Collective2 Collective2
Featured Strategy S2Prox0 Followed by live capital $154,000 Hypothetical

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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more
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Index 500
(85372675)

Created by: BertLynd BertLynd
Started: 01/2014
Stocks
Last trade: 2,255 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 $29.00 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.

22.1%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

-
Max Drawdown
114
Num Trades
49.1%
Win Trades
10.7 : 1
Profit Factor
64.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014(2.5%)+3.4%+3.4%+4.2%+9.4%+9.2%(8.5%)+12.5%(6.1%)(3.3%)+10.8%(0.3%)+34.0%
2015+0.5%+0.3%+2.9%+1.3%+0.4%(10.8%)+18.6%(34%)(2.3%)+24.8%(2.2%)(8.1%)(19.3%)
2016(16.8%)+11.4%+19.2%(1.3%)+7.1%+5.6%+20.6%(2%)(0.9%)(11.6%)(1.4%)+5.6%+32.8%
2017+13.5%+11.0%+4.9%+175.3%+3.9%+4.8%+3.6%(0.7%)+2.5%+8.2%+5.7%+12.8%+439.5%
2018+10.3%(22.4%)(10.1%)(0.4%)+9.1%+2.1%+6.8%+7.8%+0.5%(20.1%)+2.3%(24%)(38.6%)
2019+17.3%+15.0%+7.7%  -  +1.0%+2.7%(2.5%)+1.9%+5.9%+6.4%+10.5%+102.5%
2020+0.3%(8.4%)(47%)+26.8%+11.3%(1.1%)+15.5%+19.5%(8%)(10.4%)+25.1%+10.2%+6.5%
2021(0.9%)+5.6%+10.8%+16.2%+0.7%+5.8%+10.0%+7.1%(10.7%)+14.2%+5.5%+6.2%+93.6%
2022(19.6%)(9.2%)+14.1%(17.7%)(22.9%)(10.9%)+2.9%+33.2%(35.7%)(0.4%)+21.8%(13.9%)(56.7%)
2023+17.0%(6.4%)+2.4%+7.7%(0.2%)+10.8%+16.1%(11%)(10.2%)(9.9%)+29.5%+13.9%+64.7%
2024+8.1%+8.6%+8.6%(14%)                                                +9.8%

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

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/8/14 14:23 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,000 38.82 2/22/18 9:00 6.04 26.88%
Trade id #90143252
Max drawdown($32,780)
Time10/8/14 14:56
Quant open500
Worst price38.53
Drawdown as % of equity-26.88%
 ($32,793)
Includes Typical Broker Commissions trade costs of $12.50
10/2/14 9:35 XIV VELOCITYSHARES DAILY INVERSE V LONG 2,400 38.01 10/8 10:42 36.52 2.96%
Trade id #90030525
Max drawdown($3,560)
Time10/8/14 10:42
Quant open1,400
Worst price36.25
Drawdown as % of equity-2.96%
 ($3,574)
Includes Typical Broker Commissions trade costs of $14.00
9/10/14 9:30 GPRO GOPRO INC. CLASS A COMMON STO LONG 300 75.43 10/2 10:39 79.33 0.28%
Trade id #89569693
Max drawdown($362)
Time9/16/14 9:31
Quant open75
Worst price63.42
Drawdown as % of equity-0.28%
 $1,164
Includes Typical Broker Commissions trade costs of $6.00
8/27/14 9:30 MBLY MOBILEYE GLOBAL INC. CLASS A LONG 560 47.83 10/2 10:39 49.61 0.29%
Trade id #89312725
Max drawdown($383)
Time8/29/14 10:13
Quant open225
Worst price42.55
Drawdown as % of equity-0.29%
 $984
Includes Typical Broker Commissions trade costs of $11.20
9/24/14 9:30 BABA ALIBABA GROUP HOLDING LIMITED LONG 66 89.45 10/1 14:59 86.08 0.18%
Trade id #89866649
Max drawdown($224)
Time10/1/14 10:40
Quant open66
Worst price86.04
Drawdown as % of equity-0.18%
 ($223)
Includes Typical Broker Commissions trade costs of $1.32
9/19/14 12:13 XIV VELOCITYSHARES DAILY INVERSE V LONG 2,524 39.64 10/1 14:58 37.83 3.86%
Trade id #89783743
Max drawdown($4,812)
Time10/1/14 13:56
Quant open1,524
Worst price36.48
Drawdown as % of equity-3.86%
 ($4,576)
Includes Typical Broker Commissions trade costs of $20.24
9/26/14 9:45 TSLA TESLA INC. LONG 50 248.65 10/1 10:20 237.62 0.47%
Trade id #89923299
Max drawdown($591)
Time10/1/14 10:12
Quant open50
Worst price236.82
Drawdown as % of equity-0.47%
 ($553)
Includes Typical Broker Commissions trade costs of $1.00
9/16/14 12:07 TSLA TESLA INC. LONG 50 257.83 9/19 12:12 257.02 0.03%
Trade id #89709461
Max drawdown($41)
Time9/19/14 12:12
Quant open0
Worst price257.02
Drawdown as % of equity-0.03%
 ($42)
Includes Typical Broker Commissions trade costs of $1.00
9/15/14 11:29 SPY SPDR S&P 500 SHORT 190 198.59 9/19 12:12 200.78 0.49%
Trade id #89669822
Max drawdown($623)
Time9/18/14 16:01
Quant open-190
Worst price201.87
