Collective2 Collective2
Featured Strategy S2Prox0 +61.0% Annual Return (Compounded) since Dec 23, 2022 Hypothetical

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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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5 Alive
(90974690)

Created by: Dave Dave
Started: 11/2014
Forex
Last trade: 3,137 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 $287.00 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.

-7.0%
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.

(44.3%)
Max Drawdown
309
Num Trades
61.2%
Win Trades
1.0 : 1
Profit Factor
7.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014                                                                      (2.8%)(4.2%)(6.9%)
2015+0.4%+6.9%+5.9%+2.6%+7.2%+5.3%+5.7%(39.1%)+18.2%  -    -    -  +0.2%
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
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.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 466 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/1/15 11:49 EUR/USD EUR/USD LONG 15 1.12349 9/23 12:16 1.12459 2.46%
Trade id #96979398
Max drawdown($2,232)
Time9/3/15 11:10
Quant open15
Worst price1.10861
Drawdown as % of equity-2.46%
 $166
9/22/15 13:50 EUR/AUD EUR/AUD LONG 5 1.57090 9/23 0:21 1.58364 0.13%
Trade id #97376697
Max drawdown($133)
Time9/22/15 17:00
Quant open5
Worst price1.56710
Drawdown as % of equity-0.13%
 $448
9/16/15 17:26 AUD/JPY AUD/JPY SHORT 5 86.710 9/22 10:31 84.729 0.35%
Trade id #97270861
Max drawdown($333)
Time9/17/15 14:55
Quant open-5
Worst price87.510
Drawdown as % of equity-0.35%
 $826
9/9/15 20:04 EUR/GBP EUR/GBP SHORT 5 0.73129 9/22 10:31 0.72472 0.36%
Trade id #97135328
Max drawdown($354)
Time9/15/15 23:26
Quant open-5
Worst price0.73590
Drawdown as % of equity-0.36%
 $505
9/8/15 11:21 GBP/JPY GBP/JPY SHORT 20 185.639 9/22 10:31 184.458 4.63%
Trade id #97097901
Max drawdown($4,406)
Time9/17/15 14:02
Quant open-20
Worst price188.282
Drawdown as % of equity-4.63%
 $1,970
9/8/15 10:57 AUD/CAD AUD/CAD SHORT 10 0.93446 9/14 19:12 0.94850 1.09%
Trade id #97096977
Max drawdown($1,060)
Time9/14/15 19:12
Quant open5
Worst price0.94850
Drawdown as % of equity-1.09%
 ($1,060)
9/2/15 14:33 EUR/CAD EUR/CAD LONG 10 1.47761 9/9 20:50 1.49185 1.28%
Trade id #97012515
Max drawdown($1,163)
Time9/3/15 11:01
Quant open5
Worst price1.45955
Drawdown as % of equity-1.28%
 $1,073
9/1/15 17:00 AUD/NZD AUD/NZD LONG 10 1.10577 9/9 18:17 1.10876 0.81%
Trade id #96988025
Max drawdown($767)
Time9/9/15 16:36
Quant open10
Worst price1.09358
Drawdown as % of equity-0.81%
 $188
9/9/15 1:12 AUD/USD AUD/USD SHORT 3 0.70473 9/9 17:24 0.69867 0.05%
Trade id #97112116
Max drawdown($45)
Time9/9/15 1:32
Quant open-3
Worst price0.70623
Drawdown as % of equity-0.05%
 $182
9/8/15 11:20 EUR/JPY EUR/JPY LONG 5 133.928 9/8 23:39 134.512 0.05%
Trade id #97097850
Max drawdown($44)
Time9/8/15 11:29
Quant open5
Worst price133.822
Drawdown as % of equity-0.05%
 $243
9/1/15 19:11 USD/JPY USD/JPY LONG 5 119.604 9/8 23:39 120.316 0.48%
Trade id #96989368
Max drawdown($426)
Time9/4/15 8:31
Quant open5
Worst price118.578
Drawdown as % of equity-0.48%
 $296
9/3/15 2:28 GBP/CAD GBP/CAD LONG 5 2.02716 9/8 10:41 2.03639 1.01%
Trade id #97021704
Max drawdown($915)
Time9/3/15 11:02
Quant open5
Worst price2.00289
Drawdown as % of equity-1.01%
 $348
9/2/15 11:50 GBP/JPY GBP/JPY LONG 10 182.230 9/8 9:27 184.555 1.75%
Trade id #97007408
Max drawdown($1,573)
Time9/6/15 17:01
Quant open10
Worst price180.343
Drawdown as % of equity-1.75%
 $1,938
9/1/15 19:12 NZD/CAD NZD/CAD SHORT 5 0.83735 9/4 10:59 0.83500 0.34%
Trade id #96989389
Max drawdown($319)
Time9/2/15 10:47
Quant open-5
Worst price0.84582
Drawdown as % of equity-0.34%
 $89
9/2/15 12:08 AUD/CAD AUD/CAD SHORT 5 0.93306 9/3 9:56 0.92734 0.14%
Trade id #97007974
Max drawdown($129)
Time9/2/15 18:26
Quant open-5
Worst price0.93647
Drawdown as % of equity-0.14%
 $217
9/3/15 9:16 EUR/JPY EUR/JPY LONG 5 133.260 9/3 9:16 133.258 0%
Trade id #97027035
Max drawdown($1)
Time9/3/15 9:16
Quant open0
Worst price133.258
Drawdown as % of equity-0.00%
 ($1)
