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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

Archived Sys 3241
(89136433)

Created by: AlphaTrading AlphaTrading
Started: 01/2015
Futures
Last trade: 3,111 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 $49.00 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.

-7.2%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(92.9%)
Max Drawdown
77
Num Trades
45.5%
Win Trades
1.0 : 1
Profit Factor
7.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015+6.6%+4.0%+3.6%+3.7%+5.8%+1.1%+6.0%(51.1%)+42.2%(0.2%)  -    -  (6.4%)
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.

Trading Record

This strategy has placed 174 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3142 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/18/15 11:13 @ESZ5 E-MINI S&P 500 LONG 3 1961.00 9/21 11:00 1966.00 7.14%
Trade id #97312031
Max drawdown($3,375)
Time9/20/15 21:20
Quant open3
Worst price1938.50
Drawdown as % of equity-7.14%
$726
Includes Typical Broker Commissions trade costs of $24.00
7/23/15 18:00 @ESU5 E-MINI S&P 500 LONG 43 1955.38 9/18 14:51 1949.46 82.82%
Trade id #96042882
Max drawdown($40,284)
Time8/24/15 9:32
Quant open5
Worst price1831.00
Drawdown as % of equity-82.82%
($13,069)
Includes Typical Broker Commissions trade costs of $344.00
8/24/15 15:26 @YMU5 MINI DOW SHORT 4 15754 8/24 15:45 16059 14.92%
Trade id #96816324
Max drawdown($6,100)
Time8/24/15 15:45
Quant open0
Worst price16059
Drawdown as % of equity-14.92%
($6,132)
Includes Typical Broker Commissions trade costs of $32.00
8/24/15 12:05 @TFSU5 Emini Russell 2000 SHORT 1 1132.80 8/24 12:08 1139.60 1.31%
Trade id #96810612
Max drawdown($680)
Time8/24/15 12:08
Quant open0
Worst price1139.60
Drawdown as % of equity-1.31%
($688)
Includes Typical Broker Commissions trade costs of $8.00
6/24/15 18:00 @ESU5 E-MINI S&P 500 LONG 2 2078.00 7/13 18:00 2093.88 6.64%
Trade id #95431927
Max drawdown($4,375)
Time7/5/15 18:02
Quant open2
Worst price2034.25
Drawdown as % of equity-6.64%
$1,572
Includes Typical Broker Commissions trade costs of $16.00
6/12/15 10:39 @ESU5 E-MINI S&P 500 LONG 2 2085.50 6/18 18:00 2114.50 3.75%
Trade id #94978215
Max drawdown($2,350)
Time6/16/15 3:58
Quant open2
Worst price2062.00
Drawdown as % of equity-3.75%
$2,884
Includes Typical Broker Commissions trade costs of $16.00
6/12/15 16:17 @NQU5 E-MINI NASDAQ 100 STK IDX LONG 1 4448.25 6/14 18:04 4427.25 0.97%
Trade id #94986617
Max drawdown($625)
Time6/14/15 18:01
Quant open1
Worst price4417.00
Drawdown as % of equity-0.97%
($428)
Includes Typical Broker Commissions trade costs of $8.00
5/26/15 16:30 @ESM5 E-MINI S&P 500 LONG 5 2100.45 6/12 10:33 2100.70 5.18%
Trade id #94630126
Max drawdown($3,170)
Time6/9/15 5:56
Quant open2
Worst price2068.75
Drawdown as % of equity-5.18%
$23
Includes Typical Broker Commissions trade costs of $40.00
6/2/15 16:17 @NQM5 E-MINI NASDAQ 100 STK IDX LONG 1 4503.50 6/10 16:17 4487.50 3.75%
Trade id #94766237
Max drawdown($2,265)
Time6/9/15 10:35
Quant open1
Worst price4390.25
Drawdown as % of equity-3.75%
($328)
Includes Typical Broker Commissions trade costs of $8.00
5/26/15 16:17 @NQM5 E-MINI NASDAQ 100 STK IDX LONG 1 4480.50 5/28 2:57 4536.25 0.24%
Trade id #94630030
Max drawdown($150)
Time5/26/15 22:07
Quant open1
Worst price4473.00
Drawdown as % of equity-0.24%
$1,107
Includes Typical Broker Commissions trade costs of $8.00
4/24/15 16:15 @ESM5 E-MINI S&P 500 LONG 1 2112.00 5/14 18:00 2116.50 4.64%
Trade id #94067123
Max drawdown($2,750)
Time5/7/15 5:18
Quant open1
Worst price2057.00
Drawdown as % of equity-4.64%
$217
Includes Typical Broker Commissions trade costs of $8.00
5/5/15 16:17 @NQM5 E-MINI NASDAQ 100 STK IDX LONG 1 4408.50 5/8 16:17 4448.50 2.56%
