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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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Systematic Stark
(92848176)

Created by: ROBERTSTARK ROBERTSTARK
Started: 03/2015
Futures
Last trade: 3,139 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 $50.00 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.

1.6%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(22.3%)
Max Drawdown
72
Num Trades
72.2%
Win Trades
0.6 : 1
Profit Factor
7.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015              +6.3%+11.0%+10.1%+1.4%(2.9%)(50%)(6.8%)  -    -    -  (40.3%)
2016  -    -  (0.9%)(1.7%)+1.9%+0.7%(0.6%)+0.1%(0.5%)+2.8%  -    -  +1.7%
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 1 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
8/11/15 9:35 XGU5 DAX INDEX LONG 10 11096.20 9/15 5:18 10857.70 2.1%
Trade id #96559783
Max drawdown$2,036
Time8/11/15 9:36
Quant open
Worst price9317.50
Drawdown as % of equity2.10%
 ($65,113)
Includes Typical Broker Commissions trade costs of $80.00
8/5/15 14:58 @QMU5 MINY CRUDE OIL LONG 2 45.150 8/13 13:52 42.000 0.01%
Trade id #96459546
Max drawdown$6
Time8/11/15 4:15
Quant open
Worst price42.050
Drawdown as % of equity0.01%
 ($3,166)
Includes Typical Broker Commissions trade costs of $16.00
7/31/15 4:25 QHOU5 Heating Oil LONG 1 1.5977 8/12 9:50 1.5832 0%
Trade id #96187493
Max drawdown$0
Time7/31/15 9:29
Quant open
Worst price1.5212
Drawdown as % of equity0.00%
 ($617)
Includes Typical Broker Commissions trade costs of $8.00
7/29/15 11:36 @BOQ5 SOYBEAN OIL LONG 3 30.24 8/12 9:42 30.15 0%
Trade id #96136964
Max drawdown$3
Time7/30/15 9:31
Quant open
Worst price29.49
Drawdown as % of equity0.00%
 ($198)
Includes Typical Broker Commissions trade costs of $24.00
8/11/15 6:56 XGU5 DAX INDEX LONG 1 11423.00 8/11 8:56 11360.00 0.07%
Trade id #96556691
Max drawdown$73
Time8/11/15 7:15
Quant open
Worst price11365.50
Drawdown as % of equity0.07%
 ($1,726)
Includes Typical Broker Commissions trade costs of $8.00
7/29/15 11:12 @WU5 WHEAT LONG 3 500 2/4 8/11 3:22 512 3/4 0.02%
Trade id #96136132
Max drawdown$20
Time8/6/15 11:47
Quant open
Worst price503 3/4
Drawdown as % of equity0.02%
 $1,789
Includes Typical Broker Commissions trade costs of $24.00
8/3/15 13:09 @YMU5 MINI DOW LONG 3 17396 8/10 18:12 17474 0.73%
Trade id #96233653
Max drawdown$748
Time8/5/15 10:31
Quant open
Worst price17221
Drawdown as % of equity0.73%
 $1,141
Includes Typical Broker Commissions trade costs of $24.00
7/31/15 13:19 @KCU5 COFFEE LONG 2 124.27 8/10 9:20 128.45 0%
Trade id #96199830
Max drawdown$4
Time8/6/15 10:22
Quant open
Worst price123.65
Drawdown as % of equity0.00%
 $3,115
Includes Typical Broker Commissions trade costs of $16.00
7/31/15 13:29 @QMU5 MINY CRUDE OIL LONG 4 46.794 8/5 11:51 45.256 0.01%
Trade id #96200155
Max drawdown$10
Time7/31/15 14:19
Quant open
Worst price45.100
Drawdown as % of equity0.01%
 ($3,107)
Includes Typical Broker Commissions trade costs of $32.00
7/31/15 4:27 @QOV5 miNY Gold LONG 1 1082.00 7/31 13:37 1094.00 0.01%
Trade id #96187537
Max drawdown$8
Time7/31/15 9:31
Quant open
Worst price1092.25
Drawdown as % of equity0.01%
 $592
Includes Typical Broker Commissions trade costs of $8.00
7/31/15 6:26 XGU5 DAX INDEX LONG 2 11236.25 7/31 11:55 11297.25 0.11%
Trade id #96188926
Max drawdown$111
Time7/31/15 7:59
Quant open
Worst price11169.50
Drawdown as % of equity0.11%
 $3,311
Includes Typical Broker Commissions trade costs of $16.00
7/29/15 11:13 @KCU5 COFFEE LONG 2 122.25 7/31 11:18 125.80 0%
Trade id #96136217
Max drawdown$4
Time7/30/15 7:59
Quant open
Worst price123.25
Drawdown as % of equity0.00%
 $2,647
Includes Typical Broker Commissions trade costs of $16.00
7/29/15 11:17 QHOU5 Heating Oil LONG 2 1.6226 7/31 2:47 1.6000 0%
Trade id #96136329
Max drawdown$0
Time7/30/15 6:34
Quant open
Worst price1.6006
Drawdown as % of equity0.00%
 ($1,914)
Includes Typical Broker Commissions trade costs of $16.00
6/24/15 4:51 @QOQ5 miNY Gold LONG 45 1108.80 7/29 9:06 1103.21 0.49%
Trade id #95383457
Max drawdown$495
