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

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Just a tester
(101646724)

Created by: Samantha Samantha
Started: 04/2016
Stocks
Last trade: 2,717 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 $49.00 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.

-
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.

(100.0%)
Max Drawdown
51
Num Trades
68.6%
Win Trades
0.8 : 1
Profit Factor
5.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                     +0.7%+27.4%+31.4%+13.1%(6.3%)(3.2%)+56.3%(119.6%)(1.2%)(153.6%)
2017(0.6%)  -  (0.6%)(0.6%)  -    -    -    -    -    -    -    -  (1.8%)
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 168 hours.

Trading Record

This strategy has placed 67 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2753 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/30/16 12:29 DUST DIREXION DAILY GOLD MINERS BEAR 2X SHORT 3,600 33.20 11/16 12:51 35.09 17.15%
Trade id #106165677
Max drawdown($8,158)
Time10/3/16 10:18
Quant open-3,600
Worst price35.47
Drawdown as % of equity-17.15%
 ($6,793)
Includes Typical Broker Commissions trade costs of $7.51
9/26/16 10:00 DRIP DIREXION DAILY S&P OIL GAS EXPL BEAR 2X SHORT 11,000 23.55 11/16 10:26 24.83 209.09%
Trade id #106070156
Max drawdown($14,009)
Time11/16/16 10:26
Quant open10,999
Worst price19.03
Drawdown as % of equity209.09%
 ($14,027)
Includes Typical Broker Commissions trade costs of $17.51
9/22/16 12:29 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 10,400 16.78 11/16 10:13 16.98 8.06%
Trade id #106026974
Max drawdown($5,204)
Time9/26/16 4:14
Quant open-2,200
Worst price18.72
Drawdown as % of equity-8.06%
 ($2,077)
Includes Typical Broker Commissions trade costs of $24.01
9/15/16 9:49 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 39,550 19.32 11/15 14:29 17.30 5942.91%
Trade id #105895354
Max drawdown($79,635)
Time11/15/16 14:29
Quant open31,549
Worst price13.51
Drawdown as % of equity5942.91%
 ($79,695)
Includes Typical Broker Commissions trade costs of $59.50
9/28/16 15:26 JNUG DIREXION DAILY JR GOLD BULL 2X LONG 5,300 18.43 11/15 14:29 17.32 441.34%
Trade id #106126915
Max drawdown($5,914)
Time11/15/16 14:29
Quant open5,299
Worst price8.22
Drawdown as % of equity441.34%
 ($5,927)
Includes Typical Broker Commissions trade costs of $12.51
8/4/16 14:44 IYZ ISHARES U.S. TELECOMMUNICATIONS ETF LONG 1,700 33.67 11/15 14:29 33.46 26.87%
Trade id #104993896
Max drawdown($360)
Time11/15/16 14:29
Quant open1,699
Worst price30.78
Drawdown as % of equity26.87%
 ($365)
Includes Typical Broker Commissions trade costs of $5.01
7/26/16 10:20 TMV DIREXION DAILY 20+ YR TRSY BEA LONG 3,100 16.59 11/15 14:29 16.26 2.12%
Trade id #104825691
Max drawdown($1,054)
Time7/27/16 8:38
Quant open3,100
Worst price16.25
Drawdown as % of equity-2.12%
 ($1,021)
Includes Typical Broker Commissions trade costs of $5.01
10/27/16 12:24 UGAZ LONG 3,500 34.18 11/15 14:29 29.62 1191.12%
Trade id #106708658
Max drawdown($15,961)
Time11/15/16 14:29
Quant open3,499
Worst price22.88
Drawdown as % of equity1191.12%
 ($15,979)
Includes Typical Broker Commissions trade costs of $17.51
10/31/16 10:26 UWTI VELOCITYSHARES 3X LONG CRUDE E LONG 1,000 22.88 11/15 14:29 21.72 2.42%
Trade id #106795888
Max drawdown($1,780)
Time11/1/16 6:30
Quant open1,000
Worst price21.10
Drawdown as % of equity-2.42%
 ($1,167)
Includes Typical Broker Commissions trade costs of $5.01
10/26/16 13:35 DGAZ VELOCITYSHARES 3X INV NATURAL SHORT 20,000 6.25 10/26 14:54 5.83 2.37%
Trade id #106681705
Max drawdown($1,640)
Time10/26/16 14:16
Quant open-20,000
Worst price6.33
Drawdown as % of equity-2.37%
 $8,353
Includes Typical Broker Commissions trade costs of $7.50
10/7/16 14:36 DGAZ VELOCITYSHARES 3X INV NATURAL LONG 19,500 4.37 10/25 13:53 5.43 22.13%
