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These are hypothetical performance results that have certain inherent limitations. Learn more
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SP100 Short Term Swing
(90561028)

Created by:
Started: 08/2012
Stocks
Last trade: 3,130 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 $69.00 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.

16.8%
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.

(47.8%)
Max Drawdown
651
Num Trades
73.0%
Win Trades
5.5 : 1
Profit Factor
66.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                 +0.4%+3.4%+3.4%(0.5%)+4.6%+11.8%
2013(0.1%)+3.2%+2.5%+2.9%  -  +4.9%+3.1%+0.1%+2.0%+3.3%+3.2%+0.5%+28.5%
2014(5.5%)+3.9%+0.5%+3.8%+4.1%+3.1%(3.5%)+3.2%(0.3%)+2.0%(2.2%)+1.4%+10.1%
2015+4.1%+3.1%(0.9%)(0.4%)+7.5%(0.5%)+1.8%+0.8%(1.3%)+10.6%+2.0%+1.0%+30.7%
2016(5.6%)+0.6%+3.0%(0.5%)+0.1%(0.6%)+4.6%(0.1%)+1.5%(0.2%)(1.9%)(1.6%)(1.1%)
2017+3.8%+3.4%(0.9%)+3.4%+3.6%(1%)+4.9%(3.1%)+1.8%+4.7%+1.1%+1.7%+25.8%
2018+12.3%(0.9%)(6.7%)+4.1%+4.1%+1.6%+3.8%+5.6%(2.1%)(13.1%)(0.6%)(5.3%)+0.1%
2019+10.6%+0.3%+5.0%+4.9%(0.6%)(1.9%)  -  (1.2%)+1.4%+3.1%+2.9%+2.3%+29.5%
2020+1.3%(4.6%)(7.5%)+18.2%+5.7%+6.0%+5.9%+14.6%(8.5%)+0.8%+6.1%+0.3%+41.0%
2021+0.7%+0.5%+4.7%+6.3%+2.7%+4.8%+5.9%+0.9%(6.3%)+2.4%+2.5%(2.6%)+23.9%
2022(10.1%)(6.2%)+5.5%(13.6%)(6.5%)(6.9%)+3.4%+4.8%(13.2%)(8.3%)+3.5%(8.6%)(45.4%)
2023+15.7%(1.8%)+6.9%+6.4%+7.7%+3.0%+3.4%(1.6%)(1.5%)+3.2%+4.8%+3.2%+60.0%
2024+10.0%+4.7%+6.2%(1.4%)                                                +20.5%

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
8/21/15 9:31 AMGN AMGEN LONG 161 158.97 9/9 9:30 156.19 1.82%
Trade id #96771694
Max drawdown($3,054)
Time8/24/15 9:35
Quant open161
Worst price140.00
Drawdown as % of equity-1.82%
 ($451)
Includes Typical Broker Commissions trade costs of $3.22
8/24/15 9:30 ACN ACCENTURE LONG 285 91.34 9/4 9:30 94.31 0.45%
Trade id #96803346
Max drawdown($829)
Time8/24/15 9:34
Quant open285
Worst price88.43
Drawdown as % of equity-0.45%
 $840
Includes Typical Broker Commissions trade costs of $5.70
8/24/15 9:31 MDLZ MONDELEZ INTERNATIONAL LONG 645 41.12 9/4 9:30 42.64 0.78%
Trade id #96803564
Max drawdown($1,425)
Time8/24/15 9:33
Quant open645
Worst price38.91
Drawdown as % of equity-0.78%
 $975
Includes Typical Broker Commissions trade costs of $5.00
7/28/15 9:30 GS GOLDMAN SACHS GROUP LONG 136 207.14 9/1 9:31 184.24 2.61%
Trade id #96102533
Max drawdown($4,765)
Time8/24/15 9:34
Quant open136
Worst price172.10
Drawdown as % of equity-2.61%
 ($3,117)
Includes Typical Broker Commissions trade costs of $2.72
8/24/15 9:30 WFC WELLS FARGO LONG 515 49.20 9/1 9:30 52.11 0.44%
Trade id #96803286
Max drawdown($746)
Time8/24/15 9:37
Quant open515
Worst price47.75
Drawdown as % of equity-0.44%
 $1,494
Includes Typical Broker Commissions trade costs of $5.00
8/24/15 9:31 HON HONEYWELL INTERNATIONAL LONG 280 92.33 8/31 9:30 99.61 0.89%
Trade id #96803439
Max drawdown($1,492)
Time8/24/15 9:37
Quant open280
Worst price87.00
Drawdown as % of equity-0.89%
 $2,032
Includes Typical Broker Commissions trade costs of $5.60
8/24/15 9:31 ABT ABBOTT LABORATORIES LONG 590 44.51 8/31 9:30 45.91 0.72%
Trade id #96803606
Max drawdown($1,302)
Time8/26/15 12:41
Quant open590
Worst price42.30
Drawdown as % of equity-0.72%
 $821
Includes Typical Broker Commissions trade costs of $5.00
8/14/15 9:30 WBA WALGREEN BOOTS ALLIANCE INC. LONG 305 92.28 8/28 9:31 87.27 2.96%
Trade id #96645519
Max drawdown($4,963)
Time8/24/15 9:35
Quant open305
Worst price76.01
Drawdown as % of equity-2.96%
 ($1,534)
Includes Typical Broker Commissions trade costs of $6.10
8/24/15 9:30 MA MASTERCARD LONG 305 85.50 8/28 9:30 93.69 1.98%
Trade id #96803362
Max drawdown($3,321)
Time8/24/15 9:35
Quant open305
Worst price74.61
Drawdown as % of equity-1.98%
 $2,492
Includes Typical Broker Commissions trade costs of $6.10
