Tradethesignals
(109739142)
Subscription terms. Subscriptions to this system cost $99.00 per month.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2017  (0.3%)  +10.0%  +14.9%  +9.3%  +9.2%  +12.7%  (4%)          +62.8%  
2018    0.0 
Model Account Details
A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.
Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.
Started  $100,000  
Buy Power  $164,735  
Cash  $164,735  
Equity  $0  
Cumulative $  $64,735  
Total System Equity  $164,735  
Margined  $0  
Open P/L  $0 
Trading Record
Statistics

Strategy began2/22/2017

Suggested Minimum Cap$100,000

Strategy Age (days)328.74

Age11 months ago

What it tradesFutures

# Trades13

# Profitable11

% Profitable84.60%

Avg trade duration15.0 days

Max peaktovalley drawdown24.91%

drawdown periodAug 08, 2017  Aug 11, 2017

Cumul. Return62.8%

Avg win$7,886

Avg loss$11,007
 Model Account Values (Raw)

Cash$164,735

Margin Used$0

Buying Power$164,735
 Ratios

W:L ratio3.94:1

Sharpe Ratio1.937

Sortino Ratio3.496

Calmar Ratio6.699
 CORRELATION STATISTICS

Correlation to SP5000.49700
 Return Statistics

Ann Return (w trading costs)71.0%

Ann Return (Compnd, No Fees)73.2%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss100.00%

Chance of 20% account loss100.00%

Chance of 30% account loss6.67%

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)332
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days14
 Win / Loss

Avg Loss$11,008

Avg Win$7,887

# Winners11

# Losers2

% Winners84.6%
 Frequency

Avg Position Time (mins)21625.60

Avg Position Time (hrs)360.43

Avg Trade Length15.0 days

Last Trade Ago144
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.90846

SD0.31743

Sharpe ratio (Glass type estimate)2.86194

Sharpe ratio (Hedges UMVUE)2.48596

df6.00000

t2.18584

p0.03574

Lowerbound of 95% confidence interval for Sharpe Ratio0.23529

Upperbound of 95% confidence interval for Sharpe Ratio5.79416

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.44042

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.41234
 Statistics related to Sortino ratio

Sortino ratio11.65990

Upside Potential Ratio12.96920

Upside part of mean1.01048

Downside part of mean0.10201

Upside SD0.38610

Downside SD0.07791

N nonnegative terms6.00000

N negative terms1.00000
 Statistics related to linear regression on benchmark

N of observations7.00000

Mean of predictor0.14229

Mean of criterion0.90846

SD of predictor0.09180

SD of criterion0.31743

Covariance0.00634

r0.21744

b (slope, estimate of beta)0.75187

a (intercept, estimate of alpha)0.80148

Mean Square Error0.11520

DF error5.00000

t(b)0.49812

p(b)0.31977

t(a)1.62386

p(a)0.08267

Lowerbound of 95% confidence interval for beta3.12835

Upperbound of 95% confidence interval for beta4.63210

Lowerbound of 95% confidence interval for alpha0.46732

Upperbound of 95% confidence interval for alpha2.07029

Treynor index (mean / b)1.20827

Jensen alpha (a)0.80148
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.83677

SD0.29357

Sharpe ratio (Glass type estimate)2.85033

Sharpe ratio (Hedges UMVUE)2.47587

df6.00000

t2.17697

p0.03618

Lowerbound of 95% confidence interval for Sharpe Ratio0.24340

Upperbound of 95% confidence interval for Sharpe Ratio5.77931

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.44777

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.39951
 Statistics related to Sortino ratio

Sortino ratio10.44190

Upside Potential Ratio11.75120

Upside part of mean0.94169

Downside part of mean0.10492

Upside SD0.35468

Downside SD0.08014

N nonnegative terms6.00000

N negative terms1.00000
 Statistics related to linear regression on benchmark

N of observations7.00000

Mean of predictor0.13767

Mean of criterion0.83677

SD of predictor0.08941

SD of criterion0.29357

Covariance0.00637

r0.24277

b (slope, estimate of beta)0.79713

a (intercept, estimate of alpha)0.72703

Mean Square Error0.09732

DF error5.00000

t(b)0.55960

p(b)0.29995

t(a)1.60458

p(a)0.08475

Lowerbound of 95% confidence interval for beta2.86468

Upperbound of 95% confidence interval for beta4.45893

Lowerbound of 95% confidence interval for alpha0.43774

Upperbound of 95% confidence interval for alpha1.89180

Treynor index (mean / b)1.04973

Jensen alpha (a)0.72703
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.06729

Expected Shortfall on VaR0.09930
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00653

