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These are hypothetical performance results that have certain inherent limitations. Learn more

Premier Value
(82365112)

Created by: PremierValue PremierValue
Started: 08/2013
Stocks
Last trade: 2,482 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 $10.00 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.

2.4%
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.

(65.3%)
Max Drawdown
347
Num Trades
60.8%
Win Trades
1.3 : 1
Profit Factor
48.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                                                 (1.6%)+1.3%+2.2%(5.1%)(3.2%)(6.4%)
2014+3.3%+3.1%+10.0%+0.4%+0.2%(50.2%)+41.0%+5.9%+45.8%+8.7%(20.8%)+32.1%+45.2%
2015(19.4%)+4.6%(4.6%)+22.9%+6.3%(0.8%)(2.1%)+2.3%(6.7%)+4.2%(6.4%)(5.4%)(10%)
2016(10.9%)+13.8%+7.1%+8.8%(3.9%)+1.3%(0.8%)+2.1%  -  +0.8%+1.3%+2.3%+21.7%
2017(2.1%)(0.2%)(0.3%)(0.6%)(0.5%)+0.3%(0.1%)+0.3%(0.7%)(0.1%)(0.5%)(0.8%)(5.3%)
2018(0.7%)+0.6%+0.5%+0.1%  -  (0.6%)(0.1%)(0.5%)+0.1%+1.5%(0.4%)+1.3%+1.9%
2019(1.5%)(0.4%)+0.2%(1.1%)+0.1%  -  +0.7%(0.5%)(0.5%)(0.3%)(0.4%)(3.3%)
2020+0.4%+1.8%+3.6%(0.9%)(2%)  -  (0.8%)(1.4%)+0.3%(0.4%)(1.6%)(0.9%)(2.1%)
2021(0.6%)(1.2%)(0.9%)(1%)+0.1%(0.3%)+0.1%(0.4%)+0.4%(0.9%)+0.2%+0.1%(4.2%)
2022+2.3%(0.1%)+0.7%+0.6%+1.0%+2.0%(1.9%)+0.9%+1.5%(1.5%)(1.2%)+1.1%+5.2%
2023(2.1%)+0.2%+1.0%(0.7%)+0.8%(1.9%)(0.3%)+0.8%+1.1%+1.4%(2.8%)(1.6%)(4.3%)
2024+0.2%(0.6%)(1.6%)                                                      (2%)

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
2/5/16 11:04 SDRL1819A5 SDRL Jan19'18 5 call SHORT 1 0.55 6/12/17 15:59 0.05 0.64%
Trade id #100376820
Max drawdown($110)
Time4/19/16 14:43
Quant open-1
Worst price1.65
Drawdown as % of equity-0.64%
$48
Includes Typical Broker Commissions trade costs of $2.00
7/15/16 15:11 UUP INVESCO DB USD INDEX BULLISH FUND ETF LONG 100 25.06 6/12/17 9:53 25.14 0.06%
Trade id #104664827
Max drawdown($11)
Time6/6/17 13:57
Quant open100
Worst price24.94
Drawdown as % of equity-0.06%
$6
Includes Typical Broker Commissions trade costs of $2.00
11/21/16 11:41 SDRL1721D3 SDRL Apr21'17 3 call SHORT 1 0.40 4/22/17 9:35 0.00 n/a $39
Includes Typical Broker Commissions trade costs of $1.00
11/22/16 12:59 UUP1717C26 UUP Mar17'17 26 call SHORT 1 0.55 3/18/17 9:35 0.00 n/a $54
Includes Typical Broker Commissions trade costs of $1.00
3/8/16 14:31 SDRL SEADRILL LTD LONG 745 4.19 1/31/17 9:31 3.20 6.88%
Trade id #101088106
Max drawdown($1,066)
Time4/7/16 14:20
Quant open670
Worst price2.70
Drawdown as % of equity-6.88%
($757)
Includes Typical Broker Commissions trade costs of $14.90
8/1/16 12:15 SDRL1720A4 SDRL Jan20'17 4 call SHORT 1 0.30 1/21/17 9:35 0.00 n/a $29
Includes Typical Broker Commissions trade costs of $1.00
3/11/16 15:52 SDRL1720A5 SDRL Jan20'17 5 call SHORT 1 1.15 1/21/17 9:35 0.00 0.14%
Trade id #101187997
Max drawdown($25)
Time4/29/16 10:09
Quant open-1
Worst price1.40
Drawdown as % of equity-0.14%
$114
Includes Typical Broker Commissions trade costs of $1.00
9/9/15 15:39 FSTR LB FOSTER LONG 320 13.49 12/6/16 10:49 13.06 4.94%
Trade id #97131851
Max drawdown($847)
Time8/10/16 15:39
Quant open200
Worst price9.25
Drawdown as % of equity-4.94%
($143)
Includes Typical Broker Commissions trade costs of $6.40
1/5/16 15:38 TLO SPDR BARCLAYS CAPITAL LONG TER SHORT 4 74.78 11/22 10:29 70.00 0.14%
Trade id #99037830
Max drawdown($24)
Time7/8/16 12:41
Quant open-2
Worst price82.40
Drawdown as % of equity-0.14%
$19
Includes Typical Broker Commissions trade costs of $0.08
1/6/16 10:12 DLBL IPATH US TREASURY LONG BOND BU SHORT 4 78.85 11/21 15:33 76.99 0.01%
Trade id #99051485
Max drawdown($1)
Time11/4/16 13:31
Quant open-4
Worst price79.33
Drawdown as % of equity-0.01%
$7
Includes Typical Broker Commissions trade costs of $0.08
