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These are hypothetical performance results that have certain inherent limitations. Learn more
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DAILY SPREVE
(107663046)

Created by: SPREVETRADINGSYSTE SPREVETRADINGSYSTE
Started: 12/2016
Futures
Last trade: 2,016 days ago
Trading style: Futures Financials / Indexes
Subscriptions not currently available.

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.

Trading Category: Futures
Financials / Indexes
Category: Equity

Financials / Indexes

Focuses on market indexes or interest rates futures.
30.8%
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.

(100.0%)
Max Drawdown
9
Num Trades
77.8%
Win Trades
47.2 : 1
Profit Factor
18.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                             +1.1%+1.1%
2017  -    -    -    -    -    -    -  (0.1%)  -  (0.1%)  -    -  (0.4%)
2018  -  (2%)(5%)+9.3%+6.7%(0.9%)+3.9%+2.6%  -  (29.7%)+11.6%(65.4%)(68.9%)
2019  -  (1574.5%)  -    -    -    -    -  (1574.5%)
2020  -    -    -  
2021  -    -    -    -    -  
2022  -    -    -    -    -    -    -  
2023  -    -    -    -    -    -  (211.2%)+16.9%+4.3%(235.6%)
2024+6.6%+8.1%+5.0%(4.1%)                                                +16.0%

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.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/13/18 16:38 @ESU8 E-MINI S&P 500 LONG 4 2827.00 8/17 10:05 2842.12 4.24%
Trade id #119419248
Max drawdown($4,800)
Time8/15/18 10:57
Quant open4
Worst price2803.00
Drawdown as % of equity-4.24%
 $2,993
Includes Typical Broker Commissions trade costs of $32.00
6/26/18 1:37 @ESU8 E-MINI S&P 500 LONG 4 2725.50 7/6 9:29 2742.00 6.05%
Trade id #118645003
Max drawdown($6,450)
Time6/28/18 8:37
Quant open4
Worst price2693.25
Drawdown as % of equity-6.05%
 $3,268
Includes Typical Broker Commissions trade costs of $32.00
5/30/18 4:15 @ESM8 E-MINI S&P 500 LONG 4 2702.50 5/31 13:57 2714.12 1.39%
Trade id #118161739
Max drawdown($1,500)
Time5/30/18 4:46
Quant open4
Worst price2695.00
Drawdown as % of equity-1.39%
 $2,293
Includes Typical Broker Commissions trade costs of $32.00
4/24/18 16:14 @ESM8 E-MINI S&P 500 LONG 4 2635.38 5/7 9:47 2672.88 9.53%
Trade id #117647437
Max drawdown($8,825)
Time5/3/18 10:57
Quant open4
Worst price2591.25
Drawdown as % of equity-9.53%
 $7,468
Includes Typical Broker Commissions trade costs of $32.00
3/20/18 1:21 @ESM8 E-MINI S&P 500 LONG 4 2724.75 4/5 15:54 2666.75 42.81%
Trade id #117128477
Max drawdown($34,550)
Time4/2/18 14:06
Quant open4
Worst price2552.00
Drawdown as % of equity-42.81%
 ($11,632)
Includes Typical Broker Commissions trade costs of $32.00
3/2/18 0:20 @ESH8 E-MINI S&P 500 LONG 4 2675.75 3/8 16:33 2738.75 5.8%
Trade id #116817308
Max drawdown($5,750)
Time3/2/18 9:46
Quant open4
Worst price2647.00
Drawdown as % of equity-5.80%
 $12,568
Includes Typical Broker Commissions trade costs of $32.00
2/5/18 4:40 @ESH8 E-MINI S&P 500 LONG 1 2754.00 2/15 4:10 2714.00 12.26%
Trade id #116289976
Max drawdown($11,250)
Time2/5/18 23:26
Quant open1
Worst price2529.00
Drawdown as % of equity-12.26%
 ($2,008)
Includes Typical Broker Commissions trade costs of $8.00
12/1/16 16:30 @ESZ6 E-MINI S&P 500 LONG 2 2191.75 12/6 2:38 2203.25 1.28%
Trade id #107675888
Max drawdown($1,275)
Time12/4/16 18:28
Quant open2
Worst price2179.00
Drawdown as % of equity-1.28%
 $1,134
Includes Typical Broker Commissions trade costs of $16.00
Next

