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

Sector SPY
(89272378)

Created by: MikeKelly MikeKelly
Started: 08/2014
Stocks
Last trade: 3,328 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 $79.00 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.

2.6%
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.

(16.5%)
Max Drawdown
25
Num Trades
64.0%
Win Trades
2.8 : 1
Profit Factor
58.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014                                                 +0.1%(0.4%)+4.2%+1.4%+2.7%+8.3%
2015(2%)(0.9%)+0.7%(1%)(1.7%)(7.8%)+9.4%(2.1%)+1.0%+0.6%(0.7%)+0.6%(4.5%)
2016+0.9%+2.3%+0.6%+0.3%+0.3%+5.0%+0.6%(1.6%)(0.5%)(2.2%)(4.4%)+1.2%+2.2%
2017+0.2%+2.4%(0.3%)+0.8%+1.4%+0.2%+0.1%+1.5%(1%)+0.7%+1.0%(0.4%)+6.8%
2018(0.7%)(2%)+0.5%+0.2%+0.3%+1.0%(0.1%)+1.6%(1.1%)(0.8%)+0.6%+1.3%+0.7%
2019(0.1%)+1.9%+1.8%(1.1%)+2.1%+1.5%+0.2%+3.9%(0.1%)(0.1%)+0.7%+0.1%+11.4%
2020+2.8%+1.7%  -  +3.2%(1.1%)(1.2%)+3.3%(2.2%)+0.8%(1.1%)+1.8%(0.8%)+7.2%
2021(0.8%)(3.2%)+0.6%+1.9%(0.5%)+1.0%+3.1%+0.5%(1.2%)+0.8%+0.2%+1.6%+4.0%
2022(3.8%)(0.2%)+0.8%(3.1%)(0.2%)(1.2%)+0.2%+0.6%(4.4%)(4.1%)+5.9%(0.3%)(9.8%)
2023+0.8%(3.6%)+2.4%+1.5%(2.5%)+0.9%+0.8%(2.9%)(1.3%)(3.4%)+4.5%+2.2%(1%)
2024(1%)+0.9%+1.4%                                                      +1.2%

