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

AlfaTech
(89152463)

Created by: AlfaTech AlfaTech
Started: 08/2014
Stocks
Last trade: 2,873 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. You can subscribe to this system for free.

C2Star

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

You can read more about C2Star certification requirements here.

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

-0.5%
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.

(21.6%)
Max Drawdown
212
Num Trades
41.5%
Win Trades
0.9 : 1
Profit Factor
8.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014                                                 +2.6%+2.3%+4.6%(2.6%)(1.1%)+5.7%
2015+0.5%(0.8%)(1.3%)+0.9%(1.3%)(2.2%)(1.9%)(2.8%)+0.1%+1.1%+0.2%(2.4%)(9.5%)
2016(0.5%)+0.2%+0.4%(0.2%)(0.3%)  -    -    -    -    -    -    -  (0.4%)
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 373 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3048 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/5/16 10:45 RAD RITE AID LONG 5,556 7.91 5/17 11:00 7.93 0.14%
Trade id #100376197
Max drawdown($388)
Time2/24/16 8:02
Quant open5,556
Worst price7.84
Drawdown as % of equity-0.14%
$101
Includes Typical Broker Commissions trade costs of $10.00
1/12/16 9:30 XEL XCEL ENERGY LONG 1,352 36.70 2/1 15:28 38.54 0.43%
Trade id #99166165
Max drawdown($1,216)
Time1/28/16 9:30
Quant open1,352
Worst price35.80
Drawdown as % of equity-0.43%
$2,484
Includes Typical Broker Commissions trade costs of $10.00
1/11/16 9:30 AU ANGLOGOLD LONG 2,500 8.25 1/14 13:37 7.25 0.89%
Trade id #99143777
Max drawdown($2,500)
Time1/14/16 13:37
Quant open1,250
Worst price7.25
Drawdown as % of equity-0.89%
($2,510)
Includes Typical Broker Commissions trade costs of $10.00
12/11/15 9:41 NOK NOKIA SHORT 4,082 6.94 1/8/16 9:30 7.39 0.65%
Trade id #98744596
Max drawdown($1,857)
Time1/8/16 4:03
Quant open-4,082
Worst price7.40
Drawdown as % of equity-0.65%
($1,826)
Includes Typical Broker Commissions trade costs of $10.00
12/11/15 9:41 TWX TIME WARNER INC SHORT 476 66.49 1/6/16 9:46 66.00 0.02%
Trade id #98744580
Max drawdown($64)
Time12/11/15 10:32
Quant open-476
Worst price66.62
Drawdown as % of equity-0.02%
$221
Includes Typical Broker Commissions trade costs of $9.52
12/8/15 9:30 NWSA NEWS CORP CLASS A SHORT 2,000 13.56 1/6/16 9:30 12.71 0.22%
Trade id #98684025
Max drawdown($630)
Time12/10/15 14:48
Quant open-2,000
Worst price13.88
Drawdown as % of equity-0.22%
$1,680
Includes Typical Broker Commissions trade costs of $10.00
12/3/15 9:45 LHO LASALLE HOTEL PROPERTIES SHORT 1,176 27.45 12/24 11:10 25.88 0%
Trade id #98622917
Max drawdown($11)
Time12/3/15 9:49
Quant open-1,176
Worst price27.46
Drawdown as % of equity-0.00%
$1,842
Includes Typical Broker Commissions trade costs of $10.00
12/7/15 9:54 TTM TATA MOTORS SHORT 852 29.41 12/24 10:14 28.12 0.2%
Trade id #98664903
Max drawdown($566)
Time12/8/15 11:54
