00
2/13/15 9:31 SSO PROSHARES ULTRA S&P 500 LONG 332 66.04 3/4 9:34 66.64 0.3%
Trade id #92513320
Max drawdown($69)
Time2/20/15 10:02
Quant open166
Worst price131.67
Drawdown as % of equity-0.30%
 $191
Includes Typical Broker Commissions trade costs of $6.64
2/10/15 9:30 SSO PROSHARES ULTRA S&P 500 SHORT 374 64.07 2/13 9:31 66.04 3.51%
Trade id #92418001
Max drawdown($805)
Time2/13/15 8:56
Quant open-187
Worst price132.45
Drawdown as % of equity-3.51%
 ($746)
Includes Typical Broker Commissions trade costs of $7.48
2/12/15 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 1,077 21.36 2/12 15:55 21.17 1.06%
Trade id #92482518
Max drawdown($242)
Time2/12/15 15:45
Quant open1,077
Worst price21.13
Drawdown as % of equity-1.06%
 ($204)
Includes Typical Broker Commissions trade costs of $5.00
2/10/15 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 1,072 21.77 2/10 10:47 21.97 n/a $209
Includes Typical Broker Commissions trade costs of $5.00
2/6/15 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 1,077 21.65 2/6 15:01 21.85 0.69%
Trade id #92354426
Max drawdown($161)
Time2/6/15 10:49
Quant open1,077
Worst price21.50
Drawdown as % of equity-0.69%
 $210
Includes Typical Broker Commissions trade costs of $5.00
2/5/15 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 1,067 22.01 2/5 15:55 21.74 1.41%
Trade id #92324082
Max drawdown($330)
Time2/5/15 15:45
Quant open1,067
Worst price21.70
Drawdown as % of equity-1.41%
 ($293)
Includes Typical Broker Commissions trade costs of $5.00
1/28/15 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 1,043 22.22 1/28 10:33 22.42 0.04%
Trade id #92144891
Max drawdown($10)
Time1/28/15 9:32
Quant open1,043
Worst price22.21
Drawdown as % of equity-0.04%
 $204
Includes Typical Broker Commissions trade costs of $5.00
1/22/15 9:33 SDS PROSHARES ULTRASHORT S&P500 LONG 1,016 22.28 1/22 9:40 22.48 n/a $198
Includes Typical Broker Commissions trade costs of $5.00
1/12/15 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 1,037 22.23 1/12 9:36 22.43 0.2%
Trade id #91797689
Max drawdown($46)
Time1/12/15 9:32
Quant open1,037
Worst price22.18
Drawdown as % of equity-0.20%
 $202
Includes Typical Broker Commissions trade costs of $5.00
1/8/15 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 1,035 22.31 1/8 15:55 21.92 2.05%
Trade id #91742895
Max drawdown($476)
Time1/8/15 14:42
Quant open1,035
Worst price21.85
Drawdown as % of equity-2.05%
 ($409)
Includes Typical Broker Commissions trade costs of $5.00
1/7/15 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 1,016 22.90 1/7 15:55 22.74 1.24%
Trade id #91715650
Max drawdown($289)
Time1/7/15 12:10
Quant open1,016
Worst price22.61
Drawdown as % of equity-1.24%
 ($168)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    1/5/2013
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    4900.64
  • Age
    163 months ago
  • What it trades
    Stocks
  • # Trades
    118
  • # Profitable
    51
  • % Profitable
    43.20%
  • Avg trade duration
    6.1 days
  • Max peak-to-valley drawdown
    53.74%
  • drawdown period
    May 22, 2013 - March 01, 2016
  • Annual Return (Compounded)
    -10.5%
  • Avg win
    $491.02
  • Avg loss
    $434.51
  • Model Account Values (Raw)
  • Cash
    $21,115
  • Margin Used
    $0
  • Buying Power
    $21,115
  • Ratios
  • W:L ratio
    0.87:1
  • Sharpe Ratio
    -0.5
  • Sortino Ratio
    -0.69
  • Calmar Ratio
    -0.091
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -74.85%
  • Correlation to SP500
    0.13320
  • Return Percent SP500 (cumu) during strategy life
    403.70%
  • Return Statistics
  • Ann Return (w trading costs)
    -10.5%
  • Slump
  • Current Slump as Pcnt Equity
    95.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.97%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.105%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -1.2%
  • 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)
    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
  • 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
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $435
  • Avg Win
    $491
  • Sum Trade PL (losers)
    $29,112.000
  • Age
  • Num Months filled monthly returns table
    162
  • Win / Loss
  • Sum Trade PL (winners)
    $25,042.000
  • # Winners
    51
  • Num Months Winners
    19
  • Dividends
  • Dividends Received in Model Acct
    184
  • Win / Loss
  • # Losers
    67
  • % Winners
    43.2%
  • Frequency
  • Avg Position Time (mins)
    8833.30
  • Avg Position Time (hrs)
    147.22
  • Avg Trade Length
    6.1 days
  • Last Trade Ago
    3658
  • Regression
  • Alpha
    -0.02
  • Beta
    0.07
  • Treynor Index
    -0.20
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    67.87
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    15.44
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.28
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -8.811
