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These are hypothetical performance results that have certain inherent limitations. Learn more

SP Combinator
(89562986)

Created by: AlphaTrading AlphaTrading
Started: 01/2015
Stocks
Last trade: 2,932 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. Subscriptions to this system cost $25.00 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.

30.8%
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.

-
Max Drawdown
49
Num Trades
67.3%
Win Trades
15.7 : 1
Profit Factor
68.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015(0.5%)+4.8%+1.3%+1.2%+0.6%+0.3%+10.9%(22.5%)+7.4%(0.9%)+1.8%+0.8%+1.0%
2016(5.4%)+55.0%(4.4%)+13.2%(8.1%)+15.3%+12.2%(9.9%)+2.0%(9.1%)(3.7%)+0.6%+52.7%
2017+7.3%+8.6%(1%)+129.8%+3.4%+1.6%+2.8%+1.2%+2.1%+6.4%+3.2%+10.4%+258.2%
2018+13.1%(8.4%)(9.5%)+2.3%+2.5%+0.8%+7.8%+4.5%+4.1%(22.8%)+2.7%(15.4%)(22%)
2019+18.8%+7.7%+5.5%  -    -  (4.3%)+7.5%+3.9%+6.9%+7.5%+74.1%
2020+6.3%(24%)(46%)+32.5%+17.1%(0.3%)+9.8%+9.1%+3.1%+9.1%+8.0%+6.9%+4.9%
2021+3.0%+9.0%+4.7%+14.9%+1.0%+3.0%+9.5%+7.3%(9.2%)+16.2%(5.6%)+17.3%+92.8%
2022(14.1%)(10.2%)+9.1%(21.5%)(3.4%)(17.2%)+10.9%(1.8%)(28.6%)+16.4%+6.9%(4.7%)(51.2%)
2023+9.6%(6.5%)(1.2%)+6.2%+7.7%+11.5%+10.8%(5.7%)(11%)(12.7%)+29.6%+12.1%+52.3%
2024+4.8%+11.6%+3.8%                                                      +21.4%

