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

Trades-Own-Strategy Certification

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

Trades-Own-Strategy (TOS) Certification Details
Certification process started 12/07/2016
Most recent certification approved 12/7/16 9:30 ET
Trades at broker Interactive Brokers (Direct Connection)
Scaling percentage used 100%
# trading signals issued by system since certification 23
# trading signals executed in manager's Interactive Brokers (Direct Connection) account 23
Percent signals followed since 12/07/2016 100%
This information was last updated 9/21/17 8:15 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 12/07/2016, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

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

Snowball (107460604)

Created by: LibardoLambrano LibardoLambrano
Started: 11/2016
Stocks
Last trade: 237 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. There is a free trial period of 7 days. After that, subscriptions cost $99.00 per month.

Try AutoTrade for free. We'll give you $100,000 in a Simulated Broker Account to AutoTrade Snowball.

Free AutoTrade

2.0%
Cumul. Return
12.1%
Max Drawdown
15
Num Trades
73.3%
Win Trades
2.2 : 1
Profit Factor
45.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                        -  (0.5%)(0.5%)
2017+0.6%+0.4%(0.7%)+1.5%(0.4%)+0.6%+1.5%(1.1%)  -                    +2.5%

Model Account Details

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

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

Trading Record

This strategy has placed 23 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/7/16 9:45 BRK.B BERKSHIRE HATHAWAY LONG 1 162.00 1/27/17 9:33 165.00 0.01%
Trade id #107786145
Max drawdown($3)
Time1/23/17 10:34
Quant open1
Worst price158.61
Drawdown as % of equity-0.01%
$3
Includes Typical Broker Commissions trade costs of $0.02
12/7/16 9:37 WFM WHOLE FOODS MARKET LONG 4 30.79 1/27/17 9:30 31.17 0.01%
Trade id #107785071
Max drawdown($3)
Time1/5/17 11:44
Quant open4
Worst price30.02
Drawdown as % of equity-0.01%
$2
Includes Typical Broker Commissions trade costs of $0.08
12/7/16 9:43 BKD BROOKDALE SENIOR LIVING LONG 10 11.81 1/27/17 9:30 15.41 n/a $36
Includes Typical Broker Commissions trade costs of $0.20

