Collective2 Collective2

Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it
Watchlist Watchlist
These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast Share System Watchlist Watchlist More...

The Performance Index
(51005601)

Created by: WalterToner WalterToner
Started: 07/2010
Stocks
Last trade: 3,299 days ago
Subscriptions not currently available.

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. You can subscribe to this system for free.

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.

13.9%
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.

(60.2%)
Max Drawdown
53
Num Trades
47.2%
Win Trades
2.8 : 1
Profit Factor
59.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010                                          +3.4%(19.7%)+72.2%+21.7%(1.6%)+21.4%+107.9%
2011+9.1%+8.3%(2.3%)+5.8%(9.5%)(6.7%)(3%)(25.5%)(13.9%)+16.2%(17.9%)+11.5%(31.8%)
2012+25.6%+8.6%+9.4%(2.4%)(23.6%)+14.6%+0.7%+11.9%+1.4%(8.6%)+0.6%+0.4%+34.4%
2013+8.1%(2.4%)+5.2%+0.5%+14.1%(8.6%)+14.7%+1.5%+10.8%+13.9%+4.4%+10.8%+98.0%
2014(6.4%)+13.9%(6.2%)(3.3%)+13.4%+11.2%(2.2%)+14.9%(7.9%)+9.5%+11.9%(6.1%)+45.0%
2015(3.6%)+12.0%(4.7%)+0.3%+4.7%(4.3%)(1.2%)(10.3%)(3.4%)+18.7%(1.1%)+0.5%+4.5%
2016(10.7%)+3.2%+5.7%(1.5%)+1.1%+1.1%+2.9%+7.9%+3.8%(1.7%)(5.5%)+0.1%+5.0%
2017+7.3%+2.3%+2.9%+3.1%+5.2%+6.2%+7.4%+5.0%(1.3%)+4.5%+5.6%(1.4%)+57.5%
2018+8.7%(5.6%)(3.5%)(1.4%)+7.9%(3.7%)+0.8%(0.8%)(4.2%)(10.8%)+7.7%(15.4%)(21.1%)
2019+20.8%+6.2%+0.6%  -  (5.8%)(45.7%)(3.4%)(0.5%)+2.0%+7.7%+4.0%(25.1%)
2020+0.1%(7.1%)(14.5%)+12.7%+4.0%+1.8%+10.7%(5%)(4.2%)+0.3%+6.1%+3.4%+5.1%
2021(0.1%)(0.5%)+0.2%+9.0%(2.8%)+5.4%+3.0%+4.4%(8.6%)+10.5%  -  +3.1%+24.4%
2022(18.2%)(1.3%)+5.1%(16.3%)(2.2%)(7.5%)+7.3%(0.6%)(12.8%)+1.1%+2.7%(5.2%)(41.2%)
2023+10.4%(4.1%)+2.8%+1.9%+6.0%+3.2%+8.4%(2.6%)(6.8%)(2.5%)+10.3%+6.5%+36.6%
2024+3.7%+3.6%+2.0%(6.4%)                                                +2.6%

Model Account Details

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

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

Trading Record

This strategy has placed 9 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 4813 days ago.

