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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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Omega Gold
(88453147)

Created by: HP HP
Started: 07/2014
Futures
Last trade: 3,192 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 $250.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

-
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(100.0%)
Max Drawdown
174
Num Trades
66.7%
Win Trades
0.5 : 1
Profit Factor
7.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014                                          +8.8%+7.1%+13.2%+6.3%(15.5%)+44.0%+70.7%
2015+4.6%+8.2%+5.4%(10.1%)+8.4%(52.9%)(344.9%)  -    -    -    -    -  (234.2%)
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

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

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

System developer has asked us to delay this information by 100 hours.

Trading Record

This strategy has placed 147 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3422 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/1/15 9:56 QGCQ5 Gold 100 oz LONG 40 1199.7 7/31 9:10 1093.1 243.09%
Trade id #94726362
Max drawdown($509,500)
Time7/23/15 22:07
Quant open40
Worst price1072.3
Drawdown as % of equity243.09%
 ($426,620)
Includes Typical Broker Commissions trade costs of $320.00
5/19/15 10:21 QGCM5 Gold 100 oz LONG 7 1195.7 5/30 9:11 1193.6 4.7%
Trade id #94504189
Max drawdown($9,685)
Time5/28/15 10:01
Quant open6
Worst price1179.6
Drawdown as % of equity-4.70%
 ($1,576)
Includes Typical Broker Commissions trade costs of $56.00
5/14/15 4:25 QGCM5 Gold 100 oz SHORT 10 1218.7 5/15 7:00 1214.4 4.41%
Trade id #94417570
Max drawdown($9,049)
Time5/14/15 10:00
Quant open-10
Worst price1227.7
Drawdown as % of equity-4.41%
 $4,170
Includes Typical Broker Commissions trade costs of $80.00
5/12/15 12:49 QGCM5 Gold 100 oz LONG 27 1193.4 5/14 4:25 1215.4 5.59%
Trade id #94375494
Max drawdown($8,190)
Time5/12/15 21:04
Quant open27
Worst price1190.4
Drawdown as % of equity-5.59%
 $59,214
Includes Typical Broker Commissions trade costs of $216.00
5/7/15 4:22 QGCM5 Gold 100 oz SHORT 18 1182.1 5/12 12:49 1193.4 15.38%
Trade id #94291604
Max drawdown($25,560)
Time5/12/15 6:11
Quant open-18
Worst price1196.3
Drawdown as % of equity-15.38%
 ($20,484)
Includes Typical Broker Commissions trade costs of $144.00
5/5/15 11:29 QGCM5 Gold 100 oz LONG 12 1194.5 5/7 4:22 1182.1 9.78%
Trade id #94251411
Max drawdown($16,680)
Time5/7/15 3:56
Quant open12
Worst price1180.6
Drawdown as % of equity-9.78%
 ($14,976)
Includes Typical Broker Commissions trade costs of $96.00
4/30/15 15:32 QGCM5 Gold 100 oz SHORT 12 1185.4 5/5 11:29 1194.5 9.15%
Trade id #94174322
Max drawdown($16,680)
Time5/5/15 9:57
Quant open-12
Worst price1199.3
Drawdown as % of equity-9.15%
 ($11,016)
Includes Typical Broker Commissions trade costs of $96.00