Drawdown as % of equity-0.49%
 ($420)
Includes Typical Broker Commissions trade costs of $3.80
9/17/14 9:30 SLCA US SILICA HOLDINGS LONG 125 71.49 9/19 12:12 70.57 0.13%
Trade id #89729155
Max drawdown($168)
Time9/19/14 11:37
Quant open125
Worst price70.14
Drawdown as % of equity-0.13%
 ($118)
Includes Typical Broker Commissions trade costs of $2.50
9/18/14 12:15 IWM ISHARES RUSSELL 2000 INDEX LONG 125 115.35 9/19 12:11 114.32 0.12%
Trade id #89759953
Max drawdown($145)
Time9/19/14 12:10
Quant open125
Worst price114.19
Drawdown as % of equity-0.12%
 ($132)
Includes Typical Broker Commissions trade costs of $2.50
9/17/14 9:30 ILMN ILLUMINA LONG 133 174.76 9/19 12:11 175.94 0.16%
Trade id #89729141
Max drawdown($206)
Time9/17/14 14:05
Quant open133
Worst price173.21
Drawdown as % of equity-0.16%
 $154
Includes Typical Broker Commissions trade costs of $2.66
9/19/14 9:33 FLT FLEETCOR TECHNOLOGIES LONG 80 145.50 9/19 12:11 142.87 0.17%
Trade id #89779558
Max drawdown($212)
Time9/19/14 11:38
Quant open80
Worst price142.84
Drawdown as % of equity-0.17%
 ($212)
Includes Typical Broker Commissions trade costs of $1.60
9/16/14 11:59 CELG CELGENE LONG 136 92.37 9/19 12:11 93.90 0.11%
Trade id #89709149
Max drawdown($137)
Time9/17/14 14:04
Quant open136
Worst price91.36
Drawdown as % of equity-0.11%
 $205
Includes Typical Broker Commissions trade costs of $2.72
9/16/14 9:30 ABG ASBURY AUTOMOTIVE GROUP LONG 175 65.31 9/19 12:11 65.78 0.04%
Trade id #89702125
Max drawdown($52)
Time9/16/14 9:32
Quant open175
Worst price65.01
Drawdown as % of equity-0.04%
 $79
Includes Typical Broker Commissions trade costs of $3.50
9/15/14 11:08 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 100 116.12 9/19 9:30 107.80 0.66%
Trade id #89668893
Max drawdown($832)
Time9/19/14 9:30
Quant open0
Worst price26.95
Drawdown as % of equity-0.66%
 ($834)
Includes Typical Broker Commissions trade costs of $2.00
9/5/14 12:43 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 375 66.62 9/16 11:59 62.26 1.43%
Trade id #89478759
Max drawdown($1,845)
Time9/12/14 14:42
Quant open375
Worst price61.70
Drawdown as % of equity-1.43%
 ($1,643)
Includes Typical Broker Commissions trade costs of $7.50
9/5/14 12:42 SPXL DIREXION DAILY S&P500 BULL 3X LONG 308 81.22 9/16 11:59 79.97 0.61%
Trade id #89478735
Max drawdown($788)
Time9/12/14 14:43
Quant open308
Worst price78.66
Drawdown as % of equity-0.61%
 ($389)
Includes Typical Broker Commissions trade costs of $6.16
9/8/14 9:30 TSLA TESLA INC. LONG 25 277.62 9/15 10:43 261.76 0.32%
Trade id #89503063
Max drawdown($410)
Time9/15/14 10:40
Quant open25
Worst price261.21
Drawdown as % of equity-0.32%
 ($398)
Includes Typical Broker Commissions trade costs of $0.50
9/9/14 9:30 BIDU BAIDU LONG 62 226.75 9/12 15:57 217.78 0.49%
Trade id #89535788
Max drawdown($635)
Time9/12/14 11:15
Quant open62
Worst price216.50
Drawdown as % of equity-0.49%
 ($557)
Includes Typical Broker Commissions trade costs of $1.24
8/6/14 9:30 EDV VANGUARD EXTENDED DUR TRS IDX LONG 849 109.37 9/11 15:37 110.94 0.57%
Trade id #88948326
Max drawdown($672)
Time8/6/14 14:25
Quant open560
Worst price107.00
Drawdown as % of equity-0.57%
 $1,315
Includes Typical Broker Commissions trade costs of $13.88
9/5/14 11:29 TLT ISHARES 20+ YEAR TREASURY BOND LONG 214 116.36 9/8 14:45 115.70 0.15%
Trade id #89473470
Max drawdown($196)
Time9/5/14 15:08
Quant open214
Worst price115.44
Drawdown as % of equity-0.15%
 ($145)
Includes Typical Broker Commissions trade costs of $4.28
9/5/14 11:30 SPY SPDR S&P 500 LONG 125 200.06 9/8 14:45 200.29 0.01%
Trade id #89473515
Max drawdown($15)
Time9/5/14 11:40
Quant open125
Worst price199.94
Drawdown as % of equity-0.01%
 $27
Includes Typical Broker Commissions trade costs of $2.50
8/15/14 12:28 SPXL DIREXION DAILY S&P500 BULL 3X LONG 810 77.82 9/5 10:40 79.80 0.08%
Trade id #89106834
Max drawdown($105)
Time8/15/14 13:57
Quant open405
Worst price74.46
Drawdown as % of equity-0.08%
