Collective2 Collective2
Featured Strategy S2Prox0 +57.5% Annual Return (Compounded) since Dec 23, 2022 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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Daily Cash II
(97179515)

Created by: PJTraderStrategies PJTraderStrategies
Started: 09/2015
Stocks
Last trade: 2,961 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 $143.00 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.

-23.2%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(80.6%)
Max Drawdown
220
Num Trades
44.5%
Win Trades
2.7 : 1
Profit Factor
34.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                                        +4.1%+7.2%+6.0%(7.8%)+9.0%
2016(2%)+1.5%(6.2%)(19%)(18.5%)(5.2%)(1.8%)(32.4%)(9%)+22.7%(30.9%)+9.7%(67.2%)
2017+3.2%+42.4%+19.6%+7.6%+22.5%+27.1%(7.2%)(1.8%)(19.7%)(13.1%)+6.7%(17.2%)+65.5%
2018+22.9%+33.6%+8.8%(10%)+20.3%(19.9%)+9.0%+21.9%(13%)+2.0%+13.1%+29.5%+167.9%
2019(14.1%)+1.2%+3.5%+2.3%+3.0%+11.0%(2.8%)+16.2%(4.5%)+5.2%(5.1%)(4.1%)+8.7%
2020+8.1%+9.0%+14.6%(5.2%)(2.4%)(0.7%)+2.1%(2.7%)+3.1%(1%)(9.4%)(0.2%)+13.7%
2021(3.9%)(14%)(1.4%)(3.4%)(5.5%)(6.4%)+10.3%(1.3%)(24.9%)+61.3%  -    -  (8.2%)
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 168 hours.

