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AlgoFolio Short
(116203071)

Created by: AlgoFolio AlgoFolio
Started: 01/2018
Stocks
Last trade: Today
Trading style: Equity Non-hedged Equity

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 $249.00 per month.

Trading Category: Equity
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
171.9%
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.

(36.3%)
Max Drawdown
407
Num Trades
63.9%
Win Trades
1.8 : 1
Profit Factor
83.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018  -  +20.5%+5.7%+4.6%+39.3%(8.9%)+11.2%+1.4%+26.6%+9.5%+0.7%+2.2%+171.9%

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

This strategy has placed 586 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/16/18 9:47 MAC MACERICH SHORT 500 48.97 12/12 9:50 48.38 n/a $285
Includes Typical Broker Commissions trade costs of $10.00
12/9/18 23:13 GBP/CHF GBP/CHF SHORT 50 1.25886 12/10 13:43 1.24381 0.35%
Trade id #121416813
Max drawdown($1,077)
Time12/10/18 3:06
Quant open-50
Worst price1.26099
Drawdown as % of equity-0.35%
$7,601
11/21/18 9:30 CAR AVIS BUDGET GROUP SHORT 800 27.17 12/10 13:37 26.73 0.58%
Trade id #121094179
Max drawdown($1,614)
Time11/28/18 14:21
Quant open-400
Worst price31.13
Drawdown as % of equity-0.58%
$345
Includes Typical Broker Commissions trade costs of $12.50
12/9/18 23:20 @ESH9 E-MINI S&P 500 SHORT 5 2622.58 12/10 13:32 2604.68 2.19%
Trade id #121416877
Max drawdown($6,543)
Time12/10/18 8:21
Quant open-5
Worst price2648.75
Drawdown as % of equity-2.19%
$4,435
Includes Typical Broker Commissions trade costs of $40.00
11/16/18 9:30 CELG CELGENE SHORT 400 69.82 12/10 11:23 67.37 0.77%
Trade id #121001210
Max drawdown($2,022)
Time12/4/18 9:52
Quant open-400
Worst price74.88
Drawdown as % of equity-0.77%
$973
Includes Typical Broker Commissions trade costs of $8.00
11/21/18 9:30 HAL HALLIBURTON SHORT 400 31.91 12/7 14:40 29.73 0.18%
Trade id #121094171
Max drawdown($480)
Time12/3/18 10:00
Quant open-400
Worst price33.11
Drawdown as % of equity-0.18%
$865
Includes Typical Broker Commissions trade costs of $8.00
11/16/18 9:47 BG BUNGE SHORT 500 58.55 12/7 13:50 57.96 0.25%
Trade id #121002072
Max drawdown($684)
Time12/3/18 4:01
Quant open-400
Worst price60.00
Drawdown as % of equity-0.25%
$287
Includes Typical Broker Commissions trade costs of $10.00
11/21/18 9:30 CMA COMERICA SHORT 600 78.34 12/7 13:50 74.14 0.56%
Trade id #121094215
Max drawdown($1,596)
Time11/23/18 8:01
Quant open-300
Worst price84.53
Drawdown as % of equity-0.56%
$2,509
Includes Typical Broker Commissions trade costs of $12.00
11/21/18 9:30 AMG AFFILIATED MANAGERS GROUP SHORT 200 107.32 12/7 13:17 104.66 0.4%
Trade id #121094189
Max drawdown($1,094)
