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These are hypothetical performance results that have certain inherent limitations. Learn more

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 03/20/2017
Most recent certification approved 3/20/17 9:30 ET
Trades at broker Interactive Brokers (Direct Connection)
Scaling percentage used 100%
# trading signals issued by system since certification 68
# trading signals executed in manager's Interactive Brokers (Direct Connection) account 68
Percent signals followed since 03/20/2017 100%
This information was last updated 2/21/18 6:16 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 03/20/2017, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

TVO System
(103399745)

Created by: TradingLicks TradingLicks
Started: 06/2016
Options
Last trade: Yesterday

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 $90.00 per month.

12.0%
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.

40.8%
Max Drawdown
48
Num Trades
64.6%
Win Trades
1.6 : 1
Profit Factor
71.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                   +1.9%+7.8%(2.5%)+4.1%(1.1%)+5.4%+6.4%+23.8%
2017+2.1%+8.5%+1.9%+2.4%+1.9%(1.5%)+5.1%(8.8%)+1.2%(1%)+7.6%+1.8%+22.1%
2018+3.6%(22.4%)                                                            (19.6%)

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 68 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/20/18 15:59 SPY1820D272 SPY Apr20'18 272 call LONG 1 6.07 2/20 16:03 5.95 n/a ($14)
Includes Typical Broker Commissions trade costs of $2.00
2/14/18 15:59 SPY1816C270 SPY Mar16'18 270 call LONG 3 4.54 2/15 15:59 6.40 0.44%
Trade id #116515930
Max drawdown($61)
Time2/15/18 11:04
Quant open3
Worst price4.34
Drawdown as % of equity-0.44%
$553
Includes Typical Broker Commissions trade costs of $4.20
2/2/18 9:30 SPY1820D280 SPY Apr20'18 280 call LONG 3 6.51 2/15 9:30 2.44 13.24%
Trade id #116246654
Max drawdown($1,712)
Time2/9/18 12:29
Quant open3
Worst price0.80
Drawdown as % of equity-13.24%
($1,226)
Includes Typical Broker Commissions trade costs of $4.20
2/9/18 9:30 SPY1816C261 SPY Mar16'18 261 call LONG 1 7.31 2/9 15:59 7.46 1.99%
Trade id #116413821
Max drawdown($257)
Time2/9/18 12:45
Quant open1
Worst price4.73
Drawdown as % of equity-1.99%
$13
Includes Typical Broker Commissions trade costs of $2.00
2/8/18 15:59 SPY1816C258 SPY Mar16'18 258 call LONG 2 8.44 2/9 15:59 9.29 3.27%
Trade id #116401786
Max drawdown($423)
Time2/9/18 12:47
Quant open2
Worst price6.32
Drawdown as % of equity-3.27%
$168
Includes Typical Broker Commissions trade costs of $2.80
1/31/18 9:30 SPY1816C283 SPY Mar16'18 283 call LONG 3 4.96 2/7 15:59 0.63 11.29%
Trade id #116197262
Max drawdown($1,445)
Time2/6/18 9:48
Quant open3
Worst price0.14
Drawdown as % of equity-11.29%
($1,303)
Includes Typical Broker Commissions trade costs of $4.20
2/5/18 15:59 SPY1816C265 SPY Mar16'18 265 call LONG 2 8.70 2/6 15:59 9.59 3.36%
Trade id #116313686
Max drawdown($429)
Time2/6/18 9:48
