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

GiGo3 (108711905)

Created by: 8Alert 8Alert
Started: 01/2017
Futures
Last trade: Yesterday

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 $69.00 per month.

34.2%
Cumul. Return
6.5%
Max Drawdown
158
Num Trades
97.5%
Win Trades
11.5 : 1
Profit Factor
87.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017(1.1%)+13.6%+3.3%+4.6%+2.2%+3.7%+2.4%+2.1%                        +34.3%

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 136 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/23/17 13:55 @ESU7 E-MINI S&P 500 LONG 1 2442.00 8/23 14:00 2443.00 n/a $42
Includes Typical Broker Commissions trade costs of $8.00
8/22/17 13:02 @ESU7 E-MINI S&P 500 SHORT 1 2447.50 8/22 13:59 2447.24 n/a $5
Includes Typical Broker Commissions trade costs of $8.00
8/21/17 9:29 @ESU7 E-MINI S&P 500 LONG 1 2424.18 8/21 9:41 2425.76 0.37%
Trade id #113253216
Max drawdown($134)
Time8/21/17 9:34
Quant open1
Worst price2421.50
Drawdown as % of equity-0.37%
$71
Includes Typical Broker Commissions trade costs of $8.00
8/15/17 9:43 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5908.25 8/15 9:58 5911.43 0.52%
Trade id #113150349
Max drawdown($190)
Time8/15/17 9:51
Quant open1
Worst price5898.75
Drawdown as % of equity-0.52%
$56
Includes Typical Broker Commissions trade costs of $8.00
8/14/17 15:04 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5898.70 8/14 15:14 5900.77 0.01%
Trade id #113137152
Max drawdown($4)
Time8/14/17 15:06
Quant open1
Worst price5898.50
Drawdown as % of equity-0.01%
$34
Includes Typical Broker Commissions trade costs of $8.00
8/11/17 9:30 @ESU7 E-MINI S&P 500 LONG 1 2438.31 8/11 9:32 2440.25 n/a $89
Includes Typical Broker Commissions trade costs of $8.00
8/9/17 9:31 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5874.00 8/9 9:32 5880.25 n/a $117
Includes Typical Broker Commissions trade costs of $8.00
8/8/17 15:33 @NQU7 E-MINI NASDAQ 100 STK IDX SHORT 1 5920.00 8/8 15:36 5911.50 n/a $162
Includes Typical Broker Commissions trade costs of $8.00
8/8/17 15:25 @NQU7 E-MINI NASDAQ 100 STK IDX SHORT 1 5938.75 8/8 15:27 5933.75 n/a $92
Includes Typical Broker Commissions trade costs of $8.00
8/7/17 10:49 @NQU7 E-MINI NASDAQ 100 STK IDX SHORT 1 5917.76 8/8 9:35 5916.76 1.12%
Trade id #113017903
Max drawdown($399)
Time8/7/17 16:56
Quant open-1
Worst price5937.75
Drawdown as % of equity-1.12%
$12
Includes Typical Broker Commissions trade costs of $8.00
8/4/17 7:15 @ESU7 E-MINI S&P 500 SHORT 1 2474.25 8/4 9:58 2473.50 0.49%
Trade id #112984417
Max drawdown($175)
Time8/4/17 9:49
Quant open-1
Worst price2477.75
Drawdown as % of equity-0.49%
$30
Includes Typical Broker Commissions trade costs of $8.00
8/1/17 10:24 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5883.70 8/1 10:31 5886.67 0.29%
Trade id #112919285
Max drawdown($104)
Time8/1/17 10:26
Quant open1
Worst price5878.50
Drawdown as % of equity-0.29%
$51
Includes Typical Broker Commissions trade costs of $8.00
7/26/17 7:00 @NQU7 E-MINI NASDAQ 100 STK IDX SHORT 1 5939.17 7/27 12:56 5933.00 3.27%
Trade id #112785625
Max drawdown($1,131)
Time7/27/17 11:35
Quant open-1
Worst price5995.75
Drawdown as % of equity-3.27%
$115
Includes Typical Broker Commissions trade costs of $8.00
7/21/17 9:30 @NQU7 E-MINI NASDAQ 100 STK IDX SHORT 1 5901.75 7/21 9:51 5895.00 0.55%
Trade id #112718523
Max drawdown($195)
Time7/21/17 9:45
Quant open-1
Worst price5911.50
Drawdown as % of equity-0.55%
$127
Includes Typical Broker Commissions trade costs of $8.00
7/14/17 9:45 @ESU7 E-MINI S&P 500 SHORT 1 2449.50 7/14 10:02 2448.00 0.07%
Trade id #112607870
Max drawdown($25)
Time7/14/17 9:47
Quant open-1
Worst price2450.00
Drawdown as % of equity-0.07%
$67
Includes Typical Broker Commissions trade costs of $8.00
7/11/17 9:52 @NQU7 E-MINI NASDAQ 100 STK IDX SHORT 1 5692.50 7/11 11:24 5681.00 1.43%