9/1/15 12:37 USD/CAD USD/CAD LONG 5 1.31633 9/2 11:20 1.32852 0.02%
Trade id #96981208
Max drawdown($18)
Time9/1/15 12:39
Quant open5
Worst price1.31584
Drawdown as % of equity-0.02%
 $458
9/1/15 19:11 GBP/JPY GBP/JPY LONG 5 183.058 9/2 1:01 184.033 0.05%
Trade id #96989348
Max drawdown($42)
Time9/1/15 19:13
Quant open5
Worst price182.955
Drawdown as % of equity-0.05%
 $406
9/1/15 12:34 GBP/CAD GBP/CAD LONG 10 2.01747 9/1 19:13 2.02655 0.15%
Trade id #96981126
Max drawdown($139)
Time9/1/15 14:06
Quant open10
Worst price2.01562
Drawdown as % of equity-0.15%
 $685
9/1/15 11:48 EUR/CAD EUR/CAD LONG 10 1.48444 9/1 19:13 1.49629 0.18%
Trade id #96979353
Max drawdown($161)
Time9/1/15 11:56
Quant open10
Worst price1.48230
Drawdown as % of equity-0.18%
 $894
8/31/15 18:21 CAD/JPY CAD/JPY SHORT 10 92.190 9/1 19:13 90.287 0.05%
Trade id #96961684
Max drawdown($41)
Time8/31/15 18:34
Quant open-10
Worst price92.240
Drawdown as % of equity-0.05%
 $1,589
8/26/15 19:34 USD/JPY USD/JPY SHORT 25 120.106 9/1 11:41 120.047 4.17%
Trade id #96871459
Max drawdown($3,380)
Time8/28/15 16:59
Quant open-25
Worst price121.728
Drawdown as % of equity-4.17%
 $123
8/26/15 19:30 EUR/NZD EUR/NZD LONG 25 1.76006 9/1 11:40 1.77488 6.74%
Trade id #96871365
Max drawdown($5,364)
Time8/30/15 17:08
Quant open25
Worst price1.72623
Drawdown as % of equity-6.74%
 $2,350
8/31/15 2:53 EUR/AUD EUR/AUD LONG 5 1.57377 9/1 11:18 1.59720 0.2%
Trade id #96941659
Max drawdown($165)
Time8/31/15 3:35
Quant open5
Worst price1.56907
Drawdown as % of equity-0.20%
 $824
8/31/15 3:16 USD/CAD USD/CAD LONG 20 1.32268 8/31 16:22 1.31195 1.89%
Trade id #96942250
Max drawdown($1,636)
Time8/31/15 16:22
Quant open10
Worst price1.31195
Drawdown as % of equity-1.89%
 ($1,636)
8/26/15 19:27 CAD/JPY CAD/JPY SHORT 25 90.270 8/28 16:58 92.235 4.98%
Trade id #96871307
Max drawdown($4,037)
Time8/28/15 16:58
Quant open0
Worst price92.235
Drawdown as % of equity-4.98%
 ($4,037)
8/26/15 19:33 GBP/NZD GBP/NZD LONG 25 2.40321 8/27 20:06 2.37496 5.46%
Trade id #96871434
Max drawdown($4,582)
Time8/27/15 20:06
Quant open0
Worst price2.37496
Drawdown as % of equity-5.46%
 ($4,582)
8/26/15 19:31 GBP/AUD GBP/AUD LONG 25 2.17408 8/27 20:05 2.14529 6.17%
Trade id #96871386
Max drawdown($5,172)
Time8/27/15 20:05
Quant open0
Worst price2.14529
Drawdown as % of equity-6.17%
 ($5,172)
8/26/15 21:14 EUR/AUD EUR/AUD LONG 25 1.59101 8/27 10:56 1.56875 4.32%
Trade id #96872710
Max drawdown($3,978)
Time8/27/15 10:56
Quant open0
Worst price1.56875
Drawdown as % of equity-4.32%
 ($3,978)
8/26/15 19:32 GBP/CAD GBP/CAD LONG 25 2.05912 8/27 6:40 2.04309 3.2%
Trade id #96871416
Max drawdown($3,036)
Time8/27/15 6:40
Quant open0
Worst price2.04309
Drawdown as % of equity-3.20%
 ($3,036)
Next

Statistics

  • Strategy began
    11/25/2014
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    3435.27
  • Age
    115 months ago
  • What it trades
    Forex
  • # Trades
    309
  • # Profitable
    189
  • % Profitable
    61.20%
  • Avg trade duration
    2.2 days
  • Max peak-to-valley drawdown
    44.35%
  • drawdown period
    Aug 03, 2015 - Aug 28, 2015
  • Cumul. Return
    -6.7%
  • Avg win
    $952.42
  • Avg loss
    $1,491
  • Model Account Values (Raw)
  • Cash
    $101,025
  • Margin Used
    $0
  • Buying Power
    $101,025
  • Ratios
  • W:L ratio
    1.01:1
  • Sharpe Ratio
    -0.14
  • Sortino Ratio
    -0.18
  • Calmar Ratio
    0.01
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -8.37%
  • Correlation to SP500
    -0.04890
  • Return Percent SP500 (cumu) during strategy life
    145.36%
  • Return Statistics
  • Ann Return (w trading costs)
    -7.0%
  • Slump
  • Current Slump as Pcnt Equity
    39.70%
  • Instruments
  • Percent Trades Futures
    0.07%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.93%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.067%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.93%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    0.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    88.50%
  • Chance of 20% account loss
    59.50%
  • Chance of 30% account loss
    38.00%
