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These are hypothetical performance results that have certain inherent limitations. Learn more

#GSIGNALII
(88566461)

Created by: CarlosGodoy CarlosGodoy
Started: 07/2014
Stocks
Last trade: 3,313 days ago
Subscriptions not currently available.

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $129.00 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.

7.8%
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.

(25.8%)
Max Drawdown
22
Num Trades
50.0%
Win Trades
7.8 : 1
Profit Factor
62.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014                                          +1.4%+2.1%(4.6%)+8.3%(2%)+3.1%+8.1%
2015(3.6%)+6.3%(0.1%)+0.3%(0.7%)(0.8%)+3.8%(0.5%)(1.4%)+4.8%+0.9%+0.2%+8.9%
2016(0.7%)(1.3%)+1.0%(1.6%)+1.0%(1.1%)+3.1%+0.1%+0.6%(0.1%)(1%)+1.8%+1.7%
2017(0.2%)+1.0%(0.4%)+3.0%+2.0%(1.8%)+0.4%  -  +1.0%+2.0%+1.0%+0.2%+8.4%
2018+4.4%(3.8%)(1.5%)+0.5%+3.3%(0.2%)+3.9%(0.8%)(0.7%)(4.1%)+0.1%(2%)(1.4%)
2019+2.0%+1.7%+0.9%+0.3%+0.1%  -  +2.4%+1.1%+1.0%+1.1%+1.5%+9.7%
2020+2.6%(1.7%)(9.8%)+7.1%+2.7%(0.3%)+1.9%+4.5%(5.3%)+4.9%+3.9%+0.1%+9.7%
2021+1.9%+5.2%+1.0%+6.0%+1.4%+2.2%+6.4%+3.8%(3.9%)+4.2%(0.2%)+0.8%+32.2%
2022(5.6%)(1.3%)+3.9%(10.7%)(0.2%)(2.4%)+3.1%+0.7%(9%)+1.9%(1.9%)(5.9%)(25.1%)
2023+6.4%(3.8%)+5.6%+3.3%+8.0%(1.8%)+1.2%+3.5%+1.7%+2.2%(2.7%)+2.5%+28.7%
2024+6.0%(6.1%)+5.8%                                                      +5.4%

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
10/13/14 15:58 MIDU DIREXION DAILY MID CAP BULL 3X LONG 1,448 17.21 3/3/15 9:30 27.52 1.08%
Trade id #90220420
Max drawdown($1,002)
Time10/16/14 9:31
Quant open362
Worst price66.06
Drawdown as % of equity-1.08%
$14,928
Includes Typical Broker Commissions trade costs of $5.00
10/15/14 13:53 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 200 142.75 10/16 10:18 150.25 4.74%
Trade id #90269494
Max drawdown($4,500)
Time10/15/14 15:45
Quant open5,000
Worst price4.81
Drawdown as % of equity-4.74%
$1,496
Includes Typical Broker Commissions trade costs of $4.00
10/2/14 14:54 AMZN AMAZON.COM LONG 78 317.91 10/13 15:57 306.57 1.15%
Trade id #90040939
Max drawdown($1,126)
Time10/13/14 10:45
Quant open78
Worst price303.47
Drawdown as % of equity-1.15%
($887)
Includes Typical Broker Commissions trade costs of $1.56
10/8/14 14:49 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 400 76.50 10/9 12:20 79.50 2.04%
Trade id #90144034
Max drawdown($1,999)
Time10/8/14 15:43
Quant open10,000
Worst price2.86
Drawdown as % of equity-2.04%
$1,193
Includes Typical Broker Commissions trade costs of $8.00
10/2/14 14:13 ERX DIREXION DAILY ENERGY BULL 2X LONG 350 89.18 10/3 10:31 87.00 0.77%
Trade id #90039905
Max drawdown($763)
Time10/3/14 10:31
Quant open0
Worst price87.00
Drawdown as % of equity-0.77%
($770)
Includes Typical Broker Commissions trade costs of $7.00
9/30/14 15:44 ERY DIREXION DAILY ENERGY BEAR 2X LONG 2,000 16.25 9/30 15:59 16.29 0.08%
Trade id #89987120
Max drawdown($80)
Time9/30/14 15:54
Quant open2,000
Worst price16.21
Drawdown as % of equity-0.08%
$75
Includes Typical Broker Commissions trade costs of $5.00
9/30/14 9:50 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,000 38.25 9/30 13:49 38.10 0.29%
Trade id #89977260
Max drawdown($290)
Time9/30/14 10:05
Quant open1,000
Worst price37.96
Drawdown as % of equity-0.29%
($155)
Includes Typical Broker Commissions trade costs of $5.00
9/29/14 15:07 EDC DIREXION DAILY EMRG MKTS BULL LONG 25 108.08 9/30 13:49 106.24 0.05%
Trade id #89961219
Max drawdown($51)
Time9/30/14 9:34
Quant open100
Worst price26.51
Drawdown as % of equity-0.05%
($47)
Includes Typical Broker Commissions trade costs of $0.50
9/3/14 15:58 GOLD BARRICK GOLD CORP LONG 306 81.24 9/22 15:57 69.48 3.63%
Trade id #89424033
Max drawdown($3,619)
Time9/22/14 15:51
Quant open306
Worst price69.41
Drawdown as % of equity-3.63%
($3,605)
Includes Typical Broker Commissions trade costs of $6.12
8/27/14 15:53 GOOGL ALPHABET INC CLASS A LONG 49 583.50 9/22 15:47 597.76 0.31%
