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These are hypothetical performance results that have certain inherent limitations. Learn more
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SR71 Futures
(85038449)

Created by: AndrewKelley AndrewKelley
Started: 01/2014
Futures
Last trade: 3,598 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 $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.

-
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.

(100.0%)
Max Drawdown
82
Num Trades
74.4%
Win Trades
0.5 : 1
Profit Factor
2.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014(49.1%)+32.4%(4.4%)+12.5%+50.2%(288.8%)  -    -    -    -    -    -  (305.8%)
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

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

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/22/14 0:26 @ESM4 E-MINI S&P 500 SHORT 75 1903.66 6/20 19:45 1959.15 313.98%
Trade id #87699350
Max drawdown($212,277)
Time6/20/14 9:30
Quant open-64
Worst price1970.00
Drawdown as % of equity313.98%
 ($208,688)
Includes Typical Broker Commissions trade costs of $600.00
5/21/14 3:43 QCLN4 CRUDE OIL SHORT 77 103.67 5/28 11:12 103.67 34.45%
Trade id #87675412
Max drawdown($39,488)
Time5/21/14 11:49
Quant open-47
Worst price104.29
Drawdown as % of equity-34.45%
 ($796)
Includes Typical Broker Commissions trade costs of $616.00
5/21/14 10:58 @ESM4 E-MINI S&P 500 SHORT 10 1881.75 5/21 11:46 1878.62 0.33%
Trade id #87683619
Max drawdown($375)
Time5/21/14 11:10
Quant open-10
Worst price1882.50
Drawdown as % of equity-0.33%
 $1,483
Includes Typical Broker Commissions trade costs of $80.00
5/20/14 14:11 @ESM4 E-MINI S&P 500 LONG 20 1867.60 5/21 3:51 1871.12 1.84%
Trade id #87662435
Max drawdown($2,100)
Time5/20/14 14:39
Quant open20
Worst price1865.50
Drawdown as % of equity-1.84%
 $3,365
Includes Typical Broker Commissions trade costs of $160.00
5/19/14 11:38 @ESM4 E-MINI S&P 500 SHORT 18 1880.33 5/20 12:38 1874.14 3.74%
Trade id #87635806
Max drawdown($3,750)
Time5/20/14 3:36
Quant open-18
Worst price1884.50
Drawdown as % of equity-3.74%
 $5,431
Includes Typical Broker Commissions trade costs of $144.00
5/19/14 9:57 QCLN4 CRUDE OIL SHORT 20 102.26 5/20 9:13 102.02 4.18%
Trade id #87632930
Max drawdown($3,900)
Time5/19/14 12:14
Quant open-20
Worst price102.45
Drawdown as % of equity-4.18%
 $4,540
Includes Typical Broker Commissions trade costs of $160.00
5/16/14 12:09 QCLM4 CRUDE OIL SHORT 15 102.05 5/20 9:12 102.38 17.26%
Trade id #87612276
Max drawdown($15,550)
Time5/19/14 9:45
Quant open-15
Worst price103.09
Drawdown as % of equity-17.26%
 ($5,020)
Includes Typical Broker Commissions trade costs of $120.00
5/14/14 18:49 @ESM4 E-MINI S&P 500 LONG 52 1867.08 5/19 11:34 1874.13 19.76%
Trade id #87571404
Max drawdown($16,854)
Time5/15/14 11:57
Quant open36
Worst price1859.00
Drawdown as % of equity-19.76%