Quant open-852
Worst price30.08
Drawdown as % of equity-0.20%
$1,086
Includes Typical Broker Commissions trade costs of $17.04
12/11/15 9:30 TROW T. ROWE PRICE SHORT 500 72.38 12/23 13:00 70.96 0.01%
Trade id #98743960
Max drawdown($28)
Time12/17/15 9:31
Quant open-250
Worst price72.49
Drawdown as % of equity-0.01%
$700
Includes Typical Broker Commissions trade costs of $10.00
12/21/15 9:41 JEC JACOBS ENGINEERING SHORT 816 40.73 12/23 11:42 43.20 0.71%
Trade id #98862368
Max drawdown($2,016)
Time12/23/15 11:42
Quant open408
Worst price43.20
Drawdown as % of equity-0.71%
($2,032)
Includes Typical Broker Commissions trade costs of $16.32
12/3/15 10:19 OII OCEANEERING INTERNATIONAL SHORT 588 41.75 12/23 9:36 38.38 0.1%
Trade id #98624162
Max drawdown($282)
Time12/3/15 12:56
Quant open-588
Worst price42.23
Drawdown as % of equity-0.10%
$1,970
Includes Typical Broker Commissions trade costs of $11.76
12/2/15 11:53 UTX UNITED TECHNOLOGIES SHORT 520 95.91 12/23 9:30 95.74 0.13%
Trade id #98605102
Max drawdown($374)
Time12/4/15 10:59
Quant open-520
Worst price96.63
Drawdown as % of equity-0.13%
$78
Includes Typical Broker Commissions trade costs of $10.40
12/3/15 10:21 FIG SIMPLIFY MACRO STRATEGY ETF SHORT 3,334 5.23 12/21 10:10 5.22 0.43%
Trade id #98624232
Max drawdown($1,233)
Time12/3/15 16:29
Quant open-3,334
Worst price5.60
Drawdown as % of equity-0.43%
$23
Includes Typical Broker Commissions trade costs of $10.00
12/9/15 12:30 GRUB JUST EAT TAKEAWAY.COM N.V. AMERICAN DEPOSITARY SHA SHORT 504 23.78 12/18 10:22 24.15 0.19%
Trade id #98709004
Max drawdown($554)
Time12/10/15 10:41
Quant open-504
Worst price24.88
Drawdown as % of equity-0.19%
($196)
Includes Typical Broker Commissions trade costs of $10.08
12/11/15 9:38 MU MICRON TECHNOLOGY SHORT 408 14.20 12/17 9:30 14.65 0.09%
Trade id #98744493
Max drawdown($248)
Time12/17/15 6:02
Quant open-408
Worst price14.81
Drawdown as % of equity-0.09%
($192)
Includes Typical Broker Commissions trade costs of $8.16
12/11/15 9:41 EWT ISHARES MSCI TAIWAN INDEX SHORT 2,898 12.88 12/16 9:30 13.30 0.42%
Trade id #98744588
Max drawdown($1,232)
Time12/16/15 9:30
Quant open1,449
Worst price13.30
Drawdown as % of equity-0.42%
($1,242)
Includes Typical Broker Commissions trade costs of $10.00
11/30/15 9:51 ASX ASE TECHNOLOGY HOLDING INC SHORT 6,452 5.31 12/16 9:30 5.57 0.59%
Trade id #98564763
Max drawdown($1,709)
Time12/1/15 9:49
Quant open-6,452
Worst price5.58
Drawdown as % of equity-0.59%
($1,623)
Includes Typical Broker Commissions trade costs of $10.00
11/23/15 10:10 CNK CINEMARK HOLDINGS SHORT 630 34.53 12/15 10:03 34.10 0.21%
Trade id #98487498
Max drawdown($598)
Time11/27/15 9:31
Quant open-630
Worst price35.48
Drawdown as % of equity-0.21%
$258
Includes Typical Broker Commissions trade costs of $12.60
12/8/15 9:45 OIS OIL STATES INTERNATIONAL SHORT 564 28.82 12/15 9:30 29.45 0.18%
Trade id #98684703
Max drawdown($523)
Time12/9/15 9:49
Quant open-564