4/30/15 15:20 QGCK5 Gold 100 oz SHORT 6 1181.7 4/30 15:21 1183.5 0.55%
Trade id #94173933
Max drawdown($1,080)
Time4/30/15 15:21
Quant open0
Worst price1183.5
Drawdown as % of equity-0.55%
 ($1,128)
Includes Typical Broker Commissions trade costs of $48.00
4/27/15 12:16 QGCK5 Gold 100 oz LONG 6 1202.5 4/30 9:09 1187.6 4.37%
Trade id #94088061
Max drawdown($8,940)
Time4/30/15 9:02
Quant open6
Worst price1187.6
Drawdown as % of equity-4.37%
 ($8,988)
Includes Typical Broker Commissions trade costs of $48.00
4/27/15 7:45 QGCK5 Gold 100 oz SHORT 4 1187.9 4/27 12:15 1202.5 2.88%
Trade id #94079972
Max drawdown($5,919)
Time4/27/15 12:10
Quant open-4
Worst price1202.7
Drawdown as % of equity-2.88%
 ($5,872)
Includes Typical Broker Commissions trade costs of $32.00
4/22/15 12:50 QGCJ5 Gold 100 oz SHORT 8 1187.4 4/24 11:36 1176.6 3.84%
Trade id #94008362
Max drawdown($7,659)
Time4/23/15 14:40
Quant open-8
Worst price1197.0
Drawdown as % of equity-3.84%
 $8,596
Includes Typical Broker Commissions trade costs of $64.00
4/22/15 2:56 QGCJ5 Gold 100 oz LONG 5 1203.5 4/22 12:50 1187.5 4.51%
Trade id #93995169
Max drawdown($9,150)
Time4/22/15 10:54
Quant open5
Worst price1185.2
Drawdown as % of equity-4.51%
 ($8,040)
Includes Typical Broker Commissions trade costs of $40.00
4/20/15 16:23 QGCJ5 Gold 100 oz SHORT 3 1194.6 4/22 2:56 1203.5 1.26%
Trade id #93958843
Max drawdown($2,670)
Time4/22/15 2:56
Quant open0
Worst price1203.5
Drawdown as % of equity-1.26%
 ($2,694)
Includes Typical Broker Commissions trade costs of $24.00
4/15/15 14:22 QGCJ5 Gold 100 oz LONG 3 1198.2 4/20 16:23 1194.6 1.02%
Trade id #93873854
Max drawdown($2,160)
Time4/20/15 10:47
Quant open3
Worst price1191.0
Drawdown as % of equity-1.02%
 ($1,104)
Includes Typical Broker Commissions trade costs of $24.00
3/31/15 5:23 QGCJ5 Gold 100 oz LONG 1 1179.7 3/31 9:01 1187.4 0.07%
Trade id #93587574
Max drawdown($150)
Time3/31/15 5:34
Quant open1
Worst price1178.2
Drawdown as % of equity-0.07%
 $762
Includes Typical Broker Commissions trade costs of $8.00
3/23/15 3:40 QGCJ5 Gold 100 oz SHORT 30 1201.0 3/30 2:28 1196.8 31.29%
Trade id #93405203
Max drawdown($55,540)
Time3/26/15 4:10
Quant open-30
Worst price1219.5
Drawdown as % of equity-31.29%
 $12,290
Includes Typical Broker Commissions trade costs of $240.00
3/19/15 6:37 QGCJ5 Gold 100 oz LONG 6 1161.3 3/19 11:29 1168.1 0.84%
Trade id #93338162
Max drawdown($1,650)
Time3/19/15 8:16
Quant open6
Worst price1158.6
Drawdown as % of equity-0.84%
 $4,002
Includes Typical Broker Commissions trade costs of $48.00
3/11/15 8:44 QGCJ5 Gold 100 oz LONG 3 1150.9 3/18 14:21 1171.0 1.47%
Trade id #93144323
Max drawdown($2,800)
Time3/17/15 9:21
Quant open3
Worst price1141.6
Drawdown as % of equity-1.47%
 $5,996
Includes Typical Broker Commissions trade costs of $24.00
3/10/15 8:18 QGCJ5 Gold 100 oz SHORT 5 1166.4 3/10 11:49 1163.8 0.84%
Trade id #93112207
Max drawdown($1,600)