Model Account Details

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

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

System developer has asked us to delay this information by 24 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/11/15 9:30 SPY SPDR S&P 500 LONG 300 206.61 2/17 9:31 209.40 0.22%
Trade id #92451835
Max drawdown($234)
Time2/11/15 13:15
Quant open300
Worst price205.83
Drawdown as % of equity-0.22%
$831
Includes Typical Broker Commissions trade costs of $6.00
1/2/15 9:30 SPY SPDR S&P 500 LONG 300 206.38 2/3 9:30 203.00 2.63%
Trade id #91627636
Max drawdown($2,769)
Time1/16/15 8:03
Quant open300
Worst price197.15
Drawdown as % of equity-2.63%
($1,020)
Includes Typical Broker Commissions trade costs of $6.00
12/1/14 9:30 XLY SPDR CONSUMER DISCRET SELECT LONG 210 71.60 2/2/15 9:31 70.17 0.62%
Trade id #91069891
Max drawdown($651)
Time1/16/15 10:16
Quant open210
Worst price68.50
Drawdown as % of equity-0.62%
($304)
Includes Typical Broker Commissions trade costs of $4.20
1/2/15 9:31 XLF FINANCIAL SELECT SECTOR SPDR LONG 600 24.86 2/2 9:31 23.07 1.05%
Trade id #91627697
Max drawdown($1,122)
Time1/30/15 17:00
Quant open600
Worst price22.99
Drawdown as % of equity-1.05%
($1,079)
Includes Typical Broker Commissions trade costs of $5.00
1/2/15 9:30 XLE ENERGY SELECT SECTOR SPDR LONG 200 78.73 2/2 9:30 76.48 1.34%
Trade id #91627527
Max drawdown($1,406)
Time1/14/15 13:46
Quant open200
Worst price71.70
Drawdown as % of equity-1.34%
($454)
Includes Typical Broker Commissions trade costs of $4.00
9/2/14 9:31 XLV HEALTH CARE SELECT SECTOR SPDR LONG 160 63.99 1/2/15 9:31 68.71 0.04%
Trade id #89384948
Max drawdown($43)
Time10/23/14 9:26
Quant open160
Worst price63.72
Drawdown as % of equity-0.04%
$752
Includes Typical Broker Commissions trade costs of $3.20
12/1/14 9:30 XLK TECHNOLOGY SELECT SECTOR SPDR LONG 350 42.39 1/2/15 9:30 41.61 0.86%
Trade id #91069825
Max drawdown($899)
Time12/16/14 16:16
Quant open350
Worst price39.82
Drawdown as % of equity-0.86%
($280)
Includes Typical Broker Commissions trade costs of $7.00
9/2/14 9:30 XLP SPDR CONSUMER STAPLES SELECT LONG 220 45.18 1/2/15 9:30 48.62 0.05%
Trade id #89384794
Max drawdown($50)
Time10/21/14 9:32
Quant open220
Worst price44.95
Drawdown as % of equity-0.05%
$753
Includes Typical Broker Commissions trade costs of $4.40
12/17/14 9:30 SPY SPDR S&P 500 LONG 300 198.44 12/23 9:30 208.17 0.01%
Trade id #91376263
Max drawdown($9)
Time12/17/14 9:32
Quant open300
Worst price198.41
Drawdown as % of equity-0.01%
$2,913
Includes Typical Broker Commissions trade costs of $6.00
11/24/14 9:30 SPY SPDR S&P 500 LONG 300 207.17 12/4 9:30 207.54 0.51%
Trade id #90957292
Max drawdown($537)
Time12/1/14 11:00
Quant open300
Worst price205.38
Drawdown as % of equity-0.51%
$105
Includes Typical Broker Commissions trade costs of $6.00
11/3/14 9:30 XLU UTILITIES SELECT SECTOR SPDR LONG 240 45.52 12/1 9:31 45.91 0.17%
Trade id #90578487
Max drawdown($180)
Time11/17/14 8:01
Quant open240
Worst price44.77
Drawdown as % of equity-0.17%
$89
Includes Typical Broker Commissions trade costs of $4.80
11/3/14 9:30 XLF FINANCIAL SELECT SECTOR SPDR LONG 460 23.90 12/1 9:30 24.27 0.07%
Trade id #90578400
Max drawdown($69)
Time11/4/14 11:09
Quant open460
Worst price23.75
Drawdown as % of equity-0.07%
$161
Includes Typical Broker Commissions trade costs of $9.20
11/3/14 9:31 XLI INDUSTRIAL SELECT SECTOR SPDR LONG 200 55.29 12/1 9:30 56.73 0.08%
Trade id #90578615
Max drawdown($79)
Time11/3/14 10:51
Quant open200
Worst price54.90
Drawdown as % of equity-0.08%
$284
Includes Typical Broker Commissions trade costs of $4.00
11/12/14 9:30 SPY SPDR S&P 500 LONG 300 203.35 11/17 9:31 203.85 0.04%
Trade id #90756604
Max drawdown($42)
Time11/13/14 13:37
Quant open300
Worst price203.21
Drawdown as % of equity-0.04%
$144
Includes Typical Broker Commissions trade costs of $6.00
10/28/14 9:30 SPY SPDR S&P 500 LONG 300 196.82 11/4 9:30 201.23 0.03%
Trade id #90471345
Max drawdown($27)
Time10/28/14 9:42
Quant open300
Worst price196.73
Drawdown as % of equity-0.03%
$1,317
Includes Typical Broker Commissions trade costs of $6.00
9/2/14 9:30 TLT ISHARES 20+ YEAR TREASURY BOND LONG 240 117.02 11/3 9:30 118.90 0.36%
Trade id #89384891
Max drawdown($364)
Time9/17/14 15:58
Quant open80
Worst price112.73
Drawdown as % of equity-0.36%
$446
Includes Typical Broker Commissions trade costs of $4.80
10/13/14 9:31 SPY SPDR S&P 500 LONG 300 190.46 10/22 9:30 194.41 2.57%
Trade id #90210265
Max drawdown($2,562)
Time10/15/14 13:29
Quant open300
Worst price181.92
Drawdown as % of equity-2.57%
$1,179
Includes Typical Broker Commissions trade costs of $6.00
10/1/14 9:31 SPY SPDR S&P 500 LONG 260 196.70 10/6 9:31 197.34 1.14%
Trade id #90001138
Max drawdown($1,131)
Time10/2/14 11:45