Trading Record

This strategy has placed 60 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3083 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/11/16 9:43 UA UNDERARMOUR CLASS C LONG 600 40.59 3/11 10:54 41.07 0.18%
Trade id #101178079
Max drawdown($60)
Time3/11/16 9:47
Quant open300
Worst price80.98
Drawdown as % of equity-0.18%
 $283
Includes Typical Broker Commissions trade costs of $5.00
3/7/16 10:43 SDRL SEADRILL LTD LONG 2,000 5.86 3/7 12:48 5.86 2%
Trade id #101018567
Max drawdown($680)
Time3/7/16 10:51
Quant open2,000
Worst price5.52
Drawdown as % of equity-2.00%
 ($5)
Includes Typical Broker Commissions trade costs of $5.00
3/7/16 10:09 SDRL SEADRILL LTD LONG 3,000 5.44 3/7 10:40 5.80 1.56%
Trade id #101017311
Max drawdown($510)
Time3/7/16 10:14
Quant open3,000
Worst price5.27
Drawdown as % of equity-1.56%
 $1,075
Includes Typical Broker Commissions trade costs of $5.00
3/7/16 9:37 SIG SIGNET JEWELERS SHORT 200 112.17 3/7 10:32 112.15 0.36%
Trade id #101016220
Max drawdown($118)
Time3/7/16 9:40
Quant open-200
Worst price112.76
Drawdown as % of equity-0.36%
 $0
Includes Typical Broker Commissions trade costs of $4.00
3/7/16 9:41 INCY INCYTE LONG 200 71.16 3/7 10:20 72.21 0.35%
Trade id #101016309
Max drawdown($114)
Time3/7/16 9:44
Quant open200
Worst price70.59
Drawdown as % of equity-0.35%
 $206
Includes Typical Broker Commissions trade costs of $4.00
3/7/16 9:51 BLUE BLUEBIRD BIO INC. COMMON STOC LONG 200 55.13 3/7 9:57 54.00 0.69%
Trade id #101016701
Max drawdown($226)
Time3/7/16 9:57
Quant open0
Worst price54.00
Drawdown as % of equity-0.69%
 ($230)
Includes Typical Broker Commissions trade costs of $4.00
3/4/16 12:06 LABD DIREXION DAILY S&P BIOTECH BEAR 3X SHORT 500 54.12 3/4 12:09 54.68 0.84%
Trade id #100996297
Max drawdown($280)
Time3/4/16 12:09
Quant open0
Worst price54.68
Drawdown as % of equity-0.84%
 ($290)
Includes Typical Broker Commissions trade costs of $10.00
3/4/16 12:04 LABD DIREXION DAILY S&P BIOTECH BEAR 3X LONG 500 54.65 3/4 12:05 54.00 0.97%
Trade id #100996253
Max drawdown($325)
Time3/4/16 12:05
Quant open0
Worst price54.00
Drawdown as % of equity-0.97%
 ($335)
Includes Typical Broker Commissions trade costs of $10.00
3/4/16 9:51 LABD DIREXION DAILY S&P BIOTECH BEAR 3X SHORT 500 57.94 3/4 9:52 57.89 n/a $15
Includes Typical Broker Commissions trade costs of $10.00
3/4/16 9:35 LABD DIREXION DAILY S&P BIOTECH BEAR 3X LONG 500 60.19 3/4 9:36 60.35 n/a $70
Includes Typical Broker Commissions trade costs of $10.00
3/4/16 9:31 LABD DIREXION DAILY S&P BIOTECH BEAR 3X SHORT 500 58.16 3/4 9:32 58.00 n/a $70
Includes Typical Broker Commissions trade costs of $10.00
3/3/16 9:40 SIG SIGNET JEWELERS SHORT 200 113.99 3/3 10:13 114.64 0.47%
Trade id #100967766
Max drawdown($158)
Time3/3/16 10:11
Quant open-200
Worst price114.78
Drawdown as % of equity-0.47%
 ($134)
Includes Typical Broker Commissions trade costs of $4.00
3/2/16 10:47 LABD DIREXION DAILY S&P BIOTECH BEAR 3X LONG 200 59.92 3/3 9:56 56.53 2.11%
Trade id #100947615
Max drawdown($710)
Time3/3/16 8:59
Quant open200
Worst price56.37
Drawdown as % of equity-2.11%
 ($682)
Includes Typical Broker Commissions trade costs of $4.00
3/3/16 9:41 VRX VALEANT PHARMACEUTICALS LONG 200 65.57 3/3 9:47 65.25 0.19%
Trade id #100968180
Max drawdown($64)
Time3/3/16 9:44
Quant open200
Worst price65.25
Drawdown as % of equity-0.19%
 ($68)
Includes Typical Broker Commissions trade costs of $4.00
3/2/16 9:37 CXO CONCHO RESOURCES SHORT 200 91.73 3/2 10:47 91.80 1%
Trade id #100945303
Max drawdown($342)
Time3/2/16 10:29
Quant open-200
Worst price93.44
Drawdown as % of equity-1.00%
 ($18)
Includes Typical Broker Commissions trade costs of $4.00