  • 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
    0.06
  • Avg(MAE) / Avg(PL) - Winning trades
    0.849
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.180
  • Hold-and-Hope Ratio
    -0.113
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06418
  • SD
    0.17893
  • Sharpe ratio (Glass type estimate)
    -0.35871
  • Sharpe ratio (Hedges UMVUE)
    -0.35176
  • df
    39.00000
  • t
    -0.65492
  • p
    0.74182
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.43289
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.72000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.42811
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.72459
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.47022
  • Upside Potential Ratio
    1.38683
  • Upside part of mean
    0.18930
  • Downside part of mean
    -0.25349
  • Upside SD
    0.11370
  • Downside SD
    0.13650
  • N nonnegative terms
    19.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    40.00000
  • Mean of predictor
    0.09599
  • Mean of criterion
    -0.06418
  • SD of predictor
    0.10383
  • SD of criterion
    0.17893
  • Covariance
    0.01043
  • r
    0.56115
  • b (slope, estimate of beta)
    0.96699
  • a (intercept, estimate of alpha)
    -0.15701
  • Mean Square Error
    0.02251
  • DF error
    38.00000
  • t(b)
    4.17913
  • p(b)
    0.00008
  • t(a)
    -1.84434
  • p(a)
    0.96353
  • Lowerbound of 95% confidence interval for beta
    0.49857
  • Upperbound of 95% confidence interval for beta
    1.43540
  • Lowerbound of 95% confidence interval for alpha
    -0.32934
  • Upperbound of 95% confidence interval for alpha
    0.01533
  • Treynor index (mean / b)
    -0.06638
  • Jensen alpha (a)
    -0.15701
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.08021
  • SD
    0.18122
  • Sharpe ratio (Glass type estimate)
    -0.44261
  • Sharpe ratio (Hedges UMVUE)
    -0.43404
  • df
    39.00000
  • t
    -0.80810
  • p
    0.78803
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.51781
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.63815
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.51187
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.64379
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.55648
  • Upside Potential Ratio
    1.27010
  • Upside part of mean
    0.18307
  • Downside part of mean
    -0.26328
  • Upside SD
    0.10854
  • Downside SD
    0.14414
  • N nonnegative terms
    19.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    40.00000
  • Mean of predictor
    0.09035
  • Mean of criterion
    -0.08021
  • SD of predictor
    0.10319
  • SD of criterion
    0.18122
  • Covariance
    0.01060
  • r
    0.56674
  • b (slope, estimate of beta)
    0.99530
  • a (intercept, estimate of alpha)
    -0.17013
  • Mean Square Error
    0.02288
  • DF error
    38.00000
  • t(b)
    4.24034
  • p(b)
    0.00007
  • t(a)
    -1.98941
  • p(a)
    0.97306
  • Lowerbound of 95% confidence interval for beta
    0.52013
  • Upperbound of 95% confidence interval for beta
    1.47047
  • Lowerbound of 95% confidence interval for alpha
    -0.34326
  • Upperbound of 95% confidence interval for alpha
    0.00299
  • Treynor index (mean / b)
    -0.08059
  • Jensen alpha (a)
    -0.17013
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08856
  • Expected Shortfall on VaR
    0.10811
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05051
  • Expected Shortfall on VaR
    0.09312
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    40.00000
  • Minimum
    0.84957
  • Quartile 1
    0.97036
  • Median
    0.99439
  • Quartile 3
    1.02268
  • Maximum
    1.14184
  • Mean of quarter 1
    0.93503
  • Mean of quarter 2
    0.98249
  • Mean of quarter 3
    1.00824
  • Mean of quarter 4
    1.05616
  • Inter Quartile Range
    0.05232
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02500
  • Mean of outliers low
    0.84957
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.02500
  • Mean of outliers high
    1.14184
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.41609
  • VaR(95%) (moments method)
    0.07265
  • Expected Shortfall (moments method)
    0.13746
  • Extreme Value Index (regression method)
    0.57346
  • VaR(95%) (regression method)
    0.07108
  • Expected Shortfall (regression method)
    0.16282
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.40025
  • Quartile 1
    0.40025
  • Median
    0.40025
  • Quartile 3
    0.40025
  • Maximum
    0.40025
  • 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)
    -0.06264
  • Compounded annual return (geometric extrapolation)
    -0.06785
  • Calmar ratio (compounded annual return / max draw down)
    -0.16952
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.62763
  • 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
    -0.05012
  • SD
    0.13643
  • Sharpe ratio (Glass type estimate)
    -0.36740
