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Featured Strategy S2Prox0 Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more
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Barbarossa42515666
(94069141)

Created by: AndrewBritton AndrewBritton
Started: 04/2015
Options
Last trade: 3,164 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 $399.00 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.

204.3%
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.

(17.7%)
Max Drawdown
53
Num Trades
45.3%
Win Trades
0.3 : 1
Profit Factor
20.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                     +3.4%+15.7%+10.4%+12.6%(18.3%)(1.1%)(10.1%)(3.4%)(6.1%)(2%)
2016+75.4%+8.1%+1.2%+0.2%+1.1%+46.3%(9.9%)+0.9%(5.8%)(19.3%)(49.5%)(17.8%)(18.4%)
2017(11.7%)(23.1%)+15.0%+6.9%+0.6%+29.5%(22.5%)+55.5%(36.1%)(41.1%)+29.6%+3.0%(34.1%)
2018(135.1%)(148.3%)(122.4%)(270.9%)(56%)(173.8%)(159.5%)(21.2%)(40.5%)(13.2%)(31.5%)(178.5%)(17.1%)
2019(76.4%)(205.2%)(127.1%)(1460.4%)(58.9%)(420.8%)(82.9%)+1718.1%(22.4%)(37.9%)(15.6%)(80.9%)(70.9%)
2020+410.5%+112.2%+149.8%(26.5%)(32.9%)(21.8%)(0.4%)(119.2%)(386.2%)(133.1%)(103.6%)(125%)(966.4%)
2021(45.5%)(42.6%)(24.4%)(17.9%)(3.5%)(4.9%)(4.7%)(10.3%)(4.5%)(16.7%)(11.4%)(1.2%)(297.2%)
2022(22.3%)(1%)(35.5%)(6.7%)(16.5%)(9.4%)(6.1%)(14.1%)(7.4%)(27.4%)(14.2%)(12.5%)-
2023(26%)(0.3%)(0.8%)(1.8%)(29.1%)(5.2%)(12.6%)(1.1%)(3.6%)(3.8%)(11.6%)(2.3%)(117.7%)
2024(5.5%)(9.2%)(3.3%)(2.4%)                                                (16.2%)

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 50 hours.