Statistics

  • Strategy began
    12/1/2016
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    2692.28
  • Age
    90 months ago
  • What it trades
    Futures
  • # Trades
    9
  • # Profitable
    7
  • % Profitable
    77.80%
  • Avg trade duration
    231.3 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    April 14, 2019 - April 15, 2019
  • Annual Return (Compounded)
    30.8%
  • Avg win
    $91,614
  • Avg loss
    $6,800
  • Model Account Values (Raw)
  • Cash
    $116,300
  • Margin Used
    $51,924
  • Buying Power
    $675,776
  • Ratios
  • W:L ratio
    47.15:1
  • Sharpe Ratio
    -0.51
  • Sortino Ratio
    -0.51
  • Calmar Ratio
    4.667
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    495.78%
  • Correlation to SP500
    -0.15150
  • Return Percent SP500 (cumu) during strategy life
    131.02%
  • Return Statistics
  • Ann Return (w trading costs)
    30.8%
  • Slump
  • Current Slump as Pcnt Equity
    4.30%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • 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)
    0.308%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    30.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    94.50%
  • Chance of 30% account loss
    72.50%
  • Chance of 40% account loss
    37.50%
  • Chance of 60% account loss (Monte Carlo)
    4.00%
  • 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
    16.00%
  • 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
    $6,800
  • Avg Win
    $91,614
  • Sum Trade PL (losers)
    $13,600.000
  • Age
  • Num Months filled monthly returns table
    29
  • Win / Loss
  • Sum Trade PL (winners)
    $641,300.000
  • # Winners
    7
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    2
  • % Winners
    77.8%
  • Frequency
  • Avg Position Time (mins)
    333056.00
  • Avg Position Time (hrs)
    5550.94
  • Avg Trade Length
    231.3 days
  • Last Trade Ago
    2016
  • Regression
  • Alpha
    0.00
  • Beta
    -1.52
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.31
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    35.46
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    79.14
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.30
  • MAE:Equity, average, winning trades
    0.05
  • MAE:Equity, average, losing trades
    0.84
  • Avg(MAE) / Avg(PL) - All trades
    -2.356
  • 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
    1.95
  • Avg(MAE) / Avg(PL) - Winning trades
    0.957
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.360
  • Hold-and-Hope Ratio
    0.219
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    4.00513
  • SD
    4.15585
  • Sharpe ratio (Glass type estimate)
    0.96373
  • Sharpe ratio (Hedges UMVUE)
    0.90200
  • df
    12.00000
  • t
    1.00309
  • p
    0.36093
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.97660
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.86602
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.01534
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.81934
  • Statistics related to Sortino ratio
  • Sortino ratio
    13.49400
  • Upside Potential Ratio
    14.95730
  • Upside part of mean
    4.43944
  • Downside part of mean
    -0.43431
  • Upside SD
    4.14623
  • Downside SD
    0.29681
  • N nonnegative terms
    8.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.64221
  • Mean of criterion
    4.00513
  • SD of predictor
    0.45087
  • SD of criterion
    4.15585
  • Covariance
    1.83686
  • r
    0.98031
  • b (slope, estimate of beta)
    9.03586
  • a (intercept, estimate of alpha)
    -1.79780
  • Mean Square Error
    0.73469
  • DF error
    11.00000
  • t(b)
    16.46500
  • p(b)
    0.00000
  • t(a)
    -2.00701
  • p(a)
    0.96502
  • Lowerbound of 95% confidence interval for beta
    7.82798
  • Upperbound of 95% confidence interval for beta
    10.24370
  • Lowerbound of 95% confidence interval for alpha
    -3.76935
  • Upperbound of 95% confidence interval for alpha
    0.17376
  • Treynor index (mean / b)
    0.44325
  • Jensen alpha (a)
    -1.79780
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.48668
  • SD
    1.66259
  • Sharpe ratio (Glass type estimate)
    0.89419
  • Sharpe ratio (Hedges UMVUE)
    0.83691
  • df
    12.00000
  • t
    0.93071
  • p
    0.37027
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.03958
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.79247
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.07569
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.74952
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.36530
  • Upside Potential Ratio
