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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
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DogZebra FF
(106272060)

Created by: DogZebra_Investing DogZebra_Investing
Started: 10/2016
Forex
Last trade: 2,562 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. You can subscribe to this system for free.

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.

48.6%
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.

(11.4%)
Max Drawdown
445
Num Trades
91.5%
Win Trades
1.8 : 1
Profit Factor
23.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                               +1.7%+13.9%+1.6%+17.7%
2017+3.3%+3.7%+2.1%+0.5%(0.2%)(0.1%)(0.1%)  -    -  +0.1%  -  (0.1%)+9.5%
2018(0.1%)+0.1%+0.1%  -    -    -    -    -    -    -  +0.1%+0.1%+0.2%
2019(0.1%)  -  +0.1%  -    -  (0.1%)  -  +0.1%  -    -    -  (0.1%)(0.1%)
2020  -    -  +0.1%  -    -    -  (0.1%)(0.1%)+0.1%  -  (0.1%)(0.1%)(0.1%)
2021  -    -    -    -  (0.1%)+0.1%  -    -    -  (0.1%)+0.1%  -  0.0
2022(0.1%)  -    -    -    -  +0.1%  -    -  +0.2%  -  (0.1%)  -  +0.1%
2023  -    -    -    -    -  (0.1%)  -  +0.1%  -    -    -    -  0.0
2024  -    -    -    -                                                  +0.1%