Trade id #112518226
Max drawdown($505)
Time7/11/17 10:33
Quant open-1
Worst price5717.75
Drawdown as % of equity-1.43%
$222
Includes Typical Broker Commissions trade costs of $8.00
7/11/17 9:29 @NQU7 E-MINI NASDAQ 100 STK IDX SHORT 1 5689.00 7/11 9:38 5682.12 0.16%
Trade id #112517127
Max drawdown($55)
Time7/11/17 9:33
Quant open-1
Worst price5691.75
Drawdown as % of equity-0.16%
$130
Includes Typical Broker Commissions trade costs of $8.00
7/10/17 15:33 @NQU7 E-MINI NASDAQ 100 STK IDX SHORT 1 5702.92 7/10 15:59 5698.25 0.49%
Trade id #112503696
Max drawdown($171)
Time7/10/17 15:42
Quant open-1
Worst price5711.50
Drawdown as % of equity-0.49%
$85
Includes Typical Broker Commissions trade costs of $8.00
7/6/17 15:59 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 2 5601.57 7/6 19:27 5602.75 0.75%
Trade id #112452350
Max drawdown($262)
Time7/6/17 16:15
Quant open2
Worst price5595.00
Drawdown as % of equity-0.75%
$31
Includes Typical Broker Commissions trade costs of $16.00
7/6/17 15:56 @ESU7 E-MINI S&P 500 LONG 1 2408.38 7/6 16:00 2408.81 0.13%
Trade id #112452191
Max drawdown($43)
Time7/6/17 15:59
Quant open1
Worst price2407.50
Drawdown as % of equity-0.13%
$14
Includes Typical Broker Commissions trade costs of $8.00
7/5/17 15:51 @NQU7 E-MINI NASDAQ 100 STK IDX SHORT 1 5654.41 7/5 15:59 5651.25 0.09%
Trade id #112426967
Max drawdown($31)
Time7/5/17 15:59
Quant open-1
Worst price5656.00
Drawdown as % of equity-0.09%
$55
Includes Typical Broker Commissions trade costs of $8.00
6/30/17 14:48 @NQU7 E-MINI NASDAQ 100 STK IDX SHORT 1 5673.30 6/30 15:12 5667.75 0.26%
Trade id #112309908
Max drawdown($89)
Time6/30/17 15:01
Quant open-1
Worst price5677.75
Drawdown as % of equity-0.26%
$103
Includes Typical Broker Commissions trade costs of $8.00
6/28/17 9:30 @ESU7 E-MINI S&P 500 SHORT 1 2429.25 6/28 9:38 2427.50 0.14%
Trade id #112255079
Max drawdown($50)
Time6/28/17 9:33
Quant open-1
Worst price2430.25
Drawdown as % of equity-0.14%
$80
Includes Typical Broker Commissions trade costs of $8.00
6/27/17 9:58 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5743.25 6/27 10:00 5749.50 0.09%
Trade id #112231811
Max drawdown($30)
Time6/27/17 10:00
Quant open1
Worst price5741.75
Drawdown as % of equity-0.09%
$117
Includes Typical Broker Commissions trade costs of $8.00
6/22/17 12:03 @NQU7 E-MINI NASDAQ 100 STK IDX SHORT 1 5789.50 6/22 12:10 5786.75 0.07%
Trade id #112173954
Max drawdown($25)
Time6/22/17 12:07
Quant open-1
Worst price5790.75
Drawdown as % of equity-0.07%
$47
Includes Typical Broker Commissions trade costs of $8.00
6/22/17 3:00 DXMU7 MINI-DAX INDEX LONG 1 12757.0 6/22 7:21 12768.0 0.8%
Trade id #112165923
Max drawdown($273)
Time6/22/17 3:05
Quant open1
Worst price12708.0
Drawdown as % of equity-0.80%
$53
Includes Typical Broker Commissions trade costs of $8.00
6/21/17 3:29 @ESU7 E-MINI S&P 500 LONG 1 2430.00 6/21 3:54 2431.50 0.07%
Trade id #112145933
Max drawdown($25)
Time6/21/17 3:31
Quant open1
Worst price2429.50
Drawdown as % of equity-0.07%
$67
Includes Typical Broker Commissions trade costs of $8.00
6/20/17 9:40 @NQU7 E-MINI NASDAQ 100 STK IDX SHORT 2 5767.20 6/20 9:49 5763.75 0.82%
Trade id #112133117
Max drawdown($282)
Time6/20/17 9:43
Quant open-2
Worst price5774.25
Drawdown as % of equity-0.82%
$122
Includes Typical Broker Commissions trade costs of $16.00
6/19/17 12:08 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5761.15 6/19 12:17 5764.75 0.16%
Trade id #112120129
Max drawdown($53)
Time6/19/17 12:12
Quant open1
Worst price5758.50
Drawdown as % of equity-0.16%
$64
Includes Typical Broker Commissions trade costs of $8.00
6/19/17 11:21 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5762.70 6/19 11:26 5764.65 0.03%
Trade id #112119207
Max drawdown($9)
Time6/19/17 11:23
Quant open1
Worst price5762.25
