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GiGo2 (108711879)

Created by: 8Alert 8Alert
Started: 01/2017
Stocks
Last trade: 29 days ago

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $129.00 per month.

-12.7%
Cumul. Return
28.5%
Max Drawdown
34
Num Trades
94.1%
Win Trades
0.8 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017(0.3%)+2.0%+1.9%+0.1%(0.6%)+3.9%(10%)+9.6%+11.8%(14.4%)(2.5%)(11.5%)(12.7%)

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

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Long
Short
Both
Win
Loss
Both
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Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/28/17 12:54 TNA DIREXION DAILY SMALL CAP BULL SHORT 400 65.31 11/15 9:39 60.62 2%
Trade id #113915294
Max drawdown($1,043)
Time11/1/17 8:29
Quant open-400
Worst price67.92
Drawdown as % of equity-2.00%
$1,869
Includes Typical Broker Commissions trade costs of $8.00
9/28/17 12:56 SPXL DIREXION DAILY S&P500 BULL 3X SHORT 200 37.91 10/5 12:50 39.77 0.67%
Trade id #113915330
Max drawdown($383)
Time10/5/17 12:27
Quant open-200
Worst price39.82
Drawdown as % of equity-0.67%
($377)
Includes Typical Broker Commissions trade costs of $4.00
9/27/17 9:34 TNA DIREXION DAILY SMALL CAP BULL SHORT 100 61.89 9/27 10:52 61.22 0.04%
Trade id #113887940
Max drawdown($22)
Time9/27/17 9:39
Quant open-100
Worst price62.11
Drawdown as % of equity-0.04%
$65
Includes Typical Broker Commissions trade costs of $2.00
9/26/17 11:16 TNA DIREXION DAILY SMALL CAP BULL SHORT 300 60.84 9/26 15:59 60.48 0.13%
Trade id #113866053
Max drawdown($81)
Time9/26/17 14:01
Quant open-300
Worst price61.11
Drawdown as % of equity-0.13%
$102
Includes Typical Broker Commissions trade costs of $6.00
9/26/17 9:36 XIV VELOCITYSHARES DAILY INVERSE V SHORT 100 93.92 9/26 10:31 93.09 0%
Trade id #113862030
Max drawdown($0)
Time9/26/17 9:38
Quant open-100
Worst price93.92
Drawdown as % of equity-0.00%
$81
Includes Typical Broker Commissions trade costs of $2.00
8/22/17 15:47 TEVA TEVA PHARMACEUTICAL LONG 2,200 16.67 9/12 14:18 19.27 11.8%
Trade id #113282391
Max drawdown($6,282)
Time8/31/17 7:31
Quant open2,200
Worst price13.81
Drawdown as % of equity-11.80%
$5,706
Includes Typical Broker Commissions trade costs of $26.50
8/22/17 13:30 XIV VELOCITYSHARES DAILY INVERSE V SHORT 200 82.27 8/22 15:59 82.15 0.16%
Trade id #113280364
Max drawdown($88)
Time8/22/17 15:44
Quant open-200
Worst price82.71
Drawdown as % of equity-0.16%
$20
Includes Typical Broker Commissions trade costs of $4.00
8/21/17 10:44 TEVA TEVA PHARMACEUTICAL LONG 2,000 16.86 8/22 11:03 17.03 0.48%
Trade id #113256511
Max drawdown($266)
Time8/22/17 9:57
Quant open1,800
Worst price16.73
Drawdown as % of equity-0.48%
$290
Includes Typical Broker Commissions trade costs of $40.00
8/10/17 15:14 XIV VELOCITYSHARES DAILY INVERSE V LONG 300 80.03 8/10 15:31 80.69 0.45%
Trade id #113090869
Max drawdown($246)
Time8/10/17 15:22
Quant open300
Worst price79.21
Drawdown as % of equity-0.45%
$192
Includes Typical Broker Commissions trade costs of $6.00
8/10/17 12:26 XIV VELOCITYSHARES DAILY INVERSE V LONG 150 80.70 8/10 13:00 81.46 0.12%
Trade id #113086157
Max drawdown($69)
Time8/10/17 12:36
Quant open100
Worst price80.06
Drawdown as % of equity-0.12%
$112
Includes Typical Broker Commissions trade costs of $3.00
7/17/17 11:02 SPXL DIREXION DAILY S&P500 BULL 3X SHORT 200 35.99 8/10 12:35 35.64 0.43%
Trade id #112640348
Max drawdown($210)
Time8/8/17 12:11
Quant open-200
Worst price37.04
Drawdown as % of equity-0.43%
$66
Includes Typical Broker Commissions trade costs of $4.00
