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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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FREE Trade of the Week Trading Advisory
(78640999)

Created by: DanF DanF
Started: 01/2013
Stocks
Last trade: 3,690 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. You can subscribe to this system for free.

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.

4.8%
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.

(5.5%)
Max Drawdown
49
Num Trades
55.1%
Win Trades
2.0 : 1
Profit Factor
8.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013+3.2%+1.0%+1.9%+3.0%(1.4%)(0.3%)(0.7%)(2.6%)+0.2%+2.6%+0.5%+2.5%+10.1%
2014(4.9%)+1.0%+1.7%  -  +0.1%  -    -    -    -    -    -    -  (2.2%)
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

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

Trading Record

This strategy has placed 2 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3991 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/11/14 9:31 ATVI ACTIVISION BLIZZARD LONG 60 20.13 3/18 9:30 21.20 0.16%
Trade id #86396624
Max drawdown($18)
Time3/11/14 12:22
Quant open60
Worst price19.82
Drawdown as % of equity-0.16%
 $63
Includes Typical Broker Commissions trade costs of $1.20
3/11/14 9:30 SBUX STARBUCKS LONG 34 36.99 3/18 9:30 37.17 0.03%
Trade id #86396493
Max drawdown($2)
Time3/17/14 13:34
Quant open17
Worst price73.82
Drawdown as % of equity-0.03%
 $5
Includes Typical Broker Commissions trade costs of $0.68
3/4/14 9:30 SPY SPDR S&P 500 LONG 40 186.75 3/18 9:30 186.71 0.82%
Trade id #86274811
Max drawdown($92)
Time3/14/14 15:55
Quant open40
Worst price184.44
Drawdown as % of equity-0.82%
 ($3)
Includes Typical Broker Commissions trade costs of $0.80
3/4/14 9:30 BK BANK OF NEW YORK MELLON LONG 39 32.24 3/11 9:31 33.48 0.02%
Trade id #86274835
Max drawdown($2)
Time3/4/14 9:43
Quant open39
Worst price32.18
Drawdown as % of equity-0.02%
 $47
Includes Typical Broker Commissions trade costs of $0.78
3/4/14 9:30 GS GOLDMAN SACHS GROUP LONG 7 166.64 3/11 9:30 173.96 0.03%
Trade id #86274780
Max drawdown($3)
Time3/4/14 9:37
Quant open7
Worst price166.20
Drawdown as % of equity-0.03%
 $51
Includes Typical Broker Commissions trade costs of $0.14
2/25/14 9:31 FDX FEDEX LONG 9 134.85 3/4 9:31 134.84 0.23%
Trade id #86150504
Max drawdown($26)
Time2/26/14 14:31
Quant open9
Worst price131.95
Drawdown as % of equity-0.23%
 $0
Includes Typical Broker Commissions trade costs of $0.18
2/25/14 9:31 GM GENERAL MOTORS LONG 34 36.67 3/4 9:30 36.53 0.3%
Trade id #86150498
Max drawdown($32)
Time3/3/14 9:31
Quant open34
Worst price35.70
Drawdown as % of equity-0.30%
 ($6)
Includes Typical Broker Commissions trade costs of $0.68
2/18/14 9:30 RSP INVESCO S&P 500 EQUAL WEIGH LONG 100 71.59 3/4 9:30 73.14 0.35%
Trade id #86033733
Max drawdown($38)