Worst price29.75
Drawdown as % of equity-0.18%
($365)
Includes Typical Broker Commissions trade costs of $11.28
12/8/15 9:45 NUE NUCOR SHORT 870 39.64 12/10 14:18 41.30 0.51%
Trade id #98684716
Max drawdown($1,444)
Time12/10/15 14:18
Quant open435
Worst price41.30
Drawdown as % of equity-0.51%
($1,461)
Includes Typical Broker Commissions trade costs of $17.40
12/7/15 12:23 LCI LANNETT COMPANY SHORT 486 35.75 12/10 11:44 39.25 0.59%
Trade id #98668860
Max drawdown($1,701)
Time12/10/15 11:44
Quant open243
Worst price39.25
Drawdown as % of equity-0.59%
($1,711)
Includes Typical Broker Commissions trade costs of $9.72
11/18/15 11:18 LLY ELI LILLY LONG 412 82.46 12/10 9:32 83.50 0.06%
Trade id #98430145
Max drawdown($185)
Time11/30/15 19:21
Quant open412
Worst price82.01
Drawdown as % of equity-0.06%
$420
Includes Typical Broker Commissions trade costs of $8.24
11/24/15 10:44 EXC EXELON SHORT 654 27.50 12/9 10:39 27.00 0.11%
Trade id #98507146
Max drawdown($327)
Time11/25/15 19:43
Quant open-654
Worst price28.00
Drawdown as % of equity-0.11%
$322
Includes Typical Broker Commissions trade costs of $5.00
12/8/15 9:45 CVX CHEVRON SHORT 300 85.69 12/9 10:33 90.00 0.45%
Trade id #98684713
Max drawdown($1,293)
Time12/9/15 10:33
Quant open150
Worst price90.00
Drawdown as % of equity-0.45%
($1,299)
Includes Typical Broker Commissions trade costs of $6.00
11/11/15 9:40 NTAP NETAPP SHORT 1,176 33.12 12/7 10:41 31.05 0.22%
Trade id #98319345
Max drawdown($652)
Time11/18/15 16:05
Quant open-1,176
Worst price33.68
Drawdown as % of equity-0.22%
$2,424
Includes Typical Broker Commissions trade costs of $10.00
11/27/15 9:43 ACAD ACADIA PHARMACEUTICALS LONG 370 39.16 12/3 12:49 36.15 0.39%
Trade id #98549896
Max drawdown($1,114)
Time12/3/15 12:49
Quant open185
Worst price36.15
Drawdown as % of equity-0.39%
($1,121)
Includes Typical Broker Commissions trade costs of $7.40
12/2/15 10:05 ITUB ITAU UNIBANCO HOLDING SHORT 2,198 7.05 12/3 9:44 7.60 0.47%
Trade id #98601793
Max drawdown($1,362)
Time12/3/15 8:29
Quant open-2,198
Worst price7.67
Drawdown as % of equity-0.47%
($1,219)
Includes Typical Broker Commissions trade costs of $10.00
11/18/15 11:15 ABC AMERISOURCEBERGEN LONG 282 99.51 12/2 14:45 98.54 0.18%
Trade id #98430059
Max drawdown($538)
Time11/24/15 9:29
Quant open282
Worst price97.60
Drawdown as % of equity-0.18%
($279)
Includes Typical Broker Commissions trade costs of $5.64
11/11/15 10:13 NAVI NAVIENT CORPORATION COMMON STO SHORT 1,380 12.51 12/1 14:45 11.91 0.05%
Trade id #98320616
Max drawdown($151)
Time11/11/15 18:14
Quant open-1,380
Worst price12.62
Drawdown as % of equity-0.05%
$825
Includes Typical Broker Commissions trade costs of $10.00
11/19/15 14:17 ZTS ZOETIS INC LONG 646 47.20 12/1 10:32 46.25 0.21%
Trade id #98455646
Max drawdown($614)
Time12/1/15 10:32
Quant open323
Worst price46.25
Drawdown as % of equity-0.21%
($627)
Includes Typical Broker Commissions trade costs of $12.92