8/30/16 14:45 FSTR1618K12.5 FSTR Nov18'16 12.5 call SHORT 1 1.10 11/19 9:35 0.00 n/a $109
Includes Typical Broker Commissions trade costs of $1.00
3/10/16 10:57 SDRL1621J3 SDRL Oct21'16 3 call SHORT 1 1.40 10/22 9:35 0.00 0.15%
Trade id #101150221
Max drawdown($25)
Time4/19/16 15:55
Quant open-1
Worst price1.65
Drawdown as % of equity-0.15%
$139
Includes Typical Broker Commissions trade costs of $1.00
7/20/16 14:22 UUP1616I25 UUP Sep16'16 25 call SHORT 1 0.39 9/17 9:35 0.00 n/a $38
Includes Typical Broker Commissions trade costs of $1.00
5/25/16 15:16 FSTR1619H12.5 FSTR Aug19'16 12.5 call SHORT 1 1.00 8/20 9:35 0.00 n/a $99
Includes Typical Broker Commissions trade costs of $1.00
3/10/16 14:33 FSTR1619H15 FSTR Aug19'16 15 call SHORT 1 2.45 8/20 9:35 0.00 1.63%
Trade id #101158277
Max drawdown($271)
Time4/15/16 12:49
Quant open-1
Worst price5.16
Drawdown as % of equity-1.63%
$244
Includes Typical Broker Commissions trade costs of $1.00
2/5/16 10:35 YHOO1615G35 YHOO Jul15'16 35 call SHORT 1 0.80 7/16 9:35 0.00 1.45%
Trade id #100375928
Max drawdown($250)
Time7/12/16 9:54
Quant open-1
Worst price3.30
Drawdown as % of equity-1.45%
$79
Includes Typical Broker Commissions trade costs of $1.00
2/19/15 9:42 YHOO YAHOO! LONG 190 32.46 7/16/16 9:35 33.38 8.24%
Trade id #92623050
Max drawdown($1,103)
Time2/11/16 9:43
Quant open175
Worst price26.15
Drawdown as % of equity-8.24%
$172
Includes Typical Broker Commissions trade costs of $3.80
2/3/16 14:31 ADM1617F37 ADM Jun17'16 37 call SHORT 1 0.85 6/18 9:35 0.00 3.62%
Trade id #100336115
Max drawdown($625)
Time6/6/16 9:33
Quant open-1
Worst price7.10
Drawdown as % of equity-3.62%
$84
Includes Typical Broker Commissions trade costs of $1.00
2/26/15 9:53 ADM ARCHER-DANIELS MIDLAND LONG 200 37.71 6/18/16 9:35 37.50 4.98%
Trade id #92781443
Max drawdown($655)
Time2/12/16 9:35
Quant open90
Worst price31.30
Drawdown as % of equity-4.98%
($45)
Includes Typical Broker Commissions trade costs of $4.00
4/4/16 10:38 ADM1617F38 ADM Jun17'16 38 call SHORT 1 0.90 6/18 9:35 0.00 3.01%
Trade id #101637001
Max drawdown($520)
Time6/6/16 10:23
Quant open-1
Worst price6.10
Drawdown as % of equity-3.01%
$89
Includes Typical Broker Commissions trade costs of $1.00
1/8/16 11:44 FSTR1620E12.5 FSTR May20'16 12.5 call SHORT 1 0.95 5/21 9:35 0.00 3.61%
Trade id #99111292
Max drawdown($615)
Time4/26/16 11:26
Quant open-1
Worst price7.10
Drawdown as % of equity-3.61%
$94
Includes Typical Broker Commissions trade costs of $1.00
9/23/15 9:36 ALIAF LONG 650 2.01 5/13/16 12:47 2.59 2.82%
Trade id #97393778
Max drawdown($340)
Time1/20/16 10:56
Quant open500
Worst price1.43
Drawdown as % of equity-2.82%
$368
Includes Typical Broker Commissions trade costs of $13.00
2/5/16 10:11 UGLD VELOCITYSHARES 3X LONG GOLD ET LONG 250 10.35 5/11 11:46 12.42 0.03%
Trade id #100374833
Max drawdown($4)
Time2/5/16 10:17
Quant open100
Worst price9.28
Drawdown as % of equity-0.03%
$513
Includes Typical Broker Commissions trade costs of $5.00
4/14/16 14:36 GDX VANECK GOLD MINERS ETF LONG 40 22.28 5/4 12:01 23.75 0.03%
Trade id #101834070
Max drawdown($5)
Time4/15/16 9:53
Quant open20
Worst price21.45
Drawdown as % of equity-0.03%
$58
Includes Typical Broker Commissions trade costs of $0.80
2/4/16 15:58 BHI1615G52.5 BHI Jul15'16 52.5 call SHORT 1 2.18 5/3 14:49 0.90 0.19%
Trade id #100361397
Max drawdown($32)
Time4/22/16 10:18
Quant open-1
Worst price2.50
Drawdown as % of equity-0.19%
$126
Includes Typical Broker Commissions trade costs of $2.00
2/5/16 11:45 SDRL1720A3 SDRL Jan20'17 3 call SHORT 1 0.40 4/29 12:48 1.95 0.96%
Trade id #100378191
Max drawdown($167)
Time4/28/16 11:12
Quant open-1
Worst price2.07
Drawdown as % of equity-0.96%
($157)
Includes Typical Broker Commissions trade costs of $2.00
