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Featured Strategy S2Prox0 Followed by live capital $145,000 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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MgF arbitrage twins
(92950603)

Created by: MgF_Strategies MgF_Strategies
Started: 06/2015
Options
Last trade: 2,962 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 $199.00 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.

-2.4%
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.

(70.2%)
Max Drawdown
122
Num Trades
62.3%
Win Trades
1.2 : 1
Profit Factor
48.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                   +33.1%+39.9%(47%)+58.7%+41.2%+6.4%(11.7%)+107.9%
2016+7.3%(1.2%)+18.3%+5.3%(8.7%)(6.1%)+7.6%(5.9%)+14.7%(3.3%)(7.6%)+2.3%+20.2%
2017+3.0%(9.2%)+8.8%(8.2%)(9%)+2.1%(10.2%)(10.5%)+0.6%+3.4%(2.6%)+2.6%(27.5%)
2018(2.1%)(17.5%)(10.1%)(6.3%)(2.3%)+0.8%(5.9%)+9.6%+85.2%(42%)(3.7%)(8.8%)(34.9%)
2019(8.2%)+1.0%(8.7%)(9.6%)+7.8%(7.1%)  -  (30.1%)+6.7%+13.7%+3.1%+4.3%(30.1%)
2020+168.4%(7.5%)(14.3%)+14.1%+2.6%+2.0%+1.2%+12.2%(1.2%)(1.5%)+3.9%+4.5%+204.6%
2021(0.8%)(0.3%)+7.3%+13.7%+5.3%(1.6%)(2.2%)(4.6%)(3.1%)+4.9%+0.7%(35.6%)(23.1%)
2022(2.7%)(1.4%)+0.9%+1.9%+0.2%(7%)  -  (2.8%)(3.2%)(2.1%)+5.3%+0.6%(10.4%)
2023+0.8%(2.2%)+1.0%(3.4%)+4.3%+2.0%(3.1%)(1%)+4.2%(2.5%)+6.2%(3.7%)+1.9%
2024(0.9%)+3.1%+0.3%(2.2%)                                                +0.2%