Time2/20/14 10:01
Quant open100
Worst price71.21
Drawdown as % of equity-0.35%
 $153
Includes Typical Broker Commissions trade costs of $2.00
2/11/14 9:30 IEI ISHARES BARCLAYS 3-7 YEAR TREA LONG 62 121.34 2/18 9:30 121.53 0.16%
Trade id #85722647
Max drawdown($17)
Time2/12/14 13:33
Quant open62
Worst price121.06
Drawdown as % of equity-0.16%
 $11
Includes Typical Broker Commissions trade costs of $1.24
1/28/14 9:31 PFF ISHARES S&P U.S. PREFERRED STO LONG 200 37.79 2/11 9:30 37.89 0.35%
Trade id #85424521
Max drawdown($38)
Time2/3/14 15:07
Quant open200
Worst price37.60
Drawdown as % of equity-0.35%
 $16
Includes Typical Broker Commissions trade costs of $4.00
1/21/14 9:30 AXP AMERICAN EXPRESS LONG 13 91.97 1/28 9:31 85.85 0.74%
Trade id #85277277
Max drawdown($81)
Time1/27/14 16:00
Quant open13
Worst price85.71
Drawdown as % of equity-0.74%
 ($80)
Includes Typical Broker Commissions trade costs of $0.26
1/21/14 9:30 DIA SPDR DOW JONES INDUSTRIAL AVER LONG 42 165.03 1/28 9:30 158.47 2.9%
Trade id #85277163
Max drawdown($315)
Time1/27/14 12:22
Quant open42
Worst price157.51
Drawdown as % of equity-2.90%
 ($277)
Includes Typical Broker Commissions trade costs of $0.84
1/21/14 9:30 SLB SCHLUMBERGER LONG 13 91.20 1/28 9:30 88.22 0.51%
Trade id #85277096
Max drawdown($55)
Time1/27/14 12:23
Quant open13
Worst price86.90
Drawdown as % of equity-0.51%
 ($39)
Includes Typical Broker Commissions trade costs of $0.26
1/7/14 9:30 DIS WALT DISNEY LONG 31 76.12 1/21 9:31 73.99 0.85%
Trade id #85026476
Max drawdown($95)
Time1/13/14 15:14
Quant open31
Worst price73.05
Drawdown as % of equity-0.85%
 ($67)
Includes Typical Broker Commissions trade costs of $0.62
1/14/14 9:30 VTI VANGUARD TOTAL STOCK MARKET ET LONG 73 94.93 1/21 9:31 96.36 0.13%
Trade id #85156975
Max drawdown($14)
Time1/14/14 9:57
Quant open73
Worst price94.73
Drawdown as % of equity-0.13%
 $103
Includes Typical Broker Commissions trade costs of $1.46
1/7/14 9:30 DIA SPDR DOW JONES INDUSTRIAL AVER LONG 43 164.66 1/14 9:30 162.74 0.97%
Trade id #85026363
Max drawdown($108)
Time1/13/14 15:43
Quant open43
Worst price162.14
Drawdown as % of equity-0.97%
 ($84)
Includes Typical Broker Commissions trade costs of $0.86
11/18/13 9:30 GE GE AEROSPACE LONG 90 27.28 1/7/14 9:30 27.48 0.65%
Trade id #84133382
Max drawdown($72)
Time12/12/13 9:31
Quant open90
Worst price26.48
Drawdown as % of equity-0.65%
 $16
Includes Typical Broker Commissions trade costs of $1.80
12/30/13 9:30 PKW POWERSHARES BUYBACK ACHIEVERS PORTFOLIO LONG 165 42.84 1/7/14 9:30 42.59 0.6%
Trade id #84890996
Max drawdown($67)
Time1/6/14 12:50
Quant open165
Worst price42.43
Drawdown as % of equity-0.60%
 ($44)
Includes Typical Broker Commissions trade costs of $3.30
12/23/13 9:30 IWB ISHARES RUSSELL 1000 INDEX LONG 70 102.01 12/30 9:31 102.89 0.13%
Trade id #84787612
Max drawdown($14)
Time12/23/13 10:03
Quant open70
