Collective2 Collective2

Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it
Watchlist Watchlist
This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more
Watchlist Watchlist More...

Rock 'n' Roll
(96554193)

Created by: EB_Trade_Strategies EB_Trade_Strategies
Started: 08/2015
Stocks
Last trade: 3,028 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 $200.00 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.

-47.6%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

-
Max Drawdown
61
Num Trades
55.7%
Win Trades
1.0 : 1
Profit Factor
2.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                                 +43.8%+4.0%(36.3%)(24.1%)(38.2%)(55.4%)
2016+66.0%  -    -    -    -    -    -    -    -    -    -    -  +66.0%
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.

System developer has asked us to delay this information by 8 hours.

Trading Record

This strategy has placed 63 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3067 days ago.

Show AutoTrade data Hide AutoTrade data
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/28/15 14:36 RUSS DIREXION DAILY RUSSIA BEAR 3X LONG 300 39.08 1/11/16 10:03 48.13 18.11%
Trade id #98941132
Max drawdown($1,002)
Time12/29/15 15:55
Quant open300
Worst price35.74
Drawdown as % of equity-18.11%
 $2,709
Includes Typical Broker Commissions trade costs of $6.00
12/23/15 15:02 RUSS DIREXION DAILY RUSSIA BEAR 3X SHORT 450 34.68 12/28 14:34 39.06 28.06%
Trade id #98904828
Max drawdown($2,169)
Time12/28/15 10:04
Quant open-450
Worst price39.50
Drawdown as % of equity-28.06%
 ($1,980)
Includes Typical Broker Commissions trade costs of $9.00
12/18/15 15:48 YANG DIREXION DAILY FTSE CHINA BEAR 3X LONG 180 98.16 12/23 14:44 89.66 18.18%
Trade id #98850226
Max drawdown($1,548)
Time12/23/15 14:38
Quant open180
Worst price89.56
Drawdown as % of equity-18.18%
 ($1,534)
Includes Typical Broker Commissions trade costs of $3.60
12/17/15 14:15 RUSS DIREXION DAILY RUSSIA BEAR 3X LONG 400 36.00 12/18 10:19 39.22 0.28%
Trade id #98830213
Max drawdown($24)
Time12/17/15 14:27
Quant open400
Worst price35.94
Drawdown as % of equity-0.28%
 $1,280
Includes Typical Broker Commissions trade costs of $8.00
12/15/15 10:36 RUSS DIREXION DAILY RUSSIA BEAR 3X SHORT 370 37.28 12/17 9:35 34.99 1.09%
Trade id #98785936
Max drawdown($88)
Time12/16/15 11:46
Quant open-370
Worst price37.52
Drawdown as % of equity-1.09%
 $840
Includes Typical Broker Commissions trade costs of $7.40
12/4/15 15:52 YANG DIREXION DAILY FTSE CHINA BEAR 3X SHORT 160 91.25 12/7 15:59 95.41 10.59%
Trade id #98652667
Max drawdown($880)
Time12/7/15 13:05
Quant open-160
Worst price96.75
Drawdown as % of equity-10.59%
 ($669)
Includes Typical Broker Commissions trade costs of $3.20
11/30/15 15:32 YANG DIREXION DAILY FTSE CHINA BEAR 3X LONG 160 92.52 12/2 15:59 91.52 7.53%
Trade id #98571297
Max drawdown($600)
Time12/2/15 9:31
Quant open160
Worst price88.77
Drawdown as % of equity-7.53%
 ($163)
Includes Typical Broker Commissions trade costs of $3.20
11/27/15 10:55 YANG DIREXION DAILY FTSE CHINA BEAR 3X SHORT 160 94.20 11/30 11:30 93.59 3.57%
Trade id #98551102
