Collective2 Collective2
Featured Strategy Easiest +108.7% Annual Return (Compounded) since Mar 27, 2023 Hypothetical

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Stocks Under 25
(91228499)

Created by: terrys999 terrys999
Started: 05/2015
Stocks
Last trade: 2,676 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. You can subscribe to this system for free.

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.

-6.4%
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.

(66.0%)
Max Drawdown
139
Num Trades
58.3%
Win Trades
0.7 : 1
Profit Factor
7.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                            +2.7%(6%)(0.8%)(1.2%)(1.5%)+2.9%+0.9%(3.5%)(6.7%)
2016(2.5%)+0.7%(0.7%)(6%)(1.3%)+1.5%+5.4%(26.8%)+16.5%(11.7%)(37%)+29.5%(40.6%)
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 81 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3219 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/16/16 13:22 OPTT OCEAN POWER LONG 800 4.03 12/21 9:52 3.13 7.85%
Trade id #107260657
Max drawdown($718)
Time12/21/16 9:52
Quant open0
Worst price3.13
Drawdown as % of equity-7.85%
 ($729)
Includes Typical Broker Commissions trade costs of $10.50
11/2/16 9:57 GORO GOLD RESOURCE LONG 600 5.51 12/21 9:52 3.98 11.6%
Trade id #106861079
Max drawdown($1,071)
Time12/15/16 9:33
Quant open600
Worst price3.73
Drawdown as % of equity-11.60%
 ($930)
Includes Typical Broker Commissions trade costs of $8.50
11/3/16 11:53 CEMP CEMPRA LONG 1,600 8.00 12/6 14:32 7.85 44.41%
Trade id #106898971
Max drawdown($3,680)
Time11/8/16 10:20
Quant open1,600
Worst price5.70
Drawdown as % of equity-44.41%
 ($245)
Includes Typical Broker Commissions trade costs of $5.00
11/21/16 10:58 OPXA OPEXA THERAPEUTICS LONG 300 0.96 11/21 11:21 1.05 0.22%
Trade id #107364188
Max drawdown($16)
Time11/21/16 11:05
Quant open300
Worst price0.91
Drawdown as % of equity-0.22%
 $21
Includes Typical Broker Commissions trade costs of $6.00
11/21/16 10:09 RXII RXI PHARMACEUTICALS CORPORATIO LONG 200 2.68 11/21 10:15 2.90 0.46%
Trade id #107362142
Max drawdown($40)
Time11/21/16 10:12
Quant open200
Worst price2.48
Drawdown as % of equity-0.46%
 $40
Includes Typical Broker Commissions trade costs of $4.00
11/18/16 9:37 ESEA EUROSEAS LONG 100 3.08 11/18 10:14 2.82 0.41%
Trade id #107324946
Max drawdown($32)
Time11/18/16 9:49
Quant open100
Worst price2.76
Drawdown as % of equity-0.41%
 ($28)
Includes Typical Broker Commissions trade costs of $2.00
11/17/16 10:10 HLTH CUE HEALTH INC. COMMON STOCK LONG 200 2.60 11/17 10:39 2.75 0.13%
Trade id #107285922
Max drawdown($10)
Time11/17/16 10:15
Quant open200
Worst price2.55
Drawdown as % of equity-0.13%
 $26
Includes Typical Broker Commissions trade costs of $4.00
10/11/16 13:54 TKAI TOKAI PHARMACEUTICALS INC. CO LONG 1,100 1.73 11/16 13:45 1.20 11.78%
Trade id #106371519
Max drawdown($1,099)
Time11/4/16 9:42
Quant open1,100
Worst price0.73
Drawdown as % of equity-11.78%
 ($586)
Includes Typical Broker Commissions trade costs of $7.50
11/15/16 9:41 SAEX SAEXPLORATION HOLDINGS INC. C LONG 200 8.41 11/15 11:14 9.00 0.87%
Trade id #107212911
Max drawdown($67)
Time11/15/16 9:45
Quant open100
Worst price8.00
Drawdown as % of equity-0.87%
 $114
Includes Typical Broker Commissions trade costs of $4.00
11/11/16 10:16 TOPS TOP SHIPS INC. COMMON STOCK LONG 200 3.30 11/14 11:02 3.53 1.63%
Trade id #107134246
Max drawdown($124)
Time11/11/16 15:06
Quant open200
Worst price2.68
Drawdown as % of equity-1.63%
 $41
Includes Typical Broker Commissions trade costs of $4.00
10/25/16 15:04 OPTT OCEAN POWER LONG 700 3.43 11/7 15:50 2.45 9.91%
Trade id #106657044
Max drawdown($1,001)
Time11/3/16 13:14
Quant open700
Worst price2.00
Drawdown as % of equity-9.91%
 ($691)
Includes Typical Broker Commissions trade costs of $5.00
10/24/16 15:40 OMEX ODYSSEY MARINE LONG 530 4.60 10/31 10:34 4.49 2.12%
Trade id #106627473
Max drawdown($243)
Time10/27/16 11:54
Quant open530
Worst price4.14
Drawdown as % of equity-2.12%
 ($65)
Includes Typical Broker Commissions trade costs of $5.00
10/24/16 10:08 CHEK CHECK-CAP LTD. ORDINARY SHARE LONG 1,100 2.29 10/24 15:25 2.23 1.81%
Trade id #106618077
Max drawdown($209)
Time10/24/16 10:37
Quant open1,100
Worst price2.10