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 86 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2946 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/2/16 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 182 20.75 3/15 9:30 19.96 1.34%
Trade id #100944603
Max drawdown($203)
Time3/14/16 15:27
Quant open182
Worst price19.63
Drawdown as % of equity-1.34%
($148)
Includes Typical Broker Commissions trade costs of $3.64
2/22/16 9:30 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 30 45.55 3/9 9:30 53.71 n/a $244
Includes Typical Broker Commissions trade costs of $0.60
3/4/16 11:59 UWTI VELOCITYSHARES 3X LONG CRUDE E LONG 1,500 2.12 3/9 9:30 2.32 0.47%
Trade id #100996183
Max drawdown($73)
Time3/4/16 14:22
Quant open1,500
Worst price2.07
Drawdown as % of equity-0.47%
$297
Includes Typical Broker Commissions trade costs of $5.00
3/7/16 12:57 RUSL DIREXION DAILY RUSSIA BULL 2X LONG 100 51.84 3/9 9:30 48.12 27.23%
Trade id #101022604
Max drawdown($4,054)
Time3/8/16 18:01
Quant open100
Worst price11.30
Drawdown as % of equity-27.23%
($374)
Includes Typical Broker Commissions trade costs of $2.00
2/18/16 9:30 TLT ISHARES 20+ YEAR TREASURY BOND LONG 19 129.41 3/1 12:47 128.49 0.13%
Trade id #100702290
Max drawdown($20)
Time3/1/16 12:36
Quant open19
Worst price128.32
Drawdown as % of equity-0.13%
($17)
Includes Typical Broker Commissions trade costs of $0.38
2/18/16 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 114 21.81 3/1 12:46 20.85 0.72%
Trade id #100702195
Max drawdown($114)
Time3/1/16 12:08
Quant open114
Worst price20.81
Drawdown as % of equity-0.72%
($111)
Includes Typical Broker Commissions trade costs of $2.28
2/24/16 9:30 UWTI VELOCITYSHARES 3X LONG CRUDE E LONG 1,500 1.34 2/24 15:20 1.55 0.19%
Trade id #100821499
Max drawdown($30)
Time2/24/16 9:33
Quant open1,500
Worst price1.32
Drawdown as % of equity-0.19%
$312
Includes Typical Broker Commissions trade costs of $5.00
2/12/16 11:14 UWTI VELOCITYSHARES 3X LONG CRUDE E LONG 1,666 1.49 2/18 9:30 1.69 0.82%
Trade id #100612549
Max drawdown($119)
Time2/16/16 13:51
Quant open1,000
Worst price1.37
Drawdown as % of equity-0.82%
$333
Includes Typical Broker Commissions trade costs of $7.50
2/3/16 9:43 QLD PROSHARES ULTRA QQQ LONG 77 64.86 2/16 10:54 61.02 5.01%
Trade id #100325863
Max drawdown($726)
Time2/11/16 6:56
Quant open77
Worst price55.42
Drawdown as % of equity-5.01%
($298)
Includes Typical Broker Commissions trade costs of $1.54
1/26/16 9:30 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 227 22.46 2/8 15:48 46.32 n/a $5,411
Includes Typical Broker Commissions trade costs of $4.54
2/1/16 9:31 SSO PROSHARES ULTRA S&P 500 SHORT 71 55.73 2/3 9:30 55.10 0.86%
Trade id #100283913
Max drawdown($92)
Time2/1/16 15:36
Quant open-71
Worst price57.03
Drawdown as % of equity-0.86%
$44
Includes Typical Broker Commissions trade costs of $1.42
2/1/16 9:31 TLT ISHARES 20+ YEAR TREASURY BOND LONG 31 126.84 2/3 9:30 128.29 0.16%
Trade id #100283904
Max drawdown($16)
Time2/1/16 15:00
Quant open31
Worst price126.29
Drawdown as % of equity-0.16%
$44
Includes Typical Broker Commissions trade costs of $0.62
1/26/16 13:22 SSO PROSHARES ULTRA S&P 500 LONG 100 54.65 2/1 9:31 55.70 1.96%
Trade id #100202177
Max drawdown($190)
Time1/27/16 15:22
Quant open100
Worst price52.74
Drawdown as % of equity-1.96%
$103
Includes Typical Broker Commissions trade costs of $2.00
1/28/16 10:14 QLD PROSHARES ULTRA QQQ LONG 80 63.55 2/1 9:30 66.46 0.92%
Trade id #100241473
Max drawdown($87)
Time1/28/16 10:35
Quant open80
Worst price62.45
Drawdown as % of equity-0.92%
$231
Includes Typical Broker Commissions trade costs of $1.60
1/26/16 9:30 SCO PROSHARES ULTRASHORT BLOOMBERG LONG 24 190.44 1/27 11:28 174.52 4.77%
Trade id #100195856
Max drawdown($466)
Time1/26/16 12:37
Quant open24
Worst price171.02
