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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more
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Tantra Stock Trader
(89874866)

Created by: TantraAdvisors TantraAdvisors
Started: 09/2014
Stocks
Last trade: 322 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 $100.00 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.

-28.9%
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.

(23.6%)
Max Drawdown
97
Num Trades
56.7%
Win Trades
2.0 : 1
Profit Factor
45.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014                                                        +4.0%(0.4%)(3.8%)(9.3%)(9.6%)
2015+4.5%+2.7%(13.9%)+1.2%(4.9%)(1.3%)(15.6%)(0.9%)(11.9%)(11.8%)(10.6%)(20.7%)(59.6%)
2016+5.2%(19.6%)+28.9%(6.5%)(2.7%)+76.2%(4.6%)(2.6%)+0.8%+4.6%(20.8%)(12.7%)+18.3%
2017+15.2%(19.5%)+2.1%(10.3%)(9.3%)(20.9%)+26.4%(14.1%)(9.9%)(24.4%)+15.3%(32.5%)(64.9%)
2018+39.1%(28.3%)(14.7%)+801.2%(0.3%)(1.9%)(1.7%)(0.2%)+0.4%+2.7%+5.7%(14.2%)+588.3%
2019+2.7%(13.3%)(6.4%)(11.3%)(4.1%)  -  (14%)+4.6%(5%)+24.0%+19.0%+16.6%
2020(27.6%)+0.5%+12.2%(14.4%)(13.4%)(5.3%)+50.5%+9.5%(17.2%)(12.5%)+15.6%+4.0%(17.8%)
2021(4.6%)+10.5%(8.3%)+19.7%+19.8%(3.3%)+15.5%+7.0%+3.0%+4.2%+14.6%(3.1%)+97.4%
2022+5.7%+7.6%(12.2%)+3.4%+4.5%(2.8%)(3.2%)+14.9%(12.7%)(19.9%)(14.4%)+3.6%(27.6%)
2023+6.4%+7.3%(12.2%)+13.4%(1%)+1.3%+0.3%(0.8%)(2.3%)+3.3%+0.6%(0.3%)+14.9%
2024(1.2%)(0.8%)+4.1%+1.9%                                                +4.1%

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 28 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3486 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/16/15 12:01 JO IPATHA SERIES B BLOOMBERG COFFEE TOTAL RETURN ETN LONG 2,000 24.17 6/7/23 16:00 54.67 4.6%
Trade id #93248314
Max drawdown($2,060)
Time3/30/15 13:26
Quant open2,000
Worst price23.14
Drawdown as % of equity-4.60%
 $60,995
Includes Typical Broker Commissions trade costs of $5.00
2/11/15 10:40 UNG UNITED STATES NATURAL GAS LONG 3,000 14.12 3/16 12:00 13.66 4.18%
Trade id #92455519
Max drawdown($2,100)
Time3/3/15 7:25
Quant open3,000
Worst price13.42
Drawdown as % of equity-4.18%
 ($1,385)
Includes Typical Broker Commissions trade costs of $5.00
2/5/15 10:35 UNG UNITED STATES NATURAL GAS LONG 3,000 13.31 2/11 9:30 14.46 1.16%
Trade id #92326779
Max drawdown($570)
Time2/6/15 16:45
Quant open3,000
Worst price13.12
Drawdown as % of equity-1.16%
 $3,445
Includes Typical Broker Commissions trade costs of $5.00
2/2/15 10:49 USO UNITED STATES OIL LONG 2,000 18.12 2/3 9:36 18.98 0.5%
Trade id #92236189
Max drawdown($250)
Time2/2/15 11:17
Quant open2,000
Worst price18.00
Drawdown as % of equity-0.50%
 $1,715
Includes Typical Broker Commissions trade costs of $5.00
2/2/15 9:54 SDS PROSHARES ULTRASHORT S&P500 LONG 1,000 23.32 2/2 10:15 23.50 0.08%
Trade id #92234554
Max drawdown($40)
Time2/2/15 9:57
Quant open1,000
Worst price23.28
Drawdown as % of equity-0.08%
 $175
Includes Typical Broker Commissions trade costs of $5.00
2/2/15 9:36 SDS PROSHARES ULTRASHORT S&P500 SHORT 1,000 23.17 2/2 9:54 23.32 0.39%
Trade id #92234052
Max drawdown($190)
Time2/2/15 9:54
Quant open-1,000
Worst price23.36
Drawdown as % of equity-0.39%
 ($155)
Includes Typical Broker Commissions trade costs of $5.00
1/30/15 9:45 USO UNITED STATES OIL LONG 2,500 16.89 2/2 9:54 18.24 0.58%
Trade id #92204966
Max drawdown($275)
Time1/30/15 11:17
Quant open2,500
Worst price16.78
Drawdown as % of equity-0.58%
 $3,356
Includes Typical Broker Commissions trade costs of $7.50