Time7/5/15 18:02
Quant open
Worst price1075.00
Drawdown as % of equity0.49%
 ($12,948)
Includes Typical Broker Commissions trade costs of $360.00
7/28/15 12:19 XGU5 DAX INDEX LONG 1 11187.50 7/29 2:25 11216.50 0.04%
Trade id #96108367
Max drawdown$37
Time7/28/15 14:07
Quant open
Worst price11187.00
Drawdown as % of equity0.04%
 $783
Includes Typical Broker Commissions trade costs of $8.00
7/27/15 11:19 XGU5 DAX INDEX LONG 2 11074.00 7/28 2:52 11093.50 0.07%
Trade id #96082974
Max drawdown$62
Time7/27/15 11:29
Quant open
Worst price11029.50
Drawdown as % of equity0.07%
 $1,047
Includes Typical Broker Commissions trade costs of $16.00
7/27/15 8:13 XGU5 DAX INDEX LONG 2 11111.00 7/27 10:48 11123.75 0.11%
Trade id #96076666
Max drawdown$104
Time7/27/15 9:08
Quant open
Worst price11052.00
Drawdown as % of equity0.11%
 $679
Includes Typical Broker Commissions trade costs of $16.00
7/27/15 7:19 @YMU5 MINI DOW LONG 1 17404 7/27 9:35 17350 0.07%
Trade id #96076124
Max drawdown$75
Time7/27/15 7:41
Quant open
Worst price17362
Drawdown as % of equity0.07%
 ($278)
Includes Typical Broker Commissions trade costs of $8.00
7/27/15 7:19 XGU5 DAX INDEX LONG 1 11140.00 7/27 8:10 11100.00 0.05%
Trade id #96076138
Max drawdown$48
Time7/27/15 7:35
Quant open
Worst price11115.00
Drawdown as % of equity0.05%
 ($1,099)
Includes Typical Broker Commissions trade costs of $8.00
7/23/15 12:11 XGU5 DAX INDEX SHORT 1 11485.50 7/23 12:31 11475.00 0%
Trade id #96034970
Max drawdown$0
Time7/23/15 12:17
Quant open
Worst price11477.00
Drawdown as % of equity0.00%
 $278
Includes Typical Broker Commissions trade costs of $8.00
7/22/15 7:48 XGU5 DAX INDEX SHORT 2 11538.50 7/23 4:53 11521.00 0.13%
Trade id #96003648
Max drawdown$109
Time7/22/15 8:06
Quant open
Worst price11612.00
Drawdown as % of equity0.13%
 $938
Includes Typical Broker Commissions trade costs of $16.00
7/15/15 9:15 @YMU5 MINI DOW SHORT 4 17955 7/22 5:03 17820 0.27%
Trade id #95893216
Max drawdown$266
Time7/15/15 14:58
Quant open
Worst price18066
Drawdown as % of equity0.27%
 $2,658
Includes Typical Broker Commissions trade costs of $32.00
7/21/15 3:32 @QOV5 miNY Gold LONG 5 1106.25 7/22 3:12 1101.05 0.02%
Trade id #95975846
Max drawdown$18
Time7/21/15 7:35
Quant open
Worst price1099.00
Drawdown as % of equity0.02%
 ($1,340)
Includes Typical Broker Commissions trade costs of $40.00
7/20/15 2:13 @QOV5 miNY Gold LONG 3 1109.25 7/20 3:19 1114.75 0%
Trade id #95955755
Max drawdown$0
Time7/20/15 2:49
Quant open
Worst price1113.75
Drawdown as % of equity0.00%
 $801
Includes Typical Broker Commissions trade costs of $24.00
7/7/15 3:24 @QGQ5 MINY NATURAL GAS LONG 1 2.775 7/15 12:24 2.905 0%
Trade id #95735106
Max drawdown$0
Time7/7/15 6:42
Quant open
Worst price2.645
Drawdown as % of equity0.00%
 $317
Includes Typical Broker Commissions trade costs of $8.00
7/15/15 9:11 @YMU5 MINI DOW SHORT 2 17961 7/15 9:11 17961 n/a ($16)
Includes Typical Broker Commissions trade costs of $16.00
7/7/15 11:40 XGU5 DAX INDEX LONG 1 10705.50 7/7 11:43 10722.00 0.02%
Trade id #95746577
Max drawdown$16
Time7/7/15 11:41
Quant open
Worst price10694.50
Drawdown as % of equity0.02%
 $442
Includes Typical Broker Commissions trade costs of $8.00
6/30/15 12:48 QNGN5 Natural Gas LONG 1 2.754 7/7 3:28 2.754 0%
Trade id #95614427
Max drawdown$0
Time6/30/15 12:48
Quant open
Worst price2.754
Drawdown as % of equity0.00%
 ($8)
Includes Typical Broker Commissions trade costs of $8.00
7/6/15 11:34 XGU5 DAX INDEX LONG 1 10879.00 7/6 11:36 10891.00 0.01%
Trade id #95720974
Max drawdown$15
Time7/6/15 11:35
Quant open
Worst price10878.00
Drawdown as % of equity0.01%
 $319
Includes Typical Broker Commissions trade costs of $8.00
6/29/15 8:30 @QGQ5 MINY NATURAL GAS LONG 1 2.780 6/29 13:22 2.820 0%
Trade id #95542006
Max drawdown$0
Time6/29/15 9:40
Quant open
Worst price2.765
Drawdown as % of equity0.00%
 $92
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    3/2/2015
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    3335.34
  • Age
    111 months ago
  • What it trades
    Futures
  • # Trades
    72
  • # Profitable
    52
  • % Profitable