Drawdown as % of equity-4.77%
($382)
Includes Typical Broker Commissions trade costs of $0.48
11/10/15 14:19 SSO PROSHARES ULTRA S&P 500 LONG 155 64.17 1/26/16 10:19 54.19 24.81%
Trade id #98293020
Max drawdown($2,291)
Time1/20/16 12:29
Quant open155
Worst price49.39
Drawdown as % of equity-24.81%
($1,550)
Includes Typical Broker Commissions trade costs of $3.10
1/7/16 9:30 QLD PROSHARES ULTRA QQQ LONG 64 70.22 1/25 10:02 66.87 7.91%
Trade id #99081823
Max drawdown($730)
Time1/20/16 12:29
Quant open64
Worst price58.80
Drawdown as % of equity-7.91%
($215)
Includes Typical Broker Commissions trade costs of $1.28
12/29/15 9:30 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 64 77.00 1/6/16 15:55 78.49 2.19%
Trade id #98949899
Max drawdown($245)
Time12/30/15 9:45
Quant open64
Worst price73.17
Drawdown as % of equity-2.19%
$94
Includes Typical Broker Commissions trade costs of $1.28
12/17/15 9:30 SPXL DIREXION DAILY S&P500 BULL 3X SHORT 60 87.27 12/29 9:30 86.10 n/a $69
Includes Typical Broker Commissions trade costs of $1.20
12/18/15 9:30 QLD PROSHARES ULTRA QQQ LONG 64 77.87 12/23 9:30 79.09 1.28%
Trade id #98841622
Max drawdown($140)
Time12/18/15 16:01
Quant open64
Worst price75.68
Drawdown as % of equity-1.28%
$77
Includes Typical Broker Commissions trade costs of $1.28
12/10/15 9:32 QLD PROSHARES ULTRA QQQ LONG 63 79.58 12/17 9:30 81.67 3.07%
Trade id #98725183
Max drawdown($311)
Time12/14/15 11:39
Quant open63
Worst price74.64
Drawdown as % of equity-3.07%
$131
Includes Typical Broker Commissions trade costs of $1.26
12/3/15 9:30 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 63 76.32 12/10 9:30 77.06 2.66%
Trade id #98622091
Max drawdown($289)
Time12/3/15 14:01
Quant open63
Worst price71.73
Drawdown as % of equity-2.66%
$46
Includes Typical Broker Commissions trade costs of $1.26
12/4/15 9:33 QLD PROSHARES ULTRA QQQ LONG 63 79.45 12/7 9:30 82.89 0.09%
Trade id #98643940
Max drawdown($9)
Time12/4/15 9:35
Quant open63
Worst price79.30
Drawdown as % of equity-0.09%
$216
Includes Typical Broker Commissions trade costs of $1.26
12/1/15 9:30 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 66 76.20 12/2 9:30 78.73 n/a $166
Includes Typical Broker Commissions trade costs of $1.32
11/10/15 9:30 QLD PROSHARES ULTRA QQQ LONG 62 79.95 11/19 9:30 80.85 3.69%
Trade id #98272242
Max drawdown($362)
Time11/13/15 17:46
Quant open62
Worst price74.11
Drawdown as % of equity-3.69%
$55
Includes Typical Broker Commissions trade costs of $1.24
10/19/15 9:30 TLT ISHARES 20+ YEAR TREASURY BOND LONG 40 123.79 11/4 10:53 121.15 1.15%
Trade id #97866206
Max drawdown($120)
Time11/3/15 13:07
Quant open40
Worst price120.79
Drawdown as % of equity-1.15%
($107)
Includes Typical Broker Commissions trade costs of $0.80
10/19/15 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 242 20.77 10/21 9:30 20.52 0.62%
Trade id #97866197
Max drawdown($65)
Time10/20/15 10:44
Quant open242
Worst price20.50
Drawdown as % of equity-0.62%
($66)
Includes Typical Broker Commissions trade costs of $4.84
10/15/15 12:27 QLD PROSHARES ULTRA QQQ LONG 71 71.39 10/16 9:30 73.07 0.03%
Trade id #97820795
Max drawdown($2)
Time10/15/15 12:35
Quant open71
Worst price71.35
Drawdown as % of equity-0.03%
$118
Includes Typical Broker Commissions trade costs of $1.42
10/6/15 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 231 21.71 10/15 12:27 21.22 1.89%
Trade id #97630768
Max drawdown($196)
Time10/13/15 11:14
Quant open231
Worst price20.86
Drawdown as % of equity-1.89%
($118)
Includes Typical Broker Commissions trade costs of $4.62
10/9/15 9:30 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 65 76.99 10/13 9:30 79.92 0.08%
Trade id #97711435
Max drawdown($8)
Time10/9/15 9:32
Quant open65
Worst price76.86
Drawdown as % of equity-0.08%
$189
Includes Typical Broker Commissions trade costs of $1.30