Trade id #94258748
Max drawdown($1,520)
Time5/7/15 5:18
Quant open1
Worst price4332.50
Drawdown as % of equity-2.56%
$792
Includes Typical Broker Commissions trade costs of $8.00
4/19/15 18:00 @ESM5 E-MINI S&P 500 LONG 1 2080.75 4/23 18:00 2107.25 0.19%
Trade id #93933428
Max drawdown($112)
Time4/19/15 18:14
Quant open1
Worst price2078.50
Drawdown as % of equity-0.19%
$1,317
Includes Typical Broker Commissions trade costs of $8.00
4/22/15 17:17 @NQM5 E-MINI NASDAQ 100 STK IDX SHORT 1 4437.00 4/22 18:00 4438.75 0.06%
Trade id #94013927
Max drawdown($35)
Time4/22/15 18:00
Quant open0
Worst price4438.75
Drawdown as % of equity-0.06%
($43)
Includes Typical Broker Commissions trade costs of $8.00
4/17/15 16:17 @NQM5 E-MINI NASDAQ 100 STK IDX LONG 1 4349.00 4/21 16:17 4429.25 0.12%
Trade id #93930348
Max drawdown($70)
Time4/17/15 17:06
Quant open1
Worst price4345.50
Drawdown as % of equity-0.12%
$1,597
Includes Typical Broker Commissions trade costs of $8.00
4/16/15 9:30 @ESM5 E-MINI S&P 500 SHORT 1 2095.75 4/16 10:21 2095.00 0.15%
Trade id #93889996
Max drawdown($87)
Time4/16/15 9:32
Quant open-1
Worst price2097.50
Drawdown as % of equity-0.15%
$30
Includes Typical Broker Commissions trade costs of $8.00
4/9/15 18:00 @FVM5 US T-NOTE 5 YR LONG 1 120 11/64 4/14 18:00 120 30/64 0.28%
Trade id #93777299
Max drawdown($164)
Time4/13/15 5:43
Quant open1
Worst price120 1/64
Drawdown as % of equity-0.28%
$289
Includes Typical Broker Commissions trade costs of $8.00
4/10/15 3:29 @ESM5 E-MINI S&P 500 SHORT 1 2084.25 4/10 3:35 2084.00 0.04%
Trade id #93786936
Max drawdown($25)
Time4/10/15 3:34
Quant open-1
Worst price2084.75
Drawdown as % of equity-0.04%
$5
Includes Typical Broker Commissions trade costs of $8.00
4/8/15 17:17 @NQM5 E-MINI NASDAQ 100 STK IDX LONG 1 4380.00 4/9 11:33 4364.00 0.92%
Trade id #93749502
Max drawdown($545)
Time4/9/15 11:22
Quant open1
Worst price4352.75
Drawdown as % of equity-0.92%
($328)
Includes Typical Broker Commissions trade costs of $8.00
3/31/15 21:02 @TFSM5 Emini Russell 2000 LONG 1 1235.20 4/8 20:00 1259.70 0.37%
Trade id #93608281
Max drawdown($220)
Time3/31/15 21:11
Quant open1
Worst price1233.00
Drawdown as % of equity-0.37%
$2,442
Includes Typical Broker Commissions trade costs of $8.00
4/2/15 2:15 @ESM5 E-MINI S&P 500 SHORT 4 2047.50 4/2 9:39 2052.88 2.28%
Trade id #93639107
Max drawdown($1,350)
Time4/2/15 9:36
Quant open-4
Worst price2054.25
Drawdown as % of equity-2.28%
($1,107)
Includes Typical Broker Commissions trade costs of $32.00
4/1/15 16:30 @NQM5 E-MINI NASDAQ 100 STK IDX LONG 1 4313.50 4/1 17:17 4313.25 0.01%
Trade id #93631793
Max drawdown($5)
Time4/1/15 17:17
Quant open0
Worst price4313.25
Drawdown as % of equity-0.01%
($13)
Includes Typical Broker Commissions trade costs of $8.00
3/25/15 16:30 @ESM5 E-MINI S&P 500 LONG 2 2064.38 3/31 20:57 2055.62 1.83%
Trade id #93487180
Max drawdown($1,050)
Time3/26/15 5:27
Quant open1
Worst price2033.25
Drawdown as % of equity-1.83%
($891)
Includes Typical Broker Commissions trade costs of $16.00
3/26/15 9:14 @NQM5 E-MINI NASDAQ 100 STK IDX LONG 1 4294.25 3/31 15:33 4330.00 0.78%
Trade id #93503395
Max drawdown($450)
Time3/26/15 10:17
Quant open1
Worst price4271.75
Drawdown as % of equity-0.78%
$707
Includes Typical Broker Commissions trade costs of $8.00
3/30/15 10:01 @EMDM5 Mini Midcap 400 LONG 1 1519.90 3/30 16:00 1524.10 0.62%
Trade id #93565296
Max drawdown($370)
Time3/30/15 10:24
Quant open1
Worst price1516.20
Drawdown as % of equity-0.62%
$412
Includes Typical Broker Commissions trade costs of $8.00
3/26/15 10:00 @EMDM5 Mini Midcap 400 SHORT 1 1493.90 3/26 11:57 1497.50 0.62%
Trade id #93505550
Max drawdown($360)
Time3/26/15 11:57
Quant open0
Worst price1497.50
Drawdown as % of equity-0.62%
