Model Account Details
Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.
|Includes dividends and cash-settled expirations:||$371||Itemized|
|Total System Equity||$62,196|
Open positions are hidden from non-subscribers.
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- Strategy began11/11/2012
- Starting Unit Size$50,000
- Strategy Age (days)1378.9
- Age46 months ago
- What it tradesStocks
- # Trades553
- # Profitable340
- % Profitable61.50%
- Avg trade duration4.7 days
- Max peak-to-valley drawdown5.98%
- drawdown periodJune 18, 2013 - June 24, 2013
- Annual Return (Compounded)17.7%
- Avg win$85.47
- Avg loss$80.96
- Model Account Values (Raw)
- Margin Used$0
- Buying Power$62,196
- W:L ratio1.71:1
- Sharpe Ratio1.479
- Sortino Ratio2.674
- Calmar Ratio2.271
- Daily Change
- Close PL$11,824
- Closed PL (start day)$12,196
- Closed PL Change $($371.22)
- Closed PL Change %-3.04%
- Equity (start day)$62,196
- Equity Change $$0.46
- Equity Change %n/a
- Return Statistics
- Ann Return (w trading costs)17.7%
- Ann Return (Compnd, No Fees)5.9%
- Risk of Ruin (Monte-Carlo)
- Chance of 10% account lossn/a
- Chance of 20% account lossn/a
- Chance of 30% account lossn/a
- Chance of 40% account lossn/a
- Chance of 50% account lossn/a
- Trades-Own-System Certification
- Trades Own System?0
- TOS percentn/a
- Subscription Price
- Billing Period (days)30
- Trial Days7
- Win / Loss
- Avg Win$85
- Avg Loss$81
- # Winners340
- # Losers213
- % Winners61.5%
- Avg Position Time (mins)6715.73
- Avg Position Time (hrs)111.93
- Avg Trade Length4.7 days
- Last Trade Ago1013
Strategy DescriptionAlpha Reversion is an algorithm-driven system based on the mean reversion of stock prices. It trades a selection blue-chip stocks from the S&P500 Index.
All entries and exits are dynamically managed by the trading system.
Past performance does not guarantee future results and only time will show how the system performs. While no system can guarantee risk-free trading, we do make an effort to control risk as good as possible.
If stock prices are the estimated value of something (discounted corporate earnings, dividends, etc.) then they are too volatile in relation to the tangible manifestation of that something .
Stock prices swing more than the fundamentals they are supposed to reflect.
In situations when a price does not reflect the long term value of a security and overshoots in different directions, the trading system exploits the differential in order to generate a return.
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.