Statistics

  • Strategy began
    1/30/2015
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    3338.73
  • Age
    112 months ago
  • What it trades
    Stocks
  • # Trades
    49
  • # Profitable
    33
  • % Profitable
    67.30%
  • Avg trade duration
    129.3 days
  • Max peak-to-valley drawdown
    %
  • drawdown period
    Dec , - Dec ,
  • Annual Return (Compounded)
    30.8%
  • Avg win
    $4,080
  • Avg loss
    $585.09
  • Model Account Values (Raw)
  • Cash
    $14,804
  • Margin Used
    $0
  • Buying Power
    $138,505
  • Ratios
  • W:L ratio
    15.68:1
  • Sharpe Ratio
    0.56
  • Sortino Ratio
    1.19
  • Calmar Ratio
    2.391
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    52.05%
  • Correlation to SP500
    0.55820
  • Return Percent SP500 (cumu) during strategy life
    163.38%
  • Return Statistics
  • Ann Return (w trading costs)
    30.8%
  • Slump
  • Current Slump as Pcnt Equity
    10.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.24%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.308%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    33.1%
  • 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
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • 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
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    678
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    518
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $585
  • Avg Win
    $4,119
  • Sum Trade PL (losers)
    $9,362.000
  • Age
  • Num Months filled monthly returns table
    111
  • Win / Loss
  • Sum Trade PL (winners)
    $135,941.000
  • # Winners
    33
  • Num Months Winners
    76
  • Dividends
  • Dividends Received in Model Acct
    5667
  • Win / Loss
  • # Losers
    16
  • % Winners
    67.3%
  • Frequency
  • Avg Position Time (mins)
    185956.00
  • Avg Position Time (hrs)
    3099.27
  • Avg Trade Length
    129.1 days
  • Last Trade Ago
    2927
  • Regression
  • Alpha
    0.06
  • Beta
    1.99
  • Treynor Index
    0.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    47.45
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    44.82
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.28
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.07
  • Avg(MAE) / Avg(PL) - All trades
    0.158
  • 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
    0.29
  • Avg(MAE) / Avg(PL) - Winning trades
    0.036
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.930
  • Hold-and-Hope Ratio
    6.571
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34205
  • SD
    0.46949
  • Sharpe ratio (Glass type estimate)
    0.72856
  • Sharpe ratio (Hedges UMVUE)
    0.70339
  • df
    22.00000
  • t
    1.00864
  • p
    0.16206
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.71127
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15232
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72750
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13427
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.31118
  • Upside Potential Ratio
    4.12838
  • Upside part of mean
    0.61100
  • Downside part of mean
    -0.26894
  • Upside SD
    0.44574
  • Downside SD
    0.14800
  • N nonnegative terms
    14.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.05073
  • Mean of criterion
    0.34205
  • SD of predictor
    0.11811
  • SD of criterion
    0.46949
  • Covariance
    0.01059
  • r
    0.19102
  • b (slope, estimate of beta)
    0.75929
  • a (intercept, estimate of alpha)
    0.30353
  • Mean Square Error
    0.22249
  • DF error
    21.00000
  • t(b)
    0.89177
  • p(b)
    0.37914
  • t(a)
    0.88380
  • p(a)
    0.38017
  • Lowerbound of 95% confidence interval for beta
    -1.01138
  • Upperbound of 95% confidence interval for beta
    2.52997
  • Lowerbound of 95% confidence interval for alpha
    -0.41069
  • Upperbound of 95% confidence interval for alpha
    1.01775
  • Treynor index (mean / b)
    0.45049
  • Jensen alpha (a)
    0.30353
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25485
  • SD
    0.39621
  • Sharpe ratio (Glass type estimate)
    0.64323
  • Sharpe ratio (Hedges UMVUE)
    0.62100
  • df
    22.00000
  • t
    0.89051
  • p
    0.19141
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79216
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06437
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80655
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.04856
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.63743
  • Upside Potential Ratio
    3.43917
  • Upside part of mean