Trade id #106310397
Max drawdown($9,876)
Time10/14/16 8:28
Quant open19,500
Worst price3.86
Drawdown as % of equity-22.13%
 $20,731
Includes Typical Broker Commissions trade costs of $7.50
8/22/16 11:44 ERY DIREXION DAILY ENERGY BEAR 2X LONG 5,500 13.31 10/11 11:14 13.28 3.5%
Trade id #105335772
Max drawdown($1,707)
Time10/10/16 18:03
Quant open1,001
Worst price11.60
Drawdown as % of equity-3.50%
 ($135)
Includes Typical Broker Commissions trade costs of $17.50
10/10/16 11:14 UGAZ SHORT 2,000 51.10 10/11 11:13 50.38 4.91%
Trade id #106334339
Max drawdown($2,400)
Time10/11/16 4:51
Quant open-2,000
Worst price52.30
Drawdown as % of equity-4.91%
 $1,429
Includes Typical Broker Commissions trade costs of $5.00
8/25/16 12:47 DWTI VELOCITYSHARES 3X INVERSE CRUD LONG 1,430 67.05 10/11 11:12 66.82 10.12%
Trade id #105407791
Max drawdown($5,246)
Time8/26/16 10:23
Quant open830
Worst price69.75
Drawdown as % of equity-10.12%
 ($348)
Includes Typical Broker Commissions trade costs of $11.00
10/4/16 14:23 JDST DIREXION DAILY JR GOLD BEAR 2X LONG 4,500 32.96 10/10 11:14 34.98 24.54%
Trade id #106226001
Max drawdown($10,371)
Time10/5/16 9:31
Quant open4,500
Worst price30.66
Drawdown as % of equity-24.54%
 $9,054
Includes Typical Broker Commissions trade costs of $19.00
9/29/16 11:07 XIV VELOCITYSHARES DAILY INVERSE V LONG 4,150 37.79 10/10 10:52 37.40 26.73%
Trade id #106141737
Max drawdown($11,951)
Time9/29/16 13:57
Quant open3,800
Worst price34.60
Drawdown as % of equity-26.73%
 ($1,639)
Includes Typical Broker Commissions trade costs of $21.51
9/27/16 15:51 VIX1605J20 VIX Oct5'16 20 call LONG 14 0.10 9/29 14:43 0.10 0.13%
Trade id #106103743
Max drawdown($70)
Time9/28/16 10:03
Quant open14
Worst price0.05
Drawdown as % of equity-0.13%
 ($20)
Includes Typical Broker Commissions trade costs of $19.60
9/26/16 14:25 UVXY1614V13.5 UVXY Oct14'16 13.5 put LONG 42 0.20 9/27 10:38 0.23 0%
Trade id #106077539
Max drawdown$0
Time9/26/16 15:11
Quant open42
Worst price0.20
Drawdown as % of equity0.00%
 $67
Includes Typical Broker Commissions trade costs of $58.80
9/26/16 11:28 JDST DIREXION DAILY JR GOLD BEAR 2X LONG 1,000 22.45 9/26 14:48 23.42 0.39%
Trade id #106072659
Max drawdown($239)
Time9/26/16 11:47
Quant open1,000
Worst price22.21
Drawdown as % of equity-0.39%
 $963
Includes Typical Broker Commissions trade costs of $5.00
9/19/16 9:30 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 7,900 20.49 9/22 9:30 18.69 9.52%
Trade id #105942845
Max drawdown($4,683)
Time9/19/16 13:37
Quant open-3,900
Worst price21.79
Drawdown as % of equity-9.52%
 $14,172
Includes Typical Broker Commissions trade costs of $45.00
8/26/16 15:28 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 3,250 22.92 9/15 9:38 26.80 41.27%
Trade id #105436387
Max drawdown($15,407)
Time9/8/16 4:23
Quant open3,250
Worst price18.18
Drawdown as % of equity-41.27%
 $12,612
Includes Typical Broker Commissions trade costs of $9.50
7/8/16 11:39 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 3,120 31.09 8/25 10:26 30.31 100.43%
Trade id #104549451
Max drawdown($44,341)
Time7/19/16 10:43
Quant open1,200
Worst price1.41
Drawdown as % of equity-100.43%
 ($2,448)
Includes Typical Broker Commissions trade costs of $18.40
8/19/16 10:52 ERY DIREXION DAILY ENERGY BEAR 2X LONG 1,200 13.23 8/22 10:28 13.66 0.28%
Trade id #105301852
Max drawdown($156)
Time8/19/16 15:34
Quant open1,200
Worst price13.10
Drawdown as % of equity-0.28%
 $511
Includes Typical Broker Commissions trade costs of $5.00
8/9/16 14:21 XIV VELOCITYSHARES DAILY INVERSE V LONG 2,600 36.69 8/16 10:02 36.88 4.93%
Trade id #105074683
Max drawdown($2,613)
Time8/10/16 14:20
Quant open2,250
Worst price35.61
Drawdown as % of equity-4.93%
 $477
Includes Typical Broker Commissions trade costs of $21.00