Quant open260
Worst price192.35
Drawdown as % of equity-1.14%
$161
Includes Typical Broker Commissions trade costs of $5.20
9/2/14 9:30 XLY SPDR CONSUMER DISCRET SELECT LONG 140 68.85 10/1 9:31 66.54 0.33%
Trade id #89384876
Max drawdown($327)
Time10/1/14 9:31
Quant open140
Worst price66.51
Drawdown as % of equity-0.33%
($326)
Includes Typical Broker Commissions trade costs of $2.80
9/2/14 9:32 XLU UTILITIES SELECT SECTOR SPDR LONG 225 43.22 10/1 9:31 42.27 0.41%
Trade id #89385156
Max drawdown($409)
Time9/26/14 9:45
Quant open225
Worst price41.40
Drawdown as % of equity-0.41%
($219)
Includes Typical Broker Commissions trade costs of $4.50
9/16/14 9:30 SPY SPDR S&P 500 LONG 250 198.61 9/23 9:30 198.43 0.05%
Trade id #89702114
Max drawdown($45)
Time9/23/14 9:30
Quant open0
Worst price198.43
Drawdown as % of equity-0.05%
($50)
Includes Typical Broker Commissions trade costs of $5.00
8/26/14 9:30 SPY SPDR S&P 500 LONG 250 200.33 9/4 9:30 200.84 0.24%
Trade id #89281801
Max drawdown($235)
Time8/28/14 9:46
Quant open250
Worst price199.39
Drawdown as % of equity-0.24%
$123
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    8/25/2014
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    3502.31
  • Age
    117 months ago
  • What it trades
    Stocks
  • # Trades
    25
  • # Profitable
    16
  • % Profitable
    64.00%
  • Avg trade duration
    432.8 days
  • Max peak-to-valley drawdown
    16.51%
  • drawdown period
    Dec 16, 2021 - Oct 26, 2023
  • Annual Return (Compounded)
    2.6%
  • Avg win
    $1,619
  • Avg loss
    $1,732
  • Model Account Values (Raw)
  • Cash
    $89,811
  • Margin Used
    $0
  • Buying Power
    $94,486
  • Ratios
  • W:L ratio
    2.82:1
  • Sharpe Ratio
    0.1
  • Sortino Ratio
    0.15
  • Calmar Ratio
    0.567
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -135.08%
  • Correlation to SP500
    0.33070
  • Return Percent SP500 (cumu) during strategy life
    162.99%
  • Return Statistics
  • Ann Return (w trading costs)
    2.6%
  • Slump
  • Current Slump as Pcnt Equity
    10.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.24%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.026%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.6%
  • 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
    $1,732
  • Avg Win
    $1,619
  • Sum Trade PL (losers)
    $15,591.000
  • Age
  • Num Months filled monthly returns table
    116
  • Win / Loss
  • Sum Trade PL (winners)
    $25,907.000
  • # Winners
    16
  • Num Months Winners
    68
  • Dividends
  • Dividends Received in Model Acct
    17993
  • Win / Loss
  • # Losers
    9
  • % Winners
    64.0%
  • Frequency
  • Avg Position Time (mins)
    623243.00
  • Avg Position Time (hrs)
    10387.40
  • Avg Trade Length
    432.8 days
  • Last Trade Ago
    3328
  • Regression
  • Alpha
    -0.00
  • Beta
    0.14
  • Treynor Index
    0.02
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    37.81
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    26.02
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.11
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    3.489
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.13
  • Avg(MAE) / Avg(PL) - Winning trades
    0.377
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.485
  • Hold-and-Hope Ratio
    0.564
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06287
  • SD
    0.11003
  • Sharpe ratio (Glass type estimate)
    0.57134
  • Sharpe ratio (Hedges UMVUE)
    0.55782
  • df
    32.00000
  • t
    0.94746
  • p
    0.17525
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.62311
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.75706
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.63195
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.74760
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.87721
  • Upside Potential Ratio
    2.68373
  • Upside part of mean
    0.19233
  • Downside part of mean
    -0.12946
  • Upside SD
    0.08327
  • Downside SD
    0.07167
  • N nonnegative terms
    19.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.32781
  • Mean of criterion
    0.06287
  • SD of predictor
    0.28329
  • SD of criterion
    0.11003
  • Covariance
    0.00539
  • r
    0.17300
  • b (slope, estimate of beta)
    0.06720
  • a (intercept, estimate of alpha)
    0.04084
  • Mean Square Error
    0.01212
  • DF error
    31.00000
  • t(b)
    0.97800
  • p(b)
    0.16782
  • t(a)
    0.58246
  • p(a)
    0.28224
  • Lowerbound of 95% confidence interval for beta
    -0.07294
  • Upperbound of 95% confidence interval for beta
    0.20733
  • Lowerbound of 95% confidence interval for alpha
    -0.10216
  • Upperbound of 95% confidence interval for alpha
