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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

SVXY/VXX/ETFs
(102719760)

Created by: wmwmw wmwmw
Started: 06/2016
Stocks
Last trade: 2,723 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 $99.00 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.

97.0%
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.

(19.8%)
Max Drawdown
124
Num Trades
56.5%
Win Trades
1.4 : 1
Profit Factor
3.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                   +26.6%+11.1%+3.1%(2.9%)(9.3%)  -    -  +27.8%
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

Model Account Details

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

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

Trading Record

This strategy has placed 341 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/14/16 11:15 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 400 34.78 10/14 12:30 34.97 0.11%
Trade id #106460363
Max drawdown($38)
Time10/14/16 11:27
Quant open200
Worst price34.42
Drawdown as % of equity-0.11%
$69
Includes Typical Broker Commissions trade costs of $8.00
10/14/16 11:14 TZA DIREXION DAILY SMALL CAP BEAR LONG 500 29.00 10/14 12:27 29.18 0.22%
Trade id #106460323
Max drawdown($74)
Time10/14/16 11:25
Quant open500
Worst price28.85
Drawdown as % of equity-0.22%
$80
Includes Typical Broker Commissions trade costs of $10.00
10/14/16 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 400 72.00 10/14 11:01 71.78 0.7%
Trade id #106455749
Max drawdown($240)
Time10/14/16 10:03
Quant open400
Worst price71.40
Drawdown as % of equity-0.70%
($96)
Includes Typical Broker Commissions trade costs of $8.00
10/13/16 9:30 TZA DIREXION DAILY SMALL CAP BEAR LONG 2,000 29.20 10/13 14:31 28.71 2.82%
Trade id #106423836
Max drawdown($975)
Time10/13/16 14:31
Quant open0
Worst price28.71
Drawdown as % of equity-2.82%
($998)
Includes Typical Broker Commissions trade costs of $22.50
10/11/16 10:15 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,100 73.16 10/13 9:30 70.64 7.55%
Trade id #106363406
Max drawdown($2,772)
Time10/13/16 9:30
Quant open500
Worst price69.36
Drawdown as % of equity-7.55%
($2,791)
Includes Typical Broker Commissions trade costs of $18.50
10/11/16 9:30 TZA DIREXION DAILY SMALL CAP BEAR LONG 500 26.93 10/11 10:14 27.41 n/a $230
Includes Typical Broker Commissions trade costs of $10.00
10/5/16 9:48 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 600 74.69 10/10 12:10 76.18 2.41%
Trade id #106244486
Max drawdown($887)
Time10/7/16 11:47
Quant open600
Worst price73.21
Drawdown as % of equity-2.41%
$890
Includes Typical Broker Commissions trade costs of $5.00
10/4/16 11:27 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 600 74.55 10/5 9:31 74.58 4.52%
Trade id #106219164
Max drawdown($1,616)
Time10/4/16 15:00
Quant open600
Worst price71.86
Drawdown as % of equity-4.52%
$9
Includes Typical Broker Commissions trade costs of $8.50
10/4/16 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 600 74.31 10/4 10:58 74.68 1.55%
Trade id #106213981
Max drawdown($569)
Time10/4/16 10:19
Quant open600
Worst price73.36
Drawdown as % of equity-1.55%
$215
Includes Typical Broker Commissions trade costs of $8.50
9/30/16 11:29 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 800 73.84 10/3 12:23 72.35 4.43%
Trade id #106164249
Max drawdown($1,647)
Time10/3/16 9:50
Quant open800
Worst price71.78
Drawdown as % of equity-4.43%
($1,205)
Includes Typical Broker Commissions trade costs of $10.50
9/30/16 10:56 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 600 73.11 9/30 11:20 73.63 0.05%
Trade id #106163125
Max drawdown($18)
Time9/30/16 10:58
Quant open200
Worst price72.58
Drawdown as % of equity-0.05%
$302
Includes Typical Broker Commissions trade costs of $12.00
9/28/16 12:08 TZA DIREXION DAILY SMALL CAP BEAR LONG 3,300 26.99 9/30 10:45 27.10 1.19%
Trade id #106121354
Max drawdown($436)
Time9/29/16 4:10
Quant open500
Worst price26.52
Drawdown as % of equity-1.19%
$345
Includes Typical Broker Commissions trade costs of $28.00
9/28/16 11:07 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 300 34.62 9/28 11:53 34.11 0.42%
Trade id #106119575
Max drawdown($155)
Time9/28/16 11:49
Quant open300
Worst price34.10
Drawdown as % of equity-0.42%
($158)
Includes Typical Broker Commissions trade costs of $6.00
9/27/16 9:39 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 800 71.42 9/28 11:04 72.12 0.1%