Trade id #89320634
Max drawdown($318)
Time9/15/14 11:28
Quant open49
Worst price577.01
Drawdown as % of equity-0.31%
$698
Includes Typical Broker Commissions trade costs of $0.98
9/17/14 15:56 CTRX CATAMARAN LONG 554 46.63 9/22 15:47 44.64 1.18%
Trade id #89741727
Max drawdown($1,174)
Time9/22/14 15:41
Quant open554
Worst price44.51
Drawdown as % of equity-1.18%
($1,107)
Includes Typical Broker Commissions trade costs of $5.00
9/9/14 15:58 AMAT APPLIED MATERIALS LONG 1,069 22.45 9/22 15:46 21.96 0.63%
Trade id #89552947
Max drawdown($641)
Time9/16/14 9:43
Quant open1,069
Worst price21.85
Drawdown as % of equity-0.63%
($529)
Includes Typical Broker Commissions trade costs of $5.00
9/5/14 15:06 ORCL ORACLE CORP LONG 672 41.35 9/11 15:41 40.60 0.75%
Trade id #89486992
Max drawdown($772)
Time9/11/14 9:35
Quant open672
Worst price40.20
Drawdown as % of equity-0.75%
($509)
Includes Typical Broker Commissions trade costs of $5.00
8/26/14 15:53 XLNX XILINX LONG 596 41.74 9/4 15:57 43.35 0.12%
Trade id #89301208
Max drawdown($125)
Time8/27/14 15:06
Quant open596
Worst price41.53
Drawdown as % of equity-0.12%
$955
Includes Typical Broker Commissions trade costs of $5.00
8/15/14 15:45 CSCO CISCO SYSTEMS LONG 1,119 24.46 8/28 15:58 24.85 0.04%
Trade id #89110251
Max drawdown($44)
Time8/15/14 15:48
Quant open1,119
Worst price24.42
Drawdown as % of equity-0.04%
$431
Includes Typical Broker Commissions trade costs of $5.01
7/30/14 15:58 PFE PFIZER LONG 853 29.28 8/15 15:44 28.66 1.2%
Trade id #88839313
Max drawdown($1,202)
Time8/8/14 9:42
Quant open853
Worst price27.87
Drawdown as % of equity-1.20%
($534)
Includes Typical Broker Commissions trade costs of $5.00
7/17/14 15:48 AAPL APPLE LONG 539 93.67 8/15 15:44 98.24 n/a $2,451
Includes Typical Broker Commissions trade costs of $10.78
7/31/14 15:52 CSCO CISCO SYSTEMS LONG 990 25.24 8/12 15:56 25.12 0.54%
Trade id #88863967
Max drawdown($544)
Time8/7/14 11:48
Quant open990
Worst price24.69
Drawdown as % of equity-0.54%
($124)
Includes Typical Broker Commissions trade costs of $5.00
8/5/14 15:44 CTRX CATAMARAN LONG 575 43.45 8/11 15:36 45.12 0.31%
Trade id #88934012
Max drawdown($310)
Time8/6/14 9:35
Quant open575
Worst price42.91
Drawdown as % of equity-0.31%
$955
Includes Typical Broker Commissions trade costs of $5.00
7/18/14 15:39 ORCL ORACLE CORP LONG 623 40.12 7/25 12:31 40.47 0.12%
Trade id #88655829
Max drawdown($124)
Time7/21/14 9:31
Quant open623
Worst price39.92
Drawdown as % of equity-0.12%
$213
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    7/14/2014
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    3543.41
  • Age
    118 months ago
  • What it trades
    Stocks
  • # Trades
    22
  • # Profitable
    11
  • % Profitable
    50.00%
  • Avg trade duration
    328.9 days
  • Max peak-to-valley drawdown
    25.75%
  • drawdown period
    Nov 09, 2021 - Dec 29, 2022
  • Annual Return (Compounded)
    7.8%
  • Avg win
    $11,395
  • Avg loss
    $1,456
  • Model Account Values (Raw)
  • Cash
    $97,326
  • Margin Used
    $0
  • Buying Power
    $191,420
  • Ratios
  • W:L ratio
    7.84:1
  • Sharpe Ratio
    0.44
  • Sortino Ratio
    0.66
  • Calmar Ratio
    1.592
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -56.35%
  • Correlation to SP500
    0.50750
  • Return Percent SP500 (cumu) during strategy life
    165.60%
  • Return Statistics
  • Ann Return (w trading costs)
    7.8%
  • Slump
  • Current Slump as Pcnt Equity
    0.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.078%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    7.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,457
  • Avg Win
    $11,395
  • Sum Trade PL (losers)
    $16,024.000
  • Age
  • Num Months filled monthly returns table
    117
  • Win / Loss
  • Sum Trade PL (winners)
    $125,346.000
  • # Winners
    11
  • Num Months Winners
    73
  • Dividends
  • Dividends Received in Model Acct
    333
  • Win / Loss
  • # Losers