Show AutoTrade data Hide AutoTrade data
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/19/14 13:39 CVTI COVENANT TRANSPORTATION LONG 1,000 26.78 4/9/15 15:32 32.22 0.08%
Trade id #91432727
Max drawdown($440)
Time2/9/15 10:27
Quant open1,000
Worst price26.34
Drawdown as % of equity-0.08%
 $5,435
Includes Typical Broker Commissions trade costs of $5.00
1/20/11 13:10 UYM PROSHARES ULTRA MATERIALS TRADING LONG 1,800 51.08 12/17/14 14:23 49.20 1.63%
Trade id #57002032
Max drawdown($8,426)
Time12/16/14 15:59
Quant open1,300
Worst price44.60
Drawdown as % of equity-1.63%
 ($3,394)
Includes Typical Broker Commissions trade costs of $12.50
11/8/10 10:31 FAS DIREXION DAILY FINANCIAL BULL LONG 9,000 11.48 8/5/11 9:51 7.60 18.76%
Trade id #54587691
Max drawdown($35,549)
Time8/4/11 15:54
Quant open3,750
Worst price18.08
Drawdown as % of equity-18.76%
 ($34,963)
Includes Typical Broker Commissions trade costs of $16.10
10/20/10 12:05 XLF FINANCIAL SELECT SECTOR SPDR LONG 4,800 14.61 2/14/11 12:45 16.66 0.68%
Trade id #54032954
Max drawdown($1,212)
Time11/29/10 9:35
Quant open4,800
Worst price14.36
Drawdown as % of equity-0.68%
 $9,800
Includes Typical Broker Commissions trade costs of $23.00
7/19/10 11:00 RIG TRANSOCEAN LONG 195 48.85 1/20/11 13:08 78.69 0.86%
Trade id #51208275
Max drawdown($887)
Time7/26/10 9:37
Quant open195
Worst price44.30
Drawdown as % of equity-0.86%
 $5,815
Includes Typical Broker Commissions trade costs of $3.90
7/19/10 10:59 APC ANADARKO PETROLEUM LONG 214 45.41 10/13 13:53 58.87 0.2%
Trade id #51208127
Max drawdown($207)
Time7/19/10 12:15
Quant open214
Worst price44.44
Drawdown as % of equity-0.20%
 $2,876
Includes Typical Broker Commissions trade costs of $4.28
7/19/10 11:00 KBH KB HOME LONG 943 10.34 10/7 10:32 11.24 0.96%
Trade id #51208232
Max drawdown($858)
Time8/24/10 10:05
Quant open943
Worst price9.43
Drawdown as % of equity-0.96%
 $844
Includes Typical Broker Commissions trade costs of $5.00
7/19/10 11:00 NOK NOKIA LONG 1,121 8.75 9/27 11:00 9.80 0.37%
Trade id #51208252
Max drawdown($313)
Time8/31/10 9:38
Quant open1,121
Worst price8.47
Drawdown as % of equity-0.37%
 $1,172
Includes Typical Broker Commissions trade costs of $5.00
7/19/10 10:59 GILD GILEAD SCIENCES LONG 614 16.33 9/20 10:12 17.48 0.28%
Trade id #51208152
Max drawdown($285)
Time7/21/10 9:48
Quant open307
Worst price31.73
Drawdown as % of equity-0.28%
 $701
Includes Typical Broker Commissions trade costs of $5.00
7/19/10 11:00 NVDA NVIDIA LONG 978 10.27 9/17 11:28 10.56 1.57%
Trade id #51208263
Max drawdown($1,584)
Time8/12/10 9:33
Quant open978
Worst price8.65
Drawdown as % of equity-1.57%
 $279
Includes Typical Broker Commissions trade costs of $5.00
7/19/10 11:00 JCP J.C. PENNEY LONG 457 21.55 9/13 10:22 21.68 1.16%
Trade id #51208183
Max drawdown($973)
Time8/31/10 9:31
Quant open457
Worst price19.42
Drawdown as % of equity-1.16%
 $50
Includes Typical Broker Commissions trade costs of $9.14
7/19/10 10:59 ART Artio Global Investors Inc. LONG 647 15.30 9/9 9:58 14.83 1.27%
Trade id #51208134
Max drawdown($1,061)
Time8/31/10 9:31
Quant open647
Worst price13.66
Drawdown as % of equity-1.27%
 ($309)
Includes Typical Broker Commissions trade costs of $5.00
7/15/10 11:34 AONE ONE LONG 1,103 9.20 9/8 11:04 7.85 3.77%
Trade id #51120069
Max drawdown($3,176)
Time8/25/10 10:33
Quant open1,103
Worst price6.32
Drawdown as % of equity-3.77%
 ($1,494)
Includes Typical Broker Commissions trade costs of $5.00
7/19/10 11:02 DPS DR PEPPER SNAPPLE GROUP SHORT 258 38.61 7/30 11:04 37.60 0.41%
Trade id #51208341
Max drawdown($420)
Time7/26/10 13:00
Quant open-258
Worst price40.24
Drawdown as % of equity-0.41%
 $256
Includes Typical Broker Commissions trade costs of $5.16
