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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more
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FunkyFunds
(79727129)

Created by: DisgruntledTrader DisgruntledTrader
Started: 03/2013
Stocks, Options
Last trade: 3,886 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. Subscriptions to this system cost $89.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

493.6%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

-
Max Drawdown
903
Num Trades
74.1%
Win Trades
1.2 : 1
Profit Factor
5.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013              (27.1%)+17.1%  -  +1136.0%+0.2%+21.6%  -    -    -  +705.4%
2014+0.2%  -  (0.1%)  -    -  +0.1%  -    -    -    -    -    -  +0.2%
2015  -    -    -    -  +1.2%(152%)(0.1%)  -    -  (1.6%)  -    -  (153.4%)
2016  -    -    -    -    -    -  (6.8%)(0.4%)  -    -    -    -  (7.2%)
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/4/13 11:01 AAPL1306I500 AAPL Sep6'13 500 call LONG 10 4.20 9/4 11:01 4.00 3.99%
Trade id #82838038
Max drawdown($200)
Time9/4/13 11:01
Quant open0
Worst price4.00
Drawdown as % of equity-3.99%
 ($214)
Includes Typical Broker Commissions trade costs of $14.00
9/4/13 10:59: Rescaled downward to 2.1687% of previous Model Account size
8/8/13 9:33 TSLA TESLA INC. LONG 2.168999910 157.58 9/4 10:58 166.33 1%
Trade id #82422600
Max drawdown($48)
Time8/15/13 9:35
Quant open2
Worst price135.00
Drawdown as % of equity-1.00%
 $19
Includes Typical Broker Commissions trade costs of $0.04
8/7/13 10:11 OXBT OXYGEN BIOTHERAPEUTICS INC. CP LONG 108.434997559 1.85 9/4 10:58 1.24 1.43%
Trade id #82402992
Max drawdown($71)
Time9/4/13 9:39
Quant open108
Worst price1.19
Drawdown as % of equity-1.43%
 ($68)
Includes Typical Broker Commissions trade costs of $2.16
8/5/13 9:30 VRNG VRINGO LONG 108.434997559 3.87 9/4 10:58 3.14 1.78%
Trade id #82353498
Max drawdown($88)
Time8/30/13 9:39
Quant open108
Worst price3.05
Drawdown as % of equity-1.78%
 ($81)
Includes Typical Broker Commissions trade costs of $2.16
7/31/13 11:05 HA HAWAIIAN HOLDINGS LONG 21.687000275 7.83 9/4 10:58 7.03 0.4%
Trade id #82284641
Max drawdown($20)
Time8/27/13 14:26
Quant open22
Worst price6.90
Drawdown as % of equity-0.40%
 ($17)
Includes Typical Broker Commissions trade costs of $0.44
7/23/13 9:33 HSOL HANWHA SOLARONE CO. LONG 75.904998779 4.17 9/4 10:58 3.86 2.46%
Trade id #82140878
Max drawdown($119)
Time8/19/13 11:58
Quant open76
Worst price2.60
Drawdown as % of equity-2.46%
 ($26)
Includes Typical Broker Commissions trade costs of $1.52
5/15/13 12:01 ZNGA ZYNGA LONG 433.740997314 3.57 9/4 10:57 2.91 7.69%
Trade id #80895256
Max drawdown($368)
Time8/21/13 14:26
Quant open434
Worst price2.72
Drawdown as % of equity-7.69%
 ($295)
Includes Typical Broker Commissions trade costs of $8.68
8/22/13 10:54 TSLA1330H150 TSLA Aug30'13 150 call LONG 1.518000007 4.20 8/22 11:12 5.00 0%
Trade id #82658861
Max drawdown$0
Time8/22/13 10:57
Quant open0
Worst price4.20
Drawdown as % of equity0.00%
 $119
Includes Typical Broker Commissions trade costs of $2.12
8/7/13 15:10 GMCR KEURIG GREEN MOUNTAIN INC. CO LONG 32.530998230 79.20 8/8 11:40 79.30 0.1%
Trade id #82409854
Max drawdown($4)
Time8/8/13 9:31
Quant open1
Worst price72.49
Drawdown as % of equity-0.10%
 $2
Includes Typical Broker Commissions trade costs of $0.66
8/7/13 13:43 MCP MOLYCORP LONG 54.217998505 7.24 8/8 11:13 7.30 0%
Trade id #82408391
Max drawdown($0)
Time8/7/13 15:05
Quant open1
Worst price7.06
