Collective2 Collective2
Featured Strategy Easiest +109.2% Annual Return (Compounded) since Mar 27, 2023 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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SS121
(95805421)

Created by: grego_strata grego_strata
Started: 07/2015
Stocks
Last trade: 3,058 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. You can subscribe to this system for free.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

-3.2%
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.

(10.4%)
Max Drawdown
104
Num Trades
60.6%
Win Trades
1.3 : 1
Profit Factor
1.0%
Win Months

These results assume non-typical margin use. Learn more

Results on this page assume using a brokerage account that allows 30.30% margin on stock trades.

Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                          +2.4%(1.5%)(2.7%)(0.5%)(0.5%)(0.5%)(3.2%)
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

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

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/11/15 10:57 JNJ JOHNSON & JOHNSON LONG 300 101.51 12/11 11:07 101.74 0.11%
Trade id #98746490
Max drawdown($11)
Time12/11/15 11:06
Quant open300
Worst price101.47
Drawdown as % of equity-0.11%
 $63
Includes Typical Broker Commissions trade costs of $6.00
12/8/15 10:04 JNJ JOHNSON & JOHNSON LONG 290 102.38 12/8 10:15 102.46 0.58%
Trade id #98685441
Max drawdown($58)
Time12/8/15 10:12
Quant open290
Worst price102.18
Drawdown as % of equity-0.58%
 $17
Includes Typical Broker Commissions trade costs of $5.80
12/3/15 10:37 JNJ JOHNSON & JOHNSON LONG 300 101.00 12/3 10:43 101.15 0.08%
Trade id #98624859
Max drawdown($7)
Time12/3/15 10:41
Quant open300
Worst price100.97
Drawdown as % of equity-0.08%
 $39
Includes Typical Broker Commissions trade costs of $6.00
12/2/15 14:08 AAPL APPLE LONG 260 117.09 12/2 14:38 116.85 1.08%
Trade id #98608383
Max drawdown($106)
Time12/2/15 14:34
Quant open260
Worst price116.68
Drawdown as % of equity-1.08%
 ($67)
Includes Typical Broker Commissions trade costs of $5.20
12/2/15 10:34 EMR EMERSON ELECTRIC LONG 610 49.35 12/2 10:54 49.46 n/a $62
Includes Typical Broker Commissions trade costs of $5.00
12/1/15 13:23 GILD GILEAD SCIENCES LONG 280 105.68 12/1 13:26 105.34 0.95%
Trade id #98587855
Max drawdown($95)
Time12/1/15 13:26
Quant open0
Worst price105.34
Drawdown as % of equity-0.95%
 ($101)
Includes Typical Broker Commissions trade costs of $5.60
12/1/15 10:17 EMR EMERSON ELECTRIC LONG 600 50.00 12/1 10:37 49.99 0.12%
Trade id #98583897
Max drawdown($12)
Time12/1/15 10:35
Quant open600
Worst price49.98
Drawdown as % of equity-0.12%
 ($11)
Includes Typical Broker Commissions trade costs of $5.00
11/25/15 14:36 GILD GILEAD SCIENCES LONG 280 107.84 11/25 14:51 107.90 0.34%
Trade id #98529845
Max drawdown($33)
Time11/25/15 14:48
Quant open280
Worst price107.72
Drawdown as % of equity-0.34%
 $11
Includes Typical Broker Commissions trade costs of $5.60
11/24/15 12:20 GILD GILEAD SCIENCES LONG 280 106.38 11/24 12:26 106.06 0.89%
Trade id #98509553
Max drawdown($90)
Time11/24/15 12:26
Quant open0
Worst price106.06
Drawdown as % of equity-0.89%
 ($96)
Includes Typical Broker Commissions trade costs of $5.60
11/23/15 14:05 AAPL APPLE LONG 260 117.64 11/23 14:35 117.68 0.1%
Trade id #98492406
Max drawdown($10)
Time11/23/15 14:26
Quant open260
Worst price117.60
Drawdown as % of equity-0.10%
 $5
Includes Typical Broker Commissions trade costs of $5.20
11/23/15 12:12 JNJ JOHNSON & JOHNSON LONG 290 102.88 11/23 12:58 102.82 0.35%
Trade id #98490126
Max drawdown($34)
Time11/23/15 12:53
Quant open290
Worst price102.76
Drawdown as % of equity-0.35%
 ($23)
Includes Typical Broker Commissions trade costs of $5.80
11/20/15 13:34 JNJ JOHNSON & JOHNSON LONG 290 102.22 11/20 13:40 102.21 0.06%
Trade id #98472635
Max drawdown($5)
Time11/20/15 13:36
Quant open290
Worst price102.20
Drawdown as % of equity-0.06%
 ($9)
Includes Typical Broker Commissions trade costs of $5.80
11/20/15 10:59 EMR EMERSON ELECTRIC LONG 600 50.22 11/20 11:19 50.23 0.24%
Trade id #98469526
Max drawdown($24)
Time11/20/15 11:01
Quant open600