8/3/16 10:01 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,200 32.95 8/3 10:06 33.33 0.02%
Trade id #104963209
Max drawdown($12)
Time8/3/16 10:03
Quant open1,200
Worst price32.94
Drawdown as % of equity-0.02%
 $451
Includes Typical Broker Commissions trade costs of $5.00
8/3/16 9:40 XIV VELOCITYSHARES DAILY INVERSE V LONG 1,700 32.90 8/3 9:55 33.03 0.03%
Trade id #104962524
Max drawdown($17)
Time8/3/16 9:42
Quant open1,700
Worst price32.89
Drawdown as % of equity-0.03%
 $216
Includes Typical Broker Commissions trade costs of $5.00
7/7/16 12:27 XIV VELOCITYSHARES DAILY INVERSE V LONG 4,100 30.75 8/2 14:29 31.05 1.74%
Trade id #104530368
Max drawdown($810)
Time7/7/16 14:33
Quant open1,000
Worst price25.54
Drawdown as % of equity-1.74%
 $1,246
Includes Typical Broker Commissions trade costs of $15.00
7/28/16 12:43 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 1,100 28.71 7/28 12:51 28.62 0.09%
Trade id #104871117
Max drawdown($44)
Time7/28/16 12:45
Quant open-1,100
Worst price28.75
Drawdown as % of equity-0.09%
 $94
Includes Typical Broker Commissions trade costs of $5.00
7/28/16 11:02 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 1,000 28.51 7/28 11:20 28.25 0.24%
Trade id #104868430
Max drawdown($120)
Time7/28/16 11:05
Quant open-1,000
Worst price28.63
Drawdown as % of equity-0.24%
 $255
Includes Typical Broker Commissions trade costs of $5.00
7/27/16 13:05 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 1,700 30.09 7/27 14:10 29.38 1.28%
Trade id #104851010
Max drawdown($629)
Time7/27/16 13:18
Quant open-1,700
Worst price30.46
Drawdown as % of equity-1.28%
 $1,202
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    4/4/2016
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    2936.93
  • Age
    98 months ago
  • What it trades
    Stocks
  • # Trades
    51
  • # Profitable
    35
  • % Profitable
    68.60%
  • Avg trade duration
    17.9 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    April 28, 2016 - April 03, 2017
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $3,098
  • Avg loss
    $8,783
  • Model Account Values (Raw)
  • Cash
    ($6,700)
  • Margin Used
    $0
  • Buying Power
    ($6,700)
  • Ratios
  • W:L ratio
    0.77:1
  • Sharpe Ratio
    -1.53
  • Sortino Ratio
    -1.53
  • Calmar Ratio
    -0.995
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -294.96%
  • Correlation to SP500
    -0.02080
  • Return Percent SP500 (cumu) during strategy life
    145.47%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.93%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    0.02%
  • Percent Trades Stocks
    0.98%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • 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)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • 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)
    0
  • 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
    $8,783
  • Avg Win
    $3,098
  • Sum Trade PL (losers)
    $140,530.000
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $108,441.000
  • # Winners
    35
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    390
  • Win / Loss
  • # Losers
    16
  • % Winners
    68.6%
  • Frequency
  • Avg Position Time (mins)
    25727.30
  • Avg Position Time (hrs)
    428.79
  • Avg Trade Length
    17.9 days
  • Last Trade Ago
    2711
  • Regression
  • Alpha
    0.00
  • Beta
    -0.32
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.09
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    41.95
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    72.46
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.04
  • MAE:Equity, average, winning trades
    0.06
  • MAE:Equity, average, losing trades
    0.16
  • Avg(MAE) / Avg(PL) - All trades
    -8.484
