Collective2 Collective2
Featured Strategy SILVER ETF TRADER +12.5% Annual Return (Compounded) since May 2, 2023 Hypothetical

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Volatility ETF Trader
(104675684)

Created by: JonathanKinlay JonathanKinlay
Started: 07/2016
Stocks
Last trade: 2,115 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 $149.00 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.

0.8%
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.

(58.1%)
Max Drawdown
425
Num Trades
56.7%
Win Trades
1.3 : 1
Profit Factor
20.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                          +1.9%(0.9%)+18.9%(16%)+3.2%+30.3%+35.8%
2017+12.1%(3%)+8.9%(1.4%)+10.8%+15.6%+18.7%(31.3%)+24.5%+6.7%(1.3%)+4.5%+67.1%
2018+1.6%(20.1%)(2.4%)+1.1%+0.9%(0.1%)+1.0%+0.4%+0.4%(1.7%)+0.4%(2.5%)(21%)
2019+1.8%  -    -    -    -    -    -    -    -    -    -  +1.8%
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 954 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2471 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/4/18 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 379 26.12 1/30/19 9:30 44.60 38.04%
Trade id #115691419
Max drawdown($14,890)
Time2/5/18 20:24
Quant open-379
Worst price65.41
Drawdown as % of equity-38.04%
 ($7,011)
Includes Typical Broker Commissions trade costs of $7.58
2/16/18 12:14 QQQ POWERSHARES QQQ LONG 200 166.41 3/5 10:12 165.76 1.07%
Trade id #116562068
Max drawdown($445)
Time3/2/18 9:46
Quant open100
Worst price161.96
Drawdown as % of equity-1.07%
 ($133)
Includes Typical Broker Commissions trade costs of $4.00
1/10/18 9:30 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 500 9.17 2/26 9:31 14.03 38.61%
Trade id #115797680
Max drawdown($15,115)
Time2/6/18 7:07
Quant open-500
Worst price39.40
Drawdown as % of equity-38.61%
 ($2,440)
Includes Typical Broker Commissions trade costs of $10.00
2/8/18 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 3,210 6.20 2/8 9:45 5.93 2.17%
Trade id #116389532
Max drawdown($867)
Time2/8/18 9:45
Quant open0
Worst price5.93
Drawdown as % of equity-2.17%
 ($872)
Includes Typical Broker Commissions trade costs of $5.00
2/6/18 13:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 202 10.01 2/7 9:30 6.90 2.14%
Trade id #116349652
Max drawdown($937)
Time2/7/18 5:20
Quant open202
Worst price5.37
Drawdown as % of equity-2.14%
 ($632)
Includes Typical Broker Commissions trade costs of $4.04
2/6/18 9:30 FAS DIREXION DAILY FINANCIAL BULL LONG 300 61.00 2/6 9:39 64.49 0.34%
Trade id #116338003
Max drawdown($135)
Time2/6/18 9:32
Quant open300
Worst price60.55
Drawdown as % of equity-0.34%
 $1,041
Includes Typical Broker Commissions trade costs of $6.00
1/24/18 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 141 141.38 2/5 9:30 109.99 9.5%
Trade id #116066752
Max drawdown($4,624)
Time2/5/18 7:14
Quant open141
Worst price108.58
Drawdown as % of equity-9.50%
 ($4,429)
Includes Typical Broker Commissions trade costs of $2.82
1/26/18 9:30 MIDU DIREXION DAILY MID CAP BULL 3X LONG 189 53.06 1/29 9:30 52.90 0.29%
Trade id #116115835
Max drawdown($162)
Time1/26/18 9:47
Quant open189
Worst price52.20
Drawdown as % of equity-0.29%
 ($34)
Includes Typical Broker Commissions trade costs of $3.78
1/9/18 9:30 QLD PROSHARES ULTRA QQQ LONG 376 80.12 1/24 10:57 86.78 1.23%
Trade id #115768880
Max drawdown($661)
Time1/10/18 10:03
Quant open376
Worst price78.36
Drawdown as % of equity-1.23%
 $2,496
Includes Typical Broker Commissions trade costs of $7.52
1/16/18 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 137 144.43 1/23 9:30 143.30 2.32%
Trade id #115899535
Max drawdown($1,242)
Time1/17/18 9:51
Quant open137
Worst price135.36
Drawdown as % of equity-2.32%
 ($158)
Includes Typical Broker Commissions trade costs of $2.74
1/10/18 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 140 141.27 1/12 9:30 145.73 0.51%
Trade id #115797580
Max drawdown($275)
Time1/10/18 9:54
Quant open140
Worst price139.30
Drawdown as % of equity-0.51%
 $621
Includes Typical Broker Commissions trade costs of $2.80
1/5/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 75 136.13 1/10 9:30 134.61 0.4%
Trade id #115714884
Max drawdown($216)
Time1/10/18 6:01
Quant open75
Worst price133.25
Drawdown as % of equity-0.40%
 ($116)
Includes Typical Broker Commissions trade costs of $1.50
1/5/18 9:30 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 555 8.97 1/9 9:30 8.69 0.14%
Trade id #115714912
Max drawdown($77)
Time1/5/18 9:39
Quant open-555
Worst price9.11
