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These are hypothetical performance results that have certain inherent limitations. Learn more
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INACTIVE Portfolio
(80035954)

Created by: Umar_Hasan Umar_Hasan
Started: 04/2013
Stocks
Last trade: 2,192 days ago
Subscriptions not currently available.

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 $500.00 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.

5.6%
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.

(88.5%)
Max Drawdown
1043
Num Trades
75.6%
Win Trades
1.3 : 1
Profit Factor
58.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                     +70.5%+12.2%(12.6%)+19.4%(4.5%)+2.2%(3.9%)+0.9%(0.6%)+87.7%
2014(14.3%)(8.6%)+0.8%(1.1%)+1.2%(1.6%)(4.5%)+3.1%+0.8%+0.9%+0.3%(2.2%)(23.6%)
2015+4.2%+2.5%(0.4%)+7.5%+1.0%(1.5%)+2.3%(3%)(0.9%)+2.4%+1.2%(0.5%)+15.4%
2016(2.2%)(2%)+1.9%(0.3%)+0.2%+0.4%+3.9%+0.4%+0.4%+1.7%+0.3%+0.9%+5.6%
2017+0.1%  -  +2.0%(0.1%)(0.5%)(0.6%)(0.9%)+1.6%  -  +1.8%+5.0%
2018+1.2%(1.3%)(4.6%)+0.8%+0.7%(0.9%)+0.2%+0.5%(0.2%)(2.1%)(0.3%)(1.2%)(7%)
2019+1.6%+0.2%+0.3%+0.5%  -  (0.4%)+0.2%(0.7%)+0.7%(0.1%)+0.5%+0.2%+3.0%
2020(0.5%)(0.8%)(4.5%)+0.7%+2.5%+0.1%  -  +0.1%(0.5%)(0.1%)+1.3%+0.4%(1.4%)
2021(0.5%)+1.2%+0.1%+0.5%+0.6%+0.1%(0.4%)+0.3%  -  +0.5%(0.6%)+0.3%+2.1%
2022(0.4%)(0.4%)+0.8%+0.2%+1.1%(1.7%)+0.6%+0.4%(0.9%)  -  +1.5%(0.7%)+0.3%
2023+0.2%+0.5%  -  (0.5%)(0.5%)+0.4%+0.4%+0.2%+0.4%(0.9%)+0.3%(0.2%)+0.1%
2024+0.9%+0.5%+1.6%(0.3%)                                                +2.6%