($368)
Includes Typical Broker Commissions trade costs of $8.00
3/24/15 7:19 @ESM5 E-MINI S&P 500 LONG 1 2098.75 3/24 18:00 2085.25 1.34%
Trade id #93442153
Max drawdown($787)
Time3/24/15 16:00
Quant open1
Worst price2083.00
Drawdown as % of equity-1.34%
($683)
Includes Typical Broker Commissions trade costs of $8.00
3/20/15 9:49 @NQM5 E-MINI NASDAQ 100 STK IDX LONG 1 4450.25 3/24 16:03 4428.75 0.88%
Trade id #93376649
Max drawdown($520)
Time3/24/15 15:58
Quant open1
Worst price4424.25
Drawdown as % of equity-0.88%
($438)
Includes Typical Broker Commissions trade costs of $8.00
3/23/15 9:42 @ESM5 E-MINI S&P 500 LONG 1 2105.50 3/23 12:26 2101.75 0.4%
Trade id #93413562
Max drawdown($237)
Time3/23/15 12:19
Quant open1
Worst price2100.75
Drawdown as % of equity-0.40%
($196)
Includes Typical Broker Commissions trade costs of $8.00
3/20/15 9:46 @ESM5 E-MINI S&P 500 LONG 3 2094.50 3/20 15:21 2100.25 0.19%
Trade id #93376471
Max drawdown($112)
Time3/20/15 9:59
Quant open3
Worst price2093.75
Drawdown as % of equity-0.19%
$839
Includes Typical Broker Commissions trade costs of $24.00

Statistics

  • Strategy began
    1/6/2015
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    3363.05
  • Age
    112 months ago
  • What it trades
    Futures
  • # Trades
    77
  • # Profitable
    35
  • % Profitable
    45.50%
  • Avg trade duration
    3.0 days
  • Max peak-to-valley drawdown
    92.87%
  • drawdown period
    July 31, 2015 - Aug 25, 2015
  • Cumul. Return
    -5.7%
  • Avg win
    $954.26
  • Avg loss
    $799.12
  • Model Account Values (Raw)
  • Cash
    $49,836
  • Margin Used
    $0
  • Buying Power
    $49,836
  • Ratios
  • W:L ratio
    1.00:1
  • Sharpe Ratio
    0.14
  • Sortino Ratio
    0.23
  • Calmar Ratio
    -0.014
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -7.27%
  • Correlation to SP500
    0.13430
  • Return Percent SP500 (cumu) during strategy life
    162.08%
  • Return Statistics
  • Ann Return (w trading costs)
    -7.1%
  • Slump
  • Current Slump as Pcnt Equity
    45.60%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.94%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.057%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -0.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    96.00%
  • Chance of 20% account loss
    92.50%
  • Chance of 30% account loss
    87.00%
  • Chance of 40% account loss
    83.00%
  • Chance of 60% account loss (Monte Carlo)
    57.00%
  • Chance of 70% account loss (Monte Carlo)
    43.00%
  • Chance of 80% account loss (Monte Carlo)
    21.50%
  • Chance of 90% account loss (Monte Carlo)
    5.50%
  • 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
    71.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    713
  • 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
    $799
  • Avg Win
    $954
  • Sum Trade PL (losers)
    $33,563.000
  • Age
  • Num Months filled monthly returns table
    111
  • Win / Loss
  • Sum Trade PL (winners)
    $33,399.000
  • # Winners
    35
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    42
  • % Winners
    45.5%
  • Frequency
  • Avg Position Time (mins)
    4318.73
  • Avg Position Time (hrs)
    71.98
  • Avg Trade Length
    3.0 days
  • Last Trade Ago
    3105
  • Regression
  • Alpha
    0.01
  • Beta
    0.36
  • Treynor Index
    0.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    78.38
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    33.76
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.64
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -591.372
  • 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
    0.87
  • Avg(MAE) / Avg(PL) - Winning trades
    0.921
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.973
