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These are hypothetical performance results that have certain inherent limitations. Learn more
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cp quick
(85527704)

Created by: cliff_peery cliff_peery
Started: 02/2014
Stocks
Last trade: 3,552 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 $20.00 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.

-3.9%
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.

(52.4%)
Max Drawdown
35
Num Trades
51.4%
Win Trades
0.8 : 1
Profit Factor
54.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014       (19.9%)(9%)(24.1%)(11.2%)+5.1%+0.4%+11.2%(9.1%)(3.8%)+5.2%+0.3%(46.9%)
2015+0.2%+3.9%(0.4%)+5.2%+0.2%(0.1%)+1.9%(8.1%)(0.1%)(6.9%)+0.7%+3.1%(1.3%)
2016(2.9%)(0.1%)+2.3%+0.5%(1.4%)(0.6%)+0.3%+2.0%+1.4%(0.9%)+5.0%+0.4%+5.9%
2017+0.1%(1.7%)+0.4%+0.1%(0.2%)+1.4%(0.7%)(0.9%)(2.6%)+1.6%+1.2%+2.0%+0.8%
2018+0.3%(1.5%)(1.5%)+2.2%  -  +3.5%+0.1%+1.8%(1.6%)(2.3%)+1.2%(2.8%)(1%)
2019+2.7%(0.4%)+1.8%+0.5%+0.9%  -  (2.9%)+2.4%(0.5%)+0.8%(2.1%)+2.8%
2020+1.4%(0.4%)(12.7%)+6.3%+0.9%(1.7%)+2.4%+2.9%+0.5%(1.8%)+4.8%+3.0%+4.2%
2021+3.4%+5.2%+4.6%(1.9%)+1.5%+0.8%(3.3%)(1.2%)+0.5%(1.3%)(0.3%)+1.1%+9.1%
2022(3%)+0.9%(1.6%)(1.4%)+0.1%(2.5%)+3.1%(3.2%)(2.1%)+5.5%+0.7%(1.8%)(5.5%)
2023+4.7%+1.1%+0.3%(1.1%)+3.1%+3.6%(1.2%)(2.7%)(2.7%)(0.7%)+5.0%+2.8%+12.5%
2024(1%)+1.6%(1.1%)(2.5%)                                                (3.1%)

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
5/14/14 10:30 TEVA1420U48 TEVA Sep20'14 48 put SHORT 5 2.13 7/30 10:22 0.25 0.28%
Trade id #87562643
Max drawdown($195)
Time5/15/14 13:35
Quant open-5
Worst price2.52
Drawdown as % of equity-0.28%
 $933
Includes Typical Broker Commissions trade costs of $7.00
7/7/14 14:21 IDCC1419G47.5 IDCC Jul19'14 47.5 call SHORT 1 1.65 7/20 9:04 0.00 0.05%
Trade id #88460913
Max drawdown($35)
Time7/7/14 21:33
Quant open1
Worst price0.00
Drawdown as % of equity-0.05%
 $164
Includes Typical Broker Commissions trade costs of $1.00
7/7/14 14:18 DRI1419G46 DRI Jul19'14 46 call SHORT 1 0.30 7/20 9:02 0.00 0.02%
Trade id #88460835
Max drawdown($12)
Time7/9/14 10:46
Quant open-1
Worst price0.42
Drawdown as % of equity-0.02%
 $29
Includes Typical Broker Commissions trade costs of $1.00
5/20/14 9:30 SNH SENIOR HOUSING PROPERTIES LONG 1,000 23.82 7/7 9:41 24.20 0.27%
Trade id #87654526
Max drawdown($190)
Time6/17/14 10:51
Quant open1,000
Worst price23.63
Drawdown as % of equity-0.27%
 $375
Includes Typical Broker Commissions trade costs of $5.00
6/3/14 12:07 KO1416H38 KO Aug16'14 38 call LONG 20 3.00 7/7 9:38 4.20 1.67%
Trade id #87900601
Max drawdown($1,160)
Time6/16/14 9:32
Quant open20
Worst price2.42
Drawdown as % of equity-1.67%
 $2,372
Includes Typical Broker Commissions trade costs of $28.00
5/14/14 9:36 TGT1427R56 TGT Jun27'14 56 put SHORT 2 0.43 6/28 9:01 0.00 0.19%
Trade id #87560655
Max drawdown($132)
Time5/29/14 9:50
Quant open-2
Worst price1.09
Drawdown as % of equity-0.19%
 $85
Includes Typical Broker Commissions trade costs of $1.40
5/20/14 9:30 MSTX MAST THERAPEUTICS INC. LONG 10,000 0.68 6/10 10:55 0.62 1.16%
Trade id #87654510
Max drawdown($800)
Time6/5/14 9:31
Quant open10,000
Worst price0.60
Drawdown as % of equity-1.16%
 ($555)
Includes Typical Broker Commissions trade costs of $5.00
4/1/14 13:07 BNIKF LONG 5,000 1.23 6/6 9:31 1.01 2.55%
Trade id #86801314
Max drawdown($1,875)
Time5/6/14 9:34
Quant open2,500
Worst price0.85
Drawdown as % of equity-2.55%
 ($1,118)
Includes Typical Broker Commissions trade costs of $7.50
4/1/14 13:05 QRXPY LONG 3,000 3.58 5/12 9:49 0.46 13.17%
Trade id #86801257
Max drawdown($9,735)
Time5/2/14 14:35
Quant open3,000