Quant open2
Worst price6.55
Drawdown as % of equity-3.36%
$176
Includes Typical Broker Commissions trade costs of $2.80
1/23/18 15:59 SPY1820D283 SPY Apr20'18 283 call LONG 4 6.18 2/5 16:08 1.26 14.5%
Trade id #116056305
Max drawdown($1,967)
Time2/5/18 16:08
Quant open0
Worst price1.26
Drawdown as % of equity-14.50%
($1,973)
Includes Typical Broker Commissions trade costs of $5.60
1/29/18 15:59 SPY1816C285 SPY Mar16'18 285 call LONG 4 4.96 1/31 15:59 3.19 6.16%
Trade id #116159943
Max drawdown($1,185)
Time1/30/18 9:31
Quant open4
Worst price2.00
Drawdown as % of equity-6.16%
($717)
Includes Typical Broker Commissions trade costs of $5.60
1/25/18 15:59 SPY1816C283 SPY Mar16'18 283 call LONG 4 4.91 1/26 15:59 6.97 n/a $820
Includes Typical Broker Commissions trade costs of $5.60
1/18/18 15:59 SPY1816B279 SPY Feb16'18 279 call LONG 4 3.41 1/22 15:59 5.47 1.55%
Trade id #115967897
Max drawdown($264)
Time1/19/18 10:20
Quant open4
Worst price2.75
Drawdown as % of equity-1.55%
$816
Includes Typical Broker Commissions trade costs of $5.60
12/19/17 15:59 SPY1819A267 SPY Jan19'18 267 call LONG 4 2.94 12/21 15:59 3.00 0.95%
Trade id #115432078
Max drawdown($160)
Time12/20/17 10:44
Quant open4
Worst price2.54
Drawdown as % of equity-0.95%
$19
Includes Typical Broker Commissions trade costs of $5.60
11/30/17 15:59 SPY1816C265 SPY Mar16'18 265 call LONG 3 5.88 12/12 15:59 6.13 2.86%
Trade id #115128028
Max drawdown($475)
Time12/1/17 11:34
Quant open3
Worst price4.30
Drawdown as % of equity-2.86%
$71
Includes Typical Broker Commissions trade costs of $4.20
12/8/17 9:30 SPY1816B265 SPY Feb16'18 265 call LONG 4 4.18 12/12 15:59 4.83 0.47%
Trade id #115256394
Max drawdown($78)
Time12/8/17 10:24
Quant open4
Worst price3.99
Drawdown as % of equity-0.47%
$253
Includes Typical Broker Commissions trade costs of $5.60
12/5/17 15:59 SPY1819A263 SPY Jan19'18 263 call LONG 4 3.16 12/7 15:59 3.26 0.75%
Trade id #115208640
Max drawdown($120)
Time12/6/17 10:40
Quant open4
Worst price2.86
Drawdown as % of equity-0.75%
$35
Includes Typical Broker Commissions trade costs of $5.60
11/27/17 15:59 SPY1819A260 SPY Jan19'18 260 call LONG 4 3.16 11/28 15:59 4.73 0.09%
Trade id #115066959
Max drawdown($14)
Time11/27/17 16:01
Quant open4
Worst price3.12
Drawdown as % of equity-0.09%
$623
Includes Typical Broker Commissions trade costs of $5.60
11/10/17 9:30 SPY1819A258 SPY Jan19'18 258 call LONG 4 4.04 11/21 9:30 4.04 2.43%
Trade id #114789748
Max drawdown($370)
Time11/15/17 9:59
Quant open4
Worst price3.11
Drawdown as % of equity-2.43%
($7)
Includes Typical Broker Commissions trade costs of $5.60
11/15/17 15:59 SPY1715L256 SPY Dec15'17 256 call LONG 4 3.27 11/16 15:59 4.31 0.06%
Trade id #114878009
Max drawdown($8)
Time11/15/17 16:01
Quant open4
Worst price3.25
Drawdown as % of equity-0.06%
$409
Includes Typical Broker Commissions trade costs of $5.60
11/7/17 15:59 SPY1715L259 SPY Dec15'17 259 call LONG 6 2.63 11/9 15:59 2.38 3.57%
Trade id #114734613
Max drawdown($557)