  • Hold-and-Hope Ratio
    -0.002
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.98367
  • SD
    1.52097
  • Sharpe ratio (Glass type estimate)
    0.64673
  • Sharpe ratio (Hedges UMVUE)
    0.58381
  • df
    8.00000
  • t
    0.56009
  • p
    0.29538
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.65721
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.91187
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.69737
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.86499
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.31793
  • Upside Potential Ratio
    2.47263
  • Upside part of mean
    1.84550
  • Downside part of mean
    -0.86183
  • Upside SD
    1.25693
  • Downside SD
    0.74637
  • N nonnegative terms
    8.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    -0.04228
  • Mean of criterion
    0.98367
  • SD of predictor
    0.15273
  • SD of criterion
    1.52097
  • Covariance
    0.17557
  • r
    0.75580
  • b (slope, estimate of beta)
    7.52683
  • a (intercept, estimate of alpha)
    1.30187
  • Mean Square Error
    1.13359
  • DF error
    7.00000
  • t(b)
    3.05383
  • p(b)
    0.00924
  • t(a)
    1.05516
  • p(a)
    0.16320
  • Lowerbound of 95% confidence interval for beta
    1.69867
  • Upperbound of 95% confidence interval for beta
    13.35500
  • Lowerbound of 95% confidence interval for alpha
    -1.61566
  • Upperbound of 95% confidence interval for alpha
    4.21940
  • Treynor index (mean / b)
    0.13069
  • Jensen alpha (a)
    1.30187
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01430
  • SD
    1.56350
  • Sharpe ratio (Glass type estimate)
    -0.00915
  • Sharpe ratio (Hedges UMVUE)
    -0.00826
  • df
    8.00000
  • t
    -0.00792
  • p
    0.50306
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.27214
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.25422
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.27143
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.25491
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.01193
  • Upside Potential Ratio
    1.14277
  • Upside part of mean
    1.36970
  • Downside part of mean
    -1.38401
  • Upside SD
    0.85810
  • Downside SD
    1.19859
  • N nonnegative terms
    8.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    -0.05325
  • Mean of criterion
    -0.01430
  • SD of predictor
    0.15874
  • SD of criterion
    1.56350
  • Covariance
    0.22444
  • r
    0.90429
  • b (slope, estimate of beta)
    8.90679
  • a (intercept, estimate of alpha)
    0.45997
  • Mean Square Error
    0.50918
  • DF error
    7.00000
  • t(b)
    5.60424
  • p(b)
    0.00041
  • t(a)
    0.55532
  • p(a)
    0.29798
  • Lowerbound of 95% confidence interval for beta
    5.14868
  • Upperbound of 95% confidence interval for beta
    12.66490
  • Lowerbound of 95% confidence interval for alpha
    -1.49864
  • Upperbound of 95% confidence interval for alpha
    2.41858
  • Treynor index (mean / b)
    -0.00161
  • Jensen alpha (a)
    0.45997
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.52459
  • Expected Shortfall on VaR
    0.60116
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03861
  • Expected Shortfall on VaR
    0.14046
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.35445
  • Quartile 1
    1.02390
  • Median
    1.04147
  • Quartile 3
    1.06592
  • Maximum
    2.08149
  • Mean of quarter 1
    0.79436
  • Mean of quarter 2
    1.04051
  • Mean of quarter 3
    1.05898
  • Mean of quarter 4
    1.58157
  • Inter Quartile Range
    0.04202
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.11111
  • Mean of outliers low
    0.35445
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    2.08149