3/1/16 9:43 VRX VALEANT PHARMACEUTICALS LONG 200 63.06 3/1 9:55 64.16 0.31%
Trade id #100918998
Max drawdown($106)
Time3/1/16 9:45
Quant open200
Worst price62.53
Drawdown as % of equity-0.31%
 $216
Includes Typical Broker Commissions trade costs of $4.00
3/1/16 9:40 VRX VALEANT PHARMACEUTICALS SHORT 200 61.62 3/1 9:43 62.96 0.79%
Trade id #100918883
Max drawdown($268)
Time3/1/16 9:43
Quant open0
Worst price62.96
Drawdown as % of equity-0.79%
 ($272)
Includes Typical Broker Commissions trade costs of $4.00
3/1/16 9:32 ENDP ENDO INTERNATIONAL PLC ORDINAR LONG 200 43.00 3/1 9:34 42.06 0.55%
Trade id #100918451
Max drawdown($188)
Time3/1/16 9:34
Quant open0
Worst price42.06
Drawdown as % of equity-0.55%
 ($192)
Includes Typical Broker Commissions trade costs of $4.00
2/29/16 9:40 CRI CARTER'S SHORT 200 101.61 2/29 10:02 101.48 0.16%
Trade id #100893818
Max drawdown($56)
Time2/29/16 9:42
Quant open-200
Worst price101.89
Drawdown as % of equity-0.16%
 $22
Includes Typical Broker Commissions trade costs of $4.00
2/29/16 9:51 KSU KANSAS CITY SOUTHERN LONG 200 82.77 2/29 9:55 82.52 0.14%
Trade id #100894106
Max drawdown($50)
Time2/29/16 9:55
Quant open0
Worst price82.52
Drawdown as % of equity-0.14%
 ($54)
Includes Typical Broker Commissions trade costs of $4.00
2/29/16 9:40 NFLX NETFLIX SHORT 200 96.30 2/29 9:48 96.40 0.17%
Trade id #100893829
Max drawdown($59)
Time2/29/16 9:42
Quant open-200
Worst price96.60
Drawdown as % of equity-0.17%
 ($24)
Includes Typical Broker Commissions trade costs of $4.00
2/26/16 9:57 NFLX NETFLIX SHORT 200 96.73 2/26 10:09 95.65 0.18%
Trade id #100868998
Max drawdown($60)
Time2/26/16 9:59
Quant open-200
Worst price97.03
Drawdown as % of equity-0.18%
 $212
Includes Typical Broker Commissions trade costs of $4.00
2/26/16 9:43 NFLX NETFLIX SHORT 200 96.50 2/26 9:49 96.37 0.14%
Trade id #100868649
Max drawdown($48)
Time2/26/16 9:46
Quant open-200
Worst price96.74
Drawdown as % of equity-0.14%
 $22
Includes Typical Broker Commissions trade costs of $4.00
2/25/16 9:57 LABD DIREXION DAILY S&P BIOTECH BEAR 3X LONG 200 73.46 2/25 10:11 74.00 0.52%
Trade id #100845863
Max drawdown($176)
Time2/25/16 9:59
Quant open200
Worst price72.58
Drawdown as % of equity-0.52%
 $104
Includes Typical Broker Commissions trade costs of $4.00
2/25/16 9:39 LABD DIREXION DAILY S&P BIOTECH BEAR 3X LONG 200 71.02 2/25 9:51 71.62 0.19%
Trade id #100845225
Max drawdown($63)
Time2/25/16 9:41
Quant open200
Worst price70.70
Drawdown as % of equity-0.19%
 $116
Includes Typical Broker Commissions trade costs of $4.00
2/24/16 10:06 VRTX VERTEX LONG 200 84.99 2/24 10:11 83.93 0.62%
Trade id #100823593
Max drawdown($212)
Time2/24/16 10:11
Quant open0
Worst price83.93
Drawdown as % of equity-0.62%
 ($216)
Includes Typical Broker Commissions trade costs of $4.00
2/24/16 9:49 VRX VALEANT PHARMACEUTICALS LONG 200 80.20 2/24 9:59 80.52 0.54%
Trade id #100822749
Max drawdown($186)
Time2/24/16 9:51
Quant open200
Worst price79.27
Drawdown as % of equity-0.54%
 $60
Includes Typical Broker Commissions trade costs of $4.00
2/23/16 9:38 VRX VALEANT PHARMACEUTICALS SHORT 200 79.73 2/24 9:30 78.01 2.81%
Trade id #100795510
Max drawdown($950)
Time2/23/16 9:53
Quant open-200
Worst price84.48
Drawdown as % of equity-2.81%
 $340
Includes Typical Broker Commissions trade costs of $4.00
2/22/16 9:38 RDUS SCHNITZER STEEL INDUSTRIES INC. CLASS A SHORT 200 35.51 2/22 9:50 34.60 0.71%
Trade id #100755038
Max drawdown($238)
Time2/22/16 9:40
Quant open-200
Worst price36.70
Drawdown as % of equity-0.71%
 $178
Includes Typical Broker Commissions trade costs of $4.00
2/18/16 10:13 BA BOEING LONG 200 117.17 2/18 10:31 117.23 n/a $8
Includes Typical Broker Commissions trade costs of $4.00
Next