1/26/15 10:08 YCS PROSHARES ULTRASHORT YEN LONG 600 86.77 1/30 11:13 85.39 1.73%
Trade id #92089461
Max drawdown($829)
Time1/30/15 11:13
Quant open0
Worst price85.39
Drawdown as % of equity-1.73%
 ($838)
Includes Typical Broker Commissions trade costs of $8.50
1/28/15 11:05 JO IPATHA SERIES B BLOOMBERG COFFEE TOTAL RETURN ETN LONG 1,500 30.52 1/30 9:45 28.87 5.37%
Trade id #92148641
Max drawdown($2,595)
Time1/29/15 12:36
Quant open1,500
Worst price28.79
Drawdown as % of equity-5.37%
 ($2,480)
Includes Typical Broker Commissions trade costs of $5.00
1/27/15 10:46 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 440 39.66 1/29 10:13 40.96 1.25%
Trade id #92120327
Max drawdown($622)
Time1/28/15 7:59
Quant open440
Worst price38.25
Drawdown as % of equity-1.25%
 $561
Includes Typical Broker Commissions trade costs of $8.80
1/21/15 11:36 UNG UNITED STATES NATURAL GAS LONG 6,700 14.82 1/28 11:05 14.65 3.4%
Trade id #92005720
Max drawdown($1,723)
Time1/22/15 12:04
Quant open3,500
Worst price14.11
Drawdown as % of equity-3.40%
 ($1,166)
Includes Typical Broker Commissions trade costs of $10.00
1/22/15 13:13 USO UNITED STATES OIL LONG 2,800 17.49 1/23 12:57 17.10 2.86%
Trade id #92036764
Max drawdown($1,456)
Time1/23/15 9:11
Quant open2,800
Worst price16.97
Drawdown as % of equity-2.86%
 ($1,097)
Includes Typical Broker Commissions trade costs of $5.00
1/16/15 10:32 JO IPATHA SERIES B BLOOMBERG COFFEE TOTAL RETURN ETN LONG 1,500 31.32 1/22 13:12 29.01 6.83%
Trade id #91917691
Max drawdown($3,465)
Time1/22/15 13:12
Quant open0
Worst price29.01
Drawdown as % of equity-6.83%
 ($3,483)
Includes Typical Broker Commissions trade costs of $17.50
1/16/15 11:07 XOM EXXON MOBIL LONG 500 90.59 1/21 9:58 91.60 0.41%
Trade id #91918888
Max drawdown($221)
Time1/16/15 11:56
Quant open500
Worst price90.15
Drawdown as % of equity-0.41%
 $494
Includes Typical Broker Commissions trade costs of $10.00
1/8/15 12:12 SLV ISHARES SILVER TRUST LONG 3,200 15.75 1/14 9:33 16.22 1.38%
Trade id #91748644
Max drawdown($704)
Time1/9/15 4:49
Quant open3,200
Worst price15.53
Drawdown as % of equity-1.38%
 $1,499
Includes Typical Broker Commissions trade costs of $5.00
1/8/15 12:38 DGAZ VELOCITYSHARES 3X INV NATURAL LONG 2,000 8.00 1/13 10:29 8.40 2.35%
Trade id #91749398
Max drawdown($1,200)
Time1/9/15 4:02
Quant open2,000
Worst price7.40
Drawdown as % of equity-2.35%
 $795
Includes Typical Broker Commissions trade costs of $5.00
1/7/15 11:25 JO IPATHA SERIES B BLOOMBERG COFFEE TOTAL RETURN ETN LONG 960 32.07 1/8 12:31 32.70 0.95%
Trade id #91719353
Max drawdown($442)
Time1/7/15 12:09
Quant open960
Worst price31.61
Drawdown as % of equity-0.95%
 $595
Includes Typical Broker Commissions trade costs of $15.30
1/2/15 9:42 DGAZ VELOCITYSHARES 3X INV NATURAL LONG 6,000 7.37 1/8 11:10 8.41 15.71%
Trade id #91628521
Max drawdown($7,500)
Time1/5/15 8:30
Quant open6,000
Worst price6.12
Drawdown as % of equity-15.71%
 $6,208
Includes Typical Broker Commissions trade costs of $22.50
12/23/14 10:45 USO UNITED STATES OIL LONG 700 20.64 1/5/15 10:56 19.05 2.33%
Trade id #91475176
Max drawdown($1,111)
Time1/5/15 10:56
Quant open100
Worst price19.05
Drawdown as % of equity-2.33%
 ($1,118)
Includes Typical Broker Commissions trade costs of $7.00
12/30/14 11:00 SLV ISHARES SILVER TRUST LONG 3,000 15.69 1/2/15 9:40 14.97 5.11%
Trade id #91570404
Max drawdown($2,370)
Time1/2/15 8:21
Quant open3,000
Worst price14.90
Drawdown as % of equity-5.11%
 ($2,165)
Includes Typical Broker Commissions trade costs of $5.00
12/30/14 11:03 YCS PROSHARES ULTRASHORT YEN LONG 100 88.70 12/30 11:07 88.68 0%