Worst price50.18
Drawdown as % of equity-0.24%
 $1
Includes Typical Broker Commissions trade costs of $5.00
11/19/15 12:36 GILD GILEAD SCIENCES LONG 280 107.20 11/19 12:51 107.10 0.53%
Trade id #98453588
Max drawdown($53)
Time11/19/15 12:44
Quant open280
Worst price107.01
Drawdown as % of equity-0.53%
 ($34)
Includes Typical Broker Commissions trade costs of $5.60
11/19/15 11:25 GILD GILEAD SCIENCES LONG 280 106.80 11/19 11:35 106.91 0.19%
Trade id #98452175
Max drawdown($19)
Time11/19/15 11:27
Quant open280
Worst price106.73
Drawdown as % of equity-0.19%
 $25
Includes Typical Broker Commissions trade costs of $5.60
11/18/15 12:45 JNJ JOHNSON & JOHNSON LONG 290 101.72 11/18 12:49 101.82 n/a $23
Includes Typical Broker Commissions trade costs of $5.80
11/17/15 15:17 WYN WYNDHAM WORLDWIDE SHORT 390 76.53 11/17 15:29 76.88 1.35%
Trade id #98417459
Max drawdown($137)
Time11/17/15 15:29
Quant open0
Worst price76.88
Drawdown as % of equity-1.35%
 ($145)
Includes Typical Broker Commissions trade costs of $7.80
11/17/15 14:33 AAPL APPLE LONG 260 113.86 11/17 14:58 113.91 0.79%
Trade id #98416673
Max drawdown($80)
Time11/17/15 14:48
Quant open260
Worst price113.55
Drawdown as % of equity-0.79%
 $8
Includes Typical Broker Commissions trade costs of $5.20
11/13/15 14:54 AAPL APPLE LONG 260 112.83 11/13 14:57 112.78 0.13%
Trade id #98373013
Max drawdown($13)
Time11/13/15 14:57
Quant open0
Worst price112.78
Drawdown as % of equity-0.13%
 ($18)
Includes Typical Broker Commissions trade costs of $5.20
11/13/15 10:29 JNJ JOHNSON & JOHNSON LONG 300 100.18 11/13 10:53 100.35 0.56%
Trade id #98366577
Max drawdown($57)
Time11/13/15 10:35
Quant open300
Worst price99.99
Drawdown as % of equity-0.56%
 $45
Includes Typical Broker Commissions trade costs of $6.00
11/12/15 10:14 WYN WYNDHAM WORLDWIDE SHORT 370 80.03 11/12 10:33 79.91 0.51%
Trade id #98342898
Max drawdown($51)
Time11/12/15 10:17
Quant open-370
Worst price80.17
Drawdown as % of equity-0.51%
 $37
Includes Typical Broker Commissions trade costs of $7.40
11/11/15 10:47 AAPL APPLE LONG 260 115.69 11/11 11:00 115.35 0.87%
Trade id #98321814
Max drawdown($88)
Time11/11/15 11:00
Quant open0
Worst price115.35
Drawdown as % of equity-0.87%
 ($93)
Includes Typical Broker Commissions trade costs of $5.20
11/10/15 11:09 JNJ JOHNSON & JOHNSON LONG 300 100.73 11/10 11:14 100.78 0.15%
Trade id #98275973
Max drawdown($15)
Time11/10/15 11:11
Quant open300
Worst price100.68
Drawdown as % of equity-0.15%
 $9
Includes Typical Broker Commissions trade costs of $6.00
11/10/15 10:23 FTI TECHNICFMC PLC SHORT 880 34.22 11/10 10:32 34.08 0.09%
Trade id #98274601
Max drawdown($8)
Time11/10/15 10:25
Quant open-880
Worst price34.23
Drawdown as % of equity-0.09%
 $118
Includes Typical Broker Commissions trade costs of $5.00
11/10/15 10:09 FTI TECHNICFMC PLC SHORT 870 34.38 11/10 10:13 34.39 0.69%
Trade id #98274051
Max drawdown($69)
Time11/10/15 10:13
Quant open-870
Worst price34.46
Drawdown as % of equity-0.69%
 ($14)
Includes Typical Broker Commissions trade costs of $5.00
11/9/15 10:25 EMR EMERSON ELECTRIC LONG 620 48.62 11/9 10:26 48.68 n/a $32
Includes Typical Broker Commissions trade costs of $5.00
11/9/15 10:12 TWTR TWITTER INC LONG 1,100 27.35 11/9 10:12 27.45 n/a $105
Includes Typical Broker Commissions trade costs of $5.00
11/9/15 10:10 TWTR TWITTER INC LONG 1,090 27.57 11/9 10:11 27.50 0.76%
Trade id #98246938
Max drawdown($76)
Time11/9/15 10:11
Quant open0
Worst price27.50
Drawdown as % of equity-0.76%
 ($81)
Includes Typical Broker Commissions trade costs of $5.00
11/9/15 10:07 FTI TECHNICFMC PLC SHORT 860 34.64 11/9 10:09 34.55 0.17%
Trade id #98246745
Max drawdown($17)
Time11/9/15 10:09
Quant open-860
Worst price34.66
Drawdown as % of equity-0.17%
 $72
Includes Typical Broker Commissions trade costs of $5.00
11/9/15 10:09 TWTR TWITTER INC LONG 1,090 27.62 11/9 10:09 27.55 0.76%
Trade id #98246875
Max drawdown($76)
Time11/9/15 10:09
Quant open0
Worst price27.55
Drawdown as % of equity-0.76%
 ($81)
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    7/9/2015
  • Suggested Minimum Cap
    $9,400
  • Strategy Age (days)