Time11/9/17 12:33
Quant open6
Worst price1.70
Drawdown as % of equity-3.57%
($156)
Includes Typical Broker Commissions trade costs of $8.40
10/30/17 9:30 SPY1819A257 SPY Jan19'18 257 call LONG 8 4.19 11/3 9:30 4.49 1.38%
Trade id #114592332
Max drawdown($213)
Time10/30/17 15:26
Quant open8
Worst price3.92
Drawdown as % of equity-1.38%
$233
Includes Typical Broker Commissions trade costs of $11.20
10/30/17 15:59 SPY1715L257 SPY Dec15'17 257 call LONG 2 3.17 11/1 15:59 3.42 0.17%
Trade id #114600440
Max drawdown($26)
Time10/30/17 16:14
Quant open2
Worst price3.04
Drawdown as % of equity-0.17%
$47
Includes Typical Broker Commissions trade costs of $2.80
7/13/17 15:59 SPY1720J244 SPY Oct20'17 244 call LONG 2 5.30 9/15 14:37 6.47 2.89%
Trade id #112591008
Max drawdown($424)
Time8/21/17 10:26
Quant open2
Worst price3.18
Drawdown as % of equity-2.89%
$232
Includes Typical Broker Commissions trade costs of $2.80
8/10/17 9:30 SPY1720J246 SPY Oct20'17 246 call LONG 4 4.48 8/24 9:30 2.95 6.42%
Trade id #113077848
Max drawdown($941)
Time8/21/17 10:23
Quant open4
Worst price2.13
Drawdown as % of equity-6.42%
($619)
Includes Typical Broker Commissions trade costs of $5.60
8/11/17 9:30 SPY1715I244 SPY Sep15'17 244 call LONG 3 3.57 8/18 15:59 2.22 3.83%
Trade id #113103772
Max drawdown($585)
Time8/17/17 15:46
Quant open3
Worst price1.62
Drawdown as % of equity-3.83%
($410)
Includes Typical Broker Commissions trade costs of $4.20
7/7/17 9:30 SPY1718H241 SPY Aug18'17 241 call LONG 3 3.65 7/14 15:59 5.93 0.85%
Trade id #112464428
Max drawdown($131)
Time7/11/17 11:27
Quant open3
Worst price3.21
Drawdown as % of equity-0.85%
$680
Includes Typical Broker Commissions trade costs of $4.20
6/27/17 9:30 SPY1715I243 SPY Sep15'17 243 call LONG 4 4.59 6/28 9:30 4.32 1.96%
Trade id #112230293
Max drawdown($301)
Time6/27/17 16:00
Quant open4
Worst price3.84
Drawdown as % of equity-1.96%
($118)
Includes Typical Broker Commissions trade costs of $5.60
5/18/17 9:30 SPY1716F236 SPY Jun16'17 236 call LONG 3 2.97 5/22 15:59 4.67 0.15%
Trade id #111662583
Max drawdown($23)
Time5/18/17 9:33
Quant open3
Worst price2.89
Drawdown as % of equity-0.15%
$507
Includes Typical Broker Commissions trade costs of $4.20
5/8/17 9:30 SPY1721G240 SPY Jul21'17 240 call LONG 4 3.81 5/12 9:30 3.31 2.2%
Trade id #111455757
Max drawdown($337)
Time5/11/17 10:24
Quant open4
Worst price2.97
Drawdown as % of equity-2.20%
($209)
Includes Typical Broker Commissions trade costs of $5.60
3/22/17 11:37 SPY1721G235 SPY Jul21'17 235 call LONG 2 6.21 5/9 15:59 6.95 2.3%
Trade id #110380892
Max drawdown($332)
Time4/19/17 15:46
Quant open2
Worst price4.55
Drawdown as % of equity-2.30%
$144
Includes Typical Broker Commissions trade costs of $2.80
4/17/17 9:30 SPY1719E233 SPY May19'17 233 call LONG 3 3.88 4/24 15:59 5.26 0.62%
Trade id #111048760
Max drawdown($90)
Time4/19/17 15:46
Quant open3
Worst price3.58
Drawdown as % of equity-0.62%
$410
Includes Typical Broker Commissions trade costs of $4.20