  • Chance of 40% account loss
    15.00%
  • Chance of 60% account loss (Monte Carlo)
    0.50%
  • 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
    3.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    695
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    387
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,492
  • Avg Win
    $952
  • Sum Trade PL (losers)
    $178,982.000
  • Age
  • Num Months filled monthly returns table
    114
  • Win / Loss
  • Sum Trade PL (winners)
    $180,008.000
  • # Winners
    189
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    120
  • % Winners
    61.2%
  • Frequency
  • Avg Position Time (mins)
    3136.95
  • Avg Position Time (hrs)
    52.28
  • Avg Trade Length
    2.2 days
  • Last Trade Ago
    3133
  • Regression
  • Alpha
    -0.00
  • Beta
    -0.04
  • Treynor Index
    0.15
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    97.38
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    75.02
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    4.88
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -774.011
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.709
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.044
  • Hold-and-Hope Ratio
    -0.001
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05871
  • SD
    0.33303
  • Sharpe ratio (Glass type estimate)
    0.17630
  • Sharpe ratio (Hedges UMVUE)
    0.16268
  • df
    10.00000
  • t
    0.16880
  • p
    0.43466
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.87650
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22057
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.88567
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21104
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.21504
  • Upside Potential Ratio
    1.55806
  • Upside part of mean
    0.42542
  • Downside part of mean
    -0.36671
  • Upside SD
    0.16297
  • Downside SD
    0.27304
  • N nonnegative terms
    7.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    -0.03426
  • Mean of criterion
    0.05871
  • SD of predictor
    0.08624
  • SD of criterion
    0.33303
  • Covariance
    0.02404
  • r
    0.83689
  • b (slope, estimate of beta)
    3.23175
  • a (intercept, estimate of alpha)
    0.16945
  • Mean Square Error
    0.03692
  • DF error
    9.00000
  • t(b)
    4.58673
  • p(b)
    0.00066
  • t(a)
    0.83827
  • p(a)
    0.21179
  • Lowerbound of 95% confidence interval for beta
    1.63786
  • Upperbound of 95% confidence interval for beta
    4.82564
  • Lowerbound of 95% confidence interval for alpha
    -0.28783
  • Upperbound of 95% confidence interval for alpha
    0.62673
  • Treynor index (mean / b)
    0.01817
  • Jensen alpha (a)
    0.16945
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00117
  • SD
    0.36810
  • Sharpe ratio (Glass type estimate)
    0.00319
  • Sharpe ratio (Hedges UMVUE)
    0.00294
  • df
    10.00000
  • t
    0.00306
  • p
    0.49881
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.04400
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.05023
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.04417
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.05006
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00375
  • Upside Potential Ratio
    1.31501
  • Upside part of mean
    0.41237
  • Downside part of mean
    -0.41120
  • Upside SD
    0.15762
  • Downside SD
    0.31359
  • N nonnegative terms
    7.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    -0.03775
  • Mean of criterion
    0.00117
  • SD of predictor
    0.08768
  • SD of criterion
    0.36810
  • Covariance
    0.02738
  • r
    0.84845
  • b (slope, estimate of beta)
    3.56211
  • a (intercept, estimate of alpha)
    0.13563
  • Mean Square Error
    0.04217
  • DF error
    9.00000
  • t(b)
    4.80919
  • p(b)
    0.00048
  • t(a)
    0.62701
  • p(a)
    0.27311
  • Lowerbound of 95% confidence interval for beta
    1.88656
  • Upperbound of 95% confidence interval for beta
    5.23767
  • Lowerbound of 95% confidence interval for alpha
    -0.35370
