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Featured Strategy Easiest Followed by live capital $450,000 Hypothetical

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This is an archived track record. This track record was archived on 3/7/21 13:51 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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US Realized Income-Dividend System
(76999386)

Created by: LesterJohn LesterJohn
Started: 10/2012
Stocks
Last trade: 1,144 days ago

Subscriptions not available

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

Subscription terms. 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.

-
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(100.0%)
Max Drawdown
535
Num Trades
90.7%
Win Trades
0.4 : 1
Profit Factor
18.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                               +0.8%+2.2%+1.0%+4.0%
2013+4.4%(2.8%)  -  +3.8%+2.1%(5.8%)(5%)(1.5%)+3.9%+5.8%(11.1%)(12.7%)(19.1%)
2014+17.5%(13.7%)(1.2%)(35.7%)(28.1%)+23.4%+22.0%+0.5%(0.7%)+0.5%+2.5%+4.5%(25%)
2015+8.4%+9.3%(6.8%)(8.3%)(2.2%)(11%)(3.2%)(13.1%)(0.6%)+5.2%(5.1%)+5.0%(22.8%)
2016(8.3%)(6.6%)(24.5%)+6.1%(1.9%)(10.7%)(29.2%)+12.4%+3.0%+2.5%+27.1%(6.5%)(39.9%)
2017(17%)(14.7%)(2.8%)(9.6%)(17%)(11.8%)+18.9%(19.2%)+37.2%(8%)(2.8%)(7.8%)(50.6%)
2018(27.3%)(40.2%)(57.9%)(184.8%)(63.7%)(175.7%)(16.1%)(515.8%)(15.9%)(54.9%)(137.8%)(71.2%)(336.8%)
2019(17.4%)(0.9%)(14.9%)(2.1%)(7%)(2.9%)(0.6%)(9.9%)(2.7%)(33.2%)(33.9%)(2.6%)(67.9%)
2020(2.7%)(2.8%)(26.1%)(56.6%)(27.1%)(5.3%)(10.2%)(3.5%)(6.7%)(15.6%)(10%)(14.2%)(43%)
2021(6.4%)(1.5%)(0.8%)  -    -    -    -    -    -    -    -    -  (5.6%)
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -  
2024  -    -    -    -                                                  0.0

