Collective2 Collective2
Featured Strategy RUiDu3Sigma +63.7% Annual Return (Compounded) since Dec 23, 2022 Hypothetical

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MM Destroyer
(117228756)

Created by: A_KOURMOULAKIS A_KOURMOULAKIS
Started: 03/2018
Forex
Last trade: 2,048 days ago
Trading style: Futures Trend-following

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 $499.00 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.

Trading Category: Futures
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
-
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.

(100.0%)
Max Drawdown
266
Num Trades
61.7%
Win Trades
0.5 : 1
Profit Factor
13.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018              (6.7%)(10.3%)+25.3%+23.5%(7.7%)+45.1%(48.7%)(109%)(135.8%)(335.6%)(55.5%)
2019+12.7%(95.1%)(2178.1%)(39.6%)(10.7%)(107.4%)(698.1%)(310.2%)(45.9%)(48.6%)(59%)(31%)(315.3%)
2020(12.9%)(40.3%)(38.5%)(119.1%)(8.7%)(68.9%)(382.6%)+31.1%(35.2%)(19.7%)+113.5%+42.9%(456.1%)
2021(16.1%)+0.6%(42.6%)+82.3%+13.8%(37.5%)(5.8%)(14.8%)(17.5%)(44.9%)(180.6%)(59.6%)(107.5%)
2022(4.1%)(42.1%)(321.5%)(91.4%)(17%)(23.5%)(47.1%)(19.7%)(14.2%)(10.6%)(41%)(10.4%)(1059.7%)
2023(32.4%)(52.9%)(31.4%)(31.9%)(79.7%)(23%)(21.1%)(52%)(45.1%)(4.6%)(55.7%)(3.2%)-
2024(45.8%)(2.8%)(5.1%)(21.9%)(12.3%)                                          (68.3%)