7/19/10 11:02 LOGM LOGMEIN SHORT 353 27.98 7/30 11:04 28.24 1.13%
Trade id #51208379
Max drawdown($1,147)
Time7/21/10 10:51
Quant open-353
Worst price31.23
Drawdown as % of equity-1.13%
 ($99)
Includes Typical Broker Commissions trade costs of $7.06
7/19/10 11:04 WMZ Williams Pipeline Partners L.P. SHORT 294 33.54 7/30 11:04 34.02 0.64%
Trade id #51208509
Max drawdown($655)
Time7/23/10 10:45
Quant open-294
Worst price35.77
Drawdown as % of equity-0.64%
 ($147)
Includes Typical Broker Commissions trade costs of $5.88
7/19/10 11:03 SOL EMEREN GROUP LTD SHORT 1,368 7.22 7/30 11:03 7.52 1.33%
Trade id #51208433
Max drawdown($1,368)
Time7/26/10 10:43
Quant open-1,368
Worst price8.22
Drawdown as % of equity-1.33%
 ($415)
Includes Typical Broker Commissions trade costs of $5.00
7/19/10 11:03 VMW VMWARE SHORT 137 72.10 7/30 11:03 76.76 1.03%
Trade id #51208494
Max drawdown($1,074)
Time7/27/10 10:02
Quant open-137
Worst price79.94
Drawdown as % of equity-1.03%
 ($641)
Includes Typical Broker Commissions trade costs of $2.74
7/19/10 11:03 UAUA UAL Corporation SHORT 508 19.60 7/30 11:03 23.81 2.66%
Trade id #51208457
Max drawdown($2,743)
Time7/26/10 9:51
Quant open-508
Worst price25.00
Drawdown as % of equity-2.66%
 ($2,144)
Includes Typical Broker Commissions trade costs of $5.00
7/19/10 11:01 BIDU BAIDU SHORT 143 71.11 7/30 11:03 81.00 1.49%
Trade id #51208330
Max drawdown($1,555)
Time7/27/10 9:35
Quant open-143
Worst price81.99
Drawdown as % of equity-1.49%
 ($1,417)
Includes Typical Broker Commissions trade costs of $2.86
7/19/10 11:02 NTAP NETAPP SHORT 245 40.35 7/30 11:02 41.97 0.91%
Trade id #51208407
Max drawdown($955)
Time7/27/10 9:40
Quant open-245
Worst price44.25
Drawdown as % of equity-0.91%
 ($402)
Includes Typical Broker Commissions trade costs of $4.90
7/19/10 11:02 SNDK SANDISK SHORT 237 41.32 7/30 11:02 43.24 0.7%
Trade id #51208422
Max drawdown($737)
Time7/28/10 10:02
Quant open-237
Worst price44.43
Drawdown as % of equity-0.70%
 ($460)
Includes Typical Broker Commissions trade costs of $4.74
7/14/10 11:25 PWER MACQUARIE ENERGY TRANSITION ETF SHORT 1,121 9.24 7/19 10:58 8.46 0.03%
Trade id #51079455
Max drawdown($33)
Time7/14/10 11:48
Quant open-1,121
Worst price9.27
Drawdown as % of equity-0.03%
 $869
Includes Typical Broker Commissions trade costs of $5.00
7/15/10 11:34 TRS TRIMAS SHORT 868 11.46 7/19 10:57 10.32 0.06%
Trade id #51120089
Max drawdown($60)
Time7/15/10 15:49
Quant open-868
Worst price11.53
Drawdown as % of equity-0.06%
 $985
Includes Typical Broker Commissions trade costs of $5.00
7/14/10 11:37 IDT IDT SHORT 614 16.44 7/19 10:57 14.67 0.03%
Trade id #51080154
Max drawdown($30)
Time7/14/10 11:52
Quant open-614
Worst price16.49
Drawdown as % of equity-0.03%
 $1,082
Includes Typical Broker Commissions trade costs of $5.00
7/12/10 14:34 ISLN Isilon Systems, Inc. SHORT 716 13.92 7/19 10:56 13.29 0.67%
Trade id #51012825
Max drawdown($680)
Time7/14/10 12:02
Quant open-716
Worst price14.87
Drawdown as % of equity-0.67%
 $446
Includes Typical Broker Commissions trade costs of $5.00
7/14/10 11:25 ADCT ADC THERAPEUTICS SA SHORT 800 12.49 7/19 10:56 12.57 0.1%
Trade id #51079469
Max drawdown($104)
Time7/14/10 16:01
Quant open-800
Worst price12.62
Drawdown as % of equity-0.10%
 ($69)
Includes Typical Broker Commissions trade costs of $5.00
7/12/10 14:32 CRUS CIRRUS LOGIC SHORT 562 17.58 7/19 10:56 16.70 0.42%
Trade id #51012757
Max drawdown($432)
Time7/14/10 11:48
Quant open-562
Worst price18.35
Drawdown as % of equity-0.42%
 $490
Includes Typical Broker Commissions trade costs of $5.00
7/12/10 14:33 APKT Acme Packet, Inc. SHORT 345 29.19 7/19 10:55 28.75 1.2%
Trade id #51012802
Max drawdown($1,235)
Time7/15/10 9:52
Quant open-345
Worst price32.77
Drawdown as % of equity-1.20%