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.64555
  • Quartile 1
    0.64555
  • Median
    0.64555
  • Quartile 3
    0.64555
  • Maximum
    0.64555
  • 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)
    -0.00435
  • Compounded annual return (geometric extrapolation)
    -0.00434
  • Calmar ratio (compounded annual return / max draw down)
    -0.00673
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.00723
  • 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
    0.99780
  • SD
    1.43656
  • Sharpe ratio (Glass type estimate)
    0.69458
  • Sharpe ratio (Hedges UMVUE)
    0.69273
  • df
    283.00000
  • t
    0.63110
  • p
    0.26424
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.46385
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.85185
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.46511
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.85058
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.14882
  • Upside Potential Ratio
    5.20087
  • Upside part of mean
    4.51718
  • Downside part of mean
    -3.51938
  • Upside SD
    1.14234
  • Downside SD
    0.86854
  • N nonnegative terms
    107.00000
  • N negative terms
    177.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    284.00000
  • Mean of predictor
    0.02008
  • Mean of criterion
    0.99780
  • SD of predictor
    0.15129
  • SD of criterion
    1.43656
  • Covariance
    0.11161
  • r
    0.51350
  • b (slope, estimate of beta)
    4.87581
  • a (intercept, estimate of alpha)
    0.19700
  • Mean Square Error
    1.52491
  • DF error
    282.00000
  • t(b)
    10.04930
  • p(b)
    0.00000
  • t(a)
    0.66213
  • p(a)
    0.25421
  • Lowerbound of 95% confidence interval for beta
    3.92076
  • Upperbound of 95% confidence interval for beta
    5.83086
  • Lowerbound of 95% confidence interval for alpha
    -1.77538
  • Upperbound of 95% confidence interval for alpha
    3.57519
  • Treynor index (mean / b)
    0.20464
  • Jensen alpha (a)
    0.89991
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01391
  • SD
    1.44965
  • Sharpe ratio (Glass type estimate)
    -0.00959
  • Sharpe ratio (Hedges UMVUE)
    -0.00957
  • df
    283.00000
  • t
    -0.00872
  • p
    0.50347
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.16668
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.14750
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.16666
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.14752
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.01241
  • Upside Potential Ratio
    3.59962
  • Upside part of mean
    4.03316
  • Downside part of mean
    -4.04706
  • Upside SD
    0.91580
  • Downside SD
    1.12044
  • N nonnegative terms
    107.00000
  • N negative terms
    177.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    284.00000
  • Mean of predictor
    0.00865
  • Mean of criterion
    -0.01391
  • SD of predictor
    0.15149
  • SD of criterion
    1.44965
  • Covariance
    0.11052
  • r
    0.50326
  • b (slope, estimate of beta)
    4.81595
  • a (intercept, estimate of alpha)
    -0.05558
  • Mean Square Error
    1.57480
  • DF error
    282.00000
  • t(b)
    9.77984
  • p(b)
    0.00000
  • t(a)
    -0.04024
  • p(a)
    0.51604
  • Lowerbound of 95% confidence interval for beta
    3.84663
  • Upperbound of 95% confidence interval for beta
    5.78526
  • Lowerbound of 95% confidence interval for alpha
    -2.77421
  • Upperbound of 95% confidence interval for alpha
    2.66306
  • Treynor index (mean / b)
    -0.00289
  • Jensen alpha (a)
    -0.05558
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12068
  • Expected Shortfall on VaR
    0.14858