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 126 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3918 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/11/14 14:02 DXCM DEXCOM SHORT 100 35.91 3/7/21 13:51 364.09 594.2%
Trade id #87016318
Max drawdown($12,918)
Time8/16/19 0:00
Quant open100
Worst price165.09
Drawdown as % of equity594.20%
 ($32,820)
Includes Typical Broker Commissions trade costs of $2.00
2/24/14 10:19 CLDX CELLDEX THERAPEUTICS LONG 60 473.15 3/7/21 13:51 324.94 20.05%
Trade id #86129181
Max drawdown($5,893)
Time9/25/15 15:27
Quant open300
Worst price11.90
Drawdown as % of equity-20.05%
 ($8,894)
Includes Typical Broker Commissions trade costs of $1.20
1/8/14 13:34 JKS JINKOSOLAR HOLDING LONG 300 36.82 3/7/21 13:51 38.86 4.03%
Trade id #85059404
Max drawdown($1,370)
Time7/8/15 14:52
Quant open100
Worst price23.12
Drawdown as % of equity-4.03%
 $604
Includes Typical Broker Commissions trade costs of $6.00
12/26/13 11:57 TWTR TWITTER INC LONG 100 73.87 3/7/21 13:51 66.95 11.19%
Trade id #84847253
Max drawdown($4,036)
Time6/16/15 10:11
Quant open100
Worst price33.51
Drawdown as % of equity-11.19%
 ($694)
Includes Typical Broker Commissions trade costs of $2.00
2/4/13 9:46 HLF HERBALIFE SHORT 1,200 25.01 3/7/21 13:51 35.39 13.56%
Trade id #79007885
Max drawdown($7,990)
Time10/28/13 16:18
Quant open-200
Worst price71.40
Drawdown as % of equity-13.56%
 ($12,477)
Includes Typical Broker Commissions trade costs of $24.00
11/15/12 11:33 DIA SPDR DOW JONES INDUSTRIAL AVER SHORT 100 125.46 3/7/21 13:51 315.24 280.72%
Trade id #77674154
Max drawdown($14,853)
Time7/16/19 0:00
Quant open100
Worst price273.99
Drawdown as % of equity280.72%
 ($18,980)
Includes Typical Broker Commissions trade costs of $2.00
1/7/14 12:38 IOC INTEROIL CORP SHORT 100 45.04 1/12/15 9:59 40.00 1.72%
Trade id #85031566
Max drawdown($645)
Time12/19/14 15:03
Quant open-100
Worst price51.49
Drawdown as % of equity-1.72%
 $502
Includes Typical Broker Commissions trade costs of $2.00
11/13/13 10:08 SRPT SAREPTA THERAPEUTICS INC. COM SHORT 800 13.73 12/15/14 14:59 13.23 7.15%
Trade id #84051196
Max drawdown($2,619)
Time11/24/14 7:23
Quant open-600
Worst price18.10
Drawdown as % of equity-7.15%
 $392
Includes Typical Broker Commissions trade costs of $12.50
4/11/14 10:44 SPWR SUNPOWER SHORT 100 27.04 4/11 14:31 26.64 0.12%
Trade id #87010988
Max drawdown($52)
Time4/11/14 10:58
Quant open-100
Worst price27.56
Drawdown as % of equity-0.12%
 $38
Includes Typical Broker Commissions trade costs of $2.00
4/11/14 9:36 WDAY WORKDAY SHORT 100 74.17 4/11 10:23 74.00 0.43%
Trade id #87008511
Max drawdown($179)
Time4/11/14 9:56
Quant open-100
Worst price75.96
Drawdown as % of equity-0.43%
 $15
Includes Typical Broker Commissions trade costs of $2.00
4/1/14 9:48 FIVE FIVE BELOW INC LONG 200 43.03 4/10 15:20 37.32 2.75%
Trade id #86796700
Max drawdown($1,165)
Time4/10/14 15:18
Quant open200
Worst price37.21
Drawdown as % of equity-2.75%
 ($1,147)
Includes Typical Broker Commissions trade costs of $4.00
3/27/14 12:56 SFUN FANG HOLDINGS LTD SHORT 500 13.16 4/8 12:57 13.10 73.05%
Trade id #86722358
Max drawdown($32,605)
Time4/2/14 9:42
Quant open-500
Worst price78.37
Drawdown as % of equity-73.05%
 $22
Includes Typical Broker Commissions trade costs of $10.00
3/31/14 10:24 GPOR GULFPORT ENERGY CORP LONG 100 70.35 3/31 14:48 70.88 0.14%
Trade id #86772653
Max drawdown($64)
Time3/31/14 11:13
Quant open100
Worst price69.71
Drawdown as % of equity-0.14%
 $51
Includes Typical Broker Commissions trade costs of $2.00
3/26/14 10:42 STX SEAGATE TECHNOLOGY LONG 300 55.60 3/31 10:30 55.80 0.3%
Trade id #86690926
Max drawdown($141)
Time3/27/14 11:35
Quant open100
Worst price54.46
Drawdown as % of equity-0.30%
 $54
Includes Typical Broker Commissions trade costs of $6.00
3/28/14 11:38 NOW SERVICENOW SHORT 100 58.93 3/28 14:06 58.52 0.1%