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/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/19/13 20:05 ASX.APW Aims Property Securities Fund LONG 4,500 0.064 4/18/18 20:07 1.620 0.13%
Trade id #80957657
Max drawdown($261)
Time12/5/13 4:19
Quant open4,500
Worst price0.000
Drawdown as % of equity-0.13%
 $5,301
Includes Typical Broker Commissions trade costs of $7.58
5/19/13 21:00 ASX.IPE ING PRI EQ FPO LONG 500 0.390 4/15/18 20:04 0.065 0.06%
Trade id #80958580
Max drawdown($123)
Time4/15/18 20:04
Quant open0
Worst price0.065
Drawdown as % of equity-0.06%
 ($123)
Includes Typical Broker Commissions trade costs of $0.23
4/4/14 11:22 BGX BLACKSTONE LONG SHORT CREDIT INCOME FUND LONG 150 17.71 4/13/18 9:32 16.61 0.14%
Trade id #86868660
Max drawdown($273)
Time3/22/18 11:35
Quant open150
Worst price15.89
Drawdown as % of equity-0.14%
 ($168)
Includes Typical Broker Commissions trade costs of $3.00
3/4/14 9:30 JNK SPDR BLOOMBERG HIGH YIELD BOND LONG 250 41.31 4/13/18 9:30 36.16 0.74%
Trade id #86274793
Max drawdown($1,447)
Time4/4/18 6:36
Quant open250
Worst price35.52
Drawdown as % of equity-0.74%
 ($1,293)
Includes Typical Broker Commissions trade costs of $5.00
3/4/14 9:30 VYM VANGUARD HIGH DIVIDEND YIELD I LONG 150 62.16 4/13/18 9:30 75.00 0.02%
Trade id #86274854
Max drawdown($38)
Time9/24/15 11:05
Quant open75
Worst price61.65
Drawdown as % of equity-0.02%
 $1,924
Includes Typical Broker Commissions trade costs of $3.00
12/30/13 12:46 TSX.ZCL Z C L COMPOSITES INC LONG 150 CAD 7.20 4/13/18 9:30 CAD 12.08 0.02%
Trade id #84896492
Max drawdown($45)
Time7/12/15 9:01
Quant open150
Worst price0.00
Drawdown as % of equity-0.02%
 $544
Includes Typical Broker Commissions trade costs of $2.89
4/2/14 9:30 DB DEUTSCHE BANK AG LONG 250 40.87 4/13/18 9:30 24.47 2.11%
Trade id #86818040
Max drawdown($4,101)
Time4/13/18 9:30
Quant open150
Worst price14.68
Drawdown as % of equity-2.11%
 ($4,106)
Includes Typical Broker Commissions trade costs of $5.00
6/25/14 13:33 MPC MARATHON PETROLEUM LONG 200 40.40 4/13/18 9:30 74.46 0.05%
Trade id #88283774
Max drawdown($79)
Time1/21/15 9:35
Quant open100
Worst price80.02
Drawdown as % of equity-0.05%
 $6,807
Includes Typical Broker Commissions trade costs of $4.00
4/2/14 9:48 BCRH BLUE CAPITAL REINSURANCE HOLDI LONG 75 17.55 4/13/18 9:30 11.70 0.24%
Trade id #86818946
Max drawdown($472)
Time3/15/18 10:01
Quant open75
Worst price11.25
Drawdown as % of equity-0.24%
 ($441)
Includes Typical Broker Commissions trade costs of $1.50
3/27/14 8:18 USD/CAD USD/CAD LONG 36 1.08874 4/13/18 4:44 1.12855 3.87%
Trade id #86714036
Max drawdown($6,392)
Time7/3/14 12:39
Quant open30
Worst price1.06195
Drawdown as % of equity-3.87%
 $11,400
4/3/14 12:29 FBHS FORTUNE BRANDS HOME LONG 50 42.47 8/12/15 15:26 50.00 0.01%
Trade id #86846469
Max drawdown($23)
Time11/18/14 9:31
Quant open50
Worst price42.01
Drawdown as % of equity-0.01%
 $376
Includes Typical Broker Commissions trade costs of $1.00
6/18/14 14:02 ZGNX ZOGENIX LONG 16 14.56 7/1/15 9:30 14.00 0.11%
Trade id #88172052
Max drawdown($208)
Time6/10/15 9:35
Quant open16
Worst price1.55
Drawdown as % of equity-0.11%
 ($9)
Includes Typical Broker Commissions trade costs of $0.32
12/30/13 12:45 TSX.TRZ.B TRANSAT A.T. INC CLASS B LONG 75 CAD 12.91 2/26/15 9:30 CAD 7.00 0.21%
Trade id #84896468
Max drawdown($352)
Time2/26/15 4:50
Quant open75
Worst price0.00
Drawdown as % of equity-0.21%
 ($333)
Includes Typical Broker Commissions trade costs of $1.50
4/2/14 9:30 SRV NXG CUSHING MIDSTREAM ENERGY FUND LONG 50 41.15 1/23/15 9:43 27.50 0.41%
Trade id #86817945
Max drawdown($683)
Time1/23/15 9:43
Quant open0
Worst price5.50
Drawdown as % of equity-0.41%
 ($684)
Includes Typical Broker Commissions trade costs of $1.00
5/30/13 14:58 IID VOYA INTERNATIONAL HIGH DIVIDE LONG 15 9.87 12/15/14 12:32 8.00 0.02%
Trade id #81187734
Max drawdown($28)
