Collective2 Collective2
Featured Strategy S2Prox0 Followed by live capital $152,000 Hypothetical

Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it
Watchlist Watchlist
These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast Share System Watchlist Watchlist More...

REVITAL777
(87997323)

Created by: RevitalHajaj RevitalHajaj
Started: 06/2014
Stocks
Last trade: 3,353 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. You can subscribe to this system for free.

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.

-0.8%
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.

(90.4%)
Max Drawdown
84
Num Trades
72.6%
Win Trades
0.8 : 1
Profit Factor
52.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014                                   (2.9%)+7.0%(8.9%)+9.5%+11.5%(16.5%)(6.8%)(10.1%)
2015(2.1%)+5.7%+0.3%(4.2%)(7.9%)(6.2%)(15.2%)(16.1%)(8.5%)+1.9%+6.0%(12.1%)(46.8%)
2016  -  (17.4%)+8.9%(16.6%)+13.2%+50.5%+16.1%(7.5%)+6.8%(4.8%)+2.2%+33.8%
2017+10.2%+6.1%+5.9%+3.7%+4.8%+19.8%+14.3%(6%)+11.8%+2.9%+6.4%+10.8%+135.3%
2018+17.3%+2.7%(4.9%)+1.2%+9.2%(4.5%)+2.7%+3.6%+5.6%(9.2%)(6.2%)(17.5%)(4.4%)
2019+23.9%+14.8%(19.7%)+3.3%(1.9%)(5.8%)(0.4%)(2.3%)+7.4%(4.6%)+2.9%(8.5%)+2.4%
2020(9.6%)+3.3%(61.8%)(16.4%)+27.8%+34.4%+2.7%+17.2%+5.3%(16.9%)+46.1%+9.5%(13.6%)
2021+1.1%+0.3%+29.7%(4.3%)+10.9%+3.1%(12.8%)(1.2%)(6.5%)(2.4%)(3.1%)+7.0%+17.1%
2022(4.4%)+9.0%(12.1%)(15.9%)(3.2%)(1.6%)+11.1%+3.8%(39.7%)+14.3%+19.8%+3.3%(27.8%)
2023+12.4%+3.6%(7.1%)(1.6%)(6.5%)+8.6%(1.6%)(4.1%)(10.8%)(7.6%)+23.5%+12.8%+17.2%
2024(16.1%)+2.3%(2.6%)(12.7%)                                                (27%)