Drawdown as % of equity-0.03%
$31
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    1/22/2017
  • Starting Unit Size
    $25,000
  • Strategy Age (days)
    213.17
  • Age
    7 months ago
  • What it trades
    Futures
  • # Trades
    158
  • # Profitable
    154
  • % Profitable
    97.50%
  • Avg trade duration
    4.2 hours
  • Max peak-to-valley drawdown
    6.51%
  • drawdown period
    June 09, 2017 - June 12, 2017
  • Cumul. Return
    34.2%
  • Avg win
    $83.05
  • Avg loss
    $277.75
  • Model Account Values (Raw)
  • Cash
    $36,667
  • Margin Used
    $0
  • Buying Power
    $36,667
  • Ratios
  • W:L ratio
    11.51:1
  • Sharpe Ratio
    4.933
  • Sortino Ratio
    9.419
  • Calmar Ratio
    18.239
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.03100
  • Return Statistics
  • Ann Return (w trading costs)
    64.2%
  • Ann Return (Compnd, No Fees)
    92.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    0.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    970
  • Popularity (Last 6 weeks)
    991
  • C2 Score
    88.6
  • 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
    $278
  • Avg Win
    $83
  • # Winners
    154
  • # Losers
    4
  • % Winners
    97.5%
  • Frequency
  • Avg Position Time (mins)
    249.92
  • Avg Position Time (hrs)
    4.17
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.65307
  • SD
    0.13890
  • Sharpe ratio (Glass type estimate)
    4.70185
  • Sharpe ratio (Hedges UMVUE)
    4.08415
  • df
    6.00000
  • t
    3.59109
  • p
    0.00574
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.96312
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.26359
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.63088
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.53742
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.65307
  • Downside part of mean
    0.00000
  • Upside SD
    0.22821
  • Downside SD
    0.00000
  • N nonnegative terms
    7.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.10481
  • Mean of criterion
    0.65307
  • SD of predictor
    0.06481
  • SD of criterion
    0.13890
  • Covariance
    0.00600
  • r
    0.66659
  • b (slope, estimate of beta)
    1.42863
  • a (intercept, estimate of alpha)
    0.50333
  • Mean Square Error
    0.01286
  • DF error
    5.00000
  • t(b)
    1.99959
  • p(b)
    0.05100
  • t(a)
    3.02643
  • p(a)
    0.01460
  • Lowerbound of 95% confidence interval for beta
    -0.40803
  • Upperbound of 95% confidence interval for beta
    3.26529
  • Lowerbound of 95% confidence interval for alpha
    0.07580
  • Upperbound of 95% confidence interval for alpha
    0.93088
  • Treynor index (mean / b)
    0.45713
  • Jensen alpha (a)
    0.50333
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.62730
  • SD
    0.12853
  • Sharpe ratio (Glass type estimate)
    4.88038
  • Sharpe ratio (Hedges UMVUE)
    4.23923
  • df
    6.00000
  • t
    3.72745
  • p
    0.00488
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.07171
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.51317
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.72664
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.75182
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.62730
  • Downside part of mean
    0.00000
  • Upside SD
    0.21668
  • Downside SD
    0.00000
  • N nonnegative terms
    7.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.10236
  • Mean of criterion
    0.62730
  • SD of predictor
    0.06394
  • SD of criterion
    0.12853
  • Covariance
    0.00540
  • r
    0.65675
  • b (slope, estimate of beta)
    1.32029
  • a (intercept, estimate of alpha)
    0.49215
  • Mean Square Error
    0.01127
  • DF error
    5.00000
  • t(b)
    1.94739
  • p(b)
    0.05452
  • t(a)
    3.16738
  • p(a)
    0.01244