Trade id #86745492
Max drawdown($48)
Time3/28/14 12:39
Quant open-100
Worst price59.41
Drawdown as % of equity-0.10%
 $39
Includes Typical Broker Commissions trade costs of $2.00
3/28/14 11:10 NPSP NPS PHARMACEUTICALS SHORT 100 28.36 3/28 11:33 28.07 0.01%
Trade id #86744382
Max drawdown($4)
Time3/28/14 11:12
Quant open-100
Worst price28.40
Drawdown as % of equity-0.01%
 $27
Includes Typical Broker Commissions trade costs of $2.00
3/27/14 15:30 SODA SODASTREAM INTERNATIONAL LONG 100 42.66 3/28 9:44 43.25 0.02%
Trade id #86726160
Max drawdown($11)
Time3/27/14 15:56
Quant open100
Worst price42.55
Drawdown as % of equity-0.02%
 $57
Includes Typical Broker Commissions trade costs of $2.00
3/27/14 13:35 AWAY AMPLIFY TRAVEL TECH ETF SHORT 100 38.40 3/27 14:35 38.09 0%
Trade id #86723372
Max drawdown($1)
Time3/27/14 13:37
Quant open-100
Worst price38.41
Drawdown as % of equity-0.00%
 $29
Includes Typical Broker Commissions trade costs of $2.00
3/26/14 14:37 AEGR AEGERION PHARMACEUTICALS SHORT 100 45.23 3/27 12:05 44.84 0.4%
Trade id #86698017
Max drawdown($190)
Time3/27/14 10:08
Quant open-100
Worst price47.13
Drawdown as % of equity-0.40%
 $37
Includes Typical Broker Commissions trade costs of $2.00
3/26/14 13:23 MPEL MELCO CROWN ENTERTAINMENT SHORT 100 37.16 3/27 12:05 35.80 0.02%
Trade id #86695789
Max drawdown($9)
Time3/26/14 13:45
Quant open-100
Worst price37.25
Drawdown as % of equity-0.02%
 $134
Includes Typical Broker Commissions trade costs of $2.00
3/24/14 13:41 RYL RYLAND GROUP SHORT 100 38.77 3/27 12:04 38.27 0.22%
Trade id #86640911
Max drawdown($107)
Time3/25/14 9:33
Quant open-100
Worst price39.84
Drawdown as % of equity-0.22%
 $48
Includes Typical Broker Commissions trade costs of $2.00
3/27/14 10:06 SODA SODASTREAM INTERNATIONAL LONG 100 43.02 3/27 10:26 43.10 0.04%
Trade id #86717123
Max drawdown($20)
Time3/27/14 10:08
Quant open100
Worst price42.81
Drawdown as % of equity-0.04%
 $6
Includes Typical Broker Commissions trade costs of $2.00
3/26/14 10:24 SFLY SHUTTERFLY SHORT 100 43.49 3/26 13:22 42.92 0.07%
Trade id #86690369
Max drawdown($34)
Time3/26/14 11:30
Quant open-100
Worst price43.83
Drawdown as % of equity-0.07%
 $55
Includes Typical Broker Commissions trade costs of $2.00
3/24/14 14:21 NPSP NPS PHARMACEUTICALS SHORT 400 28.46 3/26 13:22 28.32 1.09%
Trade id #86642687
Max drawdown($538)
Time3/25/14 9:31
Quant open-200
Worst price30.45
Drawdown as % of equity-1.09%
 $48
Includes Typical Broker Commissions trade costs of $8.00
3/25/14 12:11 SNDK SANDISK LONG 100 80.40 3/26 9:32 81.64 0.05%
Trade id #86666677
Max drawdown($24)
Time3/25/14 12:29
Quant open100
Worst price80.16
Drawdown as % of equity-0.05%
 $122
Includes Typical Broker Commissions trade costs of $2.00
3/25/14 10:17 TRLA TELARIA INC LONG 300 35.13 3/25 15:46 35.39 0.75%
Trade id #86662059
Max drawdown($370)
Time3/25/14 12:29
Quant open300
Worst price33.90
Drawdown as % of equity-0.75%
 $72
Includes Typical Broker Commissions trade costs of $6.00
3/25/14 10:36 INCY INCYTE SHORT 100 55.16 3/25 11:58 53.54 0.04%
Trade id #86662997
Max drawdown($19)
Time3/25/14 10:40
Quant open-100
Worst price55.35
Drawdown as % of equity-0.04%
 $160
Includes Typical Broker Commissions trade costs of $2.00
3/25/14 10:36 AWAY AMPLIFY TRAVEL TECH ETF SHORT 100 39.50 3/25 11:58 38.49 n/a $99
Includes Typical Broker Commissions trade costs of $2.00
10/22/13 10:02 SLB SCHLUMBERGER LONG 100 94.37 3/25/14 9:34 95.29 1.17%
Trade id #83636121
Max drawdown($549)
Time3/14/14 15:19
Quant open100
Worst price88.88
Drawdown as % of equity-1.17%
 $90
Includes Typical Broker Commissions trade costs of $2.00
3/24/14 11:49 AWAY AMPLIFY TRAVEL TECH ETF SHORT 100 39.98 3/24 15:44 39.56 0.04%
Trade id #86638137
Max drawdown($21)
Time3/24/14 12:05
Quant open-100
Worst price40.19
Drawdown as % of equity-0.04%
 $40
Includes Typical Broker Commissions trade costs of $2.00
Next