Max drawdown($296)
Time11/30/15 8:01
Quant open-160
Worst price96.05
Drawdown as % of equity-3.57%
 $95
Includes Typical Broker Commissions trade costs of $3.20
11/18/15 15:41 YANG DIREXION DAILY FTSE CHINA BEAR 3X LONG 170 89.30 11/23 15:55 86.56 11.5%
Trade id #98435764
Max drawdown($1,006)
Time11/20/15 10:54
Quant open170
Worst price83.38
Drawdown as % of equity-11.50%
 ($469)
Includes Typical Broker Commissions trade costs of $3.40
11/17/15 11:05 INDL DIREXION DAILY MSCI INDIA BULL 2X SHARES LONG 143 51.72 11/18 15:39 50.63 4.37%
Trade id #98412048
Max drawdown($387)
Time11/18/15 9:31
Quant open570
Worst price12.25
Drawdown as % of equity-4.37%
 ($158)
Includes Typical Broker Commissions trade costs of $2.86
11/16/15 15:56 YANG DIREXION DAILY FTSE CHINA BEAR 3X SHORT 85 89.85 11/18 15:38 89.45 2.08%
Trade id #98398471
Max drawdown($184)
Time11/18/15 9:34
Quant open-85
Worst price92.02
Drawdown as % of equity-2.08%
 $32
Includes Typical Broker Commissions trade costs of $1.70
11/16/15 15:55 INDL DIREXION DAILY MSCI INDIA BULL 2X SHARES SHORT 143 52.55 11/17 10:20 51.60 1.31%
Trade id #98398434
Max drawdown($115)
Time11/16/15 16:00
Quant open-570
Worst price13.34
Drawdown as % of equity-1.31%
 $133
Includes Typical Broker Commissions trade costs of $2.86
11/13/15 9:34 YANG DIREXION DAILY FTSE CHINA BEAR 3X SHORT 170 93.20 11/13 15:55 94.00 4.62%
Trade id #98363611
Max drawdown($413)
Time11/13/15 10:17
Quant open-170
Worst price95.63
Drawdown as % of equity-4.62%
 ($139)
Includes Typical Broker Commissions trade costs of $3.40
11/9/15 15:47 INDL DIREXION DAILY MSCI INDIA BULL 2X SHARES LONG 125 52.46 11/12 10:40 51.05 3.1%
Trade id #98261317
Max drawdown($282)
Time11/10/15 9:32
Quant open500
Worst price12.55
Drawdown as % of equity-3.10%
 ($179)
Includes Typical Broker Commissions trade costs of $2.50
11/9/15 15:48 YANG DIREXION DAILY FTSE CHINA BEAR 3X SHORT 80 86.13 11/12 9:54 86.50 2.96%
Trade id #98261336
Max drawdown($269)
Time11/10/15 11:29
Quant open-80
Worst price89.50
Drawdown as % of equity-2.96%
 ($32)
Includes Typical Broker Commissions trade costs of $1.60
11/5/15 15:49 INDL DIREXION DAILY MSCI INDIA BULL 2X SHARES LONG 125 56.60 11/6 15:53 56.30 3.81%
Trade id #98210136
Max drawdown($350)
Time11/6/15 10:09
Quant open500
Worst price13.45
Drawdown as % of equity-3.81%
 ($40)
Includes Typical Broker Commissions trade costs of $2.50
11/3/15 15:58 YANG DIREXION DAILY FTSE CHINA BEAR 3X LONG 220 84.25 11/6 15:28 80.57 14.28%
Trade id #98170393
Max drawdown($1,421)
Time11/4/15 9:31
Quant open220
Worst price77.79
Drawdown as % of equity-14.28%
 ($813)
Includes Typical Broker Commissions trade costs of $4.40
11/2/15 15:47 YANG DIREXION DAILY FTSE CHINA BEAR 3X SHORT 220 84.71 11/3 15:58 84.25 5.02%
Trade id #98149750
Max drawdown($499)
Time11/3/15 7:33
Quant open-220
Worst price86.98
Drawdown as % of equity-5.02%
 $97
Includes Typical Broker Commissions trade costs of $4.40
10/30/15 9:52 YANG DIREXION DAILY FTSE CHINA BEAR 3X LONG 220 86.07 11/2 15:46 84.76 3.59%
Trade id #98108355
Max drawdown($360)
Time11/2/15 15:29
Quant open220
Worst price84.43