Trading Record

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/17/15 10:29 QQQ1528H111 QQQ Aug28'15 111 call LONG 12 0.93 8/28 11:59 0.10 2.57%
Trade id #96673974
Max drawdown($990)
Time8/24/15 22:21
Quant open12
Worst price0.00
Drawdown as % of equity-2.57%
 ($1,003)
Includes Typical Broker Commissions trade costs of $12.60
8/17/15 10:28 QQQ1528T110 QQQ Aug28'15 110 put LONG 12 0.89 8/28 11:59 1.02 1.36%
Trade id #96673934
Max drawdown($432)
Time8/17/15 16:11
Quant open12
Worst price0.53
Drawdown as % of equity-1.36%
 $149
Includes Typical Broker Commissions trade costs of $12.60
8/17/15 9:47 TLT1521H125 TLT Aug21'15 125 call LONG 16 0.69 8/22 9:09 0.00 3.08%
Trade id #96672666
Max drawdown($1,104)
Time8/22/15 9:09
Quant open0
Worst price0.00
Drawdown as % of equity-3.08%
 ($1,115)
Includes Typical Broker Commissions trade costs of $11.20
8/17/15 9:46 TLT1521T124.5 TLT Aug21'15 124.5 put LONG 16 0.76 8/22 9:09 0.00 3.4%
Trade id #96672650
Max drawdown($1,216)
Time8/22/15 9:09
Quant open0
Worst price0.00
Drawdown as % of equity-3.40%
 ($1,227)
Includes Typical Broker Commissions trade costs of $11.20
8/3/15 10:07 QQQ1514H112.5 QQQ Aug14'15 112.5 call LONG 15 0.76 8/15 9:00 0.00 3.54%
Trade id #96219014
Max drawdown($1,140)
Time8/15/15 9:00
Quant open0
Worst price0.00
Drawdown as % of equity-3.54%
 ($1,151)
Includes Typical Broker Commissions trade costs of $10.50
8/3/15 10:05 QQQ1514T111.5 QQQ Aug14'15 111.5 put LONG 15 0.84 8/11 13:36 1.87 2.06%
Trade id #96218977
Max drawdown($645)
Time8/5/15 11:03
Quant open15
Worst price0.41
Drawdown as % of equity-2.06%
 $1,517
Includes Typical Broker Commissions trade costs of $21.00
8/1/15 9:00 AAPL APPLE SHORT 1,200 122.00 8/3 10:00 121.88 2.1%
Trade id #96204891
Max drawdown($684)
Time8/3/15 9:42
Quant open-1,200
Worst price122.57
Drawdown as % of equity-2.10%
 $139
Includes Typical Broker Commissions trade costs of $5.00
7/28/15 14:39 AAPL1531G124 AAPL Jul31'15 124 call LONG 25 0.74 8/1 9:00 0.00 5.72%
Trade id #96113031
Max drawdown($1,850)
Time8/1/15 9:00
Quant open0
Worst price0.00
Drawdown as % of equity-5.72%
 ($1,868)
Includes Typical Broker Commissions trade costs of $17.50
7/28/15 14:39 AAPL1531S122 AAPL Jul31'15 122 put LONG 25 0.28 8/1 9:00 0.23 0.36%
Trade id #96113016
Max drawdown($115)
Time8/1/15 9:00
Quant open13
Worst price0.00
Drawdown as % of equity-0.36%
 ($142)
Includes Typical Broker Commissions trade costs of $26.60
7/20/15 9:55 TLT1524S118 TLT Jul24'15 118 put LONG 25 0.79 7/25 9:01 0.00 5.87%
Trade id #95961987
Max drawdown($1,975)
Time7/25/15 9:01
Quant open0
Worst price0.00
Drawdown as % of equity-5.87%
 ($1,993)
Includes Typical Broker Commissions trade costs of $17.50
7/20/15 9:56 TLT1524G118.5 TLT Jul24'15 118.5 call LONG 25 0.63 7/22 12:35 1.22 1.85%
Trade id #95962017
Max drawdown($625)
Time7/21/15 9:31
Quant open25
Worst price0.38
Drawdown as % of equity-1.85%
 $1,440
Includes Typical Broker Commissions trade costs of $35.00
7/13/15 9:52 QQQ1517S108.5 QQQ Jul17'15 108.5 put LONG 22 0.55 7/18 9:05 0.00 3.54%
Trade id #95850980
Max drawdown($1,210)
Time7/18/15 9:05
Quant open0
Worst price0.00
Drawdown as % of equity-3.54%
 ($1,225)
Includes Typical Broker Commissions trade costs of $15.40
7/13/15 9:54 BIDU1517S187.5 BIDU Jul17'15 187.5 put LONG 8 1.75 7/18 9:05 0.00 4.1%
Trade id #95851047
Max drawdown($1,400)
Time7/18/15 9:05
Quant open0
Worst price0.00
Drawdown as % of equity-4.10%
 ($1,406)
Includes Typical Broker Commissions trade costs of $5.60
7/13/15 9:57 BIDU1517G192.5 BIDU Jul17'15 192.5 call LONG 8 2.14 7/17 9:42 4.35 4.98%
Trade id #95851190
Max drawdown($1,568)
Time7/16/15 14:02
Quant open8
Worst price0.18
Drawdown as % of equity-4.98%
 $1,757
Includes Typical Broker Commissions trade costs of $11.20
7/13/15 9:56 QQQ1517G108.5 QQQ Jul17'15 108.5 call LONG 22 1.05 7/15 10:29 2.06 n/a $2,202
Includes Typical Broker Commissions trade costs of $30.80