 $145
Includes Typical Broker Commissions trade costs of $6.90
7/12/10 14:32 NFLX NETFLIX SHORT 600 16.70 7/19 10:55 16.32 0.39%
Trade id #51012748
Max drawdown($397)
Time7/14/10 11:48
Quant open-84
Worst price124.00
Drawdown as % of equity-0.39%
 $221
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    7/12/2010
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    5029.13
  • Age
    168 months ago
  • What it trades
    Stocks
  • # Trades
    53
  • # Profitable
    25
  • % Profitable
    47.20%
  • Avg trade duration
    270.4 days
  • Max peak-to-valley drawdown
    60.19%
  • drawdown period
    June 18, 2018 - March 24, 2020
  • Annual Return (Compounded)
    13.9%
  • Avg win
    $30,717
  • Avg loss
    $10,114
  • Model Account Values (Raw)
  • Cash
    $298,510
  • Margin Used
    $0
  • Buying Power
    $797,111
  • Ratios
  • W:L ratio
    2.78:1
  • Sharpe Ratio
    0.41
  • Sortino Ratio
    0.6
  • Calmar Ratio
    0.919
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    137.37%
  • Correlation to SP500
    0.47990
  • Return Percent SP500 (cumu) during strategy life
    360.41%
  • Return Statistics
  • Ann Return (w trading costs)
    13.9%
  • Slump
  • Current Slump as Pcnt Equity
    72.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.42%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.139%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    14.0%
  • 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 60% account loss (Monte Carlo)
    20.00%
  • 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
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $10,115
  • Avg Win
    $30,717
  • Sum Trade PL (losers)
    $283,211.000
  • Age
  • Num Months filled monthly returns table
    166
  • Win / Loss
  • Sum Trade PL (winners)
    $767,925.000
  • # Winners
    25
  • Num Months Winners
    98
  • Dividends
  • Dividends Received in Model Acct
    20162
  • Win / Loss
  • # Losers
    28
  • % Winners
    47.2%
  • Frequency
  • Avg Position Time (mins)
    389412.00
  • Avg Position Time (hrs)
    6490.20
  • Avg Trade Length
    270.4 days
  • Last Trade Ago
    3297
  • Regression
  • Alpha
    0.02
  • Beta
    1.17
  • Treynor Index
    0.05
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    34.94
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    32.89
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.27
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    29.927
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.183
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.064
  • Hold-and-Hope Ratio
    4.339
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.63261
  • SD
    0.59166
  • Sharpe ratio (Glass type estimate)
    1.06922
  • Sharpe ratio (Hedges UMVUE)
    1.05241
  • df
    48.00000
  • t
    2.16060
  • p
    0.01787
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.07082
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.05704
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05990
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.04492
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.82490
  • Upside Potential Ratio
    3.18554
  • Upside part of mean
    1.10428
  • Downside part of mean
    -0.47167
  • Upside SD
    0.50606
  • Downside SD
    0.34665
  • N nonnegative terms
    36.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    49.00000
  • Mean of predictor
    0.40299
  • Mean of criterion
    0.63261
  • SD of predictor
    0.20849
  • SD of criterion
    0.59166
  • Covariance
    0.07646
  • r
    0.61984
  • b (slope, estimate of beta)
    1.75899
  • a (intercept, estimate of alpha)
    -0.07625
  • Mean Square Error
    0.22015