Drawdown as % of equity-3.59%
 ($291)
Includes Typical Broker Commissions trade costs of $4.40
10/15/15 15:01 YANG DIREXION DAILY FTSE CHINA BEAR 3X SHORT 220 79.77 10/30 9:52 86.07 14.06%
Trade id #97824933
Max drawdown($1,518)
Time10/29/15 9:32
Quant open-220
Worst price86.67
Drawdown as % of equity-14.06%
 ($1,390)
Includes Typical Broker Commissions trade costs of $4.40
10/12/15 15:49 YANG DIREXION DAILY FTSE CHINA BEAR 3X LONG 220 85.60 10/15 15:00 79.77 11.17%
Trade id #97747849
Max drawdown($1,332)
Time10/15/15 14:45
Quant open220
Worst price79.54
Drawdown as % of equity-11.17%
 ($1,286)
Includes Typical Broker Commissions trade costs of $4.40
10/12/15 15:58 INDL DIREXION DAILY MSCI INDIA BULL 2X SHARES LONG 158 62.54 10/14 9:44 61.08 3.01%
Trade id #97748595
Max drawdown($394)
Time10/13/15 15:26
Quant open630
Worst price15.01
Drawdown as % of equity-3.01%
 ($234)
Includes Typical Broker Commissions trade costs of $3.16
10/6/15 15:37 YANG DIREXION DAILY FTSE CHINA BEAR 3X SHORT 150 97.75 10/9 9:53 83.85 2.39%
Trade id #97644125
Max drawdown($262)
Time10/6/15 16:49
Quant open-150
Worst price99.50
Drawdown as % of equity-2.39%
 $2,082
Includes Typical Broker Commissions trade costs of $3.00
9/30/15 15:54 YANG DIREXION DAILY FTSE CHINA BEAR 3X LONG 350 112.45 10/5 10:00 100.74 36.81%
Trade id #97531582
Max drawdown($4,097)
Time10/5/15 10:00
Quant open125
Worst price94.74
Drawdown as % of equity-36.81%
 ($4,104)
Includes Typical Broker Commissions trade costs of $7.00
10/1/15 15:51 INDL DIREXION DAILY MSCI INDIA BULL 2X SHARES LONG 200 57.20 10/2 9:49 55.20 2.84%
Trade id #97559245
Max drawdown($424)
Time10/2/15 9:32
Quant open800
Worst price13.77
Drawdown as % of equity-2.84%
 ($404)
Includes Typical Broker Commissions trade costs of $4.00
9/23/15 15:46 RUSS DIREXION DAILY RUSSIA BEAR 3X LONG 750 43.70 9/30 9:38 40.50 16.61%
Trade id #97404389
Max drawdown($2,775)
Time9/30/15 8:05
Quant open750
Worst price40.00
Drawdown as % of equity-16.61%
 ($2,405)
Includes Typical Broker Commissions trade costs of $5.00
9/21/15 15:43 YANG DIREXION DAILY FTSE CHINA BEAR 3X LONG 100 104.10 9/22 9:40 108.78 0.72%
Trade id #97354265
Max drawdown($120)
Time9/21/15 16:00
Quant open100
Worst price102.90
Drawdown as % of equity-0.72%
 $466
Includes Typical Broker Commissions trade costs of $2.00
9/21/15 15:51 INDL DIREXION DAILY MSCI INDIA BULL 2X SHARES SHORT 175 56.90 9/22 9:33 53.60 0.44%
Trade id #97354428
Max drawdown($74)
Time9/21/15 16:01
Quant open-700
Worst price14.33
Drawdown as % of equity-0.44%
 $574
Includes Typical Broker Commissions trade costs of $3.50
9/17/15 14:43 SPXL DIREXION DAILY S&P500 BULL 3X LONG 450 79.68 9/18 9:34 74.77 15.67%
Trade id #97292030
Max drawdown($2,827)
Time9/18/15 9:21
Quant open450
Worst price73.40
Drawdown as % of equity-15.67%
 ($2,222)
Includes Typical Broker Commissions trade costs of $9.00
9/16/15 15:54 PIN INVESCO INDIA SHORT 500 19.70 9/17 9:44 19.59 0.05%
Trade id #97269334
Max drawdown($9)
Time9/16/15 15:56
Quant open-500
Worst price19.72
Drawdown as % of equity-0.05%
 $45
Includes Typical Broker Commissions trade costs of $10.00
Next