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

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Long
Short
Both
Win
Loss
Both
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Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/25/16 11:08 PHK PIMCO HIGH INCOME FUND COMMON LONG 5,000 7.55 2/24 13:51 7.95 0.67%
Trade id #100174229
Max drawdown($750)
Time2/11/16 14:19
Quant open5,000
Worst price7.40
Drawdown as % of equity-0.67%
 $1,995
Includes Typical Broker Commissions trade costs of $5.00
12/7/15 15:54 DPM DCP MIDSTREAM PARTNERS SHORT 700 21.37 2/23/16 9:30 17.48 2.53%
Trade id #98672954
Max drawdown($2,996)
Time12/24/15 10:20
Quant open-700
Worst price25.65
Drawdown as % of equity-2.53%
 $2,718
Includes Typical Broker Commissions trade costs of $5.00
11/6/15 9:30 MNRO MONRO INC LONG 210 72.01 1/26/16 9:34 64.19 2.4%
Trade id #98221498
Max drawdown($2,593)
Time1/20/16 12:30
Quant open210
Worst price59.66
Drawdown as % of equity-2.40%
 ($1,646)
Includes Typical Broker Commissions trade costs of $4.20
10/23/15 10:40 LRCX LAM RESEARCH SHORT 975 76.89 1/25/16 10:31 68.65 3.74%
Trade id #97976757
Max drawdown($4,293)
Time12/29/15 11:20
Quant open-975
Worst price81.29
Drawdown as % of equity-3.74%
 $8,018
Includes Typical Broker Commissions trade costs of $12.25
12/16/15 11:01 NOW SERVICENOW SHORT 175 85.46 12/21 12:18 86.40 0.42%
Trade id #98806020
Max drawdown($483)
Time12/17/15 9:56
Quant open-175
Worst price88.22
Drawdown as % of equity-0.42%
 ($169)
Includes Typical Broker Commissions trade costs of $3.50
12/16/15 10:59 ACHC ACADIA HEALTHCARE COMPANY LONG 245 61.21 12/21 11:22 62.77 0.21%
Trade id #98805962
Max drawdown($252)
Time12/16/15 13:05
Quant open245
Worst price60.18
Drawdown as % of equity-0.21%
 $377
Includes Typical Broker Commissions trade costs of $4.90
11/6/15 9:31 VNTV VANTIV SHORT 295 50.85 12/16 11:05 49.20 0.6%
Trade id #98221540
Max drawdown($769)
Time12/1/15 9:57
Quant open-295
Worst price53.46
Drawdown as % of equity-0.60%
 $481
Includes Typical Broker Commissions trade costs of $5.90
11/6/15 11:49 STMP STAMPS.COM SHORT 200 101.00 12/3 12:52 102.05 0.88%
Trade id #98226410
Max drawdown($1,086)
Time11/6/15 15:09
Quant open-200
Worst price106.43
Drawdown as % of equity-0.88%
 ($213)
Includes Typical Broker Commissions trade costs of $4.00
10/29/15 15:54 TOO TEEKAY OFFSHORE PARTNERS LONG 2,755 14.55 12/2 9:30 13.39 4.59%
Trade id #98094159
Max drawdown($5,614)
Time11/20/15 11:01
Quant open2,755
Worst price12.51
Drawdown as % of equity-4.59%
 ($3,200)
Includes Typical Broker Commissions trade costs of $10.00
11/6/15 13:34 TSRO TESARO LONG 450 45.72 12/1 14:21 52.25 0.38%
Trade id #98228534
Max drawdown($468)
Time11/9/15 9:31
Quant open450
Worst price44.68
Drawdown as % of equity-0.38%
 $2,930
Includes Typical Broker Commissions trade costs of $9.00
10/29/15 15:54 DPM DCP MIDSTREAM PARTNERS SHORT 1,430 27.99 12/1 10:45 25.10 0.6%
Trade id #98094172
Max drawdown($731)
Time11/3/15 13:06
Quant open-530
Worst price29.74
Drawdown as % of equity-0.60%
 $4,116
Includes Typical Broker Commissions trade costs of $11.10
10/19/15 9:37 ACHC ACADIA HEALTHCARE COMPANY LONG 840 60.09 11/5 10:28 70.11 4.13%
Trade id #97866658
Max drawdown($4,773)
Time10/22/15 14:10
Quant open840
Worst price54.41
Drawdown as % of equity-4.13%
 $8,403
Includes Typical Broker Commissions trade costs of $10.90
10/19/15 9:39 NOW SERVICENOW SHORT 650 76.77 11/5 10:27 83.85 4.04%
Trade id #97866727
Max drawdown($5,017)
Time11/5/15 10:02
Quant open-650
Worst price84.49
Drawdown as % of equity-4.04%
 ($4,610)
Includes Typical Broker Commissions trade costs of $9.00
10/16/15 10:56 MNRO MONRO INC SHORT 620 73.45 10/28 13:30 75.74 1.87%
Trade id #97843680
Max drawdown($2,203)
Time10/27/15 11:25
Quant open-620
Worst price77.00
Drawdown as % of equity-1.87%
 ($1,432)
Includes Typical Broker Commissions trade costs of $8.70