    0.18383
  • Treynor index (mean / b)
    0.93554
  • Jensen alpha (a)
    0.04084
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05673
  • SD
    0.10983
  • Sharpe ratio (Glass type estimate)
    0.51655
  • Sharpe ratio (Hedges UMVUE)
    0.50433
  • df
    32.00000
  • t
    0.85659
  • p
    0.19902
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.67603
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.70118
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68402
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.69267
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.77562
  • Upside Potential Ratio
    2.57757
  • Upside part of mean
    0.18853
  • Downside part of mean
    -0.13180
  • Upside SD
    0.08133
  • Downside SD
    0.07314
  • N nonnegative terms
    19.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.28629
  • Mean of criterion
    0.05673
  • SD of predictor
    0.27357
  • SD of criterion
    0.10983
  • Covariance
    0.00550
  • r
    0.18316
  • b (slope, estimate of beta)
    0.07353
  • a (intercept, estimate of alpha)
    0.03568
  • Mean Square Error
    0.01203
  • DF error
    31.00000
  • t(b)
    1.03733
  • p(b)
    0.15380
  • t(a)
    0.51565
  • p(a)
    0.30488
  • Lowerbound of 95% confidence interval for beta
    -0.07104
  • Upperbound of 95% confidence interval for beta
    0.21810
  • Lowerbound of 95% confidence interval for alpha
    -0.10544
  • Upperbound of 95% confidence interval for alpha
    0.17680
  • Treynor index (mean / b)
    0.77151
  • Jensen alpha (a)
    0.03568
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04631
  • Expected Shortfall on VaR
    0.05880
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02256
  • Expected Shortfall on VaR
    0.04364
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    33.00000
  • Minimum
    0.94999
  • Quartile 1
    0.98994
  • Median
    1.01293
  • Quartile 3
    1.03049
  • Maximum
    1.07325
  • Mean of quarter 1
    0.96533
  • Mean of quarter 2
    1.00198
  • Mean of quarter 3
    1.02559
  • Mean of quarter 4
    1.04265
  • Inter Quartile Range
    0.04055
  • 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)
    -6.01631
  • VaR(95%) (moments method)
    0.02499
  • Expected Shortfall (moments method)
    0.02500
  • Extreme Value Index (regression method)
    -2.10157
  • VaR(95%) (regression method)
    0.04115
  • Expected Shortfall (regression method)
    0.04180
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00374
  • Quartile 1
    0.03958
  • Median
    0.04654
  • Quartile 3
    0.06118
  • Maximum
    0.09525
  • Mean of quarter 1
    0.02064
  • Mean of quarter 2
    0.04568
  • Mean of quarter 3
    0.04740
  • Mean of quarter 4
    0.08051
  • Inter Quartile Range
    0.02160
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.16667
  • Mean of outliers low
    0.00374
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.09525
  • 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)
    0.09530
  • Compounded annual return (geometric extrapolation)
    0.08832
  • Calmar ratio (compounded annual return / max draw down)
    0.92729
  • Compounded annual return / average of 25% largest draw downs
    1.09700
  • Compounded annual return / Expected Shortfall lognormal
    1.50207
  • 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
    0.07027
  • SD
    0.13559
  • Sharpe ratio (Glass type estimate)
    0.51827
  • Sharpe ratio (Hedges UMVUE)
    0.51774
  • df
    733.00000
  • t
    0.86747
  • p
    0.19299
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65319
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.68938
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.65355
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.68902
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.74126
  • Upside Potential Ratio
    7.46672
  • Upside part of mean
    0.70785
  • Downside part of mean
    -0.63758
  • Upside SD
    0.09691
  • Downside SD
    0.09480
  • N nonnegative terms
    394.00000
  • N negative terms
    340.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    734.00000
  • Mean of predictor
    0.36162
  • Mean of criterion
    0.07027
  • SD of predictor
    0.31104
  • SD of criterion
    0.13559
  • Covariance
    0.01509
  • r
    0.35777
  • b (slope, estimate of beta)
    0.15596
  • a (intercept, estimate of alpha)
    0.01400
  • Mean Square Error
    0.01605
  • DF error
    732.00000
  • t(b)
    10.36590
  • p(b)
    0.00000
  • t(a)
    0.18278
  • p(a)
    0.42751
  • Lowerbound of 95% confidence interval for beta
    0.12642
  • Upperbound of 95% confidence interval for beta
    0.18550
  • Lowerbound of 95% confidence interval for alpha
    -0.13512