    0.53528
  • Downside part of mean
    -0.28043
  • Upside SD
    0.36242
  • Downside SD
    0.15564
  • N nonnegative terms
    14.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.04392
  • Mean of criterion
    0.25485
  • SD of predictor
    0.11835
  • SD of criterion
    0.39621
  • Covariance
    0.01217
  • r
    0.25960
  • b (slope, estimate of beta)
    0.86913
  • a (intercept, estimate of alpha)
    0.21668
  • Mean Square Error
    0.15337
  • DF error
    21.00000
  • t(b)
    1.23189
  • p(b)
    0.33661
  • t(a)
    0.76142
  • p(a)
    0.39612
  • Lowerbound of 95% confidence interval for beta
    -0.59809
  • Upperbound of 95% confidence interval for beta
    2.33635
  • Lowerbound of 95% confidence interval for alpha
    -0.37512
  • Upperbound of 95% confidence interval for alpha
    0.80848
  • Treynor index (mean / b)
    0.29323
  • Jensen alpha (a)
    0.21668
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15371
  • Expected Shortfall on VaR
    0.19249
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04451
  • Expected Shortfall on VaR
    0.08694
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    23.00000
  • Minimum
    0.86812
  • Quartile 1
    0.96774
  • Median
    1.01578
  • Quartile 3
    1.03639
  • Maximum
    1.57266
  • Mean of quarter 1
    0.92322
  • Mean of quarter 2
    0.99871
  • Mean of quarter 3
    1.02608
  • Mean of quarter 4
    1.16878
  • Inter Quartile Range
    0.06865
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.08696
  • Mean of outliers high
    1.37571
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.88784
  • VaR(95%) (moments method)
    0.08059
  • Expected Shortfall (moments method)
    0.08233
  • Extreme Value Index (regression method)
    0.53236
  • VaR(95%) (regression method)
    0.07721
  • Expected Shortfall (regression method)
    0.14951
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00693
  • Quartile 1
    0.08276
  • Median
    0.15859
  • Quartile 3
    0.18490
  • Maximum
    0.21121
  • Mean of quarter 1
    0.00693
  • Mean of quarter 2
    0.15859
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.21121
  • Inter Quartile Range
    0.10214
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.34497
  • Compounded annual return (geometric extrapolation)
    0.30317
  • Calmar ratio (compounded annual return / max draw down)
    1.43544
  • Compounded annual return / average of 25% largest draw downs
    1.43544
  • Compounded annual return / Expected Shortfall lognormal
    1.57500
  • 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
    0.30128
  • SD
    0.25275
  • Sharpe ratio (Glass type estimate)
    1.19201
  • Sharpe ratio (Hedges UMVUE)
    1.19066
  • df
    661.00000
  • t
    1.65360
  • p
    0.04934
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22274
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.60589
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22365
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.60497
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.95418
  • Upside Potential Ratio
    9.33823
  • Upside part of mean
    1.43971
  • Downside part of mean
    -1.13843
  • Upside SD
    0.20070
  • Downside SD
    0.15417
  • N nonnegative terms
    279.00000
  • N negative terms
    383.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    662.00000
  • Mean of predictor
    0.06349
  • Mean of criterion
    0.30128
  • SD of predictor
    0.14147
  • SD of criterion
    0.25275
  • Covariance
    0.01457
  • r
    0.40757
  • b (slope, estimate of beta)
    0.72815
  • a (intercept, estimate of alpha)
    0.66800
  • Mean Square Error
    0.05335
  • DF error
    660.00000
  • t(b)
    11.46610
  • p(b)
    0.00000
  • t(a)
    1.53135
  • p(a)
    0.06308
  • Lowerbound of 95% confidence interval for beta
    0.60345
  • Upperbound of 95% confidence interval for beta
    0.85284
  • Lowerbound of 95% confidence interval for alpha
    -0.07199
  • Upperbound of 95% confidence interval for alpha
    0.58209
  • Treynor index (mean / b)
    0.41377
  • Jensen alpha (a)
    0.25505
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26965
  • SD
    0.25052
  • Sharpe ratio (Glass type estimate)
    1.07635
  • Sharpe ratio (Hedges UMVUE)
    1.07513
  • df
    661.00000
  • t
    1.49315
  • p
    0.06794
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.33808
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.49002
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.33892
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.48917