7/8/15 10:02 NFLX1510S647.5 NFLX Jul10'15 647.5 put LONG 4 6.70 7/10 9:46 0.15 8.63%
Trade id #95767683
Max drawdown($2,620)
Time7/10/15 9:46
Quant open2
Worst price0.01
Drawdown as % of equity-8.63%
 ($2,626)
Includes Typical Broker Commissions trade costs of $5.60
7/8/15 10:03 NFLX1510G660 NFLX Jul10'15 660 call LONG 4 2.89 7/10 9:46 15.92 0.54%
Trade id #95767795
Max drawdown($160)
Time7/8/15 11:57
Quant open4
Worst price2.49
Drawdown as % of equity-0.54%
 $5,208
Includes Typical Broker Commissions trade costs of $5.60
7/6/15 10:59 BIDU1510G192.5 BIDU Jul10'15 192.5 call LONG 8 1.90 7/7 11:06 0.51 4.3%
Trade id #95719802
Max drawdown($1,344)
Time7/7/15 10:37
Quant open8
Worst price0.22
Drawdown as % of equity-4.30%
 ($1,127)
Includes Typical Broker Commissions trade costs of $11.20
7/6/15 10:56 BIDU1510S187.5 BIDU Jul10'15 187.5 put LONG 8 1.95 7/7 11:06 5.62 0.54%
Trade id #95719729
Max drawdown($152)
Time7/6/15 12:53
Quant open8
Worst price1.76
Drawdown as % of equity-0.54%
 $2,929
Includes Typical Broker Commissions trade costs of $11.20
6/22/15 10:37 AMZN1526R432.5 AMZN Jun26'15 432.5 put LONG 6 2.52 6/23 15:05 0.46 4.68%
Trade id #95331162
Max drawdown($1,242)
Time6/23/15 13:42
Quant open6
Worst price0.45
Drawdown as % of equity-4.68%
 ($1,244)
Includes Typical Broker Commissions trade costs of $8.40
6/22/15 10:40 AMZN1526F442.5 AMZN Jun26'15 442.5 call LONG 6 2.02 6/23 15:05 5.83 2.46%
Trade id #95331232
Max drawdown($660)
Time6/23/15 10:03
Quant open6
Worst price0.92
Drawdown as % of equity-2.46%
 $2,275
Includes Typical Broker Commissions trade costs of $8.40
6/19/15 15:43 GOOG1526R530 GOOG Jun26'15 530 put LONG 5 2.05 6/22 10:33 0.60 2.83%
Trade id #95182976
Max drawdown($775)
Time6/22/15 10:21
Quant open5
Worst price0.50
Drawdown as % of equity-2.83%
 ($732)
Includes Typical Broker Commissions trade costs of $7.00
6/19/15 15:47 GOOG1526F540 GOOG Jun26'15 540 call LONG 5 2.45 6/22 10:32 5.20 n/a $1,368
Includes Typical Broker Commissions trade costs of $7.00
6/15/15 12:49 NFLX1519R640 NFLX Jun19'15 640 put LONG 2 4.35 6/20 9:10 0.00 3.27%
Trade id #95016539
Max drawdown($870)
Time6/20/15 9:10
Quant open0
Worst price0.00
Drawdown as % of equity-3.27%
 ($871)
Includes Typical Broker Commissions trade costs of $1.40
6/15/15 12:56 NFLX1519F655 NFLX Jun19'15 655 call LONG 2 5.25 6/18 15:38 9.57 0.28%
Trade id #95016709
Max drawdown($70)
Time6/15/15 13:32
Quant open2
Worst price4.90
Drawdown as % of equity-0.28%
 $862
Includes Typical Broker Commissions trade costs of $3.40
6/15/15 12:34 SPY1519F209.5 SPY Jun19'15 209.5 call LONG 9 1.19 6/18 11:26 3.19 1.22%
Trade id #95016290
Max drawdown($306)
Time6/17/15 14:01
Quant open9
Worst price0.85
Drawdown as % of equity-1.22%
 $1,787
Includes Typical Broker Commissions trade costs of $12.60
6/15/15 12:38 QQQ1526R107 QQQ Jun26'15 107 put LONG 12 0.99 6/18 11:19 0.15 4.21%
Trade id #95016425
Max drawdown($1,020)
Time6/18/15 10:58
Quant open12
Worst price0.14
Drawdown as % of equity-4.21%
 ($1,025)
Includes Typical Broker Commissions trade costs of $16.80
6/15/15 12:41 QQQ1526F108 QQQ Jun26'15 108 call LONG 12 1.15 6/18 11:18 2.56 0.09%
Trade id #95016459
Max drawdown($24)
Time6/16/15 9:31
Quant open12
Worst price1.13
Drawdown as % of equity-0.09%
 $1,675
Includes Typical Broker Commissions trade costs of $16.80
6/15/15 12:30 SPY1519R207.5 SPY Jun19'15 207.5 put LONG 9 1.40 6/18 10:19 0.05 5.01%
Trade id #95016131
Max drawdown($1,215)
Time6/18/15 10:18
Quant open9
Worst price0.05
Drawdown as % of equity-5.01%
 ($1,228)
Includes Typical Broker Commissions trade costs of $12.60
6/8/15 9:49 TLT1512F118 TLT Jun12'15 118 call LONG 20 0.83 6/12 11:42 0.52 6.24%
Trade id #94863513
Max drawdown($1,580)
Time6/10/15 15:28
Quant open20
Worst price0.04
Drawdown as % of equity-6.24%
 ($648)
Includes Typical Broker Commissions trade costs of $28.00
Next