Drawdown as % of equity-0.00%
 $2
Includes Typical Broker Commissions trade costs of $1.08
8/8/13 10:29 STXS STEREOTAXIS SHORT 108.434997559 5.26 8/8 10:37 5.12 0%
Trade id #82424511
Max drawdown($0)
Time8/8/13 10:32
Quant open-2
Worst price5.28
Drawdown as % of equity-0.00%
 $13
Includes Typical Broker Commissions trade costs of $2.16
7/15/13 10:12 UNXL UNI-PIXEL LONG 108.434997559 15.84 8/8 9:33 16.13 0.15%
Trade id #81996688
Max drawdown($7)
Time7/31/13 9:31
Quant open2
Worst price12.65
Drawdown as % of equity-0.15%
 $29
Includes Typical Broker Commissions trade costs of $2.16
7/29/13 13:23 MM MILLENNIAL MEDIA LONG 108.434997559 10.37 8/7 15:10 8.27 4.67%
Trade id #82237843
Max drawdown($228)
Time8/7/13 14:43
Quant open2
Worst price8.19
Drawdown as % of equity-4.67%
 ($230)
Includes Typical Broker Commissions trade costs of $2.16
7/12/13 10:23 VVUS VIVUS LONG 108.434997559 15.31 8/7 15:09 13.96 2.68%
Trade id #81974165
Max drawdown($146)
Time7/25/13 9:39
Quant open2
Worst price13.24
Drawdown as % of equity-2.68%
 ($148)
Includes Typical Broker Commissions trade costs of $2.16
7/29/13 15:49 USU USEC LONG 65.060997009 28.68 8/7 15:09 19.05 12.56%
Trade id #82240139
Max drawdown($626)
Time8/6/13 9:35
Quant open1
Worst price15.05
Drawdown as % of equity-12.56%
 ($627)
Includes Typical Broker Commissions trade costs of $1.30
8/7/13 14:06 AMGN AMGEN LONG 5.421999931 111.18 8/7 14:55 112.02 0%
Trade id #82408790
Max drawdown($0)
Time8/7/13 14:13
Quant open0
Worst price111.07
Drawdown as % of equity-0.00%
 $5
Includes Typical Broker Commissions trade costs of $0.10
8/7/13 13:08 AMGN AMGEN LONG 2.168999910 109.27 8/7 13:48 110.51 0%
Trade id #82407699
Max drawdown($0)
Time8/7/13 13:14
Quant open0
Worst price108.87
Drawdown as % of equity-0.00%
 $3
Includes Typical Broker Commissions trade costs of $0.04
8/7/13 13:35 MPWR MONOLITHIC POWER SYSTEMS LONG 21.687000275 28.48 8/7 13:39 28.70 n/a $5
Includes Typical Broker Commissions trade costs of $0.44
8/7/13 9:45 NUAN NUANCE COMMUNICATIONS LONG 54.217998505 18.68 8/7 13:02 18.75 0.01%
Trade id #82401935
Max drawdown($0)
Time8/7/13 10:30
Quant open1
Worst price18.30
Drawdown as % of equity-0.01%
 $3
Includes Typical Broker Commissions trade costs of $1.08
8/7/13 9:55 OPXA OPEXA THERAPEUTICS LONG 7 28.24 8/7 10:02 25.52 0.38%
Trade id #82402270
Max drawdown($19)
Time8/7/13 10:01
Quant open1
Worst price3.05
Drawdown as % of equity-0.38%
 ($19)
Includes Typical Broker Commissions trade costs of $0.14
8/7/13 9:53 OPXA OPEXA THERAPEUTICS LONG 7 27.20 8/7 9:54 27.60 n/a $3
Includes Typical Broker Commissions trade costs of $0.14
8/7/13 9:47 OPXA OPEXA THERAPEUTICS LONG 7 27.20 8/7 9:50 28.80 0%
Trade id #82401976
Max drawdown($0)
Time8/7/13 9:49
Quant open1
Worst price3.32
Drawdown as % of equity-0.00%
 $11
Includes Typical Broker Commissions trade costs of $0.14
8/5/13 11:21 POR PORTLAND GENERAL ELECTRIC SHORT 21.687000275 30.85 8/7 9:45 30.35 0.01%
Trade id #82358160
Max drawdown($0)
Time8/5/13 11:50
Quant open0
Worst price31.42
Drawdown as % of equity-0.01%
 $11
Includes Typical Broker Commissions trade costs of $0.44
8/7/13 9:36 OPXA OPEXA THERAPEUTICS LONG 7 22.96 8/7 9:44 24.40 0.01%
Trade id #82401519
Max drawdown($0)
Time8/7/13 9:39
Quant open1
Worst price2.62
Drawdown as % of equity-0.01%
 $10
Includes Typical Broker Commissions trade costs of $0.14
8/5/13 12:46 NQ NQ MOBILE LONG 108.434997559 17.59 8/5 12:56 17.88 0%
Trade id #82359977
Max drawdown($0)
Time8/5/13 12:48
Quant open2
Worst price17.54