8/24/15 9:30 COST COSTCO WHOLESALE LONG 200 131.97 8/28 9:30 139.75 1.64%
Trade id #96803134
Max drawdown($2,988)
Time8/24/15 9:34
Quant open200
Worst price117.03
Drawdown as % of equity-1.64%
 $1,552
Includes Typical Broker Commissions trade costs of $4.00
7/27/15 9:31 BMY BRISTOL-MYERS SQUIBB LONG 195 65.70 8/18 9:31 63.50 0.46%
Trade id #96078252
Max drawdown($863)
Time8/12/15 10:58
Quant open195
Worst price61.27
Drawdown as % of equity-0.46%
 ($433)
Includes Typical Broker Commissions trade costs of $3.90
8/12/15 9:30 PFE PFIZER LONG 805 34.87 8/18 9:30 35.39 0.07%
Trade id #96587508
Max drawdown($128)
Time8/12/15 10:58
Quant open805
Worst price34.71
Drawdown as % of equity-0.07%
 $414
Includes Typical Broker Commissions trade costs of $5.00
8/14/15 9:31 CVS CVS HEALTH CORP LONG 260 107.77 8/18 9:30 108.34 0.11%
Trade id #96645633
Max drawdown($202)
Time8/17/15 9:43
Quant open260
Worst price106.99
Drawdown as % of equity-0.11%
 $143
Includes Typical Broker Commissions trade costs of $5.20
8/12/15 9:30 V VISA LONG 385 72.87 8/17 9:31 74.00 0.1%
Trade id #96587519
Max drawdown($184)
Time8/12/15 10:56
Quant open385
Worst price72.39
Drawdown as % of equity-0.10%
 $427
Includes Typical Broker Commissions trade costs of $7.70
7/29/15 9:30 JPM JPMORGAN CHASE LONG 415 68.32 8/11 9:30 68.23 0.17%
Trade id #96131832
Max drawdown($319)
Time8/7/15 13:28
Quant open415
Worst price67.55
Drawdown as % of equity-0.17%
 ($45)
Includes Typical Broker Commissions trade costs of $8.30
7/28/15 9:30 CMCSA COMCAST LONG 457 61.51 8/4 9:31 62.87 0.09%
Trade id #96102600
Max drawdown($173)
Time7/28/15 9:35
Quant open457
Worst price61.13
Drawdown as % of equity-0.09%
 $613
Includes Typical Broker Commissions trade costs of $9.14
7/27/15 9:30 BA BOEING LONG 90 143.22 8/3 9:30 144.44 0.18%
Trade id #96078250
Max drawdown($333)
Time7/28/15 10:34
Quant open90
Worst price139.51
Drawdown as % of equity-0.18%
 $108
Includes Typical Broker Commissions trade costs of $1.80
7/27/15 9:30 SPY SPDR S&P 500 LONG 60 206.94 7/30 9:31 210.16 0.02%
Trade id #96077982
Max drawdown($40)
Time7/27/15 9:48
Quant open60
Worst price206.26
Drawdown as % of equity-0.02%
 $192
Includes Typical Broker Commissions trade costs of $1.20
7/27/15 9:30 MCD MCDONALD'S LONG 135 96.00 7/30 9:31 97.59 0.01%
Trade id #96078181
Max drawdown($9)
Time7/27/15 9:33
Quant open135
Worst price95.93
Drawdown as % of equity-0.01%
 $212
Includes Typical Broker Commissions trade costs of $2.70
7/23/15 9:30 TWX TIME WARNER INC LONG 320 88.73 7/30 9:30 87.44 0.42%
Trade id #96029270
Max drawdown($771)
Time7/27/15 15:46
Quant open320
Worst price86.32
Drawdown as % of equity-0.42%
 ($419)
Includes Typical Broker Commissions trade costs of $6.40
7/27/15 9:30 GD GENERAL DYNAMICS LONG 90 142.12 7/30 9:30 149.95 0.02%
Trade id #96078093
Max drawdown($28)
Time7/27/15 9:38
Quant open90
Worst price141.80
Drawdown as % of equity-0.02%
 $703
Includes Typical Broker Commissions trade costs of $1.80
7/23/15 9:30 UNH UNITEDHEALTH GROUP LONG 235 121.63 7/29 9:30 121.82 0.63%
Trade id #96029378
Max drawdown($1,167)
Time7/27/15 9:44
Quant open235
Worst price116.66
Drawdown as % of equity-0.63%
 $40
Includes Typical Broker Commissions trade costs of $4.70
6/30/15 9:31 AAPL APPLE LONG 225 125.57 7/14 9:31 126.04 0.77%
Trade id #95579069
Max drawdown($1,428)
Time7/9/15 14:34
Quant open225
Worst price119.22
Drawdown as % of equity-0.77%
 $102
Includes Typical Broker Commissions trade costs of $4.50
6/23/15 9:31 FDX FEDEX LONG 160 176.70 7/14 9:31 171.00 0.87%
Trade id #95360820
Max drawdown($1,604)
Time7/8/15 14:48
Quant open160
Worst price166.67
Drawdown as % of equity-0.87%
 ($915)
Includes Typical Broker Commissions trade costs of $3.20
6/29/15 9:30 GS GOLDMAN SACHS GROUP LONG 130 210.14 7/14 9:31 210.01 0.48%
Trade id #95543443
Max drawdown($902)
Time7/7/15 11:30
Quant open130
Worst price203.20