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
8/28/18 10:23 EUR/USD EUR/USD SHORT 40 1.17233 9/27 4:19 1.17141 20.54%
Trade id #119625026
Max drawdown($3,195)
Time9/24/18 9:24
Quant open-30
Worst price1.18153
Drawdown as % of equity-20.54%
 $368
8/5/18 21:59 EUR/USD EUR/USD LONG 20 1.15661 8/21 17:40 1.15715 43.59%
Trade id #119288186
Max drawdown($5,302)
Time8/15/18 9:56
Quant open20
Worst price1.13010
Drawdown as % of equity-43.59%
 $108
5/30/18 10:24 EUR/USD EUR/USD SHORT 60 1.16141 8/5 21:55 1.15635 78.67%
Trade id #118167723
Max drawdown($6,167)
Time6/7/18 8:47
Quant open-26
Worst price1.18399
Drawdown as % of equity-78.67%
 $3,033
5/29/18 19:01 EUR/USD EUR/USD SHORT 30 1.15395 5/29 23:43 1.15378 1.44%
Trade id #118156597
Max drawdown($204)
Time5/29/18 21:42
Quant open-30
Worst price1.15463
Drawdown as % of equity-1.44%
 $51
5/29/18 11:56 EUR/USD EUR/USD SHORT 30 1.15492 5/29 17:52 1.15451 2.27%
Trade id #118149077
Max drawdown($318)
Time5/29/18 12:23
Quant open-30
Worst price1.15598
Drawdown as % of equity-2.27%
 $123
5/28/18 8:33 EUR/USD EUR/USD SHORT 30 1.16284 5/28 8:35 1.16267 n/a $51
5/28/18 5:33 EUR/USD EUR/USD SHORT 30 1.16747 5/28 7:52 1.16389 0.7%
Trade id #118129439
Max drawdown($90)
Time5/28/18 5:37
Quant open-30
Worst price1.16777
Drawdown as % of equity-0.70%
 $1,074
5/25/18 8:30 EUR/USD EUR/USD SHORT 30 1.16668 5/25 9:30 1.16562 4.73%
Trade id #118111925
Max drawdown($594)
Time5/25/18 8:55
Quant open-30
Worst price1.16866
Drawdown as % of equity-4.73%
 $318
5/25/18 3:31 EUR/USD EUR/USD SHORT 30 1.16949 5/25 7:52 1.16645 10.62%
Trade id #118108436
Max drawdown($1,161)
Time5/25/18 6:31
Quant open-30
Worst price1.17336
Drawdown as % of equity-10.62%
 $912
5/24/18 23:23 EUR/USD EUR/USD LONG 30 1.17100 5/25 3:07 1.16917 4.57%
Trade id #118105933
Max drawdown($549)
Time5/25/18 3:07
Quant open20
Worst price1.16917
Drawdown as % of equity-4.57%
 ($549)
5/24/18 21:12 EUR/USD EUR/USD SHORT 20 1.17090 5/24 23:21 1.17104 0.62%
Trade id #118105016
Max drawdown($76)
Time5/24/18 21:39
Quant open-20
Worst price1.17128
Drawdown as % of equity-0.62%
 ($28)
5/24/18 20:42 EUR/USD EUR/USD LONG 20 1.17187 5/24 21:11 1.17102 1.37%
Trade id #118104805
Max drawdown($170)
Time5/24/18 21:11
Quant open0
Worst price1.17102
Drawdown as % of equity-1.37%
 ($170)
5/24/18 14:48 EUR/USD EUR/USD LONG 20 1.17292 5/24 20:41 1.17159 2.12%
Trade id #118099840
Max drawdown($266)
Time5/24/18 20:41
Quant open0
Worst price1.17159
Drawdown as % of equity-2.12%
 ($266)
5/24/18 13:34 EUR/USD EUR/USD SHORT 20 1.17393 5/24 14:48 1.17288 0.5%
Trade id #118098122
Max drawdown($62)
Time5/24/18 13:50
Quant open-20
Worst price1.17424
Drawdown as % of equity-0.50%
 $210
5/24/18 11:42 EUR/USD EUR/USD SHORT 20 1.17250 5/24 13:12 1.17422 2.71%
Trade id #118095279