Time12/3/18 9:37
Quant open-165
Worst price114.43
Drawdown as % of equity-0.40%
$528
Includes Typical Broker Commissions trade costs of $4.00
11/21/18 9:30 HFC HOLLYFRONTIER SHORT 500 59.25 12/7 12:55 57.65 0.38%
Trade id #121094166
Max drawdown($1,066)
Time12/3/18 6:54
Quant open-300
Worst price63.22
Drawdown as % of equity-0.38%
$788
Includes Typical Broker Commissions trade costs of $10.00
11/21/18 9:30 APC ANADARKO PETROLEUM SHORT 400 52.78 12/7 12:50 51.62 0.47%
Trade id #121094199
Max drawdown($1,215)
Time12/4/18 9:32
Quant open-400
Worst price55.82
Drawdown as % of equity-0.47%
$458
Includes Typical Broker Commissions trade costs of $8.00
12/4/18 13:58 @NQH9 E-MINI NASDAQ 100 STK IDX SHORT 8 6829.78 12/6 11:26 6675.78 1.4%
Trade id #121340448
Max drawdown($3,600)
Time12/4/18 14:49
Quant open-5
Worst price6923.75
Drawdown as % of equity-1.40%
$24,576
Includes Typical Broker Commissions trade costs of $64.00
11/21/18 9:30 BHF BRIGHTHOUSE FINANCIAL INC. COMMON STOCK SHORT 500 38.55 12/6 11:24 35.88 0.5%
Trade id #121094126
Max drawdown($1,375)
Time12/3/18 9:58
Quant open-400
Worst price41.86
Drawdown as % of equity-0.50%
$1,325
Includes Typical Broker Commissions trade costs of $10.00
11/21/18 14:46 GBP/CHF GBP/CHF SHORT 50 1.27063 12/6 9:51 1.26686 2.23%
Trade id #121108837
Max drawdown($6,419)
Time11/22/18 5:38
Quant open-50
Worst price1.28336
Drawdown as % of equity-2.23%
$1,904
12/4/18 13:56 @RTYH9 Russell 2000 CME SHORT 8 1489.29 12/6 9:33 1460.29 0.35%
Trade id #121340331
Max drawdown($905)
Time12/4/18 14:48
Quant open-5
Worst price1505.30
Drawdown as % of equity-0.35%
$11,536
Includes Typical Broker Commissions trade costs of $64.00
12/4/18 13:57 EXH9 DJ EURO STOXX 50 SHORT 5 3131.40 12/6 7:05 3065.40 0.45%
Trade id #121340410
Max drawdown($1,169)
Time12/5/18 8:25
Quant open-5
Worst price3152.00
Drawdown as % of equity-0.45%
$3,703
Includes Typical Broker Commissions trade costs of $40.00
12/4/18 14:07 DXMH9 MINI-DAX INDEX SHORT 3 11178.0 12/6 6:47 10911.0 0.5%
Trade id #121340789
Max drawdown($1,294)
Time12/5/18 8:24
Quant open-3
Worst price11254.0
Drawdown as % of equity-0.50%
$4,518
Includes Typical Broker Commissions trade costs of $24.00
11/21/18 3:50 @USZ8 US T-BOND SHORT 9 139 24/32 12/5 23:29 143 7/32 13.13%
Trade id #121089009
Max drawdown($34,467)
Time12/4/18 13:29
Quant open-9
Worst price143 19/32
Drawdown as % of equity-13.13%
($31,167)
Includes Typical Broker Commissions trade costs of $72.00
11/5/18 10:34 AMZN AMAZON.COM SHORT 100 1610.21 11/14 15:55 1597.23 7.39%
Trade id #120729497
Max drawdown($17,379)
Time11/8/18 10:40
Quant open-100
Worst price1784.00
Drawdown as % of equity-7.39%
$1,296
Includes Typical Broker Commissions trade costs of $2.00
