This system has earned TradesOwnStrategy (TOS) Certification.
This means that the manager of this system trades his own strategy
in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details
Certification process started
10/29/2020
Most recent certification approved
10/29/20 9:31 ET
Trades at broker
Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used
100%
# trading signals issued by system since certification
246
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account
246
Percent signals followed since 10/29/2020
100%
This information was last updated
1/21/22 21:33 ET
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife brokerage account,
the trading results presented on this Web site must still be regarded as purely hypothetical results.
This is because (among other reasons) the system developer may not have traded all signals,
particularly those that occurred before 10/29/2020,
and the system developer's results may not match the system results presented here. In addition,
not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:
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
underor overcompensated 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.
You may be interested to learn more technical details about
how Collective2 calculates the hypothetical results you see on this web site.
NASDAQ Momentum
(126548162)
This system has earned TradesOwnStrategy (TOS) Certification. This means that the manager of this system trades his own strategy in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details  

Certification process started  10/29/2020 
Most recent certification approved  10/29/20 9:31 ET 
Trades at broker  Interactive Brokers (Stocks, Options, Futures) 
Scaling percentage used  100% 
# trading signals issued by system since certification  246 
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account  246 
Percent signals followed since 10/29/2020  100% 
This information was last updated  1/21/22 21:33 ET 
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 10/29/2020, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:
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 underor overcompensated 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.
You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.
Subscription terms. Subscriptions to this system cost $39.00 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.
Nonhedged Equity
Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stockpickers."Momentum
Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and shortsells a security that has been in a downward trend. While similar to Trendfollowing, tends to be more forwardlooking (predicting oncoming trend), while Momentum is more backwardlooking (observing alreadyestablished price direction).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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2019  +8.4%  +8.4%  
2020  (0.4%)  +10.9%  +2.4%  +5.1%  +0.6%  +1.8%  +4.1%  +2.0%  (6%)  (0.9%)  +3.7%  +1.6%  +27.0% 
2021  (0.7%)  +0.9%  (0.2%)  +0.1%  +0.2%  (0.9%)  (0.2%)  +0.6%  (0.4%)  +0.4%  (0.3%)  (2.4%)  (2.7%) 
2022  (1.7%)  (1.7%) 
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.
Started  $50,000  
Buy Power  $67,880  
Cash  $1  
Equity  $1  
Cumulative $  $17,880  
Includes dividends and cashsettled expirations:  $166  Itemized 
Total System Equity  $67,880  
Margined  $1  
Open P/L  ($56)  
Data has been delayed by 96 hours for nonsubscribers 
System developer has asked us to delay this information by 96 hours.
Trading Record
Statistics

Strategy began12/9/2019

Suggested Minimum Cap$15,000

Strategy Age (days)774.28

Age26 months ago

What it tradesStocks

# Trades234

# Profitable150

% Profitable64.10%

Avg trade duration14.6 days

Max peaktovalley drawdown9.76%

drawdown periodSept 02, 2020  Sept 23, 2020

Annual Return (Compounded)13.8%

Avg win$258.75

Avg loss$251.17
 Model Account Values (Raw)

Cash$67,880

Margin Used$0

Buying Power$67,880
 Ratios

W:L ratio1.86:1

Sharpe Ratio1.12

Sortino Ratio1.76

Calmar Ratio1.865
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)8.58%

Correlation to SP5000.22480

Return Percent SP500 (cumu) during strategy life40.24%
 Return Statistics

Ann Return (w trading costs)13.8%
 Slump

Current Slump as Pcnt Equity8.00%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.65%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.138%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)15.5%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss6.50%

Chance of 20% account lossn/a

Chance of 30% account lossn/a

Chance of 40% account lossn/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 Automatedn/a
 Risk of Ruin (MonteCarlo)

Chance of 50% account lossn/a
 Popularity

Popularity (Today)800

Popularity (Last 6 weeks)830
 Trading Style

Any stock shorts? 0/10
 Popularity

C2 Score904

Popularity (7 days, Percentile 1000 scale)780
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?Yes

TOS percent100%
 Win / Loss

Avg Loss$251

Avg Win$259

Sum Trade PL (losers)$21,098.000
 AUM

AUM (AutoTrader num accounts)1
 Age

Num Months filled monthly returns table26
 Win / Loss

Sum Trade PL (winners)$38,812.000

# Winners150

Num Months Winners15
 Dividends

Dividends Received in Model Acct167
 AUM

AUM (AutoTrader live capital)67702
 Win / Loss

# Losers84

% Winners64.1%
 Frequency

Avg Position Time (mins)20957.90

Avg Position Time (hrs)349.30

Avg Trade Length14.6 days

Last Trade Ago1
 Leverage

Daily leverage (average)0.32

Daily leverage (max)0.99
 Regression

Alpha0.03

Beta0.08

Treynor Index0.42
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.00

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)0.25

MAE:Equity, average, winning trades0.00

MAE:Equity, average, losing trades0.00

Avg(MAE) / Avg(PL)  All trades2.582

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 strat0.01

Avg(MAE) / Avg(PL)  Winning trades0.430

Avg(MAE) / Avg(PL)  Losing trades1.125

HoldandHope Ratio0.387
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.12852