    11
  • % Winners
    50.0%
  • Frequency
  • Avg Position Time (mins)
    473591.00
  • Avg Position Time (hrs)
    7893.18
  • Avg Trade Length
    328.9 days
  • Last Trade Ago
    3312
  • Regression
  • Alpha
    0.01
  • Beta
    0.37
  • Treynor Index
    0.05
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    13.10
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    16.17
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.51
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    0.288
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.103
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.127
  • Hold-and-Hope Ratio
    4.476
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31919
  • SD
    0.24214
  • Sharpe ratio (Glass type estimate)
    1.31821
  • Sharpe ratio (Hedges UMVUE)
    1.27820
  • df
    25.00000
  • t
    1.94035
  • p
    0.03185
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.07425
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.68628
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.09967
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.65606
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.91841
  • Upside Potential Ratio
    4.22904
  • Upside part of mean
    0.46253
  • Downside part of mean
    -0.14334
  • Upside SD
    0.23001
  • Downside SD
    0.10937
  • N nonnegative terms
    18.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.47700
  • Mean of criterion
    0.31919
  • SD of predictor
    0.37115
  • SD of criterion
    0.24214
  • Covariance
    0.07555
  • r
    0.84062
  • b (slope, estimate of beta)
    0.54842
  • a (intercept, estimate of alpha)
    0.05760
  • Mean Square Error
    0.01792
  • DF error
    24.00000
  • t(b)
    7.60326
  • p(b)
    0.00000
  • t(a)
    0.59239
  • p(a)
    0.27956
  • Lowerbound of 95% confidence interval for beta
    0.39955
  • Upperbound of 95% confidence interval for beta
    0.69728
  • Lowerbound of 95% confidence interval for alpha
    -0.14307
  • Upperbound of 95% confidence interval for alpha
    0.25826
  • Treynor index (mean / b)
    0.58202
  • Jensen alpha (a)
    0.05760
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28803
  • SD
    0.23317
  • Sharpe ratio (Glass type estimate)
    1.23528
  • Sharpe ratio (Hedges UMVUE)
    1.19778
  • df
    25.00000
  • t
    1.81828
  • p
    0.04051
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.15066
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.59817
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.17452
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.57008
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.48614
  • Upside Potential Ratio
    3.77621
  • Upside part of mean
    0.43749
  • Downside part of mean
    -0.14946
  • Upside SD
    0.21393
  • Downside SD
    0.11585
  • N nonnegative terms
    18.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.40911
  • Mean of criterion
    0.28803
  • SD of predictor
    0.34188
  • SD of criterion
    0.23317
  • Covariance
    0.06740
  • r
    0.84554
  • b (slope, estimate of beta)
    0.57668
  • a (intercept, estimate of alpha)
    0.05210
  • Mean Square Error
    0.01614
  • DF error
    24.00000
  • t(b)
    7.75835
  • p(b)
    0.00000
  • t(a)
    0.56928
  • p(a)
    0.28723
  • Lowerbound of 95% confidence interval for beta
    0.42327
  • Upperbound of 95% confidence interval for beta
    0.73009
  • Lowerbound of 95% confidence interval for alpha
    -0.13679
  • Upperbound of 95% confidence interval for alpha
    0.24099
  • Treynor index (mean / b)
    0.49946
  • Jensen alpha (a)
    0.05210
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08306
  • Expected Shortfall on VaR
    0.10822
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01894
  • Expected Shortfall on VaR
    0.04440
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    26.00000
  • Minimum
    0.86457
  • Quartile 1
    1.00188