Worst price101.80
Drawdown as % of equity-0.13%
 $61
Includes Typical Broker Commissions trade costs of $1.40
12/16/13 9:30 SPY SPDR S&P 500 LONG 40 178.95 12/23 9:30 182.41 0.59%
Trade id #84642116
Max drawdown($65)
Time12/18/13 14:01
Quant open40
Worst price177.32
Drawdown as % of equity-0.59%
 $137
Includes Typical Broker Commissions trade costs of $0.80
12/9/13 9:30 IWB ISHARES RUSSELL 1000 INDEX LONG 70 101.31 12/16 9:30 100.02 1.3%
Trade id #84490067
Max drawdown($144)
Time12/12/13 12:25
Quant open70
Worst price99.25
Drawdown as % of equity-1.30%
 ($91)
Includes Typical Broker Commissions trade costs of $1.40
11/25/13 9:30 SPY SPDR S&P 500 LONG 40 181.13 12/9 9:31 181.47 1%
Trade id #84260204
Max drawdown($111)
Time12/4/13 13:32
Quant open40
Worst price178.35
Drawdown as % of equity-1.00%
 $13
Includes Typical Broker Commissions trade costs of $0.80
11/18/13 9:30 RSP INVESCO S&P 500 EQUAL WEIGH LONG 100 69.73 11/25 9:30 69.74 1.14%
Trade id #84133421
Max drawdown($127)
Time11/20/13 15:10
Quant open100
Worst price68.46
Drawdown as % of equity-1.14%
 ($1)
Includes Typical Broker Commissions trade costs of $2.00
11/4/13 9:30 SPY SPDR S&P 500 LONG 31 176.69 11/18 9:30 180.35 0.54%
Trade id #83869058
Max drawdown($59)
Time11/7/13 15:52
Quant open31
Worst price174.76
Drawdown as % of equity-0.54%
 $112
Includes Typical Broker Commissions trade costs of $0.62
11/4/13 9:30 INTC INTEL LONG 61 24.32 11/18 9:30 24.61 0.3%
Trade id #83869114
Max drawdown($33)
Time11/5/13 9:31
Quant open61
Worst price23.77
Drawdown as % of equity-0.30%
 $17
Includes Typical Broker Commissions trade costs of $1.22
10/14/13 9:30 GE GE AEROSPACE LONG 60 24.21 11/4 9:30 26.59 0.04%
Trade id #83484708
Max drawdown($4)
Time10/16/13 9:43
Quant open60
Worst price24.13
Drawdown as % of equity-0.04%
 $142
Includes Typical Broker Commissions trade costs of $1.20
9/17/13 9:30 IJR ISHARES CORE S&P SMALL-CAP ETF LONG 55 98.26 11/4 9:30 103.36 0.72%
Trade id #83006669
Max drawdown($76)
Time10/9/13 11:24
Quant open55
Worst price96.86
Drawdown as % of equity-0.72%
 $280
Includes Typical Broker Commissions trade costs of $1.10
10/1/13 9:30 PFE PFIZER LONG 50 28.58 10/14 9:31 28.56 0.26%
Trade id #83240296
Max drawdown($28)
Time10/9/13 9:39
Quant open50
Worst price28.02
Drawdown as % of equity-0.26%
 ($2)
Includes Typical Broker Commissions trade costs of $1.00
9/17/13 9:30 DIS WALT DISNEY LONG 20 66.83 10/1 9:30 64.37 0.49%
Trade id #83006717
Max drawdown($52)
Time9/25/13 9:40
Quant open20
Worst price64.20
Drawdown as % of equity-0.49%
 ($49)
Includes Typical Broker Commissions trade costs of $0.40
8/6/13 9:30 JPM JPMORGAN CHASE LONG 25 55.99 8/20 9:30 51.78 0.98%
Trade id #82378030
Max drawdown($105)
Time8/20/13 9:30
Quant open0
Worst price51.78
Drawdown as % of equity-0.98%
 ($106)
Includes Typical Broker Commissions trade costs of $0.50
Next