  • Upperbound of 95% confidence interval for alpha
    0.16286
  • Treynor index (mean / b)
    0.45056
  • Jensen alpha (a)
    0.01387
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06107
  • SD
    0.13568
  • Sharpe ratio (Glass type estimate)
    0.45011
  • Sharpe ratio (Hedges UMVUE)
    0.44965
  • df
    733.00000
  • t
    0.75339
  • p
    0.22573
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.72123
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.62119
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72156
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.62086
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.63532
  • Upside Potential Ratio
    7.31506
  • Upside part of mean
    0.70315
  • Downside part of mean
    -0.64208
  • Upside SD
    0.09569
  • Downside SD
    0.09612
  • N nonnegative terms
    394.00000
  • N negative terms
    340.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    734.00000
  • Mean of predictor
    0.31205
  • Mean of criterion
    0.06107
  • SD of predictor
    0.31613
  • SD of criterion
    0.13568
  • Covariance
    0.01547
  • r
    0.36070
  • b (slope, estimate of beta)
    0.15481
  • a (intercept, estimate of alpha)
    0.01276
  • Mean Square Error
    0.01604
  • DF error
    732.00000
  • t(b)
    10.46340
  • p(b)
    0.00000
  • t(a)
    0.16837
  • p(a)
    0.43317
  • Lowerbound of 95% confidence interval for beta
    0.12576
  • Upperbound of 95% confidence interval for beta
    0.18385
  • Lowerbound of 95% confidence interval for alpha
    -0.13604
  • Upperbound of 95% confidence interval for alpha
    0.16156
  • Treynor index (mean / b)
    0.39449
  • Jensen alpha (a)
    0.01276
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01346
  • Expected Shortfall on VaR
    0.01691
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00525
  • Expected Shortfall on VaR
    0.01112
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    734.00000
  • Minimum
    0.94279
  • Quartile 1
    0.99758
  • Median
    1.00045
  • Quartile 3
    1.00348
  • Maximum
    1.06101
  • Mean of quarter 1
    0.99126
  • Mean of quarter 2
    0.99927
  • Mean of quarter 3
    1.00169
  • Mean of quarter 4
    1.00929
  • Inter Quartile Range
    0.00590
  • Number outliers low
    44.00000
  • Percentage of outliers low
    0.05995
  • Mean of outliers low
    0.98180
  • Number of outliers high
    35.00000
  • Percentage of outliers high
    0.04768
  • Mean of outliers high
    1.02086
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.20836
  • VaR(95%) (moments method)
    0.00732
  • Expected Shortfall (moments method)
    0.01183
  • Extreme Value Index (regression method)
    -0.00386
  • VaR(95%) (regression method)
    0.00798
  • Expected Shortfall (regression method)
    0.01140
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    34.00000
  • Minimum
    0.00021
  • Quartile 1
    0.00115
  • Median
    0.00694
  • Quartile 3
    0.01597
  • Maximum
    0.16423
  • Mean of quarter 1
    0.00072
  • Mean of quarter 2
    0.00362
  • Mean of quarter 3
    0.01182
  • Mean of quarter 4
    0.07003
  • Inter Quartile Range
    0.01482
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.14706
  • Mean of outliers high
    0.10612
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.03065
  • VaR(95%) (moments method)
    0.05010
  • Expected Shortfall (moments method)
    0.07080
  • Extreme Value Index (regression method)
    0.04377
  • VaR(95%) (regression method)
    0.08360
  • Expected Shortfall (regression method)
    0.12817
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.10105
  • Compounded annual return (geometric extrapolation)
    0.09306
  • Calmar ratio (compounded annual return / max draw down)
    0.56662
  • Compounded annual return / average of 25% largest draw downs
    1.32871
  • Compounded annual return / Expected Shortfall lognormal
    5.50381
  • 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
    -0.11206
  • SD
    0.18818
  • Sharpe ratio (Glass type estimate)
    -0.59551
  • Sharpe ratio (Hedges UMVUE)
    -0.59206
  • df
    130.00000
  • t
    -0.42109
  • p
    0.51845
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.36717
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17833
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.36480
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.18068
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.83775
  • Upside Potential Ratio
    8.10967
  • Upside part of mean
    1.08478
  • Downside part of mean
    -1.19684
  • Upside SD
    0.13151
  • Downside SD
    0.13376
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.62173
  • Mean of criterion
    -0.11206