Statistics

  • Strategy began
    6/10/2016
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    620.6
  • Age
    21 months ago
  • What it trades
    Options
  • # Trades
    48
  • # Profitable
    31
  • % Profitable
    64.60%
  • Avg trade duration
    10.6 days
  • Max peak-to-valley drawdown
    40.77%
  • drawdown period
    Jan 29, 2018 - Feb 09, 2018
  • Annual Return (Compounded)
    12.0%
  • Avg win
    $376.68
  • Avg loss
    $432.00
  • Model Account Values (Raw)
  • Cash
    $12,280
  • Margin Used
    $0
  • Buying Power
    $12,298
  • Ratios
  • W:L ratio
    1.59:1
  • Sharpe Ratio
    0.958
  • Sortino Ratio
    1.302
  • Calmar Ratio
    0.79
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.47400
  • Return Statistics
  • Ann Return (w trading costs)
    12.0%
  • Ann Return (Compnd, No Fees)
    23.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    67.00%
  • Chance of 20% account loss
    31.50%
  • Chance of 30% account loss
    22.00%
  • Chance of 40% account loss
    5.50%
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    316
  • Popularity (Last 6 weeks)
    850
  • C2 Score
    31.6
  • Trades-Own-System Certification
  • Trades Own System?
    184090
  • TOS percent
    100%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    30
  • Win / Loss
  • Avg Loss
    $432
  • Avg Win
    $377
  • # Winners
    31
  • # Losers
    17
  • % Winners
    64.6%
  • Frequency
  • Avg Position Time (mins)
    15222.90
  • Avg Position Time (hrs)
    253.72
  • Avg Trade Length
    10.6 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
    0.22873
  • SD
    0.21330
  • Sharpe ratio (Glass type estimate)
    1.07237
  • Sharpe ratio (Hedges UMVUE)
    1.02695
  • df
    18.00000
  • t
    1.34937
  • p
    0.34846
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.53766
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.65430
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56638
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.62029
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.58816
  • Upside Potential Ratio
    2.72474
  • Upside part of mean
    0.39243
  • Downside part of mean
    -0.16369
  • Upside SD
    0.16345
  • Downside SD
    0.14402
  • N nonnegative terms
    14.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.14275
  • Mean of criterion
    0.22873
  • SD of predictor
    0.06724
  • SD of criterion
    0.21330
  • Covariance
    0.01035
  • r
    0.72172
  • b (slope, estimate of beta)
    2.28940
  • a (intercept, estimate of alpha)
    -0.09809
  • Mean Square Error
    0.02308
  • DF error
    17.00000
  • t(b)
    4.29900
  • p(b)
    0.08434
  • t(a)
    -0.68748
  • p(a)
    0.60423
  • Lowerbound of 95% confidence interval for beta
    1.16583
  • Upperbound of 95% confidence interval for beta
    3.41296
  • Lowerbound of 95% confidence interval for alpha
    -0.39910
  • Upperbound of 95% confidence interval for alpha
    0.20293
  • Treynor index (mean / b)
    0.09991
  • Jensen alpha (a)
    -0.09809
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20419
  • SD
    0.21807
  • Sharpe ratio (Glass type estimate)
    0.93633
  • Sharpe ratio (Hedges UMVUE)
    0.89667
  • df
    18.00000
  • t
    1.17819
  • p
    0.36621
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.66306
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.51086
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68825
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.48160
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.31916
  • Upside Potential Ratio
    2.44789
  • Upside part of mean
    0.37890
  • Downside part of mean
    -0.17471
  • Upside SD
    0.15674
  • Downside SD
    0.15479
  • N nonnegative terms
    14.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.13949
  • Mean of criterion
    0.20419
  • SD of predictor
    0.06647
  • SD of criterion
    0.21807
  • Covariance
    0.01043
  • r
    0.71936
  • b (slope, estimate of beta)
    2.36019
  • a (intercept, estimate of alpha)
    -0.12504
  • Mean Square Error
    0.02430
  • DF error
    17.00000
  • t(b)
    4.26987
  • p(b)
    0.08538
  • t(a)
    -0.85696
  • p(a)
    0.62865