Model Account Details

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

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/6/15 9:51 GM GENERAL MOTORS SHORT 400 36.25 2/20 14:00 37.69 0.76%
Trade id #92355830
Max drawdown($780)
Time2/13/15 8:08
Quant open-400
Worst price38.20
Drawdown as % of equity-0.76%
 ($584)
Includes Typical Broker Commissions trade costs of $8.00
2/6/15 9:39 BAC BANK OF AMERICA CORPORATION LONG 200 16.50 2/10 10:05 16.47 0.05%
Trade id #92355182
Max drawdown($50)
Time2/9/15 9:33
Quant open200
Worst price16.25
Drawdown as % of equity-0.05%
 ($10)
Includes Typical Broker Commissions trade costs of $4.00
2/6/15 10:45 MD PEDIATRIX MEDICAL GROUP INC LONG 150 71.23 2/6 15:57 70.34 0.22%
Trade id #92357966
Max drawdown($214)
Time2/6/15 12:46
Quant open150
Worst price69.80
Drawdown as % of equity-0.22%
 ($137)
Includes Typical Broker Commissions trade costs of $3.00
2/6/15 9:42 FB META PLATFORMS INC SHORT 900 75.04 2/6 15:56 74.36 0.41%
Trade id #92355396
Max drawdown($393)
Time2/6/15 12:25
Quant open-900
Worst price75.48
Drawdown as % of equity-0.41%
 $607
Includes Typical Broker Commissions trade costs of $8.00
10/31/14 11:23 MDBX LONG 500 14.45 2/6/15 9:52 1.73 6.6%
Trade id #90538654
Max drawdown($6,390)
Time2/6/15 9:46
Quant open500
Worst price1.67
Drawdown as % of equity-6.60%
 ($6,370)
Includes Typical Broker Commissions trade costs of $10.00
10/29/14 9:41 FB META PLATFORMS INC LONG 600 76.04 2/6/15 9:41 75.15 2.72%
Trade id #90489996
Max drawdown($2,422)
Time1/28/15 16:03
Quant open600
Worst price72.00
Drawdown as % of equity-2.72%
 ($541)
Includes Typical Broker Commissions trade costs of $8.50
10/30/14 12:03 TWTR TWITTER INC LONG 500 41.66 2/6/15 9:35 46.38 3.15%
Trade id #90515443
Max drawdown($2,795)
Time1/29/15 12:46
Quant open500
Worst price36.07
Drawdown as % of equity-3.15%
 $2,350
Includes Typical Broker Commissions trade costs of $10.00
10/31/14 11:44 PLUG PLUG POWER LONG 800 4.82 11/3 13:58 5.40 0.03%
Trade id #90539261
Max drawdown($40)
Time10/31/14 11:59
Quant open500
Worst price4.57
Drawdown as % of equity-0.03%
 $455
Includes Typical Broker Commissions trade costs of $10.50
10/30/14 11:31 NUS NU SKIN ENTERPRISES LONG 600 51.66 10/31 11:25 52.44 0.11%
Trade id #90514961
Max drawdown($126)
Time10/30/14 11:42
Quant open300
Worst price50.22
Drawdown as % of equity-0.11%
 $460
Includes Typical Broker Commissions trade costs of $8.50
10/20/14 15:30 TEVA TEVA PHARMACEUTICAL SHORT 1,500 52.70 10/30 11:28 55.80 3.94%
Trade id #90346889
Max drawdown($4,655)
Time10/30/14 11:25
Quant open-1,500
Worst price55.80
Drawdown as % of equity-3.94%
 ($4,673)
Includes Typical Broker Commissions trade costs of $17.50
10/29/14 9:51 TSLA TESLA INC. SHORT 100 238.54 10/30 10:58 237.39 0.16%
Trade id #90490302
Max drawdown($196)
Time10/30/14 9:39
Quant open-100
Worst price240.50
Drawdown as % of equity-0.16%
 $113
Includes Typical Broker Commissions trade costs of $2.00
10/30/14 10:01 NFLX NETFLIX LONG 1,071 52.64 10/30 10:57 52.81 0.18%
Trade id #90512549
Max drawdown($208)
Time10/30/14 10:05
Quant open150
Worst price374.60
Drawdown as % of equity-0.18%
 $177
Includes Typical Broker Commissions trade costs of $5.00
10/29/14 9:43 NFLX NETFLIX SHORT 714 53.69 10/30 9:38 53.35 0.12%
Trade id #90490032
Max drawdown($147)
Time10/29/14 9:50
Quant open-100
Worst price384.98
Drawdown as % of equity-0.12%
 $236
Includes Typical Broker Commissions trade costs of $5.00
10/28/14 10:24 MDBX LONG 500 12.80 10/30 9:34 13.25 0.23%
Trade id #90472841
Max drawdown($275)
Time10/29/14 15:07
Quant open500
Worst price12.25
Drawdown as % of equity-0.23%
 $215
Includes Typical Broker Commissions trade costs of $10.00
10/28/14 10:28 TWTR TWITTER INC LONG 500 42.66 10/29 9:49 43.14 0.14%
Trade id #90472965
Max drawdown($177)
Time10/28/14 10:39
Quant open500
Worst price42.30
Drawdown as % of equity-0.14%
 $230
Includes Typical Broker Commissions trade costs of $10.00
10/22/14 10:06 DDD 3D SYSTEMS LONG 200 38.01 10/28 15:55 38.91 0.3%
Trade id #90385389
Max drawdown($368)
Time10/23/14 9:59
Quant open200
Worst price36.17
Drawdown as % of equity-0.30%
 $176
Includes Typical Broker Commissions trade costs of $4.00
10/28/14 9:55 FB META PLATFORMS INC LONG 200 81.06 10/28 10:35 80.62 0.07%