    5.79259
  • Upside part of mean
    1.97276
  • Downside part of mean
    -0.48609
  • Upside SD
    1.61857
  • Downside SD
    0.34057
  • N nonnegative terms
    8.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.55439
  • Mean of criterion
    1.48668
  • SD of predictor
    0.37131
  • SD of criterion
    1.66259
  • Covariance
    0.60254
  • r
    0.97603
  • b (slope, estimate of beta)
    4.37030
  • a (intercept, estimate of alpha)
    -0.93617
  • Mean Square Error
    0.14281
  • DF error
    11.00000
  • t(b)
    14.87510
  • p(b)
    0.00000
  • t(a)
    -2.35255
  • p(a)
    0.98084
  • Lowerbound of 95% confidence interval for beta
    3.72365
  • Upperbound of 95% confidence interval for beta
    5.01695
  • Lowerbound of 95% confidence interval for alpha
    -1.81202
  • Upperbound of 95% confidence interval for alpha
    -0.06031
  • Treynor index (mean / b)
    0.34018
  • Jensen alpha (a)
    -0.93617
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.48601
  • Expected Shortfall on VaR
    0.57322
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06879
  • Expected Shortfall on VaR
    0.14922
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.72382
  • Quartile 1
    1.00000
  • Median
    1.02160
  • Quartile 3
    1.07489
  • Maximum
    5.30992
  • Mean of quarter 1
    0.88529
  • Mean of quarter 2
    1.01158
  • Mean of quarter 3
    1.04387
  • Mean of quarter 4
    2.55390
  • Inter Quartile Range
    0.07489
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.07692
  • Mean of outliers low
    0.72382
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    3.25466
  • 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)
    -0.06456
  • VaR(95%) (regression method)
    0.21977
  • Expected Shortfall (regression method)
    0.33168
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.07887
  • Quartile 1
    0.09134
  • Median
    0.10380
  • Quartile 3
    0.18999
  • Maximum
    0.27618
  • Mean of quarter 1
    0.07887
  • Mean of quarter 2
    0.10380
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.27618
  • Inter Quartile Range
    0.09866
  • 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)
    3.83935
  • Compounded annual return (geometric extrapolation)
    3.54753
  • Calmar ratio (compounded annual return / max draw down)
    12.84490
  • Compounded annual return / average of 25% largest draw downs
    12.84490
  • Compounded annual return / Expected Shortfall lognormal
    6.18878
  • 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
    489327.00000
  • SD
    523612.00000
  • Sharpe ratio (Glass type estimate)
    0.93452
  • Sharpe ratio (Hedges UMVUE)
    0.93217
  • df
    299.00000
  • t
    1.00000
  • p
    0.15906
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89938
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.76695
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90098
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.76533
  • Statistics related to Sortino ratio
  • Sortino ratio
    463248.00000
  • Upside Potential Ratio
    463251.00000
  • Upside part of mean
    489330.00000
  • Downside part of mean
    -3.16090
  • Upside SD
    523612.00000
  • Downside SD
    1.05629
  • N nonnegative terms
    70.00000
  • N negative terms
    230.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    300.00000
  • Mean of predictor
    0.81771
  • Mean of criterion
    489327.00000
  • SD of predictor
    0.50265
  • SD of criterion
    523612.00000
  • Covariance
    -17193.90000
  • r
    -0.06533
  • b (slope, estimate of beta)
    -68051.50000
  • a (intercept, estimate of alpha)
    544973.00000
  • Mean Square Error
    273916000000.00000
  • DF error
    298.00000
  • t(b)
    -1.13014
  • p(b)
    0.87034
  • t(a)
    1.10863
  • p(a)
    0.13424
  • Lowerbound of 95% confidence interval for beta
    -186552.00000
  • Upperbound of 95% confidence interval for beta
    50449.00000
  • Lowerbound of 95% confidence interval for alpha
    -422422.00000
  • Upperbound of 95% confidence interval for alpha
    1512370.00000
  • Treynor index (mean / b)
    -7.19053
  • Jensen alpha (a)
    544973.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.70682
  • SD
    15.97490
  • Sharpe ratio (Glass type estimate)
    0.10684
  • Sharpe ratio (Hedges UMVUE)
    0.10658
  • df
    299.00000
  • t
    0.11433
  • p
    0.45453
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.72486
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.93844
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.72507
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.93823