Worst price0.34
Drawdown as % of equity-13.17%
 ($9,379)
Includes Typical Broker Commissions trade costs of $5.00
2/18/14 9:43 PGLC PERSHING GOLD CORPORATION LONG 50,000 0.40 5/12 9:31 0.37 3.74%
Trade id #86034494
Max drawdown($2,500)
Time5/9/14 14:05
Quant open50,000
Worst price0.35
Drawdown as % of equity-3.74%
 ($1,705)
Includes Typical Broker Commissions trade costs of $5.00
2/19/14 9:30 LVVV LIVEWIRE ERGOGENICS LONG 75,000 0.14 5/12 9:31 0.06 10.29%
Trade id #86056061
Max drawdown($7,005)
Time5/8/14 15:42
Quant open75,000
Worst price0.05
Drawdown as % of equity-10.29%
 ($6,260)
Includes Typical Broker Commissions trade costs of $5.00
2/10/14 15:15 EDXC ENDEXX CORP LONG 37,000 0.27 5/12 9:31 0.13 9.22%
Trade id #85695024
Max drawdown($6,271)
Time5/9/14 10:49
Quant open37,000
Worst price0.10
Drawdown as % of equity-9.22%
 ($5,185)
Includes Typical Broker Commissions trade costs of $5.00
2/18/14 9:30 GSS GOLDEN STAR RESOURCES LTD. LONG 25,000 0.82 5/12 9:31 0.59 8.58%
Trade id #86033927
Max drawdown($6,225)
Time4/30/14 16:01
Quant open25,000
Worst price0.57
Drawdown as % of equity-8.58%
 ($5,755)
Includes Typical Broker Commissions trade costs of $5.00
2/19/14 9:30 VGZ VISTA GOLD LONG 33,000 0.77 5/12 9:31 0.43 17.25%
Trade id #86056185
Max drawdown($11,543)
Time5/9/14 13:49
Quant open33,000
Worst price0.42
Drawdown as % of equity-17.25%
 ($11,222)
Includes Typical Broker Commissions trade costs of $5.00
4/20/14 9:02 OVTI OMNIVISION TECHNOLOGIES INC LONG 1,000 15.00 5/2 11:53 19.47 n/a $4,465
Includes Typical Broker Commissions trade costs of $5.00
2/12/14 9:30 PMXO LONG 100,000 0.05 5/2 11:52 0.04 4.2%
Trade id #85747504
Max drawdown($3,080)
Time4/30/14 12:33
Quant open100,000
Worst price0.02
Drawdown as % of equity-4.20%
 ($1,005)
Includes Typical Broker Commissions trade costs of $5.00
3/25/14 11:57 OVTI1419D15 OVTI Apr19'14 15 call LONG 10 2.85 4/20 9:01 0.00 3.39%
Trade id #86666065
Max drawdown($2,850)
Time4/20/14 9:01
Quant open0
Worst price0.00
Drawdown as % of equity-3.39%
 ($2,857)
Includes Typical Broker Commissions trade costs of $7.00
2/14/14 9:30 AMMX AMERAMEX INTERNATIONAL INC COMMON STOCK LONG 100,000 0.01 3/12 13:16 0.02 0.31%
Trade id #85796461
Max drawdown($310)
Time2/14/14 10:55
Quant open100,000
Worst price0.01
Drawdown as % of equity-0.31%
 $595
Includes Typical Broker Commissions trade costs of $5.00
2/18/14 9:31 IDN INTELLICHECK INC LONG 4,125 5.84 2/21 15:20 6.09 4.05%
Trade id #86034028
Max drawdown($3,956)
Time2/21/14 14:40
Quant open33,000
Worst price0.61
Drawdown as % of equity-4.05%
 $1,030
Includes Typical Broker Commissions trade costs of $5.00
2/19/14 16:00 LNKD1428B190 LNKD Feb28'14 190 call LONG 10 6.60 2/20 9:32 7.30 n/a $686
Includes Typical Broker Commissions trade costs of $14.00
2/12/14 11:40 CLGL LONG 100,000 0.03 2/18 15:47 0.04 0.61%
Trade id #85751921
Max drawdown($610)
Time2/14/14 15:48
Quant open100,000
Worst price0.02
Drawdown as % of equity-0.61%
 $1,495
Includes Typical Broker Commissions trade costs of $5.00
2/18/14 9:31 CYBK LONG 50,000 0.25 2/18 9:34 0.28 n/a $1,245
Includes Typical Broker Commissions trade costs of $5.00
2/18/14 9:30 ELTP ELITE PHARMA INC LONG 50,000 0.36 2/18 9:31 0.38 n/a $995
Includes Typical Broker Commissions trade costs of $5.00
2/10/14 15:16 SFUN FANG HOLDINGS LTD LONG 2,500 15.80 2/11 11:00 15.60 0.47%
Trade id #85695056
Max drawdown($495)
Time2/11/14 11:00
Quant open0
Worst price78.00
Drawdown as % of equity-0.47%
 ($500)
Includes Typical Broker Commissions trade costs of $5.00
2/10/14 9:30 RYL RYLAND GROUP LONG 500 45.06 2/10 10:31 44.57 0.25%
Trade id #85686365
Max drawdown($245)
Time2/10/14 10:31
Quant open0
Worst price44.57