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

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/19/17 10:21 EUR/GBP EUR/GBP LONG 12 0.83560 4/19 10:24 0.83591 0.03%
Trade id #111121134
Max drawdown($10)
Time4/19/17 10:23
Quant open12
Worst price0.83553
Drawdown as % of equity-0.03%
 $48
4/18/17 16:57 EUR/USD EUR/USD SHORT 10 1.07298 4/18 22:27 1.07217 0.18%
Trade id #111101608
Max drawdown($56)
Time4/18/17 19:21
Quant open-10
Worst price1.07354
Drawdown as % of equity-0.18%
 $81
4/18/17 16:55 EUR/GBP EUR/GBP LONG 15 0.83554 4/18 21:53 0.83586 0.55%
Trade id #111101516
Max drawdown($167)
Time4/18/17 20:23
Quant open15
Worst price0.83467
Drawdown as % of equity-0.55%
 $62
4/18/17 16:57 GBP/USD GBP/USD SHORT 10 1.28428 4/18 21:45 1.28362 0.57%
Trade id #111101597
Max drawdown($173)
Time4/18/17 19:31
Quant open-10
Worst price1.28601
Drawdown as % of equity-0.57%
 $66
4/18/17 16:58 GBP/JPY GBP/JPY SHORT 5 139.284 4/18 21:42 139.213 0.5%
Trade id #111101627
Max drawdown($150)
Time4/18/17 20:23
Quant open-5
Worst price139.611
Drawdown as % of equity-0.50%
 $33
4/18/17 16:56 USD/CHF USD/CHF LONG 15 0.99628 4/18 20:55 0.99679 0.47%
Trade id #111101558
Max drawdown($142)
Time4/18/17 17:02
Quant open15
Worst price0.99533
Drawdown as % of equity-0.47%
 $77
4/18/17 16:55 USD/CAD USD/CAD LONG 5 1.33825 4/18 20:50 1.33893 0.1%
Trade id #111101536
Max drawdown($31)
Time4/18/17 18:15
Quant open5
Worst price1.33740
Drawdown as % of equity-0.10%
 $25
4/18/17 16:56 EUR/JPY EUR/JPY LONG 10 116.385 4/18 19:49 116.444 0.32%
Trade id #111101570
Max drawdown($98)
Time4/18/17 18:17
Quant open10
Worst price116.278
Drawdown as % of equity-0.32%
 $54
4/17/17 16:52 AUD/USD AUD/USD SHORT 12 0.75904 4/17 20:59 0.75847 0.22%
Trade id #111066294
Max drawdown($68)
Time4/17/17 20:07
Quant open-12
Worst price0.75961
Drawdown as % of equity-0.22%
 $68
4/13/17 16:56 USD/CHF USD/CHF LONG 6 1.00588 4/17 20:05 1.00471 0.97%
Trade id #110984870
Max drawdown($293)
Time4/17/17 11:03
Quant open6
Worst price1.00096
Drawdown as % of equity-0.97%
 ($70)
4/17/17 16:53 USD/CAD USD/CAD LONG 10 1.33183 4/17 18:54 1.33258 0.15%
Trade id #111066349
Max drawdown($45)
Time4/17/17 17:12
Quant open10
Worst price1.33123
Drawdown as % of equity-0.15%
 $56
4/13/17 16:57 EUR/GBP EUR/GBP LONG 12 0.84890 4/17 17:45 0.84730 1.75%
Trade id #110984888
Max drawdown($529)
Time4/16/17 17:46
Quant open12
Worst price0.84539
Drawdown as % of equity-1.75%
 ($241)
4/17/17 16:53 EUR/JPY EUR/JPY LONG 12 115.918 4/17 17:13 115.978 0.45%
Trade id #111066337
Max drawdown($137)
Time4/17/17 17:02
Quant open12
Worst price115.793
Drawdown as % of equity-0.45%
 $66
4/13/17 17:22 AUD/USD AUD/USD SHORT 12 0.75674 4/13 20:31 0.75626 0.22%
Trade id #110985270
Max drawdown($66)
Time4/13/17 18:50
Quant open-12
Worst price0.75729
Drawdown as % of equity-0.22%
 $58
4/13/17 16:56 USD/CAD USD/CAD LONG 6 1.33259 4/13 17:08 1.33329 0.02%
Trade id #110984852
Max drawdown($7)
Time4/13/17 16:59
Quant open6