Time12/15/14 12:32
Quant open0
Worst price8.00
Drawdown as % of equity-0.02%
 ($28)
Includes Typical Broker Commissions trade costs of $0.30
6/13/14 8:39 @BPZ4 BRITISH POUND SHORT 1 1.6934 12/15 9:28 1.5662 0.13%
Trade id #88095901
Max drawdown($200)
Time7/29/14 4:40
Quant open-1
Worst price1.6966
Drawdown as % of equity-0.13%
 $7,942
Includes Typical Broker Commissions trade costs of $8.00
4/3/14 12:25 GME GAMESTOP LONG 75 43.74 12/9 9:41 34.00 0.44%
Trade id #86846351
Max drawdown($731)
Time12/9/14 9:41
Quant open0
Worst price34.00
Drawdown as % of equity-0.44%
 ($733)
Includes Typical Broker Commissions trade costs of $1.50
4/2/14 9:30 ENH ENDURANCE SPECIALTY LONG 150 53.93 12/8 11:27 60.00 0.04%
Trade id #86818071
Max drawdown($63)
Time10/16/14 10:18
Quant open150
Worst price53.51
Drawdown as % of equity-0.04%
 $908
Includes Typical Broker Commissions trade costs of $3.00
4/2/14 9:35 VR GLOBAL X METAVERSE ETF LONG 75 37.21 12/5 10:31 42.00 0.03%
Trade id #86818410
Max drawdown($41)
Time8/7/14 9:37
Quant open75
Worst price36.66
Drawdown as % of equity-0.03%
 $358
Includes Typical Broker Commissions trade costs of $1.50
12/17/13 11:06 TSX.DRM DREAM UNLIMITED CORP LONG 75 CAD 17.34 12/2/14 14:10 CAD 11.00 0.25%
Trade id #84672393
Max drawdown($418)
Time12/2/14 14:10
Quant open0
Worst price11.00
Drawdown as % of equity-0.25%
 ($357)
Includes Typical Broker Commissions trade costs of $2.13
4/2/14 9:36 MDR1615A5 MDR Jan15'16 5 call LONG 1 2.85 11/25 15:28 0.45 0.14%
Trade id #86818444
Max drawdown($240)
Time11/25/14 15:28
Quant open0
Worst price0.45
Drawdown as % of equity-0.14%
 ($242)
Includes Typical Broker Commissions trade costs of $2.00
6/25/14 13:39 @CDZ4 CANADIAN DOLLAR LONG 1 0.9291 11/19 10:52 0.8808 3.5%
Trade id #88283887
Max drawdown($5,790)
Time11/5/14 5:16
Quant open1
Worst price0.8712
Drawdown as % of equity-3.50%
 ($4,838)
Includes Typical Broker Commissions trade costs of $8.00
10/10/13 13:17 SLVO CREDIT SUISSE X-LINKS SILVER SHARES COVE LONG 100 17.59 10/30/14 11:15 12.00 0.34%
Trade id #83434740
Max drawdown($559)
Time10/30/14 11:15
Quant open0
Worst price12.00
Drawdown as % of equity-0.34%
 ($561)
Includes Typical Broker Commissions trade costs of $2.00
6/13/14 10:02 FNSR FINISAR LONG 125 19.45 10/10 9:31 15.00 0.34%
Trade id #88097726
Max drawdown($556)
Time10/10/14 9:31
Quant open0
Worst price15.00
Drawdown as % of equity-0.34%
 ($559)
Includes Typical Broker Commissions trade costs of $2.50
12/30/13 12:44 TSX.HNL HORIZON NORTH LOGISTICS INC LONG 100 CAD 9.99 9/29/14 9:32 CAD 4.98 0.27%
Trade id #84896409
Max drawdown($449)
Time9/29/14 9:32
Quant open0
Worst price4.98
Drawdown as % of equity-0.27%
 ($376)
Includes Typical Broker Commissions trade costs of $1.50
5/14/14 8:22 EUR/JPY EUR/JPY LONG 4 139.637 9/18 12:33 140.450 0.86%
Trade id #87559258
Max drawdown($1,410)
Time9/5/14 10:18
Quant open4
Worst price135.804
Drawdown as % of equity-0.86%
 $299
6/13/14 10:01 WHX1420U2 WHX Sep20'14 2 put LONG 8 0.80 8/18 12:37 0.10 0.35%
Trade id #88097694
Max drawdown($560)
Time8/18/14 12:37
Quant open0
Worst price0.10
Drawdown as % of equity-0.35%
 ($571)
Includes Typical Broker Commissions trade costs of $11.20
6/23/14 15:44 USD/JPY USD/JPY LONG 5 101.911 7/30 8:30 102.334 0.27%
Trade id #88238481
Max drawdown($416)
Time7/10/14 9:03
Quant open5
Worst price101.057
Drawdown as % of equity-0.27%
 $207
6/5/13 10:01 TRGT TARGACEPT INC LONG 14 38.15 7/29/14 9:30 21.00 0.15%
Trade id #81312524
Max drawdown($240)
Time7/14/14 15:36
Quant open100
Worst price3.56
Drawdown as % of equity-0.15%
 ($240)
Includes Typical Broker Commissions trade costs of $0.28
6/13/14 10:26 INTC1416H29 INTC Aug16'14 29 call SHORT 3 1.17 7/16 9:30 4.40 0.62%
Trade id #88098466
Max drawdown($969)
Time7/16/14 9:30
Quant open0
Worst price4.40
Drawdown as % of equity-0.62%
 ($973)
Includes Typical Broker Commissions trade costs of $4.20
Next