Statistics

  • Strategy began
    10/7/2012
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    4212.93
  • Age
    141 months ago
  • What it trades
    Stocks
  • # Trades
    535
  • # Profitable
    485
  • % Profitable
    90.70%
  • Avg trade duration
    58.5 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Dec 16, 2018 - Dec 29, 2018
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $97.18
  • Avg loss
    $2,428
  • Model Account Values (Raw)
  • Cash
    ($15,017)
  • Margin Used
    $0
  • Buying Power
    ($29,285)
  • Ratios
  • W:L ratio
    0.36:1
  • Sharpe Ratio
    -0.85
  • Sortino Ratio
    -0.93
  • Calmar Ratio
    -0.946
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -326.04%
  • Correlation to SP500
    -0.05980
  • Return Percent SP500 (cumu) during strategy life
    247.08%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.95%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    0.14%
  • Percent Trades Stocks
    0.86%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • 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 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    0.48%
  • 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
    $2,428
  • Avg Win
    $97
  • Sum Trade PL (losers)
    $121,411.000
  • Age
  • Num Months filled monthly returns table
    67
  • Win / Loss
  • Sum Trade PL (winners)
    $47,132.000
  • # Winners
    485
  • Num Months Winners
    26
  • Dividends
  • Dividends Received in Model Acct
    -3309
  • Win / Loss
  • # Losers
    50
  • % Winners
    90.7%
  • Frequency
  • Avg Position Time (mins)
    84291.00
  • Avg Position Time (hrs)
    1404.85
  • Avg Trade Length
    58.5 days
  • Last Trade Ago
    1140
  • Regression
  • Alpha
    0.00
  • Beta
    -0.58
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    73.04
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    66.78
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    3.80
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.07
  • Avg(MAE) / Avg(PL) - All trades
    -3.391
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    2.413
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.903
  • Hold-and-Hope Ratio
    -0.358
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.88628
  • SD
    0.79800
  • Sharpe ratio (Glass type estimate)
    -1.11063
  • Sharpe ratio (Hedges UMVUE)
    -1.08911
  • df
    39.00000
  • t
    -2.02772
  • p
    0.97527
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.20518
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.00263
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.18949
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.01128
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.11497
  • Upside Potential Ratio
    0.38749
  • Upside part of mean
    0.30801
  • Downside part of mean
    -1.19429
  • Upside SD
    0.23342
  • Downside SD
    0.79489
  • N nonnegative terms
    13.00000
  • N negative terms
    27.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    40.00000
  • Mean of predictor
    0.23268
  • Mean of criterion
    -0.88628
  • SD of predictor
    0.12158
  • SD of criterion
    0.79800
  • Covariance
    -0.00855
  • r
    -0.08818
  • b (slope, estimate of beta)
    -0.57875
  • a (intercept, estimate of alpha)
    -0.75161
  • Mean Square Error
    0.64847
  • DF error
    38.00000
  • t(b)
    -0.54567
  • p(b)
    0.70576
  • t(a)
    -1.48713
  • p(a)
    0.92738
  • Lowerbound of 95% confidence interval for beta
    -2.72586
  • Upperbound of 95% confidence interval for beta
    1.56836
  • Lowerbound of 95% confidence interval for alpha
    -1.77477
  • Upperbound of 95% confidence interval for alpha
    0.27154
  • Treynor index (mean / b)
    1.53136
  • Jensen alpha (a)
    -0.75161
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -3.27381
  • SD
    4.33873
  • Sharpe ratio (Glass type estimate)
    -0.75455
  • Sharpe ratio (Hedges UMVUE)
    -0.73994
  • df
    39.00000
  • t
    -1.37762
  • p
    0.91191
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.83626
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.33657
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.82594
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34607
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.74707
  • Upside Potential Ratio
    0.06481
  • Upside part of mean
    0.28400