    72.20%
  • Avg trade duration
    7.4 days
  • Max peak-to-valley drawdown
    22.28%
  • drawdown period
    March 04, 2015 - March 18, 2015
  • Cumul. Return
    0.7%
  • Avg win
    $1,223
  • Avg loss
    $5,004
  • Model Account Values (Raw)
  • Cash
    $63,520
  • Margin Used
    $0
  • Buying Power
    $63,520
  • Ratios
  • W:L ratio
    0.64:1
  • Sharpe Ratio
    -0.17
  • Sortino Ratio
    -0.24
  • Calmar Ratio
    -0.282
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    2.30%
  • Correlation to SP500
    0.10330
  • Return Percent SP500 (cumu) during strategy life
    135.36%
  • Return Statistics
  • Ann Return (w trading costs)
    1.6%
  • Slump
  • Current Slump as Pcnt Equity
    118.70%
  • Instruments
  • Percent Trades Futures
    0.96%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.97%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.007%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.04%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -4.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    77.50%
  • Chance of 20% account loss
    52.00%
  • Chance of 30% account loss
    16.50%
  • Chance of 40% account loss
    3.00%
  • 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)
    877
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    355
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $5,005
  • Avg Win
    $1,223
  • Sum Trade PL (losers)
    $100,097.000
  • Age
  • Num Months filled monthly returns table
    110
  • Win / Loss
  • Sum Trade PL (winners)
    $63,619.000
  • # Winners
    52
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    20
  • % Winners
    72.2%
  • Frequency
  • Avg Position Time (mins)
    10626.70
  • Avg Position Time (hrs)
    177.11
  • Avg Trade Length
    7.4 days
  • Last Trade Ago
    2959
  • Regression
  • Alpha
    -0.02
  • Beta
    0.14
  • Treynor Index
    -0.10
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.00
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    -
  • Avg(MAE) / Avg(PL) - All trades
    0.000
  • 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
    -
  • Avg(MAE) / Avg(PL) - Winning trades
    0.000
  • Avg(MAE) / Avg(PL) - Losing trades
    -
  • Hold-and-Hope Ratio
    0.000
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.59234
  • SD
    0.24543
  • Sharpe ratio (Glass type estimate)
    2.41350
  • Sharpe ratio (Hedges UMVUE)
    1.92569
  • df
    4.00000
  • t
    1.55791
  • p
    0.09713
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.13477
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.74250
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.39095
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.24234
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.65945
  • Upside Potential Ratio
    9.20865
  • Upside part of mean
    0.71214
  • Downside part of mean
    -0.11981
  • Upside SD
    0.26729
  • Downside SD
    0.07733
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    -0.05124
  • Mean of criterion
    0.59234
  • SD of predictor
    0.04876
  • SD of criterion
    0.24543
  • Covariance
    -0.00046
  • r
    -0.03856
  • b (slope, estimate of beta)
    -0.19409
  • a (intercept, estimate of alpha)
    0.58239
  • Mean Square Error
    0.08019
  • DF error
    3.00000
  • t(b)
    -0.06684
  • p(b)
    0.52454
  • t(a)
    1.25718
  • p(a)
    0.14883
  • Lowerbound of 95% confidence interval for beta
    -9.43553
  • Upperbound of 95% confidence interval for beta
    9.04735
  • Lowerbound of 95% confidence interval for alpha
    -0.89188
  • Upperbound of 95% confidence interval for alpha
    2.05667
  • Treynor index (mean / b)
    -3.05189
  • Jensen alpha (a)
    0.58239
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.55555
  • SD
    0.23626
  • Sharpe ratio (Glass type estimate)
    2.35146
  • Sharpe ratio (Hedges UMVUE)
    1.87619
  • df
    4.00000
  • t
    1.51786
  • p
    0.10183
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.17618
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.66265