11/5/18 10:37 ADBE ADOBE INC SHORT 300 234.27 11/14 13:44 233.19 2.53%
Trade id #120729654
Max drawdown($5,957)
Time11/8/18 9:31
Quant open-300
Worst price254.13
Drawdown as % of equity-2.53%
$318
Includes Typical Broker Commissions trade costs of $6.00
11/5/18 10:36 ATVI ACTIVISION BLIZZARD SHORT 300 64.96 11/13 9:30 54.20 0.22%
Trade id #120729561
Max drawdown($519)
Time11/8/18 5:40
Quant open-300
Worst price66.69
Drawdown as % of equity-0.22%
$3,221
Includes Typical Broker Commissions trade costs of $6.00
11/6/18 22:15 @ESZ8 E-MINI S&P 500 SHORT 7 2758.75 11/13 2:50 2741.00 8.92%
Trade id #120782194
Max drawdown($20,737)
Time11/7/18 20:27
Quant open-7
Worst price2818.00
Drawdown as % of equity-8.92%
$6,157
Includes Typical Broker Commissions trade costs of $56.00
11/5/18 10:33 AAPL APPLE SHORT 300 199.34 11/12 10:40 194.89 1.43%
Trade id #120729419
Max drawdown($3,332)
Time11/7/18 19:37
Quant open-300
Worst price210.45
Drawdown as % of equity-1.43%
$1,329
Includes Typical Broker Commissions trade costs of $6.00
11/5/18 10:36 QRVO QORVO INC. COMMON STOCK SHORT 300 67.51 11/12 9:30 64.85 0.47%
Trade id #120729571
Max drawdown($1,104)
Time11/8/18 13:01
Quant open-300
Worst price71.19
Drawdown as % of equity-0.47%
$792
Includes Typical Broker Commissions trade costs of $6.00
11/5/18 10:35 SWKS SKYWORKS SOLUTIONS SHORT 300 81.47 11/9 9:30 77.50 0.36%
Trade id #120729530
Max drawdown($852)
Time11/8/18 10:59
Quant open-300
Worst price84.31
Drawdown as % of equity-0.36%
$1,185
Includes Typical Broker Commissions trade costs of $6.00
11/5/18 0:43 @USZ8 US T-BOND SHORT 20 137 6/32 11/6 20:24 137 4.86%
Trade id #120720195
Max drawdown($12,810)
Time11/6/18 19:42
Quant open-20
Worst price137 26/32
Drawdown as % of equity-4.86%
$3,280
Includes Typical Broker Commissions trade costs of $160.00
10/10/18 18:11 NZD/JPY NZD/JPY SHORT 75 72.577 10/26 1:24 72.573 4.76%
Trade id #120286720
Max drawdown($12,282)
Time10/21/18 17:11
Quant open-75
Worst price74.414
Drawdown as % of equity-4.76%
$26
10/10/18 18:11 AUD/JPY AUD/JPY SHORT 75 79.360 10/23 2:06 79.360 2.95%
Trade id #120286712
Max drawdown($7,523)
Time10/19/18 9:54
Quant open-75
Worst price80.488
Drawdown as % of equity-2.95%
$0
10/10/18 15:40 AMD ADVANCED MICRO DEVICES INC. C SHORT 500 25.10 10/19 12:21 25.10 0.72%
Trade id #120284114
Max drawdown($1,850)
Time10/16/18 19:50
Quant open-500
Worst price28.80
Drawdown as % of equity-0.72%
($10)
Includes Typical Broker Commissions trade costs of $10.00
10/11/18 14:46 IBM INTERNATIONAL BUSINESS MACHINE SHORT 200 139.03 10/17 9:30 135.51 0.57%
Trade id #120308285
Max drawdown($1,472)
Time10/16/18 16:07
Quant open-200
Worst price146.39
Drawdown as % of equity-0.57%
$699
Includes Typical Broker Commissions trade costs of $4.00