  • SD of predictor
    0.42647
  • SD of criterion
    0.18818
  • Covariance
    0.04495
  • r
    0.56013
  • b (slope, estimate of beta)
    0.24715
  • a (intercept, estimate of alpha)
    -0.26572
  • Mean Square Error
    0.02449
  • DF error
    129.00000
  • t(b)
    7.67967
  • p(b)
    0.16305
  • t(a)
    -1.19580
  • p(a)
    0.56654
  • Lowerbound of 95% confidence interval for beta
    0.18348
  • Upperbound of 95% confidence interval for beta
    0.31082
  • Lowerbound of 95% confidence interval for alpha
    -0.70537
  • Upperbound of 95% confidence interval for alpha
    0.17393
  • Treynor index (mean / b)
    -0.45341
  • Jensen alpha (a)
    -0.26572
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.12963
  • SD
    0.18808
  • Sharpe ratio (Glass type estimate)
    -0.68926
  • Sharpe ratio (Hedges UMVUE)
    -0.68527
  • df
    130.00000
  • t
    -0.48738
  • p
    0.52135
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.46100
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.08503
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.45833
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.08779
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.95942
  • Upside Potential Ratio
    7.96462
  • Upside part of mean
    1.07615
  • Downside part of mean
    -1.20578
  • Upside SD
    0.13004
  • Downside SD
    0.13512
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.53079
  • Mean of criterion
    -0.12963
  • SD of predictor
    0.42668
  • SD of criterion
    0.18808
  • Covariance
    0.04504
  • r
    0.56128
  • b (slope, estimate of beta)
    0.24741
  • a (intercept, estimate of alpha)
    -0.26096
  • Mean Square Error
    0.02442
  • DF error
    129.00000
  • t(b)
    7.70268
  • p(b)
    0.16244
  • t(a)
    -1.17738
  • p(a)
    0.56553
  • VAR (95 Confidence Intrvl)
    0.01300
  • Lowerbound of 95% confidence interval for beta
    0.18386
  • Upperbound of 95% confidence interval for beta
    0.31096
  • Lowerbound of 95% confidence interval for alpha
    -0.69948
  • Upperbound of 95% confidence interval for alpha
    0.17757
  • Treynor index (mean / b)
    -0.52396
  • Jensen alpha (a)
    -0.26096
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01942
  • Expected Shortfall on VaR
    0.02416
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01133
  • Expected Shortfall on VaR
    0.02030
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96290
  • Quartile 1
    0.99256
  • Median
    0.99986
  • Quartile 3
    1.00661
  • Maximum
    1.03928
  • Mean of quarter 1
    0.98554
  • Mean of quarter 2
    0.99656
  • Mean of quarter 3
    1.00254
  • Mean of quarter 4
    1.01416
  • Inter Quartile Range
    0.01405
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.96716
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.03710
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.11467
  • VaR(95%) (moments method)
    0.01472
  • Expected Shortfall (moments method)
    0.01841
  • Extreme Value Index (regression method)
    0.09198
  • VaR(95%) (regression method)
    0.01540
  • Expected Shortfall (regression method)
    0.02118
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00638
  • Quartile 1
    0.00755
  • Median
    0.03631
  • Quartile 3
    0.04099
  • Maximum
    0.16423
  • Mean of quarter 1
    0.00697
  • Mean of quarter 2
    0.03631
  • Mean of quarter 3
    0.04099
  • Mean of quarter 4
    0.16423
  • Inter Quartile Range
    0.03344
  • 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
    0.20000
  • Mean of outliers high
    0.16423
  • 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?
    -348596000
  • Max Equity Drawdown (num days)
    679
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.09918
  • Compounded annual return (geometric extrapolation)
    -0.09672
  • Calmar ratio (compounded annual return / max draw down)
    -0.58895
  • Compounded annual return / average of 25% largest draw downs
    -0.58895
  • Compounded annual return / Expected Shortfall lognormal
    -4.00402

Strategy Description

Will be going long SPY and some of the major sectors, including Bonds (TLT). Holding period will be minimum of 3-5 days, with some a month or longer.

Summary Statistics

Strategy began
2014-08-25
Suggested Minimum Capital
$15,000
# Trades
25
# Profitable
16
% Profitable
64.0%
Net Dividends
Correlation S&P500
0.331
Sharpe Ratio
0.10
Sortino Ratio
0.15
Beta
0.14
Alpha
-0.00

Latest Activity

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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.

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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.

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