Drawdown as % of equity-0.48%
 ($20)
Includes Typical Broker Commissions trade costs of $2.60
6/30/15 9:30 MS MORGAN STANLEY LONG 730 38.82 7/14 9:31 39.33 0.46%
Trade id #95578690
Max drawdown($854)
Time7/7/15 11:36
Quant open730
Worst price37.65
Drawdown as % of equity-0.46%
 $367
Includes Typical Broker Commissions trade costs of $5.00
6/29/15 9:30 HON HONEYWELL INTERNATIONAL LONG 275 102.93 7/14 9:30 103.72 0.33%
Trade id #95543604
Max drawdown($599)
Time7/8/15 14:51
Quant open275
Worst price100.75
Drawdown as % of equity-0.33%
 $212
Includes Typical Broker Commissions trade costs of $5.50
6/29/15 9:31 UPS UNITED PARCEL SERVICE LONG 285 98.71 7/13 9:31 97.62 0.53%
Trade id #95543764
Max drawdown($977)
Time7/8/15 14:50
Quant open285
Worst price95.28
Drawdown as % of equity-0.53%
 ($317)
Includes Typical Broker Commissions trade costs of $5.70
6/29/15 9:30 BK BANK OF NEW YORK MELLON LONG 660 42.50 7/13 9:31 41.85 0.71%
Trade id #95543729
Max drawdown($1,303)
Time7/8/15 14:51
Quant open660
Worst price40.52
Drawdown as % of equity-0.71%
 ($434)
Includes Typical Broker Commissions trade costs of $5.00
6/24/15 9:31 ORCL ORACLE CORP LONG 680 41.54 7/13 9:31 40.52 0.68%
Trade id #95388332
Max drawdown($1,271)
Time7/8/15 9:29
Quant open680
Worst price39.67
Drawdown as % of equity-0.68%
 ($699)
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    8/13/2012
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    4268.76
  • Age
    142 months ago
  • What it trades
    Stocks
  • # Trades
    651
  • # Profitable
    475
  • % Profitable
    73.00%
  • Avg trade duration
    37.8 days
  • Max peak-to-valley drawdown
    47.75%
  • drawdown period
    Sept 09, 2021 - Dec 28, 2022
  • Annual Return (Compounded)
    16.8%
  • Avg win
    $1,336
  • Avg loss
    $656.74
  • Model Account Values (Raw)
  • Cash
    $109,599
  • Margin Used
    $0
  • Buying Power
    $535,816
  • Ratios
  • W:L ratio
    5.52:1
  • Sharpe Ratio
    0.68
  • Sortino Ratio
    0.99
  • Calmar Ratio
    1.073
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    259.57%
  • Correlation to SP500
    0.62820
  • Return Percent SP500 (cumu) during strategy life
    261.20%
  • Return Statistics
  • Ann Return (w trading costs)
    16.8%
  • Slump
  • Current Slump as Pcnt Equity
    4.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.168%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    16.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • 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)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $657
  • Avg Win
    $1,336
  • Sum Trade PL (losers)
    $115,586.000
  • Age
  • Num Months filled monthly returns table
    141
  • Win / Loss
  • Sum Trade PL (winners)
    $634,714.000
  • # Winners
    475
  • Num Months Winners
    93
  • Dividends
  • Dividends Received in Model Acct
    3292
  • Win / Loss
  • # Losers
    176
  • % Winners
    73.0%
  • Frequency
  • Avg Position Time (mins)
    54409.70
  • Avg Position Time (hrs)
    906.83
  • Avg Trade Length
    37.8 days
  • Last Trade Ago
    3127
  • Regression
  • Alpha
    0.02
  • Beta
    0.76
  • Treynor Index
    0.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    80.46
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    89.35
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.71
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    0.754
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.261
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.919
  • Hold-and-Hope Ratio
    1.440
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36908
  • SD
    0.28531
  • Sharpe ratio (Glass type estimate)
    1.29359
  • Sharpe ratio (Hedges UMVUE)
    1.27520
  • df
    53.00000
  • t
    2.74412
  • p
    0.00413
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.33186