 $1,597
Includes Typical Broker Commissions trade costs of $10.60
9/4/14 14:51 TSLA1412I300 TSLA Sep12'14 300 call SHORT 1 1.99 9/5 10:37 0.33 0.01%
Trade id #89451941
Max drawdown($11)
Time9/4/14 14:53
Quant open-1
Worst price2.10
Drawdown as % of equity-0.01%
 $164
Includes Typical Broker Commissions trade costs of $2.00
8/1/14 10:42 TSLA TESLA INC. LONG 425 265.22 9/5 10:36 269.42 0.07%
Trade id #88881292
Max drawdown($78)
Time8/1/14 10:50
Quant open50
Worst price228.06
Drawdown as % of equity-0.07%
 $1,774
Includes Typical Broker Commissions trade costs of $8.50
9/4/14 11:41 TSLA1412I290 TSLA Sep12'14 290 call SHORT 1 3.50 9/4 14:27 6.65 0.24%
Trade id #89441160
Max drawdown($315)
Time9/4/14 14:27
Quant open0
Worst price6.65
Drawdown as % of equity-0.24%
 ($317)
Includes Typical Broker Commissions trade costs of $2.00
9/2/14 13:29 TSLA1405I287.5 TSLA Sep5'14 287.5 call SHORT 1 1.49 9/4 11:40 1.59 0.18%
Trade id #89390740
Max drawdown($246)
Time9/3/14 9:31
Quant open-1
Worst price3.95
Drawdown as % of equity-0.18%
 ($12)
Includes Typical Broker Commissions trade costs of $2.00
8/1/14 14:20 AAPL APPLE LONG 400 99.10 9/3 10:28 99.31 0.43%
Trade id #88886911
Max drawdown($508)
Time8/8/14 10:29
Quant open200
Worst price93.28
Drawdown as % of equity-0.43%
 $78
Includes Typical Broker Commissions trade costs of $8.00
8/28/14 15:41 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 460 71.26 9/2 14:07 68.17 1.06%
Trade id #89339639
Max drawdown($1,421)
Time9/2/14 14:07
Quant open0
Worst price68.17
Drawdown as % of equity-1.06%
 ($1,430)
Includes Typical Broker Commissions trade costs of $9.20
Next

Statistics

  • Strategy began
    1/25/2014
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    3740.86
  • Age
    125 months ago
  • What it trades
    Stocks
  • # Trades
    114
  • # Profitable
    56
  • % Profitable
    49.10%
  • Avg trade duration
    174.9 days
  • Max peak-to-valley drawdown
    %
  • drawdown period
    Dec , - Dec ,
  • Cumul. Return
    15.3%
  • Avg win
    $27,200
  • Avg loss
    $2,603
  • Model Account Values (Raw)
  • Cash
    $100,728
  • Margin Used
    $41,505
  • Buying Power
    $1,446,032
  • Ratios
  • W:L ratio
    10.67:1
  • Sharpe Ratio
    0.52
  • Sortino Ratio
    1.13
  • Calmar Ratio
    3.772
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    7.11%
  • Correlation to SP500
    0.53090
  • Return Percent SP500 (cumu) during strategy life
    185.44%
  • Return Statistics
  • Ann Return (w trading costs)
    22.1%
  • Slump
  • Current Slump as Pcnt Equity
    27.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.22%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.153%
  • Instruments
  • Percent Trades Options
    0.06%
  • Percent Trades Stocks
    0.94%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    30.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    14.50%
  • Chance of 20% account loss
    0.50%
  • 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)
    423
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $2,603
  • Avg Win
    $27,200
  • Sum Trade PL (losers)
    $150,993.000
  • Age
  • Num Months filled monthly returns table
    124
  • Win / Loss
  • Sum Trade PL (winners)
    $1,523,200.000
  • # Winners
    56
  • Num Months Winners
    79
  • Dividends
  • Dividends Received in Model Acct
    87198
  • Win / Loss
  • # Losers
    58
  • % Winners
    49.1%
  • Frequency
  • Avg Position Time (mins)
    251840.00
  • Avg Position Time (hrs)
    4197.34
  • Avg Trade Length
    174.9 days
  • Last Trade Ago
    2252
  • Regression
  • Alpha
    0.06
  • Beta
    2.05
  • Treynor Index
    0.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    28.71
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    50.38
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.91
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    0.147
  • 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