Drawdown as % of equity-0.14%
 $150
Includes Typical Broker Commissions trade costs of $5.00
1/4/18 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 140 143.44 1/9 9:30 145.00 0.5%
Trade id #115691356
Max drawdown($271)
Time1/5/18 9:39
Quant open140
Worst price141.50
Drawdown as % of equity-0.50%
 $215
Includes Typical Broker Commissions trade costs of $2.80
1/2/18 9:30 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 500 10.08 1/4 9:40 9.24 0.03%
Trade id #115641990
Max drawdown($14)
Time1/2/18 9:32
Quant open-500
Worst price10.11
Drawdown as % of equity-0.03%
 $412
Includes Typical Broker Commissions trade costs of $10.00
12/18/17 12:46 TVIX VELOCITYSHARES DAILY 2X VIX SH SHORT 821 5.43 1/4/18 9:39 4.86 0.43%
Trade id #115410285
Max drawdown($221)
Time12/29/17 18:55
Quant open-821
Worst price5.70
Drawdown as % of equity-0.43%
 $463
Includes Typical Broker Commissions trade costs of $5.00
12/29/17 9:30 MIDU DIREXION DAILY MID CAP BULL 3X LONG 211 47.71 1/4/18 9:39 48.73 0.54%
Trade id #115586372
Max drawdown($282)
Time12/29/17 16:00
Quant open211
Worst price46.37
Drawdown as % of equity-0.54%
 $211
Includes Typical Broker Commissions trade costs of $4.22
12/29/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 146 137.33 1/3/18 9:30 140.77 1.31%
Trade id #115586403
Max drawdown($681)
Time12/29/17 16:07
Quant open146
Worst price132.66
Drawdown as % of equity-1.31%
 $499
Includes Typical Broker Commissions trade costs of $2.92
12/29/17 9:30 FAS DIREXION DAILY FINANCIAL BULL LONG 288 69.55 1/2/18 9:30 69.18 0.76%
Trade id #115586414
Max drawdown($391)
Time12/29/17 18:47
Quant open288
Worst price68.19
Drawdown as % of equity-0.76%
 ($113)
Includes Typical Broker Commissions trade costs of $5.76
12/26/17 9:30 FAS DIREXION DAILY FINANCIAL BULL LONG 200 68.31 12/28 9:30 68.72 0.27%
Trade id #115516314
Max drawdown($139)
Time12/26/17 11:04
Quant open200
Worst price67.61
Drawdown as % of equity-0.27%
 $78
Includes Typical Broker Commissions trade costs of $4.00
12/26/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 147 134.00 12/28 9:30 135.27 n/a $184
Includes Typical Broker Commissions trade costs of $2.94
12/19/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V LONG 147 135.67 12/22 9:30 136.06 0.74%
Trade id #115422868
Max drawdown($380)
Time12/19/17 12:03
Quant open147
Worst price133.08
Drawdown as % of equity-0.74%
 $54
Includes Typical Broker Commissions trade costs of $2.94
12/14/17 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 100 123.33 12/22 9:30 130.15 0.43%
Trade id #115348916
Max drawdown($212)
Time12/14/17 14:31
Quant open100
Worst price121.21
Drawdown as % of equity-0.43%
 $680
Includes Typical Broker Commissions trade costs of $2.00
12/19/17 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 359 27.70 12/21 9:30 27.68 0.37%
Trade id #115422806
Max drawdown($192)
Time12/19/17 12:03
Quant open-359
Worst price28.23
Drawdown as % of equity-0.37%
 $0
Includes Typical Broker Commissions trade costs of $7.18
12/18/17 12:46 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 821 5.44 12/18 12:46 5.43 0.02%
Trade id #115410272
Max drawdown($8)
Time12/18/17 12:46
Quant open0
Worst price5.43
Drawdown as % of equity-0.02%
 ($13)
Includes Typical Broker Commissions trade costs of $5.00
12/14/17 9:42 XIV VELOCITYSHARES DAILY INVERSE V LONG 155 128.87 12/18 9:30 135.15 0.64%
Trade id #115349626
Max drawdown($315)
Time12/14/17 14:31
Quant open155
Worst price126.83
Drawdown as % of equity-0.64%
 $971
Includes Typical Broker Commissions trade costs of $3.10
12/13/17 9:30 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 442 11.12 12/18 9:30 10.19 0.32%
Trade id #115330100
Max drawdown($157)
Time12/14/17 14:31
Quant open-393
Worst price11.52
Drawdown as % of equity-0.32%
 $402
Includes Typical Broker Commissions trade costs of $8.84
12/14/17 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 341 29.14 12/18 9:30 27.92 0.31%
Trade id #115348884
Max drawdown($155)
Time12/14/17 14:31
Quant open-311
Worst price29.64
Drawdown as % of equity-0.31%
 $409
Includes Typical Broker Commissions trade costs of $6.82
12/14/17 9:30 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 150 69.11 12/14 9:41 68.99 0.12%
Trade id #115348968
Max drawdown($61)
Time12/14/17 9:39
Quant open150
Worst price68.70
Drawdown as % of equity-0.12%
 ($20)
Includes Typical Broker Commissions trade costs of $3.00
12/13/17 9:30 MIDU DIREXION DAILY MID CAP BULL 3X LONG 200 45.37 12/14 9:41 45.26 0.07%
Trade id #115330106
Max drawdown($34)