Statistics

  • Strategy began
    1/14/2013
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    4115.22
  • Age
    137 months ago
  • What it trades
    Stocks
  • # Trades
    49
  • # Profitable
    27
  • % Profitable
    55.10%
  • Avg trade duration
    14.7 days
  • Max peak-to-valley drawdown
    5.52%
  • drawdown period
    May 15, 2013 - Oct 09, 2013
  • Annual Return (Compounded)
    4.8%
  • Avg win
    $92.52
  • Avg loss
    $60.23
  • Model Account Values (Raw)
  • Cash
    $11,367
  • Margin Used
    $0
  • Buying Power
    $11,367
  • Ratios
  • W:L ratio
    2.03:1
  • Sharpe Ratio
    -0.54
  • Sortino Ratio
    -0.82
  • Calmar Ratio
    0.695
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -29.94%
  • Correlation to SP500
    0.11090
  • Return Percent SP500 (cumu) during strategy life
    244.85%
  • Return Statistics
  • Ann Return (w trading costs)
    4.8%
  • Slump
  • Current Slump as Pcnt Equity
    2.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.91%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.048%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    383
  • 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
    $60
  • Avg Win
    $93
  • Sum Trade PL (losers)
    $1,325.000
  • Age
  • Num Months filled monthly returns table
    136
  • Win / Loss
  • Sum Trade PL (winners)
    $2,498.000
  • # Winners
    27
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    194
  • Win / Loss
  • # Losers
    22
  • % Winners
    55.1%
  • Frequency
  • Avg Position Time (mins)
    21184.90
  • Avg Position Time (hrs)
    353.08
  • Avg Trade Length
    14.7 days
  • Last Trade Ago
    3688
  • Regression
  • Alpha
    -0.00
  • Beta
    0.01
  • Treynor Index
    -0.26
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    95.14
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    88.55
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.41
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    5.299
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.530
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.435
  • Hold-and-Hope Ratio
    0.187
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04103
  • SD
    0.05184
  • Sharpe ratio (Glass type estimate)
    0.79162
  • Sharpe ratio (Hedges UMVUE)
    0.77163
  • df
    30.00000
  • t
    1.27235
  • p
    0.10651
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.45041
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.02087
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46333
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.00660
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.57204
  • Upside Potential Ratio
    2.84208
  • Upside part of mean
    0.07418
  • Downside part of mean
    -0.03315
  • Upside SD
    0.04538
  • Downside SD
    0.02610
  • N nonnegative terms
    12.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.13717
  • Mean of criterion
    0.04103
  • SD of predictor
    0.08359
  • SD of criterion
    0.05184
  • Covariance
    0.00236
  • r
    0.54486
  • b (slope, estimate of beta)
    0.33788
  • a (intercept, estimate of alpha)
    -0.00531
  • Mean Square Error
    0.00195
  • DF error
    29.00000
  • t(b)
    3.49921
  • p(b)
    0.00076
  • t(a)
    -0.17408
  • p(a)
    0.56849
  • Lowerbound of 95% confidence interval for beta
    0.14040
  • Upperbound of 95% confidence interval for beta
    0.53537
  • Lowerbound of 95% confidence interval for alpha
    -0.06775
  • Upperbound of 95% confidence interval for alpha
    0.05712
  • Treynor index (mean / b)
    0.12144
  • Jensen alpha (a)
    -0.00531
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03965
  • SD
    0.05139
  • Sharpe ratio (Glass type estimate)
    0.77153
  • Sharpe ratio (Hedges UMVUE)
    0.75205
  • df
    30.00000
  • t
    1.24005
  • p
    0.11228
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.46951
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.00013
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48214
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.98624
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.49841
  • Upside Potential Ratio
    2.76332
  • Upside part of mean
    0.07312
  • Downside part of mean
    -0.03347
  • Upside SD
    0.04457
  • Downside SD
    0.02646
  • N nonnegative terms
    12.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.13298
  • Mean of criterion
    0.03965
  • SD of predictor
    0.08255
  • SD of criterion
    0.05139
  • Covariance
    0.00234
  • r
    0.55238
  • b (slope, estimate of beta)
    0.34385
  • a (intercept, estimate of alpha)
    -0.00608
  • Mean Square Error
    0.00190
  • DF error
    29.00000
  • t(b)
    3.56851
  • p(b)
    0.00064
  • t(a)
    -0.20271
  • p(a)
    0.57961
  • Lowerbound of 95% confidence interval for beta
    0.14678
  • Upperbound of 95% confidence interval for beta
    0.54093
  • Lowerbound of 95% confidence interval for alpha
    -0.06740