    0.014
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.168
  • Hold-and-Hope Ratio
    10.419
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39892
  • SD
    0.17087
  • Sharpe ratio (Glass type estimate)
    2.33465
  • Sharpe ratio (Hedges UMVUE)
    2.07364
  • df
    7.00000
  • t
    1.90623
  • p
    0.04915
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.41348
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.95333
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56114
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.70842
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.38635
  • Upside Potential Ratio
    6.99369
  • Upside part of mean
    0.51797
  • Downside part of mean
    -0.11904
  • Upside SD
    0.18255
  • Downside SD
    0.07406
  • N nonnegative terms
    6.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.14824
  • Mean of criterion
    0.39892
  • SD of predictor
    0.05525
  • SD of criterion
    0.17087
  • Covariance
    0.00503
  • r
    0.53283
  • b (slope, estimate of beta)
    1.64775
  • a (intercept, estimate of alpha)
    0.15465
  • Mean Square Error
    0.02439
  • DF error
    6.00000
  • t(b)
    1.54234
  • p(b)
    0.08697
  • t(a)
    0.62276
  • p(a)
    0.27818
  • Lowerbound of 95% confidence interval for beta
    -0.96642
  • Upperbound of 95% confidence interval for beta
    4.26191
  • Lowerbound of 95% confidence interval for alpha
    -0.45301
  • Upperbound of 95% confidence interval for alpha
    0.76232
  • Treynor index (mean / b)
    0.24210
  • Jensen alpha (a)
    0.15465
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37987
  • SD
    0.16842
  • Sharpe ratio (Glass type estimate)
    2.25549
  • Sharpe ratio (Hedges UMVUE)
    2.00333
  • df
    7.00000
  • t
    1.84160
  • p
    0.05405
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47334
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.85754
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.61647
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.62314
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.00179
  • Upside Potential Ratio
    6.60529
  • Upside part of mean
    0.50164
  • Downside part of mean
    -0.12178
  • Upside SD
    0.17628
  • Downside SD
    0.07595
  • N nonnegative terms
    6.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.14591
  • Mean of criterion
    0.37987
  • SD of predictor
    0.05465
  • SD of criterion
    0.16842
  • Covariance
    0.00493
  • r
    0.53577
  • b (slope, estimate of beta)
    1.65113
  • a (intercept, estimate of alpha)
    0.13895
  • Mean Square Error
    0.02359
  • DF error
    6.00000
  • t(b)
    1.55424
  • p(b)
    0.08556
  • t(a)
    0.57003
  • p(a)
    0.29467
  • Lowerbound of 95% confidence interval for beta
    -0.94835
  • Upperbound of 95% confidence interval for beta
    4.25061
  • Lowerbound of 95% confidence interval for alpha
    -0.45751
  • Upperbound of 95% confidence interval for alpha
    0.73540
  • Treynor index (mean / b)
    0.23006
  • Jensen alpha (a)
    0.13895
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04717
  • Expected Shortfall on VaR
    0.06618
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01382
  • Expected Shortfall on VaR
    0.03160
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.94522
  • Quartile 1
    1.02006
  • Median
    1.04530
  • Quartile 3
    1.06249
  • Maximum
    1.08901
  • Mean of quarter 1
    0.96115
  • Mean of quarter 2
    1.03761
  • Mean of quarter 3
    1.05330
  • Mean of quarter 4
    1.08423
  • Inter Quartile Range
    0.04243
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.12500
  • Mean of outliers low
    0.94522
  • 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
    2.00000
  • Minimum
    0.02292
  • Quartile 1
    0.03089
  • Median
    0.03885
  • Quartile 3
    0.04682
  • Maximum
    0.05478