4/16/16 9:35 BABA ALIBABA GROUP HOLDING LIMITED SHORT 75 75.00 4/22 11:00 80.39 2.41%
Trade id #101859042
Max drawdown($411)
Time4/20/16 10:15
Quant open-75
Worst price80.49
Drawdown as % of equity-2.41%
($406)
Includes Typical Broker Commissions trade costs of $1.50
2/5/16 13:29 CLX CLOROX SHORT 3 123.72 4/21 14:39 121.42 0.11%
Trade id #100380439
Max drawdown($17)
Time4/6/16 15:11
Quant open-3
Worst price129.59
Drawdown as % of equity-0.11%
$7
Includes Typical Broker Commissions trade costs of $0.06
3/10/16 9:41 SDRL1615G5 SDRL Jul15'16 5 call SHORT 1 0.85 4/20 11:49 0.53 0%
Trade id #101145962
Max drawdown$0
Time4/19/16 11:02
Quant open-1
Worst price0.85
Drawdown as % of equity0.00%
$30
Includes Typical Broker Commissions trade costs of $2.00
2/19/15 10:36 MOS MOSAIC LONG 100 32.40 4/20/16 11:47 26.30 5.14%
Trade id #92625175
Max drawdown($788)
Time4/6/16 10:33
Quant open100
Worst price24.52
Drawdown as % of equity-5.14%
($612)
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    8/5/2013
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    3887.99
  • Age
    130 months ago
  • What it trades
    Stocks, Options
  • # Trades
    347
  • # Profitable
    211
  • % Profitable
    60.80%
  • Avg trade duration
    74.9 days
  • Max peak-to-valley drawdown
    65.3%
  • drawdown period
    May 09, 2014 - July 28, 2014
  • Annual Return (Compounded)
    2.4%
  • Avg win
    $156.45
  • Avg loss
    $191.60
  • Model Account Values (Raw)
  • Cash
    $19,838
  • Margin Used
    $2,640
  • Buying Power
    $15,736
  • Ratios
  • W:L ratio
    1.25:1
  • Sharpe Ratio
    0.13
  • Sortino Ratio
    0.19
  • Calmar Ratio
    0.215
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -179.61%
  • Correlation to SP500
    -0.07010
  • Return Percent SP500 (cumu) during strategy life
    207.79%
  • Return Statistics
  • Ann Return (w trading costs)
    2.4%
  • Slump
  • Current Slump as Pcnt Equity
    71.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.80%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.024%
  • Instruments
  • Percent Trades Options
    0.20%
  • Percent Trades Stocks
    0.80%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    4.9%
  • 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)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • 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
    $192
  • Avg Win
    $156
  • Sum Trade PL (losers)
    $26,057.000
  • Age
  • Num Months filled monthly returns table
    128
  • Win / Loss
  • Sum Trade PL (winners)
    $33,011.000
  • # Winners
    211
  • Num Months Winners
    63
  • Dividends
  • Dividends Received in Model Acct
    -344
  • Win / Loss
  • # Losers
    136
  • % Winners
    60.8%
  • Frequency
  • Avg Position Time (mins)
    107843.00
  • Avg Position Time (hrs)
    1797.38
  • Avg Trade Length
    74.9 days
  • Last Trade Ago
    2484
  • Regression
  • Alpha
    0.01
  • Beta
    -0.12
  • Treynor Index
    -0.10
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    32.57
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    79.70
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    99.85
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -179.06
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    78.19
  • Avg(MAE) / Avg(PL) - All trades
    26771.400
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    1.165
  • Avg(MAE) / Avg(PL) - Losing trades
    -3243.500
  • Hold-and-Hope Ratio
    0.000
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14544
  • SD
    0.32242
  • Sharpe ratio (Glass type estimate)
    0.45108
  • Sharpe ratio (Hedges UMVUE)
    0.44490
  • df
    55.00000
  • t
    0.97444
  • p
    0.16705
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.46212
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.36024