Drawdown as % of equity-1.81%
 ($69)
Includes Typical Broker Commissions trade costs of $5.00
10/21/16 10:01 CXRX CONCORDIA HEALTHCARE LONG 580 4.32 10/21 10:39 4.74 0.35%
Trade id #106588718
Max drawdown($40)
Time10/21/16 10:07
Quant open580
Worst price4.25
Drawdown as % of equity-0.35%
 $239
Includes Typical Broker Commissions trade costs of $5.00
10/19/16 15:19 CRBP CORBUS PHARMACEUTICALS HOLDINGS INC. LONG 380 7.85 10/20 12:12 7.70 2.79%
Trade id #106545904
Max drawdown($323)
Time10/20/16 9:35
Quant open380
Worst price7.00
Drawdown as % of equity-2.79%
 ($65)
Includes Typical Broker Commissions trade costs of $7.60
10/18/16 9:37 SPEX SPHERIX LONG 1,000 1.48 10/18 11:46 1.44 1.03%
Trade id #106510997
Max drawdown($120)
Time10/18/16 9:48
Quant open1,000
Worst price1.36
Drawdown as % of equity-1.03%
 ($45)
Includes Typical Broker Commissions trade costs of $5.00
10/17/16 11:10 OPTT OCEAN POWER LONG 800 3.11 10/17 12:08 3.36 0.32%
Trade id #106487424
Max drawdown($36)
Time10/17/16 11:27
Quant open800
Worst price3.06
Drawdown as % of equity-0.32%
 $199
Includes Typical Broker Commissions trade costs of $5.00
10/17/16 10:46 SPHS SOPHIRIS BIO INC. COMMON STOC LONG 820 3.02 10/17 11:40 3.20 0%
Trade id #106486623
Max drawdown$0
Time10/17/16 10:49
Quant open820
Worst price3.02
Drawdown as % of equity0.00%
 $143
Includes Typical Broker Commissions trade costs of $5.00
10/14/16 11:02 CTRV CONTRAVIR PHARMACEUTICALS INC. LONG 850 1.80 10/14 11:18 1.92 0.22%
Trade id #106459777
Max drawdown($25)
Time10/14/16 11:04
Quant open850
Worst price1.77
Drawdown as % of equity-0.22%
 $97
Includes Typical Broker Commissions trade costs of $5.00
10/14/16 9:36 MGT MGT CAPITAL INVESTMENTS LONG 600 2.57 10/14 9:59 2.75 0.74%
Trade id #106456297
Max drawdown($84)
Time10/14/16 9:46
Quant open600
Worst price2.43
Drawdown as % of equity-0.74%
 $103
Includes Typical Broker Commissions trade costs of $5.00
10/11/16 10:03 MCUR MACROCURE LTD. ORDINARY SHARES LONG 1,200 2.13 10/11 15:50 1.86 3.16%
Trade id #106362775
Max drawdown($363)
Time10/11/16 15:24
Quant open1,200
Worst price1.83
Drawdown as % of equity-3.16%
 ($333)
Includes Typical Broker Commissions trade costs of $5.00
10/5/16 11:05 CRMD CORMEDIX LONG 800 3.19 10/10 15:24 2.93 3%
Trade id #106247671
Max drawdown($352)
Time10/10/16 9:35
Quant open800
Worst price2.75
Drawdown as % of equity-3.00%
 ($213)
Includes Typical Broker Commissions trade costs of $5.00
10/6/16 9:38 RGSE REAL GOODS SOLAR INC. CLASS A LONG 950 2.71 10/7 10:47 2.76 1.56%
Trade id #106269973
Max drawdown($180)
Time10/6/16 11:30
Quant open950
Worst price2.52
Drawdown as % of equity-1.56%
 $42
Includes Typical Broker Commissions trade costs of $5.00
10/7/16 10:15 GBR NEW CONCEPT ENERGY LONG 900 2.67 10/7 10:20 2.95 n/a $246
Includes Typical Broker Commissions trade costs of $5.00
10/5/16 9:39 CPRX CATALYST PHARMACEUTICAL LONG 1,700 1.40 10/5 11:42 1.51 0.74%
Trade id #106244090
Max drawdown($85)
Time10/5/16 9:56
Quant open1,700
Worst price1.35
Drawdown as % of equity-0.74%
 $189
Includes Typical Broker Commissions trade costs of $7.50
10/4/16 9:35 RIGL RIGEL PHARMACEUTICALS LONG 600 4.11 10/4 15:42 4.01 1.15%
Trade id #106214631
Max drawdown($132)
Time10/4/16 12:48
Quant open600
Worst price3.89
Drawdown as % of equity-1.15%
 ($65)
Includes Typical Broker Commissions trade costs of $5.00
10/3/16 11:04 CXRX CONCORDIA HEALTHCARE LONG 500 4.80 10/3 15:45 5.18 0.13%
Trade id #106187994
Max drawdown($15)
Time10/3/16 11:06
Quant open500
Worst price4.77
Drawdown as % of equity-0.13%
 $183
Includes Typical Broker Commissions trade costs of $10.00
9/30/16 10:33 PTCT PTC THERAPEUTICS INC. COMMON LONG 230 12.78 9/30 11:28 13.55 0.08%
Trade id #106162471
Max drawdown($9)
Time9/30/16 10:35
Quant open230
Worst price12.74
Drawdown as % of equity-0.08%
 $172
Includes Typical Broker Commissions trade costs of $4.60
9/28/16 13:30 CYH COMMUNITY HEALTH SYSTEMS LONG 240 10.95 9/30 11:24 11.15 0.6%
Trade id #106123443
Max drawdown($67)
Time9/30/16 9:55
Quant open240
Worst price10.67
Drawdown as % of equity-0.60%
 $43
Includes Typical Broker Commissions trade costs of $4.80
9/28/16 9:49 GBSN GREAT BASIN SCIENTIFIC INC. C LONG 780 3.20 9/28 10:12 2.91 2.42%
Trade id #106116933