SD0.10531

Sharpe ratio (Glass type estimate)1.22036

Sharpe ratio (Hedges UMVUE)1.18175

df24.00000

t1.76143

p0.04545

Lowerbound of 95% confidence interval for Sharpe Ratio0.19219

Upperbound of 95% confidence interval for Sharpe Ratio2.60910

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.21670

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.58020
 Statistics related to Sortino ratio

Sortino ratio3.08144

Upside Potential Ratio4.75721

Upside part of mean0.19842

Downside part of mean0.06989

Upside SD0.10141

Downside SD0.04171

N nonnegative terms14.00000

N negative terms11.00000
 Statistics related to linear regression on benchmark

N of observations25.00000

Mean of predictor0.19211

Mean of criterion0.12852

SD of predictor0.22613

SD of criterion0.10531

Covariance0.00080

r0.03348

b (slope, estimate of beta)0.01559

a (intercept, estimate of alpha)0.13152

Mean Square Error0.01156

DF error23.00000

t(b)0.16065

p(b)0.56311

t(a)1.71269

p(a)0.05011

Lowerbound of 95% confidence interval for beta0.21637

Upperbound of 95% confidence interval for beta0.18518

Lowerbound of 95% confidence interval for alpha0.02733

Upperbound of 95% confidence interval for alpha0.29037

Treynor index (mean / b)8.24286

Jensen alpha (a)0.13152
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.12245

SD0.10256

Sharpe ratio (Glass type estimate)1.19390

Sharpe ratio (Hedges UMVUE)1.15613

df24.00000

t1.72325

p0.04885

Lowerbound of 95% confidence interval for Sharpe Ratio0.21660

Upperbound of 95% confidence interval for Sharpe Ratio2.58112

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.24060

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.55287
 Statistics related to Sortino ratio

Sortino ratio2.89709

Upside Potential Ratio4.56782

Upside part of mean0.19306

Downside part of mean0.07061

Upside SD0.09778

Downside SD0.04227

N nonnegative terms14.00000

N negative terms11.00000
 Statistics related to linear regression on benchmark

N of observations25.00000

Mean of predictor0.16251

Mean of criterion0.12245

SD of predictor0.24982

SD of criterion0.10256

Covariance0.00159

r0.06194

b (slope, estimate of beta)0.02543

a (intercept, estimate of alpha)0.12658

Mean Square Error0.01093

DF error23.00000

t(b)0.29761

p(b)0.61566

t(a)1.71602

p(a)0.04980

Lowerbound of 95% confidence interval for beta0.20217

Upperbound of 95% confidence interval for beta0.15132

Lowerbound of 95% confidence interval for alpha0.02601

Upperbound of 95% confidence interval for alpha0.27917

Treynor index (mean / b)4.81554

Jensen alpha (a)0.12658
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.03776

Expected Shortfall on VaR0.04954
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01235

Expected Shortfall on VaR0.02474
 ORDER STATISTICS
 Quartiles of return rates

Number of observations25.00000

Minimum0.96099

Quartile 10.99700

Median1.00498

Quartile 31.02369

Maximum1.10472

Mean of quarter 10.98269

Mean of quarter 21.00166

Mean of quarter 31.01875

Mean of quarter 41.05412

Inter Quartile Range0.02669

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.04000

Mean of outliers high1.10472
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)1.24820

VaR(95%) (moments method)0.01091

Expected Shortfall (moments method)0.01163

Extreme Value Index (regression method)0.47500

VaR(95%) (regression method)0.02379

Expected Shortfall (regression method)0.02925
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.03901

Quartile 10.03988

Median0.04074

Quartile 30.04161

Maximum0.04247

Mean of quarter 10.03901

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.04247

Inter Quartile Range0.00173

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)0.17657

Compounded annual return (geometric extrapolation)0.16225

Calmar ratio (compounded annual return / max draw down)3.82009

Compounded annual return / average of 25% largest draw downs3.82009

Compounded annual return / Expected Shortfall lognormal3.27525

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.12160

SD0.08441

Sharpe ratio (Glass type estimate)1.44058

Sharpe ratio (Hedges UMVUE)1.43861

df549.00000

t2.08722

p0.01866

Lowerbound of 95% confidence interval for Sharpe Ratio0.08452

Upperbound of 95% confidence interval for Sharpe Ratio2.79538

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.08319

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.79404
 Statistics related to Sortino ratio