  • DF error
    47.00000
  • t(b)
    5.41506
  • p(b)
    0.00000
  • t(a)
    -0.28605
  • p(a)
    0.61195
  • Lowerbound of 95% confidence interval for beta
    1.10551
  • Upperbound of 95% confidence interval for beta
    2.41247
  • Lowerbound of 95% confidence interval for alpha
    -0.61248
  • Upperbound of 95% confidence interval for alpha
    0.45999
  • Treynor index (mean / b)
    0.35964
  • Jensen alpha (a)
    -0.07625
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.44879
  • SD
    0.60128
  • Sharpe ratio (Glass type estimate)
    0.74638
  • Sharpe ratio (Hedges UMVUE)
    0.73465
  • df
    48.00000
  • t
    1.50823
  • p
    0.06903
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.23868
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.72389
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.24635
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.71565
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.06567
  • Upside Potential Ratio
    2.37030
  • Upside part of mean
    0.99821
  • Downside part of mean
    -0.54942
  • Upside SD
    0.44000
  • Downside SD
    0.42113
  • N nonnegative terms
    36.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    49.00000
  • Mean of predictor
    0.37583
  • Mean of criterion
    0.44879
  • SD of predictor
    0.20653
  • SD of criterion
    0.60128
  • Covariance
    0.07879
  • r
    0.63445
  • b (slope, estimate of beta)
    1.84710
  • a (intercept, estimate of alpha)
    -0.24541
  • Mean Square Error
    0.22061
  • DF error
    47.00000
  • t(b)
    5.62718
  • p(b)
    0.00000
  • t(a)
    -0.93261
  • p(a)
    0.82211
  • Lowerbound of 95% confidence interval for beta
    1.18675
  • Upperbound of 95% confidence interval for beta
    2.50744
  • Lowerbound of 95% confidence interval for alpha
    -0.77479
  • Upperbound of 95% confidence interval for alpha
    0.28397
  • Treynor index (mean / b)
    0.24297
  • Jensen alpha (a)
    -0.24541
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.21972
  • Expected Shortfall on VaR
    0.27285
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05561
  • Expected Shortfall on VaR
    0.13337
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    49.00000
  • Minimum
    0.59812
  • Quartile 1
    0.99173
  • Median
    1.05089
  • Quartile 3
    1.14363
  • Maximum
    1.54012
  • Mean of quarter 1
    0.85185
  • Mean of quarter 2
    1.03091
  • Mean of quarter 3
    1.09437
  • Mean of quarter 4
    1.25048
  • Inter Quartile Range
    0.15190
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.06122
  • Mean of outliers low
    0.63868
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.04082
  • Mean of outliers high
    1.46734
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.23897
  • VaR(95%) (moments method)
    0.04198
  • Expected Shortfall (moments method)
    0.04501
  • Extreme Value Index (regression method)
    -0.10545
  • VaR(95%) (regression method)
    0.16632
  • Expected Shortfall (regression method)
    0.24571
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.05213
  • Quartile 1
    0.10817
  • Median
    0.28267
  • Quartile 3
    0.45781
  • Maximum
    0.51578
  • Mean of quarter 1
    0.05213
  • Mean of quarter 2
    0.12685
  • Mean of quarter 3
    0.43848
  • Mean of quarter 4
    0.51578
  • Inter Quartile Range
    0.34964
  • 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)
    1.28565
  • Compounded annual return (geometric extrapolation)
    0.56641
  • Calmar ratio (compounded annual return / max draw down)
    1.09815
  • Compounded annual return / average of 25% largest draw downs
    1.09815
  • Compounded annual return / Expected Shortfall lognormal
    2.07591
