Collective2 Collective2
Featured Strategy Lazy Trading ES +44.1% Cumul. Return since Sep 25, 2024 Hypothetical

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EF Futures
(107362324)

Created by: EFAdvisory EFAdvisory
Started: 11/2016
Futures
Last trade: 2,231 days ago
Trading style: Equity Momentum

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $99.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
-1.8%
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.

(59.4%)
Max Drawdown
444
Num Trades
50.9%
Win Trades
1.1 : 1
Profit Factor
17.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                      +1.1%+2.3%+3.4%
2017+9.1%+10.4%+2.7%+6.5%+4.2%+2.1%+2.9%+9.4%(4%)+2.5%+4.4%(1.1%)+60.6%
2018(5.5%)+18.0%(4.7%)+4.5%(5.7%)(8.6%)+16.5%+4.7%+7.9%(58.7%)  -    -  (48%)
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -    -    -        0.0

Model Account Details

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

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

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 761 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/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/16/18 10:16 @ESZ8 E-MINI S&P 500 SHORT 2 2785.62 10/16 15:41 2810.50 15.49%
Trade id #120379566
Max drawdown($2,587)
Time10/16/18 15:41
Quant open-2
Worst price2811.50
Drawdown as % of equity-15.49%
 ($2,504)
Includes Typical Broker Commissions trade costs of $16.00
10/15/18 15:12 @ESZ8 E-MINI S&P 500 LONG 2 2770.00 10/15 16:01 2752.25 9.14%
Trade id #120361834
Max drawdown($1,775)
Time10/15/18 16:01
Quant open0
Worst price2752.25
Drawdown as % of equity-9.14%
 ($1,791)
Includes Typical Broker Commissions trade costs of $16.00
10/11/18 10:29 @ESZ8 E-MINI S&P 500 LONG 1 2780.50 10/11 10:53 2768.50 2.84%
Trade id #120299303
Max drawdown($600)
Time10/11/18 10:51
Quant open1
Worst price2768.50
Drawdown as % of equity-2.84%
 ($608)
Includes Typical Broker Commissions trade costs of $8.00
10/11/18 9:48 @ESZ8 E-MINI S&P 500 SHORT 1 2783.25 10/11 9:51 2791.50 1.93%
Trade id #120297592
Max drawdown($413)
Time10/11/18 9:51
Quant open0
Worst price2791.50
Drawdown as % of equity-1.93%
 ($421)
Includes Typical Broker Commissions trade costs of $8.00
10/11/18 9:37 @ESZ8 E-MINI S&P 500 LONG 1 2778.61 10/11 9:44 2775.50 1.52%
Trade id #120297105
Max drawdown($330)
Time10/11/18 9:43
Quant open1
Worst price2772.00
Drawdown as % of equity-1.52%
 ($163)
Includes Typical Broker Commissions trade costs of $8.00
10/11/18 8:39 @ESZ8 E-MINI S&P 500 SHORT 1 2781.00 10/11 8:42 2774.75 0.06%
Trade id #120295709
Max drawdown($12)
Time10/11/18 8:41
Quant open-1
Worst price2781.25
Drawdown as % of equity-0.06%
 $305
Includes Typical Broker Commissions trade costs of $8.00
10/11/18 5:55 @ESZ8 E-MINI S&P 500 SHORT 1 2760.50 10/11 8:30 2782.17 4.81%
Trade id #120294086
Max drawdown($1,083)
Time10/11/18 8:30
Quant open0
Worst price2782.17
Drawdown as % of equity-4.81%
 ($1,091)
Includes Typical Broker Commissions trade costs of $8.00