Statistics

  • Strategy began
    8/19/2014
  • Suggested Minimum Cap
    $291,985
  • Strategy Age (days)
    3507.88
  • Age
    117 months ago
  • What it trades
    Stocks
  • # Trades
    212
  • # Profitable
    88
  • % Profitable
    41.50%
  • Avg trade duration
    10.7 days
  • Max peak-to-valley drawdown
    21.58%
  • drawdown period
    Nov 01, 2014 - Nov 22, 2015
  • Annual Return (Compounded)
    -0.5%
  • Avg win
    $1,220
  • Avg loss
    $937.48
  • Model Account Values (Raw)
  • Cash
    $283,977
  • Margin Used
    $0
  • Buying Power
    $283,977
  • Ratios
  • W:L ratio
    0.93:1
  • Sharpe Ratio
    -0.59
  • Sortino Ratio
    -0.82
  • Calmar Ratio
    -0.05
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -168.00%
  • Correlation to SP500
    -0.01740
  • Return Percent SP500 (cumu) during strategy life
    165.16%
  • Return Statistics
  • Ann Return (w trading costs)
    -0.5%
  • Slump
  • Current Slump as Pcnt Equity
    15.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.98%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.005%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -0.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    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
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $937
  • Avg Win
    $1,221
  • Sum Trade PL (losers)
    $116,248.000
  • Age
  • Num Months filled monthly returns table
    116
  • Win / Loss
  • Sum Trade PL (winners)
    $107,423.000
  • # Winners
    88
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    817
  • Win / Loss
  • # Losers
    124
  • % Winners
    41.5%
  • Frequency
  • Avg Position Time (mins)
    15384.50
  • Avg Position Time (hrs)
    256.41
  • Avg Trade Length
    10.7 days
  • Last Trade Ago
    2924
  • Regression
  • Alpha
    -0.01
  • Beta
    -0.00
  • Treynor Index
    1.77
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    45.07
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    31.49
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.37
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -15.863
  • 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
    0.409
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.119
  • Hold-and-Hope Ratio
    -0.063
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03352
  • SD
    0.03807
  • Sharpe ratio (Glass type estimate)
    -0.88064
  • Sharpe ratio (Hedges UMVUE)
    -0.86788
  • df
    52.00000
  • t
    -1.85074
  • p
    0.96505
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.82433
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.07119
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.81529
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.07953
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.07792
  • Upside Potential Ratio
    0.73279
  • Upside part of mean
    0.02279
  • Downside part of mean
    -0.05631
  • Upside SD
    0.02341
  • Downside SD
    0.03110
  • N nonnegative terms
    9.00000
  • N negative terms
    44.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    53.00000
  • Mean of predictor
    0.20747
  • Mean of criterion
    -0.03352
  • SD of predictor
    0.20725
  • SD of criterion
    0.03807
  • Covariance
    0.00157
  • r
    0.19883
  • b (slope, estimate of beta)
    0.03652
  • a (intercept, estimate of alpha)
    -0.04110
  • Mean Square Error
    0.00142
  • DF error
    51.00000
  • t(b)
    1.44886
  • p(b)
    0.07675
  • t(a)
    -2.20114
  • p(a)
    0.98386
  • Lowerbound of 95% confidence interval for beta
    -0.01408
  • Upperbound of 95% confidence interval for beta
    0.08712
  • Lowerbound of 95% confidence interval for alpha
    -0.07859
  • Upperbound of 95% confidence interval for alpha
    -0.00361
  • Treynor index (mean / b)
    -0.91793
  • Jensen alpha (a)
    -0.04110
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03420
  • SD
    0.03809
  • Sharpe ratio (Glass type estimate)
    -0.89787
  • Sharpe ratio (Hedges UMVUE)
    -0.88485
  • df
    52.00000
  • t
    -1.88694
  • p
    0.96762
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.84209
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.05467
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.83284
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06314
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.08620
  • Upside Potential Ratio
    0.71355
  • Upside part of mean
    0.02247
  • Downside part of mean
    -0.05667
  • Upside SD
    0.02302
  • Downside SD
    0.03149
  • N nonnegative terms
    9.00000
  • N negative terms
    44.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    53.00000