Statistics

  • Strategy began
    4/3/2013
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    4032.16
  • Age
    134 months ago
  • What it trades
    Stocks, Forex
  • # Trades
    1043
  • # Profitable
    788
  • % Profitable
    75.60%
  • Avg trade duration
    47.7 days
  • Max peak-to-valley drawdown
    88.52%
  • drawdown period
    Aug 03, 2013 - Aug 30, 2014
  • Annual Return (Compounded)
    5.6%
  • Avg win
    $486.85
  • Avg loss
    $1,243
  • Model Account Values (Raw)
  • Cash
    $186,368
  • Margin Used
    $0
  • Buying Power
    $198,334
  • Ratios
  • W:L ratio
    1.32:1
  • Sharpe Ratio
    0.21
  • Sortino Ratio
    0.43
  • Calmar Ratio
    0.446
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -140.76%
  • Correlation to SP500
    0.05750
  • Return Percent SP500 (cumu) during strategy life
    223.24%
  • Return Statistics
  • Ann Return (w trading costs)
    5.6%
  • Slump
  • Current Slump as Pcnt Equity
    46.00%
  • Instruments
  • Percent Trades Futures
    0.14%
  • 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)
    0.056%
  • Instruments
  • Percent Trades Options
    0.12%
  • Percent Trades Stocks
    0.45%
  • Percent Trades Forex
    0.29%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% 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
    $1,244
  • Avg Win
    $487
  • Sum Trade PL (losers)
    $317,176.000
  • Age
  • Num Months filled monthly returns table
    133
  • Win / Loss
  • Sum Trade PL (winners)
    $383,637.000
  • # Winners
    788
  • Num Months Winners
    76
  • Dividends
  • Dividends Received in Model Acct
    35457
  • Win / Loss
  • # Losers
    255
  • % Winners
    75.5%
  • Frequency
  • Avg Position Time (mins)
    318466.00
  • Avg Position Time (hrs)
    5307.76
  • Avg Trade Length
    221.2 days
  • Last Trade Ago
    2196
  • Regression
  • Alpha
    0.02
  • Beta
    0.13
  • Treynor Index
    0.19
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    44.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    34.52
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.11
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    23.224
  • 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
    2.270
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.162
  • Hold-and-Hope Ratio
    0.043
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16811
  • SD
    0.32514
  • Sharpe ratio (Glass type estimate)
    0.51702
  • Sharpe ratio (Hedges UMVUE)
    0.50967
  • df
    53.00000
  • t
    1.09677
  • p
    0.13885
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.41450
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.44376
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41935
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.43869
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.41409
  • Upside Potential Ratio
    2.86170
  • Upside part of mean
    0.34020
  • Downside part of mean
    -0.17209
  • Upside SD
    0.30329
  • Downside SD
    0.11888
  • N nonnegative terms
    33.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    54.00000
  • Mean of predictor
    0.23144
  • Mean of criterion
    0.16811
  • SD of predictor
    0.19509
  • SD of criterion
    0.32514
  • Covariance
    0.00891
  • r
    0.14049
  • b (slope, estimate of beta)
    0.23415
  • a (intercept, estimate of alpha)
    0.11392
  • Mean Square Error
    0.10562
  • DF error
    52.00000
  • t(b)
    1.02322
  • p(b)
    0.15547
  • t(a)
    0.70275
  • p(a)
    0.24267
  • Lowerbound of 95% confidence interval for beta
    -0.22504
  • Upperbound of 95% confidence interval for beta
    0.69333
  • Lowerbound of 95% confidence interval for alpha
    -0.21136
  • Upperbound of 95% confidence interval for alpha
    0.43920
  • Treynor index (mean / b)
    0.71796
  • Jensen alpha (a)
    0.11392
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12333
  • SD
    0.28660
  • Sharpe ratio (Glass type estimate)
    0.43030
  • Sharpe ratio (Hedges UMVUE)
    0.42418
  • df
    53.00000
  • t
    0.91281
  • p
    0.18274
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.49924
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.35585
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.50327
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.35164
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.97640