10/11/18 4:12 @ESZ8 E-MINI S&P 500 LONG 1 2759.00 10/11 4:17 2758.25 0.39%
Trade id #120293310
Max drawdown($87)
Time10/11/18 4:16
Quant open1
Worst price2757.25
Drawdown as % of equity-0.39%
 ($46)
Includes Typical Broker Commissions trade costs of $8.00
10/10/18 15:28 @ESZ8 E-MINI S&P 500 SHORT 1 2817.50 10/10 15:34 2815.50 0.89%
Trade id #120283800
Max drawdown($200)
Time10/10/18 15:30
Quant open-1
Worst price2821.50
Drawdown as % of equity-0.89%
 $92
Includes Typical Broker Commissions trade costs of $8.00
10/10/18 10:26 @ESZ8 E-MINI S&P 500 LONG 2 2852.00 10/10 15:12 2825.88 11.38%
Trade id #120275031
Max drawdown($2,613)
Time10/10/18 15:12
Quant open1
Worst price2812.75
Drawdown as % of equity-11.38%
 ($2,629)
Includes Typical Broker Commissions trade costs of $16.00
10/10/18 10:07 @ESZ8 E-MINI S&P 500 LONG 1 2856.78 10/10 10:14 2857.00 0.1%
Trade id #120274122
Max drawdown($26)
Time10/10/18 10:09
Quant open1
Worst price2856.25
Drawdown as % of equity-0.10%
 $3
Includes Typical Broker Commissions trade costs of $8.00
10/9/18 12:21 @ESZ8 E-MINI S&P 500 LONG 1 2891.50 10/10 10:03 2854.22 7.36%
Trade id #120257135
Max drawdown($1,864)
Time10/10/18 10:03
Quant open0
Worst price2854.22
Drawdown as % of equity-7.36%
 ($1,872)
Includes Typical Broker Commissions trade costs of $8.00
10/9/18 9:33 @ESZ8 E-MINI S&P 500 LONG 1 2883.75 10/9 12:09 2896.25 0.91%
Trade id #120251144
Max drawdown($237)
Time10/9/18 9:47
Quant open1
Worst price2879.00
Drawdown as % of equity-0.91%
 $617
Includes Typical Broker Commissions trade costs of $8.00
10/8/18 12:00 @ESZ8 E-MINI S&P 500 LONG 1 2871.75 10/8 14:28 2883.25 1.02%
Trade id #120235986
Max drawdown($262)
Time10/8/18 13:01
Quant open1
Worst price2866.50
Drawdown as % of equity-1.02%
 $567
Includes Typical Broker Commissions trade costs of $8.00
10/8/18 10:50 @ESZ8 E-MINI S&P 500 LONG 1 2886.57 10/8 11:46 2868.52 3.5%
Trade id #120232982
Max drawdown($902)
Time10/8/18 11:46
Quant open0
Worst price2868.52
Drawdown as % of equity-3.50%
 ($910)
Includes Typical Broker Commissions trade costs of $8.00
10/5/18 10:00 @ESZ8 E-MINI S&P 500 LONG 1 2906.50 10/5 15:34 2887.25 6.36%
Trade id #120205036
Max drawdown($1,662)
Time10/5/18 13:30
Quant open1
Worst price2873.25
Drawdown as % of equity-6.36%
 ($971)
Includes Typical Broker Commissions trade costs of $8.00
10/4/18 14:14 @ESZ8 E-MINI S&P 500 LONG 1 2894.00 10/4 14:52 2899.25 1.15%
Trade id #120188354
Max drawdown($312)
Time10/4/18 14:22
Quant open1
Worst price2887.75
Drawdown as % of equity-1.15%
 $255
Includes Typical Broker Commissions trade costs of $8.00
10/4/18 11:07 @ESZ8 E-MINI S&P 500 SHORT 1 2911.50 10/4 11:17 2909.50 0.14%
Trade id #120183612
Max drawdown($37)
Time10/4/18 11:13
Quant open-1
Worst price2912.25
Drawdown as % of equity-0.14%
 $92
Includes Typical Broker Commissions trade costs of $8.00
10/4/18 11:07 @ESZ8 E-MINI S&P 500 SHORT 1 2911.25 10/4 11:07 2911.75 0.09%
Trade id #120183595
Max drawdown($25)