Sortino ratio2.22910

Upside Potential Ratio8.29364

Upside part of mean0.45242

Downside part of mean0.33082

Upside SD0.06475

Downside SD0.05455

N nonnegative terms286.00000

N negative terms264.00000
 Statistics related to linear regression on benchmark

N of observations550.00000

Mean of predictor0.16631

Mean of criterion0.12160

SD of predictor0.25630

SD of criterion0.08441

Covariance0.00476

r0.21996

b (slope, estimate of beta)0.07244

a (intercept, estimate of alpha)0.11000

Mean Square Error0.00679

DF error548.00000

t(b)5.27840

p(b)0.00000

t(a)1.92433

p(a)0.02742

Lowerbound of 95% confidence interval for beta0.04548

Upperbound of 95% confidence interval for beta0.09940

Lowerbound of 95% confidence interval for alpha0.00228

Upperbound of 95% confidence interval for alpha0.22138

Treynor index (mean / b)1.67857

Jensen alpha (a)0.10955
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.11801

SD0.08432

Sharpe ratio (Glass type estimate)1.39960

Sharpe ratio (Hedges UMVUE)1.39769

df549.00000

t2.02785

p0.02153

Lowerbound of 95% confidence interval for Sharpe Ratio0.04369

Upperbound of 95% confidence interval for Sharpe Ratio2.75425

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.04242

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.75296
 Statistics related to Sortino ratio

Sortino ratio2.14557

Upside Potential Ratio8.18713

Upside part of mean0.45030

Downside part of mean0.33229

Upside SD0.06422

Downside SD0.05500

N nonnegative terms286.00000

N negative terms264.00000
 Statistics related to linear regression on benchmark

N of observations550.00000

Mean of predictor0.13320

Mean of criterion0.11801

SD of predictor0.25797

SD of criterion0.08432

Covariance0.00477

r0.21916

b (slope, estimate of beta)0.07163

a (intercept, estimate of alpha)0.10847

Mean Square Error0.00678

DF error548.00000

t(b)5.25833

p(b)0.00000

t(a)1.90762

p(a)0.02848

Lowerbound of 95% confidence interval for beta0.04487

Upperbound of 95% confidence interval for beta0.09839

Lowerbound of 95% confidence interval for alpha0.00322

Upperbound of 95% confidence interval for alpha0.22016

Treynor index (mean / b)1.64743

Jensen alpha (a)0.10847
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00808

Expected Shortfall on VaR0.01024
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00277

Expected Shortfall on VaR0.00602
 ORDER STATISTICS
 Quartiles of return rates

Number of observations550.00000

Minimum0.97294

Quartile 10.99887

Median1.00021

Quartile 31.00207

Maximum1.03217

Mean of quarter 10.99550

Mean of quarter 20.99968

Mean of quarter 31.00092

Mean of quarter 41.00618

Inter Quartile Range0.00321

Number outliers low26.00000

Percentage of outliers low0.04727

Mean of outliers low0.98737

Number of outliers high39.00000

Percentage of outliers high0.07091

Mean of outliers high1.01220
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.61586

VaR(95%) (moments method)0.00435

Expected Shortfall (moments method)0.01255

Extreme Value Index (regression method)0.32582

VaR(95%) (regression method)0.00432

Expected Shortfall (regression method)0.00809
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations27.00000

Minimum0.00005

Quartile 10.00193

Median0.00523

Quartile 30.01333

Maximum0.08425

Mean of quarter 10.00094

Mean of quarter 20.00419

Mean of quarter 30.00859

Mean of quarter 40.03613

Inter Quartile Range0.01141

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high3.00000

Percentage of outliers high0.11111

Mean of outliers high0.05900
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.32291

VaR(95%) (moments method)0.03819

Expected Shortfall (moments method)0.06707

Extreme Value Index (regression method)1.43017

VaR(95%) (regression method)0.03405

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.17073

Compounded annual return (geometric extrapolation)0.15710

Calmar ratio (compounded annual return / max draw down)1.86473

Compounded annual return / average of 25% largest draw downs4.34764

Compounded annual return / Expected Shortfall lognormal15.34210

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

Mean0.07881

SD0.03137

Sharpe ratio (Glass type estimate)2.51223

Sharpe ratio (Hedges UMVUE)2.49771

df130.00000

t1.77642

p0.57697

Lowerbound of 95% confidence interval for Sharpe Ratio5.29608

Upperbound of 95% confidence interval for Sharpe Ratio0.28108

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation5.28610

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.29067
 Statistics related to Sortino ratio