Statistics

  • Strategy began
    11/23/2016
  • Starting Unit Size
    $5,000
  • Strategy Age (days)
    298.3
  • Age
    10 months ago
  • What it trades
    Stocks
  • # Trades
    15
  • # Profitable
    11
  • % Profitable
    73.30%
  • Avg trade duration
    232.9 days
  • Max peak-to-valley drawdown
    12.06%
  • drawdown period
    Dec 24, 2016 - March 22, 2017
  • Cumul. Return
    2.0%
  • Avg win
    $103.27
  • Avg loss
    $143.75
  • Model Account Values (Raw)
  • Cash
    $22,050
  • Margin Used
    $0
  • Buying Power
    $23,062
  • Ratios
  • W:L ratio
    2.24:1
  • Sharpe Ratio
    0.326
  • Sortino Ratio
    0.484
  • Calmar Ratio
    2.268
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.09500
  • Return Statistics
  • Ann Return (w trading costs)
    2.4%
  • Ann Return (Compnd, No Fees)
    3.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    20.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    183817
  • TOS percent
    100%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    7
  • Win / Loss
  • Avg Loss
    $144
  • Avg Win
    $103
  • # Winners
    11
  • # Losers
    4
  • % Winners
    73.3%
  • Frequency
  • Avg Position Time (mins)
    335317.00
  • Avg Position Time (hrs)
    5588.62
  • Avg Trade Length
    232.9 days
  • Last Trade Ago
    234
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02966
  • SD
    0.03229
  • Sharpe ratio (Glass type estimate)
    0.91880
  • Sharpe ratio (Hedges UMVUE)
    0.81608
  • df
    7.00000
  • t
    0.75020
  • p
    0.23880
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.55843
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.33436
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.62214
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.25430
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.47240
  • Upside Potential Ratio
    2.98841
  • Upside part of mean
    0.06021
  • Downside part of mean
    -0.03054
  • Upside SD
    0.02407
  • Downside SD
    0.02015
  • N nonnegative terms
    6.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.14866
  • Mean of criterion
    0.02966
  • SD of predictor
    0.04922
  • SD of criterion
    0.03229
  • Covariance
    0.00098
  • r
    0.61385
  • b (slope, estimate of beta)
    0.40263
  • a (intercept, estimate of alpha)
    -0.03019
  • Mean Square Error
    0.00076
  • DF error
    6.00000
  • t(b)
    1.90473
  • p(b)
    0.05274
  • t(a)
    -0.65499
  • p(a)
    0.73162
  • Lowerbound of 95% confidence interval for beta
    -0.11462
  • Upperbound of 95% confidence interval for beta
    0.91988
  • Lowerbound of 95% confidence interval for alpha
    -0.14297
  • Upperbound of 95% confidence interval for alpha
    0.08259
  • Treynor index (mean / b)
    0.07368
  • Jensen alpha (a)
    -0.03019
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02911
  • SD
    0.03224
  • Sharpe ratio (Glass type estimate)
    0.90269
  • Sharpe ratio (Hedges UMVUE)
    0.80177
  • df
    7.00000
  • t
    0.73704
  • p
    0.24253
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.57250
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.31716
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.63515
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.23869
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.43718
  • Upside Potential Ratio
    2.95194
  • Upside part of mean
    0.05978
  • Downside part of mean
    -0.03068
  • Upside SD
    0.02388
  • Downside SD
    0.02025
  • N nonnegative terms
    6.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.14637
  • Mean of criterion
    0.02911
  • SD of predictor
    0.04853
  • SD of criterion
    0.03224
  • Covariance
    0.00097
  • r
    0.61980
  • b (slope, estimate of beta)
    0.41176
  • a (intercept, estimate of alpha)
    -0.03116
  • Mean Square Error
    0.00075
  • DF error
    6.00000
  • t(b)
    1.93460
  • p(b)
    0.05060
  • t(a)
    -0.68151
  • p(a)
    0.73951
  • Lowerbound of 95% confidence interval for beta
    -0.10905
  • Upperbound of 95% confidence interval for beta
    0.93256
  • Lowerbound of 95% confidence interval for alpha
    -0.14305
  • Upperbound of 95% confidence interval for alpha
    0.08073
  • Treynor index (mean / b)
    0.07069
  • Jensen alpha (a)
    -0.03116
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01280
  • Expected Shortfall on VaR
    0.01663
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00350
  • Expected Shortfall on VaR
    0.00820
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.98652
  • Quartile 1
    1.00342
  • Median
    1.00596
  • Quartile 3
    1.00838
  • Maximum
    1.01641
  • Mean of quarter 1
    0.99215
  • Mean of quarter 2
    1.00555
  • Mean of quarter 3
    1.00632
  • Mean of quarter 4
    1.01518
  • Inter Quartile Range
    0.00496
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.12500
  • Mean of outliers low
    0.98652
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    1.01641
  • 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
    2.00000
  • Minimum
    0.00223
  • Quartile 1
    0.00504
  • Median
    0.00785
  • Quartile 3
    0.01067
  • Maximum
    0.01348
  • Mean of quarter 1
    0.00223