Drawdown as % of equity-0.00%
 $29
Includes Typical Broker Commissions trade costs of $2.16
7/25/13 11:22 DNDN1317H7 DNDN Aug17'13 7 call LONG 1.083999991 0.10 8/5 11:14 0.20 0%
Trade id #82188535
Max drawdown($0)
Time8/1/13 9:42
Quant open0
Worst price0.05
Drawdown as % of equity-0.00%
 $9
Includes Typical Broker Commissions trade costs of $2.00
7/31/13 14:16 SPYJ1302T169 SPYJ Aug2'13 169 put LONG 0.108000003 5.00 8/3 9:01 0.00 1.1%
Trade id #82289073
Max drawdown($54)
Time8/3/13 9:01
Quant open0
Worst price0.00
Drawdown as % of equity-1.10%
 ($55)
Includes Typical Broker Commissions trade costs of $1.00
7/31/13 13:17 AAPL1302T450 AAPL Aug2'13 450 put LONG 0.108000003 2.52 8/3 9:01 0.00 0.55%
Trade id #82287533
Max drawdown($27)
Time8/3/13 9:01
Quant open0
Worst price0.00
Drawdown as % of equity-0.55%
 ($28)
Includes Typical Broker Commissions trade costs of $1.00
7/19/13 9:44 CVC CABLEVISION SYSTEMS LONG 108.434997559 19.46 8/2 11:02 19.64 0.08%
Trade id #82076832
Max drawdown($3)
Time8/2/13 10:27
Quant open2
Worst price17.82
Drawdown as % of equity-0.08%
 $18
Includes Typical Broker Commissions trade costs of $2.16
7/31/13 14:00 SPYJ1302T168.5 SPYJ Aug2'13 168.5 put LONG 0.324999988 5.00 7/31 14:02 1.06 2.56%
Trade id #82288443
Max drawdown($128)
Time7/31/13 14:02
Quant open0
Worst price1.06
Drawdown as % of equity-2.56%
 ($130)
Includes Typical Broker Commissions trade costs of $2.00
Next

Statistics

  • Strategy began
    3/15/2013
  • Suggested Minimum Cap
    $434
  • Strategy Age (days)
    4056.74
  • Age
    135 months ago
  • What it trades
    Stocks, Options
  • # Trades
    903
  • # Profitable
    669
  • % Profitable
    74.10%
  • Avg trade duration
    2.4 days
  • Max peak-to-valley drawdown
    %
  • drawdown period
    Dec , - Dec ,
  • Cumul. Return
    464.4%
  • Avg win
    $54.19
  • Avg loss
    $135.41
  • Model Account Values (Raw)
  • Cash
    $116
  • Margin Used
    $0
  • Buying Power
    $116
  • Ratios
  • W:L ratio
    1.16:1
  • Sharpe Ratio
    0.52
  • Sortino Ratio
    13.24
  • Calmar Ratio
    -0.405
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    445.29%
  • Correlation to SP500
    -0.07390
  • Return Percent SP500 (cumu) during strategy life
    224.96%
  • Return Statistics
  • Ann Return (w trading costs)
    493.6%
  • 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
    0.97%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    4.644%
  • Instruments
  • Percent Trades Options
    0.31%
  • Percent Trades Stocks
    0.69%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -11.2%
  • 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)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $135
  • Avg Win
    $54
  • Sum Trade PL (losers)
    $31,685.000
  • Age
  • Num Months filled monthly returns table
    28
  • Win / Loss
  • Sum Trade PL (winners)
    $36,255.000
  • # Winners
    669
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    520
  • Win / Loss
  • # Losers
    234
  • % Winners
    74.1%
  • Frequency
  • Avg Position Time (mins)
    3459.58
  • Avg Position Time (hrs)
    57.66
  • Avg Trade Length
    2.4 days
  • Last Trade Ago
    3884
  • Regression
  • Alpha
    0.00
  • Beta
    -20.63
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.11
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    4.76
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    9.93
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.22
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.44