 $17,934
Includes Typical Broker Commissions trade costs of $416.00
5/13/14 6:01 QCLM4 CRUDE OIL SHORT 27 101.89 5/15 10:57 101.80 20.99%
Trade id #87534848
Max drawdown($16,662)
Time5/14/14 10:49
Quant open-18
Worst price102.65
Drawdown as % of equity-20.99%
 $2,454
Includes Typical Broker Commissions trade costs of $216.00
5/12/14 9:56 @ESM4 E-MINI S&P 500 SHORT 20 1891.00 5/14 11:00 1889.75 9.38%
Trade id #87514887
Max drawdown($7,500)
Time5/13/14 10:40
Quant open-20
Worst price1898.50
Drawdown as % of equity-9.38%
 $1,090
Includes Typical Broker Commissions trade costs of $160.00
5/12/14 18:56 @JEM4 E-MINI JAPANESE YEN LONG 10 0.009786 5/14 9:45 0.009805 1.12%
Trade id #87525937
Max drawdown($875)
Time5/13/14 3:09
Quant open10
Worst price0.009772
Drawdown as % of equity-1.12%
 $1,108
Includes Typical Broker Commissions trade costs of $80.00
5/13/14 6:43 @YGM4 Mini Gold NYSE Liffe LONG 8 1292.3 5/13 12:35 1296.1 0.72%
Trade id #87535478
Max drawdown($577)
Time5/13/14 7:13
Quant open6
Worst price1289.4
Drawdown as % of equity-0.72%
 $939
Includes Typical Broker Commissions trade costs of $64.00
5/13/14 6:42 @YGM4 Mini Gold NYSE Liffe LONG 3 1292.3 5/13 6:43 1292.0 0.04%
Trade id #87535435
Max drawdown($30)
Time5/13/14 6:43
Quant open0
Worst price1292.0
Drawdown as % of equity-0.04%
 ($54)
Includes Typical Broker Commissions trade costs of $24.00
5/12/14 18:42 QCLM4 CRUDE OIL LONG 10 100.57 5/13 5:48 101.02 2.69%
Trade id #87525775
Max drawdown($2,100)
Time5/13/14 4:31
Quant open10
Worst price100.36
Drawdown as % of equity-2.69%
 $4,440
Includes Typical Broker Commissions trade costs of $80.00
5/11/14 18:42 QCLM4 CRUDE OIL LONG 8 100.02 5/12 9:05 100.83 0.32%
Trade id #87500808
Max drawdown($240)
Time5/12/14 3:37
Quant open8
Worst price99.99
Drawdown as % of equity-0.32%
 $6,416
Includes Typical Broker Commissions trade costs of $64.00
5/9/14 10:33 @ESM4 E-MINI S&P 500 LONG 4 1867.25 5/9 12:20 1869.00 1.29%
Trade id #87488591
Max drawdown($950)
Time5/9/14 11:11
Quant open4
Worst price1862.50
Drawdown as % of equity-1.29%
 $318
Includes Typical Broker Commissions trade costs of $32.00
4/24/14 11:23 QCLM4 CRUDE OIL LONG 26 100.93 5/9 10:33 100.99 181.18%
Trade id #87220514
Max drawdown($48,230)
Time5/1/14 8:46
Quant open22
Worst price98.74
Drawdown as % of equity-181.18%
 $1,332
Includes Typical Broker Commissions trade costs of $208.00
5/6/14 13:32 @ESM4 E-MINI S&P 500 LONG 14 1867.89 5/8 12:08 1875.14 12.17%
Trade id #87417882
Max drawdown($6,875)
Time5/7/14 10:16
Quant open10
Worst price1854.50
Drawdown as % of equity-12.17%
 $4,963
Includes Typical Broker Commissions trade costs of $112.00
4/24/14 11:26 @JEM4 E-MINI JAPANESE YEN LONG 2 0.009777 4/25 9:53 0.009804 0.33%
Trade id #87220618
Max drawdown($212)
Time4/24/14 21:12
Quant open2
Worst price0.009760
Drawdown as % of equity-0.33%
 $322