Statistics

  • Strategy began
    1/31/2018
  • Suggested Minimum Cap
    $300,000
  • Strategy Age (days)
    315.42
  • Age
    11 months ago
  • What it trades
    Stocks
  • # Trades
    407
  • # Profitable
    260
  • % Profitable
    63.90%
  • Avg trade duration
    2.9 days
  • Max peak-to-valley drawdown
    36.32%
  • drawdown period
    June 12, 2018 - Aug 08, 2018
  • Cumul. Return
    171.9%
  • Avg win
    $1,614
  • Avg loss
    $1,601
  • Model Account Values (Raw)
  • Cash
    $625,486
  • Margin Used
    $527,630
  • Buying Power
    $53,918
  • Ratios
  • W:L ratio
    1.79:1
  • Sharpe Ratio
    2.146
  • Sortino Ratio
    3.672
  • Calmar Ratio
    7.904
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.16200
  • Return Statistics
  • Ann Return (w trading costs)
    214.4%
  • Ann Return (Compnd, No Fees)
    231.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    42.50%
  • Chance of 20% account loss
    24.50%
  • Chance of 30% account loss
    10.50%
  • Chance of 40% account loss
    1.00%
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    890
  • Popularity (Last 6 weeks)
    969
  • C2 Score
    90.0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $1,606
  • Avg Win
    $1,614
  • # Winners
    260
  • # Losers
    147
  • % Winners
    63.9%
  • Frequency
  • Avg Position Time (mins)
    4207.33
  • Avg Position Time (hrs)
    70.12
  • Avg Trade Length
    2.9 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.33025
  • SD
    0.46753
  • Sharpe ratio (Glass type estimate)
    2.84530
  • Sharpe ratio (Hedges UMVUE)
    2.60025
  • df
    9.00000
  • t
    2.59739
  • p
    0.01443
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.28146
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.29591
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.14003
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.06047
  • Statistics related to Sortino ratio
  • Sortino ratio
    14.70160
  • Upside Potential Ratio
    16.22660
  • Upside part of mean
    1.46825
  • Downside part of mean
    -0.13799
  • Upside SD
    0.57966
  • Downside SD
    0.09048
  • N nonnegative terms
    7.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    -0.03453
  • Mean of criterion
    1.33025
  • SD of predictor
    0.12975
  • SD of criterion
    0.46753
  • Covariance
    -0.02793
  • r
    -0.46036
  • b (slope, estimate of beta)
    -1.65884
  • a (intercept, estimate of alpha)
    1.27297
  • Mean Square Error
    0.19379
  • DF error
    8.00000
  • t(b)
    -1.46675
  • p(b)
    0.90969
  • t(a)
    2.63113
  • p(a)
    0.01506
  • Lowerbound of 95% confidence interval for beta
    -4.26685
  • Upperbound of 95% confidence interval for beta
    0.94917
  • Lowerbound of 95% confidence interval for alpha
    0.15730
  • Upperbound of 95% confidence interval for alpha
    2.38864
  • Treynor index (mean / b)
    -0.80192
  • Jensen alpha (a)
    1.27297
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.17882
  • SD
    0.42226
  • Sharpe ratio (Glass type estimate)
    2.79171
  • Sharpe ratio (Hedges UMVUE)
    2.55128
  • df
    9.00000
  • t
    2.54847
  • p
    0.01564
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24084
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.23031
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.10202
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.00053
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.63060
  • Upside Potential Ratio
    14.15140
  • Upside part of mean
    1.32075
  • Downside part of mean
    -0.14193
  • Upside SD
    0.51726
  • Downside SD
    0.09333
  • N nonnegative terms
    7.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    -0.04220
  • Mean of criterion
    1.17882
  • SD of predictor
    0.13133
  • SD of criterion
    0.42226
  • Covariance
    -0.02534
  • r
    -0.45705
  • b (slope, estimate of beta)
    -1.46958
  • a (intercept, estimate of alpha)
    1.11680
  • Mean Square Error
    0.15868
  • DF error
    8.00000
  • t(b)
    -1.45343
  • p(b)
    0.90791
  • t(a)
    2.54712
  • p(a)
    0.01716
  • Lowerbound of 95% confidence interval for beta
    -3.80120
  • Upperbound of 95% confidence interval for beta