Sortino ratio3.07604

Upside Potential Ratio5.16929

Upside part of mean0.13243

Downside part of mean0.21124

Upside SD0.01854

Downside SD0.02562

N nonnegative terms51.00000

N negative terms80.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.00518

Mean of criterion0.07881

SD of predictor0.13326

SD of criterion0.03137

Covariance0.00190

r0.45388

b (slope, estimate of beta)0.10684

a (intercept, estimate of alpha)0.07825

Mean Square Error0.00079

DF error129.00000

t(b)5.78541

p(b)0.22130

t(a)1.97197

p(a)0.60837

Lowerbound of 95% confidence interval for beta0.07030

Upperbound of 95% confidence interval for beta0.14338

Lowerbound of 95% confidence interval for alpha0.15677

Upperbound of 95% confidence interval for alpha0.00026

Treynor index (mean / b)0.73762

Jensen alpha (a)0.07825
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.07930

SD0.03140

Sharpe ratio (Glass type estimate)2.52582

Sharpe ratio (Hedges UMVUE)2.51122

df130.00000

t1.78602

p0.57738

Lowerbound of 95% confidence interval for Sharpe Ratio5.30984

Upperbound of 95% confidence interval for Sharpe Ratio0.26767

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation5.29978

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.27734
 Statistics related to Sortino ratio

Sortino ratio3.08694

Upside Potential Ratio5.14817

Upside part of mean0.13225

Downside part of mean0.21155

Upside SD0.01850

Downside SD0.02569

N nonnegative terms51.00000

N negative terms80.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.01401

Mean of criterion0.07930

SD of predictor0.13346

SD of criterion0.03140

Covariance0.00190

r0.45269

b (slope, estimate of beta)0.10649

a (intercept, estimate of alpha)0.07781

Mean Square Error0.00079

DF error129.00000

t(b)5.76620

p(b)0.22198

t(a)1.95772

p(a)0.60762

VAR (95 Confidence Intrvl)0.00800

Lowerbound of 95% confidence interval for beta0.06995

Upperbound of 95% confidence interval for beta0.14303

Lowerbound of 95% confidence interval for alpha0.15644

Upperbound of 95% confidence interval for alpha0.00083

Treynor index (mean / b)0.74465

Jensen alpha (a)0.07781
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00349

Expected Shortfall on VaR0.00429
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00210

Expected Shortfall on VaR0.00392
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.98994

Quartile 10.99895

Median0.99989

Quartile 31.00074

Maximum1.00815

Mean of quarter 10.99759

Mean of quarter 20.99947

Mean of quarter 31.00029

Mean of quarter 41.00189

Inter Quartile Range0.00179

Number outliers low4.00000

Percentage of outliers low0.03053

Mean of outliers low0.99366

Number of outliers high2.00000

Percentage of outliers high0.01527

Mean of outliers high1.00593
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.27046

VaR(95%) (moments method)0.00249

Expected Shortfall (moments method)0.00401

Extreme Value Index (regression method)0.32742

VaR(95%) (regression method)0.00258

Expected Shortfall (regression method)0.00439
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations10.00000

Minimum0.00043

Quartile 10.00063

Median0.00172

Quartile 30.00458

Maximum0.04244

Mean of quarter 10.00048

Mean of quarter 20.00094

Mean of quarter 30.00267

Mean of quarter 40.01849

Inter Quartile Range0.00396

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.10000

Mean of outliers high0.04244
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.62589

VaR(95%) (moments method)0.01952

Expected Shortfall (moments method)0.06106

Extreme Value Index (regression method)2.63714

VaR(95%) (regression method)0.06776

Last 4 Months  Pcnt Negative0.75%

Expected Shortfall (regression method)0.00000

Strat Max DD how much worse than SP500 max DD during strat life?395111000

Max Equity Drawdown (num days)21
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.05074

Compounded annual return (geometric extrapolation)0.05009

Calmar ratio (compounded annual return / max draw down)1.18046

Compounded annual return / average of 25% largest draw downs2.70980

Compounded annual return / Expected Shortfall lognormal11.66590
Strategy Description
Of course, maybe this is obvious, but this is a strategy that trades stocks and ETFs so you want to have your commissions as low as possible. Sometimes the strategy is trading big stocks like AMZN, TSLA, etc. and we are only buying maybe 310 shares to keep the allocation percentages balanced correctly so low commissions are very helpful!
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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.
Not available
This feature isn't available under your current Trade Leader Plan.
Strategy is now visible
This strategy is now visible to the public. New subscribers will be able to follow it.
If you designate your strategy as Private, it will no longer be visible to the public.
No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.
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This strategy is no longer visible to anyone except current subscribers.
(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)
Finally, please note that you can restore public visibility at any time.
This strategy is no longer visible to the public. No subscribers will be allowed.
You can restore public visibility at any time.
Suggested Minimum Capital
This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.