Includes Typical Broker Commissions trade costs of $16.00
4/24/14 14:02 QGCJ4 Gold 100 oz LONG 5 1291.2 4/24 16:23 1292.5 0.47%
Trade id #87224348
Max drawdown($300)
Time4/24/14 14:04
Quant open5
Worst price1290.6
Drawdown as % of equity-0.47%
 $610
Includes Typical Broker Commissions trade costs of $40.00
4/24/14 11:23 @ESM4 E-MINI S&P 500 SHORT 8 1875.75 4/24 14:00 1870.62 0.5%
Trade id #87220528
Max drawdown($300)
Time4/24/14 11:39
Quant open-4
Worst price1877.50
Drawdown as % of equity-0.50%
 $1,986
Includes Typical Broker Commissions trade costs of $64.00
4/24/14 9:36 @ESM4 E-MINI S&P 500 LONG 10 1875.50 4/24 11:19 1874.50 9.78%
Trade id #87216419
Max drawdown($5,875)
Time4/24/14 10:10
Quant open10
Worst price1863.75
Drawdown as % of equity-9.78%
 ($580)
Includes Typical Broker Commissions trade costs of $80.00
4/22/14 9:48 QCLM4 CRUDE OIL LONG 16 101.83 4/24 11:12 102.16 12.93%
Trade id #87169780
Max drawdown($7,000)
Time4/23/14 4:44
Quant open12
Worst price101.20
Drawdown as % of equity-12.93%
 $5,092
Includes Typical Broker Commissions trade costs of $128.00
4/22/14 9:48 @ESM4 E-MINI S&P 500 SHORT 24 1872.08 4/23 15:05 1870.71 16.25%
Trade id #87169767
Max drawdown($8,000)
Time4/22/14 13:53
Quant open-24
Worst price1878.75
Drawdown as % of equity-16.25%
 $1,458
Includes Typical Broker Commissions trade costs of $192.00
4/22/14 9:49 @BPM4 BRITISH POUND SHORT 2 1.6818 4/22 12:21 1.6828 0.24%
Trade id #87169837
Max drawdown($125)
Time4/22/14 12:18
Quant open-2
Worst price1.6828
Drawdown as % of equity-0.24%
 ($141)
Includes Typical Broker Commissions trade costs of $16.00
4/22/14 9:49 @EDM4 EURODOLLAR SHORT 2 99.7650 4/22 12:20 99.7700 0.06%
Trade id #87169823
Max drawdown($25)
Time4/22/14 10:10
Quant open-2
Worst price99.7700
Drawdown as % of equity-0.06%
 ($41)
Includes Typical Broker Commissions trade costs of $16.00
4/21/14 14:26 QCLM4 CRUDE OIL SHORT 1 103.64 4/22 9:44 102.10 0.13%
Trade id #87154262
Max drawdown($40)
Time4/21/14 14:30
Quant open-1
Worst price103.68
Drawdown as % of equity-0.13%
 $1,532
Includes Typical Broker Commissions trade costs of $8.00
4/10/14 12:23 QCLK4 CRUDE OIL SHORT 22 103.61 4/22 8:45 103.32 48.17%
Trade id #86985434
Max drawdown($7,020)
Time4/14/14 3:25
Quant open-6
Worst price104.55
Drawdown as % of equity-48.17%
 $6,274
Includes Typical Broker Commissions trade costs of $176.00
4/10/14 11:55 @ESM4 E-MINI S&P 500 LONG 10 1846.47 4/16 14:26 1848.15 99.56%
Trade id #86984396
Max drawdown($21,612)
Time4/13/14 18:53
Quant open10
Worst price1803.25
Drawdown as % of equity-99.56%
 $758
Includes Typical Broker Commissions trade costs of $80.00
4/10/14 12:13 @YMM4 MINI DOW LONG 10 16217 4/16 13:46 16277 46.43%
Trade id #86984999
Max drawdown($10,080)
Time4/13/14 18:01
Quant open6
Worst price15881
Drawdown as % of equity-46.43%
 $2,900
Includes Typical Broker Commissions trade costs of $80.00
Next