Statistics

  • Strategy began
    9/11/2015
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    3137.89
  • Age
    105 months ago
  • What it trades
    Stocks
  • # Trades
    220
  • # Profitable
    98
  • % Profitable
    44.50%
  • Avg trade duration
    13.5 days
  • Max peak-to-valley drawdown
    80.59%
  • drawdown period
    Nov 25, 2015 - Dec 12, 2016
  • Annual Return (Compounded)
    -23.2%
  • Avg win
    $443.14
  • Avg loss
    $127.30
  • Model Account Values (Raw)
  • Cash
    $79,442
  • Margin Used
    $70,492
  • Buying Power
    $32,599
  • Ratios
  • W:L ratio
    2.68:1
  • Sharpe Ratio
    0.28
  • Sortino Ratio
    0.46
  • Calmar Ratio
    0.362
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -54.31%
  • Correlation to SP500
    -0.15480
  • Return Percent SP500 (cumu) during strategy life
    155.53%
  • Return Statistics
  • Ann Return (w trading costs)
    -23.2%
  • Slump
  • Current Slump as Pcnt Equity
    30.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.47%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.232%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    7.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    526
  • 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
    $127
  • Avg Win
    $443
  • Sum Trade PL (losers)
    $15,531.000
  • Age
  • Num Months filled monthly returns table
    104
  • Win / Loss
  • Sum Trade PL (winners)
    $43,428.000
  • # Winners
    98
  • Num Months Winners
    40
  • Dividends
  • Dividends Received in Model Acct
    -1800
  • Win / Loss
  • # Losers
    122
  • % Winners
    44.5%
  • Frequency
  • Avg Position Time (mins)
    19422.90
  • Avg Position Time (hrs)
    323.71
  • Avg Trade Length
    13.5 days
  • Last Trade Ago
    2956
  • Regression
  • Alpha
    0.06
  • Beta
    -0.45
  • Treynor Index
    -0.11
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    74.89
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    41.14
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.48
  • MAE:Equity, average, winning trades
    0.05
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    19.228
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    1.946
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.290
  • Hold-and-Hope Ratio
    0.597
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03671
  • SD
    0.61387
  • Sharpe ratio (Glass type estimate)
    -0.05981
  • Sharpe ratio (Hedges UMVUE)
    -0.05727
  • df
    18.00000
  • t
    -0.07525
  • p
    0.50887
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.61675
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.49874
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.61501
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.50046
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.09053
  • Upside Potential Ratio
    1.73984
  • Upside part of mean
    0.70559
  • Downside part of mean
    -0.74230
  • Upside SD
    0.43891
  • Downside SD
    0.40555
  • N nonnegative terms
    10.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.10938
  • Mean of criterion
    -0.03671
  • SD of predictor
    0.10321
  • SD of criterion
    0.61387
  • Covariance
    0.00673
  • r
    0.10623
  • b (slope, estimate of beta)
    0.63179
  • a (intercept, estimate of alpha)
    -0.10582
  • Mean Square Error
    0.39450
  • DF error
    17.00000
  • t(b)
    0.44047
  • p(b)
    0.43250
  • t(a)
    -0.20224
  • p(a)
    0.53118
  • Lowerbound of 95% confidence interval for beta
    -2.39441
  • Upperbound of 95% confidence interval for beta
    3.65799
  • Lowerbound of 95% confidence interval for alpha
    -1.20973
  • Upperbound of 95% confidence interval for alpha
    0.99810
  • Treynor index (mean / b)
    -0.05811
  • Jensen alpha (a)
    -0.10582
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.21819
  • SD
    0.62428
  • Sharpe ratio (Glass type estimate)
    -0.34950
  • Sharpe ratio (Hedges UMVUE)
    -0.33470
  • df
    18.00000
  • t
    -0.43978
  • p
    0.55155
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.90648
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.21703
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.89615
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.22675
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.45483
  • Upside Potential Ratio
    1.30524
  • Upside part of mean
    0.62614
  • Downside part of mean
    -0.84433
  • Upside SD
    0.37823
  • Downside SD
    0.47971
  • N nonnegative terms
    10.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.10380
  • Mean of criterion
    -0.21819
  • SD of predictor
    0.10287
  • SD of criterion
    0.62428
  • Covariance
    0.00656
  • r
    0.10211
  • b (slope, estimate of beta)
    0.61967
  • a (intercept, estimate of alpha)
    -0.28251
  • Mean Square Error
    0.40835
  • DF error
    17.00000
  • t(b)
    0.42323
  • p(b)
    0.43511
  • t(a)
    -0.53294
  • p(a)
    0.58139
  • Lowerbound of 95% confidence interval for beta
    -2.46942
  • Upperbound of 95% confidence interval for beta
    3.70877
  • Lowerbound of 95% confidence interval for alpha
    -1.40092
  • Upperbound of 95% confidence interval for alpha
    0.83589
  • Treynor index (mean / b)
    -0.35210
  • Jensen alpha (a)
    -0.28251
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.26993
  • Expected Shortfall on VaR
    0.32141
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.13886
  • Expected Shortfall on VaR
    0.26204
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    19.00000
  • Minimum
    0.63209
  • Quartile 1