  • Upperbound of 95% confidence interval for alpha
    0.62496
  • Treynor index (mean / b)
    0.00033
  • Jensen alpha (a)
    0.13563
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16028
  • Expected Shortfall on VaR
    0.19614
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05517
  • Expected Shortfall on VaR
    0.12432
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.74502
  • Quartile 1
    0.98320
  • Median
    1.03463
  • Quartile 3
    1.06346
  • Maximum
    1.08018
  • Mean of quarter 1
    0.89094
  • Mean of quarter 2
    1.01847
  • Mean of quarter 3
    1.05578
  • Mean of quarter 4
    1.07438
  • Inter Quartile Range
    0.08026
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.09091
  • Mean of outliers low
    0.74502
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.67307
  • VaR(95%) (moments method)
    0.10472
  • Expected Shortfall (moments method)
    0.37689
  • Extreme Value Index (regression method)
    2.69339
  • VaR(95%) (regression method)
    0.33361
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.04964
  • Quartile 1
    0.10618
  • Median
    0.16273
  • Quartile 3
    0.21927
  • Maximum
    0.27581
  • Mean of quarter 1
    0.04964
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.27581
  • Inter Quartile Range
    0.11309
  • 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)
    0.01118
  • Compounded annual return (geometric extrapolation)
    0.01119
  • Calmar ratio (compounded annual return / max draw down)
    0.04056
  • Compounded annual return / average of 25% largest draw downs
    0.04056
  • Compounded annual return / Expected Shortfall lognormal
    0.05704
  • 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
    0.06211
  • SD
    0.34931
  • Sharpe ratio (Glass type estimate)
    0.17780
  • Sharpe ratio (Hedges UMVUE)
    0.17740
  • df
    339.00000
  • t
    0.17676
  • p
    0.42990
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.79382
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.14919
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.79410
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.14891
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.24527
  • Upside Potential Ratio
    5.55766
  • Upside part of mean
    1.40725
  • Downside part of mean
    -1.34514
  • Upside SD
    0.23990
  • Downside SD
    0.25321
  • N nonnegative terms
    104.00000
  • N negative terms
    236.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    340.00000
  • Mean of predictor
    0.01818
  • Mean of criterion
    0.06211
  • SD of predictor
    0.14945
  • SD of criterion
    0.34931
  • Covariance
    -0.00853
  • r
    -0.16350
  • b (slope, estimate of beta)
    -0.38214
  • a (intercept, estimate of alpha)
    0.01200
  • Mean Square Error
    0.11911
  • DF error
    338.00000
  • t(b)
    -3.04682
  • p(b)
    0.99875
  • t(a)
    0.19892
  • p(a)
    0.42122
  • Lowerbound of 95% confidence interval for beta
    -0.62885
  • Upperbound of 95% confidence interval for beta
    -0.13543
  • Lowerbound of 95% confidence interval for alpha
    -0.61379
  • Upperbound of 95% confidence interval for alpha
    0.75190
  • Treynor index (mean / b)
    -0.16252
  • Jensen alpha (a)
    0.06905
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00037
  • SD
    0.35348
  • Sharpe ratio (Glass type estimate)
    0.00104
  • Sharpe ratio (Hedges UMVUE)
    0.00104
  • df
    339.00000
  • t
    0.00103
  • p
    0.49959
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.97042
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97250
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.97042
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.97250
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00138
  • Upside Potential Ratio
    5.18642
  • Upside part of mean
    1.37969
  • Downside part of mean
    -1.37933
  • Upside SD
    0.23197
  • Downside SD
    0.26602
  • N nonnegative terms
    104.00000
  • N negative terms
    236.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    340.00000
  • Mean of predictor
    0.00704
