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Featured Strategy S2Prox0 Followed by live capital $145,000 Hypothetical

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Rapid Return Trading
(83700186)

Created by: AminKhakiani AminKhakiani
Started: 10/2013
Stocks
Last trade: 3,648 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 $100.00 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.

17.4%
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.

(27.7%)
Max Drawdown
283
Num Trades
88.0%
Win Trades
11.6 : 1
Profit Factor
67.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                                                               (5%)  -  +7.1%+1.8%
2014+0.6%+7.7%+0.4%(7.9%)+15.7%+6.5%+1.8%+5.7%(8.6%)+10.1%+0.2%(0.6%)+33.3%
2015(4%)+21.7%+23.3%+4.1%+2.7%(2.2%)+2.0%(6.3%)+0.4%+4.7%+0.1%(0.9%)+50.1%
2016(7%)(1.7%)+4.6%(0.3%)+0.9%(1.7%)+4.2%+2.0%+1.3%(1.1%)+2.6%+3.5%+6.9%
2017+1.6%+2.6%(0.7%)+1.2%+2.4%+1.3%+1.3%+2.0%+2.9%+1.1%+3.6%+0.1%+21.2%
2018+8.0%(1%)(1.8%)+3.4%+4.5%+0.3%+4.3%+3.3%+1.1%(10.3%)(2.2%)(6.7%)+1.3%
2019+7.4%+4.1%+0.9%+5.4%(0.7%)+0.7%+1.0%+0.2%(0.4%)+3.0%+1.8%+3.3%+30.0%
2020+6.3%(8.8%)(10.6%)+18.9%+6.1%+0.6%+0.7%+11.1%(3.8%)(13.7%)+11.9%+3.5%+18.3%
2021(6%)+6.1%+0.5%+6.0%(1%)+3.4%+1.7%(2.5%)(1.6%)+2.9%(7.6%)+6.7%+7.7%
2022+1.0%(2.3%)+2.5%(4.8%)+2.5%(9.3%)+7.3%(4.2%)(6.9%)+4.1%+7.6%(2.3%)(6.2%)
2023+6.6%(2.2%)+0.7%+1.4%+1.0%+3.0%+1.5%(0.2%)(1%)(1.2%)+6.3%+1.8%+18.8%
2024+2.2%+6.1%+1.6%+0.9%                                                +11.2%

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
1/30/14 14:43 SFY SOFI SELECT 500 ETF LONG 1,079 10.67 4/24 13:40 10.71 0.94%
Trade id #85494686
Max drawdown($271)
Time2/27/14 9:38
Quant open87
Worst price8.80
Drawdown as % of equity-0.94%
 $20
Includes Typical Broker Commissions trade costs of $21.58
4/4/14 14:37 TASR TASER INTERNATIONAL LONG 137 16.97 4/24 13:39 17.50 0.4%
Trade id #86874589
Max drawdown($111)
Time4/11/14 9:31
Quant open137
Worst price16.16
Drawdown as % of equity-0.40%
 $69
Includes Typical Broker Commissions trade costs of $2.74
3/21/14 14:07 SUNE SUNEDISON INC LONG 368 18.75 4/24 13:39 19.36 1.22%
Trade id #86613432
Max drawdown($330)
Time4/15/14 12:02
Quant open124
Worst price16.09
Drawdown as % of equity-1.22%
 $217
Includes Typical Broker Commissions trade costs of $7.36
2/25/14 9:55 LMOS LUMOS NETWORKS LONG 311 14.70 4/24 13:39 13.04 4.04%
Trade id #86151146
Max drawdown($1,088)
Time4/14/14 11:54
Quant open311
Worst price11.20
Drawdown as % of equity-4.04%
 ($522)
Includes Typical Broker Commissions trade costs of $6.22
3/5/14 12:56 DDD 3D SYSTEMS LONG 226 60.11 4/24 13:39 57.69 4.44%
Trade id #86304644
Max drawdown($1,216)
Time4/11/14 9:32
Quant open94
Worst price47.17
Drawdown as % of equity-4.44%
 ($552)
Includes Typical Broker Commissions trade costs of $4.52
4/10/14 11:09 GTAT GT ADVANCED TECHNOLOGIES LONG 70 16.58 4/11 10:01 16.61 0.23%
Trade id #86982740
Max drawdown($63)
Time4/11/14 9:33
Quant open70
Worst price15.67
Drawdown as % of equity-0.23%
 $1
Includes Typical Broker Commissions trade costs of $1.40
4/10/14 14:37 IRBT IROBOT LONG 34 37.00 4/11 9:45 37.19 0.12%
Trade id #86988692
Max drawdown($31)
Time4/11/14 9:37
Quant open34
Worst price36.06
Drawdown as % of equity-0.12%
 $5
Includes Typical Broker Commissions trade costs of $0.68
4/3/14 14:17 RTRX RETROPHIN INC LONG 250 20.10 4/9 15:21 20.14 2.24%
Trade id #86848975
Max drawdown($622)
Time4/8/14 10:24
Quant open250
Worst price17.61
Drawdown as % of equity-2.24%
 $5
Includes Typical Broker Commissions trade costs of $5.00
4/7/14 12:43 GTAT GT ADVANCED TECHNOLOGIES LONG 69 16.50 4/8 9:30 16.89 0.18%
Trade id #86901130
Max drawdown($49)
Time4/7/14 14:25
Quant open69
Worst price15.78
Drawdown as % of equity-0.18%
 $26
Includes Typical Broker Commissions trade costs of $1.38