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.42680
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.17918
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.00889
  • Upside Potential Ratio
    8.55809
  • Upside part of mean
    0.67834
  • Downside part of mean
    -0.12280
  • Upside SD
    0.25316
  • Downside SD
    0.07926
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    -0.05227
  • Mean of criterion
    0.55555
  • SD of predictor
    0.04906
  • SD of criterion
    0.23626
  • Covariance
    -0.00032
  • r
    -0.02764
  • b (slope, estimate of beta)
    -0.13310
  • a (intercept, estimate of alpha)
    0.54859
  • Mean Square Error
    0.07437
  • DF error
    3.00000
  • t(b)
    -0.04789
  • p(b)
    0.51759
  • t(a)
    1.22797
  • p(a)
    0.15351
  • Lowerbound of 95% confidence interval for beta
    -8.97845
  • Upperbound of 95% confidence interval for beta
    8.71224
  • Lowerbound of 95% confidence interval for alpha
    -0.87316
  • Upperbound of 95% confidence interval for alpha
    1.97035
  • Treynor index (mean / b)
    -4.17383
  • Jensen alpha (a)
    0.54859
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06376
  • Expected Shortfall on VaR
    0.08978
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01134
  • Expected Shortfall on VaR
    0.02814
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.95091
  • Quartile 1
    1.02183
  • Median
    1.04179
  • Quartile 3
    1.11145
  • Maximum
    1.12498
  • Mean of quarter 1
    0.98637
  • Mean of quarter 2
    1.04179
  • Mean of quarter 3
    1.11145
  • Mean of quarter 4
    1.12498
  • Inter Quartile Range
    0.08963
  • 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
    1.00000
  • Minimum
    0.04909
  • Quartile 1
    0.04909
  • Median
    0.04909
  • Quartile 3
    0.04909
  • Maximum
    0.04909
  • 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)
    0.63768
  • Compounded annual return (geometric extrapolation)
    0.76033
  • Calmar ratio (compounded annual return / max draw down)
    15.48870
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    8.46890
  • 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
    0.62686
  • SD
    0.42217
  • Sharpe ratio (Glass type estimate)
    1.48485
  • Sharpe ratio (Hedges UMVUE)
    1.47784
  • df
    159.00000
  • t
    1.01266
  • p
    0.44909
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.39592
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.36108
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.40062
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.35629
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.09275
  • Upside Potential Ratio
    10.86560
  • Upside part of mean
    2.20232
  • Downside part of mean
    -1.57546
  • Upside SD
    0.37037
  • Downside SD
    0.20269
  • N nonnegative terms
    82.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    160.00000
  • Mean of predictor
    -0.03763
  • Mean of criterion
    0.62686
  • SD of predictor
    0.11072
  • SD of criterion
    0.42217
  • Covariance
    0.00989
  • r
    0.21169
  • b (slope, estimate of beta)
    0.80719
  • a (intercept, estimate of alpha)
    -0.17400
  • Mean Square Error
    0.17132
  • DF error
    158.00000
  • t(b)
    2.72262
  • p(b)
    0.39415
  • t(a)
    1.08274
  • p(a)
    0.45709
  • Lowerbound of 95% confidence interval for beta
    0.22162
  • Upperbound of 95% confidence interval for beta
    1.39275
  • Lowerbound of 95% confidence interval for alpha
    -0.54167
  • Upperbound of 95% confidence interval for alpha
    1.85614
  • Treynor index (mean / b)
    0.77660
  • Jensen alpha (a)
    0.65724
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.54159
  • SD
    0.40875
  • Sharpe ratio (Glass type estimate)
    1.32500
  • Sharpe ratio (Hedges UMVUE)
    1.31874
  • df
    159.00000
  • t
    0.90364
  • p
    0.45453
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.55460
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.20052
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.55878