Worst price1.33243
Drawdown as % of equity-0.02%
 $32
4/12/17 16:16 USD/CAD USD/CAD LONG 18 1.32655 4/13 10:55 1.32755 1.9%
Trade id #110951566
Max drawdown($573)
Time4/13/17 3:55
Quant open18
Worst price1.32232
Drawdown as % of equity-1.90%
 $136
4/12/17 16:16 USD/CHF USD/CHF LONG 6 1.00295 4/13 2:57 1.00345 0.44%
Trade id #110951585
Max drawdown($129)
Time4/12/17 22:39
Quant open6
Worst price1.00078
Drawdown as % of equity-0.44%
 $30
4/12/17 16:17 EUR/USD EUR/USD SHORT 12 1.06665 4/13 2:48 1.06584 0.45%
Trade id #110951605
Max drawdown($134)
Time4/13/17 2:11
Quant open-12
Worst price1.06777
Drawdown as % of equity-0.45%
 $97
4/12/17 16:15 EUR/JPY EUR/JPY LONG 12 116.345 4/12 16:23 116.403 0.04%
Trade id #110951523
Max drawdown($12)
Time4/12/17 16:17
Quant open12
Worst price116.334
Drawdown as % of equity-0.04%
 $64
4/12/17 16:15 EUR/GBP EUR/GBP LONG 12 0.85044 4/12 16:22 0.85075 0.05%
Trade id #110951552
Max drawdown($16)
Time4/12/17 16:17
Quant open12
Worst price0.85033
Drawdown as % of equity-0.05%
 $47
4/11/17 20:11 GBP/USD GBP/USD LONG 12 1.24912 4/12 3:32 1.24963 0.43%
Trade id #110925414
Max drawdown($128)
Time4/12/17 1:36
Quant open12
Worst price1.24805
Drawdown as % of equity-0.43%
 $61
4/11/17 20:40 USD/CHF USD/CHF LONG 12 1.00720 4/11 22:50 1.00770 0.21%
Trade id #110925965
Max drawdown($64)
Time4/11/17 21:29
Quant open12
Worst price1.00666
Drawdown as % of equity-0.21%
 $60
4/11/17 20:25 EUR/GBP EUR/GBP LONG 18 0.84925 4/11 20:54 0.84956 0.06%
Trade id #110925723
Max drawdown($17)
Time4/11/17 20:30
Quant open18
Worst price0.84917
Drawdown as % of equity-0.06%
 $70
4/10/17 16:57 EUR/JPY EUR/JPY LONG 12 117.527 4/11 20:18 116.351 5.03%
Trade id #110891900
Max drawdown($1,506)
Time4/11/17 17:46
Quant open12
Worst price116.150
Drawdown as % of equity-5.03%
 ($1,287)
4/10/17 16:57 EUR/GBP EUR/GBP LONG 24 0.85338 4/11 3:43 0.85368 1.69%
Trade id #110891917
Max drawdown($515)
Time4/10/17 23:28
Quant open24
Worst price0.85165
Drawdown as % of equity-1.69%
 $89
4/10/17 16:56 USD/CAD USD/CAD LONG 15 1.33239 4/10 22:33 1.33325 0.37%
Trade id #110891888
Max drawdown($113)
Time4/10/17 20:41
Quant open15
Worst price1.33138
Drawdown as % of equity-0.37%
 $97
4/10/17 17:02 USD/CHF USD/CHF LONG 12 1.00863 4/10 22:28 1.00915 0.53%
Trade id #110891989
Max drawdown($162)
Time4/10/17 19:04
Quant open12
Worst price1.00726
Drawdown as % of equity-0.53%
 $62
4/10/17 8:47 USD/CHF USD/CHF SHORT 6 1.00989 4/10 9:05 1.00940 0.05%
Trade id #110874271
Max drawdown($14)
Time4/10/17 8:59
Quant open-6
Worst price1.01014
Drawdown as % of equity-0.05%
 $29
4/9/17 21:07 EUR/GBP EUR/GBP LONG 12 0.85448 4/10 1:15 0.85480 0.19%
Trade id #110863003
Max drawdown($57)
Time4/9/17 22:12
Quant open12
Worst price0.85409
Drawdown as % of equity-0.19%
 $48
4/6/17 16:57 EUR/GBP EUR/GBP LONG 18 0.85358 4/6 20:20 0.85390 0.72%
Trade id #110783931
Max drawdown($222)
Time4/6/17 17:05
Quant open18
Worst price0.85259
Drawdown as % of equity-0.72%
 $72
Next