  • Median
    1.01795
  • Quartile 3
    1.05106
  • Maximum
    1.21290
  • Mean of quarter 1
    0.95802
  • Mean of quarter 2
    1.00825
  • Mean of quarter 3
    1.03206
  • Mean of quarter 4
    1.11487
  • Inter Quartile Range
    0.04919
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03846
  • Mean of outliers low
    0.86457
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.11539
  • Mean of outliers high
    1.16537
  • 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)
    -0.18813
  • VaR(95%) (regression method)
    0.06534
  • Expected Shortfall (regression method)
    0.09467
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00945
  • Quartile 1
    0.03685
  • Median
    0.04331
  • Quartile 3
    0.04845
  • Maximum
    0.15466
  • Mean of quarter 1
    0.02315
  • Mean of quarter 2
    0.04331
  • Mean of quarter 3
    0.04845
  • Mean of quarter 4
    0.15466
  • Inter Quartile Range
    0.01160
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.20000
  • Mean of outliers low
    0.00945
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.15466
  • 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)
    0.45361
  • Compounded annual return (geometric extrapolation)
    0.37154
  • Calmar ratio (compounded annual return / max draw down)
    2.40237
  • Compounded annual return / average of 25% largest draw downs
    2.40237
  • Compounded annual return / Expected Shortfall lognormal
    3.43336
  • 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
    0.34263
  • SD
    0.24787
  • Sharpe ratio (Glass type estimate)
    1.38232
  • Sharpe ratio (Hedges UMVUE)
    1.38050
  • df
    570.00000
  • t
    2.04069
  • p
    0.02087
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05170
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.71183
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05045
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.71056
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.10408
  • Upside Potential Ratio
    8.69527
  • Upside part of mean
    1.41594
  • Downside part of mean
    -1.07331
  • Upside SD
    0.18778
  • Downside SD
    0.16284
  • N nonnegative terms
    297.00000
  • N negative terms
    274.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    571.00000
  • Mean of predictor
    0.46818
  • Mean of criterion
    0.34263
  • SD of predictor
    0.33241
  • SD of criterion
    0.24787
  • Covariance
    0.04140
  • r
    0.50249
  • b (slope, estimate of beta)
    0.37469
  • a (intercept, estimate of alpha)
    0.16700
  • Mean Square Error
    0.04601
  • DF error
    569.00000
  • t(b)
    13.86370
  • p(b)
    -0.00000
  • t(a)
    1.14653
  • p(a)
    0.12603
  • Lowerbound of 95% confidence interval for beta
    0.32160
  • Upperbound of 95% confidence interval for beta
    0.42777
  • Lowerbound of 95% confidence interval for alpha
    -0.11924
  • Upperbound of 95% confidence interval for alpha
    0.45366
  • Treynor index (mean / b)
    0.91444
  • Jensen alpha (a)
    0.16721
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31177
  • SD
    0.24766
  • Sharpe ratio (Glass type estimate)
    1.25887
  • Sharpe ratio (Hedges UMVUE)
    1.25721
  • df
    570.00000
  • t
    1.85844
  • p
    0.03181
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.07128
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.58802
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.07243
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.58686
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.87308
  • Upside Potential Ratio
    8.40264
  • Upside part of mean
    1.39862
  • Downside part of mean
    -1.08685
  • Upside SD
    0.18410
  • Downside SD
    0.16645
  • N nonnegative terms
    297.00000
  • N negative terms
    274.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    571.00000
  • Mean of predictor
    0.41132
  • Mean of criterion
    0.31177
  • SD of predictor
    0.33846