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46619
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.35599
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.67672
  • Upside Potential Ratio
    1.85450
  • Upside part of mean
    0.39856
  • Downside part of mean
    -0.25312
  • Upside SD
    0.24015
  • Downside SD
    0.21491
  • N nonnegative terms
    34.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    56.00000
  • Mean of predictor
    0.18474
  • Mean of criterion
    0.14544
  • SD of predictor
    0.20206
  • SD of criterion
    0.32242
  • Covariance
    -0.00560
  • r
    -0.08590
  • b (slope, estimate of beta)
    -0.13708
  • a (intercept, estimate of alpha)
    0.17076
  • Mean Square Error
    0.10510
  • DF error
    54.00000
  • t(b)
    -0.63361
  • p(b)
    0.73549
  • t(a)
    1.09954
  • p(a)
    0.13820
  • Lowerbound of 95% confidence interval for beta
    -0.57082
  • Upperbound of 95% confidence interval for beta
    0.29667
  • Lowerbound of 95% confidence interval for alpha
    -0.14060
  • Upperbound of 95% confidence interval for alpha
    0.48212
  • Treynor index (mean / b)
    -1.06100
  • Jensen alpha (a)
    0.17076
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09144
  • SD
    0.33479
  • Sharpe ratio (Glass type estimate)
    0.27312
  • Sharpe ratio (Hedges UMVUE)
    0.26938
  • df
    55.00000
  • t
    0.59002
  • p
    0.27880
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.63681
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.18061
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.63930
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.17807
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.36300
  • Upside Potential Ratio
    1.47846
  • Upside part of mean
    0.37242
  • Downside part of mean
    -0.28098
  • Upside SD
    0.21754
  • Downside SD
    0.25190
  • N nonnegative terms
    34.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    56.00000
  • Mean of predictor
    0.16433
  • Mean of criterion
    0.09144
  • SD of predictor
    0.19271
  • SD of criterion
    0.33479
  • Covariance
    -0.00413
  • r
    -0.06402
  • b (slope, estimate of beta)
    -0.11122
  • a (intercept, estimate of alpha)
    0.10972
  • Mean Square Error
    0.11369
  • DF error
    54.00000
  • t(b)
    -0.47143
  • p(b)
    0.68038
  • t(a)
    0.68220
  • p(a)
    0.24901
  • Lowerbound of 95% confidence interval for beta
    -0.58423
  • Upperbound of 95% confidence interval for beta
    0.36179
  • Lowerbound of 95% confidence interval for alpha
    -0.21272
  • Upperbound of 95% confidence interval for alpha
    0.43216
  • Treynor index (mean / b)
    -0.82211
  • Jensen alpha (a)
    0.10972
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.14045
  • Expected Shortfall on VaR
    0.17395
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03978
  • Expected Shortfall on VaR
    0.09145
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    56.00000
  • Minimum
    0.65078
  • Quartile 1
    0.98783
  • Median
    1.00695
  • Quartile 3
    1.05184
  • Maximum
    1.32556
  • Mean of quarter 1
    0.92180
  • Mean of quarter 2
    0.99897
  • Mean of quarter 3
    1.02071
  • Mean of quarter 4
    1.11631
  • Inter Quartile Range
    0.06401
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.05357
  • Mean of outliers low
    0.76165
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.03571
  • Mean of outliers high
    1.28464
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.93238
  • VaR(95%) (moments method)
    0.07481
  • Expected Shortfall (moments method)
    1.16726
  • Extreme Value Index (regression method)
    1.13135
  • VaR(95%) (regression method)
    0.08016