Time3/10/15 9:37
Quant open-5
Worst price1169.6
Drawdown as % of equity-0.84%
 $1,260
Includes Typical Broker Commissions trade costs of $40.00
3/6/15 13:35 QGCJ5 Gold 100 oz SHORT 12 1165.9 3/10 3:15 1159.7 5.92%
Trade id #93027430
Max drawdown($10,240)
Time3/9/15 6:57
Quant open-12
Worst price1174.4
Drawdown as % of equity-5.92%
 $7,304
Includes Typical Broker Commissions trade costs of $96.00
3/5/15 12:38 QGCJ5 Gold 100 oz LONG 16 1178.8 3/6 13:34 1163.9 13.47%
Trade id #92960509
Max drawdown($25,240)
Time3/6/15 13:13
Quant open16
Worst price1163.0
Drawdown as % of equity-13.47%
 ($23,928)
Includes Typical Broker Commissions trade costs of $128.00
3/5/15 6:32 QGCJ5 Gold 100 oz LONG 1 1199.1 3/5 10:54 1206.4 0.01%
Trade id #92947404
Max drawdown($20)
Time3/5/15 6:39
Quant open1
Worst price1198.9
Drawdown as % of equity-0.01%
 $722
Includes Typical Broker Commissions trade costs of $8.00
3/3/15 11:56 QGCJ5 Gold 100 oz LONG 3 1200.8 3/4 13:04 1202.0 0.46%
Trade id #92890833
Max drawdown($940)
Time3/4/15 10:08
Quant open3
Worst price1197.7
Drawdown as % of equity-0.46%
 $326
Includes Typical Broker Commissions trade costs of $24.00
3/2/15 16:44 QGCJ5 Gold 100 oz LONG 3 1200.1 3/3 2:18 1208.1 0.82%
Trade id #92863667
Max drawdown($1,660)
Time3/2/15 21:13
Quant open3
Worst price1194.6
Drawdown as % of equity-0.82%
 $2,366
Includes Typical Broker Commissions trade costs of $24.00
2/25/15 11:44 QGCH5 Gold 100 oz LONG 1 1204.5 2/26 3:05 1212.6 0.18%
Trade id #92753034
Max drawdown($360)
Time2/25/15 13:07
Quant open1
Worst price1200.9
Drawdown as % of equity-0.18%
 $802
Includes Typical Broker Commissions trade costs of $8.00
2/23/15 13:22 QGCH5 Gold 100 oz LONG 4 1195.5 2/25 1:28 1202.0 1.21%
Trade id #92694703
Max drawdown($2,400)
Time2/24/15 10:03
Quant open4
Worst price1189.5
Drawdown as % of equity-1.21%
 $2,558
Includes Typical Broker Commissions trade costs of $32.00
2/19/15 10:46 QGCH5 Gold 100 oz LONG 9 1200.7 2/23 10:16 1205.8 3.05%
Trade id #92625546
Max drawdown($5,953)
Time2/23/15 3:53
Quant open6
Worst price1190.8
Drawdown as % of equity-3.05%
 $4,478
Includes Typical Broker Commissions trade costs of $72.00
2/17/15 2:41 QGCH5 Gold 100 oz LONG 8 1209.1 2/19 1:35 1211.8 4.96%
Trade id #92557493
Max drawdown($9,340)
Time2/18/15 11:33
Quant open8
Worst price1197.4
Drawdown as % of equity-4.96%
 $2,146
Includes Typical Broker Commissions trade costs of $64.00
2/13/15 7:34 QGCH5 Gold 100 oz LONG 1 1224.2 2/13 9:52 1229.3 0.01%
Trade id #92510430
Max drawdown($20)
Time2/13/15 7:50
Quant open1
Worst price1224.0
Drawdown as % of equity-0.01%
 $502
Includes Typical Broker Commissions trade costs of $8.00
2/6/15 8:30 QGCH5 Gold 100 oz LONG 15 1231.5 2/13 1:56 1232.9 8.61%
Trade id #92352458
Max drawdown($15,521)
Time2/11/15 16:53
Quant open9
Worst price1216.1
Drawdown as % of equity-8.61%
 $1,910
Includes Typical Broker Commissions trade costs of $120.00
Next