8/10/17 10:07 XIV VELOCITYSHARES DAILY INVERSE V LONG 150 81.47 8/10 10:10 82.43 0.21%
Trade id #113080211
Max drawdown($116)
Time8/10/17 10:09
Quant open150
Worst price80.69
Drawdown as % of equity-0.21%
$142
Includes Typical Broker Commissions trade costs of $3.00
7/13/17 11:59 XIV VELOCITYSHARES DAILY INVERSE V SHORT 950 90.20 8/9 14:35 89.63 12.94%
Trade id #112584083
Max drawdown($6,380)
Time7/26/17 14:14
Quant open-950
Worst price96.91
Drawdown as % of equity-12.94%
$517
Includes Typical Broker Commissions trade costs of $19.00
6/26/17 9:30 XIV VELOCITYSHARES DAILY INVERSE V SHORT 200 87.00 6/27 15:06 85.36 0.2%
Trade id #112211226
Max drawdown($108)
Time6/27/17 11:06
Quant open-200
Worst price87.54
Drawdown as % of equity-0.20%
$324
Includes Typical Broker Commissions trade costs of $4.00
6/19/17 9:39 SPXL DIREXION DAILY S&P500 BULL 3X SHORT 300 35.00 6/21 11:19 34.58 0.05%
Trade id #112116433
Max drawdown($25)
Time6/19/17 15:55
Quant open-100
Worst price35.45
Drawdown as % of equity-0.05%
$121
Includes Typical Broker Commissions trade costs of $6.00
6/21/17 10:48 XIV VELOCITYSHARES DAILY INVERSE V SHORT 100 84.53 6/21 11:14 83.88 0.02%
Trade id #112152921
Max drawdown($12)
Time6/21/17 10:51
Quant open-100
Worst price84.65
Drawdown as % of equity-0.02%
$64
Includes Typical Broker Commissions trade costs of $2.00
6/19/17 9:38 XIV VELOCITYSHARES DAILY INVERSE V SHORT 250 84.69 6/20 9:33 83.91 0.3%
Trade id #112116414
Max drawdown($163)
Time6/19/17 13:37
Quant open-250
Worst price85.34
Drawdown as % of equity-0.30%
$190
Includes Typical Broker Commissions trade costs of $5.00
5/22/17 10:30 TQQQ PROSHARES ULTRAPRO QQQ SHORT 350 103.66 6/9 14:44 103.31 5.89%
Trade id #111710337
Max drawdown($2,962)
Time6/9/17 10:20
Quant open-350
Worst price112.13
Drawdown as % of equity-5.89%
$116
Includes Typical Broker Commissions trade costs of $7.00
6/8/17 12:28 XIV VELOCITYSHARES DAILY INVERSE V SHORT 300 82.63 6/9 13:40 81.23 0.27%
Trade id #111972716
Max drawdown($138)
Time6/9/17 10:32
Quant open-100
Worst price83.19
Drawdown as % of equity-0.27%
$414
Includes Typical Broker Commissions trade costs of $6.00
4/25/17 9:45 TQQQ PROSHARES ULTRAPRO QQQ SHORT 200 95.98 5/17 15:55 95.50 2.72%
Trade id #111246400
Max drawdown($1,399)
Time5/16/17 16:00
Quant open-200
Worst price102.98
Drawdown as % of equity-2.72%
$91
Includes Typical Broker Commissions trade costs of $4.00
5/15/17 10:00 XIV VELOCITYSHARES DAILY INVERSE V SHORT 50 81.08 5/17 9:57 76.89 0.17%
Trade id #111599619
Max drawdown($88)
Time5/16/17 10:21
Quant open-50
Worst price82.84
Drawdown as % of equity-0.17%
$208
Includes Typical Broker Commissions trade costs of $1.00
5/15/17 9:58 SPXL DIREXION DAILY S&P500 BULL 3X SHORT 100 33.16 5/17 9:57 32.30 0.05%
Trade id #111599509
Max drawdown($26)
Time5/16/17 9:31
Quant open-100
Worst price33.42
Drawdown as % of equity-0.05%
$85
Includes Typical Broker Commissions trade costs of $2.00
5/9/17 9:33 XIV VELOCITYSHARES DAILY INVERSE V SHORT 50 80.93 5/11 9:41 78.54 0.01%
Trade id #111473216
Max drawdown($4)
Time5/9/17 9:35
Quant open-50
Worst price81.01
Drawdown as % of equity-0.01%
$118
Includes Typical Broker Commissions trade costs of $1.00
5/2/17 14:01 XIV VELOCITYSHARES DAILY INVERSE V SHORT 50 77.90 5/3 10:11 76.73 0.02%
Trade id #111368261
Max drawdown($11)
Time5/2/17 14:36
Quant open-50
Worst price78.12
Drawdown as % of equity-0.02%
$58
Includes Typical Broker Commissions trade costs of $1.00
4/5/17 9:42 XIV VELOCITYSHARES DAILY INVERSE V SHORT 125 74.75 4/5 15:14 73.85 0.11%
Trade id #110721600
Max drawdown($58)
Time4/5/17 13:54