Trade id #90472067
Max drawdown($90)
Time10/28/14 10:35
Quant open200
Worst price80.61
Drawdown as % of equity-0.07%
 ($92)
Includes Typical Broker Commissions trade costs of $4.00
10/22/14 14:34 TSLA TESLA INC. SHORT 150 231.07 10/27 12:01 227.68 0.82%
Trade id #90392209
Max drawdown($1,009)
Time10/24/14 9:39
Quant open-150
Worst price237.80
Drawdown as % of equity-0.82%
 $506
Includes Typical Broker Commissions trade costs of $3.00
10/23/14 9:44 FB META PLATFORMS INC SHORT 200 79.23 10/27 10:44 80.44 0.26%
Trade id #90407941
Max drawdown($313)
Time10/27/14 9:31
Quant open-200
Worst price80.80
Drawdown as % of equity-0.26%
 ($246)
Includes Typical Broker Commissions trade costs of $4.00
10/20/14 14:53 TWTR TWITTER INC SHORT 300 50.06 10/27 10:11 49.62 0.28%
Trade id #90346035
Max drawdown($348)
Time10/21/14 9:32
Quant open-200
Worst price52.15
Drawdown as % of equity-0.28%
 $126
Includes Typical Broker Commissions trade costs of $6.00
10/20/14 15:28 MBLY MOBILEYE GLOBAL INC. CLASS A SHORT 400 49.41 10/27 10:09 47.68 0.67%
Trade id #90346860
Max drawdown($840)
Time10/21/14 10:35
Quant open-300
Worst price52.33
Drawdown as % of equity-0.67%
 $686
Includes Typical Broker Commissions trade costs of $8.00
10/22/14 10:05 BABA ALIBABA GROUP HOLDING LIMITED LONG 100 93.37 10/22 14:38 92.07 0.11%
Trade id #90385301
Max drawdown($136)
Time10/22/14 14:02
Quant open100
Worst price92.01
Drawdown as % of equity-0.11%
 ($132)
Includes Typical Broker Commissions trade costs of $2.00
10/21/14 10:13 NUS NU SKIN ENTERPRISES LONG 300 46.54 10/21 11:21 48.57 0.09%
Trade id #90362595
Max drawdown($108)
Time10/21/14 10:18
Quant open300
Worst price46.18
Drawdown as % of equity-0.09%
 $603
Includes Typical Broker Commissions trade costs of $6.00
10/20/14 12:07 NUS NU SKIN ENTERPRISES LONG 300 44.54 10/21 9:57 46.00 0.07%
Trade id #90342505
Max drawdown($87)
Time10/20/14 12:19
Quant open300
Worst price44.25
Drawdown as % of equity-0.07%
 $432
Includes Typical Broker Commissions trade costs of $6.00
10/20/14 11:00 TSLA TESLA INC. SHORT 200 229.33 10/20 14:03 231.32 0.36%
Trade id #90341244
Max drawdown($454)
Time10/20/14 12:23
Quant open-200
Worst price231.60
Drawdown as % of equity-0.36%
 ($402)
Includes Typical Broker Commissions trade costs of $4.00
10/17/14 9:42 TEVA TEVA PHARMACEUTICAL SHORT 1,000 52.00 10/20 13:36 51.39 0.8%
Trade id #90313085
Max drawdown($1,000)
Time10/17/14 10:08
Quant open-1,000
Worst price53.00
Drawdown as % of equity-0.80%
 $605
Includes Typical Broker Commissions trade costs of $5.00
10/17/14 13:37 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 4 1010.00 10/20 9:32 1057.00 0.05%
Trade id #90319184
Max drawdown($68)
Time10/17/14 13:39
Quant open100
Worst price39.72
Drawdown as % of equity-0.05%
 $188
Includes Typical Broker Commissions trade costs of $0.08
10/17/14 9:52 TSLA TESLA INC. LONG 300 233.33 10/17 13:03 230.65 0.64%
Trade id #90313477
Max drawdown($804)
Time10/17/14 13:03
Quant open0
Worst price230.65
Drawdown as % of equity-0.64%
 ($810)
Includes Typical Broker Commissions trade costs of $6.00
10/7/14 10:36 DDD 3D SYSTEMS LONG 800 41.51 10/17 9:38 41.61 0.51%
Trade id #90110778
Max drawdown($569)
Time10/13/14 10:48
Quant open100
Worst price38.70
Drawdown as % of equity-0.51%
 $61
Includes Typical Broker Commissions trade costs of $16.00
10/16/14 11:33 TWTR TWITTER INC LONG 400 49.03 10/17 9:38 49.70 0.28%
Trade id #90291838
Max drawdown($348)
Time10/16/14 14:50
Quant open400
Worst price48.16
Drawdown as % of equity-0.28%
 $260
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    6/9/2014
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    3604.44
  • Age
    120 months ago
  • What it trades
    Stocks
  • # Trades
    84
  • # Profitable
    61
  • % Profitable
    72.60%
  • Avg trade duration
    333.5 days
  • Max peak-to-valley drawdown
    90.44%
  • drawdown period
    Oct 05, 2018 - March 23, 2020
  • Annual Return (Compounded)
    -0.8%
  • Avg win
    $1,113
  • Avg loss
    $5,592
  • Model Account Values (Raw)
  • Cash
    $55,315
  • Margin Used
    $0
  • Buying Power
    $15,900
  • Ratios
  • W:L ratio
    0.84:1
  • Sharpe Ratio
    0.19
  • Sortino Ratio
    0.4
  • Calmar Ratio