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.19626
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.62252
  • Upside Potential Ratio
    10.35300
  • Upside part of mean
    2.13807
  • Downside part of mean
    -1.59647
  • Upside SD
    0.35247
  • Downside SD
    0.20652
  • N nonnegative terms
    82.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    160.00000
  • Mean of predictor
    -0.04373
  • Mean of criterion
    0.54159
  • SD of predictor
    0.11080
  • SD of criterion
    0.40875
  • Covariance
    0.00972
  • r
    0.21472
  • b (slope, estimate of beta)
    0.79212
  • a (intercept, estimate of alpha)
    0.57623
  • Mean Square Error
    0.16038
  • DF error
    158.00000
  • t(b)
    2.76341
  • p(b)
    0.39264
  • t(a)
    0.98107
  • p(a)
    0.46109
  • Lowerbound of 95% confidence interval for beta
    0.22597
  • Upperbound of 95% confidence interval for beta
    1.35827
  • Lowerbound of 95% confidence interval for alpha
    -0.58384
  • Upperbound of 95% confidence interval for alpha
    1.73630
  • Treynor index (mean / b)
    0.68373
  • Jensen alpha (a)
    0.57623
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03408
  • Expected Shortfall on VaR
    0.04290
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01024
  • Expected Shortfall on VaR
    0.02146
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    160.00000
  • Minimum
    0.94891
  • Quartile 1
    0.99644
  • Median
    1.00007
  • Quartile 3
    1.00491
  • Maximum
    1.13775
  • Mean of quarter 1
    0.98324
  • Mean of quarter 2
    0.99850
  • Mean of quarter 3
    1.00228
  • Mean of quarter 4
    1.02339
  • Inter Quartile Range
    0.00847
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.08750
  • Mean of outliers low
    0.96701
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.06875
  • Mean of outliers high
    1.06259
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.46624
  • VaR(95%) (moments method)
    0.01408
  • Expected Shortfall (moments method)
    0.03167
  • Extreme Value Index (regression method)
    -0.08956
  • VaR(95%) (regression method)
    0.01301
  • Expected Shortfall (regression method)
    0.01805
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00030
  • Quartile 1
    0.00161
  • Median
    0.00297
  • Quartile 3
    0.01923
  • Maximum
    0.15889
  • Mean of quarter 1
    0.00072
  • Mean of quarter 2
    0.00238
  • Mean of quarter 3
    0.00796
  • Mean of quarter 4
    0.10455
  • Inter Quartile Range
    0.01762
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.13083
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -11.10630
  • VaR(95%) (moments method)
    0.07008
  • Expected Shortfall (moments method)
    0.07008
  • Extreme Value Index (regression method)
    -3.13855
  • VaR(95%) (regression method)
    0.22592
  • Expected Shortfall (regression method)
    0.22690
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.62875
  • Compounded annual return (geometric extrapolation)
    0.73593
  • Calmar ratio (compounded annual return / max draw down)
    4.63170
  • Compounded annual return / average of 25% largest draw downs
    7.03911
  • Compounded annual return / Expected Shortfall lognormal
    17.15320
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.04500
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Max Equity Drawdown (num days)
    14

Strategy Description

Data is imported from Artificial Intelligence database and split into different categories using the differentials between the data. The results are used as a traffic light process to identify special market conditions using mean reversion. Depending on the sequences and time frames we can enter trading opportunities that yield between 4-15% and durations of 3-60 day periods.

Summary Statistics

Strategy began
2015-03-02
Suggested Minimum Capital
$100,000
# Trades
72
# Profitable
52
% Profitable
72.2%
Correlation S&P500
0.103
Sharpe Ratio
-0.17
Sortino Ratio
-0.24
Beta
0.14
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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