4/4/14 13:20 GTAT GT ADVANCED TECHNOLOGIES LONG 69 16.78 4/7 10:01 17.16 0.13%
Trade id #86872195
Max drawdown($35)
Time4/7/14 9:32
Quant open69
Worst price16.26
Drawdown as % of equity-0.13%
 $25
Includes Typical Broker Commissions trade costs of $1.38
4/3/14 12:51 RAX RACKSPACE HOSTING LONG 37 31.51 4/4 9:36 31.94 0.02%
Trade id #86847002
Max drawdown($5)
Time4/3/14 14:41
Quant open37
Worst price31.37
Drawdown as % of equity-0.02%
 $15
Includes Typical Broker Commissions trade costs of $0.74
3/19/14 13:47 CBM CAMBREX CORPORATION LONG 252 18.57 4/3 15:40 18.99 0.31%
Trade id #86562374
Max drawdown($91)
Time3/24/14 13:48
Quant open60
Worst price18.05
Drawdown as % of equity-0.31%
 $101
Includes Typical Broker Commissions trade costs of $5.04
4/2/14 10:07 RAX RACKSPACE HOSTING LONG 37 31.98 4/3 10:00 32.32 0.09%
Trade id #86819559
Max drawdown($26)
Time4/2/14 13:38
Quant open37
Worst price31.25
Drawdown as % of equity-0.09%
 $12
Includes Typical Broker Commissions trade costs of $0.74
4/1/14 13:58 RAX RACKSPACE HOSTING LONG 37 31.91 4/2 9:45 32.47 n/a $20
Includes Typical Broker Commissions trade costs of $0.74
3/6/14 11:17 CCRN CROSS COUNTRY HEALTHCARE LONG 359 8.60 4/1 14:05 8.58 0.59%
Trade id #86325899
Max drawdown($169)
Time3/6/14 15:32
Quant open245
Worst price8.11
Drawdown as % of equity-0.59%
 ($13)
Includes Typical Broker Commissions trade costs of $7.18
2/12/14 13:22 VOXX VOXX INTERNATIONAL LONG 266 13.15 3/31 12:34 13.91 n/a $199
Includes Typical Broker Commissions trade costs of $5.32
3/26/14 10:18 RAX RACKSPACE HOSTING LONG 36 32.39 3/31 10:04 32.40 0.19%
Trade id #86690092
Max drawdown($55)
Time3/27/14 15:01
Quant open36
Worst price30.84
Drawdown as % of equity-0.19%
 ($1)
Includes Typical Broker Commissions trade costs of $0.72
3/21/14 10:09 IRBT IROBOT LONG 56 41.20 3/26 9:42 41.99 0.3%
Trade id #86607693
Max drawdown($88)
Time3/24/14 11:04
Quant open56
Worst price39.62
Drawdown as % of equity-0.30%
 $43
Includes Typical Broker Commissions trade costs of $1.12
3/25/14 14:22 BTH BLYTH LONG 112 10.35 3/25 14:42 10.40 0%
Trade id #86671140
Max drawdown$0
Time3/25/14 14:41
Quant open112
Worst price10.35
Drawdown as % of equity0.00%
 $4
Includes Typical Broker Commissions trade costs of $2.24
3/21/14 15:04 HSTM HEALTHSTREAM LONG 39 29.03 3/25 13:59 29.21 0.17%
Trade id #86614773
Max drawdown($49)
Time3/24/14 11:18
Quant open39
Worst price27.77
Drawdown as % of equity-0.17%
 $6
Includes Typical Broker Commissions trade costs of $0.78
3/21/14 15:34 PMC PHARMERICA LONG 44 26.41 3/25 10:10 26.63 0.12%
Trade id #86615342
Max drawdown($34)
Time3/24/14 11:16
Quant open44
Worst price25.62
Drawdown as % of equity-0.12%
 $9
Includes Typical Broker Commissions trade costs of $0.88
3/21/14 11:19 QCOR QUESTCOR PHARMACEUTICALS LONG 19 62.14 3/25 9:50 62.82 0.21%
Trade id #86609574
Max drawdown($61)
Time3/24/14 11:11
Quant open19
Worst price58.89
Drawdown as % of equity-0.21%
 $13
Includes Typical Broker Commissions trade costs of $0.38
3/20/14 13:23 PMC PHARMERICA LONG 44 26.53 3/20 15:45 26.93 0.01%
Trade id #86588984
Max drawdown($2)
Time3/20/14 13:33
Quant open44
Worst price26.48
Drawdown as % of equity-0.01%
 $17
Includes Typical Broker Commissions trade costs of $0.88
3/20/14 10:39 BTH BLYTH LONG 560 9.54 3/20 12:50 9.77 0%
Trade id #86584981
Max drawdown$0
Time3/20/14 10:41
Quant open560
Worst price9.54
Drawdown as % of equity0.00%
 $124
Includes Typical Broker Commissions trade costs of $5.00
3/11/14 13:40 CRK COMSTOCK RESOURCES LONG 12 98.85 3/18 14:59 98.45 0.22%
Trade id #86404300
Max drawdown($63)
Time3/14/14 9:37
Quant open59
Worst price18.70
Drawdown as % of equity-0.22%
 ($5)
Includes Typical Broker Commissions trade costs of $0.24
3/11/14 14:14 CBM CAMBREX CORPORATION LONG 59 19.74 3/18 10:23 19.83 0.12%
Trade id #86405018
Max drawdown($34)
Time3/14/14 9:53
Quant open59