Trade id #91570566
Max drawdown($2)
Time12/30/14 11:07
Quant open0
Worst price88.68
Drawdown as % of equity-0.00%
 ($4)
Includes Typical Broker Commissions trade costs of $2.00
12/16/14 10:42 USO UNITED STATES OIL LONG 2,500 20.85 12/17 11:56 21.83 0.69%
Trade id #91353346
Max drawdown($325)
Time12/17/14 8:06
Quant open2,500
Worst price20.72
Drawdown as % of equity-0.69%
 $2,448
Includes Typical Broker Commissions trade costs of $7.50
12/15/14 10:44 UNG UNITED STATES NATURAL GAS LONG 2,500 19.39 12/16 9:33 18.50 4.7%
Trade id #91325526
Max drawdown($2,225)
Time12/16/14 9:33
Quant open0
Worst price18.50
Drawdown as % of equity-4.70%
 ($2,230)
Includes Typical Broker Commissions trade costs of $5.00
12/9/14 9:57 USO UNITED STATES OIL LONG 1,000 23.98 12/12 9:30 22.33 3.75%
Trade id #91218509
Max drawdown($1,820)
Time12/12/14 9:03
Quant open1,000
Worst price22.16
Drawdown as % of equity-3.75%
 ($1,655)
Includes Typical Broker Commissions trade costs of $5.00
12/9/14 13:25 JO IPATHA SERIES B BLOOMBERG COFFEE TOTAL RETURN ETN LONG 750 33.03 12/11 12:10 32.00 1.57%
Trade id #91225367
Max drawdown($773)
Time12/11/14 12:10
Quant open0
Worst price32.00
Drawdown as % of equity-1.57%
 ($778)
Includes Typical Broker Commissions trade costs of $5.00
12/4/14 13:09 FXB CURRENCYSHARES BRITISH POUND S LONG 200 153.81 12/9 9:56 153.84 0.23%
Trade id #91150047
Max drawdown($115)
Time12/5/14 9:58
Quant open100
Worst price152.97
Drawdown as % of equity-0.23%
 $2
Includes Typical Broker Commissions trade costs of $4.00
12/4/14 13:24 JO IPATHA SERIES B BLOOMBERG COFFEE TOTAL RETURN ETN LONG 500 33.46 12/8 9:53 32.67 0.97%
Trade id #91150380
Max drawdown($491)
Time12/8/14 9:31
Quant open500
Worst price32.48
Drawdown as % of equity-0.97%
 ($405)
Includes Typical Broker Commissions trade costs of $10.00
12/5/14 11:12 GLD SPDR GOLD SHARES LONG 300 114.81 12/8 9:52 114.69 0.34%
Trade id #91169797
Max drawdown($171)
Time12/5/14 12:56
Quant open300
Worst price114.24
Drawdown as % of equity-0.34%
 ($42)
Includes Typical Broker Commissions trade costs of $6.00
12/1/14 12:58 JO IPATHA SERIES B BLOOMBERG COFFEE TOTAL RETURN ETN LONG 400 34.00 12/2 10:58 34.55 0.01%
Trade id #91077761
Max drawdown($4)
Time12/1/14 13:00
Quant open400
Worst price33.99
Drawdown as % of equity-0.01%
 $212
Includes Typical Broker Commissions trade costs of $8.00
12/1/14 12:33 UNG UNITED STATES NATURAL GAS LONG 500 20.26 12/2 10:20 19.96 0.45%
Trade id #91077232
Max drawdown($230)
Time12/2/14 9:03
Quant open500
Worst price19.80
Drawdown as % of equity-0.45%
 ($160)
Includes Typical Broker Commissions trade costs of $10.00
Next

Statistics

  • Strategy began
    9/24/2014
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    3500.14
  • Age
    117 months ago
  • What it trades
    Stocks
  • # Trades
    97
  • # Profitable
    55
  • % Profitable
    56.70%
  • Avg trade duration
    102.3 days
  • Max peak-to-valley drawdown
    23.57%
  • drawdown period
    Jan 13, 2015 - April 27, 2015
  • Cumul. Return
    -18.4%
  • Avg win
    $1,888
  • Avg loss
    $1,221
  • Model Account Values (Raw)
  • Cash
    $86,200
  • Margin Used
    $0
  • Buying Power
    $74,194
  • Ratios
  • W:L ratio
    2.02:1
  • Sharpe Ratio
    0.26
  • Sortino Ratio
    1.04
  • Calmar Ratio
    0.515
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -24.35%
  • Correlation to SP500
    0.05100
  • Return Percent SP500 (cumu) during strategy life
    153.80%
  • Return Statistics
  • Ann Return (w trading costs)