    0.92656
  • Median
    1.00164
  • Quartile 3
    1.05057
  • Maximum
    1.43377
  • Mean of quarter 1
    0.80100
  • Mean of quarter 2
    0.96576
  • Mean of quarter 3
    1.01915
  • Mean of quarter 4
    1.20944
  • Inter Quartile Range
    0.12401
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.05263
  • Mean of outliers low
    0.63209
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.10526
  • Mean of outliers high
    1.34348
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.38364
  • VaR(95%) (moments method)
    0.19299
  • Expected Shortfall (moments method)
    0.20361
  • Extreme Value Index (regression method)
    -0.48766
  • VaR(95%) (regression method)
    0.20982
  • Expected Shortfall (regression method)
    0.24620
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.66358
  • Quartile 1
    0.66358
  • Median
    0.66358
  • Quartile 3
    0.66358
  • Maximum
    0.66358
  • 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)
    -0.17739
  • Compounded annual return (geometric extrapolation)
    -0.18799
  • Calmar ratio (compounded annual return / max draw down)
    -0.28329
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.58487
  • 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
    0.02936
  • SD
    0.68131
  • Sharpe ratio (Glass type estimate)
    0.04309
  • Sharpe ratio (Hedges UMVUE)
    0.04303
  • df
    559.00000
  • t
    0.05498
  • p
    0.47809
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.49306
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.57924
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.49312
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.57918
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.05910
  • Upside Potential Ratio
    7.20055
  • Upside part of mean
    3.57680
  • Downside part of mean
    -3.54744
  • Upside SD
    0.46541
  • Downside SD
    0.49674
  • N nonnegative terms
    234.00000
  • N negative terms
    326.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    560.00000
  • Mean of predictor
    0.11083
  • Mean of criterion
    0.02936
  • SD of predictor
    0.12477
  • SD of criterion
    0.68131
  • Covariance
    -0.01873
  • r
    -0.22040
  • b (slope, estimate of beta)
    -1.20355
  • a (intercept, estimate of alpha)
    0.68800
  • Mean Square Error
    0.44242
  • DF error
    558.00000
  • t(b)
    -5.33755
  • p(b)
    1.00000
  • t(a)
    0.31183
  • p(a)
    0.37764
  • Lowerbound of 95% confidence interval for beta
    -1.64645
  • Upperbound of 95% confidence interval for beta
    -0.76064
  • Lowerbound of 95% confidence interval for alpha
    -0.86241
  • Upperbound of 95% confidence interval for alpha
    1.18792
  • Treynor index (mean / b)
    -0.02439
  • Jensen alpha (a)
    0.16275
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.20831
  • SD
    0.69556
  • Sharpe ratio (Glass type estimate)
    -0.29949
  • Sharpe ratio (Hedges UMVUE)
    -0.29909
  • df
    559.00000
  • t
    -0.38212
  • p
    0.64874
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.83561
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.23689
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.83534
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.23716
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.39060
  • Upside Potential Ratio
    6.51491
  • Upside part of mean
    3.47449
  • Downside part of mean
    -3.68280
  • Upside SD
    0.44570
  • Downside SD
    0.53331
  • N nonnegative terms
    234.00000
  • N negative terms
    326.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    560.00000
  • Mean of predictor
    0.10304
  • Mean of criterion
    -0.20831
  • SD of predictor
    0.12486
  • SD of criterion
    0.69556
  • Covariance
    -0.01839
  • r
    -0.21179
  • b (slope, estimate of beta)
    -1.17985
  • a (intercept, estimate of alpha)
    -0.08674
  • Mean Square Error
    0.46293
  • DF error
    558.00000
  • t(b)
    -5.11898
  • p(b)
    1.00000
  • t(a)
    -0.16250
  • p(a)
    0.56452
  • Lowerbound of 95% confidence interval for beta
    -1.63258
  • Upperbound of 95% confidence interval for beta
    -0.72713
  • Lowerbound of 95% confidence interval for alpha
    -1.13524
  • Upperbound of 95% confidence interval for alpha
    0.96175
  • Treynor index (mean / b)
    0.17656
  • Jensen alpha (a)
    -0.08674
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06039
  • Expected Shortfall on VaR
    0.07491
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02574
  • Expected Shortfall on VaR
    0.05416
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    560.00000
  • Minimum
    0.71701
  • Quartile 1
    0.99227
  • Median
    1.00000
  • Quartile 3
    1.00930
  • Maximum
    1.17006
  • Mean of quarter 1
    0.96069
  • Mean of quarter 2
    0.99813
  • Mean of quarter 3
    1.00238
  • Mean of quarter 4
    1.03926
  • Inter Quartile Range
    0.01703
  • Number outliers low
    59.00000
  • Percentage of outliers low
    0.10536
  • Mean of outliers low
    0.93224
  • Number of outliers high
    52.00000
  • Percentage of outliers high
    0.09286
  • Mean of outliers high
    1.07014
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.30399
  • VaR(95%) (moments method)
    0.02901
  • Expected Shortfall (moments method)
    0.05309
  • Extreme Value Index (regression method)
    0.15235
  • VaR(95%) (regression method)
    0.03729
  • Expected Shortfall (regression method)
    0.06171
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00192
  • Quartile 1
    0.00569
  • Median
    0.01167
  • Quartile 3