Drawdown as % of equity-0.25%
 ($255)
Includes Typical Broker Commissions trade costs of $10.00
2/7/14 9:30 CYBK LONG 100,000 0.08 2/10 9:35 0.12 2.28%
Trade id #85658891
Max drawdown($2,250)
Time2/7/14 11:36
Quant open100,000
Worst price0.06
Drawdown as % of equity-2.28%
 $3,595
Includes Typical Broker Commissions trade costs of $5.00
2/10/14 9:30 STX SEAGATE TECHNOLOGY LONG 500 49.52 2/10 9:32 49.03 0.25%
Trade id #85686288
Max drawdown($245)
Time2/10/14 9:32
Quant open0
Worst price49.03
Drawdown as % of equity-0.25%
 ($255)
Includes Typical Broker Commissions trade costs of $10.00
2/5/14 9:30 NVLX LONG 96,000 0.21 2/10 9:30 0.19 1.72%
Trade id #85599138
Max drawdown($1,704)
Time2/10/14 9:30
Quant open48,000
Worst price0.18
Drawdown as % of equity-1.72%
 ($1,714)
Includes Typical Broker Commissions trade costs of $10.00
2/5/14 9:30 AXPW AXION POWER INTL INC LONG 2,200 4.27 2/7 9:56 4.11 1.02%
Trade id #85599113
Max drawdown($1,039)
Time2/6/14 11:32
Quant open77,000
Worst price0.11
Drawdown as % of equity-1.02%
 ($353)
Includes Typical Broker Commissions trade costs of $5.00
2/5/14 9:30 TRTC LONG 20,000 0.56 2/5 10:02 0.59 0.2%
Trade id #85599026
Max drawdown($200)
Time2/5/14 9:32
Quant open20,000
Worst price0.55
Drawdown as % of equity-0.20%
 $595
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    2/1/2014
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    3723.31
  • Age
    124 months ago
  • What it trades
    Stocks, Options
  • # Trades
    35
  • # Profitable
    18
  • % Profitable
    51.40%
  • Avg trade duration
    435.7 days
  • Max peak-to-valley drawdown
    52.42%
  • drawdown period
    Feb 01, 2014 - June 12, 2014
  • Annual Return (Compounded)
    -3.9%
  • Avg win
    $2,016
  • Avg loss
    $3,413
  • Model Account Values (Raw)
  • Cash
    $60,394
  • Margin Used
    $0
  • Buying Power
    $65,900
  • Ratios
  • W:L ratio
    0.79:1
  • Sharpe Ratio
    -0.34
  • Sortino Ratio
    -0.46
  • Calmar Ratio
    -0.133
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -220.77%
  • Correlation to SP500
    0.38540
  • Return Percent SP500 (cumu) during strategy life
    178.65%
  • Return Statistics
  • Ann Return (w trading costs)
    -3.9%
  • Slump
  • Current Slump as Pcnt Equity
    50.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    1.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.039%
  • Instruments
  • Percent Trades Options
    0.20%
  • Percent Trades Stocks
    0.80%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -1.3%
  • 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)
    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
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $3,414
  • Avg Win
    $2,016
  • Sum Trade PL (losers)
    $58,035.000
  • Age
  • Num Months filled monthly returns table
    123
  • Win / Loss
  • Sum Trade PL (winners)
    $36,290.000
  • # Winners
    18
  • Num Months Winners
    66
  • Dividends
  • Dividends Received in Model Acct
    9505
  • Win / Loss
  • # Losers
    17
  • % Winners
    51.4%
  • Frequency
  • Avg Position Time (mins)
    627425.00
  • Avg Position Time (hrs)
    10457.10
  • Avg Trade Length
    435.7 days
  • Last Trade Ago
    3551
  • Regression
  • Alpha
    -0.02
  • Beta
    0.30
  • Treynor Index
    -0.05
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.05
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    11.63
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    10.39
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.40
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.08
  • Avg(MAE) / Avg(PL) - All trades
    -2.755
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.462