Time12/14/17 9:39
Quant open200
Worst price45.20
Drawdown as % of equity-0.07%
 ($26)
Includes Typical Broker Commissions trade costs of $4.00
Next

Statistics

  • Strategy began
    7/18/2016
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    3030.95
  • Age
    101 months ago
  • What it trades
    Stocks
  • # Trades
    425
  • # Profitable
    241
  • % Profitable
    56.70%
  • Avg trade duration
    3.3 days
  • Max peak-to-valley drawdown
    58.12%
  • drawdown period
    July 25, 2017 - Nov 04, 2024
  • Annual Return (Compounded)
    0.8%
  • Avg win
    $468.77
  • Avg loss
    $490.41
  • Model Account Values (Raw)
  • Cash
    $42,738
  • Margin Used
    $0
  • Buying Power
    $42,738
  • Ratios
  • W:L ratio
    1.25:1
  • Sharpe Ratio
    0.07
  • Sortino Ratio
    0.09
  • Calmar Ratio
    0.863
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -157.36%
  • Correlation to SP500
    0.10970
  • Return Percent SP500 (cumu) during strategy life
    176.22%
  • Return Statistics
  • Ann Return (w trading costs)
    0.8%
  • Slump
  • Current Slump as Pcnt Equity
    138.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.88%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.008%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    9.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    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
    66.14%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    308
  • 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
    $490
  • Avg Win
    $469
  • Sum Trade PL (losers)
    $90,235.000
  • Age
  • Num Months filled monthly returns table
    101
  • Win / Loss
  • Sum Trade PL (winners)
    $112,973.000
  • # Winners
    241
  • Num Months Winners
    17
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    184
  • % Winners
    56.7%
  • Frequency
  • Avg Position Time (mins)
    4809.45
  • Avg Position Time (hrs)
    80.16
  • Avg Trade Length
    3.3 days
  • Last Trade Ago
    2105
  • Regression
  • Alpha
    0.00
  • Beta
    0.13
  • Treynor Index
    0.04
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    84.26
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    56.20
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.02
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    12.953
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.618
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.835
  • Hold-and-Hope Ratio
    0.077
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35965
  • SD
    0.43596
  • Sharpe ratio (Glass type estimate)
    0.82497
  • Sharpe ratio (Hedges UMVUE)
    0.80414
  • df
    30.00000
  • t
    1.32595
  • p
    0.09743
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.41868
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.05533
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43215
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.04043
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.50026
  • Upside Potential Ratio
    2.65662
  • Upside part of mean
    0.63686
  • Downside part of mean
    -0.27721
  • Upside SD
    0.37046
  • Downside SD
    0.23973
  • N nonnegative terms
    15.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.34600
  • Mean of criterion
    0.35965
  • SD of predictor
    0.24010
  • SD of criterion
    0.43596
  • Covariance
    0.01153
  • r
    0.11014
  • b (slope, estimate of beta)
    0.19998
  • a (intercept, estimate of alpha)
    0.29045
  • Mean Square Error
    0.19423
  • DF error
    29.00000
  • t(b)
    0.59674
  • p(b)
    0.27765
  • t(a)
    0.97563
  • p(a)
    0.16866
  • Lowerbound of 95% confidence interval for beta
    -0.48543
  • Upperbound of 95% confidence interval for beta
    0.88540
  • Lowerbound of 95% confidence interval for alpha
    -0.31843
  • Upperbound of 95% confidence interval for alpha
    0.89934
  • Treynor index (mean / b)
    1.79838
  • Jensen alpha (a)
    0.29045
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26604
  • SD
    0.42860
  • Sharpe ratio (Glass type estimate)
    0.62071
  • Sharpe ratio (Hedges UMVUE)
    0.60504
  • df
    30.00000
  • t
    0.99765
  • p
    0.16321
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.61375
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.84510
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.62397
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.83404
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.96296