    0.03697
  • Maximum
    0.74549
  • Mean of quarter 1
    0.00216
  • Mean of quarter 2
    0.01032
  • Mean of quarter 3
    0.01582
  • Mean of quarter 4
    0.40181
  • Inter Quartile Range
    0.03128
  • 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
    0.14286
  • Mean of outliers high
    0.74549
  • 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)
    -0.16952
  • Compounded annual return (geometric extrapolation)
    -0.17993
  • Calmar ratio (compounded annual return / max draw down)
    -0.24136
  • Compounded annual return / average of 25% largest draw downs
    -0.44780
  • Compounded annual return / Expected Shortfall lognormal
    -2.40190
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.64315
  • SD
    0.92177
  • Sharpe ratio (Glass type estimate)
    1.78260
  • Sharpe ratio (Hedges UMVUE)
    1.77477
  • df
    171.00000
  • t
    1.26049
  • p
    0.43901
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.99818
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.55830
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.00341
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.55295
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.54974
  • Upside Potential Ratio
    9.77085
  • Upside part of mean
    6.29672
  • Downside part of mean
    -4.65357
  • Upside SD
    0.66126
  • Downside SD
    0.64444
  • N nonnegative terms
    94.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.19248
  • Mean of criterion
    1.64315
  • SD of predictor
    0.07320
  • SD of criterion
    0.92177
  • Covariance
    -0.01999
  • r
    -0.29619
  • b (slope, estimate of beta)
    -3.72957
  • a (intercept, estimate of alpha)
    2.36102
  • Mean Square Error
    0.77968
  • DF error
    170.00000
  • t(b)
    -4.04324
  • p(b)
    0.64809
  • t(a)
    1.87189
  • p(a)
    0.42895
  • Lowerbound of 95% confidence interval for beta
    -5.55045
  • Upperbound of 95% confidence interval for beta
    -1.90870
  • Lowerbound of 95% confidence interval for alpha
    -0.12882
  • Upperbound of 95% confidence interval for alpha
    4.85086
  • Treynor index (mean / b)
    -0.44057
  • Jensen alpha (a)
    2.36102
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.20398
  • SD
    0.94692
  • Sharpe ratio (Glass type estimate)
    1.27147
  • Sharpe ratio (Hedges UMVUE)
    1.26589
  • df
    171.00000
  • t
    0.89907
  • p
    0.45637
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.50540
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.04476
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.50916
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.04094
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.70453
  • Upside Potential Ratio
    8.62427
  • Upside part of mean
    6.09168
  • Downside part of mean
    -4.88770
  • Upside SD
    0.62987
  • Downside SD
    0.70634
  • N nonnegative terms
    94.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.18977
  • Mean of criterion
    1.20398
  • SD of predictor
    0.07297
  • SD of criterion
    0.94692
  • Covariance
    -0.01943
  • r
    -0.28115
  • b (slope, estimate of beta)
    -3.64834
  • a (intercept, estimate of alpha)
    1.89632
  • Mean Square Error
    0.83063
  • DF error
    170.00000
  • t(b)
    -3.81990
  • p(b)
    0.64058
  • t(a)
    1.45694
  • p(a)
    0.44447
  • VAR (95 Confidence Intrvl)
    0.07800
  • Lowerbound of 95% confidence interval for beta
    -5.53370
  • Upperbound of 95% confidence interval for beta
    -1.76298
  • Lowerbound of 95% confidence interval for alpha
    -0.67301
  • Upperbound of 95% confidence interval for alpha
    4.46566
  • Treynor index (mean / b)
    -0.33001
  • Jensen alpha (a)
    1.89632
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07732
  • Expected Shortfall on VaR
    0.09664
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02860
  • Expected Shortfall on VaR
    0.06206
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.71701
  • Quartile 1
    0.99109
  • Median
    1.00380
  • Quartile 3
    1.02622
  • Maximum
    1.17006
  • Mean of quarter 1
    0.94731
  • Mean of quarter 2
    0.99876
  • Mean of quarter 3
    1.01356
  • Mean of quarter 4
    1.05960
  • Inter Quartile Range
    0.03513
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.08140
  • Mean of outliers low
    0.90412
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.05233
  • Mean of outliers high
    1.11870
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.51687
  • VaR(95%) (moments method)
    0.03376
  • Expected Shortfall (moments method)
    0.04015
  • Extreme Value Index (regression method)
    0.06603
  • VaR(95%) (regression method)
    0.04828
  • Expected Shortfall (regression method)
    0.07524
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00065
  • Quartile 1
    0.01290
  • Median
    0.04415
  • Quartile 3
    0.10778
  • Maximum
    0.55245
  • Mean of quarter 1
    0.00615
  • Mean of quarter 2
    0.01962
  • Mean of quarter 3
    0.08357
  • Mean of quarter 4
    0.33462
  • Inter Quartile Range
    0.09487
  • 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
    0.12500
  • Mean of outliers high
    0.55245
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    383
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.66971
  • Compounded annual return (geometric extrapolation)
    2.36669
  • Calmar ratio (compounded annual return / max draw down)
    4.28396
  • Compounded annual return / average of 25% largest draw downs
    7.07274
  • Compounded annual return / Expected Shortfall lognormal
    24.49020