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.74852
  • SD
    0.78083
  • Sharpe ratio (Glass type estimate)
    0.95862
  • Sharpe ratio (Hedges UMVUE)
    0.95795
  • df
    1076.00000
  • t
    1.94358
  • p
    0.47043
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.00913
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.92596
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.00959
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.92550
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.43857
  • Upside Potential Ratio
    7.66237
  • Upside part of mean
    3.98692
  • Downside part of mean
    -3.23840
  • Upside SD
    0.58355
  • Downside SD
    0.52033
  • N nonnegative terms
    610.00000
  • N negative terms
    467.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1077.00000
  • Mean of predictor
    0.42328
  • Mean of criterion
    0.74852
  • SD of predictor
    0.31342
  • SD of criterion
    0.78083
  • Covariance
    0.12916
  • r
    0.52776
  • b (slope, estimate of beta)
    1.31484
  • a (intercept, estimate of alpha)
    0.19200
  • Mean Square Error
    0.44029
  • DF error
    1075.00000
  • t(b)
    20.37190
  • p(b)
    0.18034
  • t(a)
    0.58455
  • p(a)
    0.48865
  • Lowerbound of 95% confidence interval for beta
    1.18819
  • Upperbound of 95% confidence interval for beta
    1.44148
  • Lowerbound of 95% confidence interval for alpha
    -0.45243
  • Upperbound of 95% confidence interval for alpha
    0.83637
  • Treynor index (mean / b)
    0.56929
  • Jensen alpha (a)
    0.19197
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43916
  • SD
    0.79800
  • Sharpe ratio (Glass type estimate)
    0.55032
  • Sharpe ratio (Hedges UMVUE)
    0.54994
  • df
    1076.00000
  • t
    1.11577
  • p
    0.48300
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.41677
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.51718
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41704
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.51692
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.72111
  • Upside Potential Ratio
    6.31089
  • Upside part of mean
    3.84334
  • Downside part of mean
    -3.40418
  • Upside SD
    0.51582
  • Downside SD
    0.60900
  • N nonnegative terms
    610.00000
  • N negative terms
    467.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1077.00000
  • Mean of predictor
    0.37361
  • Mean of criterion
    0.43916
  • SD of predictor
    0.31502
  • SD of criterion
    0.79800
  • Covariance
    0.13058
  • r
    0.51942
  • b (slope, estimate of beta)
    1.31577
  • a (intercept, estimate of alpha)
    -0.05242
  • Mean Square Error
    0.46543
  • DF error
    1075.00000
  • t(b)
    19.92960
  • p(b)
    0.18487
  • t(a)
    -0.15538
  • p(a)
    0.50302
  • Lowerbound of 95% confidence interval for beta
    1.18623
  • Upperbound of 95% confidence interval for beta
    1.44532
  • Lowerbound of 95% confidence interval for alpha
    -0.71444
  • Upperbound of 95% confidence interval for alpha
    0.60960
  • Treynor index (mean / b)
    0.33376
  • Jensen alpha (a)
    -0.05242
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07634
  • Expected Shortfall on VaR
    0.09503
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02530
  • Expected Shortfall on VaR
    0.05548
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1077.00000
  • Minimum
    0.52887
  • Quartile 1
    0.98563
  • Median
    1.00234
  • Quartile 3
    1.02116
  • Maximum
    1.73167
  • Mean of quarter 1
    0.95517
  • Mean of quarter 2
    0.99572
  • Mean of quarter 3
    1.01094
  • Mean of quarter 4
    1.04978
  • Inter Quartile Range
    0.03554
  • Number outliers low