Worst price19.15
Drawdown as % of equity-0.12%
 $4
Includes Typical Broker Commissions trade costs of $1.18
3/11/14 14:29 PVA PENN VIRGINIA LONG 83 13.97 3/18 10:07 13.96 0.25%
Trade id #86405547
Max drawdown($72)
Time3/14/14 9:55
Quant open83
Worst price13.10
Drawdown as % of equity-0.25%
 ($3)
Includes Typical Broker Commissions trade costs of $1.66
3/11/14 12:12 BTH BLYTH LONG 560 9.58 3/17 10:30 9.68 1.06%
Trade id #86401515
Max drawdown($308)
Time3/14/14 15:42
Quant open560
Worst price9.03
Drawdown as % of equity-1.06%
 $51
Includes Typical Broker Commissions trade costs of $5.00
3/5/14 14:02 TNGO TANGOE LONG 389 17.45 3/14 12:31 17.48 1.38%
Trade id #86306039
Max drawdown($400)
Time3/12/14 9:31
Quant open322
Worst price16.21
Drawdown as % of equity-1.38%
 $4
Includes Typical Broker Commissions trade costs of $7.78
2/26/14 15:03 HSTM HEALTHSTREAM LONG 159 28.49 3/13 15:41 28.99 0.52%
Trade id #86181820
Max drawdown($150)
Time3/3/14 12:11
Quant open115
Worst price27.18
Drawdown as % of equity-0.52%
 $77
Includes Typical Broker Commissions trade costs of $3.18
Next

Statistics

  • Strategy began
    10/24/2013
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    3823.28
  • Age
    128 months ago
  • What it trades
    Stocks
  • # Trades
    283
  • # Profitable
    249
  • % Profitable
    88.00%
  • Avg trade duration
    138.3 days
  • Max peak-to-valley drawdown
    27.68%
  • drawdown period
    Feb 16, 2020 - March 18, 2020
  • Annual Return (Compounded)
    17.4%
  • Avg win
    $468.74
  • Avg loss
    $310.29
  • Model Account Values (Raw)
  • Cash
    $21,888
  • Margin Used
    $0
  • Buying Power
    $122,987
  • Ratios
  • W:L ratio
    11.58:1
  • Sharpe Ratio
    0.7
  • Sortino Ratio
    1.2
  • Calmar Ratio
    3.086
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    246.48%
  • Correlation to SP500
    0.56000
  • Return Percent SP500 (cumu) during strategy life
    183.51%
  • Return Statistics
  • Ann Return (w trading costs)
    17.4%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.174%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    17.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • 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)
    0
  • 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
    $310
  • Avg Win
    $469
  • Sum Trade PL (losers)
    $10,550.000
  • Age
  • Num Months filled monthly returns table
    127
  • Win / Loss
  • Sum Trade PL (winners)
    $116,717.000
  • # Winners
    249
  • Num Months Winners
    87
  • Dividends
  • Dividends Received in Model Acct
    5438
  • Win / Loss
  • # Losers
    34
  • % Winners
    88.0%
  • Frequency
  • Avg Position Time (mins)
    199147.00
  • Avg Position Time (hrs)
    3319.11
  • Avg Trade Length
    138.3 days
  • Last Trade Ago
    3642
  • Regression
  • Alpha
    0.03
  • Beta
    0.69
  • Treynor Index
    0.07
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    93.05
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    98.26
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.25
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    0.404
  • 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
    0.184
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.644
  • Hold-and-Hope Ratio
    2.874
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.59845
  • SD
    0.39657
  • Sharpe ratio (Glass type estimate)
    1.50909
  • Sharpe ratio (Hedges UMVUE)
    1.47449
  • df
    33.00000
  • t
    2.54018
  • p
    0.00798
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.27915
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.71829
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25697
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.69201
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.88991