Expected Shortfall on VaR0.01970
 ORDER STATISTICS
 Quartiles of return rates

Number of observations7.00000

Minimum0.94282

Quartile 11.03239

Median1.06281

Quartile 31.12524

Maximum1.22535

Mean of quarter 10.98572

Mean of quarter 21.04948

Mean of quarter 31.09774

Mean of quarter 41.18905

Inter Quartile Range0.09285

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates for a oneperiod 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 observations1.00000

Minimum0.05718

Quartile 10.05718

Median0.05718

Quartile 30.05718

Maximum0.05718

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)1.12454

Compounded annual return (geometric extrapolation)1.37424

Calmar ratio (compounded annual return / max draw down)24.03390

Compounded annual return / average of 25% largest draw downs0.00000

Compounded annual return / Expected Shortfall lognormal13.83860

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.89619

SD0.46061

Sharpe ratio (Glass type estimate)1.94567

Sharpe ratio (Hedges UMVUE)1.93653

df160.00000

t1.52521

p0.44014

Lowerbound of 95% confidence interval for Sharpe Ratio0.56663

Upperbound of 95% confidence interval for Sharpe Ratio4.45204

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.57272

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.44578
 Statistics related to Sortino ratio

Sortino ratio3.49597

Upside Potential Ratio8.57139

Upside part of mean2.19725

Downside part of mean1.30107

Upside SD0.38496

Downside SD0.25635

N nonnegative terms69.00000

N negative terms92.00000
 Statistics related to linear regression on benchmark

N of observations161.00000

Mean of predictor0.22098

Mean of criterion0.89619

SD of predictor0.08012

SD of criterion0.46061

Covariance0.01639

r0.44418

b (slope, estimate of beta)2.55353

a (intercept, estimate of alpha)0.33200

Mean Square Error0.17137

DF error159.00000

t(b)6.25148

p(b)0.22682

t(a)0.61952

p(a)0.46877

Lowerbound of 95% confidence interval for beta1.74681

Upperbound of 95% confidence interval for beta3.36025

Lowerbound of 95% confidence interval for alpha0.72619

Upperbound of 95% confidence interval for alpha1.39000

Treynor index (mean / b)0.35096

Jensen alpha (a)0.33190
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.79291

SD0.44934

Sharpe ratio (Glass type estimate)1.76459

Sharpe ratio (Hedges UMVUE)1.75630

df160.00000

t1.38326

p0.44565

Lowerbound of 95% confidence interval for Sharpe Ratio0.74580

Upperbound of 95% confidence interval for Sharpe Ratio4.26966

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.75135

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.26396
 Statistics related to Sortino ratio

Sortino ratio2.98065

Upside Potential Ratio8.00076

Upside part of mean2.12835

Downside part of mean1.33544

Upside SD0.36372

Downside SD0.26602

N nonnegative terms69.00000

N negative terms92.00000
 Statistics related to linear regression on benchmark

N of observations161.00000

Mean of predictor0.21768

Mean of criterion0.79291

SD of predictor0.08012

SD of criterion0.44934

Covariance0.01618

r0.44937

b (slope, estimate of beta)2.52016

a (intercept, estimate of alpha)0.24433

Mean Square Error0.16215

DF error159.00000

t(b)6.34288

p(b)0.22386

t(a)0.46903

p(a)0.47634

Lowerbound of 95% confidence interval for beta1.73545

Upperbound of 95% confidence interval for beta3.30487

Lowerbound of 95% confidence interval for alpha0.78448

Upperbound of 95% confidence interval for alpha1.27314

Treynor index (mean / b)0.31463

Jensen alpha (a)0.24433
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.04174

Expected Shortfall on VaR0.05274
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01212

Expected Shortfall on VaR0.02682
 ORDER STATISTICS
 Quartiles of return rates

Number of observations161.00000

Minimum0.89917

Quartile 10.99920

Median1.00000

Quartile 31.00624

Maximum1.18253

Mean of quarter 10.98079

Mean of quarter 20.99994

Mean of quarter 31.00213

Mean of quarter 41.03182

Inter Quartile Range0.00704

Number outliers low18.00000

Percentage of outliers low0.11180

Mean of outliers low0.96086

Number of outliers high21.00000

Percentage of outliers high0.13043

Mean of outliers high1.05076
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)1.45533

VaR(95%) (moments method)0.01312

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.47998

VaR(95%) (regression method)0.00955

Expected Shortfall (regression method)0.02462
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations18.00000

Minimum0.00013

Quartile 10.00568

Median0.01030

Quartile 30.02632

Maximum0.18994

Mean of quarter 10.00243

Mean of quarter 20.00847

Mean of quarter 30.01334

Mean of quarter 40.09702

Inter Quartile Range0.02064

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high3.00000

Percentage of outliers high0.16667

Mean of outliers high0.14017
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.20263