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.02341
  • Quartile 1
    0.04657
  • Median
    0.08628
  • Quartile 3
    0.22372
  • Maximum
    0.37902
  • Mean of quarter 1
    0.02373
  • Mean of quarter 2
    0.07768
  • Mean of quarter 3
    0.20993
  • Mean of quarter 4
    0.30827
  • Inter Quartile Range
    0.17715
  • 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)
    0.15971
  • Compounded annual return (geometric extrapolation)
    0.12676
  • Calmar ratio (compounded annual return / max draw down)
    0.33444
  • Compounded annual return / average of 25% largest draw downs
    0.41120
  • Compounded annual return / Expected Shortfall lognormal
    0.72872
  • 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
    0.14802
  • SD
    0.36223
  • Sharpe ratio (Glass type estimate)
    0.40864
  • Sharpe ratio (Hedges UMVUE)
    0.40839
  • df
    1238.00000
  • t
    0.88863
  • p
    0.48738
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.49287
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.30999
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.49304
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.30982
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.58376
  • Upside Potential Ratio
    5.37233
  • Upside part of mean
    1.36224
  • Downside part of mean
    -1.21422
  • Upside SD
    0.25864
  • Downside SD
    0.25357
  • N nonnegative terms
    589.00000
  • N negative terms
    650.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1239.00000
  • Mean of predictor
    0.24787
  • Mean of criterion
    0.14802
  • SD of predictor
    0.26625
  • SD of criterion
    0.36223
  • Covariance
    -0.00883
  • r
    -0.09157
  • b (slope, estimate of beta)
    -0.12458
  • a (intercept, estimate of alpha)
    0.17900
  • Mean Square Error
    0.13022
  • DF error
    1237.00000
  • t(b)
    -3.23414
  • p(b)
    0.55821
  • t(a)
    1.07632
  • p(a)
    0.48053
  • Lowerbound of 95% confidence interval for beta
    -0.20015
  • Upperbound of 95% confidence interval for beta
    -0.04901
  • Lowerbound of 95% confidence interval for alpha
    -0.14719
  • Upperbound of 95% confidence interval for alpha
    0.50499
  • Treynor index (mean / b)
    -1.18819
  • Jensen alpha (a)
    0.17890
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07943
  • SD
    0.37618
  • Sharpe ratio (Glass type estimate)
    0.21116
  • Sharpe ratio (Hedges UMVUE)
    0.21104
  • df
    1238.00000
  • t
    0.45920
  • p
    0.49347
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.69019
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.11246
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.69029
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.11236
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.27813
  • Upside Potential Ratio
    4.66052
  • Upside part of mean
    1.33106
  • Downside part of mean
    -1.25163
  • Upside SD
    0.24465
  • Downside SD
    0.28560
  • N nonnegative terms
    589.00000
  • N negative terms
    650.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1239.00000
  • Mean of predictor
    0.21008
  • Mean of criterion
    0.07943
  • SD of predictor
    0.27941
  • SD of criterion
    0.37618
  • Covariance
    -0.00907
  • r
    -0.08627
  • b (slope, estimate of beta)
    -0.11614
  • a (intercept, estimate of alpha)
    0.10383
  • Mean Square Error
    0.14057
  • DF error
    1237.00000
  • t(b)
    -3.04542
  • p(b)
    0.55485
  • t(a)
    0.60160
  • p(a)
    0.48911
  • Lowerbound of 95% confidence interval for beta
    -0.19096
  • Upperbound of 95% confidence interval for beta
    -0.04132
  • Lowerbound of 95% confidence interval for alpha
    -0.23478
  • Upperbound of 95% confidence interval for alpha
    0.44245