Statistics

  • Strategy began
    1/7/2014
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    3760.38
  • Age
    125 months ago
  • What it trades
    Futures
  • # Trades
    82
  • # Profitable
    61
  • % Profitable
    74.40%
  • Avg trade duration
    2.6 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    June 17, 2014 - June 20, 2014
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $2,533
  • Avg loss
    $13,949
  • Model Account Values (Raw)
  • Cash
    ($88,408)
  • Margin Used
    $0
  • Buying Power
    ($88,408)
  • Ratios
  • W:L ratio
    0.53:1
  • Sharpe Ratio
    0.01
  • Sortino Ratio
    0.02
  • Calmar Ratio
    -0.971
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -481.73%
  • Correlation to SP500
    0.28880
  • Return Percent SP500 (cumu) during strategy life
    174.69%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.96%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • 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)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • 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
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $13,950
  • Avg Win
    $2,533
  • Sum Trade PL (losers)
    $292,939.000
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $154,532.000
  • # Winners
    61
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    21
  • % Winners
    74.4%
  • Frequency
  • Avg Position Time (mins)
    3714.52
  • Avg Position Time (hrs)
    61.91
  • Avg Trade Length
    2.6 days
  • Last Trade Ago
    3596
  • Regression
  • Alpha
    0.00
  • Beta
    8.42
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.21
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    65.05
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    94.42
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.12
  • MAE:Equity, average, winning trades
    0.14
  • MAE:Equity, average, losing trades
    0.42
  • Avg(MAE) / Avg(PL) - All trades
    -4.860
  • 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
    0.39
  • Avg(MAE) / Avg(PL) - Winning trades
    1.510
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.504
  • Hold-and-Hope Ratio
    -0.206
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01924
  • SD
    1.55409
  • Sharpe ratio (Glass type estimate)
    -0.01238
  • Sharpe ratio (Hedges UMVUE)
    -0.01211
  • df
    35.00000
  • t
    -0.02145
  • p
    0.50849
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.14392
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.11925
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.14370
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.11947
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.02336
  • Upside Potential Ratio
    1.07677
  • Upside part of mean
    0.88687
  • Downside part of mean
    -0.90611
  • Upside SD
    1.29218
  • Downside SD
    0.82364
  • N nonnegative terms
    2.00000
  • N negative terms
    34.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    36.00000
  • Mean of predictor
    0.27802
  • Mean of criterion
    -0.01924
  • SD of predictor
    0.20719
  • SD of criterion
    1.55409
  • Covariance
    0.02769
  • r
    0.08600
  • b (slope, estimate of beta)
    0.64509
  • a (intercept, estimate of alpha)
    -0.19859
  • Mean Square Error
    2.46783
  • DF error
    34.00000
  • t(b)
    0.50335
  • p(b)
    0.30898
  • t(a)
    -0.20380
  • p(a)
    0.58014
  • Lowerbound of 95% confidence interval for beta
    -1.95946
  • Upperbound of 95% confidence interval for beta
    3.24965
  • Lowerbound of 95% confidence interval for alpha
    -2.17893
  • Upperbound of 95% confidence interval for alpha
    1.78175
  • Treynor index (mean / b)
    -0.02983
  • Jensen alpha (a)
    -0.19859
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -3.63941
  • SD
    5.68497
  • Sharpe ratio (Glass type estimate)
    -0.64018
  • Sharpe ratio (Hedges UMVUE)
    -0.62635
  • df
    35.00000
  • t
    -1.10883
  • p
    0.86247
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.77711
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.50571
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.76741
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.51471
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.64308
  • Upside Potential Ratio
    0.09096
  • Upside part of mean
    0.51475
  • Downside part of mean
    -4.15416
  • Upside SD
    0.70466
  • Downside SD
    5.65936
  • N nonnegative terms
    2.00000
  • N negative terms
    34.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    36.00000
  • Mean of predictor
    0.25453
  • Mean of criterion
    -3.63941
  • SD of predictor
    0.20109
  • SD of criterion
    5.68497
  • Covariance
    0.02530
  • r
    0.02213
  • b (slope, estimate of beta)
    0.62554
  • a (intercept, estimate of alpha)
    -3.79863
  • Mean Square Error
    33.25310
  • DF error
    34.00000
  • t(b)
    0.12905
  • p(b)
    0.44904
  • t(a)
    -1.06987
  • p(a)
    0.85389
  • Lowerbound of 95% confidence interval for beta
    -9.22508
  • Upperbound of 95% confidence interval for beta
    10.47620
  • Lowerbound of 95% confidence interval for alpha
    -11.01420
  • Upperbound of 95% confidence interval for alpha
    3.41697
  • Treynor index (mean / b)
    -5.81807
  • Jensen alpha (a)
    -3.79863
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.95035
  • Expected Shortfall on VaR
    0.97115
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.25405
  • Expected Shortfall on VaR
    0.53235
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    36.00000
  • Minimum
    0.00007
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    3.18989
  • Mean of quarter 1
    0.70676
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.29614
  • Inter Quartile Range
    0.00000
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.11111
  • Mean of outliers low
    0.34020
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.05556
  • Mean of outliers high
    2.33263
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.25631
  • VaR(95%) (regression method)
    0.86064
  • Expected Shortfall (regression method)
    1.05331
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.52805
  • Quartile 1
    0.64603
  • Median
    0.76402