Max drawdown($344)
Time5/24/18 13:12
Quant open0
Worst price1.17422
Drawdown as % of equity-2.71%
 ($344)
5/24/18 11:01 EUR/USD EUR/USD LONG 20 1.17241 5/24 11:10 1.17270 n/a $58
5/24/18 9:26 EUR/USD EUR/USD SHORT 20 1.17251 5/24 10:47 1.17213 4.01%
Trade id #118089293
Max drawdown($508)
Time5/24/18 10:16
Quant open-20
Worst price1.17505
Drawdown as % of equity-4.01%
 $76
5/24/18 8:48 EUR/USD EUR/USD SHORT 20 1.17299 5/24 9:25 1.17279 0.84%
Trade id #118088441
Max drawdown($106)
Time5/24/18 9:11
Quant open-20
Worst price1.17352
Drawdown as % of equity-0.84%
 $40
5/24/18 6:26 EUR/USD EUR/USD SHORT 20 1.17268 5/24 8:10 1.17255 0.11%
Trade id #118086339
Max drawdown($14)
Time5/24/18 6:34
Quant open-20
Worst price1.17275
Drawdown as % of equity-0.11%
 $26
5/24/18 6:03 EUR/USD EUR/USD SHORT 20 1.17283 5/24 6:24 1.17265 n/a $36
5/24/18 2:48 EUR/USD EUR/USD LONG 20 1.17185 5/24 6:01 1.17272 0.89%
Trade id #118084096
Max drawdown($110)
Time5/24/18 3:05
Quant open20
Worst price1.17130
Drawdown as % of equity-0.89%
 $174
5/24/18 2:07 EUR/USD EUR/USD SHORT 20 1.16986 5/24 2:47 1.17186 3.13%
Trade id #118083307
Max drawdown($400)
Time5/24/18 2:47
Quant open0
Worst price1.17186
Drawdown as % of equity-3.13%
 ($400)
5/24/18 1:34 EUR/USD EUR/USD SHORT 20 1.17062 5/24 1:59 1.17038 0.25%
Trade id #118082739
Max drawdown($32)
Time5/24/18 1:37
Quant open-20
Worst price1.17078
Drawdown as % of equity-0.25%
 $48
5/23/18 20:22 EUR/USD EUR/USD SHORT 20 1.17031 5/23 22:35 1.17099 1.39%
Trade id #118080395
Max drawdown($178)
Time5/23/18 21:03
Quant open-20
Worst price1.17120
Drawdown as % of equity-1.39%
 ($136)
5/23/18 12:28 EUR/USD EUR/USD SHORT 20 1.16982 5/23 13:10 1.16871 1.09%
Trade id #118073038
Max drawdown($138)
Time5/23/18 12:42
Quant open-20
Worst price1.17051
Drawdown as % of equity-1.09%
 $222
5/23/18 12:00 EUR/USD EUR/USD LONG 20 1.16945 5/23 12:06 1.16970 0.3%
Trade id #118072478
Max drawdown($38)
Time5/23/18 12:04
Quant open20
Worst price1.16926
Drawdown as % of equity-0.30%
 $50
5/22/18 19:13 EUR/USD EUR/USD LONG 20 1.17842 5/22 20:03 1.17865 0.72%
Trade id #118057127
Max drawdown($90)
Time5/22/18 19:24
Quant open20
Worst price1.17797
Drawdown as % of equity-0.72%
 $46
5/22/18 18:09 EUR/USD EUR/USD LONG 20 1.17801 5/22 18:27 1.17821 0.06%
Trade id #118056722
Max drawdown($8)
Time5/22/18 18:11
Quant open20
Worst price1.17797
Drawdown as % of equity-0.06%
 $40
5/22/18 11:17 EUR/USD EUR/USD SHORT 20 1.17771 5/22 13:31 1.17748 2.48%
Trade id #118046026
Max drawdown($308)
Time5/22/18 11:45
Quant open-20
Worst price1.17925
Drawdown as % of equity-2.48%
 $46
5/22/18 4:34 EUR/USD EUR/USD SHORT 20 1.18102 5/22 11:03 1.17754 2.94%
Trade id #118036510
Max drawdown($338)
Time5/22/18 6:12
Quant open-20
Worst price1.18271
Drawdown as % of equity-2.94%
 $696
Next