  • Lowerbound of 95% confidence interval for beta
    1.19398
  • Upperbound of 95% confidence interval for beta
    3.52640
  • Lowerbound of 95% confidence interval for alpha
    -0.43289
  • Upperbound of 95% confidence interval for alpha
    0.18281
  • Treynor index (mean / b)
    0.08651
  • Jensen alpha (a)
    -0.12504
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08289
  • Expected Shortfall on VaR
    0.10646
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01870
  • Expected Shortfall on VaR
    0.04701
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    19.00000
  • Minimum
    0.84609
  • Quartile 1
    1.00299
  • Median
    1.03117
  • Quartile 3
    1.05082
  • Maximum
    1.10853
  • Mean of quarter 1
    0.95049
  • Mean of quarter 2
    1.01630
  • Mean of quarter 3
    1.03950
  • Mean of quarter 4
    1.08289
  • Inter Quartile Range
    0.04783
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.10526
  • Mean of outliers low
    0.87853
  • 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)
    0.73571
  • VaR(95%) (regression method)
    0.08254
  • Expected Shortfall (regression method)
    0.44462
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.08903
  • Quartile 1
    0.10525
  • Median
    0.12147
  • Quartile 3
    0.13769
  • Maximum
    0.15391
  • Mean of quarter 1
    0.08903
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.15391
  • Inter Quartile Range
    0.03244
  • 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)
    0.28048
  • Compounded annual return (geometric extrapolation)
    0.26124
  • Calmar ratio (compounded annual return / max draw down)
    1.69732
  • Compounded annual return / average of 25% largest draw downs
    1.69732
  • Compounded annual return / Expected Shortfall lognormal
    2.45384
  • 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
    0.23120
  • SD
    0.24102
  • Sharpe ratio (Glass type estimate)
    0.95926
  • Sharpe ratio (Hedges UMVUE)
    0.95752
  • df
    415.00000
  • t
    1.20874
  • p
    0.11373
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.59808
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.51553
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59928
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.51432
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.30231
  • Upside Potential Ratio
    6.20557
  • Upside part of mean
    1.10168
  • Downside part of mean
    -0.87048
  • Upside SD
    0.16321
  • Downside SD
    0.17753
  • N nonnegative terms
    165.00000
  • N negative terms
    251.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    416.00000
  • Mean of predictor
    0.14065
  • Mean of criterion
    0.23120
  • SD of predictor
    0.10240
  • SD of criterion
    0.24102
  • Covariance
    0.01160
  • r
    0.47018
  • b (slope, estimate of beta)
    1.10669
  • a (intercept, estimate of alpha)
    0.07600
  • Mean Square Error
    0.04536
  • DF error
    414.00000
  • t(b)
    10.83960
  • p(b)
    0.00000
  • t(a)
    0.44537
  • p(a)
    0.32814
  • Lowerbound of 95% confidence interval for beta
    0.90600
  • Upperbound of 95% confidence interval for beta
    1.30738
  • Lowerbound of 95% confidence interval for alpha
    -0.25789
  • Upperbound of 95% confidence interval for alpha
    0.40898
  • Treynor index (mean / b)
    0.20891
  • Jensen alpha (a)
    0.07555
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20165
  • SD
    0.24398
  • Sharpe ratio (Glass type estimate)
    0.82652
  • Sharpe ratio (Hedges UMVUE)
    0.82503
  • df
    415.00000
  • t
    1.04148
  • p
    0.14913
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.73039
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.38252
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.73142
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.38147
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.09590
  • Upside Potential Ratio
    5.91586
  • Upside part of mean
    1.08857
  • Downside part of mean
    -0.88691
  • Upside SD
    0.16025
  • Downside SD
    0.18401
  • N nonnegative terms
    165.00000
  • N negative terms
    251.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    416.00000
  • Mean of predictor