  • Lowerbound of 95% confidence interval for beta
    -0.42258
  • Upperbound of 95% confidence interval for beta
    3.06317
  • Lowerbound of 95% confidence interval for alpha
    0.09271
  • Upperbound of 95% confidence interval for alpha
    0.89159
  • Treynor index (mean / b)
    0.47512
  • Jensen alpha (a)
    0.49215
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00872
  • Expected Shortfall on VaR
    0.02388
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    1.02495
  • Quartile 1
    1.03001
  • Median
    1.04303
  • Quartile 3
    1.06529
  • Maximum
    1.13869
  • Mean of quarter 1
    1.02619
  • Mean of quarter 2
    1.03781
  • Mean of quarter 3
    1.05683
  • Mean of quarter 4
    1.10622
  • Inter Quartile Range
    0.03528
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    1.13869
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.79801
  • Compounded annual return (geometric extrapolation)
    0.92553
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    38.76180
  • 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
    0.63551
  • SD
    0.12819
  • Sharpe ratio (Glass type estimate)
    4.95749
  • Sharpe ratio (Hedges UMVUE)
    4.93299
  • df
    152.00000
  • t
    3.78841
  • p
    0.35314
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.32523
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.57431
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.30893
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.55704
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.41882
  • Upside Potential Ratio
    13.51860
  • Upside part of mean
    0.91214
  • Downside part of mean
    -0.27662
  • Upside SD
    0.11539
  • Downside SD
    0.06747
  • N nonnegative terms
    107.00000
  • N negative terms
    46.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    153.00000
  • Mean of predictor
    0.10499
  • Mean of criterion
    0.63551
  • SD of predictor
    0.07423
  • SD of criterion
    0.12819
  • Covariance
    -0.00048
  • r
    -0.05076
  • b (slope, estimate of beta)
    -0.08766
  • a (intercept, estimate of alpha)
    0.64500
  • Mean Square Error
    0.01650
  • DF error
    151.00000
  • t(b)
    -0.62456
  • p(b)
    0.53230
  • t(a)
    3.82090
  • p(a)
    0.31379
  • Lowerbound of 95% confidence interval for beta
    -0.36498
  • Upperbound of 95% confidence interval for beta
    0.18966
  • Lowerbound of 95% confidence interval for alpha
    0.31133
  • Upperbound of 95% confidence interval for alpha
    0.97810
  • Treynor index (mean / b)
    -7.24972
  • Jensen alpha (a)
    0.64472
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.62658
  • SD
    0.12755
  • Sharpe ratio (Glass type estimate)
    4.91240
  • Sharpe ratio (Hedges UMVUE)
    4.88812
  • df
    152.00000
  • t
    3.75395
  • p
    0.35436
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.28122
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.52815
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.26512
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.51111
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.19292
  • Upside Potential Ratio
    13.28480
  • Upside part of mean
    0.90548
  • Downside part of mean
    -0.27890
  • Upside SD
    0.11409
  • Downside SD
    0.06816
  • N nonnegative terms
    107.00000
  • N negative terms
    46.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    153.00000
  • Mean of predictor
    0.10222
  • Mean of criterion
    0.62658
  • SD of predictor
    0.07430
  • SD of criterion
    0.12755
  • Covariance
    -0.00048
  • r
    -0.05084
  • b (slope, estimate of beta)
    -0.08728
  • a (intercept, estimate of alpha)
    0.63550
  • Mean Square Error
    0.01633
  • DF error
    151.00000
  • t(b)
    -0.62559
  • p(b)
    0.53235
  • t(a)