  • Sharpe ratio (Hedges UMVUE)
    -0.36716
  • df
    1173.00000
  • t
    -0.67872
  • p
    0.51261
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.42839
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.69371
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.42821
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.69389
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.50662
  • Upside Potential Ratio
    5.62683
  • Upside part of mean
    0.55671
  • Downside part of mean
    -0.60684
  • Upside SD
    0.09389
  • Downside SD
    0.09894
  • N nonnegative terms
    318.00000
  • N negative terms
    856.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1174.00000
  • Mean of predictor
    0.10413
  • Mean of criterion
    -0.05012
  • SD of predictor
    0.13338
  • SD of criterion
    0.13643
  • Covariance
    0.00572
  • r
    0.31424
  • b (slope, estimate of beta)
    0.32143
  • a (intercept, estimate of alpha)
    -0.07900
  • Mean Square Error
    0.01679
  • DF error
    1172.00000
  • t(b)
    11.33180
  • p(b)
    0.34288
  • t(a)
    -1.19079
  • p(a)
    0.51738
  • Lowerbound of 95% confidence interval for beta
    0.26578
  • Upperbound of 95% confidence interval for beta
    0.37709
  • Lowerbound of 95% confidence interval for alpha
    -0.22133
  • Upperbound of 95% confidence interval for alpha
    0.05414
  • Treynor index (mean / b)
    -0.15594
  • Jensen alpha (a)
    -0.08360
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.05944
  • SD
    0.13658
  • Sharpe ratio (Glass type estimate)
    -0.43520
  • Sharpe ratio (Hedges UMVUE)
    -0.43492
  • df
    1173.00000
  • t
    -0.80398
  • p
    0.51494
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.49620
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.62599
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.49601
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.62617
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.59193
  • Upside Potential Ratio
    5.50093
  • Upside part of mean
    0.55237
  • Downside part of mean
    -0.61181
  • Upside SD
    0.09255
  • Downside SD
    0.10042
  • N nonnegative terms
    318.00000
  • N negative terms
    856.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1174.00000
  • Mean of predictor
    0.09522
  • Mean of criterion
    -0.05944
  • SD of predictor
    0.13350
  • SD of criterion
    0.13658
  • Covariance
    0.00577
  • r
    0.31651
  • b (slope, estimate of beta)
    0.32380
  • a (intercept, estimate of alpha)
    -0.09027
  • Mean Square Error
    0.01680
  • DF error
    1172.00000
  • t(b)
    11.42280
  • p(b)
    0.34175
  • t(a)
    -1.28570
  • p(a)
    0.51877
  • Lowerbound of 95% confidence interval for beta
    0.26819
  • Upperbound of 95% confidence interval for beta
    0.37942
  • Lowerbound of 95% confidence interval for alpha
    -0.22803
  • Upperbound of 95% confidence interval for alpha
    0.04748
  • Treynor index (mean / b)
    -0.18356
  • Jensen alpha (a)
    -0.09027
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01221
  • Expected Shortfall on VaR
    0.01524
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00506
  • Expected Shortfall on VaR
    0.01077
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1174.00000
  • Minimum
    0.93854
  • Quartile 1
    0.99968
  • Median
    1.00000
  • Quartile 3
    1.00044
  • Maximum
    1.06539
  • Mean of quarter 1
    0.99305
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00002
  • Mean of quarter 4
    1.00647
  • Inter Quartile Range
    0.00076
  • Number outliers low
    244.00000
  • Percentage of outliers low
    0.20784
  • Mean of outliers low
    0.99180
  • Number of outliers high
    245.00000
  • Percentage of outliers high
    0.20869
  • Mean of outliers high
    1.00756
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.43997
  • VaR(95%) (moments method)
    0.00445
  • Expected Shortfall (moments method)
    0.01008
  • Extreme Value Index (regression method)
    0.21649
  • VaR(95%) (regression method)
    0.00629
  • Expected Shortfall (regression method)
    0.01157
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00074
  • Quartile 1
    0.00337
  • Median
    0.00696
  • Quartile 3
    0.01888
  • Maximum
    0.41524
  • Mean of quarter 1
    0.00168
  • Mean of quarter 2
    0.00512
  • Mean of quarter 3
    0.00810
  • Mean of quarter 4
    0.23201
  • Inter Quartile Range
    0.01552
  • 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
    0.25000
  • Mean of outliers high
    0.23201
  • 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)
    -0.04553
  • Compounded annual return (geometric extrapolation)
    -0.04828
  • Calmar ratio (compounded annual return / max draw down)
    -0.11628
  • Compounded annual return / average of 25% largest draw downs
    -0.20811
  • Compounded annual return / Expected Shortfall lognormal