VaR(95%) (moments method)0.08339

Expected Shortfall (moments method)0.10933

Extreme Value Index (regression method)0.11633

VaR(95%) (regression method)0.12579

Expected Shortfall (regression method)0.19828
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)1.06750

Compounded annual return (geometric extrapolation)1.27235

Calmar ratio (compounded annual return / max draw down)6.69863

Compounded annual return / average of 25% largest draw downs13.11370

Compounded annual return / Expected Shortfall lognormal24.12440

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

Mean0.83104

SD0.43971

Sharpe ratio (Glass type estimate)1.88999

Sharpe ratio (Hedges UMVUE)1.87906

df130.00000

t1.33642

p0.44179

Lowerbound of 95% confidence interval for Sharpe Ratio0.89484

Upperbound of 95% confidence interval for Sharpe Ratio4.66779

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.90214

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.66026
 Statistics related to Sortino ratio

Sortino ratio3.37192

Upside Potential Ratio8.68463

Upside part of mean2.14041

Downside part of mean1.30937

Upside SD0.36573

Downside SD0.24646

N nonnegative terms53.00000

N negative terms78.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.28575

Mean of criterion0.83104

SD of predictor0.08131

SD of criterion0.43971

Covariance0.01674

r0.46819

b (slope, estimate of beta)2.53196

a (intercept, estimate of alpha)0.10752

Mean Square Error0.15213

DF error129.00000

t(b)6.01789

p(b)0.21322

t(a)0.19046

p(a)0.48933

Lowerbound of 95% confidence interval for beta1.69952

Upperbound of 95% confidence interval for beta3.36440

Lowerbound of 95% confidence interval for alpha1.00945

Upperbound of 95% confidence interval for alpha1.22450

Treynor index (mean / b)0.32822

Jensen alpha (a)0.10752
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.73698

SD0.42940

Sharpe ratio (Glass type estimate)1.71630

Sharpe ratio (Hedges UMVUE)1.70638

df130.00000

t1.21360

p0.44708

Lowerbound of 95% confidence interval for Sharpe Ratio1.06662

Upperbound of 95% confidence interval for Sharpe Ratio4.49268

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.07318

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.48593
 Statistics related to Sortino ratio

Sortino ratio2.89254

Upside Potential Ratio8.15564

Upside part of mean2.07795

Downside part of mean1.34097

Upside SD0.34661

Downside SD0.25479

N nonnegative terms53.00000

N negative terms78.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.28229

Mean of criterion0.73698

SD of predictor0.08133

SD of criterion0.42940

Covariance0.01661

r0.47576

b (slope, estimate of beta)2.51200

a (intercept, estimate of alpha)0.02787

Mean Square Error0.14376

DF error129.00000

t(b)6.14347

p(b)0.20897

t(a)0.05082

p(a)0.49715

Lowerbound of 95% confidence interval for beta1.70300

Upperbound of 95% confidence interval for beta3.32099

Lowerbound of 95% confidence interval for alpha1.05732

Upperbound of 95% confidence interval for alpha1.11307

Treynor index (mean / b)0.29339

Jensen alpha (a)0.02787
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.04000

Expected Shortfall on VaR0.05054
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01256

Expected Shortfall on VaR0.02741
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.89917

Quartile 10.99979

Median1.00000

Quartile 31.00474

Maximum1.18253

Mean of quarter 10.98041

Mean of quarter 21.00000

Mean of quarter 31.00156

Mean of quarter 41.03110

Inter Quartile Range0.00495

Number outliers low20.00000

Percentage of outliers low0.15267

Mean of outliers low0.96875

Number of outliers high25.00000

Percentage of outliers high0.19084

Mean of outliers high1.03840
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)1.37237

VaR(95%) (moments method)0.00975

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.54865

VaR(95%) (regression method)0.00891

Expected Shortfall (regression method)0.02630
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations15.00000

Minimum0.00013

Quartile 10.00544

Median0.01100

Quartile 30.02358

Maximum0.18994

Mean of quarter 10.00169

Mean of quarter 20.00883

Mean of quarter 30.01412

Mean of quarter 40.09434

Inter Quartile Range0.01814

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.13333

Mean of outliers high0.15639
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.30820

VaR(95%) (moments method)0.08804

Expected Shortfall (moments method)0.16360

Extreme Value Index (regression method)0.85860

VaR(95%) (regression method)0.13677

Expected Shortfall (regression method)1.01005
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.93173

Compounded annual return (geometric extrapolation)1.14876

Calmar ratio (compounded annual return / max draw down)6.04793

Compounded annual return / average of 25% largest draw downs12.17630

Compounded annual return / Expected Shortfall lognormal22.73060
Strategy Description
Summary Statistics
Latest Activity
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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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