    0.005
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -162.42%
  • Correlation to SP500
    0.53570
  • Return Percent SP500 (cumu) during strategy life
    158.72%
  • Return Statistics
  • Ann Return (w trading costs)
    -0.8%
  • Slump
  • Current Slump as Pcnt Equity
    124.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.56%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.008%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -0.7%
  • 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)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $5,592
  • Avg Win
    $1,114
  • Sum Trade PL (losers)
    $128,625.000
  • Age
  • Num Months filled monthly returns table
    119
  • Win / Loss
  • Sum Trade PL (winners)
    $67,935.000
  • # Winners
    61
  • Num Months Winners
    62
  • Dividends
  • Dividends Received in Model Acct
    39594
  • Win / Loss
  • # Losers
    23
  • % Winners
    72.6%
  • Frequency
  • Avg Position Time (mins)
    480201.00
  • Avg Position Time (hrs)
    8003.35
  • Avg Trade Length
    333.5 days
  • Last Trade Ago
    3348
  • Regression
  • Alpha
    -0.01
  • Beta
    2.33
  • Treynor Index
    0.02
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    27.49
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    56.72
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.03
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.07
  • Avg(MAE) / Avg(PL) - All trades
    -6.698
  • 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
    0.13
  • Avg(MAE) / Avg(PL) - Winning trades
    1.029
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.284
  • Hold-and-Hope Ratio
    -0.318
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.50037
  • SD
    1.17519
  • Sharpe ratio (Glass type estimate)
    0.42578
  • Sharpe ratio (Hedges UMVUE)
    0.41231
  • df
    24.00000
  • t
    0.61456
  • p
    0.27231
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.94173
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.78460
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.95059
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.77521
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.94881
  • Upside Potential Ratio
    2.99649
  • Upside part of mean
    1.58025
  • Downside part of mean
    -1.07988
  • Upside SD
    1.03372
  • Downside SD
    0.52737
  • N nonnegative terms
    10.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.39029
  • Mean of criterion
    0.50037
  • SD of predictor
    0.27251
  • SD of criterion
    1.17519
  • Covariance
    0.13669
  • r
    0.42681
  • b (slope, estimate of beta)
    1.84057
  • a (intercept, estimate of alpha)
    -0.21799
  • Mean Square Error
    1.17859
  • DF error
    23.00000
  • t(b)
    2.26340
  • p(b)
    0.01668
  • t(a)
    -0.26702
  • p(a)
    0.60408
  • Lowerbound of 95% confidence interval for beta
    0.15837
  • Upperbound of 95% confidence interval for beta
    3.52279
  • Lowerbound of 95% confidence interval for alpha
    -1.90677
  • Upperbound of 95% confidence interval for alpha
    1.47080
  • Treynor index (mean / b)
    0.27186
  • Jensen alpha (a)
    -0.21799
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03131
  • SD
    1.01050
  • Sharpe ratio (Glass type estimate)
    -0.03098
  • Sharpe ratio (Hedges UMVUE)
    -0.03000
  • df
    24.00000
  • t
    -0.04472
  • p
    0.51765
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.38864
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.32722
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.38793
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.32793
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.04931
  • Upside Potential Ratio
    1.92735
  • Upside part of mean
    1.22360
  • Downside part of mean
    -1.25491
  • Upside SD
    0.75981
  • Downside SD
    0.63486
  • N nonnegative terms
    10.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.35002
  • Mean of criterion
    -0.03131
  • SD of predictor
    0.26297
  • SD of criterion
    1.01050
  • Covariance
    0.12140
  • r
    0.45687
  • b (slope, estimate of beta)
    1.75560
  • a (intercept, estimate of alpha)
    -0.64581
  • Mean Square Error