Quant open-125
Worst price75.22
Drawdown as % of equity-0.11%
$111
Includes Typical Broker Commissions trade costs of $2.50
3/28/17 15:25 XIV VELOCITYSHARES DAILY INVERSE V SHORT 200 73.78 4/4 10:45 71.74 0.66%
Trade id #110491947
Max drawdown($340)
Time3/29/17 15:10
Quant open-200
Worst price75.48
Drawdown as % of equity-0.66%
$405
Includes Typical Broker Commissions trade costs of $4.00
3/15/17 10:59 XIV VELOCITYSHARES DAILY INVERSE V SHORT 300 70.98 3/21 13:58 70.39 2.59%
Trade id #110246490
Max drawdown($1,328)
Time3/21/17 9:37
Quant open-300
Worst price75.41
Drawdown as % of equity-2.59%
$171
Includes Typical Broker Commissions trade costs of $6.00
2/22/17 12:14 SPXL DIREXION DAILY S&P500 BULL 3X SHORT 100 127.29 3/14 10:00 126.66 0.92%
Trade id #109751476
Max drawdown($468)
Time3/1/17 14:25
Quant open-75
Worst price132.76
Drawdown as % of equity-0.92%
$61
Includes Typical Broker Commissions trade costs of $2.00
3/13/17 13:12 XIV VELOCITYSHARES DAILY INVERSE V SHORT 200 69.55 3/14 10:00 68.88 0.32%
Trade id #110201159
Max drawdown($166)
Time3/13/17 19:05
Quant open-200
Worst price70.38
Drawdown as % of equity-0.32%
$130
Includes Typical Broker Commissions trade costs of $4.00
3/7/17 12:48 XIV VELOCITYSHARES DAILY INVERSE V SHORT 200 68.55 3/9 10:47 67.98 0.17%
Trade id #110083619
Max drawdown($86)
Time3/8/17 10:55
Quant open-100
Worst price69.08
Drawdown as % of equity-0.17%
$110
Includes Typical Broker Commissions trade costs of $4.00

Statistics

  • Strategy began
    1/18/2017
  • Starting Unit Size
    $5,000
  • Strategy Age (days)
    329.75
  • Age
    11 months ago
  • What it trades
    Stocks
  • # Trades
    34
  • # Profitable
    32
  • % Profitable
    94.10%
  • Avg trade duration
    9.0 days
  • Max peak-to-valley drawdown
    28.48%
  • drawdown period
    Sept 27, 2017 - Dec 12, 2017
  • Cumul. Return
    -12.7%
  • Avg win
    $430.12
  • Avg loss
    $9,315
  • Model Account Values (Raw)
  • Cash
    $115,836
  • Margin Used
    $78,387
  • Buying Power
    $19,191
  • Ratios
  • W:L ratio
    0.76:1
  • Sharpe Ratio
    -0.305
  • Sortino Ratio
    -0.527
  • Calmar Ratio
    -0.378
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.18800
  • Return Statistics
  • Ann Return (w trading costs)
    -13.9%
  • Ann Return (Compnd, No Fees)
    -10.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    96.50%
  • Chance of 20% account loss
    52.00%
  • Chance of 30% account loss
    18.50%
  • Chance of 40% account loss
    1.50%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    508
  • C2 Score
    16.3
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $9,316
  • Avg Win
    $430
  • # Winners
    32
  • # Losers
    2
  • % Winners
    94.1%
  • Frequency
  • Avg Position Time (mins)
    13009.70
  • Avg Position Time (hrs)
    216.83
  • Avg Trade Length
    9.0 days
  • Last Trade Ago
    29
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10143
  • SD
    0.26041
  • Sharpe ratio (Glass type estimate)
    0.38950
  • Sharpe ratio (Hedges UMVUE)
    0.35595
  • df
    9.00000
  • t
    0.35556
  • p
    0.36518
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.77542
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.53328
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.79737
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.50927
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.52877
  • Upside Potential Ratio
    1.86074
  • Upside part of mean
    0.35692
  • Downside part of mean
    -0.25550
  • Upside SD
    0.15841
  • Downside SD
    0.19182
  • N nonnegative terms