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.24395
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.31990
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.23049
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.42509
  • Upside Potential Ratio
    3.44396
  • Upside part of mean
    0.52414
  • Downside part of mean
    -0.15506
  • Upside SD
    0.26093
  • Downside SD
    0.15219
  • N nonnegative terms
    37.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    54.00000
  • Mean of predictor
    0.25232
  • Mean of criterion
    0.36908
  • SD of predictor
    0.19524
  • SD of criterion
    0.28531
  • Covariance
    0.04175
  • r
    0.74949
  • b (slope, estimate of beta)
    1.09527
  • a (intercept, estimate of alpha)
    0.09272
  • Mean Square Error
    0.03636
  • DF error
    52.00000
  • t(b)
    8.16385
  • p(b)
    0.00000
  • t(a)
    0.96527
  • p(a)
    0.16944
  • Lowerbound of 95% confidence interval for beta
    0.82605
  • Upperbound of 95% confidence interval for beta
    1.36448
  • Lowerbound of 95% confidence interval for alpha
    -0.10003
  • Upperbound of 95% confidence interval for alpha
    0.28547
  • Treynor index (mean / b)
    0.33697
  • Jensen alpha (a)
    0.09272
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32462
  • SD
    0.28055
  • Sharpe ratio (Glass type estimate)
    1.15708
  • Sharpe ratio (Hedges UMVUE)
    1.14063
  • df
    53.00000
  • t
    2.45453
  • p
    0.00871
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.20222
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.10163
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.19152
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.08973
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.90235
  • Upside Potential Ratio
    2.88782
  • Upside part of mean
    0.49278
  • Downside part of mean
    -0.16816
  • Upside SD
    0.23857
  • Downside SD
    0.17064
  • N nonnegative terms
    37.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    54.00000
  • Mean of predictor
    0.23169
  • Mean of criterion
    0.32462
  • SD of predictor
    0.18752
  • SD of criterion
    0.28055
  • Covariance
    0.03852
  • r
    0.73220
  • b (slope, estimate of beta)
    1.09547
  • a (intercept, estimate of alpha)
    0.07081
  • Mean Square Error
    0.03721
  • DF error
    52.00000
  • t(b)
    7.75231
  • p(b)
    0.00000
  • t(a)
    0.73265
  • p(a)
    0.23353
  • Lowerbound of 95% confidence interval for beta
    0.81192
  • Upperbound of 95% confidence interval for beta
    1.37903
  • Lowerbound of 95% confidence interval for alpha
    -0.12313
  • Upperbound of 95% confidence interval for alpha
    0.26476
  • Treynor index (mean / b)
    0.29633
  • Jensen alpha (a)
    0.07081
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10072
  • Expected Shortfall on VaR
    0.13026
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02031
  • Expected Shortfall on VaR
    0.05003
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    54.00000
  • Minimum
    0.74483
  • Quartile 1
    0.99907
  • Median
    1.02529
  • Quartile 3
    1.04965
  • Maximum
    1.30585
  • Mean of quarter 1
    0.95279
  • Mean of quarter 2
    1.01361
  • Mean of quarter 3
    1.03784
  • Mean of quarter 4
    1.12705
  • Inter Quartile Range
    0.05058
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.05556
  • Mean of outliers low
    0.82954
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    1.18954
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.04169
  • VaR(95%) (moments method)
    0.01541
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.57374
  • VaR(95%) (regression method)
    0.03744
  • Expected Shortfall (regression method)
    0.11767
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00127
  • Quartile 1
    0.00866
  • Median
    0.01374
  • Quartile 3
    0.05255