  • Mean of predictor
    0.18555
  • Mean of criterion
    -0.03420
  • SD of predictor
    0.19892
  • SD of criterion
    0.03809
  • Covariance
    0.00162
  • r
    0.21358
  • b (slope, estimate of beta)
    0.04090
  • a (intercept, estimate of alpha)
    -0.04179
  • Mean Square Error
    0.00141
  • DF error
    51.00000
  • t(b)
    1.56133
  • p(b)
    0.06232
  • t(a)
    -2.25544
  • p(a)
    0.98579
  • Lowerbound of 95% confidence interval for beta
    -0.01169
  • Upperbound of 95% confidence interval for beta
    0.09349
  • Lowerbound of 95% confidence interval for alpha
    -0.07899
  • Upperbound of 95% confidence interval for alpha
    -0.00459
  • Treynor index (mean / b)
    -0.83624
  • Jensen alpha (a)
    -0.04179
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02072
  • Expected Shortfall on VaR
    0.02520
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01452
  • Expected Shortfall on VaR
    0.02579
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    53.00000
  • Minimum
    0.96035
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.03949
  • Mean of quarter 1
    0.98943
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00949
  • Inter Quartile Range
    0.00000
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.20755
  • Mean of outliers low
    0.98654
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.18868
  • Mean of outliers high
    1.01234
  • 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)
    -0.47106
  • VaR(95%) (regression method)
    0.01469
  • Expected Shortfall (regression method)
    0.01931
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.11133
  • Quartile 1
    0.11133
  • Median
    0.11133
  • Quartile 3
    0.11133
  • Maximum
    0.11133
  • 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)
    -0.00621
  • Compounded annual return (geometric extrapolation)
    -0.00628
  • Calmar ratio (compounded annual return / max draw down)
    -0.05638
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.24905
  • 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
    -0.03340
  • SD
    0.03981
  • Sharpe ratio (Glass type estimate)
    -0.83905
  • Sharpe ratio (Hedges UMVUE)
    -0.83850
  • df
    1158.00000
  • t
    -1.76473
  • p
    0.52590
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.77138
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.09362
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.77100
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09399
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.17242
  • Upside Potential Ratio
    3.59391
  • Upside part of mean
    0.10239
  • Downside part of mean
    -0.13580
  • Upside SD
    0.02786
  • Downside SD
    0.02849
  • N nonnegative terms
    182.00000
  • N negative terms
    977.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1159.00000
  • Mean of predictor
    0.22102
  • Mean of criterion
    -0.03340
  • SD of predictor
    0.24081
  • SD of criterion
    0.03981
  • Covariance
    -0.00020
  • r
    -0.02093
  • b (slope, estimate of beta)
    -0.00346
  • a (intercept, estimate of alpha)
    -0.03300
  • Mean Square Error
    0.00159
  • DF error
    1157.00000
  • t(b)
    -0.71201
  • p(b)
    0.51332
  • t(a)
    -1.72120
  • p(a)
    0.53216
  • Lowerbound of 95% confidence interval for beta
    -0.01299
  • Upperbound of 95% confidence interval for beta
    0.00607
  • Lowerbound of 95% confidence interval for alpha
    -0.06984
  • Upperbound of 95% confidence interval for alpha
    0.00457
  • Treynor index (mean / b)
    9.65464
  • Jensen alpha (a)
    -0.03264
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03419
  • SD
    0.03980
  • Sharpe ratio (Glass type estimate)
    -0.85918
  • Sharpe ratio (Hedges UMVUE)
    -0.85863
  • df
    1158.00000
  • t
    -1.80708
  • p
    0.52651
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.79155
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.07351
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.79116
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.07390
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.19375
  • Upside Potential Ratio
    3.56095
  • Upside part of mean
    0.10200
  • Downside part of mean
    -0.13619
  • Upside SD
    0.02769
  • Downside SD
    0.02864
  • N nonnegative terms
    182.00000
  • N negative terms
    977.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1159.00000
  • Mean of predictor
    0.19099
  • Mean of criterion
    -0.03419
  • SD of predictor
    0.24699
  • SD of criterion
    0.03980
  • Covariance
    -0.00020
  • r
    -0.02032