  • Upside Potential Ratio
    6.48043
  • Upside part of mean
    0.79311
  • Downside part of mean
    -0.19466
  • Upside SD
    0.40928
  • Downside SD
    0.12239
  • N nonnegative terms
    24.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    34.00000
  • Mean of predictor
    0.33793
  • Mean of criterion
    0.59845
  • SD of predictor
    0.29026
  • SD of criterion
    0.39657
  • Covariance
    0.05662
  • r
    0.49189
  • b (slope, estimate of beta)
    0.67204
  • a (intercept, estimate of alpha)
    0.37135
  • Mean Square Error
    0.12294
  • DF error
    32.00000
  • t(b)
    3.19591
  • p(b)
    0.00156
  • t(a)
    1.68725
  • p(a)
    0.05064
  • Lowerbound of 95% confidence interval for beta
    0.24371
  • Upperbound of 95% confidence interval for beta
    1.10038
  • Lowerbound of 95% confidence interval for alpha
    -0.07696
  • Upperbound of 95% confidence interval for alpha
    0.81966
  • Treynor index (mean / b)
    0.89050
  • Jensen alpha (a)
    0.37135
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.52025
  • SD
    0.35075
  • Sharpe ratio (Glass type estimate)
    1.48325
  • Sharpe ratio (Hedges UMVUE)
    1.44924
  • df
    33.00000
  • t
    2.49669
  • p
    0.00885
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.25528
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.69072
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.23349
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.66499
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.06134
  • Upside Potential Ratio
    5.63943
  • Upside part of mean
    0.72240
  • Downside part of mean
    -0.20215
  • Upside SD
    0.35433
  • Downside SD
    0.12810
  • N nonnegative terms
    24.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    34.00000
  • Mean of predictor
    0.29373
  • Mean of criterion
    0.52025
  • SD of predictor
    0.28386
  • SD of criterion
    0.35075
  • Covariance
    0.05159
  • r
    0.51821
  • b (slope, estimate of beta)
    0.64033
  • a (intercept, estimate of alpha)
    0.33217
  • Mean Square Error
    0.09280
  • DF error
    32.00000
  • t(b)
    3.42756
  • p(b)
    0.00085
  • t(a)
    1.75645
  • p(a)
    0.04429
  • Lowerbound of 95% confidence interval for beta
    0.25979
  • Upperbound of 95% confidence interval for beta
    1.02086
  • Lowerbound of 95% confidence interval for alpha
    -0.05304
  • Upperbound of 95% confidence interval for alpha
    0.71738
  • Treynor index (mean / b)
    0.81247
  • Jensen alpha (a)
    0.33217
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11590
  • Expected Shortfall on VaR
    0.15194
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02564
  • Expected Shortfall on VaR
    0.05669
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    34.00000
  • Minimum
    0.87319
  • Quartile 1
    0.98791
  • Median
    1.03826
  • Quartile 3
    1.09485
  • Maximum
    1.48466
  • Mean of quarter 1
    0.94113
  • Mean of quarter 2
    1.01543
  • Mean of quarter 3
    1.06598
  • Mean of quarter 4
    1.18370
  • Inter Quartile Range
    0.10694
  • 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
    0.05882
  • Mean of outliers high
    1.40527
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.97246
  • VaR(95%) (moments method)
    0.04650
  • Expected Shortfall (moments method)
    0.04748
  • Extreme Value Index (regression method)
    -0.28115
  • VaR(95%) (regression method)
    0.08042
  • Expected Shortfall (regression method)
    0.10435
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.01666
  • Quartile 1
    0.04387
  • Median
    0.05502
  • Quartile 3
    0.06968
  • Maximum
    0.12681
  • Mean of quarter 1
    0.02827
  • Mean of quarter 2
    0.05082
  • Mean of quarter 3
    0.06656
  • Mean of quarter 4
    0.10515