  • Upside Potential Ratio
    2.39625
  • Upside part of mean
    0.30266
  • Downside part of mean
    -0.17934
  • Upside SD
    0.25678
  • Downside SD
    0.12631
  • N nonnegative terms
    33.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    54.00000
  • Mean of predictor
    0.21172
  • Mean of criterion
    0.12333
  • SD of predictor
    0.18380
  • SD of criterion
    0.28660
  • Covariance
    0.00864
  • r
    0.16404
  • b (slope, estimate of beta)
    0.25579
  • a (intercept, estimate of alpha)
    0.06917
  • Mean Square Error
    0.08147
  • DF error
    52.00000
  • t(b)
    1.19915
  • p(b)
    0.11795
  • t(a)
    0.48736
  • p(a)
    0.31402
  • Lowerbound of 95% confidence interval for beta
    -0.17224
  • Upperbound of 95% confidence interval for beta
    0.68381
  • Lowerbound of 95% confidence interval for alpha
    -0.21563
  • Upperbound of 95% confidence interval for alpha
    0.35397
  • Treynor index (mean / b)
    0.48215
  • Jensen alpha (a)
    0.06917
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11822
  • Expected Shortfall on VaR
    0.14778
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02743
  • Expected Shortfall on VaR
    0.05963
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    54.00000
  • Minimum
    0.84657
  • Quartile 1
    0.98800
  • Median
    1.00461
  • Quartile 3
    1.01661
  • Maximum
    1.48482
  • Mean of quarter 1
    0.95041
  • Mean of quarter 2
    0.99935
  • Mean of quarter 3
    1.00788
  • Mean of quarter 4
    1.10588
  • Inter Quartile Range
    0.02861
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.07407
  • Mean of outliers low
    0.89163
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.07407
  • Mean of outliers high
    1.28259
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23417
  • VaR(95%) (moments method)
    0.04003
  • Expected Shortfall (moments method)
    0.06749
  • Extreme Value Index (regression method)
    0.56539
  • VaR(95%) (regression method)
    0.04919
  • Expected Shortfall (regression method)
    0.12880
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01085
  • Quartile 1
    0.08214
  • Median
    0.15343
  • Quartile 3
    0.21322
  • Maximum
    0.27301
  • Mean of quarter 1
    0.01085
  • Mean of quarter 2
    0.15343
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.27301
  • Inter Quartile Range
    0.13108
  • 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)
    0.21666
  • Compounded annual return (geometric extrapolation)
    0.16327
  • Calmar ratio (compounded annual return / max draw down)
    0.59802
  • Compounded annual return / average of 25% largest draw downs
    0.59802
  • Compounded annual return / Expected Shortfall lognormal
    1.10476
  • 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
    0.23070
  • SD
    0.52430
  • Sharpe ratio (Glass type estimate)
    0.44001
  • Sharpe ratio (Hedges UMVUE)
    0.43973
  • df
    1193.00000
  • t
    0.93932
  • p
    0.48269
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47835
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.35821
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47855
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.35802
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.08682
  • Upside Potential Ratio
    5.27640
  • Upside part of mean
    1.12000
  • Downside part of mean
    -0.88931
  • Upside SD
    0.47938
  • Downside SD
    0.21227
  • N nonnegative terms
    637.00000
  • N negative terms
    557.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1194.00000
  • Mean of predictor
    0.26230
  • Mean of criterion
    0.23070
  • SD of predictor
    0.25778
  • SD of criterion
    0.52430
  • Covariance
    0.00872
  • r
    0.06451
  • b (slope, estimate of beta)
    0.13120
  • a (intercept, estimate of alpha)
    0.19600
  • Mean Square Error
    0.27398
  • DF error
    1192.00000
  • t(b)
    2.23178
  • p(b)
    0.46775
  • t(a)
    0.79895
  • p(a)
    0.48843
  • Lowerbound of 95% confidence interval for beta
    0.01586
  • Upperbound of 95% confidence interval for beta
    0.24654
  • Lowerbound of 95% confidence interval for alpha
    -0.28572
  • Upperbound of 95% confidence interval for alpha
    0.67829
  • Treynor index (mean / b)
    1.75833
  • Jensen alpha (a)
    0.19628
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12600
  • SD
    0.43175