    8.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.12819
  • Mean of criterion
    0.10143
  • SD of predictor
    0.05861
  • SD of criterion
    0.26041
  • Covariance
    -0.00430
  • r
    -0.28143
  • b (slope, estimate of beta)
    -1.25034
  • a (intercept, estimate of alpha)
    0.26171
  • Mean Square Error
    0.07025
  • DF error
    8.00000
  • t(b)
    -0.82952
  • p(b)
    0.78457
  • t(a)
    0.75040
  • p(a)
    0.23725
  • Lowerbound of 95% confidence interval for beta
    -4.72619
  • Upperbound of 95% confidence interval for beta
    2.22551
  • Lowerbound of 95% confidence interval for alpha
    -0.54253
  • Upperbound of 95% confidence interval for alpha
    1.06594
  • Treynor index (mean / b)
    -0.08112
  • Jensen alpha (a)
    0.26171
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06882
  • SD
    0.27112
  • Sharpe ratio (Glass type estimate)
    0.25384
  • Sharpe ratio (Hedges UMVUE)
    0.23198
  • df
    9.00000
  • t
    0.23173
  • p
    0.41097
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.90316
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.39713
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.91772
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.38169
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.32955
  • Upside Potential Ratio
    1.64861
  • Upside part of mean
    0.34430
  • Downside part of mean
    -0.27547
  • Upside SD
    0.15145
  • Downside SD
    0.20884
  • N nonnegative terms
    8.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.12570
  • Mean of criterion
    0.06882
  • SD of predictor
    0.05803
  • SD of criterion
    0.27112
  • Covariance
    -0.00460
  • r
    -0.29240
  • b (slope, estimate of beta)
    -1.36613
  • a (intercept, estimate of alpha)
    0.24055
  • Mean Square Error
    0.07563
  • DF error
    8.00000
  • t(b)
    -0.86484
  • p(b)
    0.79385
  • t(a)
    0.66670
  • p(a)
    0.26186
  • Lowerbound of 95% confidence interval for beta
    -5.00876
  • Upperbound of 95% confidence interval for beta
    2.27651
  • Lowerbound of 95% confidence interval for alpha
    -0.59146
  • Upperbound of 95% confidence interval for alpha
    1.07256
  • Treynor index (mean / b)
    -0.05038
  • Jensen alpha (a)
    0.24055
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11574
  • Expected Shortfall on VaR
    0.14383
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02338
  • Expected Shortfall on VaR
    0.06114
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.83264
  • Quartile 1
    1.00873
  • Median
    1.01735
  • Quartile 3
    1.04549
  • Maximum
    1.11292
  • Mean of quarter 1
    0.93326
  • Mean of quarter 2
    1.01209
  • Mean of quarter 3
    1.02205
  • Mean of quarter 4
    1.07991
  • Inter Quartile Range
    0.03676
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.10000
  • Mean of outliers low
    0.83264
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    1.11292
  • 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)
    0.36983
  • VaR(95%) (regression method)
    0.19075
  • Expected Shortfall (regression method)
    0.44108
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.04090
  • Quartile 1
    0.07251
  • Median
    0.10413
  • Quartile 3
    0.13574
  • Maximum
    0.16736
  • Mean of quarter 1
    0.04090
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.16736
  • Inter Quartile Range
    0.06323
  • 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)
    0.10074
  • Compounded annual return (geometric extrapolation)
    0.10156