    0.86204
  • Lowerbound of 95% confidence interval for alpha
    0.10572
  • Upperbound of 95% confidence interval for alpha
    2.12788
  • Treynor index (mean / b)
    -0.80215
  • Jensen alpha (a)
    1.11680
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09721
  • Expected Shortfall on VaR
    0.14118
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01831
  • Expected Shortfall on VaR
    0.04102
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.92995
  • Quartile 1
    1.00376
  • Median
    1.09574
  • Quartile 3
    1.25385
  • Maximum
    1.27521
  • Mean of quarter 1
    0.96400
  • Mean of quarter 2
    1.05265
  • Mean of quarter 3
    1.16765
  • Mean of quarter 4
    1.26641
  • Inter Quartile Range
    0.25009
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -95.86430
  • VaR(95%) (moments method)
    0.00326
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.17068
  • VaR(95%) (regression method)
    0.08773
  • Expected Shortfall (regression method)
    0.09521
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00059
  • Quartile 1
    0.01898
  • Median
    0.03737
  • Quartile 3
    0.05371
  • Maximum
    0.07005
  • Mean of quarter 1
    0.00059
  • Mean of quarter 2
    0.03737
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.07005
  • Inter Quartile Range
    0.03473
  • 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)
    2.08026
  • Compounded annual return (geometric extrapolation)
    2.34251
  • Calmar ratio (compounded annual return / max draw down)
    33.44200
  • Compounded annual return / average of 25% largest draw downs
    33.44200
  • Compounded annual return / Expected Shortfall lognormal
    16.59240
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.40087
  • SD
    0.65072
  • Sharpe ratio (Glass type estimate)
    2.15279
  • Sharpe ratio (Hedges UMVUE)
    2.14558
  • df
    224.00000
  • t
    1.99500
  • p
    0.02363
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.02610
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.27482
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.02128
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.26987
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.67181
  • Upside Potential Ratio
    10.96220
  • Upside part of mean
    4.18230
  • Downside part of mean
    -2.78143
  • Upside SD
    0.53244
  • Downside SD
    0.38152
  • N nonnegative terms
    114.00000
  • N negative terms
    111.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    225.00000
  • Mean of predictor
    -0.08791
  • Mean of criterion
    1.40087
  • SD of predictor
    0.16409
  • SD of criterion
    0.65072
  • Covariance
    -0.01689
  • r
    -0.15823
  • b (slope, estimate of beta)
    -0.62747
  • a (intercept, estimate of alpha)
    1.34600
  • Mean Square Error
    0.41469
  • DF error
    223.00000
  • t(b)
    -2.39296
  • p(b)
    0.99123
  • t(a)
    1.93549
  • p(a)
    0.02710
  • Lowerbound of 95% confidence interval for beta
    -1.14421
  • Upperbound of 95% confidence interval for beta
    -0.11073
  • Lowerbound of 95% confidence interval for alpha
    -0.02445
  • Upperbound of 95% confidence interval for alpha
    2.71587
  • Treynor index (mean / b)
    -2.23257
  • Jensen alpha (a)
    1.34571
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.19063
  • SD
    0.64255
  • Sharpe ratio (Glass type estimate)
    1.85298
  • Sharpe ratio (Hedges UMVUE)
    1.84677
  • df
    224.00000
  • t
    1.71717
  • p
    0.04367
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27100
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.97287
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.27511
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.96866
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.99837
  • Upside Potential Ratio
    10.19540
  • Upside part of mean
    4.04851
  • Downside part of mean
    -2.85788
  • Upside SD
    0.50869
  • Downside SD
    0.39709
  • N nonnegative terms
    114.00000
  • N negative terms
    111.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    225.00000
  • Mean of predictor
    -0.10141
  • Mean of criterion
    1.19063
  • SD of predictor
    0.16490
  • SD of criterion
    0.64255