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.697
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.472
  • Hold-and-Hope Ratio
    -0.118
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.45307
  • SD
    1.09336
  • Sharpe ratio (Glass type estimate)
    -0.41439
  • Sharpe ratio (Hedges UMVUE)
    -0.39938
  • df
    21.00000
  • t
    -0.56108
  • p
    0.57718
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.86243
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.04334
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.85194
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.05318
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.47340
  • Upside Potential Ratio
    0.72549
  • Upside part of mean
    0.69434
  • Downside part of mean
    -1.14742
  • Upside SD
    0.49214
  • Downside SD
    0.95708
  • N nonnegative terms
    4.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.42349
  • Mean of criterion
    -0.45307
  • SD of predictor
    0.19953
  • SD of criterion
    1.09336
  • Covariance
    -0.00237
  • r
    -0.01088
  • b (slope, estimate of beta)
    -0.05964
  • a (intercept, estimate of alpha)
    -0.42782
  • Mean Square Error
    1.25505
  • DF error
    20.00000
  • t(b)
    -0.04868
  • p(b)
    0.50544
  • t(a)
    -0.43806
  • p(a)
    0.54874
  • Lowerbound of 95% confidence interval for beta
    -2.61539
  • Upperbound of 95% confidence interval for beta
    2.49611
  • Lowerbound of 95% confidence interval for alpha
    -2.46502
  • Upperbound of 95% confidence interval for alpha
    1.60938
  • Treynor index (mean / b)
    7.59683
  • Jensen alpha (a)
    -0.42782
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -5.55152
  • SD
    7.03935
  • Sharpe ratio (Glass type estimate)
    -0.78864
  • Sharpe ratio (Hedges UMVUE)
    -0.76008
  • df
    21.00000
  • t
    -1.06783
  • p
    0.64322
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.24638
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.68725
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.22575
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.70559
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.78753
  • Upside Potential Ratio
    0.08443
  • Upside part of mean
    0.59517
  • Downside part of mean
    -6.14669
  • Upside SD
    0.41904
  • Downside SD
    7.04930
  • N nonnegative terms
    4.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.39733
  • Mean of criterion
    -5.55152
  • SD of predictor
    0.19449
  • SD of criterion
    7.03935
  • Covariance
    -0.04597
  • r
    -0.03358
  • b (slope, estimate of beta)
    -1.21536
  • a (intercept, estimate of alpha)
    -5.06862
  • Mean Square Error
    51.97130
  • DF error
    20.00000
  • t(b)
    -0.15025
  • p(b)
    0.51679
  • t(a)
    -0.81501
  • p(a)
    0.58964
  • Lowerbound of 95% confidence interval for beta
    -18.08830
  • Upperbound of 95% confidence interval for beta
    15.65750
  • Lowerbound of 95% confidence interval for alpha
    -18.04150
  • Upperbound of 95% confidence interval for alpha
    7.90422
  • Treynor index (mean / b)
    4.56779
  • Jensen alpha (a)
    -5.06862
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.97774
  • Expected Shortfall on VaR
    0.98828
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.29481
  • Expected Shortfall on VaR
    0.61462
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.00008
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.40521
  • Mean of quarter 1
    0.65638
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.21371
  • Inter Quartile Range
    0.00000
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.18182
  • Mean of outliers low
    0.48458
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.18182