    -28.9%
  • Slump
  • Current Slump as Pcnt Equity
    35.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.17%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.184%
  • Instruments
  • Percent Trades Options
    0.01%
  • Percent Trades Stocks
    0.99%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    7.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    6.67%
  • 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)
    364
  • 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
    $1,221
  • Avg Win
    $1,888
  • Sum Trade PL (losers)
    $51,286.000
  • Age
  • Num Months filled monthly returns table
    116
  • Win / Loss
  • Sum Trade PL (winners)
    $103,848.000
  • # Winners
    55
  • Num Months Winners
    52
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    42
  • % Winners
    56.7%
  • Frequency
  • Avg Position Time (mins)
    147345.00
  • Avg Position Time (hrs)
    2455.76
  • Avg Trade Length
    102.3 days
  • Last Trade Ago
    322
  • Regression
  • Alpha
    0.11
  • Beta
    0.42
  • Treynor Index
    0.29
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    39.76
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    27.26
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.16
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    1.439
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.239
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.069
  • Hold-and-Hope Ratio
    0.725
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.08145
  • SD
    0.26704
  • Sharpe ratio (Glass type estimate)
    -0.30501
  • Sharpe ratio (Hedges UMVUE)
    -0.26494
  • df
    6.00000
  • t
    -0.23296
  • p
    0.58823
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.86441
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.27896
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.83551
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.30562
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.46714
  • Upside Potential Ratio
    1.75053
  • Upside part of mean
    0.30522
  • Downside part of mean
    -0.38667
  • Upside SD
    0.17685
  • Downside SD
    0.17436
  • N nonnegative terms
    2.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.06454
  • Mean of criterion
    -0.08145
  • SD of predictor
    0.10343
  • SD of criterion
    0.26704
  • Covariance
    -0.01002
  • r
    -0.36264
  • b (slope, estimate of beta)
    -0.93632
  • a (intercept, estimate of alpha)
    -0.02102
  • Mean Square Error
    0.07432
  • DF error
    5.00000
  • t(b)
    -0.87011
  • p(b)
    0.78798
  • t(a)
    -0.05780
  • p(a)
    0.52193
  • Lowerbound of 95% confidence interval for beta
    -3.70261
  • Upperbound of 95% confidence interval for beta
    1.82997
  • Lowerbound of 95% confidence interval for alpha
    -0.95580
  • Upperbound of 95% confidence interval for alpha
    0.91377
  • Treynor index (mean / b)
    0.08699
  • Jensen alpha (a)
    -0.02102
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.11209
  • SD
    0.26543
  • Sharpe ratio (Glass type estimate)
    -0.42229
  • Sharpe ratio (Hedges UMVUE)
    -0.36681
  • df
    6.00000
  • t
    -0.32253
  • p
    0.62100
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.98211
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17150
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.94139
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.20776
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.61355
  • Upside Potential Ratio
    1.58977