Max drawdown($273)
Time9/28/16 10:12
Quant open780
Worst price2.85
Drawdown as % of equity-2.42%
 ($231)
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    5/20/2015
  • Suggested Minimum Cap
    $12,458
  • Strategy Age (days)
    3253.67
  • Age
    109 months ago
  • What it trades
    Stocks
  • # Trades
    139
  • # Profitable
    81
  • % Profitable
    58.30%
  • Avg trade duration
    6.7 days
  • Max peak-to-valley drawdown
    66.03%
  • drawdown period
    June 10, 2015 - Nov 23, 2016
  • Annual Return (Compounded)
    -6.4%
  • Avg win
    $123.27
  • Avg loss
    $229.79
  • Model Account Values (Raw)
  • Cash
    $9,119
  • Margin Used
    $0
  • Buying Power
    $9,119
  • Ratios
  • W:L ratio
    0.75:1
  • Sharpe Ratio
    -0.43
  • Sortino Ratio
    -0.62
  • Calmar Ratio
    -0.147
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -182.68%
  • Correlation to SP500
    0.02270
  • Return Percent SP500 (cumu) during strategy life
    135.72%
  • Return Statistics
  • Ann Return (w trading costs)
    -6.4%
  • Slump
  • Current Slump as Pcnt Equity
    101.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.99%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.064%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -3.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • 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
    $230
  • Avg Win
    $123
  • Sum Trade PL (losers)
    $13,328.000
  • Age
  • Num Months filled monthly returns table
    108
  • Win / Loss
  • Sum Trade PL (winners)
    $9,985.000
  • # Winners
    81
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    8
  • Win / Loss
  • # Losers
    58
  • % Winners
    58.3%
  • Frequency
  • Avg Position Time (mins)
    9591.23
  • Avg Position Time (hrs)
    159.85
  • Avg Trade Length
    6.7 days
  • Last Trade Ago
    2673
  • Regression
  • Alpha
    -0.02
  • Beta
    0.02
  • Treynor Index
    -1.14
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    50.70
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    40.27
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.42
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    -6.988
  • 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
    0.15
  • Avg(MAE) / Avg(PL) - Winning trades
    0.600
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.546
  • Hold-and-Hope Ratio
    -0.143
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.07107
  • SD
    0.23819
  • Sharpe ratio (Glass type estimate)
    -0.29836
  • Sharpe ratio (Hedges UMVUE)
    -0.29386
  • df
    50.00000
  • t
    -0.61508
  • p
    0.72935
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.24942
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.65562
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.24632
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.65861
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.37521
  • Upside Potential Ratio
    0.65742
  • Upside part of mean
    0.12452
  • Downside part of mean
    -0.19558
  • Upside SD
    0.14202
  • Downside SD
    0.18940
  • N nonnegative terms
    8.00000
  • N negative terms
    43.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    51.00000
  • Mean of predictor
    0.20684
  • Mean of criterion
    -0.07107
  • SD of predictor
    0.20975
  • SD of criterion
    0.23819
  • Covariance
    -0.00066
  • r
    -0.01322
  • b (slope, estimate of beta)
    -0.01501
  • a (intercept, estimate of alpha)
    -0.06796
  • Mean Square Error
    0.05788
  • DF error
    49.00000
  • t(b)
    -0.09254
  • p(b)
    0.53668
  • t(a)
    -0.55968
  • p(a)
    0.71088
  • Lowerbound of 95% confidence interval for beta
    -0.34098
  • Upperbound of 95% confidence interval for beta
    0.31096
  • Lowerbound of 95% confidence interval for alpha
    -0.31198
  • Upperbound of 95% confidence interval for alpha
    0.17606
  • Treynor index (mean / b)
    4.73433
  • Jensen alpha (a)
    -0.06796
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.10171
  • SD
    0.25654
  • Sharpe ratio (Glass type estimate)
    -0.39646
  • Sharpe ratio (Hedges UMVUE)
    -0.39048
  • df
    50.00000
  • t
    -0.81732
  • p
    0.79119