  • Avg(MAE) / Avg(PL) - All trades
    -2.747
  • 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
    0.21
  • Avg(MAE) / Avg(PL) - Winning trades
    0.025
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.006
  • Hold-and-Hope Ratio
    -0.455
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    80.41050
  • SD
    53.12550
  • Sharpe ratio (Glass type estimate)
    1.51360
  • Sharpe ratio (Hedges UMVUE)
    1.20767
  • df
    4.00000
  • t
    0.97702
  • p
    0.19194
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.76789
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.63349
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.94190
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.35725
  • Statistics related to Sortino ratio
  • Sortino ratio
    80.83030
  • Upside Potential Ratio
    82.64290
  • Upside part of mean
    82.21380
  • Downside part of mean
    -1.80325
  • Upside SD
    52.87430
  • Downside SD
    0.99481
  • N nonnegative terms
    3.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.33521
  • Mean of criterion
    80.41050
  • SD of predictor
    0.11609
  • SD of criterion
    53.12550
  • Covariance
    3.64946
  • r
    0.59173
  • b (slope, estimate of beta)
    270.78600
  • a (intercept, estimate of alpha)
    -10.35950
  • Mean Square Error
    2445.46000
  • DF error
    3.00000
  • t(b)
    1.27139
  • p(b)
    0.14661
  • t(a)
    -0.09893
  • p(a)
    0.53628
  • Lowerbound of 95% confidence interval for beta
    -407.02800
  • Upperbound of 95% confidence interval for beta
    948.60100
  • Lowerbound of 95% confidence interval for alpha
    -343.62600
  • Upperbound of 95% confidence interval for alpha
    322.90700
  • Treynor index (mean / b)
    0.29695
  • Jensen alpha (a)
    -10.35950
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    6.13570
  • SD
    6.09130
  • Sharpe ratio (Glass type estimate)
    1.00729
  • Sharpe ratio (Hedges UMVUE)
    0.80370
  • df
    4.00000
  • t
    0.65020
  • p
    0.27551
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.16025
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.06019
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.28331
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.89071
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.94866
  • Upside Potential Ratio
    5.68349
  • Upside part of mean
    8.83141
  • Downside part of mean
    -2.69571
  • Upside SD
    5.51415
  • Downside SD
    1.55387
  • N nonnegative terms
    3.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.32528
  • Mean of criterion
    6.13570
  • SD of predictor
    0.11236
  • SD of criterion
    6.09130
  • Covariance
    0.43108
  • r
    0.62986
  • b (slope, estimate of beta)
    34.14640
  • a (intercept, estimate of alpha)
    -4.97138
  • Mean Square Error
    29.84550
  • DF error
    3.00000
  • t(b)
    1.40457
  • p(b)
    0.12739
  • t(a)
    -0.42920
  • p(a)
    0.65163
  • Lowerbound of 95% confidence interval for beta
    -43.22200
  • Upperbound of 95% confidence interval for beta
    111.51500
  • Lowerbound of 95% confidence interval for alpha
    -41.83330
  • Upperbound of 95% confidence interval for alpha
    31.89050
  • Treynor index (mean / b)
    0.17969
  • Jensen alpha (a)
    -4.97138
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.90754
  • Expected Shortfall on VaR
    0.94790
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.30266
  • Expected Shortfall on VaR