  • Downside part of mean
    -3.55781
  • Upside SD
    0.20798
  • Downside SD
    4.38222
  • N nonnegative terms
    13.00000
  • N negative terms
    27.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    40.00000
  • Mean of predictor
    0.22308
  • Mean of criterion
    -3.27381
  • SD of predictor
    0.11819
  • SD of criterion
    4.33873
  • Covariance
    0.03314
  • r
    0.06462
  • b (slope, estimate of beta)
    2.37223
  • a (intercept, estimate of alpha)
    -3.80301
  • Mean Square Error
    19.23930
  • DF error
    38.00000
  • t(b)
    0.39920
  • p(b)
    0.34599
  • t(a)
    -1.38598
  • p(a)
    0.91308
  • Lowerbound of 95% confidence interval for beta
    -9.65761
  • Upperbound of 95% confidence interval for beta
    14.40210
  • Lowerbound of 95% confidence interval for alpha
    -9.35778
  • Upperbound of 95% confidence interval for alpha
    1.75177
  • Treynor index (mean / b)
    -1.38006
  • Jensen alpha (a)
    -3.80301
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.90299
  • Expected Shortfall on VaR
    0.93723
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.27408
  • Expected Shortfall on VaR
    0.54456
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    40.00000
  • Minimum
    0.00041
  • Quartile 1
    0.90527
  • Median
    0.98843
  • Quartile 3
    1.02698
  • Maximum
    1.33453
  • Mean of quarter 1
    0.65781
  • Mean of quarter 2
    0.95220
  • Mean of quarter 3
    1.00336
  • Mean of quarter 4
    1.10053
  • Inter Quartile Range
    0.12171
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.10000
  • Mean of outliers low
    0.35621
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.02500
  • Mean of outliers high
    1.33453
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.66074
  • VaR(95%) (moments method)
    0.36360
  • Expected Shortfall (moments method)
    1.15982
  • Extreme Value Index (regression method)
    1.03623
  • VaR(95%) (regression method)
    0.24155
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00001
  • Quartile 1
    0.01417
  • Median
    0.06317
  • Quartile 3
    0.33058
  • Maximum
    0.99998
  • Mean of quarter 1
    0.00001
  • Mean of quarter 2
    0.01890
  • Mean of quarter 3
    0.10745
  • Mean of quarter 4
    0.99998
  • Inter Quartile Range
    0.31641
  • 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
    0.99998
  • 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)
    -0.29999
  • Compounded annual return (geometric extrapolation)
    -0.96107
  • Calmar ratio (compounded annual return / max draw down)
    -0.96108
  • Compounded annual return / average of 25% largest draw downs
    -0.96108
  • Compounded annual return / Expected Shortfall lognormal
    -1.02543
  • 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
    -0.40208
  • SD
    1.12934
  • Sharpe ratio (Glass type estimate)
    -0.35603
  • Sharpe ratio (Hedges UMVUE)
    -0.35573
  • df
    884.00000
  • t
    -0.65434
  • p
    0.74347
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.42250
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.71059
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.42227
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.71082
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.48394
  • Upside Potential Ratio
    3.01950
  • Upside part of mean
    2.50869
  • Downside part of mean
    -2.91077
  • Upside SD
    0.76439
  • Downside SD
    0.83083
  • N nonnegative terms
    369.00000
  • N negative terms
    516.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    885.00000
  • Mean of predictor
    0.28864
  • Mean of criterion
    -0.40208
  • SD of predictor
    0.24140
  • SD of criterion
    1.12934
  • Covariance
    -0.07759
  • r
    -0.28463
  • b (slope, estimate of beta)
    -1.33159
  • a (intercept, estimate of alpha)
    -0.05500
  • Mean Square Error
    1.17340
  • DF error
    883.00000
  • t(b)
    -8.82274
  • p(b)
    1.00000
  • t(a)
    -0.03000
  • p(a)
    0.51196
  • Lowerbound of 95% confidence interval for beta
    -1.62780
  • Upperbound of 95% confidence interval for beta
    -1.03537
  • Lowerbound of 95% confidence interval for alpha
    -1.17765
  • Upperbound of 95% confidence interval for alpha
    1.14220
  • Treynor index (mean / b)
    0.30195
  • Jensen alpha (a)
    -0.01773
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -3.23102
