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Simple SPY

Created by:
UserRemoved109
UserRemoved109
Started:   06/2010
Stocks
Last trade:   973 days ago

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Free AutoTrade
-
Annual Return (Compounded)
100.0%
Max Drawdown
14
Num Trades
57.1%
Win Trades
0.1 : 1
Profit Factor
17.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010                                   +13.7%+4.2%+3.0%+0.5%(7.6%)(1.4%)(13.6%)(3.4%)
2011(6.2%)(8.8%)(0.2%)(6.8%)(1.1%)+4.5%+1.4%+10.8%+9.8%(13.3%)+4.2%(9.7%)(17.3%)
2012(11.2%)(14.1%)(11.6%)+0.4%+16.9%(10.3%)(7%)(10.7%)(8.6%)+4.6%(5.5%)(4.7%)(49.3%)
2013(23.5%)(13.8%)(18.3%)(15.8%)(45.9%)+42.0%(62.8%)(9.3%)(56.6%)(404.2%)(66.9%)(26.3%)(132.7%)
2014(35.1%)(87%)(8%)(8.5%)(15.6%)(17%)(8.3%)(23.2%)(2.3%)  -  (6.7%)(121.1%)
2015(8.1%)(23.4%)(4.1%)(4.9%)(5.2%)(7.4%)(11%)(29.1%)(7.1%)(32.2%)(0.9%)(1.7%)(44.5%)
2016(16.3%)(2.7%)(20.1%)(4.6%)(4.3%)(3.7%)(14.5%)                              (24.2%)

Model Account Details

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Long
Short
Both
Win
Loss
Both

Trading Record

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Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/11/10 15:57 SPY SPDR S&P 500 LONG 190 121.56 11/15 15:46 120.20 3.18%
Trade id #54751177
Max drawdown($362)
Time11/12/10 13:01
Quant open190
Worst price119.65
Drawdown as % of equity-3.18%
($262)
Includes Typical Commission and AutoTrade Fees trade costs of $3.80
11/2/10 11:08 SPY SPDR S&P 500 SHORT 190 119.32 11/11 15:55 121.45 6%
Trade id #54415122
Max drawdown($689)
Time11/9/10 10:23
Quant open-190
Worst price122.95
Drawdown as % of equity-6.00%
($409)
Includes Typical Commission and AutoTrade Fees trade costs of $3.80
11/1/10 10:47 SPY SPDR S&P 500 SHORT 190 119.42 11/1 15:46 118.35 0.24%
Trade id #54370712
Max drawdown($28)
Time11/1/10 10:51
Quant open-190
Worst price119.57
Drawdown as % of equity-0.24%
$199
Includes Typical Commission and AutoTrade Fees trade costs of $3.80
10/27/10 15:56 SPY SPDR S&P 500 LONG 190 118.44 11/1 9:30 119.07 0.99%
Trade id #54250775
Max drawdown($115)
Time10/28/10 12:31
Quant open190
Worst price117.83
Drawdown as % of equity-0.99%
$116
Includes Typical Commission and AutoTrade Fees trade costs of $3.80
9/24/10 15:50 SPY SPDR S&P 500 SHORT 200 114.79 10/27 15:53 118.33 8.55%
Trade id #53249761
Max drawdown($994)
Time10/25/10 10:01
Quant open-200
Worst price119.76
Drawdown as % of equity-8.55%
($712)
Includes Typical Commission and AutoTrade Fees trade costs of $4.00
9/23/10 15:50 SPY SPDR S&P 500 LONG 200 112.41 9/24 10:33 114.47 0.05%
Trade id #53210193
Max drawdown($6)
Time9/23/10 15:52
Quant open200
Worst price112.38
Drawdown as % of equity-0.05%
$408
Includes Typical Commission and AutoTrade Fees trade costs of $4.00
9/1/10 10:19 SPY SPDR S&P 500 SHORT 240 108.03 9/23 15:50 112.35 13.67%
Trade id #52535406
Max drawdown($1,600)
Time9/21/10 14:41
Quant open-235
Worst price114.84
Drawdown as % of equity-13.67%
($1,042)
Includes Typical Commission and AutoTrade Fees trade costs of $5.75
8/25/10 15:46 SPY SPDR S&P 500 LONG 230 106.24 9/1 10:16 108.17 3.55%
Trade id #52336073
Max drawdown($443)
Time8/27/10 10:09
Quant open230
Worst price104.31
Drawdown as % of equity-3.55%
$439
Includes Typical Commission and AutoTrade Fees trade costs of $4.60
8/24/10 13:01 SPY SPDR S&P 500 SHORT 230 105.88 8/25 12:03 105.30 0.71%
Trade id #52284251
Max drawdown($89)
Time8/24/10 15:26
Quant open-230
Worst price106.27
Drawdown as % of equity-0.71%
$128
Includes Typical Commission and AutoTrade Fees trade costs of $4.60
8/17/10 9:31 SPY SPDR S&P 500 SHORT 220 109.19 8/20 15:54 107.63 2.16%
Trade id #52070130
Max drawdown($264)
Time8/17/10 13:35
Quant open-220
Worst price110.39
Drawdown as % of equity-2.16%
$339
Includes Typical Commission and AutoTrade Fees trade costs of $4.40
7/12/10 15:56 SPY SPDR S&P 500 SHORT 230 107.95 8/11 15:47 109.40 10.13%
Trade id #51015493
Max drawdown($1,171)
Time8/9/10 14:50
Quant open-224
Worst price113.18
Drawdown as % of equity-10.13%
($340)
Includes Typical Commission and AutoTrade Fees trade costs of $5.54
7/2/10 15:51 SPY SPDR S&P 500 LONG 220 102.90 7/8 9:31 107.00 1.87%
Trade id #50787486
Max drawdown($224)
Time7/6/10 15:25
Quant open220
Worst price101.88
Drawdown as % of equity-1.87%
$898
Includes Typical Commission and AutoTrade Fees trade costs of $4.40
6/16/10 15:45 SPY SPDR S&P 500 SHORT 170 111.81 7/1 11:16 101.38 2.36%
Trade id #50330172
Max drawdown($236)
Time6/21/10 9:31
Quant open-170
Worst price113.20
Drawdown as % of equity-2.36%
$1,770
Includes Typical Commission and AutoTrade Fees trade costs of $3.40