Statistics

  • Strategy began
    10/6/2016
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    2754.16
  • Age
    92 months ago
  • What it trades
    Forex
  • # Trades
    445
  • # Profitable
    407
  • % Profitable
    91.50%
  • Avg trade duration
    5.7 hours
  • Max peak-to-valley drawdown
    11.44%
  • drawdown period
    Dec 28, 2016 - Dec 30, 2016
  • Cumul. Return
    26.6%
  • Avg win
    $61.07
  • Avg loss
    $363.50
  • Model Account Values (Raw)
  • Cash
    $31,033
  • Margin Used
    $0
  • Buying Power
    $31,033
  • Ratios
  • W:L ratio
    1.80:1
  • Sharpe Ratio
    0.27
  • Sortino Ratio
    0.37
  • Calmar Ratio
    4.251
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    15.60%
  • Correlation to SP500
    0.01410
  • Return Percent SP500 (cumu) during strategy life
    134.66%
  • Return Statistics
  • Ann Return (w trading costs)
    48.6%
  • Slump
  • Current Slump as Pcnt Equity
    1.50%
  • Instruments
  • Percent Trades Futures
    0.05%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.93%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.266%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.95%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    n/a
  • 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)
    0
  • Popularity (Last 6 weeks)
    900
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    500
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $364
  • Avg Win
    $61
  • Sum Trade PL (losers)
    $13,813.000
  • Age
  • Num Months filled monthly returns table
    91
  • Win / Loss
  • Sum Trade PL (winners)
    $24,854.000
  • # Winners
    407
  • Num Months Winners
    45
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    38
  • % Winners
    91.5%
  • Frequency
  • Avg Position Time (mins)
    340.60
  • Avg Position Time (hrs)
    5.68
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    2559
  • Regression
  • Alpha
    0.00
  • Beta
    0.00
  • Treynor Index
    1.07
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    63.47
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    84.12
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.71
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    8.246
  • 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
    0.06
  • Avg(MAE) / Avg(PL) - Winning trades
    1.993
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.827
  • Hold-and-Hope Ratio
    0.121
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.77690
  • SD
    0.16164
  • Sharpe ratio (Glass type estimate)
    4.80651
  • Sharpe ratio (Hedges UMVUE)
    4.17506
  • df
    6.00000
  • t
    3.67103
  • p
    0.00522
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.02690
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.40972
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.68716
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.66296
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.77690
  • Downside part of mean
    0.00000
  • Upside SD
    0.26961
  • Downside SD
    0.00000
  • N nonnegative terms
    7.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.16721
  • Mean of criterion
    0.77690
  • SD of predictor
    0.09651
  • SD of criterion
    0.16164
  • Covariance
    0.01308
  • r
    0.83835
  • b (slope, estimate of beta)
    1.40409
  • a (intercept, estimate of alpha)
    0.54213
  • Mean Square Error
    0.00932
  • DF error
    5.00000
  • t(b)
    3.43882
  • p(b)
    0.00923
  • t(a)
    3.77423
  • p(a)
    0.00648
  • Lowerbound of 95% confidence interval for beta
    0.35446
  • Upperbound of 95% confidence interval for beta
    2.45371
  • Lowerbound of 95% confidence interval for alpha
    0.17288
  • Upperbound of 95% confidence interval for alpha
    0.91138
  • Treynor index (mean / b)
    0.55331
  • Jensen alpha (a)
    0.54213
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.74262
  • SD
    0.14830
  • Sharpe ratio (Glass type estimate)
    5.00741
  • Sharpe ratio (Hedges UMVUE)
    4.34957
  • df
    6.00000
  • t
    3.82448
  • p
    0.00436
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.14848
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.69160
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.79406
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.90509
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.74262
  • Downside part of mean
    0.00000
  • Upside SD
    0.25457
  • Downside SD
    0.00000
  • N nonnegative terms
    7.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.16200
  • Mean of criterion
    0.74262
  • SD of predictor
    0.09586
  • SD of criterion
    0.14830
  • Covariance
    0.01196
  • r
    0.84145
  • b (slope, estimate of beta)
    1.30184
  • a (intercept, estimate of alpha)
    0.53172
  • Mean Square Error
    0.00771
  • DF error
    5.00000
  • t(b)
    3.48217
  • p(b)
    0.00881
  • t(a)
    4.09284
  • p(a)
    0.00471
  • Lowerbound of 95% confidence interval for beta
    0.34077
  • Upperbound of 95% confidence interval for beta
    2.26291
  • Lowerbound of 95% confidence interval for alpha
    0.19775
  • Upperbound of 95% confidence interval for alpha
    0.86569
  • Treynor index (mean / b)
    0.57044
  • Jensen alpha (a)
    0.53172
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00850
  • Expected Shortfall on VaR
    0.02595
  • 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
    7.00000
  • Minimum
    1.01665
  • Quartile 1
    1.03792
  • Median
    1.05988
  • Quartile 3
    1.07345
  • Maximum
    1.15974
  • Mean of quarter 1
    1.02607
  • Mean of quarter 2
    1.05011
  • Mean of quarter 3