  • Mean of quarter 1
    0.02292
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.05478
  • Inter Quartile Range
    0.01593
  • 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)
    0.44516
  • Compounded annual return (geometric extrapolation)
    0.47671
  • Calmar ratio (compounded annual return / max draw down)
    8.70174
  • Compounded annual return / average of 25% largest draw downs
    8.70174
  • Compounded annual return / Expected Shortfall lognormal
    7.20358
  • 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
    0.27847
  • SD
    0.18137
  • Sharpe ratio (Glass type estimate)
    1.53535
  • Sharpe ratio (Hedges UMVUE)
    1.53080
  • df
    253.00000
  • t
    1.31931
  • p
    0.09413
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.75099
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.81869
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.75402
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.81561
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.28493
  • Upside Potential Ratio
    10.68770
  • Upside part of mean
    1.30255
  • Downside part of mean
    -1.02408
  • Upside SD
    0.13468
  • Downside SD
    0.12187
  • N nonnegative terms
    128.00000
  • N negative terms
    126.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    254.00000
  • Mean of predictor
    0.10233
  • Mean of criterion
    0.27847
  • SD of predictor
    0.10378
  • SD of criterion
    0.18137
  • Covariance
    0.00655
  • r
    0.34781
  • b (slope, estimate of beta)
    0.60787
  • a (intercept, estimate of alpha)
    0.64500
  • Mean Square Error
    0.02903
  • DF error
    252.00000
  • t(b)
    5.88907
  • p(b)
    0.00000
  • t(a)
    1.08912
  • p(a)
    0.13857
  • Lowerbound of 95% confidence interval for beta
    0.40459
  • Upperbound of 95% confidence interval for beta
    0.81115
  • Lowerbound of 95% confidence interval for alpha
    -0.17480
  • Upperbound of 95% confidence interval for alpha
    0.60733
  • Treynor index (mean / b)
    0.45811
  • Jensen alpha (a)
    0.21627
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26198
  • SD
    0.18138
  • Sharpe ratio (Glass type estimate)
    1.44437
  • Sharpe ratio (Hedges UMVUE)
    1.44008
  • df
    253.00000
  • t
    1.24113
  • p
    0.10785
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84138
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.72740
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84428
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.72445
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.12725
  • Upside Potential Ratio
    10.50370
  • Upside part of mean
    1.29356
  • Downside part of mean
    -1.03158
  • Upside SD
    0.13342
  • Downside SD
    0.12315
  • N nonnegative terms
    128.00000
  • N negative terms
    126.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    254.00000
  • Mean of predictor
    0.09694
  • Mean of criterion
    0.26198
  • SD of predictor
    0.10397
  • SD of criterion
    0.18138
  • Covariance
    0.00656
  • r
    0.34770
  • b (slope, estimate of beta)
    0.60659
  • a (intercept, estimate of alpha)
    0.20317
  • Mean Square Error
    0.02904
  • DF error
    252.00000
  • t(b)
    5.88685
  • p(b)
    0.00000
  • t(a)
    1.02327
  • p(a)
    0.15358
  • Lowerbound of 95% confidence interval for beta
    0.40366
  • Upperbound of 95% confidence interval for beta
    0.80953
  • Lowerbound of 95% confidence interval for alpha
    -0.18786
  • Upperbound of 95% confidence interval for alpha
    0.59421
  • Treynor index (mean / b)
    0.43188
  • Jensen alpha (a)
    0.20317
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01521
  • Expected Shortfall on VaR
    0.01922
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00678
  • Expected Shortfall on VaR
    0.01375
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    254.00000
  • Minimum
    0.96076