  • Inter Quartile Range
    0.02581
  • 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
    0.11111
  • Mean of outliers high
    0.12681
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.84831
  • VaR(95%) (moments method)
    0.11216
  • Expected Shortfall (moments method)
    0.11982
  • Extreme Value Index (regression method)
    0.65063
  • VaR(95%) (regression method)
    0.14164
  • Expected Shortfall (regression method)
    0.33634
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.31511
  • Compounded annual return (geometric extrapolation)
    0.73006
  • Calmar ratio (compounded annual return / max draw down)
    5.75714
  • Compounded annual return / average of 25% largest draw downs
    6.94338
  • Compounded annual return / Expected Shortfall lognormal
    4.80487
  • 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
    0.63673
  • SD
    0.37810
  • Sharpe ratio (Glass type estimate)
    1.68405
  • Sharpe ratio (Hedges UMVUE)
    1.68238
  • df
    754.00000
  • t
    2.85877
  • p
    0.00219
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.52580
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.84121
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.52468
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.84008
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.94206
  • Upside Potential Ratio
    9.75110
  • Upside part of mean
    2.11038
  • Downside part of mean
    -1.47364
  • Upside SD
    0.31221
  • Downside SD
    0.21643
  • N nonnegative terms
    412.00000
  • N negative terms
    343.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    755.00000
  • Mean of predictor
    0.39291
  • Mean of criterion
    0.63673
  • SD of predictor
    0.30187
  • SD of criterion
    0.37810
  • Covariance
    0.07045
  • r
    0.61723
  • b (slope, estimate of beta)
    0.77309
  • a (intercept, estimate of alpha)
    0.33300
  • Mean Square Error
    0.08861
  • DF error
    753.00000
  • t(b)
    21.52740
  • p(b)
    -0.00000
  • t(a)
    1.89273
  • p(a)
    0.02939
  • Lowerbound of 95% confidence interval for beta
    0.70259
  • Upperbound of 95% confidence interval for beta
    0.84359
  • Lowerbound of 95% confidence interval for alpha
    -0.01238
  • Upperbound of 95% confidence interval for alpha
    0.67833
  • Treynor index (mean / b)
    0.82362
  • Jensen alpha (a)
    0.33298
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.56746
  • SD
    0.36720
  • Sharpe ratio (Glass type estimate)
    1.54539
  • Sharpe ratio (Hedges UMVUE)
    1.54386
  • df
    754.00000
  • t
    2.62338
  • p
    0.00444
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.38767
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.70211
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.38665
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.70107
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.54692
  • Upside Potential Ratio
    9.26954
  • Upside part of mean
    2.06529
  • Downside part of mean
    -1.49782
  • Upside SD
    0.29367
  • Downside SD
    0.22280
  • N nonnegative terms
    412.00000
  • N negative terms
    343.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    755.00000
  • Mean of predictor
    0.34606
  • Mean of criterion
    0.56746
  • SD of predictor
    0.30729
  • SD of criterion
    0.36720
  • Covariance
    0.07192
  • r
    0.63737
  • b (slope, estimate of beta)
    0.76164
  • a (intercept, estimate of alpha)
    0.30389
  • Mean Square Error
    0.08016
  • DF error
    753.00000
  • t(b)
    22.69790
  • p(b)
    -0.00000
  • t(a)
    1.81760
  • p(a)
    0.03476
  • Lowerbound of 95% confidence interval for beta
    0.69576
  • Upperbound of 95% confidence interval for beta
    0.82751
  • Lowerbound of 95% confidence interval for alpha
    -0.02433