  • Mean of criterion
    0.00037
  • SD of predictor
    0.14957
  • SD of criterion
    0.35348
  • Covariance
    -0.00864
  • r
    -0.16343
  • b (slope, estimate of beta)
    -0.38623
  • a (intercept, estimate of alpha)
    0.00309
  • Mean Square Error
    0.12197
  • DF error
    338.00000
  • t(b)
    -3.04549
  • p(b)
    0.99875
  • t(a)
    0.00878
  • p(a)
    0.49650
  • Lowerbound of 95% confidence interval for beta
    -0.63569
  • Upperbound of 95% confidence interval for beta
    -0.13677
  • Lowerbound of 95% confidence interval for alpha
    -0.68790
  • Upperbound of 95% confidence interval for alpha
    0.69408
  • Treynor index (mean / b)
    -0.00095
  • Jensen alpha (a)
    0.00309
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03086
  • Expected Shortfall on VaR
    0.03852
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01082
  • Expected Shortfall on VaR
    0.02377
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    340.00000
  • Minimum
    0.84648
  • Quartile 1
    0.99874
  • Median
    1.00000
  • Quartile 3
    1.00124
  • Maximum
    1.11430
  • Mean of quarter 1
    0.98460
  • Mean of quarter 2
    0.99984
  • Mean of quarter 3
    1.00012
  • Mean of quarter 4
    1.01628
  • Inter Quartile Range
    0.00250
  • Number outliers low
    48.00000
  • Percentage of outliers low
    0.14118
  • Mean of outliers low
    0.97520
  • Number of outliers high
    59.00000
  • Percentage of outliers high
    0.17353
  • Mean of outliers high
    1.02234
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.84349
  • VaR(95%) (moments method)
    0.00931
  • Expected Shortfall (moments method)
    0.06790
  • Extreme Value Index (regression method)
    0.42329
  • VaR(95%) (regression method)
    0.01323
  • Expected Shortfall (regression method)
    0.03103
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00040
  • Quartile 1
    0.00336
  • Median
    0.01758
  • Quartile 3
    0.04599
  • Maximum
    0.41277
  • Mean of quarter 1
    0.00120
  • Mean of quarter 2
    0.00483
  • Mean of quarter 3
    0.03600
  • Mean of quarter 4
    0.18586
  • Inter Quartile Range
    0.04262
  • 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
    0.14286
  • Mean of outliers high
    0.31336
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.08661
  • VaR(95%) (moments method)
    0.14522
  • Expected Shortfall (moments method)
    0.22451
  • Extreme Value Index (regression method)
    0.75748
  • VaR(95%) (regression method)
    0.34447
  • Expected Shortfall (regression method)
    1.64085
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.01037
  • Compounded annual return (geometric extrapolation)
    0.01037
  • Calmar ratio (compounded annual return / max draw down)
    0.02513
  • Compounded annual return / average of 25% largest draw downs
    0.05580
  • Compounded annual return / Expected Shortfall lognormal
    0.26921
  • 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
    -0.28955
  • SD
    0.39393
  • Sharpe ratio (Glass type estimate)
    -0.73502
  • Sharpe ratio (Hedges UMVUE)
    -0.73179
  • df
    171.00000
  • t
    -0.51974
  • p
    0.52528
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.50687
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.03893
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.50468
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.04110
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.87739
  • Upside Potential Ratio
    4.23033
  • Upside part of mean
    1.39604
  • Downside part of mean
    -1.68558
  • Upside SD
    0.21358
  • Downside SD
    0.33001
  • N nonnegative terms
    43.00000
  • N negative terms
    129.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    -0.01572
  • Mean of criterion
    -0.28955
  • SD of predictor
    0.16830
  • SD of criterion
    0.39393
  • Covariance
    -0.01639
  • r
    -0.24725
  • b (slope, estimate of beta)
    -0.57871
  • a (intercept, estimate of alpha)
    -0.29864
  • Mean Square Error
    0.14655
  • DF error
    170.00000
  • t(b)
    -3.32701
  • p(b)
    0.62362
  • t(a)