Statistics

  • Strategy began
    7/7/2014
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    3575.63
  • Age
    119 months ago
  • What it trades
    Futures
  • # Trades
    174
  • # Profitable
    116
  • % Profitable
    66.70%
  • Avg trade duration
    1.2 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    July 07, 2015 - July 31, 2015
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $2,355
  • Avg loss
    $10,145
  • Model Account Values (Raw)
  • Cash
    ($215,189)
  • Margin Used
    $0
  • Buying Power
    ($215,189)
  • Ratios
  • W:L ratio
    0.46:1
  • Sharpe Ratio
    -0.68
  • Sortino Ratio
    -0.83
  • Calmar Ratio
    -0.99
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -351.63%
  • Correlation to SP500
    0.02590
  • Return Percent SP500 (cumu) during strategy life
    155.27%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.90%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    357
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $10,146
  • Avg Win
    $2,356
  • Sum Trade PL (losers)
    $588,460.000
  • Age
  • Num Months filled monthly returns table
    13
  • Win / Loss
  • Sum Trade PL (winners)
    $273,271.000
  • # Winners
    116
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    58
  • % Winners
    66.7%
  • Frequency
  • Avg Position Time (mins)
    1684.28
  • Avg Position Time (hrs)
    28.07
  • Avg Trade Length
    1.2 days
  • Last Trade Ago
    3187
  • Regression
  • Alpha
    0.00
  • Beta
    0.32
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    38.24
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    94.95
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -2.81
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -3.115
  • 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
    0.11
  • Avg(MAE) / Avg(PL) - Winning trades
    1.039
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.213
  • Hold-and-Hope Ratio
    -0.321
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.99981
  • SD
    1.12021
  • Sharpe ratio (Glass type estimate)
    -0.89252
  • Sharpe ratio (Hedges UMVUE)
    -0.84990
  • df
    16.00000
  • t
    -1.06231
  • p
    0.62834
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.55418
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.79587
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.52272
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.82292
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.91181
  • Upside Potential Ratio
    0.50477
  • Upside part of mean
    0.55349
  • Downside part of mean
    -1.55329
  • Upside SD
    0.24906
  • Downside SD
    1.09651
  • N nonnegative terms
    9.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.09975
  • Mean of criterion
    -0.99981
  • SD of predictor
    0.13874
  • SD of criterion
    1.12021
  • Covariance
    0.07438
  • r
    0.47858
  • b (slope, estimate of beta)
    3.86404
  • a (intercept, estimate of alpha)
    -1.38523
  • Mean Square Error
    1.03195
  • DF error
    15.00000
  • t(b)
    2.11100
  • p(b)
    0.20739
  • t(a)
    -1.58712
  • p(a)
    0.73548
  • Lowerbound of 95% confidence interval for beta
    -0.03744
  • Upperbound of 95% confidence interval for beta
    7.76552
  • Lowerbound of 95% confidence interval for alpha
    -3.24555
  • Upperbound of 95% confidence interval for alpha
    0.47509
  • Treynor index (mean / b)
    -0.25875
  • Jensen alpha (a)
    -1.38523
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -8.15347
  • SD
    8.71808
  • Sharpe ratio (Glass type estimate)
    -0.93524
  • Sharpe ratio (Hedges UMVUE)
    -0.89058
  • df
    16.00000
  • t
    -1.11315
  • p
    0.63405
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.59907
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.75648
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.56594
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.78478
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.92906
  • Upside Potential Ratio
    0.05966
  • Upside part of mean
    0.52361
  • Downside part of mean
    -8.67708
  • Upside SD
    0.23459
  • Downside SD
    8.77604
  • N nonnegative terms
    9.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.09012
  • Mean of criterion
    -8.15347
  • SD of predictor
    0.13862
  • SD of criterion
    8.71808
  • Covariance
    0.75919
  • r
    0.62820
  • b (slope, estimate of beta)
    39.50800
  • a (intercept, estimate of alpha)
    -11.71400
  • Mean Square Error
    49.07810
  • DF error
    15.00000
  • t(b)
    3.12705
  • p(b)
    0.12821
  • t(a)
    -1.95397
  • p(a)
    0.77674
  • Lowerbound of 95% confidence interval for beta
    12.57870
  • Upperbound of 95% confidence interval for beta
    66.43740
  • Lowerbound of 95% confidence interval for alpha
    -24.49200
  • Upperbound of 95% confidence interval for alpha
    1.06401
  • Treynor index (mean / b)
    -0.20638
  • Jensen alpha (a)
    -11.71400
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.99193
  • Expected Shortfall on VaR
    0.99620
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.28191
  • Expected Shortfall on VaR
    0.59897
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.00003
  • Quartile 1
    1.00000
  • Median
    1.00578
  • Quartile 3
    1.10693
  • Maximum
    1.15275