    1.06624
  • Mean of quarter 4
    1.12020
  • Inter Quartile Range
    0.03553
  • 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
    0.14286
  • Mean of outliers high
    1.15974
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.94483
  • Compounded annual return (geometric extrapolation)
    1.12244
  • 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
    43.24600
  • 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
    0.71783
  • SD
    0.16947
  • Sharpe ratio (Glass type estimate)
    4.23563
  • Sharpe ratio (Hedges UMVUE)
    4.22056
  • df
    211.00000
  • t
    3.32512
  • p
    0.00052
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.70163
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.75985
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.69163
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.74948
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.40858
  • Upside Potential Ratio
    12.51500
  • Upside part of mean
    1.40181
  • Downside part of mean
    -0.68398
  • Upside SD
    0.13243
  • Downside SD
    0.11201
  • N nonnegative terms
    126.00000
  • N negative terms
    86.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    212.00000
  • Mean of predictor
    0.16226
  • Mean of criterion
    0.71783
  • SD of predictor
    0.07294
  • SD of criterion
    0.16947
  • Covariance
    0.00350
  • r
    0.28308
  • b (slope, estimate of beta)
    0.65773
  • a (intercept, estimate of alpha)
    0.25400
  • Mean Square Error
    0.02655
  • DF error
    210.00000
  • t(b)
    4.27720
  • p(b)
    0.00001
  • t(a)
    2.92341
  • p(a)
    0.00192
  • Lowerbound of 95% confidence interval for beta
    0.35459
  • Upperbound of 95% confidence interval for beta
    0.96087
  • Lowerbound of 95% confidence interval for alpha
    0.19902
  • Upperbound of 95% confidence interval for alpha
    1.02318
  • Treynor index (mean / b)
    1.09137
  • Jensen alpha (a)
    0.61110
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.70275
  • SD
    0.16980
  • Sharpe ratio (Glass type estimate)
    4.13882
  • Sharpe ratio (Hedges UMVUE)
    4.12409
  • df
    211.00000
  • t
    3.24911
  • p
    0.00067
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.60645
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.66176
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.59661
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.65156
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.19141
  • Upside Potential Ratio
    12.27360
  • Upside part of mean
    1.39310
  • Downside part of mean
    -0.69035
  • Upside SD
    0.13133
  • Downside SD
    0.11350
  • N nonnegative terms
    126.00000
  • N negative terms
    86.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    212.00000
  • Mean of predictor
    0.15959
  • Mean of criterion
    0.70275
  • SD of predictor
    0.07275
  • SD of criterion
    0.16980
  • Covariance
    0.00347
  • r
    0.28054
  • b (slope, estimate of beta)
    0.65476
  • a (intercept, estimate of alpha)
    0.59826
  • Mean Square Error
    0.02669
  • DF error
    210.00000
  • t(b)
    4.23551
  • p(b)
    0.00002
  • t(a)
    2.85491
  • p(a)
    0.00237
  • Lowerbound of 95% confidence interval for beta
    0.35002
  • Upperbound of 95% confidence interval for beta
    0.95950
  • Lowerbound of 95% confidence interval for alpha
    0.18516
  • Upperbound of 95% confidence interval for alpha
    1.01136
  • Treynor index (mean / b)
    1.07329
  • Jensen alpha (a)
    0.59826
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01293
  • Expected Shortfall on VaR
    0.01669
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00383
  • Expected Shortfall on VaR
    0.00882
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    212.00000
  • Minimum
    0.95669
  • Quartile 1
    1.00000
  • Median
    1.00058
  • Quartile 3
    1.00780
  • Maximum
    1.03414
  • Mean of quarter 1
    0.99209
  • Mean of quarter 2
    1.00007
  • Mean of quarter 3
    1.00362
  • Mean of quarter 4
    1.01268
  • Inter Quartile Range
    0.00780
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.06604
  • Mean of outliers low
    0.97977
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.01887
  • Mean of outliers high
    1.02729
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.78465
  • VaR(95%) (moments method)
    0.00328
  • Expected Shortfall (moments method)
    0.00391
  • Extreme Value Index (regression method)
    0.08237
  • VaR(95%) (regression method)
    0.00823
  • Expected Shortfall (regression method)
    0.01473
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00281
  • Median
    0.01732
  • Quartile 3
    0.02925
  • Maximum
    0.07490
  • Mean of quarter 1
    0.00076
  • Mean of quarter 2
    0.00925
  • Mean of quarter 3
    0.02372
  • Mean of quarter 4
    0.04376
  • Inter Quartile Range
    0.02644
  • 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
    0.05556
  • Mean of outliers high
    0.07490
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.02950
  • VaR(95%) (moments method)
    0.04842
  • Expected Shortfall (moments method)
    0.06152
  • Extreme Value Index (regression method)
    0.59697
  • VaR(95%) (regression method)
    0.05710
  • Expected Shortfall (regression method)
    0.12123
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.89489
  • Compounded annual return (geometric extrapolation)
    1.03949
  • Calmar ratio (compounded annual return / max draw down)
    13.87810
  • Compounded annual return / average of 25% largest draw downs
    23.75210
  • Compounded annual return / Expected Shortfall lognormal