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.16964
  • Upside Potential Ratio
    1.34417
  • Upside part of mean
    13.52430
  • Downside part of mean
    -11.81750
  • Upside SD
    12.37430
  • Downside SD
    10.06150
  • N nonnegative terms
    70.00000
  • N negative terms
    230.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    300.00000
  • Mean of predictor
    0.70336
  • Mean of criterion
    1.70682
  • SD of predictor
    0.46555
  • SD of criterion
    15.97490
  • Covariance
    -1.55033
  • r
    -0.20846
  • b (slope, estimate of beta)
    -7.15300
  • a (intercept, estimate of alpha)
    6.73797
  • Mean Square Error
    244.92600
  • DF error
    298.00000
  • t(b)
    -3.67939
  • p(b)
    0.99986
  • t(a)
    0.45870
  • p(a)
    0.32339
  • Lowerbound of 95% confidence interval for beta
    -10.97890
  • Upperbound of 95% confidence interval for beta
    -3.32715
  • Lowerbound of 95% confidence interval for alpha
    -22.16970
  • Upperbound of 95% confidence interval for alpha
    35.64560
  • Treynor index (mean / b)
    -0.23862
  • Jensen alpha (a)
    6.73797
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.80148
  • Expected Shortfall on VaR
    0.86086
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03537
  • Expected Shortfall on VaR
    0.08038
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    300.00000
  • Minimum
    0.00002
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    560300.00000
  • Mean of quarter 1
    0.95207
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    7471.68000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    59.00000
  • Percentage of outliers low
    0.19667
  • Mean of outliers low
    0.93907
  • Number of outliers high
    70.00000
  • Percentage of outliers high
    0.23333
  • Mean of outliers high
    8005.30000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.55868
  • VaR(95%) (moments method)
    0.00211
  • Expected Shortfall (moments method)
    0.00215
  • Extreme Value Index (regression method)
    0.34714
  • VaR(95%) (regression method)
    0.03350
  • Expected Shortfall (regression method)
    0.08120
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00025
  • Quartile 1
    0.03078
  • Median
    0.06015
  • Quartile 3
    0.12837
  • Maximum
    0.99999
  • Mean of quarter 1
    0.00812
  • Mean of quarter 2
    0.03857
  • Mean of quarter 3
    0.08592
  • Mean of quarter 4
    0.61727
  • Inter Quartile Range
    0.09759
  • 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
    0.12500
  • Mean of outliers high
    0.99999
  • 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)
    5.49214
  • Compounded annual return (geometric extrapolation)
    4.66737
  • Calmar ratio (compounded annual return / max draw down)
    4.66741
  • Compounded annual return / average of 25% largest draw downs
    7.56130
  • Compounded annual return / Expected Shortfall lognormal
    5.42173
  • 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
    1120600.00000
  • SD
    792382.00000
  • Sharpe ratio (Glass type estimate)
    1.41421
  • Sharpe ratio (Hedges UMVUE)
    1.40604
  • df
    130.00000
  • t
    1.00000
  • p
    0.45632
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.36558
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.18868
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.37103
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.18310
  • Statistics related to Sortino ratio
  • Sortino ratio
    712002.00000
  • Upside Potential Ratio
    712006.00000
  • Upside part of mean
    1120600.00000
  • Downside part of mean
    -6.02770
  • Upside SD
    792382.00000
  • Downside SD
    1.57386
  • N nonnegative terms
    42.00000
  • N negative terms
    89.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.41876
  • Mean of criterion
    1120600.00000
  • SD of predictor
    0.73543
  • SD of criterion
    792382.00000
  • Covariance
    -42136.50000
  • r
    -0.07231
  • b (slope, estimate of beta)
    -77907.60000
  • a (intercept, estimate of alpha)
    1231130.00000
  • Mean Square Error
    629429000000.00000
  • DF error
    129.00000
  • t(b)
    -0.82341
  • p(b)
    0.54599
  • t(a)
    1.08950
  • p(a)
    0.43930
  • Lowerbound of 95% confidence interval for beta
    -265107.00000
  • Upperbound of 95% confidence interval for beta
    109292.00000
  • Lowerbound of 95% confidence interval for alpha
    -1004590.00000
  • Upperbound of 95% confidence interval for alpha
    3466840.00000
  • Treynor index (mean / b)
    -14.38360
  • Jensen alpha (a)
    1231130.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    3.75136