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.01348
  • Inter Quartile Range
    0.00563
  • 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)
    0.05811
  • Compounded annual return (geometric extrapolation)
    0.05867
  • Calmar ratio (compounded annual return / max draw down)
    4.35278
  • Compounded annual return / average of 25% largest draw downs
    4.35278
  • Compounded annual return / Expected Shortfall lognormal
    3.52830
  • 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
    0.01184
  • SD
    0.03618
  • Sharpe ratio (Glass type estimate)
    0.32714
  • Sharpe ratio (Hedges UMVUE)
    0.32583
  • df
    188.00000
  • t
    0.27785
  • p
    0.48987
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.98115
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.63460
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.98204
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.63371
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.48368
  • Upside Potential Ratio
    7.70147
  • Upside part of mean
    0.18845
  • Downside part of mean
    -0.17662
  • Upside SD
    0.02653
  • Downside SD
    0.02447
  • N nonnegative terms
    96.00000
  • N negative terms
    93.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    189.00000
  • Mean of predictor
    0.14707
  • Mean of criterion
    0.01184
  • SD of predictor
    0.07278
  • SD of criterion
    0.03618
  • Covariance
    0.00097
  • r
    0.36875
  • b (slope, estimate of beta)
    0.18330
  • a (intercept, estimate of alpha)
    -0.01500
  • Mean Square Error
    0.00114
  • DF error
    187.00000
  • t(b)
    5.42485
  • p(b)
    0.27068
  • t(a)
    -0.37797
  • p(a)
    0.51759
  • Lowerbound of 95% confidence interval for beta
    0.11665
  • Upperbound of 95% confidence interval for beta
    0.24996
  • Lowerbound of 95% confidence interval for alpha
    -0.09405
  • Upperbound of 95% confidence interval for alpha
    0.06381
  • Treynor index (mean / b)
    0.06457
  • Jensen alpha (a)
    -0.01512
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01118
  • SD
    0.03617
  • Sharpe ratio (Glass type estimate)
    0.30922
  • Sharpe ratio (Hedges UMVUE)
    0.30799
  • df
    188.00000
  • t
    0.26263
  • p
    0.49042
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.99896
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.61674
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.99986
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.61583
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.45537
  • Upside Potential Ratio
    7.65842
  • Upside part of mean
    0.18808
  • Downside part of mean
    -0.17690
  • Upside SD
    0.02643
  • Downside SD
    0.02456
  • N nonnegative terms
    96.00000
  • N negative terms
    93.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    189.00000
  • Mean of predictor
    0.14438
  • Mean of criterion
    0.01118
  • SD of predictor
    0.07278
  • SD of criterion
    0.03617
  • Covariance
    0.00097
  • r
    0.36953
  • b (slope, estimate of beta)
    0.18363
  • a (intercept, estimate of alpha)
    -0.01533
  • Mean Square Error
    0.00114
  • DF error
    187.00000
  • t(b)
    5.43819
  • p(b)
    0.27022
  • t(a)
    -0.38351
  • p(a)
    0.51784
  • Lowerbound of 95% confidence interval for beta
    0.11702
  • Upperbound of 95% confidence interval for beta
    0.25025
  • Lowerbound of 95% confidence interval for alpha
    -0.09418
  • Upperbound of 95% confidence interval for alpha
    0.06352
  • Treynor index (mean / b)
    0.06090
  • Jensen alpha (a)
    -0.01533
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00363
  • Expected Shortfall on VaR
    0.00456
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00152
  • Expected Shortfall on VaR
    0.00312
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    189.00000
  • Minimum
    0.98656
  • Quartile 1
    0.99909
  • Median
    1.00016
  • Quartile 3
    1.00110
  • Maximum
    1.01316
  • Mean of quarter 1
    0.99782
  • Mean of quarter 2
    0.99973
  • Mean of quarter 3
    1.00057
  • Mean of quarter 4
    1.00253
  • Inter Quartile Range
    0.00201
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01058
  • Mean of outliers low
    0.99048
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.02645
  • Mean of outliers high
    1.00775
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17177
  • VaR(95%) (moments method)
    0.00216
  • Expected Shortfall (moments method)
    0.00321
  • Extreme Value Index (regression method)
    0.31763
  • VaR(95%) (regression method)
    0.00191
  • Expected Shortfall (regression method)
    0.00302
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00051
  • Quartile 1
    0.00247
  • Median
    0.00431
  • Quartile 3
    0.01349
  • Maximum
    0.01758
  • Mean of quarter 1
    0.00143
  • Mean of quarter 2
    0.00301
  • Mean of quarter 3
    0.00683
  • Mean of quarter 4
    0.01679
  • Inter Quartile Range
    0.01101
  • 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)
    -8089.85000
  • VaR(95%) (moments method)
    0.01740
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -6.87815
  • VaR(95%) (regression method)
    0.02609
  • Expected Shortfall (regression method)
    0.02609