  • Upside part of mean
    0.29043
  • Downside part of mean
    -0.40252
  • Upside SD
    0.16751
  • Downside SD
    0.18269
  • N nonnegative terms
    2.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.05982
  • Mean of criterion
    -0.11209
  • SD of predictor
    0.10217
  • SD of criterion
    0.26543
  • Covariance
    -0.00940
  • r
    -0.34679
  • b (slope, estimate of beta)
    -0.90090
  • a (intercept, estimate of alpha)
    -0.05819
  • Mean Square Error
    0.07437
  • DF error
    5.00000
  • t(b)
    -0.82675
  • p(b)
    0.77699
  • t(a)
    -0.16032
  • p(a)
    0.56055
  • Lowerbound of 95% confidence interval for beta
    -3.70216
  • Upperbound of 95% confidence interval for beta
    1.90035
  • Lowerbound of 95% confidence interval for alpha
    -0.99128
  • Upperbound of 95% confidence interval for alpha
    0.87490
  • Treynor index (mean / b)
    0.12442
  • Jensen alpha (a)
    -0.05819
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12661
  • Expected Shortfall on VaR
    0.15379
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08956
  • Expected Shortfall on VaR
    0.13794
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.89699
  • Quartile 1
    0.94847
  • Median
    0.98960
  • Quartile 3
    1.02517
  • Maximum
    1.12445
  • Mean of quarter 1
    0.90994
  • Mean of quarter 2
    0.98182
  • Mean of quarter 3
    0.99507
  • Mean of quarter 4
    1.08985
  • Inter Quartile Range
    0.07670
  • 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
    2.00000
  • Minimum
    0.08165
  • Quartile 1
    0.09508
  • Median
    0.10852
  • Quartile 3
    0.12196
  • Maximum
    0.13539
  • Mean of quarter 1
    0.08165
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.13539
  • Inter Quartile Range
    0.02687
  • 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)
    -0.09915
  • Compounded annual return (geometric extrapolation)
    -0.09709
  • Calmar ratio (compounded annual return / max draw down)
    -0.71712
  • Compounded annual return / average of 25% largest draw downs
    -0.71712
  • Compounded annual return / Expected Shortfall lognormal
    -0.63134
  • 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
    -0.12630
  • SD
    0.28360
  • Sharpe ratio (Glass type estimate)
    -0.44535
  • Sharpe ratio (Hedges UMVUE)
    -0.44375
  • df
    209.00000
  • t
    -0.34796
  • p
    0.63589
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.95372
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06405
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.95263
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.06513
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.64279
  • Upside Potential Ratio
    7.68113
  • Upside part of mean
    1.50929
  • Downside part of mean
    -1.63559
  • Upside SD
    0.20368
  • Downside SD
    0.19649
  • N nonnegative terms
    78.00000
  • N negative terms
    132.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    210.00000
  • Mean of predictor
    0.09427
  • Mean of criterion
    -0.12630
  • SD of predictor
    0.13196
  • SD of criterion
    0.28360
  • Covariance
    0.00372
  • r
    0.09937
  • b (slope, estimate of beta)
    0.21355
  • a (intercept, estimate of alpha)
    1.68400
  • Mean Square Error
    0.08002
  • DF error
    208.00000
  • t(b)
    1.44020
  • p(b)
    0.07566
  • t(a)
    -0.40416
  • p(a)
    0.65674
  • Lowerbound of 95% confidence interval for beta
    -0.07877
  • Upperbound of 95% confidence interval for beta
    0.50587