  • Calmar ratio (compounded annual return / max draw down)
    0.60686
  • Compounded annual return / average of 25% largest draw downs
    0.60686
  • Compounded annual return / Expected Shortfall lognormal
    0.70612
  • 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
    -0.09146
  • SD
    0.29897
  • Sharpe ratio (Glass type estimate)
    -0.30593
  • Sharpe ratio (Hedges UMVUE)
    -0.30495
  • df
    234.00000
  • t
    -0.28974
  • p
    0.61386
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.37534
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76402
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.37463
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.76473
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.52748
  • Upside Potential Ratio
    6.77058
  • Upside part of mean
    1.17402
  • Downside part of mean
    -1.26548
  • Upside SD
    0.24283
  • Downside SD
    0.17340
  • N nonnegative terms
    77.00000
  • N negative terms
    158.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    235.00000
  • Mean of predictor
    0.15148
  • Mean of criterion
    -0.09146
  • SD of predictor
    0.06793
  • SD of criterion
    0.29897
  • Covariance
    -0.00373
  • r
    -0.18383
  • b (slope, estimate of beta)
    -0.80907
  • a (intercept, estimate of alpha)
    0.03100
  • Mean Square Error
    0.08673
  • DF error
    233.00000
  • t(b)
    -2.85470
  • p(b)
    0.99765
  • t(a)
    0.09905
  • p(a)
    0.46059
  • Lowerbound of 95% confidence interval for beta
    -1.36745
  • Upperbound of 95% confidence interval for beta
    -0.25068
  • Lowerbound of 95% confidence interval for alpha
    -0.58738
  • Upperbound of 95% confidence interval for alpha
    0.64957
  • Treynor index (mean / b)
    0.11305
  • Jensen alpha (a)
    0.03109
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.13473
  • SD
    0.29275
  • Sharpe ratio (Glass type estimate)
    -0.46024
  • Sharpe ratio (Hedges UMVUE)
    -0.45876
  • df
    234.00000
  • t
    -0.43588
  • p
    0.66834
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.52968
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.61015
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.52867
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.61115
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.76493
  • Upside Potential Ratio
    6.50609
  • Upside part of mean
    1.14597
  • Downside part of mean
    -1.28070
  • Upside SD
    0.23320
  • Downside SD
    0.17614
  • N nonnegative terms
    77.00000
  • N negative terms
    158.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    235.00000
  • Mean of predictor
    0.14912
  • Mean of criterion
    -0.13473
  • SD of predictor
    0.06796
  • SD of criterion
    0.29275
  • Covariance
    -0.00382
  • r
    -0.19178
  • b (slope, estimate of beta)
    -0.82615
  • a (intercept, estimate of alpha)
    -0.01154
  • Mean Square Error
    0.08290
  • DF error
    233.00000
  • t(b)
    -2.98277
  • p(b)
    0.99842
  • t(a)
    -0.03760
  • p(a)
    0.51498
  • Lowerbound of 95% confidence interval for beta
    -1.37185
  • Upperbound of 95% confidence interval for beta
    -0.28046
  • Lowerbound of 95% confidence interval for alpha
    -0.61602
  • Upperbound of 95% confidence interval for alpha
    0.59295
  • Treynor index (mean / b)
    0.16308
  • Jensen alpha (a)
    -0.01154
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02981
  • Expected Shortfall on VaR
    0.03709
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01329
  • Expected Shortfall on VaR