  • Upperbound of 95% confidence interval for alpha
    0.63211
  • Treynor index (mean / b)
    0.74506
  • Jensen alpha (a)
    0.30389
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03454
  • Expected Shortfall on VaR
    0.04361
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01199
  • Expected Shortfall on VaR
    0.02537
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    755.00000
  • Minimum
    0.86457
  • Quartile 1
    0.99388
  • Median
    1.00183
  • Quartile 3
    1.01029
  • Maximum
    1.29940
  • Mean of quarter 1
    0.97974
  • Mean of quarter 2
    0.99818
  • Mean of quarter 3
    1.00585
  • Mean of quarter 4
    1.02639
  • Inter Quartile Range
    0.01641
  • Number outliers low
    31.00000
  • Percentage of outliers low
    0.04106
  • Mean of outliers low
    0.94897
  • Number of outliers high
    31.00000
  • Percentage of outliers high
    0.04106
  • Mean of outliers high
    1.06673
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.42089
  • VaR(95%) (moments method)
    0.01955
  • Expected Shortfall (moments method)
    0.03941
  • Extreme Value Index (regression method)
    0.22761
  • VaR(95%) (regression method)
    0.01816
  • Expected Shortfall (regression method)
    0.02972
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    58.00000
  • Minimum
    0.00042
  • Quartile 1
    0.00603
  • Median
    0.01388
  • Quartile 3
    0.02895
  • Maximum
    0.26369
  • Mean of quarter 1
    0.00318
  • Mean of quarter 2
    0.00969
  • Mean of quarter 3
    0.01942
  • Mean of quarter 4
    0.10735
  • Inter Quartile Range
    0.02292
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.17241
  • Mean of outliers high
    0.14147
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.08204
  • VaR(95%) (moments method)
    0.08392
  • Expected Shortfall (moments method)
    0.11395
  • Extreme Value Index (regression method)
    -0.37319
  • VaR(95%) (regression method)
    0.12630
  • Expected Shortfall (regression method)
    0.15788
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.58254
  • Compounded annual return (geometric extrapolation)
    0.81370
  • Calmar ratio (compounded annual return / max draw down)
    3.08586
  • Compounded annual return / average of 25% largest draw downs
    7.58010
  • Compounded annual return / Expected Shortfall lognormal
    18.65750
  • 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
    0.60182
  • SD
    0.43991
  • Sharpe ratio (Glass type estimate)
    1.36808
  • Sharpe ratio (Hedges UMVUE)
    1.36017
  • df
    130.00000
  • t
    0.96738
  • p
    0.45773
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.41125
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.14233
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.41656
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.13690
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.06592
  • Upside Potential Ratio
    9.87930
  • Upside part of mean
    2.87794
  • Downside part of mean
    -2.27611
  • Upside SD
    0.32948
  • Downside SD
    0.29131
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.89801
  • Mean of criterion
    0.60182
  • SD of predictor
    0.43497
  • SD of criterion
    0.43991
  • Covariance
    0.13216
  • r
    0.69068
  • b (slope, estimate of beta)
    0.69852
  • a (intercept, estimate of alpha)
    -0.02545
  • Mean Square Error
    0.10199
  • DF error
    129.00000
  • t(b)
    10.84780
  • p(b)
    0.09832
  • t(a)
    -0.05590
  • p(a)
    0.50313
  • Lowerbound of 95% confidence interval for beta
    0.57112
  • Upperbound of 95% confidence interval for beta
    0.82592
  • Lowerbound of 95% confidence interval for alpha
    -0.92631
  • Upperbound of 95% confidence interval for alpha
    0.87540
  • Treynor index (mean / b)
    0.86157
  • Jensen alpha (a)