  • Upperbound of 95% confidence interval for alpha
    0.05525
  • Treynor index (mean / b)
    0.11531
  • Jensen alpha (a)
    -0.00608
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02088
  • Expected Shortfall on VaR
    0.02691
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00711
  • Expected Shortfall on VaR
    0.01507
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    31.00000
  • Minimum
    0.96619
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.01004
  • Maximum
    1.04930
  • Mean of quarter 1
    0.99126
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00208
  • Mean of quarter 4
    1.02338
  • Inter Quartile Range
    0.01004
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.06452
  • Mean of outliers low
    0.97414
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.06452
  • Mean of outliers high
    1.04152
  • 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)
    -0.11894
  • VaR(95%) (regression method)
    0.01747
  • Expected Shortfall (regression method)
    0.03026
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.03381
  • Quartile 1
    0.03403
  • Median
    0.03425
  • Quartile 3
    0.03447
  • Maximum
    0.03469
  • Mean of quarter 1
    0.03381
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.03469
  • Inter Quartile Range
    0.00044
  • 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)
    0.05292
  • Compounded annual return (geometric extrapolation)
    0.05085
  • Calmar ratio (compounded annual return / max draw down)
    1.46564
  • Compounded annual return / average of 25% largest draw downs
    1.46564
  • Compounded annual return / Expected Shortfall lognormal
    1.88945
  • 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
    0.03959
  • SD
    0.03826
  • Sharpe ratio (Glass type estimate)
    1.03493
  • Sharpe ratio (Hedges UMVUE)
    1.03407
  • df
    902.00000
  • t
    1.67678
  • p
    0.04697
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.17601
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.24531
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.17659
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.24472
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.72103
  • Upside Potential Ratio
    6.99178
  • Upside part of mean
    0.16085
  • Downside part of mean
    -0.12126
  • Upside SD
    0.03061
  • Downside SD
    0.02301
  • N nonnegative terms
    190.00000
  • N negative terms
    713.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    903.00000
  • Mean of predictor
    0.13143
  • Mean of criterion
    0.03959
  • SD of predictor
    0.11210
  • SD of criterion
    0.03826
  • Covariance
    0.00147
  • r
    0.34275
  • b (slope, estimate of beta)
    0.11698
  • a (intercept, estimate of alpha)
    0.00100
  • Mean Square Error
    0.00129
  • DF error
    901.00000
  • t(b)
    10.95160
  • p(b)
    -0.00000
  • t(a)
    1.08902
  • p(a)
    0.13822
  • Lowerbound of 95% confidence interval for beta
    0.09601
  • Upperbound of 95% confidence interval for beta
    0.13794
  • Lowerbound of 95% confidence interval for alpha
    -0.01943
  • Upperbound of 95% confidence interval for alpha
    0.06786
  • Treynor index (mean / b)
    0.33847
  • Jensen alpha (a)
    0.02422
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03886
  • SD
    0.03818
  • Sharpe ratio (Glass type estimate)
    1.01794
  • Sharpe ratio (Hedges UMVUE)
    1.01709
  • df
    902.00000
  • t
    1.64925
  • p
    0.04972
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.19297
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22828
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19354
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.22772
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.68349
  • Upside Potential Ratio
    6.94781
  • Upside part of mean
    0.16038
  • Downside part of mean
    -0.12152
  • Upside SD
    0.03045
  • Downside SD
    0.02308
  • N nonnegative terms
    190.00000
  • N negative terms
    713.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    903.00000
  • Mean of predictor
    0.12512
  • Mean of criterion
    0.03886
  • SD of predictor
    0.11217
  • SD of criterion
    0.03818
  • Covariance
    0.00147
  • r
    0.34300
  • b (slope, estimate of beta)
    0.11674
  • a (intercept, estimate of alpha)
    0.02425
  • Mean Square Error
    0.00129
  • DF error
    901.00000
  • t(b)
    10.96060
  • p(b)
    -0.00000
  • t(a)
    1.09325
  • p(a)
    0.13729
  • Lowerbound of 95% confidence interval for beta
    0.09583
  • Upperbound of 95% confidence interval for beta
    0.13764
  • Lowerbound of 95% confidence interval for alpha
    -0.01929
  • Upperbound of 95% confidence interval for alpha
    0.06780
  • Treynor index (mean / b)
    0.33289
  • Jensen alpha (a)
    0.02425
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00327
  • Expected Shortfall on VaR
    0.00412
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00106