    0.84311
  • DF error
    23.00000
  • t(b)
    2.46317
  • p(b)
    0.01084
  • t(a)
    -0.94510
  • p(a)
    0.82278
  • Lowerbound of 95% confidence interval for beta
    0.28118
  • Upperbound of 95% confidence interval for beta
    3.23002
  • Lowerbound of 95% confidence interval for alpha
    -2.05937
  • Upperbound of 95% confidence interval for alpha
    0.76775
  • Treynor index (mean / b)
    -0.01783
  • Jensen alpha (a)
    -0.64581
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.38272
  • Expected Shortfall on VaR
    0.45050
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.23229
  • Expected Shortfall on VaR
    0.39224
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    25.00000
  • Minimum
    0.61197
  • Quartile 1
    0.85432
  • Median
    0.96756
  • Quartile 3
    1.10211
  • Maximum
    2.00604
  • Mean of quarter 1
    0.73680
  • Mean of quarter 2
    0.94370
  • Mean of quarter 3
    1.02919
  • Mean of quarter 4
    1.51762
  • Inter Quartile Range
    0.24779
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.12000
  • Mean of outliers high
    1.80098
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.55446
  • VaR(95%) (moments method)
    0.29056
  • Expected Shortfall (moments method)
    0.32783
  • Extreme Value Index (regression method)
    -0.99798
  • VaR(95%) (regression method)
    0.32233
  • Expected Shortfall (regression method)
    0.34253
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01953
  • Quartile 1
    0.05741
  • Median
    0.29181
  • Quartile 3
    0.55356
  • Maximum
    0.67350
  • Mean of quarter 1
    0.01953
  • Mean of quarter 2
    0.07004
  • Mean of quarter 3
    0.51359
  • Mean of quarter 4
    0.67350
  • Inter Quartile Range
    0.49616
  • 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)
    -0.00339
  • Compounded annual return (geometric extrapolation)
    -0.00340
  • Calmar ratio (compounded annual return / max draw down)
    -0.00504
  • Compounded annual return / average of 25% largest draw downs
    -0.00504
  • Compounded annual return / Expected Shortfall lognormal
    -0.00754
  • 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
    0.83077
  • SD
    1.39090
  • Sharpe ratio (Glass type estimate)
    0.59729
  • Sharpe ratio (Hedges UMVUE)
    0.59648
  • df
    557.00000
  • t
    0.87166
  • p
    0.19188
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.74642
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.94054
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.74699
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.93996
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.09471
  • Upside Potential Ratio
    7.01090
  • Upside part of mean
    5.32054
  • Downside part of mean
    -4.48977
  • Upside SD
    1.16527
  • Downside SD
    0.75889
  • N nonnegative terms
    274.00000
  • N negative terms
    284.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    558.00000
  • Mean of predictor
    0.49754
  • Mean of criterion
    0.83077
  • SD of predictor
    0.37587
  • SD of criterion
    1.39090
  • Covariance
    0.35034
  • r
    0.67011
  • b (slope, estimate of beta)
    2.47970
  • a (intercept, estimate of alpha)
    -0.40300
  • Mean Square Error
    1.06780
  • DF error
    556.00000
  • t(b)
    21.28750
  • p(b)
    0.00000
  • t(a)
    -0.56724
  • p(a)
    0.71461
  • Lowerbound of 95% confidence interval for beta
    2.25090
  • Upperbound of 95% confidence interval for beta
    2.70851
  • Lowerbound of 95% confidence interval for alpha
    -1.79847
  • Upperbound of 95% confidence interval for alpha
    0.99248
  • Treynor index (mean / b)
    0.33503
  • Jensen alpha (a)
    -0.40299
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02355
  • SD
    1.31388
  • Sharpe ratio (Glass type estimate)
    -0.01792
  • Sharpe ratio (Hedges UMVUE)
    -0.01790
  • df
    557.00000
  • t
    -0.02615
  • p
    0.51043
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.36094
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.32510
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.36091
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.32512
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.02411