  • SD
    4.91320
  • Sharpe ratio (Glass type estimate)
    -0.65762
  • Sharpe ratio (Hedges UMVUE)
    -0.65706
  • df
    884.00000
  • t
    -1.20864
  • p
    0.88644
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.72430
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.40941
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.72392
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.40979
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.66260
  • Upside Potential Ratio
    0.47022
  • Upside part of mean
    2.29291
  • Downside part of mean
    -5.52393
  • Upside SD
    0.61145
  • Downside SD
    4.87629
  • N nonnegative terms
    369.00000
  • N negative terms
    516.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    885.00000
  • Mean of predictor
    0.25937
  • Mean of criterion
    -3.23102
  • SD of predictor
    0.24157
  • SD of criterion
    4.91320
  • Covariance
    -0.31797
  • r
    -0.26790
  • b (slope, estimate of beta)
    -5.44868
  • a (intercept, estimate of alpha)
    -1.81782
  • Mean Square Error
    22.43230
  • DF error
    883.00000
  • t(b)
    -8.26284
  • p(b)
    1.00000
  • t(a)
    -0.70385
  • p(a)
    0.75914
  • Lowerbound of 95% confidence interval for beta
    -6.74290
  • Upperbound of 95% confidence interval for beta
    -4.15447
  • Lowerbound of 95% confidence interval for alpha
    -6.88673
  • Upperbound of 95% confidence interval for alpha
    3.25109
  • Treynor index (mean / b)
    0.59299
  • Jensen alpha (a)
    -1.81782
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.40047
  • Expected Shortfall on VaR
    0.46869
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02715
  • Expected Shortfall on VaR
    0.06287
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    885.00000
  • Minimum
    0.00015
  • Quartile 1
    0.99347
  • Median
    1.00000
  • Quartile 3
    1.00524
  • Maximum
    1.96970
  • Mean of quarter 1
    0.95822
  • Mean of quarter 2
    0.99773
  • Mean of quarter 3
    1.00173
  • Mean of quarter 4
    1.03679
  • Inter Quartile Range
    0.01177
  • Number outliers low
    83.00000
  • Percentage of outliers low
    0.09379
  • Mean of outliers low
    0.91002
  • Number of outliers high
    71.00000
  • Percentage of outliers high
    0.08023
  • Mean of outliers high
    1.09180
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.86372
  • VaR(95%) (moments method)
    0.03428
  • Expected Shortfall (moments method)
    0.26860
  • Extreme Value Index (regression method)
    0.69909
  • VaR(95%) (regression method)
    0.02947
  • Expected Shortfall (regression method)
    0.10831
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00014
  • Quartile 1
    0.00340
  • Median
    0.00511
  • Quartile 3
    0.01316
  • Maximum
    0.99998
  • Mean of quarter 1
    0.00127
  • Mean of quarter 2
    0.00474
  • Mean of quarter 3
    0.01084
  • Mean of quarter 4
    0.29966
  • Inter Quartile Range
    0.00976
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.17647
  • Mean of outliers high
    0.39498
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.68848
  • VaR(95%) (moments method)
    0.21120
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    3.68717
  • VaR(95%) (regression method)
    0.59086
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.29604
  • Compounded annual return (geometric extrapolation)
    -0.95937
  • Calmar ratio (compounded annual return / max draw down)
    -0.95938
  • Compounded annual return / average of 25% largest draw downs
    -3.20148
  • Compounded annual return / Expected Shortfall lognormal
    -2.04689
  • 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
    0.22154
  • SD
    2.76768
  • Sharpe ratio (Glass type estimate)
    0.08005
  • Sharpe ratio (Hedges UMVUE)
    0.07958
  • df
    130.00000
  • t
    0.05660
  • p
    0.49752
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.69190
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.85175
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.69224
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.85141
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.11002
  • Upside Potential Ratio
    3.61825
  • Upside part of mean
    7.28577
  • Downside part of mean
    -7.06423
  • Upside SD
    1.88338
  • Downside SD
    2.01362
  • N nonnegative terms
    13.00000
  • N negative terms