Statistics

  • Strategy began
    6/16/2010
  • Starting Unit Size
    $10,000
  • Strategy Age (days)
    2232.49
  • Age
    75 months ago
  • What it trades
    Stocks
  • # Trades
    14
  • # Profitable
    8
  • % Profitable
    57.10%
  • Avg trade duration
    158.4 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Sept 23, 2013 - July 23, 2016
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $541.33
  • Avg loss
    $2,007
  • Model Account Values (Raw)
  • Cash
    $15,859
  • Margin Used
    $11,898
  • Buying Power
    ($2,413)
  • Ratios
  • W:L ratio
    0.08:1
  • Sharpe Ratio
    -0.239
  • Sortino Ratio
    -0.335
  • Calmar Ratio
    -0.967
  • Daily Change
  • Open PL
    ($9,299)
  • Open PL (start day)
    ($9,300)
  • Open PL Change $
    $0.41
  • Open PL Change %
    n/a
  • Close PL
    $1,589
  • Closed PL (start day)
    ($1,878)
  • Closed PL Change $
    $3,467
  • Closed PL Change %
    -184.63%
  • Equity
    ($1,178)
  • Equity (start day)
    ($1,178)
  • Equity Change $
    ($0.42)
  • Equity Change %
    0.04%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Ann Return (Compnd, No Fees)
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    14
  • Win / Loss
  • Avg Loss
    $2,007
  • Avg Win
    $541
  • # Winners
    8
  • # Losers
    6
  • % Winners
    57.1%
  • Frequency
  • Avg Position Time (mins)
    227945.00
  • Avg Position Time (hrs)
    3799.09
  • Avg Trade Length
    158.3 days
  • Last Trade Ago
    971
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    78.17070
  • SD
    129.27300
  • Sharpe ratio (Glass type estimate)
    0.60469
  • Sharpe ratio (Hedges UMVUE)
    0.58993
  • df
    31.00000
  • t
    0.98746
  • p
    0.16553
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.60962
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.80948
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.61925
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.79910
  • Statistics related to Sortino ratio
  • Sortino ratio
    70.00660
  • Upside Potential Ratio
    71.79110
  • Upside part of mean
    80.16320
  • Downside part of mean
    -1.99254
  • Upside SD
    129.21800
  • Downside SD
    1.11662
  • N nonnegative terms
    7.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.23598
  • Mean of criterion
    78.17070
  • SD of predictor
    0.15885
  • SD of criterion
    129.27300
  • Covariance
    -3.00536
  • r
    -0.14635
  • b (slope, estimate of beta)
    -119.09900
  • a (intercept, estimate of alpha)
    106.27500
  • Mean Square Error
    16898.70000
  • DF error
    30.00000
  • t(b)
    -0.81032
  • p(b)
    0.78793
  • t(a)
    1.22391
  • p(a)
    0.11526
  • Lowerbound of 95% confidence interval for beta
    -419.26700
  • Upperbound of 95% confidence interval for beta
    181.06900
  • Lowerbound of 95% confidence interval for alpha
    -71.06100
  • Upperbound of 95% confidence interval for alpha
    283.61200
  • Treynor index (mean / b)
    -0.65635
  • Jensen alpha (a)
    106.27500
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -3.46383
  • SD
    6.12455
  • Sharpe ratio (Glass type estimate)
    -0.56556
  • Sharpe ratio (Hedges UMVUE)
    -0.55175
  • df
    31.00000
  • t
    -0.92356
  • p
    0.81858
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.76950
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.64726
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.75981
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.65631
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.67899
  • Upside Potential Ratio
    0.51394
  • Upside part of mean
    2.62182
  • Downside part of mean
    -6.08565
  • Upside SD
    3.36352
  • Downside SD
    5.10142
  • N nonnegative terms
    7.00000
  • N negative terms
    25.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.22165
  • Mean of criterion
    -3.46383
  • SD of predictor
    0.15684
  • SD of criterion
    6.12455
  • Covariance
    -0.26311
  • r
    -0.27390
  • b (slope, estimate of beta)
    -10.69560
  • a (intercept, estimate of alpha)
    -1.09320
  • Mean Square Error
    35.85260
  • DF error
    30.00000