Strategy Description

Limit: 15 Subscribers

All Manual Traders: This system normally trades one day trade per day with an average entry time of 9:31a to 9:56a E.T. and an average exit time up to 75 minutes after entry (although there are a few exceptions sometimes).

Disclaimer: The following description of the Daily Cash II system states 2 goals. When you see these "goal" statements just remember that these are just goals. No performance can be guaranteed and the actual real-world results may be vastly different from the goals stated here:

This is a stock day trading system with the "goal" of capturing a minimum of .50 (or more) per share on each trade.

Another "goal" for this system will be to attempt a monthly increase of at least 10%.

This system will trade no more than 2 day trades per day to include at least One Short and/or One Long, in an attempt to capture cash on a daily basis.

In terms of the number of shares traded per transaction, up to 1% of the Total Trading Capital Figure will be used on each trade unless the system temporarily adopts a "repair mode" posture where up to 1/3 of the 1%, aforementioned, will be used. (Normally a "repair mode" posture is adopted immediately after any one trade loss and will continue until all lost funds are recovered in full).

Although the trade entries and exits are discretionary by the System Trader, the actual trade selection and initial trade direction is determined by a proprietary-based stock system analysis program developed by the system trader.

Stop-Losses are not placed on trades and are discretionary by the System Trader.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2015-09-11
Suggested Minimum Capital
$30,000
# Trades
220
# Profitable
98
% Profitable
44.5%
Net Dividends
($1,800)
Correlation S&P500
-0.155
Sharpe Ratio
0.28
Sortino Ratio
0.46
Beta
-0.45
Alpha
0.06

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.

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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.