    62.26730
  • 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
    0.58676
  • SD
    0.16144
  • Sharpe ratio (Glass type estimate)
    3.63453
  • Sharpe ratio (Hedges UMVUE)
    3.61857
  • df
    171.00000
  • t
    2.57000
  • p
    0.37800
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.83099
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.42777
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.82036
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.41678
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.92903
  • Upside Potential Ratio
    10.85270
  • Upside part of mean
    1.29193
  • Downside part of mean
    -0.70517
  • Upside SD
    0.11288
  • Downside SD
    0.11904
  • N nonnegative terms
    107.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.18369
  • Mean of criterion
    0.58676
  • SD of predictor
    0.06563
  • SD of criterion
    0.16144
  • Covariance
    0.00177
  • r
    0.16751
  • b (slope, estimate of beta)
    0.41206
  • a (intercept, estimate of alpha)
    0.51107
  • Mean Square Error
    0.02548
  • DF error
    170.00000
  • t(b)
    2.21532
  • p(b)
    0.41625
  • t(a)
    2.23841
  • p(a)
    0.41540
  • Lowerbound of 95% confidence interval for beta
    0.04488
  • Upperbound of 95% confidence interval for beta
    0.77923
  • Lowerbound of 95% confidence interval for alpha
    0.06037
  • Upperbound of 95% confidence interval for alpha
    0.96178
  • Treynor index (mean / b)
    1.42399
  • Jensen alpha (a)
    0.51107
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.57321
  • SD
    0.16238
  • Sharpe ratio (Glass type estimate)
    3.53003
  • Sharpe ratio (Hedges UMVUE)
    3.51452
  • df
    171.00000
  • t
    2.49611
  • p
    0.38134
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.72809
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.32187
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.71780
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.31124
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.74857
  • Upside Potential Ratio
    10.65000
  • Upside part of mean
    1.28557
  • Downside part of mean
    -0.71237
  • Upside SD
    0.11224
  • Downside SD
    0.12071
  • N nonnegative terms
    107.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.18150
  • Mean of criterion
    0.57321
  • SD of predictor
    0.06552
  • SD of criterion
    0.16238
  • Covariance
    0.00178
  • r
    0.16712
  • b (slope, estimate of beta)
    0.41416
  • a (intercept, estimate of alpha)
    0.49804
  • Mean Square Error
    0.02578
  • DF error
    170.00000
  • t(b)
    2.21011
  • p(b)
    0.41644
  • t(a)
    2.16906
  • p(a)
    0.41795
  • VAR (95 Confidence Intrvl)
    0.01000
  • Lowerbound of 95% confidence interval for beta
    0.04424
  • Upperbound of 95% confidence interval for beta
    0.78408
  • Lowerbound of 95% confidence interval for alpha
    0.04478
  • Upperbound of 95% confidence interval for alpha
    0.95129
  • Treynor index (mean / b)
    1.38402
  • Jensen alpha (a)
    0.49804
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01265
  • Expected Shortfall on VaR
    0.01625
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00374
  • Expected Shortfall on VaR
    0.00876
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.95669
  • Quartile 1
    1.00000
  • Median
    1.00074
  • Quartile 3
    1.00772
  • Maximum
    1.01866
  • Mean of quarter 1
    0.99184
  • Mean of quarter 2
    1.00011
  • Mean of quarter 3
    1.00389
  • Mean of quarter 4
    1.01110
  • Inter Quartile Range
    0.00772
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.07558
  • Mean of outliers low
    0.97946
  • 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)
    -0.63821
  • VaR(95%) (moments method)
    0.00326
  • Expected Shortfall (moments method)
    0.00410
  • Extreme Value Index (regression method)
    -0.01799
  • VaR(95%) (regression method)
    0.00998
  • Expected Shortfall (regression method)
    0.01718
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00124
  • Median
    0.01732
  • Quartile 3
    0.03224
  • Maximum
    0.07490
  • Mean of quarter 1
    0.00025
  • Mean of quarter 2
    0.00815
  • Mean of quarter 3
    0.02439
  • Mean of quarter 4
    0.04724
  • Inter Quartile Range
    0.03100
  • 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)
    0.09433
  • VaR(95%) (moments method)
    0.05371
  • Expected Shortfall (moments method)
    0.06985
  • Extreme Value Index (regression method)
    1.07373
  • VaR(95%) (regression method)
    0.06498
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    2
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.67708
  • Compounded annual return (geometric extrapolation)
    0.79168
  • Calmar ratio (compounded annual return / max draw down)
    10.56970
  • Compounded annual return / average of 25% largest draw downs
    16.75910
  • Compounded annual return / Expected Shortfall lognormal
    48.70760

Strategy Description

100% systematic trading strategy. Scalping focus. Profit Target and Stop Loss set for all trades.
Most trades entered around 5:00pm EST (see results). Please check with your broker to ensure you can trade at these times.
See my profile for additional details.

Summary Statistics

Strategy began
2016-10-06
Suggested Minimum Capital
$20,000
# Trades
445
# Profitable
407
% Profitable
91.5%
Correlation S&P500
0.014
Sharpe Ratio
0.27
Sortino Ratio
0.37
Beta
0.00
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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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.