  • Sharpe ratio (Glass type estimate)
    0.29184
  • Sharpe ratio (Hedges UMVUE)
    0.29166
  • df
    1193.00000
  • t
    0.62302
  • p
    0.48852
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.62640
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.20998
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.62653
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.20985
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.56232
  • Upside Potential Ratio
    4.63867
  • Upside part of mean
    1.03942
  • Downside part of mean
    -0.91342
  • Upside SD
    0.36892
  • Downside SD
    0.22408
  • N nonnegative terms
    637.00000
  • N negative terms
    557.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1194.00000
  • Mean of predictor
    0.22954
  • Mean of criterion
    0.12600
  • SD of predictor
    0.25470
  • SD of criterion
    0.43175
  • Covariance
    0.00847
  • r
    0.07701
  • b (slope, estimate of beta)
    0.13054
  • a (intercept, estimate of alpha)
    0.09604
  • Mean Square Error
    0.18546
  • DF error
    1192.00000
  • t(b)
    2.66659
  • p(b)
    0.46150
  • t(a)
    0.47535
  • p(a)
    0.49312
  • Lowerbound of 95% confidence interval for beta
    0.03449
  • Upperbound of 95% confidence interval for beta
    0.22658
  • Lowerbound of 95% confidence interval for alpha
    -0.30036
  • Upperbound of 95% confidence interval for alpha
    0.49244
  • Treynor index (mean / b)
    0.96526
  • Jensen alpha (a)
    0.09604
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04247
  • Expected Shortfall on VaR
    0.05303
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00713
  • Expected Shortfall on VaR
    0.01670
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1194.00000
  • Minimum
    0.83452
  • Quartile 1
    0.99821
  • Median
    1.00025
  • Quartile 3
    1.00224
  • Maximum
    1.90454
  • Mean of quarter 1
    0.98724
  • Mean of quarter 2
    0.99943
  • Mean of quarter 3
    1.00109
  • Mean of quarter 4
    1.01619
  • Inter Quartile Range
    0.00403
  • Number outliers low
    100.00000
  • Percentage of outliers low
    0.08375
  • Mean of outliers low
    0.96937
  • Number of outliers high
    104.00000
  • Percentage of outliers high
    0.08710
  • Mean of outliers high
    1.03854
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.99124
  • VaR(95%) (moments method)
    0.01081
  • Expected Shortfall (moments method)
    1.29199
  • Extreme Value Index (regression method)
    0.79296
  • VaR(95%) (regression method)
    0.00854
  • Expected Shortfall (regression method)
    0.04441
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00264
  • Quartile 1
    0.02313
  • Median
    0.05810
  • Quartile 3
    0.21348
  • Maximum
    0.37295
  • Mean of quarter 1
    0.01091
  • Mean of quarter 2
    0.03760
  • Mean of quarter 3
    0.12918
  • Mean of quarter 4
    0.32045
  • Inter Quartile Range
    0.19035
  • 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)
    -14.22840
  • VaR(95%) (moments method)
    0.34330
  • Expected Shortfall (moments method)
    0.34330
  • Extreme Value Index (regression method)
    -1.89777
  • VaR(95%) (regression method)
    0.42087
  • Expected Shortfall (regression method)
    0.42621
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.22307
  • Compounded annual return (geometric extrapolation)
    0.16639
  • Calmar ratio (compounded annual return / max draw down)
    0.44614
  • Compounded annual return / average of 25% largest draw downs
    0.51923
  • Compounded annual return / Expected Shortfall lognormal
    3.13746
  • 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
    0.06508
  • SD
    0.05595
  • Sharpe ratio (Glass type estimate)
    1.16326
  • Sharpe ratio (Hedges UMVUE)
    1.15653
  • df
    130.00000
  • t
    0.82255
  • p
    0.46402
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.61433
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.93649
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.61884
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.93190
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.79956
  • Upside Potential Ratio
    8.86183
  • Upside part of mean
    0.32050
  • Downside part of mean
    -0.25541
  • Upside SD
    0.04260
  • Downside SD
    0.03617
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.67603
  • Mean of criterion