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.144
  • Hold-and-Hope Ratio
    -0.389
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04869
  • SD
    0.18549
  • Sharpe ratio (Glass type estimate)
    -0.26249
  • Sharpe ratio (Hedges UMVUE)
    -0.25608
  • df
    31.00000
  • t
    -0.42865
  • p
    0.66443
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.46241
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.94158
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.45800
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.94584
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.31576
  • Upside Potential Ratio
    1.35000
  • Upside part of mean
    0.20817
  • Downside part of mean
    -0.25686
  • Upside SD
    0.09875
  • Downside SD
    0.15420
  • N nonnegative terms
    17.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.42362
  • Mean of criterion
    -0.04869
  • SD of predictor
    0.30045
  • SD of criterion
    0.18549
  • Covariance
    0.02901
  • r
    0.52056
  • b (slope, estimate of beta)
    0.32138
  • a (intercept, estimate of alpha)
    -0.18484
  • Mean Square Error
    0.02592
  • DF error
    30.00000
  • t(b)
    3.33938
  • p(b)
    0.00113
  • t(a)
    -1.73252
  • p(a)
    0.95327
  • Lowerbound of 95% confidence interval for beta
    0.12483
  • Upperbound of 95% confidence interval for beta
    0.51793
  • Lowerbound of 95% confidence interval for alpha
    -0.40272
  • Upperbound of 95% confidence interval for alpha
    0.03305
  • Treynor index (mean / b)
    -0.15150
  • Jensen alpha (a)
    -0.18484
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06625
  • SD
    0.19300
  • Sharpe ratio (Glass type estimate)
    -0.34328
  • Sharpe ratio (Hedges UMVUE)
    -0.33490
  • df
    31.00000
  • t
    -0.56058
  • p
    0.71044
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.54379
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.86269
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.53802
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.86822
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.40110
  • Upside Potential Ratio
    1.22910
  • Upside part of mean
    0.20302
  • Downside part of mean
    -0.26927
  • Upside SD
    0.09574
  • Downside SD
    0.16518
  • N nonnegative terms
    17.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.37467
  • Mean of criterion
    -0.06625
  • SD of predictor
    0.29052
  • SD of criterion
    0.19300
  • Covariance
    0.02799
  • r
    0.49921
  • b (slope, estimate of beta)
    0.33164
  • a (intercept, estimate of alpha)
    -0.19051
  • Mean Square Error
    0.02890
  • DF error
    30.00000
  • t(b)
    3.15562
  • p(b)
    0.00182
  • t(a)
    -1.71170
  • p(a)
    0.95136
  • Lowerbound of 95% confidence interval for beta
    0.11701
  • Upperbound of 95% confidence interval for beta
    0.54627
  • Lowerbound of 95% confidence interval for alpha
    -0.41781
  • Upperbound of 95% confidence interval for alpha
    0.03679
  • Treynor index (mean / b)
    -0.19977
  • Jensen alpha (a)
    -0.19051
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09259
  • Expected Shortfall on VaR
    0.11328
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04726
  • Expected Shortfall on VaR
    0.09407
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    32.00000
  • Minimum
    0.81756
  • Quartile 1
    0.98278
  • Median
    1.00960
  • Quartile 3
    1.02945
  • Maximum
    1.09153
  • Mean of quarter 1
    0.92473
  • Mean of quarter 2
    0.99504
  • Mean of quarter 3
    1.02048
  • Mean of quarter 4
    1.05283
  • Inter Quartile Range