  • t(b)
    -1.55987
  • p(b)
    0.93536
  • t(a)
    -0.27542
  • p(a)
    0.60756
  • Lowerbound of 95% confidence interval for beta
    -24.69890
  • Upperbound of 95% confidence interval for beta
    3.30766
  • Lowerbound of 95% confidence interval for alpha
    -9.19934
  • Upperbound of 95% confidence interval for alpha
    7.01294
  • Treynor index (mean / b)
    0.32386
  • Jensen alpha (a)
    -1.09320
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.95911
  • Expected Shortfall on VaR
    0.97701
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.49749
  • Expected Shortfall on VaR
    0.89701
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    32.00000
  • Minimum
    0.00187
  • Quartile 1
    0.81437
  • Median
    0.95908
  • Quartile 3
    0.99826
  • Maximum
    212.00000
  • Mean of quarter 1
    0.46391
  • Mean of quarter 2
    0.89437
  • Mean of quarter 3
    0.98017
  • Mean of quarter 4
    27.72180
  • Inter Quartile Range
    0.18388
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.09375
  • Mean of outliers low
    0.03571
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.06250
  • Mean of outliers high
    107.64200
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.48469
  • VaR(95%) (moments method)
    0.59164
  • Expected Shortfall (moments method)
    1.27782
  • Extreme Value Index (regression method)
    -1.02615
  • VaR(95%) (regression method)
    0.46520
  • Expected Shortfall (regression method)
    0.49598
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.99992
  • Quartile 1
    0.99992
  • Median
    0.99992
  • Quartile 3
    0.99992
  • Maximum
    0.99992
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.37496
  • Compounded annual return (geometric extrapolation)
    -0.96838
  • Calmar ratio (compounded annual return / max draw down)
    -0.96846
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.99116
  • 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
    719.94600
  • SD
    522.14500
  • Sharpe ratio (Glass type estimate)
    1.37882
  • Sharpe ratio (Hedges UMVUE)
    1.37771
  • df
    932.00000
  • t
    2.27076
  • p
    0.01169
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.18672
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.57023
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.18596
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.56946
  • Statistics related to Sortino ratio
  • Sortino ratio
    280.02000
  • Upside Potential Ratio
    284.73400
  • Upside part of mean
    732.06700
  • Downside part of mean
    -12.12090
  • Upside SD
    523.30000
  • Downside SD
    2.57106
  • N nonnegative terms
    358.00000
  • N negative terms
    575.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    933.00000
  • Mean of predictor
    0.26068
  • Mean of criterion
    719.94600
  • SD of predictor
    0.21676
  • SD of criterion
    522.14500
  • Covariance
    -27.63980
  • r
    -0.24421
  • b (slope, estimate of beta)
    -588.28800
  • a (intercept, estimate of alpha)
    873.30000
  • Mean Square Error
    256650.00000
  • DF error
    931.00000
  • t(b)
    -7.68422
  • p(b)
    1.00000
  • t(a)
    2.83297
  • p(a)
    0.00236
  • Lowerbound of 95% confidence interval for beta
    -738.53500
  • Upperbound of 95% confidence interval for beta
    -438.04200
  • Lowerbound of 95% confidence interval for alpha
    268.32900
  • Upperbound of 95% confidence interval for alpha
    1478.27000
  • Treynor index (mean / b)
    -1.22380
  • Jensen alpha (a)
    873.30000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -3.40583
  • SD
    14.22780
  • Sharpe ratio (Glass type estimate)
    -0.23938
  • Sharpe ratio (Hedges UMVUE)
    -0.23919
  • df
    932.00000
  • t
    -0.39423
  • p
    0.65325
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.42950
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.95082
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.42934
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.95097
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.33515
  • Upside Potential Ratio
    2.66181
  • Upside part of mean