    0.02600
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    235.00000
  • Minimum
    0.95168
  • Quartile 1
    0.99646
  • Median
    1.00000
  • Quartile 3
    1.00195
  • Maximum
    1.12967
  • Mean of quarter 1
    0.98227
  • Mean of quarter 2
    0.99877
  • Mean of quarter 3
    1.00035
  • Mean of quarter 4
    1.01765
  • Inter Quartile Range
    0.00549
  • Number outliers low
    34.00000
  • Percentage of outliers low
    0.14468
  • Mean of outliers low
    0.97443
  • Number of outliers high
    27.00000
  • Percentage of outliers high
    0.11489
  • Mean of outliers high
    1.03298
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.06979
  • VaR(95%) (moments method)
    0.01186
  • Expected Shortfall (moments method)
    0.01777
  • Extreme Value Index (regression method)
    -0.22126
  • VaR(95%) (regression method)
    0.01660
  • Expected Shortfall (regression method)
    0.02212
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00404
  • Median
    0.01328
  • Quartile 3
    0.04914
  • Maximum
    0.26779
  • Mean of quarter 1
    0.00137
  • Mean of quarter 2
    0.00871
  • Mean of quarter 3
    0.03933
  • Mean of quarter 4
    0.15617
  • Inter Quartile Range
    0.04509
  • 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
    0.07692
  • Mean of outliers high
    0.26779
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.97657
  • VaR(95%) (moments method)
    0.12941
  • Expected Shortfall (moments method)
    0.14089
  • Extreme Value Index (regression method)
    0.49004
  • VaR(95%) (regression method)
    0.17896
  • Expected Shortfall (regression method)
    0.39616
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.10187
  • Compounded annual return (geometric extrapolation)
    -0.10132
  • Calmar ratio (compounded annual return / max draw down)
    -0.37834
  • Compounded annual return / average of 25% largest draw downs
    -0.64876
  • Compounded annual return / Expected Shortfall lognormal
    -2.73149
  • 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
    -0.30392
  • SD
    0.35380
  • Sharpe ratio (Glass type estimate)
    -0.85903
  • Sharpe ratio (Hedges UMVUE)
    -0.85406
  • df
    130.00000
  • t
    -0.60742
  • p
    0.52660
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.63123
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.91632
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.62781
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.91969
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.41172
  • Upside Potential Ratio
    7.04091
  • Upside part of mean
    1.51580
  • Downside part of mean
    -1.81972
  • Upside SD
    0.27968
  • Downside SD
    0.21529
  • N nonnegative terms
    45.00000
  • N negative terms
    86.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14886
  • Mean of criterion
    -0.30392
  • SD of predictor
    0.06654
  • SD of criterion
    0.35380
  • Covariance
    -0.00389
  • r
    -0.16530
  • b (slope, estimate of beta)
    -0.87892
  • a (intercept, estimate of alpha)
    -0.17309
  • Mean Square Error
    0.12270
  • DF error
    129.00000
  • t(b)
    -1.90368
  • p(b)
    0.60476
  • t(a)
    -0.34609
  • p(a)
    0.51939
  • Lowerbound of 95% confidence interval for beta
    -1.79239
  • Upperbound of 95% confidence interval for beta
    0.03455
  • Lowerbound of 95% confidence interval for alpha
    -1.16258
  • Upperbound of 95% confidence interval for alpha
    0.81641
  • Treynor index (mean / b)
    0.34579
  • Jensen alpha (a)
    -0.17309
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.36459