  • Upside Potential Ratio
    4.97862
  • Upside part of mean
    4.86162
  • Downside part of mean
    -4.88517
  • Upside SD
    0.87729
  • Downside SD
    0.97650
  • N nonnegative terms
    274.00000
  • N negative terms
    284.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    558.00000
  • Mean of predictor
    0.42753
  • Mean of criterion
    -0.02355
  • SD of predictor
    0.37256
  • SD of criterion
    1.31388
  • Covariance
    0.30610
  • r
    0.62532
  • b (slope, estimate of beta)
    2.20526
  • a (intercept, estimate of alpha)
    -0.96636
  • Mean Square Error
    1.05314
  • DF error
    556.00000
  • t(b)
    18.89490
  • p(b)
    0.00000
  • t(a)
    -1.37079
  • p(a)
    0.91450
  • Lowerbound of 95% confidence interval for beta
    1.97601
  • Upperbound of 95% confidence interval for beta
    2.43451
  • Lowerbound of 95% confidence interval for alpha
    -2.35108
  • Upperbound of 95% confidence interval for alpha
    0.41836
  • Treynor index (mean / b)
    -0.01068
  • Jensen alpha (a)
    -0.96636
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12507
  • Expected Shortfall on VaR
    0.15386
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03900
  • Expected Shortfall on VaR
    0.08472
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    558.00000
  • Minimum
    0.35450
  • Quartile 1
    0.98474
  • Median
    1.00000
  • Quartile 3
    1.01801
  • Maximum
    2.32524
  • Mean of quarter 1
    0.93732
  • Mean of quarter 2
    0.99456
  • Mean of quarter 3
    1.00703
  • Mean of quarter 4
    1.07417
  • Inter Quartile Range
    0.03327
  • Number outliers low
    48.00000
  • Percentage of outliers low
    0.08602
  • Mean of outliers low
    0.87966
  • Number of outliers high
    43.00000
  • Percentage of outliers high
    0.07706
  • Mean of outliers high
    1.15532
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.49462
  • VaR(95%) (moments method)
    0.05670
  • Expected Shortfall (moments method)
    0.13056
  • Extreme Value Index (regression method)
    0.32700
  • VaR(95%) (regression method)
    0.05142
  • Expected Shortfall (regression method)
    0.09422
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00191
  • Quartile 1
    0.01069
  • Median
    0.05878
  • Quartile 3
    0.10818
  • Maximum
    0.89925
  • Mean of quarter 1
    0.00467
  • Mean of quarter 2
    0.03045
  • Mean of quarter 3
    0.09090
  • Mean of quarter 4
    0.57873
  • Inter Quartile Range
    0.09749
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.18182
  • Mean of outliers high
    0.81332
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -175.16000
  • VaR(95%) (moments method)
    0.32980
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.84589
  • VaR(95%) (regression method)
    1.47208
  • Expected Shortfall (regression method)
    1.48252
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00438
  • Compounded annual return (geometric extrapolation)
    0.00437
  • Calmar ratio (compounded annual return / max draw down)
    0.00486
  • Compounded annual return / average of 25% largest draw downs
    0.00755
  • Compounded annual return / Expected Shortfall lognormal
    0.02840
  • 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
    1.90097
  • SD
    2.61000
  • Sharpe ratio (Glass type estimate)
    0.72834
  • Sharpe ratio (Hedges UMVUE)
    0.72413
  • df
    130.00000
  • t
    0.51502
  • p
    0.47744
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.04621
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.50024
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.04907
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.49734
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.40891
  • Upside Potential Ratio
    8.08808
  • Upside part of mean
    10.91280
  • Downside part of mean
    -9.01187
  • Upside SD
    2.22562
  • Downside SD
    1.34925
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.28378
  • Mean of criterion
    1.90097
  • SD of predictor
    0.66385
  • SD of criterion
    2.61000
  • Covariance
    1.29056
  • r
    0.74485
  • b (slope, estimate of beta)
    2.92849
  • a (intercept, estimate of alpha)