10/16/15 10:06 VNTV VANTIV LONG 975 46.63 10/28 11:28 51.21 0.08%
Trade id #97841520
Max drawdown($99)
Time10/21/15 15:25
Quant open330
Worst price45.67
Drawdown as % of equity-0.08%
 $4,455
Includes Typical Broker Commissions trade costs of $12.25
10/1/15 15:31 TOO TEEKAY OFFSHORE PARTNERS LONG 2,070 15.25 10/22 14:33 16.26 0.15%
Trade id #97558656
Max drawdown($124)
Time10/1/15 15:41
Quant open1,035
Worst price14.38
Drawdown as % of equity-0.15%
 $2,094
Includes Typical Broker Commissions trade costs of $7.50
10/1/15 15:34 DPM DCP MIDSTREAM PARTNERS SHORT 1,150 27.49 10/22 14:16 27.40 2.15%
Trade id #97558710
Max drawdown($2,308)
Time10/9/15 9:52
Quant open-577
Worst price30.00
Drawdown as % of equity-2.15%
 $102
Includes Typical Broker Commissions trade costs of $7.50
9/17/15 14:00 SKM SK TELECOM CO SHORT 1,855 24.26 10/21 9:39 25.30 2.11%
Trade id #97289884
Max drawdown($2,381)
Time10/19/15 10:43
Quant open-1,855
Worst price25.54
Drawdown as % of equity-2.11%
 ($1,946)
Includes Typical Broker Commissions trade costs of $10.00
9/17/15 14:04 LRCX LAM RESEARCH LONG 645 69.42 10/21 9:39 76.62 7.5%
Trade id #97290249
Max drawdown($5,298)
Time9/24/15 11:05
Quant open645
Worst price61.20
Drawdown as % of equity-7.50%
 $4,638
Includes Typical Broker Commissions trade costs of $8.95
9/16/15 15:50 PMF PIMCO MUNICIPAL INCOME COMMON SHORT 1,010 13.98 10/20 10:29 14.71 0.73%
Trade id #97269252
Max drawdown($818)
Time10/15/15 16:03
Quant open-1,010
Worst price14.79
Drawdown as % of equity-0.73%
 ($742)
Includes Typical Broker Commissions trade costs of $5.00
10/12/15 10:11 IPCI INTELLIPHARMACEUTICS LONG 15,000 1.77 10/20 10:12 1.86 0.55%
Trade id #97738885
Max drawdown($600)
Time10/12/15 10:18
Quant open15,000
Worst price1.73
Drawdown as % of equity-0.55%
 $1,393
Includes Typical Broker Commissions trade costs of $7.50
10/12/15 10:17 SYN SYNTHETIC BIOLOGICS LONG 15,000 2.34 10/19 10:42 2.44 2.51%
Trade id #97739115
Max drawdown($2,750)
Time10/14/15 10:32
Quant open15,000
Worst price2.16
Drawdown as % of equity-2.51%
 $1,390
Includes Typical Broker Commissions trade costs of $10.00
8/26/15 6:08 AUD/CAD AUD/CAD LONG 30 0.94924 10/12 11:16 0.95524 6.59%
Trade id #96853999
Max drawdown($5,714)
Time10/5/15 20:31
Quant open30
Worst price0.92455
Drawdown as % of equity-6.59%
 $1,389
8/10/15 8:53 AUD/USD AUD/USD LONG 128 0.72992 10/12 10:58 0.73095 83.29%
Trade id #96533817
Max drawdown($43,214)
Time9/4/15 17:00
Quant open110
Worst price0.69063
Drawdown as % of equity-83.29%
 $1,321
8/10/15 8:53 QGCV5 Gold 100 oz SHORT 7 1119.0 9/30 9:00 1115.6 66.39%
Trade id #96533806
Max drawdown($35,080)
Time8/24/15 9:32
Quant open-7
Worst price1169.1
Drawdown as % of equity-66.39%
 $2,314
Includes Typical Broker Commissions trade costs of $56.00
9/16/15 15:51 PML PIMCO MUNICIPAL INCOME II COMM LONG 1,200 11.73 9/17 14:08 11.80 0.02%
Trade id #97269270
Max drawdown($24)
Time9/16/15 16:00
Quant open1,200
Worst price11.71
Drawdown as % of equity-0.02%
 $79
Includes Typical Broker Commissions trade costs of $5.00
9/9/15 10:09 TOO TEEKAY OFFSHORE PARTNERS LONG 1,000 17.21 9/17 10:15 17.40 0.68%
Trade id #97120674
Max drawdown($640)
Time9/14/15 15:40
Quant open1,000
Worst price16.57
Drawdown as % of equity-0.68%
 $185
Includes Typical Broker Commissions trade costs of $5.00
9/9/15 9:39 DPM DCP MIDSTREAM PARTNERS SHORT 525 32.29 9/16 11:25 28.78 n/a $1,838
Includes Typical Broker Commissions trade costs of $5.00
9/9/15 10:26 LRCX LAM RESEARCH LONG 170 71.70 9/15 9:55 73.99 0.28%
Trade id #97121411
Max drawdown($238)
Time9/11/15 10:36
Quant open170
Worst price70.30
Drawdown as % of equity-0.28%
 $386
Includes Typical Broker Commissions trade costs of $3.40
9/9/15 10:23 SKM SK TELECOM CO SHORT 500 24.10 9/15 9:55 23.78 0.01%
Trade id #97121281
Max drawdown($5)
Time9/9/15 10:27
Quant open-500
Worst price24.11
Drawdown as % of equity-0.01%
 $150
Includes Typical Broker Commissions trade costs of $10.00
Next