Statistics

  • Strategy began
    4/26/2015
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    3286.8
  • Age
    110 months ago
  • What it trades
    Options
  • # Trades
    53
  • # Profitable
    24
  • % Profitable
    45.30%
  • Avg trade duration
    123.0 days
  • Max peak-to-valley drawdown
    17.74%
  • drawdown period
    Aug 24, 2015 - Aug 25, 2015
  • Cumul. Return
    45.8%
  • Avg win
    $1,604
  • Avg loss
    $9,583
  • Model Account Values (Raw)
  • Cash
    $27,415
  • Margin Used
    $99,000
  • Buying Power
    ($320,050)
  • Ratios
  • W:L ratio
    0.26:1
  • Sharpe Ratio
    0.27
  • Sortino Ratio
    0.45
  • Calmar Ratio
    -0.996
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    54.56%
  • Correlation to SP500
    -0.23810
  • Return Percent SP500 (cumu) during strategy life
    138.39%
  • Return Statistics
  • Ann Return (w trading costs)
    204.2%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.45%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.458%
  • Instruments
  • Percent Trades Options
    0.97%
  • Percent Trades Stocks
    0.03%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    11.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    333
  • Popularity (Last 6 weeks)
    947
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    836
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $9,584
  • Avg Win
    $1,605
  • Sum Trade PL (losers)
    $277,925.000
  • Age
  • Num Months filled monthly returns table
    34
  • Win / Loss
  • Sum Trade PL (winners)
    $38,511.000
  • # Winners
    24
  • Num Months Winners
    18
  • Dividends
  • Dividends Received in Model Acct
    32364
  • Win / Loss
  • # Losers
    29
  • % Winners
    45.3%
  • Frequency
  • Avg Position Time (mins)
    177185.00
  • Avg Position Time (hrs)
    2953.08
  • Avg Trade Length
    123.0 days
  • Last Trade Ago
    2991
  • Regression
  • Alpha
    0.00
  • Beta
    -3.31
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    11.49
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    4.92
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.36
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    -1.262
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.243
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.075
  • Hold-and-Hope Ratio
    0.139
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.58891
  • SD
    0.49879
  • Sharpe ratio (Glass type estimate)
    3.18555
  • Sharpe ratio (Hedges UMVUE)
    2.30507
  • df
    3.00000
  • t
    1.83918
  • p
    0.08159
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.13972
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.20532
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.55837
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.16851
  • Statistics related to Sortino ratio
  • Sortino ratio
    18.33020
  • Upside Potential Ratio
    20.06220
  • Upside part of mean
    1.73905
  • Downside part of mean
    -0.15014
  • Upside SD
    0.62407
  • Downside SD
    0.08668
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    -0.12626
  • Mean of criterion
    1.58891
  • SD of predictor
    0.06387
  • SD of criterion
    0.49879
  • Covariance
    0.02683
  • r
    0.84220
  • b (slope, estimate of beta)
    6.57708
  • a (intercept, estimate of alpha)
    2.41936
  • Mean Square Error
    0.10849
  • DF error
    2.00000
  • t(b)
    2.20902
  • p(b)
    0.07890
  • t(a)
    3.54112
  • p(a)
    0.03566
  • Lowerbound of 95% confidence interval for beta
    -6.23352
  • Upperbound of 95% confidence interval for beta
    19.38770
  • Lowerbound of 95% confidence interval for alpha
    -0.52029
  • Upperbound of 95% confidence interval for alpha
    5.35901
  • Treynor index (mean / b)
    0.24158
  • Jensen alpha (a)
    2.41936
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.41549
  • SD
    0.45305
  • Sharpe ratio (Glass type estimate)
    3.12433
  • Sharpe ratio (Hedges UMVUE)
    2.26077
  • df
    3.00000
  • t
    1.80383
  • p
    0.08452