Statistics

  • Strategy began
    8/11/2015
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    3176.46
  • Age
    106 months ago
  • What it trades
    Stocks
  • # Trades
    61
  • # Profitable
    34
  • % Profitable
    55.70%
  • Avg trade duration
    2.4 days
  • Max peak-to-valley drawdown
    %
  • drawdown period
    Dec , - Dec ,
  • Cumul. Return
    -24.2%
  • Avg win
    $708.74
  • Avg loss
    $930.07
  • Model Account Values (Raw)
  • Cash
    $8,982
  • Margin Used
    $0
  • Buying Power
    $8,982
  • Ratios
  • W:L ratio
    0.96:1
  • Sharpe Ratio
    -0.09
  • Sortino Ratio
    -0.14
  • Calmar Ratio
    -0.086
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -16.48%
  • Correlation to SP500
    -0.04910
  • Return Percent SP500 (cumu) during strategy life
    142.24%
  • Return Statistics
  • Ann Return (w trading costs)
    -47.6%
  • Slump
  • Current Slump as Pcnt Equity
    156.50%
  • 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)
    -0.242%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -1.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    97.50%
  • Chance of 20% account loss
    89.50%
  • Chance of 30% account loss
    69.00%
  • Chance of 40% account loss
    39.00%
  • Chance of 60% account loss (Monte Carlo)
    2.50%
  • Chance of 70% account loss (Monte Carlo)
    1.00%
  • 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
    19.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    856
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    635
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $930
  • Avg Win
    $709
  • Sum Trade PL (losers)
    $25,112.000
  • Age
  • Num Months filled monthly returns table
    105
  • Win / Loss
  • Sum Trade PL (winners)
    $24,097.000
  • # Winners
    34
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    27
  • % Winners
    55.7%
  • Frequency
  • Avg Position Time (mins)
    3501.55
  • Avg Position Time (hrs)
    58.36
  • Avg Trade Length
    2.4 days
  • Last Trade Ago
    3023
  • Regression
  • Alpha
    -0.01
  • Beta
    -0.07
  • Treynor Index
    0.10
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.06
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    25.40
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    24.62
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.11
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.11
  • Avg(MAE) / Avg(PL) - All trades
    -36.961
  • 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
    0.22
  • Avg(MAE) / Avg(PL) - Winning trades
    0.245
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.259
  • Hold-and-Hope Ratio
    -0.027
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22582
  • SD
    1.52592
  • Sharpe ratio (Glass type estimate)
    0.14799
  • Sharpe ratio (Hedges UMVUE)
    0.11808
  • df
    4.00000
  • t
    0.09553
  • p
    0.46425
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.89882
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.17712
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.91938
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.15554
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.35001
  • Upside Potential Ratio
    2.89201
  • Upside part of mean
    1.86593
  • Downside part of mean
    -1.64010
  • Upside SD
    1.20445
  • Downside SD
    0.64520
  • N nonnegative terms
    1.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    -0.16178
  • Mean of criterion
    0.22582
  • SD of predictor
    0.19301
  • SD of criterion
    1.52592
  • Covariance
    -0.21713
  • r
    -0.73725
  • b (slope, estimate of beta)
    -5.82856
  • a (intercept, estimate of alpha)
    -0.71712
  • Mean Square Error
    1.41713
  • DF error
    3.00000
  • t(b)
    -1.89003
  • p(b)
    0.92243
  • t(a)
    -0.37536
  • p(a)
    0.63382
  • Lowerbound of 95% confidence interval for beta
    -15.64270
  • Upperbound of 95% confidence interval for beta
    3.98560
  • Lowerbound of 95% confidence interval for alpha
    -6.79719
  • Upperbound of 95% confidence interval for alpha
    5.36295
  • Treynor index (mean / b)
    -0.03874