  • Quartile 3
    0.88200
  • Maximum
    0.99999
  • Mean of quarter 1
    0.52805
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99999
  • Inter Quartile Range
    0.23597
  • 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)
    -0.33333
  • Compounded annual return (geometric extrapolation)
    -0.97299
  • Calmar ratio (compounded annual return / max draw down)
    -0.97300
  • Compounded annual return / average of 25% largest draw downs
    -0.97300
  • Compounded annual return / Expected Shortfall lognormal
    -1.00189
  • 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
    4927.57000
  • SD
    8633.17000
  • Sharpe ratio (Glass type estimate)
    0.57077
  • Sharpe ratio (Hedges UMVUE)
    0.57024
  • df
    803.00000
  • t
    0.99986
  • p
    0.15884
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54858
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.68981
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.54895
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.68943
  • Statistics related to Sortino ratio
  • Sortino ratio
    4201.04000
  • Upside Potential Ratio
    4203.35000
  • Upside part of mean
    4930.29000
  • Downside part of mean
    -2.71732
  • Upside SD
    8633.17000
  • Downside SD
    1.17294
  • N nonnegative terms
    54.00000
  • N negative terms
    750.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    804.00000
  • Mean of predictor
    0.34383
  • Mean of criterion
    4927.57000
  • SD of predictor
    0.28908
  • SD of criterion
    8633.17000
  • Covariance
    -41.97520
  • r
    -0.01682
  • b (slope, estimate of beta)
    -502.30700
  • a (intercept, estimate of alpha)
    5100.28000
  • Mean Square Error
    74603400.00000
  • DF error
    802.00000
  • t(b)
    -0.47639
  • p(b)
    0.68304
  • t(a)
    1.03162
  • p(a)
    0.15128
  • Lowerbound of 95% confidence interval for beta
    -2572.04000
  • Upperbound of 95% confidence interval for beta
    1567.43000
  • Lowerbound of 95% confidence interval for alpha
    -4604.30000
  • Upperbound of 95% confidence interval for alpha
    14804.90000
  • Treynor index (mean / b)
    -9.80988
  • Jensen alpha (a)
    5100.28000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -3.55856
  • SD
    9.01751
  • Sharpe ratio (Glass type estimate)
    -0.39463
  • Sharpe ratio (Hedges UMVUE)
    -0.39426
  • df
    803.00000
  • t
    -0.69130
  • p
    0.75521
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.51352
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.72450
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.51327
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.72475
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.50001
  • Upside Potential Ratio
    0.69285
  • Upside part of mean
    4.93097
  • Downside part of mean
    -8.48952
  • Upside SD
    5.53285
  • Downside SD
    7.11690
  • N nonnegative terms
    54.00000
  • N negative terms
    750.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    804.00000
  • Mean of predictor
    0.30157
  • Mean of criterion
    -3.55856
  • SD of predictor
    0.29078
  • SD of criterion
    9.01751
  • Covariance
    -0.04324
  • r
    -0.01649
  • b (slope, estimate of beta)
    -0.51137
  • a (intercept, estimate of alpha)
    -3.40435
  • Mean Square Error
    81.39470
  • DF error
    802.00000
  • t(b)
    -0.46705
  • p(b)
    0.67971
  • t(a)
    -0.65966
  • p(a)
    0.74517
  • Lowerbound of 95% confidence interval for beta
    -2.66056
  • Upperbound of 95% confidence interval for beta
    1.63781
  • Lowerbound of 95% confidence interval for alpha
    -13.53450
  • Upperbound of 95% confidence interval for alpha
    6.72579
  • Treynor index (mean / b)
    6.95884
  • Jensen alpha (a)
    -3.40435
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.60542
  • Expected Shortfall on VaR
    0.68123
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03449
  • Expected Shortfall on VaR
    0.07794
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    804.00000
  • Minimum
    0.00004
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    15124.30000
  • Mean of quarter 1
    0.95891
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    76.27160
  • Inter Quartile Range
    0.00000
  • Number outliers low
    51.00000
  • Percentage of outliers low
    0.06343
  • Mean of outliers low
    0.83806
  • Number of outliers high
    54.00000
  • Percentage of outliers high
    0.06716
  • Mean of outliers high
    281.17800
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.22553
  • VaR(95%) (regression method)
    0.01370
  • Expected Shortfall (regression method)
    0.08480
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.03328
  • Quartile 1
    0.16580
  • Median
    0.46579
  • Quartile 3
    0.79121
  • Maximum
    0.99999
  • Mean of quarter 1
    0.03328
  • Mean of quarter 2
    0.20997
  • Mean of quarter 3
    0.72162
  • Mean of quarter 4
    0.99999
  • Inter Quartile Range
    0.62541
  • 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)
    -0.32586
  • Compounded annual return (geometric extrapolation)
    -0.97071
  • Calmar ratio (compounded annual return / max draw down)
    -0.97072
  • Compounded annual return / average of 25% largest draw downs
    -0.97072
  • Compounded annual return / Expected Shortfall lognormal
    -1.42495
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.64118
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.43169
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.54808
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.43155
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6845410000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.60500
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -97070699999999997308198302253056.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -370836000
  • Max Equity Drawdown (num days)
    3
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Summary Statistics

Strategy began
2014-01-07
Suggested Minimum Capital
$25,000
# Trades
82
# Profitable
61
% Profitable
74.4%
Correlation S&P500
0.289
Sharpe Ratio
0.01
Sortino Ratio
0.02
Beta
8.42
Alpha
0.00

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

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