  • Maximum
    0.34788
  • Mean of quarter 1
    0.00454
  • Mean of quarter 2
    0.01031
  • Mean of quarter 3
    0.02145
  • Mean of quarter 4
    0.18026
  • Inter Quartile Range
    0.04389
  • 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
    0.20000
  • Mean of outliers high
    0.23981
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.57702
  • VaR(95%) (moments method)
    0.17230
  • Expected Shortfall (moments method)
    0.18091
  • Extreme Value Index (regression method)
    0.61447
  • VaR(95%) (regression method)
    0.38996
  • Expected Shortfall (regression method)
    1.19944
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.86355
  • Compounded annual return (geometric extrapolation)
    0.42266
  • Calmar ratio (compounded annual return / max draw down)
    1.21496
  • Compounded annual return / average of 25% largest draw downs
    2.34473
  • Compounded annual return / Expected Shortfall lognormal
    3.24479
  • 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
    0.42889
  • SD
    0.30766
  • Sharpe ratio (Glass type estimate)
    1.39406
  • Sharpe ratio (Hedges UMVUE)
    1.39319
  • df
    1195.00000
  • t
    2.97849
  • p
    0.44542
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.47475
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.31284
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47414
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.31223
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.03224
  • Upside Potential Ratio
    7.27886
  • Upside part of mean
    1.53616
  • Downside part of mean
    -1.10727
  • Upside SD
    0.22525
  • Downside SD
    0.21105
  • N nonnegative terms
    636.00000
  • N negative terms
    560.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1196.00000
  • Mean of predictor
    0.28672
  • Mean of criterion
    0.42889
  • SD of predictor
    0.24176
  • SD of criterion
    0.30766
  • Covariance
    0.04966
  • r
    0.66761
  • b (slope, estimate of beta)
    0.84959
  • a (intercept, estimate of alpha)
    0.18500
  • Mean Square Error
    0.05251
  • DF error
    1194.00000
  • t(b)
    30.98510
  • p(b)
    0.16620
  • t(a)
    1.72306
  • p(a)
    0.47510
  • Lowerbound of 95% confidence interval for beta
    0.79579
  • Upperbound of 95% confidence interval for beta
    0.90338
  • Lowerbound of 95% confidence interval for alpha
    -0.02569
  • Upperbound of 95% confidence interval for alpha
    0.39629
  • Treynor index (mean / b)
    0.50483
  • Jensen alpha (a)
    0.18530
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38088
  • SD
    0.30969
  • Sharpe ratio (Glass type estimate)
    1.22985
  • Sharpe ratio (Hedges UMVUE)
    1.22908
  • df
    1195.00000
  • t
    2.62765
  • p
    0.45180
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.31094
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.14828
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.31041
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.14775
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.73390
  • Upside Potential Ratio
    6.88100
  • Upside part of mean
    1.51151
  • Downside part of mean
    -1.13064
  • Upside SD
    0.21939
  • Downside SD
    0.21966
  • N nonnegative terms
    636.00000
  • N negative terms
    560.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1196.00000
  • Mean of predictor
    0.25667
  • Mean of criterion
    0.38088
  • SD of predictor
    0.24617
  • SD of criterion
    0.30969
  • Covariance
    0.05087
  • r
    0.66730
  • b (slope, estimate of beta)
    0.83950
  • a (intercept, estimate of alpha)
    0.16540
  • Mean Square Error
    0.05325
  • DF error
    1194.00000
  • t(b)
    30.95930
  • p(b)
    0.16635
  • t(a)
    1.52833
  • p(a)
    0.47791
  • Lowerbound of 95% confidence interval for beta
    0.78630
  • Upperbound of 95% confidence interval for beta