    -1.85856
  • Mean Square Error
    3.05622
  • DF error
    129.00000
  • t(b)
    12.67910
  • p(b)
    0.07432
  • t(a)
    -0.74640
  • p(a)
    0.54172
  • Lowerbound of 95% confidence interval for beta
    2.47151
  • Upperbound of 95% confidence interval for beta
    3.38546
  • Lowerbound of 95% confidence interval for alpha
    -6.78519
  • Upperbound of 95% confidence interval for alpha
    3.06807
  • Treynor index (mean / b)
    0.64913
  • Jensen alpha (a)
    -1.85856
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.01519
  • SD
    2.43756
  • Sharpe ratio (Glass type estimate)
    -0.41648
  • Sharpe ratio (Hedges UMVUE)
    -0.41407
  • df
    130.00000
  • t
    -0.29450
  • p
    0.51291
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.18803
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.35651
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.18634
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.35819
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.55327
  • Upside Potential Ratio
    5.09308
  • Upside part of mean
    9.34531
  • Downside part of mean
    -10.36050
  • Upside SD
    1.59166
  • Downside SD
    1.83490
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.06735
  • Mean of criterion
    -1.01519
  • SD of predictor
    0.65373
  • SD of criterion
    2.43756
  • Covariance
    1.10391
  • r
    0.69275
  • b (slope, estimate of beta)
    2.58306
  • a (intercept, estimate of alpha)
    -3.77221
  • Mean Square Error
    3.11417
  • DF error
    129.00000
  • t(b)
    10.91020
  • p(b)
    0.09737
  • t(a)
    -1.50382
  • p(a)
    0.58332
  • VAR (95 Confidence Intrvl)
    0.12500
  • Lowerbound of 95% confidence interval for beta
    2.11463
  • Upperbound of 95% confidence interval for beta
    3.05149
  • Lowerbound of 95% confidence interval for alpha
    -8.73520
  • Upperbound of 95% confidence interval for alpha
    1.19077
  • Treynor index (mean / b)
    -0.39302
  • Jensen alpha (a)
    -3.77221
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.22243
  • Expected Shortfall on VaR
    0.26874
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08381
  • Expected Shortfall on VaR
    0.17347
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.35450
  • Quartile 1
    0.95894
  • Median
    0.99975
  • Quartile 3
    1.03821
  • Maximum
    2.32524
  • Mean of quarter 1
    0.87966
  • Mean of quarter 2
    0.98403
  • Mean of quarter 3
    1.01434
  • Mean of quarter 4
    1.15163
  • Inter Quartile Range
    0.07927
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.71317
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.46148
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.37702
  • VaR(95%) (moments method)
    0.11813
  • Expected Shortfall (moments method)
    0.22120
  • Extreme Value Index (regression method)
    0.57581
  • VaR(95%) (regression method)
    0.11279
  • Expected Shortfall (regression method)
    0.27302
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.08372
  • Quartile 1
    0.32321
  • Median
    0.56269
  • Quartile 3
    0.71799
  • Maximum
    0.87328
  • Mean of quarter 1
    0.08372
  • Mean of quarter 2
    0.56269
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.87328
  • Inter Quartile Range
    0.39478
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -331208000
  • Max Equity Drawdown (num days)
    535
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.77920
  • Compounded annual return (geometric extrapolation)
    -0.62741
  • Calmar ratio (compounded annual return / max draw down)
    -0.71846
  • Compounded annual return / average of 25% largest draw downs
    -0.71846
  • Compounded annual return / Expected Shortfall lognormal
    -2.33469

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2014-06-09
Suggested Minimum Capital
$25,000
# Trades
84
# Profitable
61
% Profitable
72.6%
Net Dividends
$39,593
Correlation S&P500
0.536
Sharpe Ratio
0.19
Sortino Ratio
0.40
Beta
2.33
Alpha
-0.01

Latest Activity

#PERSONNAME#
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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Mark as Private Keep Public

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.