Trade id #106093737
Max drawdown($37)
Time9/27/16 9:46
Quant open200
Worst price70.85
Drawdown as % of equity-0.10%
$550
Includes Typical Broker Commissions trade costs of $10.50
9/26/16 15:30 TZA DIREXION DAILY SMALL CAP BEAR LONG 300 27.37 9/27 9:35 27.64 0.06%
Trade id #106079280
Max drawdown($20)
Time9/27/16 7:13
Quant open300
Worst price27.30
Drawdown as % of equity-0.06%
$75
Includes Typical Broker Commissions trade costs of $6.00
9/26/16 9:41 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 500 35.48 9/27 9:35 35.34 1.47%
Trade id #106069420
Max drawdown($538)
Time9/27/16 4:07
Quant open500
Worst price34.40
Drawdown as % of equity-1.47%
($80)
Includes Typical Broker Commissions trade costs of $10.00
9/21/16 14:58 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 800 72.24 9/26 9:36 70.85 5.85%
Trade id #106003459
Max drawdown($2,294)
Time9/26/16 4:14
Quant open800
Worst price69.37
Drawdown as % of equity-5.85%
($1,129)
Includes Typical Broker Commissions trade costs of $16.00
9/21/16 10:26 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 200 69.03 9/21 11:32 68.14 0.56%
Trade id #105994906
Max drawdown($213)
Time9/21/16 10:59
Quant open200
Worst price67.96
Drawdown as % of equity-0.56%
($181)
Includes Typical Broker Commissions trade costs of $4.00
9/21/16 10:22 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 200 77.73 9/21 11:17 76.69 0.62%
Trade id #105994754
Max drawdown($235)
Time9/21/16 11:16
Quant open200
Worst price76.55
Drawdown as % of equity-0.62%
($212)
Includes Typical Broker Commissions trade costs of $4.00
9/21/16 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 200 37.08 9/21 10:05 36.62 0.24%
Trade id #105992883
Max drawdown($91)
Time9/21/16 10:05
Quant open0
Worst price36.62
Drawdown as % of equity-0.24%
($95)
Includes Typical Broker Commissions trade costs of $4.00
9/20/16 13:38 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 400 67.00 9/21 9:30 68.06 0.69%
Trade id #105977463
Max drawdown($261)
Time9/20/16 17:30
Quant open400
Worst price66.35
Drawdown as % of equity-0.69%
$415
Includes Typical Broker Commissions trade costs of $8.00
9/20/16 9:53 TQQQ PROSHARES ULTRAPRO QQQ LONG 200 124.71 9/20 10:14 124.06 0.35%
Trade id #105971871
Max drawdown($131)
Time9/20/16 10:14
Quant open0
Worst price124.06
Drawdown as % of equity-0.35%
($135)
Includes Typical Broker Commissions trade costs of $4.00
9/19/16 15:51 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 200 67.14 9/20 9:31 68.12 0.22%
Trade id #105955629
Max drawdown($82)
Time9/19/16 16:00
Quant open200
Worst price66.73
Drawdown as % of equity-0.22%
$192
Includes Typical Broker Commissions trade costs of $4.00
9/16/16 15:51 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,000 66.96 9/19 15:44 67.16 0.28%
Trade id #105928154
Max drawdown($104)
Time9/16/16 16:00
Quant open200
Worst price64.97
Drawdown as % of equity-0.28%
$177
Includes Typical Broker Commissions trade costs of $20.00
9/16/16 12:01 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 300 64.33 9/16 15:34 64.89 1.35%
Trade id #105923476
Max drawdown($504)
Time9/16/16 13:46
Quant open300
Worst price62.65
Drawdown as % of equity-1.35%
$161
Includes Typical Broker Commissions trade costs of $6.00
9/16/16 11:20 TQQQ PROSHARES ULTRAPRO QQQ LONG 100 123.42 9/16 11:34 123.50 0.04%
Trade id #105922512
Max drawdown($13)
Time9/16/16 11:34
Quant open100
Worst price123.29
Drawdown as % of equity-0.04%
$6
Includes Typical Broker Commissions trade costs of $2.00
9/15/16 9:35 TQQQ PROSHARES ULTRAPRO QQQ LONG 300 120.77 9/16 10:07 122.66 0.63%
Trade id #105894691
Max drawdown($230)
Time9/15/16 9:46
Quant open200
Worst price119.20
Drawdown as % of equity-0.63%
$562
Includes Typical Broker Commissions trade costs of $6.00
9/14/16 13:49 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 300 40.78 9/15 9:30 40.86 0.31%
Trade id #105879707
Max drawdown($112)
Time9/15/16 8:28
Quant open200
Worst price40.22
Drawdown as % of equity-0.31%
$18
Includes Typical Broker Commissions trade costs of $6.00
9/14/16 11:03 TQQQ PROSHARES ULTRAPRO QQQ LONG 300 120.18 9/14 13:40 119.54 0.63%
Trade id #105875723
Max drawdown($233)
Time9/14/16 11:12
Quant open300
Worst price119.40
Drawdown as % of equity-0.63%
($197)
Includes Typical Broker Commissions trade costs of $6.00
9/14/16 10:07 TQQQ PROSHARES ULTRAPRO QQQ LONG 300 119.57 9/14 10:56 119.65 n/a $17
Includes Typical Broker Commissions trade costs of $6.00