  • Expected Shortfall on VaR
    0.00230
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    903.00000
  • Minimum
    0.98555
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.01917
  • Mean of quarter 1
    0.99868
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00189
  • Inter Quartile Range
    0.00000
  • Number outliers low
    131.00000
  • Percentage of outliers low
    0.14507
  • Mean of outliers low
    0.99773
  • Number of outliers high
    190.00000
  • Percentage of outliers high
    0.21041
  • Mean of outliers high
    1.00225
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19113
  • VaR(95%) (moments method)
    0.00162
  • Expected Shortfall (moments method)
    0.00302
  • Extreme Value Index (regression method)
    0.14834
  • VaR(95%) (regression method)
    0.00177
  • Expected Shortfall (regression method)
    0.00337
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00009
  • Quartile 1
    0.00071
  • Median
    0.00458
  • Quartile 3
    0.00986
  • Maximum
    0.04828
  • Mean of quarter 1
    0.00047
  • Mean of quarter 2
    0.00223
  • Mean of quarter 3
    0.00803
  • Mean of quarter 4
    0.02695
  • Inter Quartile Range
    0.00916
  • 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
    0.11111
  • Mean of outliers high
    0.04766
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.09607
  • VaR(95%) (moments method)
    0.02561
  • Expected Shortfall (moments method)
    0.03805
  • Extreme Value Index (regression method)
    -0.96737
  • VaR(95%) (regression method)
    0.02061
  • Expected Shortfall (regression method)
    0.02192
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05208
  • Compounded annual return (geometric extrapolation)
    0.05002
  • Calmar ratio (compounded annual return / max draw down)
    1.03602
  • Compounded annual return / average of 25% largest draw downs
    1.85617
  • Compounded annual return / Expected Shortfall lognormal
    12.12970
  • 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
    -0.00995
  • 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
    -18.54720
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.00995
  • Upside SD
    0.00000
  • Downside SD
    0.00054
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.06976
  • Mean of criterion
    -0.00995
  • SD of predictor
    0.10861
  • 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
    -0.00995
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -31576300000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -31437600000000000.00000
  • df
    171.00000
  • t
    -22327800000000000.00000
  • 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
    -34769500000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -28105800000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -18.54720
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.00995
  • Upside SD
    0.00000
  • Downside SD
    0.00054
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.06388
  • Mean of criterion
    -0.00995
  • SD of predictor
    0.10868
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.00995
  • Mean Square Error
    0.00000
  • DF error
    170.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -22251200000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.00300
  • 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
    -0.00995
  • Upperbound of 95% confidence interval for alpha
    -0.00995
  • Treynor index (mean / b)
    -46020299999999998615361398243328.00000
  • Jensen alpha (a)
    -0.00995
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00003
  • Expected Shortfall on VaR
    0.00003
  • 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
    172.00000
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    147
  • 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

This FREE Advisory Service is based primarily on Proprietary Quantitative Inter-Market Analysis and will include only "LONG" positions. This Advisory typically takes one position in a Major U.S. Market ETF [Exchange Traded Fund] and one or two positions in Select Major Stocks.

This Advisory's positions are based on analysis techniques that are designed to out perform in all market environments [Bull, Bear or Consolidation].

Some of the trade positions covered in this Advisory will have shorter time horizons (time spent in the position) and some will have longer time horizons. However in either case, since these are trade positions, their time horizons are expected to be shorter than they would be for an investment position.

This Advisory is updated weekly by 9:00am Tuesday for every trading week.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2013-01-14
Suggested Minimum Capital
$5,500
# Trades
49
# Profitable
27
% Profitable
55.1%
Net Dividends
$193
Correlation S&P500
0.111
Sharpe Ratio
-0.54
Sortino Ratio
-0.82
Beta
0.01
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

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.