  • Upside Potential Ratio
    2.08946
  • Upside part of mean
    0.57726
  • Downside part of mean
    -0.31122
  • Upside SD
    0.32764
  • Downside SD
    0.27627
  • N nonnegative terms
    15.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.31391
  • Mean of criterion
    0.26604
  • SD of predictor
    0.23442
  • SD of criterion
    0.42860
  • Covariance
    0.01446
  • r
    0.14397
  • b (slope, estimate of beta)
    0.26322
  • a (intercept, estimate of alpha)
    0.18341
  • Mean Square Error
    0.18610
  • DF error
    29.00000
  • t(b)
    0.78343
  • p(b)
    0.21986
  • t(a)
    0.63601
  • p(a)
    0.26488
  • Lowerbound of 95% confidence interval for beta
    -0.42393
  • Upperbound of 95% confidence interval for beta
    0.95037
  • Lowerbound of 95% confidence interval for alpha
    -0.40638
  • Upperbound of 95% confidence interval for alpha
    0.77321
  • Treynor index (mean / b)
    1.01072
  • Jensen alpha (a)
    0.18341
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16585
  • Expected Shortfall on VaR
    0.20706
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05277
  • Expected Shortfall on VaR
    0.11689
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    31.00000
  • Minimum
    0.73280
  • Quartile 1
    0.99847
  • Median
    1.00000
  • Quartile 3
    1.07736
  • Maximum
    1.34043
  • Mean of quarter 1
    0.91514
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.02929
  • Mean of quarter 4
    1.18439
  • Inter Quartile Range
    0.07889
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.06452
  • Mean of outliers low
    0.73709
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.09677
  • Mean of outliers high
    1.29888
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.44240
  • VaR(95%) (moments method)
    0.04644
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.57408
  • VaR(95%) (regression method)
    0.04647
  • Expected Shortfall (regression method)
    0.14350
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.06487
  • Quartile 1
    0.07583
  • Median
    0.16905
  • Quartile 3
    0.26077
  • Maximum
    0.26720
  • Mean of quarter 1
    0.06487
  • Mean of quarter 2
    0.07948
  • Mean of quarter 3
    0.25862
  • Mean of quarter 4
    0.26720
  • Inter Quartile Range
    0.18494
  • 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)
    0.44009
  • Compounded annual return (geometric extrapolation)
    0.34171
  • Calmar ratio (compounded annual return / max draw down)
    1.27886
  • Compounded annual return / average of 25% largest draw downs
    1.27886
  • Compounded annual return / Expected Shortfall lognormal
    1.65028
  • 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
    0.32424
  • SD
    0.34349
  • Sharpe ratio (Glass type estimate)
    0.94395
  • Sharpe ratio (Hedges UMVUE)
    0.94291
  • df
    681.00000
  • t
    1.52297
  • p
    0.06412
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27221
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15947
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.27292
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15875
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.26544
  • Upside Potential Ratio
    6.14129
  • Upside part of mean
    1.57354
  • Downside part of mean
    -1.24931
  • Upside SD
    0.22926
  • Downside SD
    0.25622
  • N nonnegative terms
    285.00000
  • N negative terms
    397.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    682.00000
  • Mean of predictor
    0.39684
  • Mean of criterion
    0.32424
  • SD of predictor
    0.30347
  • SD of criterion
    0.34349
  • Covariance
    0.01258
  • r
    0.12073
  • b (slope, estimate of beta)
    0.13665
  • a (intercept, estimate of alpha)
    0.27000
  • Mean Square Error
    0.11643
  • DF error
    680.00000
  • t(b)
    3.17140
  • p(b)
    0.00079
  • t(a)
    1.27251
  • p(a)
    0.10181
  • Lowerbound of 95% confidence interval for beta
    0.05205
  • Upperbound of 95% confidence interval for beta
    0.22125
  • Lowerbound of 95% confidence interval for alpha
    -0.14661
  • Upperbound of 95% confidence interval for alpha
    0.68663
  • Treynor index (mean / b)
    2.37278
  • Jensen alpha (a)
    0.27001
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26381
  • SD
    0.34954
  • Sharpe ratio (Glass type estimate)
    0.75474
  • Sharpe ratio (Hedges UMVUE)
    0.75391
  • df
    681.00000
  • t
    1.21769
  • p
    0.11188
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.46100