  • b (slope, estimate of beta)
    -0.00327
  • a (intercept, estimate of alpha)
    -0.03357
  • Mean Square Error
    0.00158
  • DF error
    1157.00000
  • t(b)
    -0.69121
  • p(b)
    0.51293
  • t(a)
    -1.77161
  • p(a)
    0.53310
  • Lowerbound of 95% confidence interval for beta
    -0.01257
  • Upperbound of 95% confidence interval for beta
    0.00602
  • Lowerbound of 95% confidence interval for alpha
    -0.07074
  • Upperbound of 95% confidence interval for alpha
    0.00361
  • Treynor index (mean / b)
    10.44490
  • Jensen alpha (a)
    -0.03357
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00417
  • Expected Shortfall on VaR
    0.00519
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00162
  • Expected Shortfall on VaR
    0.00349
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1159.00000
  • Minimum
    0.97926
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.02090
  • Mean of quarter 1
    0.99829
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00163
  • Inter Quartile Range
    0.00000
  • Number outliers low
    185.00000
  • Percentage of outliers low
    0.15962
  • Mean of outliers low
    0.99731
  • Number of outliers high
    191.00000
  • Percentage of outliers high
    0.16480
  • Mean of outliers high
    1.00247
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.14857
  • VaR(95%) (moments method)
    0.00175
  • Expected Shortfall (moments method)
    0.00337
  • Extreme Value Index (regression method)
    0.07222
  • VaR(95%) (regression method)
    0.00227
  • Expected Shortfall (regression method)
    0.00470
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00362
  • Quartile 1
    0.00515
  • Median
    0.00782
  • Quartile 3
    0.02000
  • Maximum
    0.12547
  • Mean of quarter 1
    0.00402
  • Mean of quarter 2
    0.00685
  • Mean of quarter 3
    0.01925
  • Mean of quarter 4
    0.07310
  • Inter Quartile Range
    0.01484
  • 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
    0.12547
  • 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)
    -0.00620
  • Compounded annual return (geometric extrapolation)
    -0.00627
  • Calmar ratio (compounded annual return / max draw down)
    -0.04995
  • Compounded annual return / average of 25% largest draw downs
    -0.08572
  • Compounded annual return / Expected Shortfall lognormal
    -1.20789
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.86681
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.43257
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.77083
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.43907
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6826270000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.00400
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    887059999999999999326093324582912.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -385310000
  • Max Equity Drawdown (num days)
    386
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Our strategy includes a number of powerful indicators developed by us, identifying the development momentum in order to join in by winning the next gathering round. Same procedure in performed while the momentum modes, or stages, are identified as to abandon the stock before the its drop.
Our systems are proven algorithms that incorporate advanced mathematical and statistical tools that have been successfully examined under a wide variety of market behavior, including upward and downward cycles.
Managing the open positions automatically seeks to settle the risk down to a minimum within a few days, and for maximum profit potential.
Our trade types belongs to the category of "SWING", the life span range of our open positions are averaged as 2-3 weeks.
We place special emphasis on risk management as a concept of life.
Alpha Tech disclaims any pretense of "Predictions " in the context of locating deeps or record picks. Our special Tools that we have developed allow us to manage all existing scenarios starting from a situation where there is an increased chance of a large profit versus a loss. Alpha Tech avoids any investment that does not meet the strict relation to its investments determined.
For further details please contact:
Eitan at [email protected] or Pessach at [email protected]

Summary Statistics

Strategy began
2014-08-19
Suggested Minimum Capital
$45,000
# Trades
212
# Profitable
88
% Profitable
41.5%
Net Dividends
Correlation S&P500
-0.017
Sharpe Ratio
-0.59
Sortino Ratio
-0.82
Beta
-0.00
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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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.