    3.78603
  • p(a)
    0.31530
  • Lowerbound of 95% confidence interval for beta
    -0.36294
  • Upperbound of 95% confidence interval for beta
    0.18838
  • Lowerbound of 95% confidence interval for alpha
    0.30386
  • Upperbound of 95% confidence interval for alpha
    0.96715
  • Treynor index (mean / b)
    -7.17905
  • Jensen alpha (a)
    0.63550
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01051
  • Expected Shortfall on VaR
    0.01376
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00158
  • Expected Shortfall on VaR
    0.00402
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    153.00000
  • Minimum
    0.97418
  • Quartile 1
    1.00000
  • Median
    1.00143
  • Quartile 3
    1.00347
  • Maximum
    1.03430
  • Mean of quarter 1
    0.99598
  • Mean of quarter 2
    1.00071
  • Mean of quarter 3
    1.00228
  • Mean of quarter 4
    1.01134
  • Inter Quartile Range
    0.00347
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.05882
  • Mean of outliers low
    0.98456
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.11765
  • Mean of outliers high
    1.01810
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.42800
  • VaR(95%) (moments method)
    0.00246
  • Expected Shortfall (moments method)
    0.00273
  • Extreme Value Index (regression method)
    -0.44827
  • VaR(95%) (regression method)
    0.00588
  • Expected Shortfall (regression method)
    0.01117
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00059
  • Median
    0.00492
  • Quartile 3
    0.01820
  • Maximum
    0.05067
  • Mean of quarter 1
    0.00027
  • Mean of quarter 2
    0.00250
  • Mean of quarter 3
    0.01133
  • Mean of quarter 4
    0.03277
  • Inter Quartile Range
    0.01760
  • 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
    0.08333
  • Mean of outliers high
    0.05067
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.11902
  • VaR(95%) (moments method)
    0.03566
  • Expected Shortfall (moments method)
    0.04522
  • Extreme Value Index (regression method)
    1.63412
  • VaR(95%) (regression method)
    0.05004
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.79714
  • Compounded annual return (geometric extrapolation)
    0.92416
  • Calmar ratio (compounded annual return / max draw down)
    18.23890
  • Compounded annual return / average of 25% largest draw downs
    28.20390
  • Compounded annual return / Expected Shortfall lognormal
    67.14780
  • 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
    0.48165
  • SD
    0.09460
  • Sharpe ratio (Glass type estimate)
    5.09118
  • Sharpe ratio (Hedges UMVUE)
    5.06175
  • df
    130.00000
  • t
    3.60001
  • p
    0.34946
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.24198
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.92183
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.22248
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.90102
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.47562
  • Upside Potential Ratio
    13.08860
  • Upside part of mean
    0.66530
  • Downside part of mean
    -0.18365
  • Upside SD
    0.08475
  • Downside SD
    0.05083
  • N nonnegative terms
    91.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04257
  • Mean of criterion
    0.48165
  • SD of predictor
    0.07602
  • SD of criterion
    0.09460
  • Covariance
    0.00016
  • r
    0.02226
  • b (slope, estimate of beta)
    0.02771
  • a (intercept, estimate of alpha)
    0.48047
  • Mean Square Error
    0.00901
  • DF error
    129.00000
  • t(b)
    0.25290
  • p(b)
    0.48583
  • t(a)
    3.57609
  • p(a)
    0.31172
  • Lowerbound of 95% confidence interval for beta
    -0.18904
  • Upperbound of 95% confidence interval for beta
    0.24445
  • Lowerbound of 95% confidence interval for alpha
    0.21464