    0.13533
  • Mean of criterion
    0.20165
  • SD of predictor
    0.10290
  • SD of criterion
    0.24398
  • Covariance
    0.01187
  • r
    0.47283
  • b (slope, estimate of beta)
    1.12108
  • a (intercept, estimate of alpha)
    0.04993
  • Mean Square Error
    0.04633
  • DF error
    414.00000
  • t(b)
    10.91840
  • p(b)
    0.00000
  • t(a)
    0.29136
  • p(a)
    0.38546
  • Lowerbound of 95% confidence interval for beta
    0.91925
  • Upperbound of 95% confidence interval for beta
    1.32292
  • Lowerbound of 95% confidence interval for alpha
    -0.28695
  • Upperbound of 95% confidence interval for alpha
    0.38682
  • Treynor index (mean / b)
    0.17987
  • Jensen alpha (a)
    0.04993
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02374
  • Expected Shortfall on VaR
    0.02985
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00840
  • Expected Shortfall on VaR
    0.01857
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    416.00000
  • Minimum
    0.88388
  • Quartile 1
    0.99799
  • Median
    1.00000
  • Quartile 3
    1.00439
  • Maximum
    1.06618
  • Mean of quarter 1
    0.98749
  • Mean of quarter 2
    0.99948
  • Mean of quarter 3
    1.00127
  • Mean of quarter 4
    1.01572
  • Inter Quartile Range
    0.00640
  • Number outliers low
    28.00000
  • Percentage of outliers low
    0.06731
  • Mean of outliers low
    0.96806
  • Number of outliers high
    40.00000
  • Percentage of outliers high
    0.09615
  • Mean of outliers high
    1.02753
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.78848
  • VaR(95%) (moments method)
    0.01048
  • Expected Shortfall (moments method)
    0.05449
  • Extreme Value Index (regression method)
    0.63083
  • VaR(95%) (regression method)
    0.00961
  • Expected Shortfall (regression method)
    0.03000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    35.00000
  • Minimum
    0.00020
  • Quartile 1
    0.00408
  • Median
    0.01147
  • Quartile 3
    0.02551
  • Maximum
    0.32673
  • Mean of quarter 1
    0.00195
  • Mean of quarter 2
    0.00705
  • Mean of quarter 3
    0.01730
  • Mean of quarter 4
    0.08708
  • Inter Quartile Range
    0.02144
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.11429
  • Mean of outliers high
    0.14631
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.47453
  • VaR(95%) (moments method)
    0.08436
  • Expected Shortfall (moments method)
    0.18569
  • Extreme Value Index (regression method)
    0.79962
  • VaR(95%) (regression method)
    0.10923
  • Expected Shortfall (regression method)
    0.56410
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.27698
  • Compounded annual return (geometric extrapolation)
    0.25805
  • Calmar ratio (compounded annual return / max draw down)
    0.78978
  • Compounded annual return / average of 25% largest draw downs
    2.96339
  • Compounded annual return / Expected Shortfall lognormal
    8.64438
  • 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
    -0.23739
  • SD
    0.33625
  • Sharpe ratio (Glass type estimate)
    -0.70602
  • Sharpe ratio (Hedges UMVUE)
    -0.70193
  • df
    130.00000
  • t
    -0.49923
  • p
    0.52187
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.47782
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06845
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.47505
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.07118
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.85274
  • Upside Potential Ratio
    4.42224
  • Upside part of mean
    1.23110
  • Downside part of mean
    -1.46850
  • Upside SD
    0.18685
  • Downside SD
    0.27839
  • N nonnegative terms
    41.00000
  • N negative terms
    90.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16942
  • Mean of criterion
    -0.23739
  • SD of predictor
    0.11900
  • SD of criterion
    0.33625
  • Covariance
    0.02311
  • r
    0.57751
  • b (slope, estimate of beta)
    1.63178
  • a (intercept, estimate of alpha)
    -0.51385
  • Mean Square Error
    0.07594
  • DF error
    129.00000
  • t(b)
    8.03455
  • p(b)
    0.15395
  • t(a)
    -1.31343
  • p(a)
    0.57297
  • Lowerbound of 95% confidence interval for beta
    1.22995