  • Mean of quarter 1
    0.56363
  • Mean of quarter 2
    1.00145
  • Mean of quarter 3
    1.06828
  • Mean of quarter 4
    1.13153
  • Inter Quartile Range
    0.10693
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.17647
  • Mean of outliers low
    0.31126
  • 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)
    -0.48832
  • VaR(95%) (regression method)
    0.83698
  • Expected Shortfall (regression method)
    1.04657
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.99999
  • Quartile 1
    0.99999
  • Median
    0.99999
  • Quartile 3
    0.99999
  • Maximum
    0.99999
  • 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)
    -0.70588
  • Compounded annual return (geometric extrapolation)
    -0.99970
  • Calmar ratio (compounded annual return / max draw down)
    -0.99971
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.00352
  • 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
    -1.40753
  • SD
    1.43495
  • Sharpe ratio (Glass type estimate)
    -0.98089
  • Sharpe ratio (Hedges UMVUE)
    -0.97898
  • df
    386.00000
  • t
    -1.19214
  • p
    0.88303
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.59442
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.63387
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.59312
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.63515
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.13052
  • Upside Potential Ratio
    2.04957
  • Upside part of mean
    2.55178
  • Downside part of mean
    -3.95931
  • Upside SD
    0.71499
  • Downside SD
    1.24503
  • N nonnegative terms
    146.00000
  • N negative terms
    241.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    387.00000
  • Mean of predictor
    0.12471
  • Mean of criterion
    -1.40753
  • SD of predictor
    0.18889
  • SD of criterion
    1.43495
  • Covariance
    -0.00448
  • r
    -0.01654
  • b (slope, estimate of beta)
    -0.12562
  • a (intercept, estimate of alpha)
    -0.83600
  • Mean Square Error
    2.06386
  • DF error
    385.00000
  • t(b)
    -0.32449
  • p(b)
    0.62713
  • t(a)
    -1.17652
  • p(a)
    0.87994
  • Lowerbound of 95% confidence interval for beta
    -0.88674
  • Upperbound of 95% confidence interval for beta
    0.63551
  • Lowerbound of 95% confidence interval for alpha
    -3.71788
  • Upperbound of 95% confidence interval for alpha
    0.93415
  • Treynor index (mean / b)
    11.20500
  • Jensen alpha (a)
    -1.39187
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -7.82103
  • SD
    7.66233
  • Sharpe ratio (Glass type estimate)
    -1.02071
  • Sharpe ratio (Hedges UMVUE)
    -1.01873
  • df
    386.00000
  • t
    -1.24053
  • p
    0.89223
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.63433
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.59421
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.63299
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.59553
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.02327
  • Upside Potential Ratio
    0.30665
  • Upside part of mean
    2.34380
  • Downside part of mean
    -10.16480
  • Upside SD
    0.61279
  • Downside SD
    7.64314
  • N nonnegative terms
    146.00000
  • N negative terms
    241.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    387.00000
  • Mean of predictor
    0.10676
  • Mean of criterion
    -7.82103
  • SD of predictor
    0.18982
  • SD of criterion
    7.66233
  • Covariance
    -0.04744
  • r
    -0.03262
  • b (slope, estimate of beta)
    -1.31665
  • a (intercept, estimate of alpha)
    -7.68046
  • Mean Square Error
    58.80120
  • DF error
    385.00000
  • t(b)
    -0.64033
  • p(b)
    0.73883
  • t(a)
    -1.21657
  • p(a)
    0.88774
  • Lowerbound of 95% confidence interval for beta
    -5.35944
  • Upperbound of 95% confidence interval for beta
    2.72614
  • Lowerbound of 95% confidence interval for alpha
    -20.09320
  • Upperbound of 95% confidence interval for alpha
    4.73225
  • Treynor index (mean / b)
    5.94010
  • Jensen alpha (a)
    -7.68046
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.55447
  • Expected Shortfall on VaR
    0.62919
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03856
  • Expected Shortfall on VaR
    0.08926
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    387.00000
  • Minimum
    0.00011
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00336
  • Maximum
    1.50501
  • Mean of quarter 1
    0.93997
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00087
  • Mean of quarter 4
    1.03816
  • Inter Quartile Range
    0.00336
  • Number outliers low
    58.00000
  • Percentage of outliers low
    0.14987
  • Mean of outliers low
    0.90083
  • Number of outliers high
    66.00000
  • Percentage of outliers high
    0.17054
  • Mean of outliers high
    1.05363
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.71963
  • VaR(95%) (moments method)
    0.01840
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.00759
  • VaR(95%) (regression method)
    0.03299
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    25.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00122
  • Median
    0.00588
  • Quartile 3
    0.02440
  • Maximum
    0.99999
  • Mean of quarter 1
    0.00047
  • Mean of quarter 2
    0.00340
  • Mean of quarter 3
    0.01658
  • Mean of quarter 4