Statistics

  • Strategy began
    6/4/2015
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    3235.16
  • Age
    108 months ago
  • What it trades
    Stocks, Options, Forex
  • # Trades
    122
  • # Profitable
    76
  • % Profitable
    62.30%
  • Avg trade duration
    112.8 days
  • Max peak-to-valley drawdown
    70.25%
  • drawdown period
    Oct 24, 2016 - April 26, 2019
  • Annual Return (Compounded)
    -2.4%
  • Avg win
    $3,382
  • Avg loss
    $5,093
  • Model Account Values (Raw)
  • Cash
    $41,988
  • Margin Used
    $0
  • Buying Power
    $17,715
  • Ratios
  • W:L ratio
    1.20:1
  • Sharpe Ratio
    0.26
  • Sortino Ratio
    0.67
  • Calmar Ratio
    0.559
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -49.31%
  • Correlation to SP500
    0.11460
  • Return Percent SP500 (cumu) during strategy life
    137.00%
  • Return Statistics
  • Ann Return (w trading costs)
    -2.4%
  • Slump
  • Current Slump as Pcnt Equity
    85.30%
  • Instruments
  • Percent Trades Futures
    0.12%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.31%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.024%
  • Instruments
  • Percent Trades Options
    0.37%
  • Percent Trades Stocks
    0.27%
  • Percent Trades Forex
    0.24%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    8.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    6.67%
  • 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
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $5,094
  • Avg Win
    $3,382
  • Sum Trade PL (losers)
    $234,321.000
  • Age
  • Num Months filled monthly returns table
    107
  • Win / Loss
  • Sum Trade PL (winners)
    $257,059.000
  • # Winners
    76
  • Num Months Winners
    53
  • Dividends
  • Dividends Received in Model Acct
    24252
  • Win / Loss
  • # Losers
    46
  • % Winners
    62.3%
  • Frequency
  • Avg Position Time (mins)
    162485.00
  • Avg Position Time (hrs)
    2708.08
  • Avg Trade Length
    112.8 days
  • Last Trade Ago
    2968
  • Regression
  • Alpha
    0.05
  • Beta
    0.50
  • Treynor Index
    0.14
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.08
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    82.24
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    67.86
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.09
  • MAE:Equity, average, winning trades
    0.06
  • MAE:Equity, average, losing trades
    0.11
  • Avg(MAE) / Avg(PL) - All trades
    -11.395
  • 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
    0.61
  • Avg(MAE) / Avg(PL) - Winning trades
    1.185
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.302
  • Hold-and-Hope Ratio
    0.037
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.52758
  • SD
    0.96713
  • Sharpe ratio (Glass type estimate)
    0.54551
  • Sharpe ratio (Hedges UMVUE)
    0.52103
  • df
    17.00000
  • t
    0.66811
  • p
    0.39860
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.07292
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.14830
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.08883
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13088
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.96271
  • Upside Potential Ratio
    2.84938
  • Upside part of mean
    1.56152
  • Downside part of mean
    -1.03394
  • Upside SD
    0.77862
  • Downside SD
    0.54802
  • N nonnegative terms
    10.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.20696
  • Mean of criterion
    0.52758
  • SD of predictor
    0.20376
  • SD of criterion
    0.96713
  • Covariance
    0.05047
  • r
    0.25614
  • b (slope, estimate of beta)
    1.21572
  • a (intercept, estimate of alpha)
    0.27598
  • Mean Square Error
    0.92860
  • DF error
    16.00000
  • t(b)
    1.05990
  • p(b)
    0.37193
  • t(a)
    0.33580
  • p(a)
    0.45817
  • Lowerbound of 95% confidence interval for beta
    -1.21584
  • Upperbound of 95% confidence interval for beta
    3.64728
  • Lowerbound of 95% confidence interval for alpha
    -1.46624
  • Upperbound of 95% confidence interval for alpha
    2.01819
  • Treynor index (mean / b)
    0.43396
  • Jensen alpha (a)
    0.27598
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09714
  • SD
    0.95400
  • Sharpe ratio (Glass type estimate)
    0.10182
  • Sharpe ratio (Hedges UMVUE)
    0.09725
  • df
    17.00000
  • t
    0.12471
  • p
    0.48076
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.50030
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.70104
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.50338