    0.58984
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.37012
  • Quartile 1
    0.88018
  • Median
    1.04540
  • Quartile 3
    1.08194
  • Maximum
    35.13090
  • Mean of quarter 1
    0.62515
  • Mean of quarter 2
    1.04540
  • Mean of quarter 3
    1.08194
  • Mean of quarter 4
    35.13090
  • Inter Quartile Range
    0.20176
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.20000
  • Mean of outliers low
    0.37012
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    35.13090
  • 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)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.11982
  • Quartile 1
    0.24733
  • Median
    0.37485
  • Quartile 3
    0.50236
  • Maximum
    0.62988
  • Mean of quarter 1
    0.11982
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.62988
  • Inter Quartile Range
    0.25503
  • 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)
    28.66730
  • Compounded annual return (geometric extrapolation)
    465.68200
  • Calmar ratio (compounded annual return / max draw down)
    739.31700
  • Compounded annual return / average of 25% largest draw downs
    739.31700
  • Compounded annual return / Expected Shortfall lognormal
    491.27900
  • 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
    71.82970
  • SD
    50.65530
  • Sharpe ratio (Glass type estimate)
    1.41801
  • Sharpe ratio (Hedges UMVUE)
    1.41143
  • df
    162.00000
  • t
    0.97610
  • p
    0.46177
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.43559
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.26738
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.44001
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.26288
  • Statistics related to Sortino ratio
  • Sortino ratio
    93.67000
  • Upside Potential Ratio
    99.08800
  • Upside part of mean
    75.98440
  • Downside part of mean
    -4.15472
  • Upside SD
    50.64210
  • Downside SD
    0.76684
  • N nonnegative terms
    44.00000
  • N negative terms
    119.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    163.00000
  • Mean of predictor
    0.35072
  • Mean of criterion
    71.82970
  • SD of predictor
    0.12465
  • SD of criterion
    50.65530
  • Covariance
    -0.94078
  • r
    -0.14900
  • b (slope, estimate of beta)
    -60.55320
  • a (intercept, estimate of alpha)
    14.19100
  • Mean Square Error
    2524.57000
  • DF error
    161.00000
  • t(b)
    -1.91195
  • p(b)
    0.59450
  • t(a)
    1.26051
  • p(a)
    0.43717
  • Lowerbound of 95% confidence interval for beta
    -123.09700
  • Upperbound of 95% confidence interval for beta
    1.99086
  • Lowerbound of 95% confidence interval for alpha
    -52.73920
  • Upperbound of 95% confidence interval for alpha
    238.87300
  • Treynor index (mean / b)
    -1.18622
  • Jensen alpha (a)
    93.06690
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    5.39683
  • SD
    5.29383
  • Sharpe ratio (Glass type estimate)
    1.01946
  • Sharpe ratio (Hedges UMVUE)
    1.01473
  • df
    162.00000
  • t
    0.70175
  • p
    0.47247
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.83157
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.86736
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.83471
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.86417
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.22884
  • Upside Potential Ratio
    11.42270
  • Upside part of mean
    9.89695
  • Downside part of mean
    -4.50013
  • Upside SD