Statistics

  • Strategy began
    3/26/2018
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    2233.2
  • Age
    74 months ago
  • What it trades
    Forex
  • # Trades
    266
  • # Profitable
    164
  • % Profitable
    61.70%
  • Avg trade duration
    8.3 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    July 01, 2019 - Sept 23, 2022
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $184.89
  • Avg loss
    $590.62
  • Model Account Values (Raw)
  • Cash
    $17,675
  • Margin Used
    $12,929
  • Buying Power
    ($32,850)
  • Ratios
  • W:L ratio
    0.50:1
  • Sharpe Ratio
    -0.67
  • Sortino Ratio
    -0.68
  • Calmar Ratio
    -0.995
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -430.70%
  • Correlation to SP500
    -0.02110
  • Return Percent SP500 (cumu) during strategy life
    94.14%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.54%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    85.00%
  • Chance of 20% account loss
    62.00%
  • Chance of 30% account loss
    44.50%
  • Chance of 40% account loss
    30.50%
  • Chance of 60% account loss (Monte Carlo)
    2.00%
  • 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
    75.72%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    10.50%
  • 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
    $591
  • Avg Win
    $185
  • Sum Trade PL (losers)
    $60,243.000
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $30,322.000
  • # Winners
    164
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    102
  • % Winners
    61.6%
  • Frequency
  • Avg Position Time (mins)
    11925.80
  • Avg Position Time (hrs)
    198.76
  • Avg Trade Length
    8.3 days
  • Last Trade Ago
    2048
  • Regression
  • Alpha
    0.00
  • Beta
    -0.38
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    80.41
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    32.28
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.01
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -4.433
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    1.244
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.825
  • Hold-and-Hope Ratio
    0.091
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    19672.80000
  • SD
    26026.70000
  • Sharpe ratio (Glass type estimate)
    0.75587
  • Sharpe ratio (Hedges UMVUE)
    0.72711
  • df
    20.00000
  • t
    0.99992
  • p
    0.39090
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.75301
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.24649
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.77152
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.22573
  • Statistics related to Sortino ratio
  • Sortino ratio
    13201.50000
  • Upside Potential Ratio
    13203.40000
  • Upside part of mean
    19675.70000
  • Downside part of mean
    -2.86789
  • Upside SD
    26026.60000
  • Downside SD
    1.49020
  • N nonnegative terms
    6.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.41609
  • Mean of criterion
    19672.80000
  • SD of predictor
    0.42985
  • SD of criterion
    26026.70000
  • Covariance
    8225.78000
  • r
    0.73526
  • b (slope, estimate of beta)
    44518.70000
  • a (intercept, estimate of alpha)
    1149.12000
  • Mean Square Error
    327568000.00000
  • DF error
    19.00000
  • t(b)
    4.72850
  • p(b)
    0.07843
  • t(a)
    0.08075
  • p(a)
    0.48821
  • Lowerbound of 95% confidence interval for beta
    24812.90000
  • Upperbound of 95% confidence interval for beta
    64224.40000
  • Lowerbound of 95% confidence interval for alpha
    -28637.20000
  • Upperbound of 95% confidence interval for alpha
    30935.50000
  • Treynor index (mean / b)
    0.44190
  • Jensen alpha (a)
    1149.12000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -5.29082
  • SD
    11.93010
  • Sharpe ratio (Glass type estimate)
    -0.44349
  • Sharpe ratio (Hedges UMVUE)
    -0.42661
  • df
    20.00000
  • t
    -0.58668
  • p
    0.56503
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.92594
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.04981
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.91409
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.06087
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.61119
  • Upside Potential Ratio
    0.80397
  • Upside part of mean
    6.95962
  • Downside part of mean
    -12.25040
  • Upside SD
    7.93382
  • Downside SD
    8.65660
  • N nonnegative terms
    6.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.33023
  • Mean of criterion
    -5.29082
  • SD of predictor
    0.40101
  • SD of criterion
    11.93010
  • Covariance
    2.97860
  • r
    0.62261
  • b (slope, estimate of beta)
    18.52270
  • a (intercept, estimate of alpha)
    -11.40770
  • Mean Square Error
    91.74210
  • DF error
    19.00000
  • t(b)
    3.46808
  • p(b)
    0.13099
  • t(a)
    -1.53078
  • p(a)
    0.70702
  • Lowerbound of 95% confidence interval for beta
    7.34408
  • Upperbound of 95% confidence interval for beta
    29.70140
  • Lowerbound of 95% confidence interval for alpha
    -27.00520
  • Upperbound of 95% confidence interval for alpha
    4.18992
  • Treynor index (mean / b)
    -0.28564
  • Jensen alpha (a)
    -11.40770
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.99777
  • Expected Shortfall on VaR
    0.99913
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.67920
  • Expected Shortfall on VaR
    1.17813
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    21.00000
  • Minimum
    0.00023
  • Quartile 1
    0.67344
  • Median
    1.00000
  • Quartile 3
    1.13833
  • Maximum
    34431.00000
  • Mean of quarter 1
    0.25688
  • Mean of quarter 2
    0.89496
  • Mean of quarter 3
    1.02767
  • Mean of quarter 4
    6887.47000
  • Inter Quartile Range
    0.46489
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.09524