  • Lowerbound of 95% confidence interval for alpha
    -0.86072
  • Upperbound of 95% confidence interval for alpha
    0.56786
  • Treynor index (mean / b)
    -0.59145
  • Jensen alpha (a)
    -0.14643
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.16624
  • SD
    0.28302
  • Sharpe ratio (Glass type estimate)
    -0.58738
  • Sharpe ratio (Hedges UMVUE)
    -0.58527
  • df
    209.00000
  • t
    -0.45893
  • p
    0.67662
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.09584
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.92246
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.09442
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.92388
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.83267
  • Upside Potential Ratio
    7.45819
  • Upside part of mean
    1.48902
  • Downside part of mean
    -1.65526
  • Upside SD
    0.19985
  • Downside SD
    0.19965
  • N nonnegative terms
    78.00000
  • N negative terms
    132.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    210.00000
  • Mean of predictor
    0.08559
  • Mean of criterion
    -0.16624
  • SD of predictor
    0.13192
  • SD of criterion
    0.28302
  • Covariance
    0.00367
  • r
    0.09835
  • b (slope, estimate of beta)
    0.21100
  • a (intercept, estimate of alpha)
    -0.18430
  • Mean Square Error
    0.07971
  • DF error
    208.00000
  • t(b)
    1.42533
  • p(b)
    0.07778
  • t(a)
    -0.50973
  • p(a)
    0.69461
  • Lowerbound of 95% confidence interval for beta
    -0.08084
  • Upperbound of 95% confidence interval for beta
    0.50286
  • Lowerbound of 95% confidence interval for alpha
    -0.89710
  • Upperbound of 95% confidence interval for alpha
    0.52850
  • Treynor index (mean / b)
    -0.78785
  • Jensen alpha (a)
    -0.18430
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02526
  • Expected Shortfall on VaR
    0.03144
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01255
  • Expected Shortfall on VaR
    0.02480
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    210.00000
  • Minimum
    0.94607
  • Quartile 1
    0.99574
  • Median
    1.00000
  • Quartile 3
    1.00360
  • Maximum
    1.05463
  • Mean of quarter 1
    0.98247
  • Mean of quarter 2
    0.99874
  • Mean of quarter 3
    1.00072
  • Mean of quarter 4
    1.01672
  • Inter Quartile Range
    0.00786
  • Number outliers low
    25.00000
  • Percentage of outliers low
    0.11905
  • Mean of outliers low
    0.97247
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.08571
  • Mean of outliers high
    1.03299
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.03065
  • VaR(95%) (moments method)
    0.01283
  • Expected Shortfall (moments method)
    0.01846
  • Extreme Value Index (regression method)
    -0.13982
  • VaR(95%) (regression method)
    0.01670
  • Expected Shortfall (regression method)
    0.02270
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00327
  • Median
    0.02238
  • Quartile 3
    0.11768
  • Maximum
    0.19648
  • Mean of quarter 1
    0.00104
  • Mean of quarter 2
    0.00689
  • Mean of quarter 3
    0.03787
  • Mean of quarter 4
    0.17038
  • Inter Quartile Range
    0.11441
  • 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)
    -0.14907
  • Compounded annual return (geometric extrapolation)
    -0.14469
  • Calmar ratio (compounded annual return / max draw down)
    -0.73642
  • Compounded annual return / average of 25% largest draw downs
    -0.84922
  • Compounded annual return / Expected Shortfall lognormal