Time10/4/18 11:07
Quant open0
Worst price2911.75
Drawdown as % of equity-0.09%
 ($33)
Includes Typical Broker Commissions trade costs of $8.00
10/3/18 15:05 @ESZ8 E-MINI S&P 500 LONG 2 2923.17 10/4 10:24 2912.80 3.74%
Trade id #120168998
Max drawdown($1,037)
Time10/4/18 10:24
Quant open1
Worst price2906.86
Drawdown as % of equity-3.74%
 ($1,053)
Includes Typical Broker Commissions trade costs of $16.00
9/24/18 10:08 @ESZ8 E-MINI S&P 500 LONG 1 2926.75 10/3 14:37 2932.50 3.44%
Trade id #120001350
Max drawdown($962)
Time9/26/18 15:49
Quant open1
Worst price2907.50
Drawdown as % of equity-3.44%
 $280
Includes Typical Broker Commissions trade costs of $8.00
9/18/18 15:38 @ESZ8 E-MINI S&P 500 LONG 1 2914.25 9/19 9:33 2916.00 1.54%
Trade id #119917387
Max drawdown($425)
Time9/19/18 8:16
Quant open1
Worst price2905.75
Drawdown as % of equity-1.54%
 $80
Includes Typical Broker Commissions trade costs of $8.00
9/18/18 10:03 @ESZ8 E-MINI S&P 500 LONG 2 2903.68 9/18 14:45 2912.50 0.51%
Trade id #119907787
Max drawdown($137)
Time9/18/18 10:11
Quant open1
Worst price2901.50
Drawdown as % of equity-0.51%
 $866
Includes Typical Broker Commissions trade costs of $16.00
9/14/18 12:15 @ESU8 E-MINI S&P 500 LONG 1 2903.25 9/14 15:46 2905.75 1.21%
Trade id #119866784
Max drawdown($325)
Time9/14/18 13:11
Quant open1
Worst price2896.75
Drawdown as % of equity-1.21%
 $117
Includes Typical Broker Commissions trade costs of $8.00
9/13/18 10:43 @ESU8 E-MINI S&P 500 LONG 1 2898.50 9/13 16:01 2904.25 0.28%
Trade id #119843044
Max drawdown($75)
Time9/13/18 11:34
Quant open1
Worst price2897.00
Drawdown as % of equity-0.28%
 $280
Includes Typical Broker Commissions trade costs of $8.00
9/6/18 12:35 @ESU8 E-MINI S&P 500 LONG 2 2873.50 9/12 11:51 2883.62 2.15%
Trade id #119748787
Max drawdown($550)
Time9/6/18 13:05
Quant open2
Worst price2868.00
Drawdown as % of equity-2.15%
 $997
Includes Typical Broker Commissions trade costs of $16.00
9/4/18 10:33 @ESU8 E-MINI S&P 500 LONG 1 2895.75 9/6 12:22 2874.50 5.08%
Trade id #119714336
Max drawdown($1,337)
Time9/6/18 11:10
Quant open1
Worst price2869.00
Drawdown as % of equity-5.08%
 ($1,071)
Includes Typical Broker Commissions trade costs of $8.00
8/2/18 6:04 @ESU8 E-MINI S&P 500 LONG 1 2794.00 8/2 11:36 2814.25 0.59%
Trade id #119241928
Max drawdown($150)
Time8/2/18 6:53
Quant open1
Worst price2791.00
Drawdown as % of equity-0.59%
 $1,005
Includes Typical Broker Commissions trade costs of $8.00
7/23/18 9:57 @ESU8 E-MINI S&P 500 LONG 1 2798.00 7/24 11:35 2822.00 0.41%
Trade id #119067803
Max drawdown($100)
Time7/23/18 10:32
Quant open1
Worst price2796.00
Drawdown as % of equity-0.41%
 $1,192
Includes Typical Broker Commissions trade costs of $8.00
7/20/18 12:37 @ESU8 E-MINI S&P 500 LONG 2 2805.45 7/20 16:09 2801.50 1.6%
Trade id #119039568
Max drawdown($395)
Time7/20/18 16:09
Quant open0
Worst price2801.50
Drawdown as % of equity-1.60%
 ($411)
Includes Typical Broker Commissions trade costs of $16.00
Next