    0.04667
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03125
  • Mean of outliers low
    0.81756
  • 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)
    -0.12803
  • VaR(95%) (moments method)
    0.07528
  • Expected Shortfall (moments method)
    0.09593
  • Extreme Value Index (regression method)
    0.30483
  • VaR(95%) (regression method)
    0.08881
  • Expected Shortfall (regression method)
    0.14779
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.31108
  • Quartile 1
    0.31108
  • Median
    0.31108
  • Quartile 3
    0.31108
  • Maximum
    0.31108
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.03645
  • Compounded annual return (geometric extrapolation)
    -0.03762
  • Calmar ratio (compounded annual return / max draw down)
    -0.12093
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.33208
  • 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
    -0.05774
  • SD
    0.18310
  • Sharpe ratio (Glass type estimate)
    -0.31537
  • Sharpe ratio (Hedges UMVUE)
    -0.31503
  • df
    701.00000
  • t
    -0.51621
  • p
    0.69707
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.51276
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.88221
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.51251
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.88246
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.42767
  • Upside Potential Ratio
    6.81693
  • Upside part of mean
    0.92041
  • Downside part of mean
    -0.97815
  • Upside SD
    0.12353
  • Downside SD
    0.13502
  • N nonnegative terms
    357.00000
  • N negative terms
    345.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    702.00000
  • Mean of predictor
    0.42159
  • Mean of criterion
    -0.05774
  • SD of predictor
    0.29729
  • SD of criterion
    0.18310
  • Covariance
    0.02037
  • r
    0.37416
  • b (slope, estimate of beta)
    0.23044
  • a (intercept, estimate of alpha)
    -0.15500
  • Mean Square Error
    0.02887
  • DF error
    700.00000
  • t(b)
    10.67470
  • p(b)
    0.00000
  • t(a)
    -1.48645
  • p(a)
    0.93119
  • Lowerbound of 95% confidence interval for beta
    0.18806
  • Upperbound of 95% confidence interval for beta
    0.27283
  • Lowerbound of 95% confidence interval for alpha
    -0.35949
  • Upperbound of 95% confidence interval for alpha
    0.04970
  • Treynor index (mean / b)
    -0.25057
  • Jensen alpha (a)
    -0.15490
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.07452
  • SD
    0.18338
  • Sharpe ratio (Glass type estimate)
    -0.40634
  • Sharpe ratio (Hedges UMVUE)
    -0.40591
  • df
    701.00000
  • t
    -0.66514
  • p
    0.74691
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.60377
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.79136
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.60347
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.79165
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.54383
  • Upside Potential Ratio
    6.66200
  • Upside part of mean
    0.91283
  • Downside part of mean
    -0.98734
  • Upside SD
    0.12177
  • Downside SD
    0.13702
  • N nonnegative terms
    357.00000
  • N negative terms
    345.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    702.00000
  • Mean of predictor
    0.37647
  • Mean of criterion
    -0.07452
  • SD of predictor
    0.30080
  • SD of criterion
    0.18338
  • Covariance
    0.02032
  • r
    0.36831
  • b (slope, estimate of beta)
    0.22454
  • a (intercept, estimate of alpha)
    -0.15905
  • Mean Square Error
    0.02911
  • DF error
    700.00000
  • t(b)
    10.48130
  • p(b)
    0.00000
  • t(a)