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.34839
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.55936
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.34428
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.56332
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.46089
  • Upside Potential Ratio
    0.52275
  • Upside part of mean
    0.11536
  • Downside part of mean
    -0.21706
  • Upside SD
    0.12917
  • Downside SD
    0.22067
  • N nonnegative terms
    8.00000
  • N negative terms
    43.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    51.00000
  • Mean of predictor
    0.18367
  • Mean of criterion
    -0.10171
  • SD of predictor
    0.20732
  • SD of criterion
    0.25654
  • Covariance
    -0.00073
  • r
    -0.01379
  • b (slope, estimate of beta)
    -0.01707
  • a (intercept, estimate of alpha)
    -0.09857
  • Mean Square Error
    0.06714
  • DF error
    49.00000
  • t(b)
    -0.09656
  • p(b)
    0.53826
  • t(a)
    -0.75933
  • p(a)
    0.77435
  • Lowerbound of 95% confidence interval for beta
    -0.37226
  • Upperbound of 95% confidence interval for beta
    0.33813
  • Lowerbound of 95% confidence interval for alpha
    -0.35944
  • Upperbound of 95% confidence interval for alpha
    0.16230
  • Treynor index (mean / b)
    5.95927
  • Jensen alpha (a)
    -0.09857
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12216
  • Expected Shortfall on VaR
    0.14859
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05110
  • Expected Shortfall on VaR
    0.10941
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    51.00000
  • Minimum
    0.68612
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.23995
  • Mean of quarter 1
    0.94368
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.04222
  • Inter Quartile Range
    0.00000
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.19608
  • Mean of outliers low
    0.92678
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.17647
  • Mean of outliers high
    1.06099
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.01347
  • VaR(95%) (regression method)
    0.05017
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.44923
  • Quartile 1
    0.44923
  • Median
    0.44923
  • Quartile 3
    0.44923
  • Maximum
    0.44923
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    -0.06335
  • Compounded annual return (geometric extrapolation)
    -0.07114
  • Calmar ratio (compounded annual return / max draw down)
    -0.15837
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.47879
  • 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
    -0.08923
  • SD
    0.15769
  • Sharpe ratio (Glass type estimate)
    -0.56587
  • Sharpe ratio (Hedges UMVUE)
    -0.56549
  • df
    1115.00000
  • t
    -1.16788
  • p
    0.52225
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.51570
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.38419
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.51544
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.38446
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.81868
  • Upside Potential Ratio
    3.14852
  • Upside part of mean
    0.34318
  • Downside part of mean
    -0.43241
  • Upside SD
    0.11399
  • Downside SD
    0.10900
  • N nonnegative terms
    157.00000
  • N negative terms
    959.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1116.00000
  • Mean of predictor
    0.21987
  • Mean of criterion
    -0.08923
  • SD of predictor
    0.26410
  • SD of criterion
    0.15769
  • Covariance
    0.00133
  • r
    0.03204
  • b (slope, estimate of beta)
    0.01913
  • a (intercept, estimate of alpha)
    -0.09300
  • Mean Square Error
    0.02486
  • DF error
    1114.00000
  • t(b)
    1.07006
  • p(b)
    0.48398
  • t(a)
    -1.22140
  • p(a)
    0.51828
  • Lowerbound of 95% confidence interval for beta
    -0.01595
  • Upperbound of 95% confidence interval for beta
    0.05422
  • Lowerbound of 95% confidence interval for alpha
    -0.24354
  • Upperbound of 95% confidence interval for alpha
    0.05666
  • Treynor index (mean / b)
    -4.66375
  • Jensen alpha (a)
    -0.09344
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.10154