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.17366
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.11773
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.58588
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.10741
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.93100
  • Upside Potential Ratio
    17.66310
  • Upside part of mean
    1.56938
  • Downside part of mean
    -0.15390
  • Upside SD
    0.55948
  • Downside SD
    0.08885
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    -0.12841
  • Mean of criterion
    1.41549
  • SD of predictor
    0.06505
  • SD of criterion
    0.45305
  • Covariance
    0.02534
  • r
    0.85980
  • b (slope, estimate of beta)
    5.98834
  • a (intercept, estimate of alpha)
    2.18443
  • Mean Square Error
    0.08028
  • DF error
    2.00000
  • t(b)
    2.38129
  • p(b)
    0.07010
  • t(a)
    3.71846
  • p(a)
    0.03266
  • Lowerbound of 95% confidence interval for beta
    -4.83175
  • Upperbound of 95% confidence interval for beta
    16.80840
  • Lowerbound of 95% confidence interval for alpha
    -0.34319
  • Upperbound of 95% confidence interval for alpha
    4.71204
  • Treynor index (mean / b)
    0.23637
  • Jensen alpha (a)
    2.18443
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09259
  • Expected Shortfall on VaR
    0.13986
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01777
  • Expected Shortfall on VaR
    0.03916
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.95078
  • Quartile 1
    1.05162
  • Median
    1.16442
  • Quartile 3
    1.24603
  • Maximum
    1.25333
  • Mean of quarter 1
    0.95078
  • Mean of quarter 2
    1.08524
  • Mean of quarter 3
    1.24360
  • Mean of quarter 4
    1.25333
  • Inter Quartile Range
    0.19441
  • 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
    0.04922
  • Quartile 1
    0.04922
  • Median
    0.04922
  • Quartile 3
    0.04922
  • Maximum
    0.04922
  • 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)
    1.82475
  • Compounded annual return (geometric extrapolation)
    3.15969
  • Calmar ratio (compounded annual return / max draw down)
    64.19950
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    22.59150
  • 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
    1.89033
  • SD
    0.40858
  • Sharpe ratio (Glass type estimate)
    4.62661
  • Sharpe ratio (Hedges UMVUE)
    4.59738
  • df
    119.00000
  • t
    2.73259
  • p
    0.34685
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.24729
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.98722
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.22792
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.96685
  • Statistics related to Sortino ratio
  • Sortino ratio
    13.83370
  • Upside Potential Ratio
    21.71940
  • Upside part of mean
    2.96789
  • Downside part of mean
    -1.07756
  • Upside SD
    0.39656
  • Downside SD
    0.13665
  • N nonnegative terms
    44.00000
  • N negative terms
    76.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    120.00000
  • Mean of predictor
    -0.26315
  • Mean of criterion
    1.89033
  • SD of predictor
    0.14277
  • SD of criterion
    0.40858
  • Covariance
    -0.00869
  • r
    -0.14893
  • b (slope, estimate of beta)
    -0.42620
  • a (intercept, estimate of alpha)
    19914.00000
  • Mean Square Error
    0.16462
  • DF error
    118.00000
  • t(b)
    -1.63600
  • p(b)
    0.57446
  • t(a)
    2.57571
  • p(a)
    0.38464
  • Lowerbound of 95% confidence interval for beta
    -0.94210
  • Upperbound of 95% confidence interval for beta
    0.08969
  • Lowerbound of 95% confidence interval for alpha
    0.41107
  • Upperbound of 95% confidence interval for alpha
    3.14529
  • Treynor index (mean / b)
    -4.43528
  • Jensen alpha (a)
    1.77818
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.80609
  • SD
    0.39573
  • Sharpe ratio (Glass type estimate)
    4.56392
  • Sharpe ratio (Hedges UMVUE)
    4.53509
  • df
    119.00000
  • t
    2.69556
  • p
    0.34876