    -3.16799
  • 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
    0.09891
  • SD
    0.14296
  • Sharpe ratio (Glass type estimate)
    0.69188
  • Sharpe ratio (Hedges UMVUE)
    0.68884
  • df
    171.00000
  • t
    0.48923
  • p
    0.47620
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.08185
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.46371
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.08393
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.46160
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.07854
  • Upside Potential Ratio
    6.73198
  • Upside part of mean
    0.61736
  • Downside part of mean
    -0.51845
  • Upside SD
    0.10925
  • Downside SD
    0.09171
  • N nonnegative terms
    33.00000
  • N negative terms
    139.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.02341
  • Mean of criterion
    0.09891
  • SD of predictor
    0.17467
  • SD of criterion
    0.14296
  • Covariance
    0.00632
  • r
    0.25326
  • b (slope, estimate of beta)
    0.20728
  • a (intercept, estimate of alpha)
    0.09406
  • Mean Square Error
    0.01924
  • DF error
    170.00000
  • t(b)
    3.41341
  • p(b)
    0.37337
  • t(a)
    0.47949
  • p(a)
    0.48163
  • Lowerbound of 95% confidence interval for beta
    0.08741
  • Upperbound of 95% confidence interval for beta
    0.32715
  • Lowerbound of 95% confidence interval for alpha
    -0.29317
  • Upperbound of 95% confidence interval for alpha
    0.48128
  • Treynor index (mean / b)
    0.47718
  • Jensen alpha (a)
    0.09406
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08878
  • SD
    0.14252
  • Sharpe ratio (Glass type estimate)
    0.62289
  • Sharpe ratio (Hedges UMVUE)
    0.62016
  • df
    171.00000
  • t
    0.44045
  • p
    0.47857
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.15055
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.39464
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.15243
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.39274
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.95823
  • Upside Potential Ratio
    6.60012
  • Upside part of mean
    0.61148
  • Downside part of mean
    -0.52270
  • Upside SD
    0.10786
  • Downside SD
    0.09265
  • N nonnegative terms
    33.00000
  • N negative terms
    139.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.00824
  • Mean of criterion
    0.08878
  • SD of predictor
    0.17473
  • SD of criterion
    0.14252
  • Covariance
    0.00630
  • r
    0.25293
  • b (slope, estimate of beta)
    0.20631
  • a (intercept, estimate of alpha)
    0.08708
  • Mean Square Error
    0.01913
  • DF error
    170.00000
  • t(b)
    3.40866
  • p(b)
    0.37353
  • t(a)
    0.44523
  • p(a)
    0.48294
  • VAR (95 Confidence Intrvl)
    0.01200
  • Lowerbound of 95% confidence interval for beta
    0.08683
  • Upperbound of 95% confidence interval for beta
    0.32579
  • Lowerbound of 95% confidence interval for alpha
    -0.29900
  • Upperbound of 95% confidence interval for alpha
    0.47315
  • Treynor index (mean / b)
    0.43030
  • Jensen alpha (a)
    0.08708
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01231
  • Expected Shortfall on VaR
    0.01547
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00460
  • Expected Shortfall on VaR
    0.00986
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.96850
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.03736
  • Mean of quarter 1
    0.99406
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00720
  • Inter Quartile Range
    0.00000
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.15116
  • Mean of outliers low
    0.99018
  • Number of outliers high
    33.00000
  • Percentage of outliers high
    0.19186
  • Mean of outliers high
    1.00938
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.65823
  • VaR(95%) (moments method)
    0.00263
  • Expected Shortfall (moments method)
    0.00276
  • Extreme Value Index (regression method)
    -0.55619
  • VaR(95%) (regression method)
    0.00958
  • Expected Shortfall (regression method)
    0.01402
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00060
  • Quartile 1
    0.00574
  • Median
    0.01373
  • Quartile 3
    0.04093
  • Maximum
    0.10371
  • Mean of quarter 1
    0.00060
  • Mean of quarter 2
    0.00746
  • Mean of quarter 3
    0.02000
  • Mean of quarter 4
    0.10371
  • Inter Quartile Range
    0.03519
  • 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
    0.10371
  • 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)
    1014
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.10120
  • Compounded annual return (geometric extrapolation)
    0.10376
  • Calmar ratio (compounded annual return / max draw down)
    1.00051
  • Compounded annual return / average of 25% largest draw downs
    1.00051
  • Compounded annual return / Expected Shortfall lognormal
    6.70854