  • Covariance
    -0.01642
  • r
    -0.15493
  • b (slope, estimate of beta)
    -0.60370
  • a (intercept, estimate of alpha)
    1.12941
  • Mean Square Error
    0.40476
  • DF error
    223.00000
  • t(b)
    -2.34192
  • p(b)
    0.98997
  • t(a)
    1.64390
  • p(a)
    0.05080
  • Lowerbound of 95% confidence interval for beta
    -1.11170
  • Upperbound of 95% confidence interval for beta
    -0.09570
  • Lowerbound of 95% confidence interval for alpha
    -0.22449
  • Upperbound of 95% confidence interval for alpha
    2.48330
  • Treynor index (mean / b)
    -1.97221
  • Jensen alpha (a)
    1.12941
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05894
  • Expected Shortfall on VaR
    0.07432
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02407
  • Expected Shortfall on VaR
    0.04899
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    225.00000
  • Minimum
    0.85754
  • Quartile 1
    0.98706
  • Median
    1.00025
  • Quartile 3
    1.01776
  • Maximum
    1.17027
  • Mean of quarter 1
    0.96181
  • Mean of quarter 2
    0.99643
  • Mean of quarter 3
    1.00900
  • Mean of quarter 4
    1.05534
  • Inter Quartile Range
    0.03070
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.04444
  • Mean of outliers low
    0.91488
  • Number of outliers high
    19.00000
  • Percentage of outliers high
    0.08444
  • Mean of outliers high
    1.09597
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26729
  • VaR(95%) (moments method)
    0.03634
  • Expected Shortfall (moments method)
    0.06082
  • Extreme Value Index (regression method)
    0.26331
  • VaR(95%) (regression method)
    0.03814
  • Expected Shortfall (regression method)
    0.06411
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00021
  • Quartile 1
    0.03280
  • Median
    0.07926
  • Quartile 3
    0.12971
  • Maximum
    0.30138
  • Mean of quarter 1
    0.00828
  • Mean of quarter 2
    0.05604
  • Mean of quarter 3
    0.10197
  • Mean of quarter 4
    0.19884
  • Inter Quartile Range
    0.09691
  • 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
    0.05263
  • Mean of outliers high
    0.30138
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.20684
  • VaR(95%) (moments method)
    0.22143
  • Expected Shortfall (moments method)
    0.26127
  • Extreme Value Index (regression method)
    0.37294
  • VaR(95%) (regression method)
    0.25313
  • Expected Shortfall (regression method)
    0.40100
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.15135
  • Compounded annual return (geometric extrapolation)
    2.38223
  • Calmar ratio (compounded annual return / max draw down)
    7.90438
  • Compounded annual return / average of 25% largest draw downs
    11.98050
  • Compounded annual return / Expected Shortfall lognormal
    32.05220
  • 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
    0.94840
  • SD
    0.67452
  • Sharpe ratio (Glass type estimate)
    1.40604
  • Sharpe ratio (Hedges UMVUE)
    1.39791
  • df
    130.00000
  • t
    0.99422
  • p
    0.45656
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.37369
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.18045
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.37910
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.17492
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.26697
  • Upside Potential Ratio
    9.92647
  • Upside part of mean
    4.15280
  • Downside part of mean
    -3.20440
  • Upside SD
    0.52907
  • Downside SD
    0.41836
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.11683
  • Mean of criterion
    0.94840
  • SD of predictor
    0.14819
  • SD of criterion
    0.67452
  • Covariance
    -0.01476
  • r
    -0.14763
  • b (slope, estimate of beta)
    -0.67193
  • a (intercept, estimate of alpha)
    0.86990
  • Mean Square Error
    0.44851
  • DF error
    129.00000
  • t(b)
    -1.69528
  • p(b)
    0.59364
  • t(a)
    0.91738
  • p(a)
    0.44880
  • Lowerbound of 95% confidence interval for beta
    -1.45613
  • Upperbound of 95% confidence interval for beta
    0.11226
  • Lowerbound of 95% confidence interval for alpha
    -1.00622
  • Upperbound of 95% confidence interval for alpha
    2.74602
  • Treynor index (mean / b)