  • Mean of outliers high
    17216.80000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.08904
  • VaR(95%) (moments method)
    0.70760
  • Expected Shortfall (moments method)
    0.70994
  • Extreme Value Index (regression method)
    -4.53090
  • VaR(95%) (regression method)
    1.51600
  • Expected Shortfall (regression method)
    1.51645
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.03243
  • Quartile 1
    0.06488
  • Median
    0.53782
  • Quartile 3
    0.99995
  • Maximum
    0.99997
  • Mean of quarter 1
    0.03243
  • Mean of quarter 2
    0.07570
  • Mean of quarter 3
    0.99994
  • Mean of quarter 4
    0.99997
  • Inter Quartile Range
    0.93507
  • 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)
    -0.57137
  • Compounded annual return (geometric extrapolation)
    -0.99482
  • Calmar ratio (compounded annual return / max draw down)
    -0.99485
  • Compounded annual return / average of 25% largest draw downs
    -0.99485
  • Compounded annual return / Expected Shortfall lognormal
    -0.99569
  • 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
    16602.30000
  • SD
    15398.70000
  • Sharpe ratio (Glass type estimate)
    1.07816
  • Sharpe ratio (Hedges UMVUE)
    1.07641
  • df
    463.00000
  • t
    1.43480
  • p
    0.07601
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.39681
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.55204
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.39800
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.55083
  • Statistics related to Sortino ratio
  • Sortino ratio
    5526.24000
  • Upside Potential Ratio
    5531.77000
  • Upside part of mean
    16618.90000
  • Downside part of mean
    -16.61720
  • Upside SD
    15416.30000
  • Downside SD
    3.00427
  • N nonnegative terms
    156.00000
  • N negative terms
    308.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    464.00000
  • Mean of predictor
    0.40388
  • Mean of criterion
    16602.30000
  • SD of predictor
    0.33502
  • SD of criterion
    15398.70000
  • Covariance
    315.25800
  • r
    0.06111
  • b (slope, estimate of beta)
    2808.76000
  • a (intercept, estimate of alpha)
    15467.90000
  • Mean Square Error
    236747000.00000
  • DF error
    462.00000
  • t(b)
    1.31595
  • p(b)
    0.09442
  • t(a)
    1.33412
  • p(a)
    0.09141
  • Lowerbound of 95% confidence interval for beta
    -1385.58000
  • Upperbound of 95% confidence interval for beta
    7003.10000
  • Lowerbound of 95% confidence interval for alpha
    -7315.84000
  • Upperbound of 95% confidence interval for alpha
    38251.60000
  • Treynor index (mean / b)
    5.91090
  • Jensen alpha (a)
    15467.90000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -5.22843
  • SD
    22.60300
  • Sharpe ratio (Glass type estimate)
    -0.23131
  • Sharpe ratio (Hedges UMVUE)
    -0.23094
  • df
    463.00000
  • t
    -0.30783
  • p
    0.62082
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.70411
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.24161
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.70380
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.24192
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.32232
  • Upside Potential Ratio
    2.74406
  • Upside part of mean
    44.51200
  • Downside part of mean
    -49.74040
  • Upside SD
    15.70900
  • Downside SD
    16.22120
  • N nonnegative terms
    156.00000
  • N negative terms
    308.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    464.00000
  • Mean of predictor
    0.34703
  • Mean of criterion
    -5.22843
  • SD of predictor
    0.33768
  • SD of criterion
    22.60300
  • Covariance
    0.01793
  • r
    0.00235
  • b (slope, estimate of beta)
    0.15728
  • a (intercept, estimate of alpha)
    -5.28301
  • Mean Square Error
    512.00000
  • DF error
    462.00000
  • t(b)
    0.05051
  • p(b)
    0.47987
  • t(a)
    -0.31008
  • p(a)
    0.62168
  • Lowerbound of 95% confidence interval for beta
    -5.96237
  • Upperbound of 95% confidence interval for beta
    6.27693
  • Lowerbound of 95% confidence interval for alpha
    -38.76330
  • Upperbound of 95% confidence interval for alpha
    28.19730
  • Treynor index (mean / b)
    -33.24220
  • Jensen alpha (a)
    -5.28301
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.90142
  • Expected Shortfall on VaR
    0.93878
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.17138
  • Expected Shortfall on VaR
    0.36616
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    464.00000
  • Minimum
    0.00013
  • Quartile 1
    0.97437
  • Median
    1.00000
  • Quartile 3
    1.02152
  • Maximum
    20127.00000
  • Mean of quarter 1
    0.75085
  • Mean of quarter 2
    0.99573
  • Mean of quarter 3
    1.00351
  • Mean of quarter 4
    254.72100
  • Inter Quartile Range
    0.04716
  • Number outliers low
    75.00000
  • Percentage of outliers low
    0.16164
  • Mean of outliers low
    0.64364
  • Number of outliers high
    69.00000
  • Percentage of outliers high
    0.14871
  • Mean of outliers high
    427.51200
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.79845
  • VaR(95%) (moments method)
    0.17169
  • Expected Shortfall (moments method)
    0.97310
  • Extreme Value Index (regression method)
    -0.69611
  • VaR(95%) (regression method)
    0.19041
  • Expected Shortfall (regression method)
    0.22320
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00714
  • Quartile 1
    0.07564
  • Median
    0.18652
  • Quartile 3
    0.43493
  • Maximum
    0.99997
  • Mean of quarter 1
    0.04013
  • Mean of quarter 2
    0.11979
  • Mean of quarter 3
    0.31377
  • Mean of quarter 4
    0.81199
  • Inter Quartile Range
    0.35928
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    0.99996
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.04662