    0.06508
  • SD of predictor
    0.38783
  • SD of criterion
    0.05595
  • Covariance
    0.01257
  • r
    0.57931
  • b (slope, estimate of beta)
    0.08357
  • a (intercept, estimate of alpha)
    0.00859
  • Mean Square Error
    0.00210
  • DF error
    129.00000
  • t(b)
    8.07218
  • p(b)
    0.15302
  • t(a)
    0.13185
  • p(a)
    0.49261
  • Lowerbound of 95% confidence interval for beta
    0.06309
  • Upperbound of 95% confidence interval for beta
    0.10405
  • Lowerbound of 95% confidence interval for alpha
    -0.12026
  • Upperbound of 95% confidence interval for alpha
    0.13743
  • Treynor index (mean / b)
    0.77877
  • Jensen alpha (a)
    0.00859
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06352
  • SD
    0.05592
  • Sharpe ratio (Glass type estimate)
    1.13583
  • Sharpe ratio (Hedges UMVUE)
    1.12927
  • df
    130.00000
  • t
    0.80315
  • p
    0.46487
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.64159
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.90890
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.64594
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.90447
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.74948
  • Upside Potential Ratio
    8.80190
  • Upside part of mean
    0.31956
  • Downside part of mean
    -0.25604
  • Upside SD
    0.04243
  • Downside SD
    0.03631
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.60049
  • Mean of criterion
    0.06352
  • SD of predictor
    0.38832
  • SD of criterion
    0.05592
  • Covariance
    0.01258
  • r
    0.57927
  • b (slope, estimate of beta)
    0.08342
  • a (intercept, estimate of alpha)
    0.01342
  • Mean Square Error
    0.00209
  • DF error
    129.00000
  • t(b)
    8.07141
  • p(b)
    0.15304
  • t(a)
    0.20649
  • p(a)
    0.48843
  • VAR (95 Confidence Intrvl)
    0.04200
  • Lowerbound of 95% confidence interval for beta
    0.06297
  • Upperbound of 95% confidence interval for beta
    0.10387
  • Lowerbound of 95% confidence interval for alpha
    -0.11520
  • Upperbound of 95% confidence interval for alpha
    0.14205
  • Treynor index (mean / b)
    0.76141
  • Jensen alpha (a)
    0.01342
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00543
  • Expected Shortfall on VaR
    0.00686
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00212
  • Expected Shortfall on VaR
    0.00441
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98642
  • Quartile 1
    0.99900
  • Median
    1.00016
  • Quartile 3
    1.00119
  • Maximum
    1.01190
  • Mean of quarter 1
    0.99657
  • Mean of quarter 2
    0.99977
  • Mean of quarter 3
    1.00057
  • Mean of quarter 4
    1.00451
  • Inter Quartile Range
    0.00219
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.99250
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.12214
  • Mean of outliers high
    1.00680
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.37263
  • VaR(95%) (moments method)
    0.00322
  • Expected Shortfall (moments method)
    0.00616
  • Extreme Value Index (regression method)
    0.44259
  • VaR(95%) (regression method)
    0.00318
  • Expected Shortfall (regression method)
    0.00655
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00009
  • Quartile 1
    0.00257
  • Median
    0.00369
  • Quartile 3
    0.00754
  • Maximum
    0.01556
  • Mean of quarter 1
    0.00082
  • Mean of quarter 2
    0.00311
  • Mean of quarter 3
    0.00525
  • Mean of quarter 4
    0.01370
  • Inter Quartile Range
    0.00497
  • 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
    0.08333
  • Mean of outliers high
    0.01556
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -10.84590
  • VaR(95%) (moments method)
    0.01465
  • Expected Shortfall (moments method)
    0.01465
  • Extreme Value Index (regression method)
    -1.71624
  • VaR(95%) (regression method)
    0.01696
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.01723
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -464312000
  • Max Equity Drawdown (num days)
    392
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.09355
  • Compounded annual return (geometric extrapolation)
    0.09573
  • Calmar ratio (compounded annual return / max draw down)
    6.15390
  • Compounded annual return / average of 25% largest draw downs
    6.98958
  • Compounded annual return / Expected Shortfall lognormal
    13.95650