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.69789
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.14511
  • Upside Potential Ratio
    1.97797
  • Upside part of mean
    1.32412
  • Downside part of mean
    -1.22698
  • Upside SD
    0.64203
  • Downside SD
    0.66943
  • N nonnegative terms
    10.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.18591
  • Mean of criterion
    0.09714
  • SD of predictor
    0.19957
  • SD of criterion
    0.95400
  • Covariance
    0.06154
  • r
    0.32324
  • b (slope, estimate of beta)
    1.54519
  • a (intercept, estimate of alpha)
    -0.19012
  • Mean Square Error
    0.86596
  • DF error
    16.00000
  • t(b)
    1.36629
  • p(b)
    0.33838
  • t(a)
    -0.24116
  • p(a)
    0.53009
  • Lowerbound of 95% confidence interval for beta
    -0.85228
  • Upperbound of 95% confidence interval for beta
    3.94266
  • Lowerbound of 95% confidence interval for alpha
    -1.86137
  • Upperbound of 95% confidence interval for alpha
    1.48113
  • Treynor index (mean / b)
    0.06287
  • Jensen alpha (a)
    -0.19012
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.35911
  • Expected Shortfall on VaR
    0.42592
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.18659
  • Expected Shortfall on VaR
    0.34864
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    18.00000
  • Minimum
    0.57586
  • Quartile 1
    0.89324
  • Median
    1.03150
  • Quartile 3
    1.20692
  • Maximum
    1.59022
  • Mean of quarter 1
    0.72412
  • Mean of quarter 2
    0.96658
  • Mean of quarter 3
    1.08458
  • Mean of quarter 4
    1.40161
  • Inter Quartile Range
    0.31368
  • 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)
    -9.92565
  • VaR(95%) (moments method)
    0.23998
  • Expected Shortfall (moments method)
    0.23998
  • Extreme Value Index (regression method)
    -1.06329
  • VaR(95%) (regression method)
    0.33660
  • Expected Shortfall (regression method)
    0.36019
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.08283
  • Quartile 1
    0.10676
  • Median
    0.26944
  • Quartile 3
    0.46804
  • Maximum
    0.59976
  • Mean of quarter 1
    0.08283
  • Mean of quarter 2
    0.11474
  • Mean of quarter 3
    0.42414
  • Mean of quarter 4
    0.59976
  • Inter Quartile Range
    0.36128
  • 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)
    0.13754
  • Compounded annual return (geometric extrapolation)
    0.13320
  • Calmar ratio (compounded annual return / max draw down)
    0.22209
  • Compounded annual return / average of 25% largest draw downs
    0.22209
  • Compounded annual return / Expected Shortfall lognormal
    0.31274
  • 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
    0.45002
  • SD
    0.91937
  • Sharpe ratio (Glass type estimate)
    0.48949
  • Sharpe ratio (Hedges UMVUE)
    0.48858
  • df
    404.00000
  • t
    0.60858
  • p
    0.27157
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.08756
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06599
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.08820
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.06536
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.78739
  • Upside Potential Ratio
    7.10880
  • Upside part of mean
    4.06295
  • Downside part of mean
    -3.61293
  • Upside SD
    0.71922
  • Downside SD
    0.57154
  • N nonnegative terms
    215.00000
  • N negative terms
    190.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    405.00000
  • Mean of predictor
    0.21877
  • Mean of criterion
    0.45002
  • SD of predictor
    0.23244
  • SD of criterion
    0.91937
  • Covariance
    0.07098
  • r
    0.33217
  • b (slope, estimate of beta)
    1.31384
  • a (intercept, estimate of alpha)
    0.72000
  • Mean Square Error
    0.75385
  • DF error
    403.00000
  • t(b)
    7.06970
  • p(b)
    -0.00000
  • t(a)
    0.23243
  • p(a)
    0.40816
  • Lowerbound of 95% confidence interval for beta
    0.94850
  • Upperbound of 95% confidence interval for beta
    1.67918
  • Lowerbound of 95% confidence interval for alpha
    -1.21257
  • Upperbound of 95% confidence interval for alpha
    1.53775
  • Treynor index (mean / b)
    0.34252
  • Jensen alpha (a)
    0.16259
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05920
  • SD
    0.87677
  • Sharpe ratio (Glass type estimate)
    0.06752
  • Sharpe ratio (Hedges UMVUE)
    0.06739
  • df
    404.00000
  • t
    0.08394
  • p
    0.46657
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.50891
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.64394
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.50903