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02618
  • Expected Shortfall on VaR
    0.06008
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    284.00000
  • Minimum
    0.50567
  • Quartile 1
    0.99626
  • Median
    1.00000
  • Quartile 3
    1.00479
  • Maximum
    1.79434
  • Mean of quarter 1
    0.96030
  • Mean of quarter 2
    0.99885
  • Mean of quarter 3
    1.00092
  • Mean of quarter 4
    1.05165
  • Inter Quartile Range
    0.00852
  • Number outliers low
    31.00000
  • Percentage of outliers low
    0.10916
  • Mean of outliers low
    0.92028
  • Number of outliers high
    42.00000
  • Percentage of outliers high
    0.14789
  • Mean of outliers high
    1.08052
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.03824
  • VaR(95%) (moments method)
    0.02743
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.86619
  • VaR(95%) (regression method)
    0.02616
  • Expected Shortfall (regression method)
    0.21877
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00006
  • Quartile 1
    0.01498
  • Median
    0.03631
  • Quartile 3
    0.05255
  • Maximum
    0.65639
  • Mean of quarter 1
    0.00525
  • Mean of quarter 2
    0.03004
  • Mean of quarter 3
    0.04239
  • Mean of quarter 4
    0.21863
  • Inter Quartile Range
    0.03757
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.07143
  • Mean of outliers high
    0.65639
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.04226
  • VaR(95%) (moments method)
    0.25299
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    4.53111
  • VaR(95%) (regression method)
    0.71644
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.00395
  • Compounded annual return (geometric extrapolation)
    -0.00395
  • Calmar ratio (compounded annual return / max draw down)
    -0.00601
  • Compounded annual return / average of 25% largest draw downs
    -0.01806
  • Compounded annual return / Expected Shortfall lognormal
    -0.02657
  • 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
    1.21341
  • SD
    1.83312
  • Sharpe ratio (Glass type estimate)
    0.66194
  • Sharpe ratio (Hedges UMVUE)
    0.65903
  • df
    171.00000
  • t
    0.46806
  • p
    0.47723
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.11170
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.43369
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.11365
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.43172
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.09374
  • Upside Potential Ratio
    5.63444
  • Upside part of mean
    6.25097
  • Downside part of mean
    -5.03755
  • Upside SD
    1.45405
  • Downside SD
    1.10942
  • N nonnegative terms
    59.00000
  • N negative terms
    113.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    -0.04646
  • Mean of criterion
    1.21341
  • SD of predictor
    0.16744
  • SD of criterion
    1.83312
  • Covariance
    0.17317
  • r
    0.56417
  • b (slope, estimate of beta)
    6.17638
  • a (intercept, estimate of alpha)
    1.50040
  • Mean Square Error
    2.30426
  • DF error
    170.00000
  • t(b)
    8.90902
  • p(b)
    0.21792
  • t(a)
    0.69884
  • p(a)
    0.47324
  • Lowerbound of 95% confidence interval for beta
    4.80785
  • Upperbound of 95% confidence interval for beta
    7.54491
  • Lowerbound of 95% confidence interval for alpha
    -2.73780
  • Upperbound of 95% confidence interval for alpha
    5.73859
  • Treynor index (mean / b)
    0.19646
  • Jensen alpha (a)
    1.50040
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.42999
  • SD
    1.85024
  • Sharpe ratio (Glass type estimate)
    -0.23240
  • Sharpe ratio (Hedges UMVUE)
    -0.23138
  • df
    171.00000
  • t
    -0.16433
  • p
    0.50800