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.18599
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.92331
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.16699
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.90320
  • Statistics related to Sortino ratio
  • Sortino ratio
    13.04010
  • Upside Potential Ratio
    20.88860
  • Upside part of mean
    2.89313
  • Downside part of mean
    -1.08703
  • Upside SD
    0.38157
  • Downside SD
    0.13850
  • N nonnegative terms
    44.00000
  • N negative terms
    76.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    120.00000
  • Mean of predictor
    -0.27344
  • Mean of criterion
    1.80609
  • SD of predictor
    0.14377
  • SD of criterion
    0.39573
  • Covariance
    -0.00875
  • r
    -0.15374
  • b (slope, estimate of beta)
    -0.42320
  • a (intercept, estimate of alpha)
    1.69037
  • Mean Square Error
    0.15420
  • DF error
    118.00000
  • t(b)
    -1.69018
  • p(b)
    0.57687
  • t(a)
    2.52908
  • p(a)
    0.38662
  • Lowerbound of 95% confidence interval for beta
    -0.91903
  • Upperbound of 95% confidence interval for beta
    0.07263
  • Lowerbound of 95% confidence interval for alpha
    0.36681
  • Upperbound of 95% confidence interval for alpha
    3.01393
  • Treynor index (mean / b)
    -4.26772
  • Jensen alpha (a)
    1.69037
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02940
  • Expected Shortfall on VaR
    0.03799
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00829
  • Expected Shortfall on VaR
    0.01671
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    120.00000
  • Minimum
    0.96008
  • Quartile 1
    0.99674
  • Median
    1.00000
  • Quartile 3
    1.00773
  • Maximum
    1.13339
  • Mean of quarter 1
    0.98851
  • Mean of quarter 2
    0.99904
  • Mean of quarter 3
    1.00181
  • Mean of quarter 4
    1.03275
  • Inter Quartile Range
    0.01099
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03333
  • Mean of outliers low
    0.96836
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.11667
  • Mean of outliers high
    1.05343
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.30977
  • VaR(95%) (moments method)
    0.01057
  • Expected Shortfall (moments method)
    0.01873
  • Extreme Value Index (regression method)
    0.24187
  • VaR(95%) (regression method)
    0.01066
  • Expected Shortfall (regression method)
    0.01772
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00412
  • Median
    0.00972
  • Quartile 3
    0.03335
  • Maximum
    0.07766
  • Mean of quarter 1
    0.00111
  • Mean of quarter 2
    0.00684
  • Mean of quarter 3
    0.02205
  • Mean of quarter 4
    0.06163
  • Inter Quartile Range
    0.02924
  • 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
    0.08333
  • Mean of outliers high
    0.07766
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -165.77200
  • VaR(95%) (moments method)
    0.06210
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.57727
  • VaR(95%) (regression method)
    0.12111
  • Expected Shortfall (regression method)
    0.12140
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.53471
  • Compounded annual return (geometric extrapolation)
    5.14748
  • Calmar ratio (compounded annual return / max draw down)
    66.28620
  • Compounded annual return / average of 25% largest draw downs
    83.52060
  • Compounded annual return / Expected Shortfall lognormal
    135.49900
  • 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)
    0.90600
  • 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
    0.50%
  • Max Equity Drawdown (num days)
    1

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2015-04-26
Suggested Minimum Capital
$20,000
# Trades
53
# Profitable
24
% Profitable
45.3%
Net Dividends
$32,363
Correlation S&P500
-0.238
Sharpe Ratio
0.27
Sortino Ratio
0.45
Beta
-3.31
Alpha
0.00

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.

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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