    0.89270
  • Lowerbound of 95% confidence interval for alpha
    -0.04693
  • Upperbound of 95% confidence interval for alpha
    0.37774
  • Treynor index (mean / b)
    0.45370
  • Jensen alpha (a)
    0.16540
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02957
  • Expected Shortfall on VaR
    0.03727
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00901
  • Expected Shortfall on VaR
    0.02035
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1196.00000
  • Minimum
    0.85054
  • Quartile 1
    0.99776
  • Median
    1.00051
  • Quartile 3
    1.00552
  • Maximum
    1.11331
  • Mean of quarter 1
    0.98386
  • Mean of quarter 2
    0.99947
  • Mean of quarter 3
    1.00262
  • Mean of quarter 4
    1.02102
  • Inter Quartile Range
    0.00775
  • Number outliers low
    103.00000
  • Percentage of outliers low
    0.08612
  • Mean of outliers low
    0.96555
  • Number of outliers high
    119.00000
  • Percentage of outliers high
    0.09950
  • Mean of outliers high
    1.03742
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.73334
  • VaR(95%) (moments method)
    0.01245
  • Expected Shortfall (moments method)
    0.05303
  • Extreme Value Index (regression method)
    0.37264
  • VaR(95%) (regression method)
    0.01362
  • Expected Shortfall (regression method)
    0.02862
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    119.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00195
  • Median
    0.00777
  • Quartile 3
    0.02151
  • Maximum
    0.47044
  • Mean of quarter 1
    0.00091
  • Mean of quarter 2
    0.00425
  • Mean of quarter 3
    0.01330
  • Mean of quarter 4
    0.07248
  • Inter Quartile Range
    0.01956
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.07563
  • Mean of outliers high
    0.15906
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.64645
  • VaR(95%) (moments method)
    0.07431
  • Expected Shortfall (moments method)
    0.22475
  • Extreme Value Index (regression method)
    0.75167
  • VaR(95%) (regression method)
    0.06342
  • Expected Shortfall (regression method)
    0.24389
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.19668
  • Compounded annual return (geometric extrapolation)
    0.50499
  • Calmar ratio (compounded annual return / max draw down)
    1.07344
  • Compounded annual return / average of 25% largest draw downs
    6.96690
  • Compounded annual return / Expected Shortfall lognormal
    13.54780
  • 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
    0.77250
  • SD
    0.68641
  • Sharpe ratio (Glass type estimate)
    1.12542
  • Sharpe ratio (Hedges UMVUE)
    1.11891
  • df
    130.00000
  • t
    0.79579
  • p
    0.46519
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.65182
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.89855
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.65623
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.89406
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.58393
  • Upside Potential Ratio
    8.96987
  • Upside part of mean
    4.37472
  • Downside part of mean
    -3.60222
  • Upside SD
    0.48164
  • Downside SD
    0.48771
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.79973
  • Mean of criterion
    0.77250
  • SD of predictor
    0.44653
  • SD of criterion
    0.68641
  • Covariance
    0.22149
  • r
    0.72264
  • b (slope, estimate of beta)
    1.11085
  • a (intercept, estimate of alpha)
    -0.11588
  • Mean Square Error
    0.22687
  • DF error
    129.00000
  • t(b)
    11.87390
  • p(b)
    0.08393
  • t(a)
    -0.17098
  • p(a)
    0.50958
  • Lowerbound of 95% confidence interval for beta
    0.92575
  • Upperbound of 95% confidence interval for beta
    1.29595
  • Lowerbound of 95% confidence interval for alpha
    -1.45680
  • Upperbound of 95% confidence interval for alpha
    1.22504