    27.04920
  • Downside part of mean
    -30.45510
  • Upside SD
    9.94897
  • Downside SD
    10.16200
  • N nonnegative terms
    358.00000
  • N negative terms
    575.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    933.00000
  • Mean of predictor
    0.23707
  • Mean of criterion
    -3.40583
  • SD of predictor
    0.21710
  • SD of criterion
    14.22780
  • Covariance
    -0.83360
  • r
    -0.26987
  • b (slope, estimate of beta)
    -17.68600
  • a (intercept, estimate of alpha)
    0.78699
  • Mean Square Error
    187.88900
  • DF error
    931.00000
  • t(b)
    -8.55167
  • p(b)
    1.00000
  • t(a)
    0.09439
  • p(a)
    0.46241
  • Lowerbound of 95% confidence interval for beta
    -21.74480
  • Upperbound of 95% confidence interval for beta
    -13.62730
  • Lowerbound of 95% confidence interval for alpha
    -15.57570
  • Upperbound of 95% confidence interval for alpha
    17.14970
  • Treynor index (mean / b)
    0.19257
  • Jensen alpha (a)
    0.78699
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.71964
  • Expected Shortfall on VaR
    0.78915
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08979
  • Expected Shortfall on VaR
    0.20322
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    933.00000
  • Minimum
    0.00389
  • Quartile 1
    0.98681
  • Median
    1.00000
  • Quartile 3
    1.00712
  • Maximum
    677.00000
  • Mean of quarter 1
    0.86395
  • Mean of quarter 2
    0.99562
  • Mean of quarter 3
    1.00194
  • Mean of quarter 4
    9.51964
  • Inter Quartile Range
    0.02032
  • Number outliers low
    113.00000
  • Percentage of outliers low
    0.12112
  • Mean of outliers low
    0.74409
  • Number of outliers high
    88.00000
  • Percentage of outliers high
    0.09432
  • Mean of outliers high
    23.52840
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.19175
  • VaR(95%) (moments method)
    0.10652
  • 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
    4.00000
  • Minimum
    0.00355
  • Quartile 1
    0.00434
  • Median
    0.01800
  • Quartile 3
    0.27353
  • Maximum
    0.99992
  • Mean of quarter 1
    0.00355
  • Mean of quarter 2
    0.00460
  • Mean of quarter 3
    0.03140
  • Mean of quarter 4
    0.99992
  • Inter Quartile Range
    0.26919
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    0.99992
  • 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)
    -0.36867
  • Compounded annual return (geometric extrapolation)
    -0.96649
  • Calmar ratio (compounded annual return / max draw down)
    -0.96656
  • Compounded annual return / average of 25% largest draw downs
    -0.96656
  • Compounded annual return / Expected Shortfall lognormal
    -1.22472
  • 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
    3909.40000
  • SD
    1203.94000
  • Sharpe ratio (Glass type estimate)
    3.24717
  • Sharpe ratio (Hedges UMVUE)
    3.23291
  • df
    171.00000
  • t
    2.29609
  • p
    0.39045
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.44951
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.03559
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.44000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.02581
  • Statistics related to Sortino ratio
  • Sortino ratio
    660.78700
  • Upside Potential Ratio
    669.17200
  • Upside part of mean
    3959.01000
  • Downside part of mean
    -49.61290
  • Upside SD
    1218.79000
  • Downside SD
    5.91628
  • N nonnegative terms
    47.00000
  • N negative terms
    125.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.18789
  • Mean of criterion
    3909.40000
  • SD of predictor
    0.25298
  • SD of criterion
    1203.94000
  • Covariance
    -149.52500
  • r
    -0.49092
  • b (slope, estimate of beta)
    -2336.29000
  • a (intercept, estimate of alpha)
    4348.35000
  • Mean Square Error
    1106610.00000
  • DF error
    170.00000
  • t(b)
    -7.34717
  • p(b)
    0.74546
  • t(a)
    2.92054
  • p(a)
    0.39071
  • Lowerbound of 95% confidence interval for beta
    -2964.00000
  • Upperbound of 95% confidence interval for beta
    -1708.58000
  • Lowerbound of 95% confidence interval for alpha