  • Jensen alpha (a)
    -0.71712
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.51657
  • SD
    1.29618
  • Sharpe ratio (Glass type estimate)
    -0.39853
  • Sharpe ratio (Hedges UMVUE)
    -0.31798
  • df
    4.00000
  • t
    -0.25725
  • p
    0.59516
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.42289
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.67321
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.36233
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.72636
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.68225
  • Upside Potential Ratio
    1.82208
  • Upside part of mean
    1.37959
  • Downside part of mean
    -1.89616
  • Upside SD
    0.89052
  • Downside SD
    0.75715
  • N nonnegative terms
    1.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    -0.17808
  • Mean of criterion
    -0.51657
  • SD of predictor
    0.19600
  • SD of criterion
    1.29618
  • Covariance
    -0.20255
  • r
    -0.79728
  • b (slope, estimate of beta)
    -5.27270
  • a (intercept, estimate of alpha)
    -1.45556
  • Mean Square Error
    0.81617
  • DF error
    3.00000
  • t(b)
    -2.28780
  • p(b)
    0.94691
  • t(a)
    -0.99797
  • p(a)
    0.80408
  • Lowerbound of 95% confidence interval for beta
    -12.60730
  • Upperbound of 95% confidence interval for beta
    2.06190
  • Lowerbound of 95% confidence interval for alpha
    -6.09720
  • Upperbound of 95% confidence interval for alpha
    3.18608
  • Treynor index (mean / b)
    0.09797
  • Jensen alpha (a)
    -1.45556
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.48238
  • Expected Shortfall on VaR
    0.55328
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.36654
  • Expected Shortfall on VaR
    0.47501
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.70196
  • Quartile 1
    0.72362
  • Median
    0.91952
  • Quartile 3
    0.97484
  • Maximum
    1.77830
  • Mean of quarter 1
    0.71279
  • Mean of quarter 2
    0.91952
  • Mean of quarter 3
    0.97484
  • Mean of quarter 4
    1.77830
  • Inter Quartile Range
    0.25121
  • 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
    0.20000
  • Mean of outliers high
    1.77830
  • 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
    0.54468
  • Quartile 1
    0.54468
  • Median
    0.54468
  • Quartile 3
    0.54468
  • Maximum
    0.54468
  • 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)
    -0.45672
  • Compounded annual return (geometric extrapolation)
    -0.39747
  • Calmar ratio (compounded annual return / max draw down)
    -0.72974
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.71839
  • 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
    0.22057
  • SD
    0.98450
  • Sharpe ratio (Glass type estimate)
    0.22404
  • Sharpe ratio (Hedges UMVUE)
    0.22289
  • df
    146.00000
  • t
    0.14646
  • p
    0.49394
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.77469
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.22204
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.77547
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.22126
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.34999
  • Upside Potential Ratio
    8.82390
  • Upside part of mean
    5.56112
  • Downside part of mean
    -5.34054
  • Upside SD
    0.75206
  • Downside SD
    0.63023
  • N nonnegative terms
    57.00000
  • N negative terms
    90.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    147.00000
  • Mean of predictor
    -0.17900
  • Mean of criterion
    0.22057
  • SD of predictor
    0.19562
  • SD of criterion
    0.98450
  • Covariance
    -0.03491
  • r
    -0.18126
  • b (slope, estimate of beta)
    -0.91224
  • a (intercept, estimate of alpha)
    0.06600
  • Mean Square Error
    0.94386
  • DF error
    145.00000
  • t(b)
    -2.21941
  • p(b)
    0.61476
  • t(a)
    0.03849
  • p(a)
    0.49796
  • Lowerbound of 95% confidence interval for beta
    -1.72463
  • Upperbound of 95% confidence interval for beta
    -0.09986
  • Lowerbound of 95% confidence interval for alpha
    -2.88371
  • Upperbound of 95% confidence interval for alpha
    2.99827