Statistics

  • Strategy began
    11/21/2016
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    2922.06
  • Age
    98 months ago
  • What it trades
    Futures
  • # Trades
    444
  • # Profitable
    226
  • % Profitable
    50.90%
  • Avg trade duration
    4.8 hours
  • Max peak-to-valley drawdown
    59.43%
  • drawdown period
    Oct 03, 2018 - Oct 16, 2018
  • Annual Return (Compounded)
    -1.8%
  • Avg win
    $251.84
  • Avg loss
    $232.24
  • Model Account Values (Raw)
  • Cash
    $16,282
  • Margin Used
    $0
  • Buying Power
    $16,282
  • Ratios
  • W:L ratio
    1.12:1
  • Sharpe Ratio
    -0.11
  • Sortino Ratio
    -0.14
  • Calmar Ratio
    0.443
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -182.88%
  • Correlation to SP500
    0.03330
  • Return Percent SP500 (cumu) during strategy life
    171.56%
  • Return Statistics
  • Ann Return (w trading costs)
    -1.8%
  • Slump
  • Current Slump as Pcnt Equity
    145.80%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.77%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.018%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    52.00%
  • Chance of 20% account loss
    23.50%
  • Chance of 30% account loss
    5.50%
  • Chance of 40% account loss
    1.00%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $232
  • Avg Win
    $252
  • Sum Trade PL (losers)
    $50,629.000
  • Age
  • Num Months filled monthly returns table
    97
  • Win / Loss
  • Sum Trade PL (winners)
    $56,915.000
  • # Winners
    226
  • Num Months Winners
    17
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    218
  • % Winners
    50.9%
  • Frequency
  • Avg Position Time (mins)
    285.28
  • Avg Position Time (hrs)
    4.75
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    2228
  • Regression
  • Alpha
    -0.01
  • Beta
    0.03
  • Treynor Index
    -0.20
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    37.98
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    33.02
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.13
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    28.733
  • 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
    0.09
  • Avg(MAE) / Avg(PL) - Winning trades
    0.560
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.219
  • Hold-and-Hope Ratio
    0.034
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21957
  • SD
    0.35195
  • Sharpe ratio (Glass type estimate)
    0.62388
  • Sharpe ratio (Hedges UMVUE)
    0.60913
  • df
    32.00000
  • t
    1.03459
  • p
    0.15431
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.57251
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.81082
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58216
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.80041
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.86823
  • Upside Potential Ratio
    1.70747
  • Upside part of mean
    0.43182
  • Downside part of mean
    -0.21224
  • Upside SD
    0.24530
  • Downside SD
    0.25290
  • N nonnegative terms
    15.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.30414
  • Mean of criterion
    0.21957
  • SD of predictor
    0.25298
  • SD of criterion
    0.35195
  • Covariance
    0.01184
  • r
    0.13298
  • b (slope, estimate of beta)
    0.18500
  • a (intercept, estimate of alpha)
    0.16331
  • Mean Square Error
    0.12560
  • DF error
    31.00000
  • t(b)
    0.74701
  • p(b)
    0.23034
  • t(a)
    0.72070
  • p(a)
    0.23825
  • Lowerbound of 95% confidence interval for beta
    -0.32009
  • Upperbound of 95% confidence interval for beta
    0.69009
  • Lowerbound of 95% confidence interval for alpha
    -0.29884
  • Upperbound of 95% confidence interval for alpha
    0.62546
  • Treynor index (mean / b)
    1.18689
  • Jensen alpha (a)
    0.16331
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14812
  • SD
    0.39741
  • Sharpe ratio (Glass type estimate)
    0.37271
  • Sharpe ratio (Hedges UMVUE)
    0.36389
  • df
    32.00000
  • t
    0.61807
  • p
    0.27045
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.81554
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.55525
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.82137
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.54915
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.45760
  • Upside Potential Ratio
    1.24879
  • Upside part of mean
    0.40420