  • SD of criterion
    0.24766
  • Covariance
    0.04214
  • r
    0.50275
  • b (slope, estimate of beta)
    0.36788
  • a (intercept, estimate of alpha)
    0.16046
  • Mean Square Error
    0.04591
  • DF error
    569.00000
  • t(b)
    13.87330
  • p(b)
    -0.00000
  • t(a)
    1.10240
  • p(a)
    0.13538
  • Lowerbound of 95% confidence interval for beta
    0.31579
  • Upperbound of 95% confidence interval for beta
    0.41996
  • Lowerbound of 95% confidence interval for alpha
    -0.12543
  • Upperbound of 95% confidence interval for alpha
    0.44635
  • Treynor index (mean / b)
    0.84750
  • Jensen alpha (a)
    0.16046
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02369
  • Expected Shortfall on VaR
    0.02990
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00904
  • Expected Shortfall on VaR
    0.01917
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    571.00000
  • Minimum
    0.91013
  • Quartile 1
    0.99591
  • Median
    1.00053
  • Quartile 3
    1.00638
  • Maximum
    1.08532
  • Mean of quarter 1
    0.98515
  • Mean of quarter 2
    0.99872
  • Mean of quarter 3
    1.00318
  • Mean of quarter 4
    1.01862
  • Inter Quartile Range
    0.01047
  • Number outliers low
    31.00000
  • Percentage of outliers low
    0.05429
  • Mean of outliers low
    0.96517
  • Number of outliers high
    39.00000
  • Percentage of outliers high
    0.06830
  • Mean of outliers high
    1.03632
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.44880
  • VaR(95%) (moments method)
    0.01395
  • Expected Shortfall (moments method)
    0.02954
  • Extreme Value Index (regression method)
    0.38378
  • VaR(95%) (regression method)
    0.01303
  • Expected Shortfall (regression method)
    0.02506
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    42.00000
  • Minimum
    0.00021
  • Quartile 1
    0.00408
  • Median
    0.01018
  • Quartile 3
    0.02501
  • Maximum
    0.25402
  • Mean of quarter 1
    0.00187
  • Mean of quarter 2
    0.00732
  • Mean of quarter 3
    0.01597
  • Mean of quarter 4
    0.07845
  • Inter Quartile Range
    0.02093
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.11705
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.45440
  • VaR(95%) (moments method)
    0.08036
  • Expected Shortfall (moments method)
    0.17026
  • Extreme Value Index (regression method)
    0.70069
  • VaR(95%) (regression method)
    0.07915
  • Expected Shortfall (regression method)
    0.26335
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.50315
  • Compounded annual return (geometric extrapolation)
    0.40450
  • Calmar ratio (compounded annual return / max draw down)
    1.59241
  • Compounded annual return / average of 25% largest draw downs
    5.15613
  • Compounded annual return / Expected Shortfall lognormal
    13.52910
  • 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
    0.81870
  • SD
    0.41077
  • Sharpe ratio (Glass type estimate)
    1.99309
  • Sharpe ratio (Hedges UMVUE)
    1.98157
  • df
    130.00000
  • t
    1.40932
  • p
    0.43866
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79304
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.77171
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80069
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.76382
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.11683
  • Upside Potential Ratio
    10.66600
  • Upside part of mean
    2.80165
  • Downside part of mean
    -1.98295
  • Upside SD
    0.31782
  • Downside SD
    0.26267
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.11444
  • Mean of criterion
    0.81870
  • SD of predictor
    0.43715
  • SD of criterion
    0.41077
  • Covariance
    0.09488
  • r
    0.52838
  • b (slope, estimate of beta)
    0.49649
  • a (intercept, estimate of alpha)
    0.26539
  • Mean Square Error
    0.12257
  • DF error
    129.00000
  • t(b)
    7.06849
  • p(b)
    0.18001
  • t(a)
    0.52945
  • p(a)