Statistics

  • Strategy began
    6/7/2016
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    2849.72
  • Age
    95 months ago
  • What it trades
    Stocks
  • # Trades
    124
  • # Profitable
    70
  • % Profitable
    56.50%
  • Avg trade duration
    20.7 hours
  • Max peak-to-valley drawdown
    19.78%
  • drawdown period
    Aug 15, 2016 - Oct 14, 2016
  • Cumul. Return
    28.4%
  • Avg win
    $448.70
  • Avg loss
    $411.61
  • Model Account Values (Raw)
  • Cash
    $34,177
  • Margin Used
    $0
  • Buying Power
    $34,177
  • Ratios
  • W:L ratio
    1.41:1
  • Sharpe Ratio
    0.15
  • Sortino Ratio
    0.24
  • Calmar Ratio
    1.332
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    27.42%
  • Correlation to SP500
    0.01660
  • Return Percent SP500 (cumu) during strategy life
    148.77%
  • Return Statistics
  • Ann Return (w trading costs)
    97.0%
  • Slump
  • Current Slump as Pcnt Equity
    24.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.98%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.284%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    4.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    20.50%
  • Chance of 20% account loss
    1.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    783
  • Popularity (Last 6 weeks)
    977
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    942
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $412
  • Avg Win
    $449
  • Sum Trade PL (losers)
    $22,227.000
  • Age
  • Num Months filled monthly returns table
    94
  • Win / Loss
  • Sum Trade PL (winners)
    $31,409.000
  • # Winners
    70
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    54
  • % Winners
    56.5%
  • Frequency
  • Avg Position Time (mins)
    1243.05
  • Avg Position Time (hrs)
    20.72
  • Avg Trade Length
    0.9 days
  • Last Trade Ago
    2721
  • Regression
  • Alpha
    0.00
  • Beta
    0.01
  • Treynor Index
    0.47
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    85.10
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    91.22
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.11
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    4.955
  • 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
    0.05
  • Avg(MAE) / Avg(PL) - Winning trades
    0.524
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.211
  • Hold-and-Hope Ratio
    0.202
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.32820
  • SD
    0.40414
  • Sharpe ratio (Glass type estimate)
    3.28652
  • Sharpe ratio (Hedges UMVUE)
    2.37813
  • df
    3.00000
  • t
    1.89747
  • p
    0.07701
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.08426
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.35080
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.51356
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.26982
  • Statistics related to Sortino ratio
  • Sortino ratio
    399.25700
  • Upside Potential Ratio
    400.98900
  • Upside part of mean
    1.33396
  • Downside part of mean
    -0.00576
  • Upside SD
    0.51913
  • Downside SD
    0.00333
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.06999
  • Mean of criterion
    1.32820
  • SD of predictor
    0.05642
  • SD of criterion
    0.40414
  • Covariance
    0.00460
  • r
    0.20156
  • b (slope, estimate of beta)
    1.44368
  • a (intercept, estimate of alpha)
    1.22716
  • Mean Square Error
    0.23504
  • DF error
    2.00000
  • t(b)
    0.29103
  • p(b)
    0.39922
  • t(a)
    1.35054
  • p(a)
    0.15468
  • Lowerbound of 95% confidence interval for beta
    -19.90020
  • Upperbound of 95% confidence interval for beta
    22.78760
  • Lowerbound of 95% confidence interval for alpha
    -2.68244
  • Upperbound of 95% confidence interval for alpha
    5.13676
  • Treynor index (mean / b)