  • Treynor index (mean / b)
    -0.68394
  • Jensen alpha (a)
    0.10383
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03721
  • Expected Shortfall on VaR
    0.04648
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01064
  • Expected Shortfall on VaR
    0.02405
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1239.00000
  • Minimum
    0.64313
  • Quartile 1
    0.99605
  • Median
    0.99996
  • Quartile 3
    1.00425
  • Maximum
    1.25581
  • Mean of quarter 1
    0.98323
  • Mean of quarter 2
    0.99848
  • Mean of quarter 3
    1.00148
  • Mean of quarter 4
    1.01951
  • Inter Quartile Range
    0.00820
  • Number outliers low
    87.00000
  • Percentage of outliers low
    0.07022
  • Mean of outliers low
    0.96128
  • Number of outliers high
    105.00000
  • Percentage of outliers high
    0.08475
  • Mean of outliers high
    1.04027
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.64482
  • VaR(95%) (moments method)
    0.01564
  • Expected Shortfall (moments method)
    0.04850
  • Extreme Value Index (regression method)
    0.52736
  • VaR(95%) (regression method)
    0.01411
  • Expected Shortfall (regression method)
    0.03391
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    42.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00279
  • Median
    0.01052
  • Quartile 3
    0.03844
  • Maximum
    0.52748
  • Mean of quarter 1
    0.00124
  • Mean of quarter 2
    0.00573
  • Mean of quarter 3
    0.01625
  • Mean of quarter 4
    0.17271
  • Inter Quartile Range
    0.03565
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.26936
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.68373
  • VaR(95%) (moments method)
    0.17903
  • Expected Shortfall (moments method)
    0.62636
  • Extreme Value Index (regression method)
    0.66668
  • VaR(95%) (regression method)
    0.14813
  • Expected Shortfall (regression method)
    0.46430
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13985
  • Compounded annual return (geometric extrapolation)
    0.11331
  • Calmar ratio (compounded annual return / max draw down)
    0.21482
  • Compounded annual return / average of 25% largest draw downs
    0.65609
  • Compounded annual return / Expected Shortfall lognormal
    2.43777
  • 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
    -0.11263
  • SD
    0.08436
  • Sharpe ratio (Glass type estimate)
    -1.33520
  • Sharpe ratio (Hedges UMVUE)
    -1.32748
  • df
    130.00000
  • t
    -0.94413
  • p
    0.54126
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.10921
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.44390
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.10398
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.44902
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.80556
  • Upside Potential Ratio
    7.03710
  • Upside part of mean
    0.43899
  • Downside part of mean
    -0.55162
  • Upside SD
    0.05673
  • Downside SD
    0.06238
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.75070
  • Mean of criterion
    -0.11263
  • SD of predictor
    0.42456
  • SD of criterion
    0.08436
  • Covariance
    -0.02630
  • r
    -0.73432
  • b (slope, estimate of beta)
    -0.14590
  • a (intercept, estimate of alpha)
    -0.00310
  • Mean Square Error
    0.00330
  • DF error
    129.00000
  • t(b)
    -12.28660
  • p(b)
    0.92116
  • t(a)
    -0.03796
  • p(a)
    0.50213
  • Lowerbound of 95% confidence interval for beta
    -0.16940
  • Upperbound of 95% confidence interval for beta
    -0.12241
  • Lowerbound of 95% confidence interval for alpha
    -0.16491
  • Upperbound of 95% confidence interval for alpha
    0.15870
  • Treynor index (mean / b)
    0.77197
  • Jensen alpha (a)
    -0.00310
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.11618