    -1.41145
  • Jensen alpha (a)
    0.86990
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.72437
  • SD
    0.66807
  • Sharpe ratio (Glass type estimate)
    1.08428
  • Sharpe ratio (Hedges UMVUE)
    1.07801
  • df
    130.00000
  • t
    0.76670
  • p
    0.46645
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.69272
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.85716
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.69689
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.85291
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.67057
  • Upside Potential Ratio
    9.27153
  • Upside part of mean
    4.02020
  • Downside part of mean
    -3.29583
  • Upside SD
    0.50685
  • Downside SD
    0.43361
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.12780
  • Mean of criterion
    0.72437
  • SD of predictor
    0.14884
  • SD of criterion
    0.66807
  • Covariance
    -0.01445
  • r
    -0.14534
  • b (slope, estimate of beta)
    -0.65237
  • a (intercept, estimate of alpha)
    0.64099
  • Mean Square Error
    0.44027
  • DF error
    129.00000
  • t(b)
    -1.66849
  • p(b)
    0.59220
  • t(a)
    0.68212
  • p(a)
    0.46186
  • Lowerbound of 95% confidence interval for beta
    -1.42596
  • Upperbound of 95% confidence interval for beta
    0.12122
  • Lowerbound of 95% confidence interval for alpha
    -1.21823
  • Upperbound of 95% confidence interval for alpha
    2.50022
  • Treynor index (mean / b)
    -1.11037
  • Jensen alpha (a)
    0.64099
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06305
  • Expected Shortfall on VaR
    0.07896
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02741
  • Expected Shortfall on VaR
    0.05477
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.89908
  • Quartile 1
    0.98562
  • Median
    1.00053
  • Quartile 3
    1.01683
  • Maximum
    1.13618
  • Mean of quarter 1
    0.95574
  • Mean of quarter 2
    0.99595
  • Mean of quarter 3
    1.00820
  • Mean of quarter 4
    1.05516
  • Inter Quartile Range
    0.03122
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.92125
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09924
  • Mean of outliers high
    1.09176
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.14142
  • VaR(95%) (moments method)
    0.03986
  • Expected Shortfall (moments method)
    0.06037
  • Extreme Value Index (regression method)
    -0.08179
  • VaR(95%) (regression method)
    0.04303
  • Expected Shortfall (regression method)
    0.05819
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00021
  • Quartile 1
    0.05751
  • Median
    0.09629
  • Quartile 3
    0.12971
  • Maximum
    0.30138
  • Mean of quarter 1
    0.01240
  • Mean of quarter 2
    0.08616
  • Mean of quarter 3
    0.11434
  • Mean of quarter 4
    0.20501
  • Inter Quartile Range
    0.07220
  • 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
    0.09091
  • Mean of outliers high
    0.30138
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.51596
  • VaR(95%) (moments method)
    0.23793
  • Expected Shortfall (moments method)
    0.27281
  • Extreme Value Index (regression method)
    1.01698
  • VaR(95%) (regression method)
    0.31223
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.91330
  • Compounded annual return (geometric extrapolation)
    1.12183
  • Calmar ratio (compounded annual return / max draw down)
    3.72229
  • Compounded annual return / average of 25% largest draw downs
    5.47211
  • Compounded annual return / Expected Shortfall lognormal
    14.20730

Strategy Description

Strategy Objective:
Tactical short trades only
Seek low to negative correlation to SP 500
Stocks - 80% of trades
Futures - 10% of trades
Options - 10% of trades
Subscription Price - 1% of Strategy Account Value 12 months

Summary Statistics

Strategy began
2018-01-31
Suggested Minimum Capital
$300,000
# Trades
407
# Profitable
260
% Profitable
63.9%
Net Dividends
Correlation S&P500
-0.162
Sharpe Ratio
2.146

Latest Activity

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

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

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

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