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.03965
  • Compounded annual return (geometric extrapolation)
    0.03986
  • Calmar ratio (compounded annual return / max draw down)
    2.26772
  • Compounded annual return / average of 25% largest draw downs
    2.37446
  • Compounded annual return / Expected Shortfall lognormal
    8.75112
  • 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
    -0.00370
  • SD
    0.03109
  • Sharpe ratio (Glass type estimate)
    -0.11907
  • Sharpe ratio (Hedges UMVUE)
    -0.11839
  • df
    130.00000
  • t
    -0.08420
  • p
    0.50369
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.89080
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.65289
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.89023
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.65346
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.17780
  • Upside Potential Ratio
    8.68934
  • Upside part of mean
    0.18094
  • Downside part of mean
    -0.18464
  • Upside SD
    0.02293
  • Downside SD
    0.02082
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11446
  • Mean of criterion
    -0.00370
  • SD of predictor
    0.07517
  • SD of criterion
    0.03109
  • Covariance
    0.00089
  • r
    0.38231
  • b (slope, estimate of beta)
    0.15815
  • a (intercept, estimate of alpha)
    -0.02181
  • Mean Square Error
    0.00083
  • DF error
    129.00000
  • t(b)
    4.69921
  • p(b)
    0.26268
  • t(a)
    -0.53219
  • p(a)
    0.52979
  • Lowerbound of 95% confidence interval for beta
    0.09156
  • Upperbound of 95% confidence interval for beta
    0.22474
  • Lowerbound of 95% confidence interval for alpha
    -0.10287
  • Upperbound of 95% confidence interval for alpha
    0.05926
  • Treynor index (mean / b)
    -0.02341
  • Jensen alpha (a)
    -0.02181
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00418
  • SD
    0.03107
  • Sharpe ratio (Glass type estimate)
    -0.13458
  • Sharpe ratio (Hedges UMVUE)
    -0.13380
  • df
    130.00000
  • t
    -0.09516
  • p
    0.50417
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.90619
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.63752
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.90565
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.63805
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.20051
  • Upside Potential Ratio
    8.66333
  • Upside part of mean
    0.18066
  • Downside part of mean
    -0.18484
  • Upside SD
    0.02287
  • Downside SD
    0.02085
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11162
  • Mean of criterion
    -0.00418
  • SD of predictor
    0.07520
  • SD of criterion
    0.03107
  • Covariance
    0.00089
  • r
    0.38258
  • b (slope, estimate of beta)
    0.15806
  • a (intercept, estimate of alpha)
    -0.02182
  • Mean Square Error
    0.00083
  • DF error
    129.00000
  • t(b)
    4.70303
  • p(b)
    0.26252
  • t(a)
    -0.53327
  • p(a)
    0.52985
  • Lowerbound of 95% confidence interval for beta
    0.09157
  • Upperbound of 95% confidence interval for beta
    0.22456
  • Lowerbound of 95% confidence interval for alpha
    -0.10280
  • Upperbound of 95% confidence interval for alpha
    0.05915
  • Treynor index (mean / b)
    -0.02645
  • Jensen alpha (a)
    -0.02182
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00317
  • Expected Shortfall on VaR
    0.00397
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00162
  • Expected Shortfall on VaR
    0.00297
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99440
  • Quartile 1
    0.99881
  • Median
    1.00017
  • Quartile 3
    1.00112
  • Maximum
    1.00815
  • Mean of quarter 1
    0.99783
  • Mean of quarter 2
    0.99959
  • Mean of quarter 3
    1.00062
  • Mean of quarter 4
    1.00234
  • Inter Quartile Range
    0.00231
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.99440
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.00800
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15280
  • VaR(95%) (moments method)
    0.00233
  • Expected Shortfall (moments method)
    0.00326
  • Extreme Value Index (regression method)
    0.26040
  • VaR(95%) (regression method)
    0.00199
  • Expected Shortfall (regression method)
    0.00279
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00051
  • Quartile 1
    0.00212
  • Median
    0.00301
  • Quartile 3
    0.01054
  • Maximum
    0.01758
  • Mean of quarter 1
    0.00097
  • Mean of quarter 2
    0.00260
  • Mean of quarter 3
    0.00569
  • Mean of quarter 4
    0.01756
  • Inter Quartile Range
    0.00842
  • 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)
    0.02387
  • Compounded annual return (geometric extrapolation)
    0.02401
  • Calmar ratio (compounded annual return / max draw down)
    1.36580
  • Compounded annual return / average of 25% largest draw downs
    1.36731
  • Compounded annual return / Expected Shortfall lognormal
    6.05192

Strategy Description

Summary Statistics

Strategy began
2016-11-23
Minimum Capital Required
$5,000
# Trades
15
# Profitable
11
% Profitable
73.3%
Net Dividends
Correlation S&P500
0.095
Sharpe Ratio
0.326

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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