    -0.02545
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.50534
  • SD
    0.43950
  • Sharpe ratio (Glass type estimate)
    1.14980
  • Sharpe ratio (Hedges UMVUE)
    1.14315
  • df
    130.00000
  • t
    0.81303
  • p
    0.46444
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.62770
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.92295
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.63213
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.91844
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.69041
  • Upside Potential Ratio
    9.45031
  • Upside part of mean
    2.82513
  • Downside part of mean
    -2.31979
  • Upside SD
    0.32139
  • Downside SD
    0.29895
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.80075
  • Mean of criterion
    0.50534
  • SD of predictor
    0.44195
  • SD of criterion
    0.43950
  • Covariance
    0.13409
  • r
    0.69032
  • b (slope, estimate of beta)
    0.68649
  • a (intercept, estimate of alpha)
    -0.04437
  • Mean Square Error
    0.10190
  • DF error
    129.00000
  • t(b)
    10.83680
  • p(b)
    0.09849
  • t(a)
    -0.09767
  • p(a)
    0.50547
  • VAR (95 Confidence Intrvl)
    0.03500
  • Lowerbound of 95% confidence interval for beta
    0.56116
  • Upperbound of 95% confidence interval for beta
    0.81183
  • Lowerbound of 95% confidence interval for alpha
    -0.94317
  • Upperbound of 95% confidence interval for alpha
    0.85443
  • Treynor index (mean / b)
    0.73612
  • Jensen alpha (a)
    -0.04437
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04183
  • Expected Shortfall on VaR
    0.05260
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02009
  • Expected Shortfall on VaR
    0.03951
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92420
  • Quartile 1
    0.98925
  • Median
    1.00000
  • Quartile 3
    1.01792
  • Maximum
    1.07990
  • Mean of quarter 1
    0.96962
  • Mean of quarter 2
    0.99611
  • Mean of quarter 3
    1.00880
  • Mean of quarter 4
    1.03528
  • Inter Quartile Range
    0.02868
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.93220
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.07299
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.04533
  • VaR(95%) (moments method)
    0.02708
  • Expected Shortfall (moments method)
    0.03801
  • Extreme Value Index (regression method)
    -0.11321
  • VaR(95%) (regression method)
    0.03205
  • Expected Shortfall (regression method)
    0.04271
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00178
  • Quartile 1
    0.00635
  • Median
    0.04005
  • Quartile 3
    0.09813
  • Maximum
    0.16309
  • Mean of quarter 1
    0.00338
  • Mean of quarter 2
    0.02388
  • Mean of quarter 3
    0.04728
  • Mean of quarter 4
    0.15604
  • Inter Quartile Range
    0.09178
  • 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
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -347284000
  • Max Equity Drawdown (num days)
    31
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.61110
  • Compounded annual return (geometric extrapolation)
    0.70446
  • Calmar ratio (compounded annual return / max draw down)
    4.31940
  • Compounded annual return / average of 25% largest draw downs
    4.51470
  • Compounded annual return / Expected Shortfall lognormal
    13.39400

Strategy Description

System focuses on highly volatile stocks, using high frequency algorithmic trading to generate rapid profits.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2013-10-24
Suggested Minimum Capital
$15,000
# Trades
283
# Profitable
249
% Profitable
88.0%
Net Dividends
$5,437
Correlation S&P500
0.560
Sharpe Ratio
0.70
Sortino Ratio
1.20
Beta
0.69
Alpha
0.03

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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