    0.92001
  • Jensen alpha (a)
    1.22716
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.20924
  • SD
    0.36296
  • Sharpe ratio (Glass type estimate)
    3.33167
  • Sharpe ratio (Hedges UMVUE)
    2.41080
  • df
    3.00000
  • t
    1.92354
  • p
    0.07506
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.05971
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.41617
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.49374
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.31534
  • Statistics related to Sortino ratio
  • Sortino ratio
    363.45100
  • Upside Potential Ratio
    365.18300
  • Upside part of mean
    1.21501
  • Downside part of mean
    -0.00576
  • Upside SD
    0.46973
  • Downside SD
    0.00333
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.06856
  • Mean of criterion
    1.20924
  • SD of predictor
    0.05567
  • SD of criterion
    0.36296
  • Covariance
    0.00439
  • r
    0.21721
  • b (slope, estimate of beta)
    1.41609
  • a (intercept, estimate of alpha)
    1.11216
  • Mean Square Error
    0.18828
  • DF error
    2.00000
  • t(b)
    0.31469
  • p(b)
    0.39139
  • t(a)
    1.36895
  • p(a)
    0.15224
  • Lowerbound of 95% confidence interval for beta
    -17.94540
  • Upperbound of 95% confidence interval for beta
    20.77760
  • Lowerbound of 95% confidence interval for alpha
    -2.38339
  • Upperbound of 95% confidence interval for alpha
    4.60770
  • Treynor index (mean / b)
    0.85393
  • Jensen alpha (a)
    1.11216
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06907
  • Expected Shortfall on VaR
    0.10829
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00068
  • Expected Shortfall on VaR
    0.00150
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.99891
  • Quartile 1
    1.02099
  • Median
    1.10277
  • Quartile 3
    1.19329
  • Maximum
    1.24160
  • Mean of quarter 1
    0.99891
  • Mean of quarter 2
    1.02835
  • Mean of quarter 3
    1.17719
  • Mean of quarter 4
    1.24160
  • Inter Quartile Range
    0.17230
  • 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
    1.00000
  • Minimum
    0.00109
  • Quartile 1
    0.00109
  • Median
    0.00109
  • Quartile 3
    0.00109
  • Maximum
    0.00109
  • 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)
    1.50420
  • Compounded annual return (geometric extrapolation)
    2.38446
  • Calmar ratio (compounded annual return / max draw down)
    2185.33000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    22.02020
  • 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
    0.88131
  • SD
    0.37551
  • Sharpe ratio (Glass type estimate)
    2.34694
  • Sharpe ratio (Hedges UMVUE)
    2.33337
  • df
    130.00000
  • t
    1.44830
  • p
    0.43699
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84637
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.53136
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.85535
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.52209
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.01570
  • Upside Potential Ratio
    11.17150
  • Upside part of mean
    2.45175
  • Downside part of mean
    -1.57044
  • Upside SD
    0.30664
  • Downside SD
    0.21946
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.02325
  • Mean of criterion
    0.88131
  • SD of predictor
    0.12028
  • SD of criterion
    0.37551
  • Covariance
    0.00493
  • r
    0.10920
  • b (slope, estimate of beta)
    0.34091
  • a (intercept, estimate of alpha)
    0.19100
  • Mean Square Error
    0.14041
  • DF error
    129.00000
  • t(b)
    1.24771
  • p(b)
    0.43062
  • t(a)
    1.43826
  • p(a)
    0.42023
  • Lowerbound of 95% confidence interval for beta
    -0.19968
  • Upperbound of 95% confidence interval for beta
    0.88151