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.00400
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.53984
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.00329
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.54054
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.29976
  • Upside Potential Ratio
    3.81425
  • Upside part of mean
    5.47134
  • Downside part of mean
    -5.90133
  • Upside SD
    1.16034
  • Downside SD
    1.43445
  • N nonnegative terms
    59.00000
  • N negative terms
    113.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    -0.06044
  • Mean of criterion
    -0.42999
  • SD of predictor
    0.16776
  • SD of criterion
    1.85024
  • Covariance
    0.17114
  • r
    0.55135
  • b (slope, estimate of beta)
    6.08097
  • a (intercept, estimate of alpha)
    -0.06246
  • Mean Square Error
    2.39673
  • DF error
    170.00000
  • t(b)
    8.61679
  • p(b)
    0.22432
  • t(a)
    -0.02853
  • p(a)
    0.50109
  • VAR (95 Confidence Intrvl)
    0.08700
  • Lowerbound of 95% confidence interval for beta
    4.68788
  • Upperbound of 95% confidence interval for beta
    7.47405
  • Lowerbound of 95% confidence interval for alpha
    -4.38519
  • Upperbound of 95% confidence interval for alpha
    4.26026
  • Treynor index (mean / b)
    -0.07071
  • Jensen alpha (a)
    -0.06246
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15239
  • Expected Shortfall on VaR
    0.18645
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03892
  • Expected Shortfall on VaR
    0.08782
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.50567
  • Quartile 1
    0.99589
  • Median
    1.00000
  • Quartile 3
    1.00578
  • Maximum
    1.79434
  • Mean of quarter 1
    0.94254
  • Mean of quarter 2
    0.99896
  • Mean of quarter 3
    1.00094
  • Mean of quarter 4
    1.07178
  • Inter Quartile Range
    0.00989
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.12209
  • Mean of outliers low
    0.89411
  • Number of outliers high
    22.00000
  • Percentage of outliers high
    0.12791
  • Mean of outliers high
    1.12811
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.09041
  • VaR(95%) (moments method)
    0.03904
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.78788
  • VaR(95%) (regression method)
    0.04457
  • Expected Shortfall (regression method)
    0.25039
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00090
  • Quartile 1
    0.01129
  • Median
    0.03031
  • Quartile 3
    0.04515
  • Maximum
    0.65639
  • Mean of quarter 1
    0.00516
  • Mean of quarter 2
    0.03004
  • Mean of quarter 3
    0.04199
  • Mean of quarter 4
    0.35618
  • Inter Quartile Range
    0.03386
  • 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
    0.11111
  • Mean of outliers high
    0.65639
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.25611
  • VaR(95%) (moments method)
    0.33160
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    4.79510
  • VaR(95%) (regression method)
    3.52091
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    25
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.37886
  • Compounded annual return (geometric extrapolation)
    -0.34298
  • Calmar ratio (compounded annual return / max draw down)
    -0.52252
  • Compounded annual return / average of 25% largest draw downs
    -0.96294
  • Compounded annual return / Expected Shortfall lognormal
    -1.83952

Strategy Description

Summary Statistics

Strategy began
2015-01-06
Suggested Minimum Capital
$50,000
# Trades
77
# Profitable
35
% Profitable
45.5%
Correlation S&P500
0.134
Sharpe Ratio
0.14
Sortino Ratio
0.23
Beta
0.36
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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