  • SD
    24.22340
  • Sharpe ratio (Glass type estimate)
    0.15487
  • Sharpe ratio (Hedges UMVUE)
    0.15397
  • df
    130.00000
  • t
    0.10951
  • p
    0.49520
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.61725
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.92650
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.61790
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.92584
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.24642
  • Upside Potential Ratio
    1.94191
  • Upside part of mean
    29.56210
  • Downside part of mean
    -25.81070
  • Upside SD
    18.72430
  • Downside SD
    15.22320
  • N nonnegative terms
    42.00000
  • N negative terms
    89.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.17615
  • Mean of criterion
    3.75136
  • SD of predictor
    0.67724
  • SD of criterion
    24.22340
  • Covariance
    -3.59899
  • r
    -0.21938
  • b (slope, estimate of beta)
    -7.84693
  • a (intercept, estimate of alpha)
    12.98060
  • Mean Square Error
    562.86000
  • DF error
    129.00000
  • t(b)
    -2.55395
  • p(b)
    0.63854
  • t(a)
    0.38466
  • p(a)
    0.47846
  • VAR (95 Confidence Intrvl)
    0.80100
  • Lowerbound of 95% confidence interval for beta
    -13.92590
  • Upperbound of 95% confidence interval for beta
    -1.76797
  • Lowerbound of 95% confidence interval for alpha
    -53.78630
  • Upperbound of 95% confidence interval for alpha
    79.74750
  • Treynor index (mean / b)
    -0.47807
  • Jensen alpha (a)
    12.98060
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.91347
  • Expected Shortfall on VaR
    0.94773
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06248
  • Expected Shortfall on VaR
    0.14097
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00002
  • Quartile 1
    0.98813
  • Median
    1.00000
  • Quartile 3
    1.01533
  • Maximum
    560300.00000
  • Mean of quarter 1
    0.91016
  • Mean of quarter 2
    0.99880
  • Mean of quarter 3
    1.00161
  • Mean of quarter 4
    16979.80000
  • Inter Quartile Range
    0.02720
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.11450
  • Mean of outliers low
    0.83651
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    56031.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.67451
  • VaR(95%) (moments method)
    0.06362
  • Expected Shortfall (moments method)
    0.22392
  • Extreme Value Index (regression method)
    0.56481
  • VaR(95%) (regression method)
    0.06532
  • Expected Shortfall (regression method)
    0.17947
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.01599
  • Quartile 1
    0.02801
  • Median
    0.03570
  • Quartile 3
    0.06720
  • Maximum
    0.99999
  • Mean of quarter 1
    0.01994
  • Mean of quarter 2
    0.03392
  • Mean of quarter 3
    0.04143
  • Mean of quarter 4
    0.54648
  • Inter Quartile Range
    0.03919
  • 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
    0.99999
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -411153000
  • Max Equity Drawdown (num days)
    1
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    11.23390
  • Compounded annual return (geometric extrapolation)
    42.78410
  • Calmar ratio (compounded annual return / max draw down)
    42.78450
  • Compounded annual return / average of 25% largest draw downs
    78.29000
  • Compounded annual return / Expected Shortfall lognormal
    45.14380

Strategy Description

DAILY SPREVE is a mean reversal daily system that takes advantage of moves against the main trend. It trades the e-mini's, SP500, DOWJONES, RUSSEL, SP MID CAP 400, NASDAQ, EUROSTOXX50, DAX30, and also numerous SECTORIAL ETFs. It is a high probability system, backtests show about 80% of winning trades on 15 years of sp500 daily data. DAILY SPREVE uses strict management rules, stop loss, trailing stop taking into account the volatility of the market traded. The average holding period is about 4.5 days. It trades about one or two times a month.
I created this system for an hedge fund in 2009, i was head of trading and quant trader for the french CTA "JOHN LOCKE INVESTMENTS from 2003 to 2015.
Investors have to be aware that :
"Backtesting data is hypothetical and it has not been verified by C2."

Summary Statistics

Strategy began
2016-12-01
Suggested Minimum Capital
$30,000
# Trades
9
# Profitable
7
% Profitable
77.8%
Correlation S&P500
-0.151
Sharpe Ratio
-0.51
Sortino Ratio
-0.51
Beta
-1.52
Alpha
0.00

Latest Activity

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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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