    -1.52138
  • p(a)
    0.93569
  • Lowerbound of 95% confidence interval for beta
    0.18248
  • Upperbound of 95% confidence interval for beta
    0.26660
  • Lowerbound of 95% confidence interval for alpha
    -0.36430
  • Upperbound of 95% confidence interval for alpha
    0.04621
  • Treynor index (mean / b)
    -0.33187
  • Jensen alpha (a)
    -0.15905
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01874
  • Expected Shortfall on VaR
    0.02337
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00844
  • Expected Shortfall on VaR
    0.01723
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    702.00000
  • Minimum
    0.93739
  • Quartile 1
    0.99579
  • Median
    1.00026
  • Quartile 3
    1.00459
  • Maximum
    1.07174
  • Mean of quarter 1
    0.98684
  • Mean of quarter 2
    0.99848
  • Mean of quarter 3
    1.00219
  • Mean of quarter 4
    1.01205
  • Inter Quartile Range
    0.00880
  • Number outliers low
    48.00000
  • Percentage of outliers low
    0.06838
  • Mean of outliers low
    0.97351
  • Number of outliers high
    29.00000
  • Percentage of outliers high
    0.04131
  • Mean of outliers high
    1.02855
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.44217
  • VaR(95%) (moments method)
    0.01329
  • Expected Shortfall (moments method)
    0.02737
  • Extreme Value Index (regression method)
    0.08607
  • VaR(95%) (regression method)
    0.01174
  • Expected Shortfall (regression method)
    0.01718
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01908
  • Quartile 1
    0.09979
  • Median
    0.18050
  • Quartile 3
    0.26121
  • Maximum
    0.34192
  • Mean of quarter 1
    0.01908
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.34192
  • Inter Quartile Range
    0.16142
  • 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)
    -0.04382
  • Compounded annual return (geometric extrapolation)
    -0.04554
  • Calmar ratio (compounded annual return / max draw down)
    -0.13319
  • Compounded annual return / average of 25% largest draw downs
    -0.13319
  • Compounded annual return / Expected Shortfall lognormal
    -1.94884
  • 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
    0.04842
  • SD
    0.17301
  • Sharpe ratio (Glass type estimate)
    0.27986
  • Sharpe ratio (Hedges UMVUE)
    0.27825
  • df
    130.00000
  • t
    0.19789
  • p
    0.49132
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.49264
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.05140
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.49377
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.05026
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.40666
  • Upside Potential Ratio
    8.84029
  • Upside part of mean
    1.05254
  • Downside part of mean
    -1.00412
  • Upside SD
    0.12465
  • Downside SD
    0.11906
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.61578
  • Mean of criterion
    0.04842
  • SD of predictor
    0.38415
  • SD of criterion
    0.17301
  • Covariance
    0.04240
  • r
    0.63801
  • b (slope, estimate of beta)
    0.28734
  • a (intercept, estimate of alpha)
    -0.12852
  • Mean Square Error
    0.01789
  • DF error
    129.00000
  • t(b)
    9.41063
  • p(b)
    0.12338
  • t(a)
    -0.67619
  • p(a)
    0.53781
  • Lowerbound of 95% confidence interval for beta
    0.22693
  • Upperbound of 95% confidence interval for beta
    0.34775
  • Lowerbound of 95% confidence interval for alpha
    -0.50456
  • Upperbound of 95% confidence interval for alpha
    0.24753
  • Treynor index (mean / b)
    0.16851
  • Jensen alpha (a)
    -0.12852
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03358