    -4.60233
  • 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
    -0.23894
  • SD
    0.31161
  • Sharpe ratio (Glass type estimate)
    -0.76679
  • Sharpe ratio (Hedges UMVUE)
    -0.76342
  • df
    171.00000
  • t
    -0.54220
  • p
    0.52637
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.53873
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.00726
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.53641
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.00957
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.10218
  • Upside Potential Ratio
    7.89107
  • Upside part of mean
    1.71069
  • Downside part of mean
    -1.94963
  • Upside SD
    0.22295
  • Downside SD
    0.21679
  • N nonnegative terms
    60.00000
  • N negative terms
    112.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.09407
  • Mean of criterion
    -0.23894
  • SD of predictor
    0.12107
  • SD of criterion
    0.31161
  • Covariance
    0.00448
  • r
    0.11878
  • b (slope, estimate of beta)
    0.30573
  • a (intercept, estimate of alpha)
    -0.26770
  • Mean Square Error
    0.09629
  • DF error
    170.00000
  • t(b)
    1.55978
  • p(b)
    0.44061
  • t(a)
    -0.60947
  • p(a)
    0.52335
  • Lowerbound of 95% confidence interval for beta
    -0.08119
  • Upperbound of 95% confidence interval for beta
    0.69266
  • Lowerbound of 95% confidence interval for alpha
    -1.13476
  • Upperbound of 95% confidence interval for alpha
    0.59936
  • Treynor index (mean / b)
    -0.78153
  • Jensen alpha (a)
    -0.26770
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.28716
  • SD
    0.31092
  • Sharpe ratio (Glass type estimate)
    -0.92356
  • Sharpe ratio (Hedges UMVUE)
    -0.91951
  • df
    171.00000
  • t
    -0.65306
  • p
    0.53174
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.69584
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.85124
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.69303
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.85401
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.30361
  • Upside Potential Ratio
    7.65581
  • Upside part of mean
    1.68642
  • Downside part of mean
    -1.97358
  • Upside SD
    0.21870
  • Downside SD
    0.22028
  • N nonnegative terms
    60.00000
  • N negative terms
    112.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.08678
  • Mean of criterion
    -0.28716
  • SD of predictor
    0.12097
  • SD of criterion
    0.31092
  • Covariance
    0.00443
  • r
    0.11768
  • b (slope, estimate of beta)
    0.30247
  • a (intercept, estimate of alpha)
    -0.31341
  • Mean Square Error
    0.09590
  • DF error
    170.00000
  • t(b)
    1.54515
  • p(b)
    0.44116
  • t(a)
    -0.71510
  • p(a)
    0.52738
  • VAR (95 Confidence Intrvl)
    0.13000
  • Lowerbound of 95% confidence interval for beta
    -0.08395
  • Upperbound of 95% confidence interval for beta
    0.68890
  • Lowerbound of 95% confidence interval for alpha
    -1.17856
  • Upperbound of 95% confidence interval for alpha
    0.55174
  • Treynor index (mean / b)
    -0.94936
  • Jensen alpha (a)
    -0.31341
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02801
  • Expected Shortfall on VaR
    0.03478
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01532
  • Expected Shortfall on VaR
    0.02911
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.94607
  • Quartile 1
    0.99291
  • Median
    1.00000
  • Quartile 3
    1.00377
  • Maximum
    1.05463
  • Mean of quarter 1
    0.97968