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.96997
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46156
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.96937
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.97962
  • Upside Potential Ratio
    5.74847
  • Upside part of mean
    1.54805
  • Downside part of mean
    -1.28424
  • Upside SD
    0.22303
  • Downside SD
    0.26930
  • N nonnegative terms
    285.00000
  • N negative terms
    397.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    682.00000
  • Mean of predictor
    0.35016
  • Mean of criterion
    0.26381
  • SD of predictor
    0.30573
  • SD of criterion
    0.34954
  • Covariance
    0.01298
  • r
    0.12150
  • b (slope, estimate of beta)
    0.13891
  • a (intercept, estimate of alpha)
    0.21517
  • Mean Square Error
    0.12055
  • DF error
    680.00000
  • t(b)
    3.19209
  • p(b)
    0.00074
  • t(a)
    0.99736
  • p(a)
    0.15947
  • Lowerbound of 95% confidence interval for beta
    0.05347
  • Upperbound of 95% confidence interval for beta
    0.22436
  • Lowerbound of 95% confidence interval for alpha
    -0.20843
  • Upperbound of 95% confidence interval for alpha
    0.63876
  • Treynor index (mean / b)
    1.89910
  • Jensen alpha (a)
    0.21517
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03392
  • Expected Shortfall on VaR
    0.04257
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01176
  • Expected Shortfall on VaR
    0.02615
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    682.00000
  • Minimum
    0.83688
  • Quartile 1
    0.99868
  • Median
    1.00000
  • Quartile 3
    1.00675
  • Maximum
    1.14012
  • Mean of quarter 1
    0.98133
  • Mean of quarter 2
    0.99990
  • Mean of quarter 3
    1.00199
  • Mean of quarter 4
    1.02215
  • Inter Quartile Range
    0.00806
  • Number outliers low
    73.00000
  • Percentage of outliers low
    0.10704
  • Mean of outliers low
    0.96361
  • Number of outliers high
    71.00000
  • Percentage of outliers high
    0.10411
  • Mean of outliers high
    1.03634
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.83288
  • VaR(95%) (moments method)
    0.01040
  • Expected Shortfall (moments method)
    0.07175
  • Extreme Value Index (regression method)
    0.48330
  • VaR(95%) (regression method)
    0.01339
  • Expected Shortfall (regression method)
    0.03427
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00018
  • Quartile 1
    0.00678
  • Median
    0.03468
  • Quartile 3
    0.07941
  • Maximum
    0.39257
  • Mean of quarter 1
    0.00264
  • Mean of quarter 2
    0.01991
  • Mean of quarter 3
    0.04990
  • Mean of quarter 4
    0.21418
  • Inter Quartile Range
    0.07263
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.30800
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00072
  • VaR(95%) (moments method)
    0.20024
  • Expected Shortfall (moments method)
    0.27720
  • Extreme Value Index (regression method)
    2.22680
  • VaR(95%) (regression method)
    0.16659
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.43676
  • Compounded annual return (geometric extrapolation)
    0.33872
  • Calmar ratio (compounded annual return / max draw down)
    0.86283
  • Compounded annual return / average of 25% largest draw downs
    1.58149
  • Compounded annual return / Expected Shortfall lognormal
    7.95657
  • 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
    0.88699
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.44320
  • 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
    0.78799
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.44387
  • 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)
    -6825370000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.03400
  • 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)
    -213313000000000020619833448071168.00000
  • 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
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -373172000
  • Max Equity Drawdown (num days)
    2659
  • 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

For more information go to www.jonathankinlay.com
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2016-07-18
Suggested Minimum Capital
$15,000
# Trades
425
# Profitable
241
% Profitable
56.7%
Correlation S&P500
0.110
Sharpe Ratio
0.07
Sortino Ratio
0.09
Beta
0.13
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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