    37.00000
  • Percentage of outliers low
    0.03435
  • Mean of outliers low
    0.88390
  • Number of outliers high
    38.00000
  • Percentage of outliers high
    0.03528
  • Mean of outliers high
    1.11999
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24148
  • VaR(95%) (moments method)
    0.04035
  • Expected Shortfall (moments method)
    0.06604
  • Extreme Value Index (regression method)
    0.17619
  • VaR(95%) (regression method)
    0.04180
  • Expected Shortfall (regression method)
    0.06553
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    37.00000
  • Minimum
    0.00255
  • Quartile 1
    0.01188
  • Median
    0.03193
  • Quartile 3
    0.06972
  • Maximum
    0.60013
  • Mean of quarter 1
    0.00712
  • Mean of quarter 2
    0.02165
  • Mean of quarter 3
    0.04488
  • Mean of quarter 4
    0.27529
  • Inter Quartile Range
    0.05785
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.13514
  • Mean of outliers high
    0.40743
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.39275
  • VaR(95%) (moments method)
    0.24149
  • Expected Shortfall (moments method)
    0.48154
  • Extreme Value Index (regression method)
    0.18476
  • VaR(95%) (regression method)
    0.23492
  • Expected Shortfall (regression method)
    0.37661
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.23616
  • Compounded annual return (geometric extrapolation)
    0.55140
  • Calmar ratio (compounded annual return / max draw down)
    0.91880
  • Compounded annual return / average of 25% largest draw downs
    2.00302
  • Compounded annual return / Expected Shortfall lognormal
    5.80254
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13013
  • SD
    0.59759
  • Sharpe ratio (Glass type estimate)
    0.21776
  • Sharpe ratio (Hedges UMVUE)
    0.21650
  • df
    130.00000
  • t
    0.15398
  • p
    0.49325
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.55453
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.98933
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.55543
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.98843
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.29233
  • Upside Potential Ratio
    8.44212
  • Upside part of mean
    3.75814
  • Downside part of mean
    -3.62800
  • Upside SD
    0.39533
  • Downside SD
    0.44516
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.46629
  • Mean of criterion
    0.13013
  • SD of predictor
    0.43916
  • SD of criterion
    0.59759
  • Covariance
    0.23094
  • r
    0.87996
  • b (slope, estimate of beta)
    1.19742
  • a (intercept, estimate of alpha)
    -0.42821
  • Mean Square Error
    0.08122
  • DF error
    129.00000
  • t(b)
    21.03890
  • p(b)
    0.02451
  • t(a)
    -1.06019
  • p(a)
    0.55908
  • Lowerbound of 95% confidence interval for beta
    1.08482
  • Upperbound of 95% confidence interval for beta
    1.31003
  • Lowerbound of 95% confidence interval for alpha
    -1.22733
  • Upperbound of 95% confidence interval for alpha
    0.37091
  • Treynor index (mean / b)
    0.10868
  • Jensen alpha (a)
    -0.42821
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.05023
  • SD
    0.60587
  • Sharpe ratio (Glass type estimate)
    -0.08291
  • Sharpe ratio (Hedges UMVUE)
    -0.08243
  • df
    130.00000
  • t
    -0.05863
  • p
    0.50257
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.85462
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.68903
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.85426
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.68939
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.10816
  • Upside Potential Ratio
    7.92900
  • Upside part of mean
    3.68259