  • Downside part of mean
    -0.25609
  • Upside SD
    0.22407
  • Downside SD
    0.32368
  • N nonnegative terms
    15.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.27134
  • Mean of criterion
    0.14812
  • SD of predictor
    0.23959
  • SD of criterion
    0.39741
  • Covariance
    0.01851
  • r
    0.19443
  • b (slope, estimate of beta)
    0.32251
  • a (intercept, estimate of alpha)
    0.06061
  • Mean Square Error
    0.15686
  • DF error
    31.00000
  • t(b)
    1.10363
  • p(b)
    0.13912
  • t(a)
    0.24084
  • p(a)
    0.40563
  • Lowerbound of 95% confidence interval for beta
    -0.27349
  • Upperbound of 95% confidence interval for beta
    0.91851
  • Lowerbound of 95% confidence interval for alpha
    -0.45264
  • Upperbound of 95% confidence interval for alpha
    0.57385
  • Treynor index (mean / b)
    0.45926
  • Jensen alpha (a)
    0.06061
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16168
  • Expected Shortfall on VaR
    0.20021
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04140
  • Expected Shortfall on VaR
    0.09562
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    33.00000
  • Minimum
    0.58876
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.04385
  • Maximum
    1.27266
  • Mean of quarter 1
    0.93981
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.03033
  • Mean of quarter 4
    1.12248
  • Inter Quartile Range
    0.04385
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03030
  • Mean of outliers low
    0.58876
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    1.20347
  • 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)
    1.30605
  • VaR(95%) (regression method)
    0.06374
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00438
  • Quartile 1
    0.01244
  • Median
    0.02029
  • Quartile 3
    0.04047
  • Maximum
    0.41124
  • Mean of quarter 1
    0.00693
  • Mean of quarter 2
    0.01785
  • Mean of quarter 3
    0.03241
  • Mean of quarter 4
    0.22989
  • Inter Quartile Range
    0.02803
  • 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
    0.41124
  • 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)
    0.22642
  • Compounded annual return (geometric extrapolation)
    0.19247
  • Calmar ratio (compounded annual return / max draw down)
    0.46802
  • Compounded annual return / average of 25% largest draw downs
    0.83722
  • Compounded annual return / Expected Shortfall lognormal
    0.96133
  • 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
    0.16770
  • SD
    0.21522
  • Sharpe ratio (Glass type estimate)
    0.77920
  • Sharpe ratio (Hedges UMVUE)
    0.77840
  • df
    736.00000
  • t
    1.30686
  • p
    0.09583
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.39034
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.94821
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.39087
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.94768
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.05856
  • Upside Potential Ratio
    5.19001
  • Upside part of mean
    0.82221
  • Downside part of mean
    -0.65451
  • Upside SD
    0.14583
  • Downside SD
    0.15842
  • N nonnegative terms
    212.00000
  • N negative terms
    525.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    737.00000
  • Mean of predictor
    0.35936
  • Mean of criterion
    0.16770
  • SD of predictor
    0.28469
  • SD of criterion
    0.21522
  • Covariance
    0.00184
  • r
    0.03008
  • b (slope, estimate of beta)
    0.02274
  • a (intercept, estimate of alpha)
    0.16000
  • Mean Square Error
    0.04634
  • DF error
    735.00000
  • t(b)
    0.81590
  • p(b)
    0.20741
  • t(a)
    1.23913
  • p(a)
    0.10785
  • Lowerbound of 95% confidence interval for beta
    -0.03198
  • Upperbound of 95% confidence interval for beta
    0.07746
  • Lowerbound of 95% confidence interval for alpha
    -0.09322
  • Upperbound of 95% confidence interval for alpha
    0.41227
  • Treynor index (mean / b)
    7.37436
  • Jensen alpha (a)
    0.15953
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14418
  • SD
    0.21766
  • Sharpe ratio (Glass type estimate)
    0.66240
  • Sharpe ratio (Hedges UMVUE)
    0.66172
  • df
    736.00000
  • t
    1.11097
  • p
    0.13347
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50690
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.83127