  • Treynor index (mean / b)
    0.69542
  • Jensen alpha (a)
    -0.11588
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.53443
  • SD
    0.69454
  • Sharpe ratio (Glass type estimate)
    0.76947
  • Sharpe ratio (Hedges UMVUE)
    0.76502
  • df
    130.00000
  • t
    0.54410
  • p
    0.47617
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.00536
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.54141
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.00834
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.53839
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.04242
  • Upside Potential Ratio
    8.31577
  • Upside part of mean
    4.26334
  • Downside part of mean
    -3.72891
  • Upside SD
    0.46579
  • Downside SD
    0.51268
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.69781
  • Mean of criterion
    0.53443
  • SD of predictor
    0.45306
  • SD of criterion
    0.69454
  • Covariance
    0.22935
  • r
    0.72885
  • b (slope, estimate of beta)
    1.11732
  • a (intercept, estimate of alpha)
    -0.24525
  • Mean Square Error
    0.22789
  • DF error
    129.00000
  • t(b)
    12.09070
  • p(b)
    0.08121
  • t(a)
    -0.36162
  • p(a)
    0.52026
  • VAR (95 Confidence Intrvl)
    0.03000
  • Lowerbound of 95% confidence interval for beta
    0.93448
  • Upperbound of 95% confidence interval for beta
    1.30016
  • Lowerbound of 95% confidence interval for alpha
    -1.58705
  • Upperbound of 95% confidence interval for alpha
    1.09656
  • Treynor index (mean / b)
    0.47831
  • Jensen alpha (a)
    -0.24525
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06624
  • Expected Shortfall on VaR
    0.08272
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02839
  • Expected Shortfall on VaR
    0.05871
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.85054
  • Quartile 1
    0.98286
  • Median
    1.00366
  • Quartile 3
    1.02611
  • Maximum
    1.11331
  • Mean of quarter 1
    0.95093
  • Mean of quarter 2
    0.99522
  • Mean of quarter 3
    1.01361
  • Mean of quarter 4
    1.05278
  • Inter Quartile Range
    0.04324
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.88324
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.10567
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24394
  • VaR(95%) (moments method)
    0.04683
  • Expected Shortfall (moments method)
    0.07644
  • Extreme Value Index (regression method)
    0.09995
  • VaR(95%) (regression method)
    0.05915
  • Expected Shortfall (regression method)
    0.09036
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00521
  • Quartile 1
    0.00866
  • Median
    0.04995
  • Quartile 3
    0.08125
  • Maximum
    0.47044
  • Mean of quarter 1
    0.00616
  • Mean of quarter 2
    0.03008
  • Mean of quarter 3
    0.07115
  • Mean of quarter 4
    0.28089
  • Inter Quartile Range
    0.07259
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.47044
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -353911000
  • Max Equity Drawdown (num days)
    475
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.64935
  • Compounded annual return (geometric extrapolation)
    0.75477
  • Calmar ratio (compounded annual return / max draw down)
    1.60440
  • Compounded annual return / average of 25% largest draw downs
    2.68702
  • Compounded annual return / Expected Shortfall lognormal
    9.12432

Strategy Description

Clone of system 75976336 as of Sat Nov 1 21:41:07 2014 ET
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2012-08-13
Suggested Minimum Capital
$25,000
# Trades
651
# Profitable
475
% Profitable
73.0%
Net Dividends
$3,292
Correlation S&P500
0.628
Sharpe Ratio
0.68
Sortino Ratio
0.99
Beta
0.76
Alpha
0.02

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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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