  • Upperbound of 95% confidence interval for alpha
    0.74630
  • Treynor index (mean / b)
    17.38460
  • Jensen alpha (a)
    0.48047
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.47674
  • SD
    0.09426
  • Sharpe ratio (Glass type estimate)
    5.05751
  • Sharpe ratio (Hedges UMVUE)
    5.02827
  • df
    130.00000
  • t
    3.57620
  • p
    0.35036
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.20920
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.88728
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.18988
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.86667
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.28974
  • Upside Potential Ratio
    12.89350
  • Upside part of mean
    0.66168
  • Downside part of mean
    -0.18494
  • Upside SD
    0.08397
  • Downside SD
    0.05132
  • N nonnegative terms
    91.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03969
  • Mean of criterion
    0.47674
  • SD of predictor
    0.07611
  • SD of criterion
    0.09426
  • Covariance
    0.00016
  • r
    0.02228
  • b (slope, estimate of beta)
    0.02760
  • a (intercept, estimate of alpha)
    0.47565
  • Mean Square Error
    0.00895
  • DF error
    129.00000
  • t(b)
    0.25316
  • p(b)
    0.48581
  • t(a)
    3.55326
  • p(a)
    0.31278
  • Lowerbound of 95% confidence interval for beta
    -0.18810
  • Upperbound of 95% confidence interval for beta
    0.24330
  • Lowerbound of 95% confidence interval for alpha
    0.21080
  • Upperbound of 95% confidence interval for alpha
    0.74050
  • Treynor index (mean / b)
    17.27370
  • Jensen alpha (a)
    0.47565
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00773
  • Expected Shortfall on VaR
    0.01014
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00106
  • Expected Shortfall on VaR
    0.00271
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97418
  • Quartile 1
    1.00000
  • Median
    1.00131
  • Quartile 3
    1.00277
  • Maximum
    1.02585
  • Mean of quarter 1
    0.99734
  • Mean of quarter 2
    1.00061
  • Mean of quarter 3
    1.00193
  • Mean of quarter 4
    1.00790
  • Inter Quartile Range
    0.00277
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.98942
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.01618
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.87077
  • VaR(95%) (moments method)
    0.00168
  • Expected Shortfall (moments method)
    0.00207
  • Extreme Value Index (regression method)
    0.30796
  • VaR(95%) (regression method)
    0.00226
  • Expected Shortfall (regression method)
    0.00881
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00049
  • Median
    0.00482
  • Quartile 3
    0.01198
  • Maximum
    0.02582
  • Mean of quarter 1
    0.00027
  • Mean of quarter 2
    0.00343
  • Mean of quarter 3
    0.00850
  • Mean of quarter 4
    0.02382
  • Inter Quartile Range
    0.01149
  • 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)
    -31.74650
  • VaR(95%) (moments method)
    0.02043
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.29683
  • VaR(95%) (regression method)
    0.03336
  • Expected Shortfall (regression method)
    0.03361
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.57403
  • Compounded annual return (geometric extrapolation)
    0.65640
  • Calmar ratio (compounded annual return / max draw down)
    25.42480
  • Compounded annual return / average of 25% largest draw downs
    27.56170
  • Compounded annual return / Expected Shortfall lognormal
    64.74160

Strategy Description

Summary Statistics

Strategy began
2017-01-22
Minimum Capital Required
$25,000
# Trades
158
# Profitable
154
% Profitable
97.5%
Correlation S&P500
-0.031
Sharpe Ratio
4.933

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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