Strategy Description

note: Very high risk system that I do not put my money into myself (well not the whole portfolio but parts of it) ... join for free and all constructive feedback welcome.

The Complete Portfolio – Absolute Return

C2 is full of various systems focusing solely on one type of financial instrument, be it futures, options, FX or equities, leading to unnecessary risk concentration. I have decided to set up a ONE STOP SHOP for your portfolio needs. Different securities perform differently at any point in time, so with a mix of asset types, your entire portfolio does not suffer the impact of a decline of any one security/market. This system focuses on ABSOLUTE RETURN and the portfolio of investments may include, among other instruments, long equities, short selling, futures, options, derivatives, U.S. Government securities and forex.


Investment Process
This system will pursue an investment process that will seek to open positions evaluated on the basis of a range of fundamental, operational, managerial and valuation criteria. Investments will only be made that meet the relevant criteria. The investment evaluation and selection strategy will involve a disciplined approach to investing by carrying out detailed and careful studies of opportunities on a case by case basis in companies which I believe have the potential for strong growth. I will seek to identify target companies which demonstrate a substantial difference between the valuation of their securities and their market price or proposed acquisition price. This sytem will follow on an absolute return focus to investing rather than ‘relative-performance’ stock selection. This system focuses on Absolute return investment techniques include long equities, short selling, futures, options, derivatives and forex. Mutual funds are also invested in to get the underlying geopraphic/industry exposure when fits into the current portfolio construct.

The strategies are typically less constrained, allowing us to take opportunities in a wide range of market environments (e.g. use of short-selling, derivatives etc). Liquidity is sometimes conceded in return for the likelihood of higher risk-adjusted returns as these investments seek different risk premia.



Risk Management & Other
The extensive risk management activities will focus primarily on the following four areas. Firstly, the positions will be the result of extensive research and due diligence analysis. This includes diversification by
industries, geographies, security types and market capitalization. Secondly, the valuation of each position will include consistent analysis via proven methodologies. For instance, the securities in the portfolio will not
exceed a reasonable valuation given an expected rate of growth based on the developers estimate. Thirdly, the positions in the portfolio will comply with certain concentration limits. The areas of concentration include limits on exposure to any single security, market sector concentration and market capitalization concentration. Additionally, the portfolio will deploy a manual 15% of equity stop loss that is rigidly enforced. Focus is on risk adjusted returns tilted towards lower risk being acceptable (see risk of positions closed to date) for smaller returns. Though tend to avoid cost averaging when possible, it does and will occur when determined it makes sense.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2013-04-03
Suggested Minimum Capital
$25,000
# Trades
1043
# Profitable
788
% Profitable
75.6%
Net Dividends
$35,456
Correlation S&P500
0.058
Sharpe Ratio
0.21
Sortino Ratio
0.43
Beta
0.13
Alpha
0.02

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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