  • Mean of quarter 2
    0.99772
  • Mean of quarter 3
    1.00074
  • Mean of quarter 4
    1.01919
  • Inter Quartile Range
    0.01085
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.08140
  • Mean of outliers low
    0.96622
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.09884
  • Mean of outliers high
    1.03376
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.03497
  • VaR(95%) (moments method)
    0.01768
  • Expected Shortfall (moments method)
    0.02389
  • Extreme Value Index (regression method)
    -0.15652
  • VaR(95%) (regression method)
    0.01930
  • Expected Shortfall (regression method)
    0.02505
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00206
  • Quartile 1
    0.00594
  • Median
    0.02708
  • Quartile 3
    0.14428
  • Maximum
    0.19648
  • Mean of quarter 1
    0.00400
  • Mean of quarter 2
    0.02708
  • Mean of quarter 3
    0.14428
  • Mean of quarter 4
    0.19648
  • Inter Quartile Range
    0.13834
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    104
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.25885
  • Compounded annual return (geometric extrapolation)
    -0.24210
  • Calmar ratio (compounded annual return / max draw down)
    -1.23223
  • Compounded annual return / average of 25% largest draw downs
    -1.23223
  • Compounded annual return / Expected Shortfall lognormal
    -6.96189

Strategy Description

Tantra Stock Trader trades following instruments.
1. Underlying: S&P 500, long: SPY, short: SDS (2X)
2. Underlying: Gold, long: GLD, short: DZZ (2X)
3. Underlying: Silver, long: SLV, short: ZSL (2X)
4. Underlying: Crude Oil, long: USO, short: DTO (2X)
5. Underlying: Natural Gas, long: UNG, short: DGAZ (3X)
6. Underlying: Coffee, long: JO
7. Underlying: Euro, long: FXE, short: EUO (2X)
8. Underlying: Pound, long: FXB
9. Underlying: Yen, long: FXY, short: YCS (2X)
10. Underlying: AUD, long: FXA
11. Underlying: VIX, long: VXX, short: SVXY (1X)
12. Underlying: CNX Nifty, long: INDY
14. Select high liquidity stocks
Recommended minimum equity to mirror strategy: USD 30000
Bare minimum equity to trade proportional size: USD 2500
Risk profile: 15 percent
General:
1. System would trade upward opportunities in these instruments through long etfs, whereas downward moves would be traded through inverse etfs wherever available and liquidity permits.
2. System would usually position by committing 5 to 10 percent of equity towards the net exposure. Positioning would be in such a manner so as to resemble the underlying movement in percent terms by using the concept of exposure impact value (EIV). EIV here refers to the impact of exposure to different etfs viz a viz the move in underlying.
3.Every trade would be for an EIV of 5-10000 USD and maximum 6 trades may exist simultaneously. All in all combined exposure would never exceed 120 percent of the account value.
Risk Management:
As the underlying being traded in the system are active in futures market all the time, system have the limitation to act only in active US session. However position sizing would be in such a manner so as not to risk more than 2.5 percent on any given trade.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2014-09-24
Suggested Minimum Capital
$25,000
# Trades
97
# Profitable
55
% Profitable
56.7%
Correlation S&P500
0.051
Sharpe Ratio
0.26
Sortino Ratio
1.04
Beta
0.42
Alpha
0.11

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.

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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