Strategy Description

Since April 2014 this trading system changed its philosophy. I decided to keep it here as it is not easy to transfer performance and stats in C2.

Its new name is PockETFul and it only trades the 2x ETFs SSO and SDS which mirrors the performance and the inverse performance, respectively, of the S&P 500. That is really the main difference between this system and the previous one which was traded until late March 2014 under the name Crankshaft. Much like Crankshaft, this system looks for oversold or overbought situations happening in these two ETFs (please see below for more details about Crankshaft).

There are a series of advantages most notably the fact that this system is a better fit for the only benchmark available for comparison in C2, or the S&P 500. It should also have fewer trades as trades last longer now and much better liquidity. Not to mention the fact that the ETFs themselves are leveraged so the system could offer more gearing if required.

For more information about this system or detailed reporting (including ex-ante risk measures) please contact me via private messaging.

_________________________________________________________________________________
Crankshaft is a long/short system that uses a selection of technical indicators to determine the strength of the relative overbought or oversold situation. After potential trading opportunities are screened and picked up, we then wait for a clear trend to emerge. All trades will have a defined exit point (i.e.: a stop loss and a stop limit). These are placed the day after we opened the position.

Each trade will represent 50% of the total system equity so we could go through periods of maximum leverage (if we have four trades opened at the same time for instance).
Trade this strategy at Tradier

Summary Statistics

Strategy began
2013-01-05
Suggested Minimum Capital
$25,000
# Trades
118
# Profitable
51
% Profitable
43.2%
Net Dividends
$183
Correlation S&P500
0.133
Sharpe Ratio
-0.50
Sortino Ratio
-0.69
Beta
0.07
Alpha
-0.02

Latest Activity

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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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