  • Mean of outliers high
    1.32057
  • 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)
    0.72888
  • VaR(95%) (regression method)
    0.42827
  • Expected Shortfall (regression method)
    2.17962
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01020
  • Quartile 1
    0.14717
  • Median
    0.28415
  • Quartile 3
    0.64206
  • Maximum
    0.99998
  • Mean of quarter 1
    0.01020
  • Mean of quarter 2
    0.28415
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99998
  • Inter Quartile Range
    0.49489
  • 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)
    -0.54543
  • Compounded annual return (geometric extrapolation)
    -0.99601
  • Calmar ratio (compounded annual return / max draw down)
    -0.99603
  • Compounded annual return / average of 25% largest draw downs
    -0.99603
  • Compounded annual return / Expected Shortfall lognormal
    -1.00782
  • 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
    -0.02522
  • SD
    1.86270
  • Sharpe ratio (Glass type estimate)
    -0.01354
  • Sharpe ratio (Hedges UMVUE)
    -0.01352
  • df
    500.00000
  • t
    -0.01872
  • p
    0.50747
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.43090
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.40382
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.43088
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.40384
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.02298
  • Upside Potential Ratio
    2.81386
  • Upside part of mean
    3.08809
  • Downside part of mean
    -3.11331
  • Upside SD
    1.50277
  • Downside SD
    1.09745
  • N nonnegative terms
    84.00000
  • N negative terms
    417.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    501.00000
  • Mean of predictor
    0.50241
  • Mean of criterion
    -0.02522
  • SD of predictor
    0.38577
  • SD of criterion
    1.86270
  • Covariance
    0.01040
  • r
    0.01447
  • b (slope, estimate of beta)
    0.06989
  • a (intercept, estimate of alpha)
    -0.06000
  • Mean Square Error
    3.47588
  • DF error
    499.00000
  • t(b)
    0.32334
  • p(b)
    0.37328
  • t(a)
    -0.04461
  • p(a)
    0.51778
  • Lowerbound of 95% confidence interval for beta
    -0.35476
  • Upperbound of 95% confidence interval for beta
    0.49453
  • Lowerbound of 95% confidence interval for alpha
    -2.71782
  • Upperbound of 95% confidence interval for alpha
    2.59715
  • Treynor index (mean / b)
    -0.36090
  • Jensen alpha (a)
    -0.06033
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -5.32367
  • SD
    6.69755
  • Sharpe ratio (Glass type estimate)
    -0.79487
  • Sharpe ratio (Hedges UMVUE)
    -0.79368
  • df
    500.00000
  • t
    -1.09917
  • p
    0.86389
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.21271
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.62372
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.21189
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.62454
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.80224
  • Upside Potential Ratio
    0.37877
  • Upside part of mean
    2.51357
  • Downside part of mean
    -7.83724
  • Upside SD
    0.91579
  • Downside SD
    6.63604
  • N nonnegative terms
    84.00000
  • N negative terms
    417.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    501.00000
  • Mean of predictor
    0.43082
  • Mean of criterion
    -5.32367
  • SD of predictor
    0.37411
  • SD of criterion
    6.69755
  • Covariance
    0.01974
  • r
    0.00788
  • b (slope, estimate of beta)
    0.14107
  • a (intercept, estimate of alpha)
    -5.38445
  • Mean Square Error
    44.94420
  • DF error
    499.00000
  • t(b)
    0.17602
  • p(b)
    0.43017
  • t(a)
    -1.10783
  • p(a)
    0.86577
  • Lowerbound of 95% confidence interval for beta