    0.47037
  • Lowerbound of 95% confidence interval for beta
    0.35752
  • Upperbound of 95% confidence interval for beta
    0.63546
  • Lowerbound of 95% confidence interval for alpha
    -0.72637
  • Upperbound of 95% confidence interval for alpha
    1.25715
  • Treynor index (mean / b)
    1.64898
  • Jensen alpha (a)
    0.26539
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.73392
  • SD
    0.41041
  • Sharpe ratio (Glass type estimate)
    1.78827
  • Sharpe ratio (Hedges UMVUE)
    1.77794
  • df
    130.00000
  • t
    1.26450
  • p
    0.44489
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.99543
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.56520
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.00228
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.55816
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.71849
  • Upside Potential Ratio
    10.19520
  • Upside part of mean
    2.75243
  • Downside part of mean
    -2.01851
  • Upside SD
    0.31035
  • Downside SD
    0.26997
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.01582
  • Mean of criterion
    0.73392
  • SD of predictor
    0.44278
  • SD of criterion
    0.41041
  • Covariance
    0.09783
  • r
    0.53837
  • b (slope, estimate of beta)
    0.49900
  • a (intercept, estimate of alpha)
    0.22701
  • Mean Square Error
    0.12054
  • DF error
    129.00000
  • t(b)
    7.25599
  • p(b)
    0.17463
  • t(a)
    0.45774
  • p(a)
    0.47437
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    0.36294
  • Upperbound of 95% confidence interval for beta
    0.63507
  • Lowerbound of 95% confidence interval for alpha
    -0.75423
  • Upperbound of 95% confidence interval for alpha
    1.20825
  • Treynor index (mean / b)
    1.47076
  • Jensen alpha (a)
    0.22701
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03816
  • Expected Shortfall on VaR
    0.04825
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01658
  • Expected Shortfall on VaR
    0.03352
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91013
  • Quartile 1
    0.98906
  • Median
    1.00086
  • Quartile 3
    1.01637
  • Maximum
    1.08532
  • Mean of quarter 1
    0.97389
  • Mean of quarter 2
    0.99635
  • Mean of quarter 3
    1.00799
  • Mean of quarter 4
    1.03483
  • Inter Quartile Range
    0.02730
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.93220
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.07435
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35664
  • VaR(95%) (moments method)
    0.02772
  • Expected Shortfall (moments method)
    0.04911
  • Extreme Value Index (regression method)
    0.29353
  • VaR(95%) (regression method)
    0.02364
  • Expected Shortfall (regression method)
    0.03754
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00533
  • Quartile 1
    0.00952
  • Median
    0.02228
  • Quartile 3
    0.03198
  • Maximum
    0.25402
  • Mean of quarter 1
    0.00616
  • Mean of quarter 2
    0.01717
  • Mean of quarter 3
    0.02553
  • Mean of quarter 4
    0.14622
  • Inter Quartile Range
    0.02246
  • 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
    0.25402
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -375746000
  • Max Equity Drawdown (num days)
    415
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.92724
  • Compounded annual return (geometric extrapolation)
    1.14218
  • Calmar ratio (compounded annual return / max draw down)
    4.49644
  • Compounded annual return / average of 25% largest draw downs
    7.81129
  • Compounded annual return / Expected Shortfall lognormal
    23.67140

Strategy Description

Summary Statistics

Strategy began
2014-07-14
Suggested Minimum Capital
$5,000
# Trades
22
# Profitable
11
% Profitable
50.0%
Net Dividends
Correlation S&P500
0.507
Sharpe Ratio
0.44
Sortino Ratio
0.66
Beta
0.37
Alpha
0.01

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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