    -0.55162
  • p(a)
    0.52114
  • Lowerbound of 95% confidence interval for beta
    -0.92208
  • Upperbound of 95% confidence interval for beta
    -0.23534
  • Lowerbound of 95% confidence interval for alpha
    -1.36737
  • Upperbound of 95% confidence interval for alpha
    0.77008
  • Treynor index (mean / b)
    0.50033
  • Jensen alpha (a)
    -0.29864
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.37023
  • SD
    0.40707
  • Sharpe ratio (Glass type estimate)
    -0.90952
  • Sharpe ratio (Hedges UMVUE)
    -0.90552
  • df
    171.00000
  • t
    -0.64313
  • p
    0.53126
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.68174
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.86523
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.67899
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.86794
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.06193
  • Upside Potential Ratio
    3.94065
  • Upside part of mean
    1.37387
  • Downside part of mean
    -1.74411
  • Upside SD
    0.20877
  • Downside SD
    0.34864
  • N nonnegative terms
    43.00000
  • N negative terms
    129.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    -0.02983
  • Mean of criterion
    -0.37023
  • SD of predictor
    0.16859
  • SD of criterion
    0.40707
  • Covariance
    -0.01675
  • r
    -0.24411
  • b (slope, estimate of beta)
    -0.58941
  • a (intercept, estimate of alpha)
    -0.38782
  • Mean Square Error
    0.15674
  • DF error
    170.00000
  • t(b)
    -3.28204
  • p(b)
    0.62205
  • t(a)
    -0.69262
  • p(a)
    0.52652
  • VAR (95 Confidence Intrvl)
    0.02300
  • Lowerbound of 95% confidence interval for beta
    -0.94391
  • Upperbound of 95% confidence interval for beta
    -0.23490
  • Lowerbound of 95% confidence interval for alpha
    -1.49312
  • Upperbound of 95% confidence interval for alpha
    0.71749
  • Treynor index (mean / b)
    0.62815
  • Jensen alpha (a)
    -0.38782
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03649
  • Expected Shortfall on VaR
    0.04526
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01424
  • Expected Shortfall on VaR
    0.03122
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.84648
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00008
  • Maximum
    1.08201
  • Mean of quarter 1
    0.98049
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01626
  • Inter Quartile Range
    0.00008
  • Number outliers low
    37.00000
  • Percentage of outliers low
    0.21512
  • Mean of outliers low
    0.97732
  • Number of outliers high
    43.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    1.01626
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.05065
  • VaR(95%) (moments method)
    0.00799
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.43222
  • VaR(95%) (regression method)
    0.01818
  • Expected Shortfall (regression method)
    0.04685
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00040
  • Quartile 1
    0.00336
  • Median
    0.02437
  • Quartile 3
    0.04599
  • Maximum
    0.41277
  • Mean of quarter 1
    0.00187
  • Mean of quarter 2
    0.00341
  • Mean of quarter 3
    0.04533
  • Mean of quarter 4
    0.22949
  • Inter Quartile Range
    0.04262
  • 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
    0.16667
  • Mean of outliers high
    0.41277
  • 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)
    25
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.32970
  • Compounded annual return (geometric extrapolation)
    -0.30252
  • Calmar ratio (compounded annual return / max draw down)
    -0.73291
  • Compounded annual return / average of 25% largest draw downs
    -1.31825
  • Compounded annual return / Expected Shortfall lognormal
    -6.68432

Strategy Description

Every entry includes a hard stop and target.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2014-11-25
Suggested Minimum Capital
$100,000
# Trades
309
# Profitable
189
% Profitable
61.2%
Correlation S&P500
-0.049
Sharpe Ratio
-0.14
Sortino Ratio
-0.18
Beta
-0.04
Alpha
-0.00

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.