  • SD
    0.15660
  • Sharpe ratio (Glass type estimate)
    -0.64843
  • Sharpe ratio (Hedges UMVUE)
    -0.64799
  • df
    1115.00000
  • t
    -1.33826
  • p
    0.52549
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.59832
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.30175
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.59803
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.30205
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.90885
  • Upside Potential Ratio
    3.01600
  • Upside part of mean
    0.33696
  • Downside part of mean
    -0.43850
  • Upside SD
    0.10981
  • Downside SD
    0.11173
  • N nonnegative terms
    157.00000
  • N negative terms
    959.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1116.00000
  • Mean of predictor
    0.18453
  • Mean of criterion
    -0.10154
  • SD of predictor
    0.26651
  • SD of criterion
    0.15660
  • Covariance
    0.00132
  • r
    0.03164
  • b (slope, estimate of beta)
    0.01859
  • a (intercept, estimate of alpha)
    -0.10497
  • Mean Square Error
    0.02452
  • DF error
    1114.00000
  • t(b)
    1.05653
  • p(b)
    0.48418
  • t(a)
    -1.38228
  • p(a)
    0.52069
  • Lowerbound of 95% confidence interval for beta
    -0.01593
  • Upperbound of 95% confidence interval for beta
    0.05312
  • Lowerbound of 95% confidence interval for alpha
    -0.25398
  • Upperbound of 95% confidence interval for alpha
    0.04403
  • Treynor index (mean / b)
    -5.46190
  • Jensen alpha (a)
    -0.10497
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01617
  • Expected Shortfall on VaR
    0.02013
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00522
  • Expected Shortfall on VaR
    0.01147
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1116.00000
  • Minimum
    0.91605
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.14122
  • Mean of quarter 1
    0.99376
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00530
  • Inter Quartile Range
    0.00000
  • Number outliers low
    217.00000
  • Percentage of outliers low
    0.19444
  • Mean of outliers low
    0.99198
  • Number of outliers high
    161.00000
  • Percentage of outliers high
    0.14427
  • Mean of outliers high
    1.00918
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.98149
  • VaR(95%) (moments method)
    0.00431
  • Expected Shortfall (moments method)
    0.26933
  • Extreme Value Index (regression method)
    0.59825
  • VaR(95%) (regression method)
    0.00496
  • Expected Shortfall (regression method)
    0.01706
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00960
  • Quartile 1
    0.01057
  • Median
    0.01832
  • Quartile 3
    0.14021
  • Maximum
    0.48359
  • Mean of quarter 1
    0.00960
  • Mean of quarter 2
    0.01089
  • Mean of quarter 3
    0.02575
  • Mean of quarter 4
    0.48359
  • Inter Quartile Range
    0.12964
  • 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
    0.25000
  • Mean of outliers high
    0.48359
  • 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)
    -0.06320
  • Compounded annual return (geometric extrapolation)
    -0.07099
  • Calmar ratio (compounded annual return / max draw down)
    -0.14679
  • Compounded annual return / average of 25% largest draw downs
    -0.14679
  • Compounded annual return / Expected Shortfall lognormal
    -3.52623
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.69101
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.43560
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.59426
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.44192
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6842860000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.01600
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -229137000000000023235827161104384.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -356053000
  • Max Equity Drawdown (num days)
    532
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2015-05-20
Suggested Minimum Capital
$15,000
# Trades
139
# Profitable
81
% Profitable
58.3%
Net Dividends
$7
Correlation S&P500
0.023
Sharpe Ratio
-0.43
Sortino Ratio
-0.62
Beta
0.02
Alpha
-0.02

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.