  • SD
    0.34692
  • Sharpe ratio (Glass type estimate)
    -1.05094
  • Sharpe ratio (Hedges UMVUE)
    -1.04486
  • df
    130.00000
  • t
    -0.74313
  • p
    0.53252
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.82376
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.72574
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.81958
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.72985
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.66675
  • Upside Potential Ratio
    6.75956
  • Upside part of mean
    1.47861
  • Downside part of mean
    -1.84320
  • Upside SD
    0.26850
  • Downside SD
    0.21874
  • N nonnegative terms
    45.00000
  • N negative terms
    86.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14660
  • Mean of criterion
    -0.36459
  • SD of predictor
    0.06657
  • SD of criterion
    0.34692
  • Covariance
    -0.00405
  • r
    -0.17544
  • b (slope, estimate of beta)
    -0.91424
  • a (intercept, estimate of alpha)
    -0.23056
  • Mean Square Error
    0.11755
  • DF error
    129.00000
  • t(b)
    -2.02407
  • p(b)
    0.61112
  • t(a)
    -0.47113
  • p(a)
    0.52638
  • Lowerbound of 95% confidence interval for beta
    -1.80791
  • Upperbound of 95% confidence interval for beta
    -0.02057
  • Lowerbound of 95% confidence interval for alpha
    -1.19880
  • Upperbound of 95% confidence interval for alpha
    0.73769
  • Treynor index (mean / b)
    0.39879
  • Jensen alpha (a)
    -0.23056
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03598
  • Expected Shortfall on VaR
    0.04455
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01888
  • Expected Shortfall on VaR
    0.03442
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95168
  • Quartile 1
    0.98942
  • Median
    1.00000
  • Quartile 3
    1.00316
  • Maximum
    1.12967
  • Mean of quarter 1
    0.97585
  • Mean of quarter 2
    0.99686
  • Mean of quarter 3
    1.00065
  • Mean of quarter 4
    1.02248
  • Inter Quartile Range
    0.01373
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.95891
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.05459
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.71537
  • VaR(95%) (moments method)
    0.02406
  • Expected Shortfall (moments method)
    0.02666
  • Extreme Value Index (regression method)
    -0.62187
  • VaR(95%) (regression method)
    0.02603
  • Expected Shortfall (regression method)
    0.02940
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00027
  • Quartile 1
    0.00114
  • Median
    0.04682
  • Quartile 3
    0.10393
  • Maximum
    0.26779
  • Mean of quarter 1
    0.00070
  • Mean of quarter 2
    0.04682
  • Mean of quarter 3
    0.10393
  • Mean of quarter 4
    0.26779
  • Inter Quartile Range
    0.10279
  • 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
    0.20000
  • Mean of outliers high
    0.26779
  • 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)
    -0.30987
  • Compounded annual return (geometric extrapolation)
    -0.28586
  • Calmar ratio (compounded annual return / max draw down)
    -1.06748
  • Compounded annual return / average of 25% largest draw downs
    -1.06748
  • Compounded annual return / Expected Shortfall lognormal
    -6.41718

Strategy Description

Summary Statistics

Strategy began
2017-01-18
Minimum Capital Required
$5,000
# Trades
34
# Profitable
32
% Profitable
94.1%
Net Dividends
Correlation S&P500
-0.188
Sharpe Ratio
-0.305

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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