    118.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.72596
  • Mean of criterion
    0.22154
  • SD of predictor
    0.49890
  • SD of criterion
    2.76768
  • Covariance
    -0.47448
  • r
    -0.34363
  • b (slope, estimate of beta)
    -1.90627
  • a (intercept, estimate of alpha)
    1.60542
  • Mean Square Error
    6.80795
  • DF error
    129.00000
  • t(b)
    -4.15589
  • p(b)
    0.71437
  • t(a)
    0.43332
  • p(a)
    0.47574
  • Lowerbound of 95% confidence interval for beta
    -2.81380
  • Upperbound of 95% confidence interval for beta
    -0.99874
  • Lowerbound of 95% confidence interval for alpha
    -5.72495
  • Upperbound of 95% confidence interval for alpha
    8.93579
  • Treynor index (mean / b)
    -0.11622
  • Jensen alpha (a)
    1.60542
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -18.37730
  • SD
    12.73090
  • Sharpe ratio (Glass type estimate)
    -1.44352
  • Sharpe ratio (Hedges UMVUE)
    -1.43517
  • df
    130.00000
  • t
    -1.02072
  • p
    0.54458
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.21821
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.33650
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.21246
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.34212
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.45296
  • Upside Potential Ratio
    0.47599
  • Upside part of mean
    6.02039
  • Downside part of mean
    -24.39770
  • Upside SD
    1.46674
  • Downside SD
    12.64820
  • N nonnegative terms
    13.00000
  • N negative terms
    118.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.60160
  • Mean of criterion
    -18.37730
  • SD of predictor
    0.49938
  • SD of criterion
    12.73090
  • Covariance
    -2.08403
  • r
    -0.32780
  • b (slope, estimate of beta)
    -8.35684
  • a (intercept, estimate of alpha)
    -13.34980
  • Mean Square Error
    145.78200
  • DF error
    129.00000
  • t(b)
    -3.94087
  • p(b)
    0.70489
  • t(a)
    -0.77965
  • p(a)
    0.54356
  • VAR (95 Confidence Intrvl)
    0.38600
  • Lowerbound of 95% confidence interval for beta
    -12.55240
  • Upperbound of 95% confidence interval for beta
    -4.16126
  • Lowerbound of 95% confidence interval for alpha
    -47.22780
  • Upperbound of 95% confidence interval for alpha
    20.52820
  • Treynor index (mean / b)
    2.19908
  • Jensen alpha (a)
    -13.34980
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.74433
  • Expected Shortfall on VaR
    0.80894
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08786
  • Expected Shortfall on VaR
    0.19443
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00015
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.96970
  • Mean of quarter 1
    0.89335
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.11043
  • Inter Quartile Range
    0.00000
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.64805
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09924
  • Mean of outliers high
    1.28033
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.04942
  • VaR(95%) (regression method)
    0.13188
  • Expected Shortfall (regression method)
    0.37480
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.99990
  • Quartile 1
    0.99990
  • Median
    0.99990
  • Quartile 3
    0.99990
  • Maximum
    0.99990
  • 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
  • Last 4 Months - Pcnt Negative
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -310204000
  • Max Equity Drawdown (num days)
    13
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.99979
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00010
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.23618

Strategy Description

This is a computer driven model that picks long and short positions based on the direction of the market and the stock. It is a trading system purely focused on the direction of the market and limiting risk when possible.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2012-10-07
Suggested Minimum Capital
$25,000
# Trades
535
# Profitable
485
% Profitable
90.7%
Net Dividends
($3,308)
Correlation S&P500
-0.060
Sharpe Ratio
-0.85
Sortino Ratio
-0.93
Beta
-0.58
Alpha
0.00

Latest Activity

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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.

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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.