    3205.55
  • Age
    107 months ago
  • What it trades
    Stocks
  • # Trades
    104
  • # Profitable
    63
  • % Profitable
    60.60%
  • Avg trade duration
    1.3 hours
  • Max peak-to-valley drawdown
    10.4%
  • drawdown period
    July 30, 2015 - Oct 13, 2015
  • Cumul. Return
    -1.4%
  • Avg win
    $42.25
  • Avg loss
    $49.17
  • Model Account Values (Raw)
  • Cash
    $10,045
  • Margin Used
    $0
  • Buying Power
    $10,045
  • Ratios
  • W:L ratio
    1.32:1
  • Sharpe Ratio
    -0.87
  • Sortino Ratio
    -1.22
  • Calmar Ratio
    0.627
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -0.03%
  • Correlation to SP500
    0.00480
  • Return Percent SP500 (cumu) during strategy life
    145.39%
  • Return Statistics
  • Ann Return (w trading costs)
    -3.2%
  • Slump
  • Current Slump as Pcnt Equity
    6.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.99%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.014%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    0.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • 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
    99.52%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    881
  • 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
    $49
  • Avg Win
    $42
  • Sum Trade PL (losers)
    $2,016.000
  • Age
  • Num Months filled monthly returns table
    106
  • Win / Loss
  • Sum Trade PL (winners)
    $2,662.000
  • # Winners
    63
  • Num Months Winners
    1
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    41
  • % Winners
    60.6%
  • Frequency
  • Avg Position Time (mins)
    77.35
  • Avg Position Time (hrs)
    1.29
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    3051
  • Regression
  • Alpha
    -0.01
  • Beta
    0.00
  • Treynor Index
    -10.53
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    41.35
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    53.81
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.43
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -29.677
  • 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
    0.925
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.245
  • Hold-and-Hope Ratio
    -0.034
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11722
  • SD
    0.04128
  • Sharpe ratio (Glass type estimate)
    2.83974
  • Sharpe ratio (Hedges UMVUE)
    2.26579
  • df
    4.00000
  • t
    1.83305
  • p
    0.07036
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.85873
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.30320
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.15249
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.68407
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.32648
  • Upside Potential Ratio
    8.87567
  • Upside part of mean
    0.14201
  • Downside part of mean
    -0.02479
  • Upside SD
    0.04746
  • Downside SD
    0.01600
  • 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
    0.03640
  • Mean of criterion
    0.11722
  • SD of predictor
    0.17626
  • SD of criterion
    0.04128
  • Covariance
    -0.00243
  • r
    -0.33370
  • b (slope, estimate of beta)
    -0.07815
  • a (intercept, estimate of alpha)
    0.12007
  • Mean Square Error
    0.00202
  • DF error
    3.00000
  • t(b)
    -0.61313
  • p(b)
    0.70843
  • t(a)
    1.72105
  • p(a)
    0.09186
  • Lowerbound of 95% confidence interval for beta
    -0.48380
  • Upperbound of 95% confidence interval for beta
    0.32749
  • Lowerbound of 95% confidence interval for alpha
    -0.10195
  • Upperbound of 95% confidence interval for alpha
    0.34209
  • Treynor index (mean / b)
    -1.49992
  • Jensen alpha (a)
    0.12007
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11588
  • SD
    0.04109
  • Sharpe ratio (Glass type estimate)
    2.82024
  • Sharpe ratio (Hedges UMVUE)
    2.25022
  • df
    4.00000
  • t
    1.82045
  • p
    0.07140
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.87115
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.27717
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.16312