  • SD
    0.08437
  • Sharpe ratio (Glass type estimate)
    -1.37695
  • Sharpe ratio (Hedges UMVUE)
    -1.36900
  • df
    130.00000
  • t
    -0.97365
  • p
    0.54254
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.15127
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.40244
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.14579
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.40780
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.85384
  • Upside Potential Ratio
    6.97855
  • Upside part of mean
    0.43734
  • Downside part of mean
    -0.55352
  • Upside SD
    0.05647
  • Downside SD
    0.06267
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.65870
  • Mean of criterion
    -0.11618
  • SD of predictor
    0.43036
  • SD of criterion
    0.08437
  • Covariance
    -0.02646
  • r
    -0.72861
  • b (slope, estimate of beta)
    -0.14285
  • a (intercept, estimate of alpha)
    -0.02209
  • Mean Square Error
    0.00337
  • DF error
    129.00000
  • t(b)
    -12.08210
  • p(b)
    0.91868
  • t(a)
    -0.26799
  • p(a)
    0.51502
  • VAR (95 Confidence Intrvl)
    0.03700
  • Lowerbound of 95% confidence interval for beta
    -0.16624
  • Upperbound of 95% confidence interval for beta
    -0.11946
  • Lowerbound of 95% confidence interval for alpha
    -0.18514
  • Upperbound of 95% confidence interval for alpha
    0.14097
  • Treynor index (mean / b)
    0.81331
  • Jensen alpha (a)
    -0.02209
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00898
  • Expected Shortfall on VaR
    0.01113
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00542
  • Expected Shortfall on VaR
    0.00971
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98498
  • Quartile 1
    0.99665
  • Median
    0.99986
  • Quartile 3
    1.00188
  • Maximum
    1.01423
  • Mean of quarter 1
    0.99327
  • Mean of quarter 2
    0.99863
  • Mean of quarter 3
    1.00063
  • Mean of quarter 4
    1.00621
  • Inter Quartile Range
    0.00523
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.98568
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.01167
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.24592
  • VaR(95%) (moments method)
    0.00685
  • Expected Shortfall (moments method)
    0.00828
  • Extreme Value Index (regression method)
    -0.08336
  • VaR(95%) (regression method)
    0.00658
  • Expected Shortfall (regression method)
    0.00828
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00023
  • Quartile 1
    0.01027
  • Median
    0.02097
  • Quartile 3
    0.04317
  • Maximum
    0.06150
  • Mean of quarter 1
    0.00525
  • Mean of quarter 2
    0.02097
  • Mean of quarter 3
    0.04317
  • Mean of quarter 4
    0.06150
  • Inter Quartile Range
    0.03290
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -380658000
  • Max Equity Drawdown (num days)
    80
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.08635
  • Compounded annual return (geometric extrapolation)
    -0.08449
  • Calmar ratio (compounded annual return / max draw down)
    -1.37380
  • Compounded annual return / average of 25% largest draw downs
    -1.37380
  • Compounded annual return / Expected Shortfall lognormal
    -7.59014

Strategy Description

Focused long/short portfolio trading stocks and options. Actively managed positions based on a quantitative value methodology. Orders generally submitted during trading hours.

Summary Statistics

Strategy began
2013-08-05
Suggested Minimum Capital
$25,000
# Trades
347
# Profitable
211
% Profitable
60.8%
Net Dividends
Correlation S&P500
-0.070
Sharpe Ratio
0.13
Sortino Ratio
0.19
Beta
-0.12
Alpha
0.01

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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