    1409.26000
  • Upperbound of 95% confidence interval for alpha
    7287.45000
  • Treynor index (mean / b)
    -1.67334
  • Jensen alpha (a)
    4348.35000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -13.61470
  • SD
    33.18780
  • Sharpe ratio (Glass type estimate)
    -0.41023
  • Sharpe ratio (Hedges UMVUE)
    -0.40843
  • df
    171.00000
  • t
    -0.29008
  • p
    0.51412
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.18186
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.36244
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.18058
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.36371
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.57573
  • Upside Potential Ratio
    5.70867
  • Upside part of mean
    134.99900
  • Downside part of mean
    -148.61300
  • Upside SD
    23.15900
  • Downside SD
    23.64800
  • N nonnegative terms
    47.00000
  • N negative terms
    125.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.15581
  • Mean of criterion
    -13.61470
  • SD of predictor
    0.25428
  • SD of criterion
    33.18780
  • Covariance
    -4.25709
  • r
    -0.50446
  • b (slope, estimate of beta)
    -65.84150
  • a (intercept, estimate of alpha)
    -3.35574
  • Mean Square Error
    825.96700
  • DF error
    170.00000
  • t(b)
    -7.61768
  • p(b)
    0.75223
  • t(a)
    -0.08252
  • p(a)
    0.50316
  • Lowerbound of 95% confidence interval for beta
    -82.90340
  • Upperbound of 95% confidence interval for beta
    -48.77960
  • Lowerbound of 95% confidence interval for alpha
    -83.63170
  • Upperbound of 95% confidence interval for alpha
    76.92020
  • Treynor index (mean / b)
    0.20678
  • Jensen alpha (a)
    -3.35574
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.94935
  • Expected Shortfall on VaR
    0.97168
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.41551
  • Expected Shortfall on VaR
    0.80536
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.00389
  • Quartile 1
    0.85325
  • Median
    1.00000
  • Quartile 3
    1.05894
  • Maximum
    677.00000
  • Mean of quarter 1
    0.45647
  • Mean of quarter 2
    0.96672
  • Mean of quarter 3
    1.00191
  • Mean of quarter 4
    47.03310
  • Inter Quartile Range
    0.20569
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.11046
  • Mean of outliers low
    0.11169
  • Number of outliers high
    30.00000
  • Percentage of outliers high
    0.17442
  • Mean of outliers high
    66.90210
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.11250
  • VaR(95%) (moments method)
    0.43793
  • Expected Shortfall (moments method)
    0.66183
  • 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
    4.00000
  • Minimum
    0.11889
  • Quartile 1
    0.44625
  • Median
    0.77714
  • Quartile 3
    0.99898
  • Maximum
    0.99923
  • Mean of quarter 1
    0.11889
  • Mean of quarter 2
    0.55537
  • Mean of quarter 3
    0.99890
  • Mean of quarter 4
    0.99923
  • Inter Quartile Range
    0.55273
  • 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)
    -1.99778
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00077
  • Compounded annual return / average of 25% largest draw downs
    -1.00077
  • Compounded annual return / Expected Shortfall lognormal
    -1.02914

Strategy Description

Simple SPY is a long/short stock trading system utilizing the S&P 500 exchange-traded fund. An algorithm generates signals.

Margin is used. Day-trades will be rare. Pattern day-trading will not occur.

Open positions will not be increased. Open positions will only be partially reduced when required to meet margin calls. Stop orders will used to protect against extreme market moves.

Trading signals may be issued at any time. Only marketable limit orders will be entered.

Statistics

Strategy began
2010-06-16
Minimum Capital Required
$10,000
# Trades
14
# Profitable
8
% Profitable
57.1%
Net Dividends
Correlation S&P500
-0.639
Sharpe Ratio
-0.239

Latest

#PERSONNAME#
subscribed on #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

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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