    5.21408
  • Downside SD
    0.86643
  • N nonnegative terms
    44.00000
  • N negative terms
    119.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    163.00000
  • Mean of predictor
    0.34281
  • Mean of criterion
    5.39683
  • SD of predictor
    0.12468
  • SD of criterion
    5.29383
  • Covariance
    -0.09957
  • r
    -0.15085
  • b (slope, estimate of beta)
    -6.40512
  • a (intercept, estimate of alpha)
    7.59259
  • Mean Square Error
    27.55700
  • DF error
    161.00000
  • t(b)
    -1.93626
  • p(b)
    0.59567
  • t(a)
    0.98478
  • p(a)
    0.45079
  • Lowerbound of 95% confidence interval for beta
    -12.93780
  • Upperbound of 95% confidence interval for beta
    0.12752
  • Lowerbound of 95% confidence interval for alpha
    -7.63306
  • Upperbound of 95% confidence interval for alpha
    22.81820
  • Treynor index (mean / b)
    -0.84258
  • Jensen alpha (a)
    7.59259
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.36479
  • Expected Shortfall on VaR
    0.43318
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03454
  • Expected Shortfall on VaR
    0.07527
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    163.00000
  • Minimum
    0.68363
  • Quartile 1
    0.99820
  • Median
    1.00000
  • Quartile 3
    1.00151
  • Maximum
    35.85890
  • Mean of quarter 1
    0.95217
  • Mean of quarter 2
    0.99990
  • Mean of quarter 3
    1.00009
  • Mean of quarter 4
    1.87810
  • Inter Quartile Range
    0.00330
  • Number outliers low
    31.00000
  • Percentage of outliers low
    0.19018
  • Mean of outliers low
    0.93804
  • Number of outliers high
    28.00000
  • Percentage of outliers high
    0.17178
  • Mean of outliers high
    2.28391
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.31779
  • VaR(95%) (moments method)
    0.03057
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.72427
  • VaR(95%) (regression method)
    0.04119
  • Expected Shortfall (regression method)
    0.18935
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00008
  • Quartile 1
    0.02562
  • Median
    0.21973
  • Quartile 3
    0.39053
  • Maximum
    0.64329
  • Mean of quarter 1
    0.01285
  • Mean of quarter 2
    0.21973
  • Mean of quarter 3
    0.39053
  • Mean of quarter 4
    0.64329
  • Inter Quartile Range
    0.36491
  • 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)
    25.24250
  • Compounded annual return (geometric extrapolation)
    221.91200
  • Calmar ratio (compounded annual return / max draw down)
    344.96200
  • Compounded annual return / average of 25% largest draw downs
    344.96200
  • Compounded annual return / Expected Shortfall lognormal
    512.28500
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.26500
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.25%
  • Max Equity Drawdown (num days)
    51

Strategy Description

Day trading system. The risk is extremely high with this system, so please don't use if you can't handle the exposure. Daily goal is $1,500 a day, and that is usually hit within the first hour or so of the day.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2013-03-15
Suggested Minimum Capital
$400
# Trades
903
# Profitable
669
% Profitable
74.1%
Net Dividends
$520
Correlation S&P500
-0.074
Sharpe Ratio
0.52
Sortino Ratio
13.24
Beta
-20.63
Alpha
0.00

Latest Activity

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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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