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.64381
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.09336
  • Upside Potential Ratio
    6.08594
  • Upside part of mean
    3.85890
  • Downside part of mean
    -3.79970
  • Upside SD
    0.60398
  • Downside SD
    0.63407
  • N nonnegative terms
    215.00000
  • N negative terms
    190.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    405.00000
  • Mean of predictor
    0.19102
  • Mean of criterion
    0.05920
  • SD of predictor
    0.23711
  • SD of criterion
    0.87677
  • Covariance
    0.07654
  • r
    0.36820
  • b (slope, estimate of beta)
    1.36152
  • a (intercept, estimate of alpha)
    -0.20088
  • Mean Square Error
    0.66616
  • DF error
    403.00000
  • t(b)
    7.94999
  • p(b)
    -0.00000
  • t(a)
    -0.30562
  • p(a)
    0.61997
  • Lowerbound of 95% confidence interval for beta
    1.02484
  • Upperbound of 95% confidence interval for beta
    1.69819
  • Lowerbound of 95% confidence interval for alpha
    -1.49300
  • Upperbound of 95% confidence interval for alpha
    1.09125
  • Treynor index (mean / b)
    0.04348
  • Jensen alpha (a)
    -0.20088
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08504
  • Expected Shortfall on VaR
    0.10533
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02985
  • Expected Shortfall on VaR
    0.06438
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    405.00000
  • Minimum
    0.65292
  • Quartile 1
    0.98482
  • Median
    1.00134
  • Quartile 3
    1.01950
  • Maximum
    1.70625
  • Mean of quarter 1
    0.95019
  • Mean of quarter 2
    0.99532
  • Mean of quarter 3
    1.00979
  • Mean of quarter 4
    1.05250
  • Inter Quartile Range
    0.03467
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.04938
  • Mean of outliers low
    0.87523
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.04198
  • Mean of outliers high
    1.13647
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.53630
  • VaR(95%) (moments method)
    0.05052
  • Expected Shortfall (moments method)
    0.12129
  • Extreme Value Index (regression method)
    0.31313
  • VaR(95%) (regression method)
    0.04353
  • Expected Shortfall (regression method)
    0.07611
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00056
  • Quartile 1
    0.00952
  • Median
    0.01895
  • Quartile 3
    0.06702
  • Maximum
    0.65536
  • Mean of quarter 1
    0.00436
  • Mean of quarter 2
    0.01294
  • Mean of quarter 3
    0.03224
  • Mean of quarter 4
    0.32511
  • Inter Quartile Range
    0.05750
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.38626
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.20228
  • VaR(95%) (moments method)
    0.24993
  • Expected Shortfall (moments method)
    0.27147
  • Extreme Value Index (regression method)
    -0.35868
  • VaR(95%) (regression method)
    0.52626
  • Expected Shortfall (regression method)
    0.68310
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.09324
  • Compounded annual return (geometric extrapolation)
    0.09101
  • Calmar ratio (compounded annual return / max draw down)
    0.13887
  • Compounded annual return / average of 25% largest draw downs
    0.27993
  • Compounded annual return / Expected Shortfall lognormal
    0.86401
  • 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
    -1.00906
  • SD
    1.28892
  • Sharpe ratio (Glass type estimate)
    -0.78287
  • Sharpe ratio (Hedges UMVUE)
    -0.77835
  • df
    130.00000
  • t
    -0.55357
  • p
    0.52425
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.55486
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.99202
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.55177
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.99507
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.36646
  • Upside Potential Ratio
    5.69750
  • Upside part of mean
    4.20729
  • Downside part of mean
    -5.21634
  • Upside SD
    1.05224
  • Downside SD
    0.73845
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.53314
  • Mean of criterion
    -1.00906
  • SD of predictor
    0.31732
  • SD of criterion
    1.28892
  • Covariance
    0.12861
  • r
    0.31445
  • b (slope, estimate of beta)
    1.27726
  • a (intercept, estimate of alpha)
    -1.69001
  • Mean Square Error
    1.50864
  • DF error
    129.00000
  • t(b)
    3.76232
  • p(b)
    0.30316
  • t(a)
    -0.96769
  • p(a)
    0.55398
  • Lowerbound of 95% confidence interval for beta
    0.60557
  • Upperbound of 95% confidence interval for beta
    1.94894
  • Lowerbound of 95% confidence interval for alpha