  • Quartile 1
    0.99561
  • Median
    1.00013
  • Quartile 3
    1.00573
  • Maximum
    1.03233
  • Mean of quarter 1
    0.98910
  • Mean of quarter 2
    0.99913
  • Mean of quarter 3
    1.00257
  • Mean of quarter 4
    1.01255
  • Inter Quartile Range
    0.01011
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.02362
  • Mean of outliers low
    0.97210
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.03150
  • Mean of outliers high
    1.02651
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.31771
  • VaR(95%) (moments method)
    0.01132
  • Expected Shortfall (moments method)
    0.01941
  • Extreme Value Index (regression method)
    0.38052
  • VaR(95%) (regression method)
    0.00943
  • Expected Shortfall (regression method)
    0.01618
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00032
  • Quartile 1
    0.00966
  • Median
    0.02810
  • Quartile 3
    0.04778
  • Maximum
    0.10641
  • Mean of quarter 1
    0.00275
  • Mean of quarter 2
    0.01716
  • Mean of quarter 3
    0.03752
  • Mean of quarter 4
    0.08662
  • Inter Quartile Range
    0.03812
  • 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
    0.07143
  • Mean of outliers high
    0.10641
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -84.76350
  • VaR(95%) (moments method)
    0.08422
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.61228
  • VaR(95%) (regression method)
    0.07063
  • Expected Shortfall (regression method)
    0.07156
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.30115
  • Compounded annual return (geometric extrapolation)
    0.31249
  • Calmar ratio (compounded annual return / max draw down)
    2.93667
  • Compounded annual return / average of 25% largest draw downs
    3.60762
  • Compounded annual return / Expected Shortfall lognormal
    16.26160
  • 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
    0.28672
  • SD
    0.17722
  • Sharpe ratio (Glass type estimate)
    1.61787
  • Sharpe ratio (Hedges UMVUE)
    1.61076
  • df
    171.00000
  • t
    1.14401
  • p
    0.44459
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.16156
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.39265
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.16630
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.38782
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.42107
  • Upside Potential Ratio
    10.94210
  • Upside part of mean
    1.29584
  • Downside part of mean
    -1.00912
  • Upside SD
    0.13206
  • Downside SD
    0.11843
  • N nonnegative terms
    86.00000
  • N negative terms
    86.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.07011
  • Mean of criterion
    0.28672
  • SD of predictor
    0.09286
  • SD of criterion
    0.17722
  • Covariance
    0.00653
  • r
    0.39695
  • b (slope, estimate of beta)
    0.75760
  • a (intercept, estimate of alpha)
    0.23360
  • Mean Square Error
    0.02661
  • DF error
    170.00000
  • t(b)
    5.63883
  • p(b)
    0.30153
  • t(a)
    1.01169
  • p(a)
    0.46132
  • Lowerbound of 95% confidence interval for beta
    0.49238
  • Upperbound of 95% confidence interval for beta
    1.02282
  • Lowerbound of 95% confidence interval for alpha
    -0.22221
  • Upperbound of 95% confidence interval for alpha
    0.68941
  • Treynor index (mean / b)
    0.37846
  • Jensen alpha (a)
    0.23360
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27099
  • SD
    0.17723
  • Sharpe ratio (Glass type estimate)
    1.52903
  • Sharpe ratio (Hedges UMVUE)
    1.52232
  • df
    171.00000
  • t
    1.08119
  • p
    0.44760
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.24972
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.30336
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.25418
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.29881
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.26509
  • Upside Potential Ratio
    10.75910