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.71954
  • Upside Potential Ratio
    9.05650
  • Upside part of mean
    1.42020
  • Downside part of mean
    -1.15055
  • Upside SD
    0.19567
  • Downside SD
    0.15682
  • N nonnegative terms
    279.00000
  • N negative terms
    383.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    662.00000
  • Mean of predictor
    0.05348
  • Mean of criterion
    0.26965
  • SD of predictor
    0.14163
  • SD of criterion
    0.25052
  • Covariance
    0.01466
  • r
    0.41329
  • b (slope, estimate of beta)
    0.73104
  • a (intercept, estimate of alpha)
    0.23056
  • Mean Square Error
    0.05212
  • DF error
    660.00000
  • t(b)
    11.66000
  • p(b)
    0.00000
  • t(a)
    1.40066
  • p(a)
    0.08089
  • Lowerbound of 95% confidence interval for beta
    0.60793
  • Upperbound of 95% confidence interval for beta
    0.85415
  • Lowerbound of 95% confidence interval for alpha
    -0.09266
  • Upperbound of 95% confidence interval for alpha
    0.55377
  • Treynor index (mean / b)
    0.36886
  • Jensen alpha (a)
    0.23056
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02121
  • Expected Shortfall on VaR
    0.02670
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00824
  • Expected Shortfall on VaR
    0.01718
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    662.00000
  • Minimum
    0.92537
  • Quartile 1
    0.99709
  • Median
    1.00000
  • Quartile 3
    1.00418
  • Maximum
    1.12363
  • Mean of quarter 1
    0.98739
  • Mean of quarter 2
    0.99948
  • Mean of quarter 3
    1.00125
  • Mean of quarter 4
    1.01550
  • Inter Quartile Range
    0.00709
  • Number outliers low
    53.00000
  • Percentage of outliers low
    0.08006
  • Mean of outliers low
    0.97570
  • Number of outliers high
    58.00000
  • Percentage of outliers high
    0.08761
  • Mean of outliers high
    1.03013
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25325
  • VaR(95%) (moments method)
    0.00989
  • Expected Shortfall (moments method)
    0.01694
  • Extreme Value Index (regression method)
    0.14366
  • VaR(95%) (regression method)
    0.01159
  • Expected Shortfall (regression method)
    0.01862
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00013
  • Quartile 1
    0.00409
  • Median
    0.01632
  • Quartile 3
    0.03562
  • Maximum
    0.28362
  • Mean of quarter 1
    0.00088
  • Mean of quarter 2
    0.01002
  • Mean of quarter 3
    0.02761
  • Mean of quarter 4
    0.12144
  • Inter Quartile Range
    0.03153
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.08696
  • Mean of outliers high
    0.23847
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.22979
  • VaR(95%) (moments method)
    0.09983
  • Expected Shortfall (moments method)
    0.12963
  • Extreme Value Index (regression method)
    0.33828
  • VaR(95%) (regression method)
    0.14213
  • Expected Shortfall (regression method)
    0.27164
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.37035
  • Compounded annual return (geometric extrapolation)
    0.32260
  • Calmar ratio (compounded annual return / max draw down)
    1.13745
  • Compounded annual return / average of 25% largest draw downs
    2.65638
  • Compounded annual return / Expected Shortfall lognormal
    12.08140
  • 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
    0.06901
  • SD
    0.21846
  • Sharpe ratio (Glass type estimate)
    0.31589
  • Sharpe ratio (Hedges UMVUE)
    0.31451
  • df
    171.00000
  • t
    0.22337
  • p
    0.48913
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.45654
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.08748
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.45750
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.08651
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.47075
  • Upside Potential Ratio
    9.02032
  • Upside part of mean
    1.32232
  • Downside part of mean
    -1.25331
  • Upside SD
    0.16115
  • Downside SD
    0.14659
  • N nonnegative terms
    75.00000
  • N negative terms
    97.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.16221
  • Mean of criterion
    0.06901
  • SD of predictor
    0.11526
  • SD of criterion
    0.21846
  • Covariance
    0.01145
  • r
    0.45466
  • b (slope, estimate of beta)
    0.86176
  • a (intercept, estimate of alpha)
    -0.07077
  • Mean Square Error
    0.03808
  • DF error
    170.00000
  • t(b)
    6.65573
  • p(b)
    0.27267
  • t(a)
    -0.25572
  • p(a)
    0.50980
  • Lowerbound of 95% confidence interval for beta
    0.60617
  • Upperbound of 95% confidence interval for beta
    1.11734