    0.23347
  • Inter Quartile Range
    0.02317
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.16000
  • Mean of outliers high
    0.33434
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.20028
  • VaR(95%) (moments method)
    0.18708
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.33620
  • VaR(95%) (regression method)
    0.16933
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.67700
  • Compounded annual return (geometric extrapolation)
    -0.99959
  • Calmar ratio (compounded annual return / max draw down)
    -0.99959
  • Compounded annual return / average of 25% largest draw downs
    -4.28150
  • Compounded annual return / Expected Shortfall lognormal
    -1.58869
  • 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
    -4.52236
  • SD
    2.05051
  • Sharpe ratio (Glass type estimate)
    -2.20548
  • Sharpe ratio (Hedges UMVUE)
    -2.19273
  • df
    130.00000
  • t
    -1.55951
  • p
    0.56776
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.98610
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.58338
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.97732
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.59186
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.31490
  • Upside Potential Ratio
    0.54317
  • Upside part of mean
    1.06113
  • Downside part of mean
    -5.58349
  • Upside SD
    0.65882
  • Downside SD
    1.95359
  • N nonnegative terms
    2.00000
  • N negative terms
    129.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31832
  • Mean of criterion
    -4.52236
  • SD of predictor
    0.27642
  • SD of criterion
    2.05051
  • Covariance
    -0.01991
  • r
    -0.03512
  • b (slope, estimate of beta)
    -0.26054
  • a (intercept, estimate of alpha)
    -4.43943
  • Mean Square Error
    4.23196
  • DF error
    129.00000
  • t(b)
    -0.39915
  • p(b)
    0.52236
  • t(a)
    -1.52208
  • p(a)
    0.58431
  • Lowerbound of 95% confidence interval for beta
    -1.55195
  • Upperbound of 95% confidence interval for beta
    1.03088
  • Lowerbound of 95% confidence interval for alpha
    -10.21020
  • Upperbound of 95% confidence interval for alpha
    1.33132
  • Treynor index (mean / b)
    17.35790
  • Jensen alpha (a)
    -4.43943
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -22.58890
  • SD
    13.08830
  • Sharpe ratio (Glass type estimate)
    -1.72588
  • Sharpe ratio (Hedges UMVUE)
    -1.71591
  • df
    130.00000
  • t
    -1.22038
  • p
    0.55321
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.50235
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.05712
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.49555
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.06374
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.72415
  • Upside Potential Ratio
    0.06815
  • Upside part of mean
    0.89289
  • Downside part of mean
    -23.48180
  • Upside SD
    0.54417
  • Downside SD
    13.10150
  • N nonnegative terms
    2.00000
  • N negative terms
    129.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.27986
  • Mean of criterion
    -22.58890
  • SD of predictor
    0.27837
  • SD of criterion
    13.08830
  • Covariance
    -0.13449
  • r
    -0.03691
  • b (slope, estimate of beta)
    -1.73567
  • a (intercept, estimate of alpha)
    -22.10320
  • Mean Square Error
    172.39700
  • DF error
    129.00000
  • t(b)
    -0.41956
  • p(b)
    0.52350
  • t(a)
    -1.18804
  • p(a)
    0.56611
  • VAR (95 Confidence Intrvl)
    0.46000
  • Lowerbound of 95% confidence interval for beta
    -9.92067
  • Upperbound of 95% confidence interval for beta
    6.44932
  • Lowerbound of 95% confidence interval for alpha
    -58.91300
  • Upperbound of 95% confidence interval for alpha
    14.70670
  • Treynor index (mean / b)
    13.01450
  • Jensen alpha (a)
    -22.10320
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.75738
  • Expected Shortfall on VaR
    0.82000
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07341
  • Expected Shortfall on VaR
    0.16356
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00011
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.46067
  • Mean of quarter 1
    0.91582
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01608
  • Inter Quartile Range
    0.00000
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.53700
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.26539
  • 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)
    -0.19190
  • VaR(95%) (regression method)
    0.02915
  • Expected Shortfall (regression method)
    0.44240
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.99999
  • Quartile 1
    0.99999
  • Median
    0.99999
  • Quartile 3
    0.99999
  • Maximum
    0.99999
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    24
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.99997
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00001
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.21951

Strategy Description

Summary Statistics

Strategy began
2014-07-07
Suggested Minimum Capital
$100,000
# Trades
174
# Profitable
116
% Profitable
66.7%
Correlation S&P500
0.026
Sharpe Ratio
-0.68
Sortino Ratio
-0.83
Beta
0.32
Alpha
0.00

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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