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.66356
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.21141
  • Upside Potential Ratio
    8.76060
  • Upside part of mean
    0.14078
  • Downside part of mean
    -0.02489
  • Upside SD
    0.04703
  • Downside SD
    0.01607
  • 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
    0.02375
  • Mean of criterion
    0.11588
  • SD of predictor
    0.17817
  • SD of criterion
    0.04109
  • Covariance
    -0.00250
  • r
    -0.34203
  • b (slope, estimate of beta)
    -0.07888
  • a (intercept, estimate of alpha)
    0.11776
  • Mean Square Error
    0.00199
  • DF error
    3.00000
  • t(b)
    -0.63043
  • p(b)
    0.71342
  • t(a)
    1.70329
  • p(a)
    0.09353
  • Lowerbound of 95% confidence interval for beta
    -0.47707
  • Upperbound of 95% confidence interval for beta
    0.31931
  • Lowerbound of 95% confidence interval for alpha
    -0.10226
  • Upperbound of 95% confidence interval for alpha
    0.33778
  • Treynor index (mean / b)
    -1.46914
  • Jensen alpha (a)
    0.11776
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00981
  • Expected Shortfall on VaR
    0.01469
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00235
  • Expected Shortfall on VaR
    0.00582
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.99050
  • Quartile 1
    1.00979
  • Median
    1.01449
  • Quartile 3
    1.01777
  • Maximum
    1.02044
  • Mean of quarter 1
    1.00014
  • Mean of quarter 2
    1.01449
  • Mean of quarter 3
    1.01777
  • Mean of quarter 4
    1.02044
  • Inter Quartile Range
    0.00799
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.20000
  • Mean of outliers low
    0.99050
  • 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
    0.00950
  • Quartile 1
    0.00950
  • Median
    0.00950
  • Quartile 3
    0.00950
  • Maximum
    0.00950
  • 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)
    0.12919
  • Compounded annual return (geometric extrapolation)
    0.13409
  • Calmar ratio (compounded annual return / max draw down)
    14.11780
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    9.12726
  • 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
    0.14149
  • SD
    0.08828
  • Sharpe ratio (Glass type estimate)
    1.60267
  • Sharpe ratio (Hedges UMVUE)
    1.59464
  • df
    150.00000
  • t
    1.06182
  • p
    0.45681
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.36381
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.56385
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.36913
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.55841
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.60071
  • Upside Potential Ratio
    8.68227
  • Upside part of mean
    0.47235
  • Downside part of mean
    -0.33086
  • Upside SD
    0.06958
  • Downside SD
    0.05440
  • N nonnegative terms
    60.00000
  • N negative terms
    91.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    151.00000
  • Mean of predictor
    -0.02494
  • Mean of criterion
    0.14149
  • SD of predictor
    0.18119
  • SD of criterion
    0.08828
  • Covariance
    0.00024
  • r
    0.01519
  • b (slope, estimate of beta)
    0.00740
  • a (intercept, estimate of alpha)
    0.01200
  • Mean Square Error
    0.00784
  • DF error
    149.00000
  • t(b)
    0.18549
  • p(b)
    0.49033
  • t(a)
    1.05975
  • p(a)
    0.44501
  • Lowerbound of 95% confidence interval for beta
    -0.07146
  • Upperbound of 95% confidence interval for beta
    0.08627
  • Lowerbound of 95% confidence interval for alpha
    -0.12249
  • Upperbound of 95% confidence interval for alpha
    0.40584
  • Treynor index (mean / b)
    19.11250
  • Jensen alpha (a)
    0.14167
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13761
  • SD
    0.08792
  • Sharpe ratio (Glass type estimate)
    1.56515
  • Sharpe ratio (Hedges UMVUE)
    1.55732
  • df
    150.00000
  • t
    1.03697
  • p
    0.45782
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.40094
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.52621
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.40620