  • VaR(95%) (moments method)
    0.81819
  • Expected Shortfall (moments method)
    1.09051
  • Extreme Value Index (regression method)
    -5.79223
  • VaR(95%) (regression method)
    0.50691
  • Expected Shortfall (regression method)
    0.50691
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.56460
  • Compounded annual return (geometric extrapolation)
    -0.99449
  • Calmar ratio (compounded annual return / max draw down)
    -0.99451
  • Compounded annual return / average of 25% largest draw downs
    -1.22475
  • Compounded annual return / Expected Shortfall lognormal
    -1.05934
  • 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
    3173.37000
  • SD
    2231.57000
  • Sharpe ratio (Glass type estimate)
    1.42203
  • Sharpe ratio (Hedges UMVUE)
    1.41381
  • df
    130.00000
  • t
    1.00553
  • p
    0.45608
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.35782
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.19657
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.36331
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.19094
  • Statistics related to Sortino ratio
  • Sortino ratio
    1017.25000
  • Upside Potential Ratio
    1022.24000
  • Upside part of mean
    3188.93000
  • Downside part of mean
    -15.55330
  • Upside SD
    2231.67000
  • Downside SD
    3.11955
  • N nonnegative terms
    17.00000
  • N negative terms
    114.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.51448
  • Mean of criterion
    3173.37000
  • SD of predictor
    0.37407
  • SD of criterion
    2231.57000
  • Covariance
    -91.20250
  • r
    -0.10926
  • b (slope, estimate of beta)
    -651.78900
  • a (intercept, estimate of alpha)
    3508.71000
  • Mean Square Error
    4958620.00000
  • DF error
    129.00000
  • t(b)
    -1.24838
  • p(b)
    0.56942
  • t(a)
    1.11014
  • p(a)
    0.43817
  • Lowerbound of 95% confidence interval for beta
    -1684.79000
  • Upperbound of 95% confidence interval for beta
    381.21100
  • Lowerbound of 95% confidence interval for alpha
    -2744.62000
  • Upperbound of 95% confidence interval for alpha
    9762.04000
  • Treynor index (mean / b)
    -4.86871
  • Jensen alpha (a)
    3508.71000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -19.90480
  • SD
    19.60260
  • Sharpe ratio (Glass type estimate)
    -1.01542
  • Sharpe ratio (Hedges UMVUE)
    -1.00955
  • df
    130.00000
  • t
    -0.71801
  • p
    0.53143
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.78804
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76107
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.78407
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.76497
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.24664
  • Upside Potential Ratio
    1.74711
  • Upside part of mean
    27.89560
  • Downside part of mean
    -47.80040
  • Upside SD
    11.30950
  • Downside SD
    15.96670
  • N nonnegative terms
    17.00000
  • N negative terms
    114.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.44449
  • Mean of criterion
    -19.90480
  • SD of predictor
    0.37450
  • SD of criterion
    19.60260
  • Covariance
    -0.64585
  • r
    -0.08798
  • b (slope, estimate of beta)
    -4.60494
  • a (intercept, estimate of alpha)
    -17.85790
  • Mean Square Error
    384.24300
  • DF error
    129.00000
  • t(b)
    -1.00311
  • p(b)
    0.55593
  • t(a)
    -0.64245
  • p(a)
    0.53593
  • VAR (95 Confidence Intrvl)
    0.90100
  • Lowerbound of 95% confidence interval for beta
    -13.68770
  • Upperbound of 95% confidence interval for beta
    4.47783
  • Lowerbound of 95% confidence interval for alpha
    -72.85410
  • Upperbound of 95% confidence interval for alpha
    37.13830
  • Treynor index (mean / b)
    4.32250
  • Jensen alpha (a)
    -17.85790
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.87356
  • Expected Shortfall on VaR
    0.91719
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.18989
  • Expected Shortfall on VaR
    0.40311
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00033
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1579.00000
  • Mean of quarter 1
    0.76471
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    49.31710
  • Inter Quartile Range
    0.00000
  • Number outliers low
    24.00000
  • Percentage of outliers low
    0.18321
  • Mean of outliers low
    0.67648
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.12977
  • Mean of outliers high
    94.79210
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -8.46665
  • VaR(95%) (moments method)
    0.00053
  • Expected Shortfall (moments method)
    0.00053
  • Extreme Value Index (regression method)
    -0.89878
  • VaR(95%) (regression method)
    0.28071
  • Expected Shortfall (regression method)
    0.34135
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00944
  • Quartile 1
    0.04754
  • Median
    0.08565
  • Quartile 3
    0.54281
  • Maximum
    0.99997
  • Mean of quarter 1
    0.00944
  • Mean of quarter 2
    0.08565
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99997
  • Inter Quartile Range
    0.49527
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -419748000
  • Max Equity Drawdown (num days)
    1180
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.99990
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00003
  • Compounded annual return / average of 25% largest draw downs
    -1.00003
  • Compounded annual return / Expected Shortfall lognormal
    -1.09029

Strategy Description

Summary Statistics

Strategy began
2018-03-26
Suggested Minimum Capital
$10,000
# Trades
266
# Profitable
164
% Profitable
61.7%
Correlation S&P500
-0.021
Sharpe Ratio
-0.67
Sortino Ratio
-0.68
Beta
-0.38
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.

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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