  • SD
    0.17286
  • Sharpe ratio (Glass type estimate)
    0.19424
  • Sharpe ratio (Hedges UMVUE)
    0.19312
  • df
    130.00000
  • t
    0.13735
  • p
    0.49398
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.57803
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.96579
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.57879
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.96502
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.27942
  • Upside Potential Ratio
    8.69432
  • Upside part of mean
    1.04477
  • Downside part of mean
    -1.01119
  • Upside SD
    0.12336
  • Downside SD
    0.12017
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.54160
  • Mean of criterion
    0.03358
  • SD of predictor
    0.38537
  • SD of criterion
    0.17286
  • Covariance
    0.04229
  • r
    0.63490
  • b (slope, estimate of beta)
    0.28479
  • a (intercept, estimate of alpha)
    -0.12067
  • Mean Square Error
    0.01797
  • DF error
    129.00000
  • t(b)
    9.33359
  • p(b)
    0.12490
  • t(a)
    -0.63401
  • p(a)
    0.53546
  • VAR (95 Confidence Intrvl)
    0.01900
  • Lowerbound of 95% confidence interval for beta
    0.22442
  • Upperbound of 95% confidence interval for beta
    0.34516
  • Lowerbound of 95% confidence interval for alpha
    -0.49722
  • Upperbound of 95% confidence interval for alpha
    0.25589
  • Treynor index (mean / b)
    0.11790
  • Jensen alpha (a)
    -0.12067
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01729
  • Expected Shortfall on VaR
    0.02166
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00876
  • Expected Shortfall on VaR
    0.01659
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96985
  • Quartile 1
    0.99370
  • Median
    1.00062
  • Quartile 3
    1.00554
  • Maximum
    1.03918
  • Mean of quarter 1
    0.98711
  • Mean of quarter 2
    0.99791
  • Mean of quarter 3
    1.00278
  • Mean of quarter 4
    1.01343
  • Inter Quartile Range
    0.01185
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.97378
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.03918
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.01602
  • VaR(95%) (moments method)
    0.01276
  • Expected Shortfall (moments method)
    0.01693
  • Extreme Value Index (regression method)
    0.04335
  • VaR(95%) (regression method)
    0.01210
  • Expected Shortfall (regression method)
    0.01598
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00234
  • Quartile 1
    0.00941
  • Median
    0.02237
  • Quartile 3
    0.04312
  • Maximum
    0.10611
  • Mean of quarter 1
    0.00552
  • Mean of quarter 2
    0.01624
  • Mean of quarter 3
    0.03172
  • Mean of quarter 4
    0.08032
  • Inter Quartile Range
    0.03372
  • 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
    0.14286
  • Mean of outliers high
    0.10611
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -383387000
  • Max Equity Drawdown (num days)
    131
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.06244
  • Compounded annual return (geometric extrapolation)
    0.06341
  • Calmar ratio (compounded annual return / max draw down)
    0.59760
  • Compounded annual return / average of 25% largest draw downs
    0.78953
  • Compounded annual return / Expected Shortfall lognormal
    2.92835

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2014-02-01
Suggested Minimum Capital
$25,000
# Trades
35
# Profitable
18
% Profitable
51.4%
Net Dividends
$9,505
Correlation S&P500
0.385
Sharpe Ratio
-0.34
Sortino Ratio
-0.46
Beta
0.30
Alpha
-0.02

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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