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.50736
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.83081
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.87428
  • Upside Potential Ratio
    4.92304
  • Upside part of mean
    0.81185
  • Downside part of mean
    -0.66768
  • Upside SD
    0.14211
  • Downside SD
    0.16491
  • N nonnegative terms
    212.00000
  • N negative terms
    525.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    737.00000
  • Mean of predictor
    0.31844
  • Mean of criterion
    0.14418
  • SD of predictor
    0.28599
  • SD of criterion
    0.21766
  • Covariance
    0.00198
  • r
    0.03187
  • b (slope, estimate of beta)
    0.02425
  • a (intercept, estimate of alpha)
    0.13645
  • Mean Square Error
    0.04739
  • DF error
    735.00000
  • t(b)
    0.86443
  • p(b)
    0.19381
  • t(a)
    1.04879
  • p(a)
    0.14731
  • Lowerbound of 95% confidence interval for beta
    -0.03083
  • Upperbound of 95% confidence interval for beta
    0.07934
  • Lowerbound of 95% confidence interval for alpha
    -0.11897
  • Upperbound of 95% confidence interval for alpha
    0.39187
  • Treynor index (mean / b)
    5.94439
  • Jensen alpha (a)
    0.13645
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02134
  • Expected Shortfall on VaR
    0.02681
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00701
  • Expected Shortfall on VaR
    0.01561
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    737.00000
  • Minimum
    0.86253
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00197
  • Maximum
    1.12133
  • Mean of quarter 1
    0.99035
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00016
  • Mean of quarter 4
    1.01253
  • Inter Quartile Range
    0.00197
  • Number outliers low
    104.00000
  • Percentage of outliers low
    0.14111
  • Mean of outliers low
    0.98340
  • Number of outliers high
    141.00000
  • Percentage of outliers high
    0.19132
  • Mean of outliers high
    1.01539
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.47059
  • VaR(95%) (moments method)
    0.00435
  • Expected Shortfall (moments method)
    0.01116
  • Extreme Value Index (regression method)
    0.33681
  • VaR(95%) (regression method)
    0.00830
  • Expected Shortfall (regression method)
    0.01911
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    31.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00520
  • Median
    0.01895
  • Quartile 3
    0.03618
  • Maximum
    0.42375
  • Mean of quarter 1
    0.00254
  • Mean of quarter 2
    0.01191
  • Mean of quarter 3
    0.02704
  • Mean of quarter 4
    0.11223
  • Inter Quartile Range
    0.03099
  • 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
    0.09677
  • Mean of outliers high
    0.20611
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.57553
  • VaR(95%) (moments method)
    0.11575
  • Expected Shortfall (moments method)
    0.30018
  • Extreme Value Index (regression method)
    0.92887
  • VaR(95%) (regression method)
    0.12104
  • Expected Shortfall (regression method)
    1.53843
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.22135
  • Compounded annual return (geometric extrapolation)
    0.18778
  • Calmar ratio (compounded annual return / max draw down)
    0.44313
  • Compounded annual return / average of 25% largest draw downs
    1.67311
  • Compounded annual return / Expected Shortfall lognormal
    7.00435
  • 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
    0.87887
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.42985
  • 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
    0.78604
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.42920
  • 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)
    -6822740000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.02100
  • 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)
    589675000000000015335382728048640.00000
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -382820000
  • Max Equity Drawdown (num days)
    13
  • 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

Multiple strategies inside.
Looking for the highest return with a reasonable DD

Summary Statistics

Strategy began
2016-11-21
Suggested Minimum Capital
$25,000
# Trades
444
# Profitable
226
% Profitable
50.9%
Correlation S&P500
0.033
Sharpe Ratio
-0.11
Sortino Ratio
-0.14
Beta
0.03
Alpha
-0.01

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.