  • Upperbound of 95% confidence interval for beta
    2.03361
  • Lowerbound of 95% confidence interval for alpha
    -1.28790
  • Upperbound of 95% confidence interval for alpha
    0.26020
  • Treynor index (mean / b)
    -0.14548
  • Jensen alpha (a)
    -0.51385
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.29533
  • SD
    0.34406
  • Sharpe ratio (Glass type estimate)
    -0.85837
  • Sharpe ratio (Hedges UMVUE)
    -0.85341
  • df
    130.00000
  • t
    -0.60696
  • p
    0.52658
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.63057
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.91697
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.62715
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.92034
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.01835
  • Upside Potential Ratio
    4.18581
  • Upside part of mean
    1.21392
  • Downside part of mean
    -1.50925
  • Upside SD
    0.18358
  • Downside SD
    0.29001
  • N nonnegative terms
    41.00000
  • N negative terms
    90.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16224
  • Mean of criterion
    -0.29533
  • SD of predictor
    0.12004
  • SD of criterion
    0.34406
  • Covariance
    0.02410
  • r
    0.58354
  • b (slope, estimate of beta)
    1.67251
  • a (intercept, estimate of alpha)
    -0.56668
  • Mean Square Error
    0.07867
  • DF error
    129.00000
  • t(b)
    8.16133
  • p(b)
    0.15083
  • t(a)
    -1.42361
  • p(a)
    0.57897
  • Lowerbound of 95% confidence interval for beta
    1.26705
  • Upperbound of 95% confidence interval for beta
    2.07797
  • Lowerbound of 95% confidence interval for alpha
    -1.35426
  • Upperbound of 95% confidence interval for alpha
    0.22089
  • Treynor index (mean / b)
    -0.17658
  • Jensen alpha (a)
    -0.56668
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03545
  • Expected Shortfall on VaR
    0.04395
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01546
  • Expected Shortfall on VaR
    0.03324
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.88388
  • Quartile 1
    0.99833
  • Median
    1.00000
  • Quartile 3
    1.00262
  • Maximum
    1.04761
  • Mean of quarter 1
    0.97846
  • Mean of quarter 2
    0.99958
  • Mean of quarter 3
    1.00031
  • Mean of quarter 4
    1.01848
  • Inter Quartile Range
    0.00429
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.15267
  • Mean of outliers low
    0.96711
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.17557
  • Mean of outliers high
    1.02418
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.78417
  • VaR(95%) (moments method)
    0.01212
  • Expected Shortfall (moments method)
    0.06545
  • Extreme Value Index (regression method)
    0.29581
  • VaR(95%) (regression method)
    0.01794
  • Expected Shortfall (regression method)
    0.03599
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00020
  • Quartile 1
    0.00566
  • Median
    0.01017
  • Quartile 3
    0.03904
  • Maximum
    0.32673
  • Mean of quarter 1
    0.00355
  • Mean of quarter 2
    0.00909
  • Mean of quarter 3
    0.03287
  • Mean of quarter 4
    0.22351
  • Inter Quartile Range
    0.03338
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.22222
  • Mean of outliers high
    0.22351
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.16297
  • VaR(95%) (moments method)
    0.12179
  • Expected Shortfall (moments method)
    0.12236
  • Extreme Value Index (regression method)
    0.34550
  • VaR(95%) (regression method)
    0.38946
  • Expected Shortfall (regression method)
    0.79025
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.25032
  • Compounded annual return (geometric extrapolation)
    -0.23465
  • Calmar ratio (compounded annual return / max draw down)
    -0.71817
  • Compounded annual return / average of 25% largest draw downs
    -1.04985
  • Compounded annual return / Expected Shortfall lognormal
    -5.33947

Strategy Description

Summary Statistics

Strategy began
2016-06-10
Suggested Minimum Capital
$25,000
# Trades
48
# Profitable
31
% Profitable
64.6%
Correlation S&P500
0.474
Sharpe Ratio
0.958

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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