  • Lowerbound of 95% confidence interval for alpha
    -0.32807
  • Upperbound of 95% confidence interval for alpha
    2.07483
  • Treynor index (mean / b)
    2.58513
  • Jensen alpha (a)
    0.87338
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.81120
  • SD
    0.37197
  • Sharpe ratio (Glass type estimate)
    2.18081
  • Sharpe ratio (Hedges UMVUE)
    2.16821
  • df
    130.00000
  • t
    1.34578
  • p
    0.44139
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.01033
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.36378
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.01879
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.35520
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.61376
  • Upside Potential Ratio
    10.72020
  • Upside part of mean
    2.40642
  • Downside part of mean
    -1.59521
  • Upside SD
    0.29805
  • Downside SD
    0.22448
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.01603
  • Mean of criterion
    0.81120
  • SD of predictor
    0.12084
  • SD of criterion
    0.37197
  • Covariance
    0.00511
  • r
    0.11369
  • b (slope, estimate of beta)
    0.34997
  • a (intercept, estimate of alpha)
    0.80559
  • Mean Square Error
    0.13763
  • DF error
    129.00000
  • t(b)
    1.29973
  • p(b)
    0.42778
  • t(a)
    1.33998
  • p(a)
    0.42558
  • Lowerbound of 95% confidence interval for beta
    -0.18278
  • Upperbound of 95% confidence interval for beta
    0.88272
  • Lowerbound of 95% confidence interval for alpha
    -0.38389
  • Upperbound of 95% confidence interval for alpha
    1.99507
  • Treynor index (mean / b)
    2.31790
  • Jensen alpha (a)
    0.80559
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03017
  • Expected Shortfall on VaR
    0.03823
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01088
  • Expected Shortfall on VaR
    0.02308
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93707
  • Quartile 1
    0.99655
  • Median
    1.00000
  • Quartile 3
    1.00729
  • Maximum
    1.10043
  • Mean of quarter 1
    0.98252
  • Mean of quarter 2
    0.99941
  • Mean of quarter 3
    1.00271
  • Mean of quarter 4
    1.02571
  • Inter Quartile Range
    0.01074
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.96276
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.04379
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50060
  • VaR(95%) (moments method)
    0.01470
  • Expected Shortfall (moments method)
    0.03502
  • Extreme Value Index (regression method)
    0.09406
  • VaR(95%) (regression method)
    0.01696
  • Expected Shortfall (regression method)
    0.02684
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00807
  • Median
    0.02040
  • Quartile 3
    0.04529
  • Maximum
    0.16558
  • Mean of quarter 1
    0.00009
  • Mean of quarter 2
    0.01407
  • Mean of quarter 3
    0.03018
  • Mean of quarter 4
    0.11791
  • Inter Quartile Range
    0.03722
  • 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
    0.16558
  • 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)
    0.96404
  • Compounded annual return (geometric extrapolation)
    1.27312
  • Calmar ratio (compounded annual return / max draw down)
    7.68891
  • Compounded annual return / average of 25% largest draw downs
    10.79740
  • Compounded annual return / Expected Shortfall lognormal
    33.29920
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.02000
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Max Equity Drawdown (num days)
    60

Strategy Description

Summary Statistics

Strategy began
2016-06-07
Suggested Minimum Capital
$25,000
# Trades
124
# Profitable
70
% Profitable
56.5%
Correlation S&P500
0.017
Sharpe Ratio
0.15
Sortino Ratio
0.24
Beta
0.01
Alpha
0.00

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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