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.52083
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.51396
  • Upside Potential Ratio
    8.58558
  • Upside part of mean
    0.46995
  • Downside part of mean
    -0.33235
  • Upside SD
    0.06883
  • Downside SD
    0.05474
  • N nonnegative terms
    60.00000
  • N negative terms
    91.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    151.00000
  • Mean of predictor
    -0.04127
  • Mean of criterion
    0.13761
  • SD of predictor
    0.18139
  • SD of criterion
    0.08792
  • Covariance
    0.00024
  • r
    0.01526
  • b (slope, estimate of beta)
    0.00740
  • a (intercept, estimate of alpha)
    0.13791
  • Mean Square Error
    0.00778
  • DF error
    149.00000
  • t(b)
    0.18630
  • p(b)
    0.49029
  • t(a)
    1.03584
  • p(a)
    0.44623
  • Lowerbound of 95% confidence interval for beta
    -0.07106
  • Upperbound of 95% confidence interval for beta
    0.08585
  • Lowerbound of 95% confidence interval for alpha
    -0.12518
  • Upperbound of 95% confidence interval for alpha
    0.40100
  • Treynor index (mean / b)
    18.60310
  • Jensen alpha (a)
    0.13791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00737
  • Expected Shortfall on VaR
    0.00933
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00244
  • Expected Shortfall on VaR
    0.00531
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    151.00000
  • Minimum
    0.98291
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00154
  • Maximum
    1.03355
  • Mean of quarter 1
    0.99625
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00051
  • Mean of quarter 4
    1.00500
  • Inter Quartile Range
    0.00154
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.12583
  • Mean of outliers low
    0.99317
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.09272
  • Mean of outliers high
    1.00919
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.08908
  • VaR(95%) (moments method)
    0.00245
  • Expected Shortfall (moments method)
    0.00367
  • Extreme Value Index (regression method)
    -0.07080
  • VaR(95%) (regression method)
    0.00506
  • Expected Shortfall (regression method)
    0.00825
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00240
  • Quartile 1
    0.00341
  • Median
    0.01330
  • Quartile 3
    0.02500
  • Maximum
    0.06263
  • Mean of quarter 1
    0.00258
  • Mean of quarter 2
    0.00534
  • Mean of quarter 3
    0.02125
  • Mean of quarter 4
    0.04444
  • Inter Quartile Range
    0.02159
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.06263
  • 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)
    0.15244
  • Compounded annual return (geometric extrapolation)
    0.15900
  • Calmar ratio (compounded annual return / max draw down)
    2.53858
  • Compounded annual return / average of 25% largest draw downs
    3.57789
  • Compounded annual return / Expected Shortfall lognormal
    17.03730
  • 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)
    0.00500
  • 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)
    75

Strategy Description

The system portfolio is rebalanced periodically to reflect current market conditions. On each rebalancing we aim at maintaining original risk-return characteristics with three or more trades per week on average. The system trades S&P 500 and Russell Mid Cap instruments which have been filtered based on liquidity and volatility among other market factors. Most signals are long, however short signals may be included as market conditions allow. Most signals trade for 15 minutes on average. A stop loss between 0.2% and 0.8% is automatically set on every trade as soon as a new position is open. We recommend using default stop loss and profit target to obtain results similar to those achieved by this system.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2015-07-09
Suggested Minimum Capital
$9,400
# Trades
104
# Profitable
63
% Profitable
60.6%
Correlation S&P500
0.005
Sharpe Ratio
-0.87
Sortino Ratio
-1.22
Beta
0.00
Alpha
-0.01

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