  • Lowerbound of 95% confidence interval for alpha
    -0.61712
  • Upperbound of 95% confidence interval for alpha
    0.47557
  • Treynor index (mean / b)
    0.08008
  • Jensen alpha (a)
    -0.07077
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04534
  • SD
    0.21805
  • Sharpe ratio (Glass type estimate)
    0.20794
  • Sharpe ratio (Hedges UMVUE)
    0.20702
  • df
    171.00000
  • t
    0.14703
  • p
    0.49284
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.56417
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.97962
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.56487
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.97891
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.30533
  • Upside Potential Ratio
    8.81863
  • Upside part of mean
    1.30954
  • Downside part of mean
    -1.26420
  • Upside SD
    0.15882
  • Downside SD
    0.14850
  • N nonnegative terms
    75.00000
  • N negative terms
    97.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.15554
  • Mean of criterion
    0.04534
  • SD of predictor
    0.11556
  • SD of criterion
    0.21805
  • Covariance
    0.01140
  • r
    0.45226
  • b (slope, estimate of beta)
    0.85342
  • a (intercept, estimate of alpha)
    -0.08740
  • Mean Square Error
    0.03804
  • DF error
    170.00000
  • t(b)
    6.61151
  • p(b)
    0.27387
  • t(a)
    -0.31601
  • p(a)
    0.51211
  • VAR (95 Confidence Intrvl)
    0.09400
  • Lowerbound of 95% confidence interval for beta
    0.59861
  • Upperbound of 95% confidence interval for beta
    1.10822
  • Lowerbound of 95% confidence interval for alpha
    -0.63336
  • Upperbound of 95% confidence interval for alpha
    0.45856
  • Treynor index (mean / b)
    0.05313
  • Jensen alpha (a)
    -0.08740
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01902
  • Expected Shortfall on VaR
    0.02382
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00901
  • Expected Shortfall on VaR
    0.01783
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.95436
  • Quartile 1
    0.99520
  • Median
    1.00000
  • Quartile 3
    1.00466
  • Maximum
    1.04879
  • Mean of quarter 1
    0.98704
  • Mean of quarter 2
    0.99845
  • Mean of quarter 3
    1.00164
  • Mean of quarter 4
    1.01379
  • Inter Quartile Range
    0.00946
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.03488
  • Mean of outliers low
    0.96924
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.05814
  • Mean of outliers high
    1.02973
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.34805
  • VaR(95%) (moments method)
    0.01336
  • Expected Shortfall (moments method)
    0.02388
  • Extreme Value Index (regression method)
    0.08245
  • VaR(95%) (regression method)
    0.01220
  • Expected Shortfall (regression method)
    0.01742
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00449
  • Quartile 1
    0.00664
  • Median
    0.02294
  • Quartile 3
    0.03547
  • Maximum
    0.19332
  • Mean of quarter 1
    0.00557
  • Mean of quarter 2
    0.02294
  • Mean of quarter 3
    0.03547
  • Mean of quarter 4
    0.19332
  • Inter Quartile Range
    0.02883
  • 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
    0.20000
  • Mean of outliers high
    0.19332
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    173
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05606
  • Compounded annual return (geometric extrapolation)
    0.05685
  • Calmar ratio (compounded annual return / max draw down)
    0.29407
  • Compounded annual return / average of 25% largest draw downs
    0.29407
  • Compounded annual return / Expected Shortfall lognormal
    2.38648

Strategy Description

SP Combinator is a mean reversion strategy developed on the SP 500 futures market and trades the major cash market ETFs.

- Developed with 10 years of out of sample history and 2 years forward trading
- Trades leveraged and non-leveraged SP500 and IWM Russell 2000 ETFs
- Will add 1 additional unit on adverse market move for total of 2 units
- Fixed Fractional Money Management for maximum capital appreciation
- Strategy will use long ETFs only so it can be used in IRA accounts
- 10 year back test available.
- Professionally managed and TOS certified. Manager executes all signals in his personal trading account.

Summary Statistics

Strategy began
2015-01-30
Suggested Minimum Capital
$10,000
# Trades
49
# Profitable
33
% Profitable
67.3%
Net Dividends
Correlation S&P500
0.558
Sharpe Ratio
0.56
Sortino Ratio
1.19
Beta
1.99
Alpha
0.06

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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