  • Treynor index (mean / b)
    -0.24179
  • Jensen alpha (a)
    0.05728
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.25028
  • SD
    0.96974
  • Sharpe ratio (Glass type estimate)
    -0.25809
  • Sharpe ratio (Hedges UMVUE)
    -0.25676
  • df
    146.00000
  • t
    -0.16871
  • p
    0.50698
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.25612
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.74069
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.25515
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.74164
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.37631
  • Upside Potential Ratio
    7.97406
  • Upside part of mean
    5.30342
  • Downside part of mean
    -5.55370
  • Upside SD
    0.70132
  • Downside SD
    0.66509
  • N nonnegative terms
    57.00000
  • N negative terms
    90.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    147.00000
  • Mean of predictor
    -0.19810
  • Mean of criterion
    -0.25028
  • SD of predictor
    0.19601
  • SD of criterion
    0.96974
  • Covariance
    -0.03388
  • r
    -0.17826
  • b (slope, estimate of beta)
    -0.88190
  • a (intercept, estimate of alpha)
    -0.42498
  • Mean Square Error
    0.91680
  • DF error
    145.00000
  • t(b)
    -2.18142
  • p(b)
    0.61288
  • t(a)
    -0.28971
  • p(a)
    0.51531
  • Lowerbound of 95% confidence interval for beta
    -1.68095
  • Upperbound of 95% confidence interval for beta
    -0.08286
  • Lowerbound of 95% confidence interval for alpha
    -3.32430
  • Upperbound of 95% confidence interval for alpha
    2.47433
  • Treynor index (mean / b)
    0.28379
  • Jensen alpha (a)
    -0.42498
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08307
  • Expected Shortfall on VaR
    0.10272
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04037
  • Expected Shortfall on VaR
    0.07941
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    147.00000
  • Minimum
    0.83793
  • Quartile 1
    0.98338
  • Median
    1.00000
  • Quartile 3
    1.01340
  • Maximum
    1.23498
  • Mean of quarter 1
    0.94261
  • Mean of quarter 2
    0.99578
  • Mean of quarter 3
    1.00299
  • Mean of quarter 4
    1.06137
  • Inter Quartile Range
    0.03002
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.08844
  • Mean of outliers low
    0.90465
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.08163
  • Mean of outliers high
    1.12302
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.14010
  • VaR(95%) (moments method)
    0.04744
  • Expected Shortfall (moments method)
    0.06209
  • Extreme Value Index (regression method)
    -0.09470
  • VaR(95%) (regression method)
    0.06343
  • Expected Shortfall (regression method)
    0.08744
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.02222
  • Quartile 1
    0.05805
  • Median
    0.09669
  • Quartile 3
    0.26765
  • Maximum
    0.70039
  • Mean of quarter 1
    0.02222
  • Mean of quarter 2
    0.06999
  • Mean of quarter 3
    0.12340
  • Mean of quarter 4
    0.70039
  • Inter Quartile Range
    0.20960
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    0.70039
  • 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)
    -0.22840
  • Compounded annual return (geometric extrapolation)
    -0.21363
  • Calmar ratio (compounded annual return / max draw down)
    -0.30501
  • Compounded annual return / average of 25% largest draw downs
    -0.30501
  • Compounded annual return / Expected Shortfall lognormal
    -2.07967
  • 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)
    0.04800
  • 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)
    103

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2015-08-11
Suggested Minimum Capital
$25,000
# Trades
61
# Profitable
34
% Profitable
55.7%
Correlation S&P500
-0.049
Sharpe Ratio
-0.09
Sortino Ratio
-0.14
Beta
-0.07
Alpha
-0.01

Latest Activity

#PERSONNAME#
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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Mark as Private Keep Public

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

Suggested Minimum Capital

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