    -1.43349
  • Upperbound of 95% confidence interval for beta
    1.71562
  • Lowerbound of 95% confidence interval for alpha
    -14.93370
  • Upperbound of 95% confidence interval for alpha
    4.16482
  • Treynor index (mean / b)
    -37.73820
  • Jensen alpha (a)
    -5.38445
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.50387
  • Expected Shortfall on VaR
    0.57803
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03674
  • Expected Shortfall on VaR
    0.08311
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    501.00000
  • Minimum
    0.00012
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    2.94794
  • Mean of quarter 1
    0.95310
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.04731
  • Inter Quartile Range
    0.00000
  • Number outliers low
    73.00000
  • Percentage of outliers low
    0.14571
  • Mean of outliers low
    0.91906
  • Number of outliers high
    86.00000
  • Percentage of outliers high
    0.17166
  • Mean of outliers high
    1.06877
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.92769
  • VaR(95%) (moments method)
    0.00563
  • Expected Shortfall (moments method)
    0.10753
  • Extreme Value Index (regression method)
    0.71903
  • VaR(95%) (regression method)
    0.03348
  • Expected Shortfall (regression method)
    0.19386
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00280
  • Quartile 1
    0.01109
  • Median
    0.06268
  • Quartile 3
    0.25450
  • Maximum
    0.99999
  • Mean of quarter 1
    0.00653
  • Mean of quarter 2
    0.02617
  • Mean of quarter 3
    0.15396
  • Mean of quarter 4
    0.49986
  • Inter Quartile Range
    0.24341
  • 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
    0.06667
  • Mean of outliers high
    0.99999
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.53181
  • VaR(95%) (moments method)
    0.60438
  • Expected Shortfall (moments method)
    1.25167
  • Extreme Value Index (regression method)
    2.27338
  • VaR(95%) (regression method)
    0.70129
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.52293
  • Compounded annual return (geometric extrapolation)
    -0.99499
  • Calmar ratio (compounded annual return / max draw down)
    -0.99500
  • Compounded annual return / average of 25% largest draw downs
    -1.99052
  • Compounded annual return / Expected Shortfall lognormal
    -1.72133
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.64185
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.39090
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.56550
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.39020
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6839040000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.50400
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    155687000000000012331815998062592.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -355418000
  • Max Equity Drawdown (num days)
    340
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Cheaper than the top systems but valuable.
I believe if you own the other top systems, you should pay
The small price I ask as a side guide.

I alternate Xiv Tvix according to a very very sophisticated
She of rules that took me 9 years to develop.
I believe I know at a glance which way market will move.

My recent drawdown was due to a prolonged vacation where internet
was scarce. I am sorry for that. Join now and I will grandfather you in.
for that.

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2016-04-04
Suggested Minimum Capital
$25,000
# Trades
51
# Profitable
35
% Profitable
68.6%
Net Dividends
$389
Correlation S&P500
-0.021
Sharpe Ratio
-1.53
Sortino Ratio
-1.53
Beta
-0.32
Alpha
0.00

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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