    -5.14537
  • Upperbound of 95% confidence interval for alpha
    1.76536
  • Treynor index (mean / b)
    -0.79002
  • Jensen alpha (a)
    -1.69001
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.72834
  • SD
    1.17420
  • Sharpe ratio (Glass type estimate)
    -1.47192
  • Sharpe ratio (Hedges UMVUE)
    -1.46341
  • df
    130.00000
  • t
    -1.04081
  • p
    0.54545
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.24672
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.30844
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.24092
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.31409
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.05978
  • Upside Potential Ratio
    4.54044
  • Upside part of mean
    3.80984
  • Downside part of mean
    -5.53817
  • Upside SD
    0.82192
  • Downside SD
    0.83909
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.48042
  • Mean of criterion
    -1.72834
  • SD of predictor
    0.32801
  • SD of criterion
    1.17420
  • Covariance
    0.14202
  • r
    0.36872
  • b (slope, estimate of beta)
    1.31994
  • a (intercept, estimate of alpha)
    -2.36246
  • Mean Square Error
    1.20054
  • DF error
    129.00000
  • t(b)
    4.50533
  • p(b)
    0.27070
  • t(a)
    -1.51837
  • p(a)
    0.58411
  • VAR (95 Confidence Intrvl)
    0.10400
  • Lowerbound of 95% confidence interval for beta
    0.74028
  • Upperbound of 95% confidence interval for beta
    1.89959
  • Lowerbound of 95% confidence interval for alpha
    -5.44088
  • Upperbound of 95% confidence interval for alpha
    0.71597
  • Treynor index (mean / b)
    -1.30941
  • Jensen alpha (a)
    -2.36246
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11831
  • Expected Shortfall on VaR
    0.14433
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04953
  • Expected Shortfall on VaR
    0.10010
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.65292
  • Quartile 1
    0.97455
  • Median
    0.99772
  • Quartile 3
    1.01659
  • Maximum
    1.70625
  • Mean of quarter 1
    0.93376
  • Mean of quarter 2
    0.98763
  • Mean of quarter 3
    1.00604
  • Mean of quarter 4
    1.05789
  • Inter Quartile Range
    0.04204
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.81898
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.70625
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.34107
  • VaR(95%) (moments method)
    0.06654
  • Expected Shortfall (moments method)
    0.11738
  • Extreme Value Index (regression method)
    0.43016
  • VaR(95%) (regression method)
    0.06216
  • Expected Shortfall (regression method)
    0.11757
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.60035
  • Quartile 1
    0.60035
  • Median
    0.60035
  • Quartile 3
    0.60035
  • Maximum
    0.60035
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -58
  • Max Equity Drawdown (num days)
    914
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.14535
  • Compounded annual return (geometric extrapolation)
    -0.81739
  • Calmar ratio (compounded annual return / max draw down)
    -1.36154
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -5.66331

Strategy Description

This is a multiple strategies system.
The goal is to benefit from arbitrages and options' strategies by exploiting the different underlying volatilities, constantly monitoring and trying to minimize the Risk/Reward ratio.
In the first months of the system the majority of the trades was with underlying forex crosses.
But in august 2015 we have noticed that this market sector was driven and has been shaken only by political decision causing an intollerable volatility.
So, from middle september 2015, we have progressively modified the underlying of the strategies excluding the forex market.
From this modification the maximum drawdown of the system has been well below 10%.
If you need more details do not hesitate to contact me by e-mail.



Kind regards.
Marco
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2015-06-04
Suggested Minimum Capital
$25,000
# Trades
122
# Profitable
76
% Profitable
62.3%
Net Dividends
$24,251
Correlation S&P500
0.115
Sharpe Ratio
0.26
Sortino Ratio
0.67
Beta
0.50
Alpha
0.05

Latest Activity

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

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

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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.
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  • "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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