  • Downside part of mean
    -3.73282
  • Upside SD
    0.38545
  • Downside SD
    0.46444
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.36870
  • Mean of criterion
    -0.05023
  • SD of predictor
    0.44474
  • SD of criterion
    0.60587
  • Covariance
    0.23792
  • r
    0.88299
  • b (slope, estimate of beta)
    1.20289
  • a (intercept, estimate of alpha)
    -0.49374
  • Mean Square Error
    0.08150
  • DF error
    129.00000
  • t(b)
    21.36570
  • p(b)
    0.02360
  • t(a)
    -1.22129
  • p(a)
    0.56793
  • VAR (95 Confidence Intrvl)
    0.07600
  • Lowerbound of 95% confidence interval for beta
    1.09150
  • Upperbound of 95% confidence interval for beta
    1.31429
  • Lowerbound of 95% confidence interval for alpha
    -1.29361
  • Upperbound of 95% confidence interval for alpha
    0.30613
  • Treynor index (mean / b)
    -0.04176
  • Jensen alpha (a)
    -0.49374
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05989
  • Expected Shortfall on VaR
    0.07439
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02995
  • Expected Shortfall on VaR
    0.05857
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.84827
  • Quartile 1
    0.97841
  • Median
    1.00287
  • Quartile 3
    1.02667
  • Maximum
    1.08781
  • Mean of quarter 1
    0.95262
  • Mean of quarter 2
    0.99263
  • Mean of quarter 3
    1.01337
  • Mean of quarter 4
    1.04375
  • Inter Quartile Range
    0.04827
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.87210
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.04921
  • VaR(95%) (moments method)
    0.04660
  • Expected Shortfall (moments method)
    0.06020
  • Extreme Value Index (regression method)
    0.01850
  • VaR(95%) (regression method)
    0.04380
  • Expected Shortfall (regression method)
    0.05712
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00690
  • Quartile 1
    0.01968
  • Median
    0.02767
  • Quartile 3
    0.06640
  • Maximum
    0.43875
  • Mean of quarter 1
    0.00947
  • Mean of quarter 2
    0.02750
  • Mean of quarter 3
    0.04581
  • Mean of quarter 4
    0.26287
  • Inter Quartile Range
    0.04672
  • 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
    0.14286
  • Mean of outliers high
    0.43875
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -326500000
  • Max Equity Drawdown (num days)
    645
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.04961
  • Compounded annual return (geometric extrapolation)
    -0.04899
  • Calmar ratio (compounded annual return / max draw down)
    -0.11167
  • Compounded annual return / average of 25% largest draw downs
    -0.18638
  • Compounded annual return / Expected Shortfall lognormal
    -0.65858

Strategy Description

The Performance Index uses an algorithm to determine an equity's long term value trend line then calculates a timing oscillator around that value to determine buy and sell signals.
All listed US equities are evaluated. Although for this environment only stocks with sufficient liquidity will be traded
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2010-07-12
Suggested Minimum Capital
$5,000
# Trades
53
# Profitable
25
% Profitable
47.2%
Net Dividends
$20,161
Correlation S&P500
0.480
Sharpe Ratio
0.41
Sortino Ratio
0.60
Beta
1.17
Alpha
0.02

Latest Activity

#PERSONNAME#
subscribed on started simulation #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.

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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

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.

Continue to designate your strategy as Private?

Mark as Private Keep Public

Strategy is no longer visible

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.