  • Upside part of mean
    1.28718
  • Downside part of mean
    -1.01620
  • Upside SD
    0.13087
  • Downside SD
    0.11964
  • N nonnegative terms
    86.00000
  • N negative terms
    86.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.06581
  • Mean of criterion
    0.27099
  • SD of predictor
    0.09301
  • SD of criterion
    0.17723
  • Covariance
    0.00658
  • r
    0.39937
  • b (slope, estimate of beta)
    0.76097
  • a (intercept, estimate of alpha)
    0.22091
  • Mean Square Error
    0.02656
  • DF error
    170.00000
  • t(b)
    5.67970
  • p(b)
    0.30032
  • t(a)
    0.95787
  • p(a)
    0.46337
  • VAR (95 Confidence Intrvl)
    0.10100
  • Lowerbound of 95% confidence interval for beta
    0.49649
  • Upperbound of 95% confidence interval for beta
    1.02545
  • Lowerbound of 95% confidence interval for alpha
    -0.23435
  • Upperbound of 95% confidence interval for alpha
    0.67617
  • Treynor index (mean / b)
    0.35611
  • Jensen alpha (a)
    0.22091
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01482
  • Expected Shortfall on VaR
    0.01874
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00672
  • Expected Shortfall on VaR
    0.01354
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.96076
  • Quartile 1
    0.99552
  • Median
    1.00011
  • Quartile 3
    1.00538
  • Maximum
    1.03015
  • Mean of quarter 1
    0.98924
  • Mean of quarter 2
    0.99908
  • Mean of quarter 3
    1.00267
  • Mean of quarter 4
    1.01245
  • Inter Quartile Range
    0.00987
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.01744
  • Mean of outliers low
    0.97133
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.02907
  • Mean of outliers high
    1.02585
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22676
  • VaR(95%) (moments method)
    0.01088
  • Expected Shortfall (moments method)
    0.01705
  • Extreme Value Index (regression method)
    0.28753
  • VaR(95%) (regression method)
    0.00980
  • Expected Shortfall (regression method)
    0.01556
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00032
  • Quartile 1
    0.00340
  • Median
    0.01545
  • Quartile 3
    0.04020
  • Maximum
    0.10641
  • Mean of quarter 1
    0.00070
  • Mean of quarter 2
    0.01100
  • Mean of quarter 3
    0.03114
  • Mean of quarter 4
    0.08120
  • Inter Quartile Range
    0.03680
  • 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
    0.09091
  • Mean of outliers high
    0.10641
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -116.79000
  • VaR(95%) (moments method)
    0.07912
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.21612
  • VaR(95%) (regression method)
    0.16260
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.16313
  • Max Equity Drawdown (num days)
    41
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.30163
  • Compounded annual return (geometric extrapolation)
    0.32437
  • Calmar ratio (compounded annual return / max draw down)
    3.04833
  • Compounded annual return / average of 25% largest draw downs
    3.99473
  • Compounded annual return / Expected Shortfall lognormal
    17.31050

Strategy Description

Trading long and short positions in stocks, stock etfs, commodity ETFs and some simple option strategies. This system is a longer term discretionary / mechanical trading system, designed to deliver alpha over a long time horizon. The system is very volatile and sitting tight through draw downs is part of trading this system.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2014-01-25
Suggested Minimum Capital
$100,000
# Trades
114
# Profitable
56
% Profitable
49.1%
Net Dividends
$87,197
Correlation S&P500
0.531
Sharpe Ratio
0.52
Sortino Ratio
1.13
Beta
2.05
Alpha
0.06

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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Suggested Minimum Capital

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