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Futures Cat
(110937470)

Created by: wmwmw wmwmw
Started: 04/2017
Futures
Last trade: 349 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 $150.00 per month.

52.2%
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.

(35.4%)
Max Drawdown
278
Num Trades
47.8%
Win Trades
1.3 : 1
Profit Factor
23.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                     +34.5%+28.0%+12.9%+21.5%(25.4%)  -    -    -    -  +76.3%
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.

System developer has asked us to delay this information by 12 hours.

Trading Record

This strategy has placed 436 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/29/17 12:26 @QOZ7 miNY Gold SHORT 2 1319.75 8/31 12:00 1323.25 1.84%
Trade id #113413890
Max drawdown($400)
Time8/31/17 11:51
Quant open-2
Worst price1323.75
Drawdown as % of equity-1.84%
($366)
Includes Typical Broker Commissions trade costs of $16.00
8/30/17 13:17 @JYV7 JAPANESE YEN SHORT 1 0.009082 8/31 9:05 0.009071 0.25%
Trade id #113450417
Max drawdown($56)
Time8/30/17 18:12
Quant open-1
Worst price0.009087
Drawdown as % of equity-0.25%
$130
Includes Typical Broker Commissions trade costs of $8.00
8/30/17 11:29 @QMV7 MINY CRUDE OIL LONG 1 46.325 8/30 13:12 46.450 0.06%
Trade id #113447053
Max drawdown($12)
Time8/30/17 11:31
Quant open1
Worst price46.300
Drawdown as % of equity-0.06%
$55
Includes Typical Broker Commissions trade costs of $8.00
8/29/17 11:31 QCLV7 CRUDE OIL SHORT 1 45.81 8/29 11:42 45.87 0.28%
Trade id #113412252
Max drawdown($60)
Time8/29/17 11:33
Quant open-1
Worst price45.87
Drawdown as % of equity-0.28%
($68)
Includes Typical Broker Commissions trade costs of $8.00
8/28/17 2:33 @QOZ7 miNY Gold LONG 2 1305.80 8/29 10:40 1323.25 0.46%
Trade id #113378652
Max drawdown($92)
Time8/28/17 3:44
Quant open1
Worst price1301.75
Drawdown as % of equity-0.46%
$1,729
Includes Typical Broker Commissions trade costs of $16.00
8/29/17 9:58 @ESU7 E-MINI S&P 500 SHORT 1 2433.00 8/29 10:00 2436.00 0.67%
Trade id #113406020
Max drawdown($150)
Time8/29/17 10:00
Quant open0
Worst price2436.00
Drawdown as % of equity-0.67%
($158)
Includes Typical Broker Commissions trade costs of $8.00
8/28/17 9:38 @ESU7 E-MINI S&P 500 SHORT 1 2446.50 8/28 10:10 2444.00 0.25%
Trade id #113382691
Max drawdown($50)
Time8/28/17 9:41
Quant open-1
Worst price2447.50
Drawdown as % of equity-0.25%
$117
Includes Typical Broker Commissions trade costs of $8.00
8/25/17 9:19 @QOZ7 miNY Gold LONG 1 1297.42 8/25 9:50 1287.00 3.8%
Trade id #113337510
Max drawdown($783)
Time8/25/17 9:42
Quant open1
Worst price1281.75
Drawdown as % of equity-3.80%
($529)
Includes Typical Broker Commissions trade costs of $8.00
8/24/17 11:15 @NQU7 E-MINI NASDAQ 100 STK IDX SHORT 1 5823.00 8/24 18:05 5847.08 2.36%
Trade id #113318541
Max drawdown($490)
Time8/24/17 15:23
Quant open-1
Worst price5847.50
Drawdown as % of equity-2.36%
($490)
Includes Typical Broker Commissions trade costs of $8.00
8/24/17 10:03 @QMV7 MINY CRUDE OIL SHORT 1 47.750 8/24 13:58 47.500 0.42%
Trade id #113315942
Max drawdown($87)
Time8/24/17 11:00
Quant open-1
Worst price47.925
Drawdown as % of equity-0.42%
$117
Includes Typical Broker Commissions trade costs of $8.00
8/24/17 9:54 @NQU7 E-MINI NASDAQ 100 STK IDX SHORT 1 5840.50 8/24 10:26 5843.00 0.24%
Trade id #113315338
Max drawdown($50)
Time8/24/17 10:26
Quant open0
Worst price5843.00
Drawdown as % of equity-0.24%
($58)
Includes Typical Broker Commissions trade costs of $8.00
8/24/17 5:23 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5857.92 8/24 9:41 5860.00 0.4%
Trade id #113312156
Max drawdown($83)
Time8/24/17 5:46
Quant open1
Worst price5853.75
Drawdown as % of equity-0.40%
$34
Includes Typical Broker Commissions trade costs of $8.00
8/24/17 3:52 @YMU7 MINI DOW LONG 1 21803 8/24 5:26 21818 0.23%
Trade id #113311612
Max drawdown($48)
Time8/24/17 4:12
Quant open1
Worst price21793
Drawdown as % of equity-0.23%
$68
Includes Typical Broker Commissions trade costs of $8.00
8/23/17 11:40 @QMV7 MINY CRUDE OIL LONG 1 48.350 8/24 2:59 48.350 0.3%
Trade id #113297839
Max drawdown($62)
Time8/23/17 12:50
Quant open1
Worst price48.225
Drawdown as % of equity-0.30%
($8)
Includes Typical Broker Commissions trade costs of $8.00
8/24/17 1:54 @YMU7 MINI DOW SHORT 1 21782 8/24 2:50 21804 0.51%
Trade id #113309928
Max drawdown($108)
Time8/24/17 2:50
Quant open0
Worst price21804
Drawdown as % of equity-0.51%
($116)
Includes Typical Broker Commissions trade costs of $8.00
8/23/17 11:15 @JEZ7 E-MINI JAPANESE YEN LONG 1 0.009222 8/23 22:42 0.009207 0.45%
Trade id #113297056
Max drawdown($94)
Time8/23/17 22:42
Quant open0
Worst price0.009207
Drawdown as % of equity-0.45%
($102)
Includes Typical Broker Commissions trade costs of $8.00
8/22/17 16:39 @QMV7 MINY CRUDE OIL SHORT 1 47.625 8/23 10:51 48.150 1.24%
Trade id #113283629
Max drawdown($263)
Time8/23/17 10:51
Quant open0
Worst price48.150
Drawdown as % of equity-1.24%
($271)
Includes Typical Broker Commissions trade costs of $8.00
8/23/17 3:14 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5872.71 8/23 5:23 5867.08 0.6%
Trade id #113289067
Max drawdown($129)
Time8/23/17 5:19
Quant open1
Worst price5866.25
Drawdown as % of equity-0.60%
($121)
Includes Typical Broker Commissions trade costs of $8.00
8/23/17 1:07 @YMU7 MINI DOW LONG 1 21858 8/23 3:15 21868 0.09%
Trade id #113287623
Max drawdown($19)
Time8/23/17 3:02
Quant open1
Worst price21854
Drawdown as % of equity-0.09%
$42
Includes Typical Broker Commissions trade costs of $8.00
8/22/17 11:16 @NQU7 E-MINI NASDAQ 100 STK IDX LONG 1 5859.25 8/22 23:48 5867.75 0.24%
Trade id #113277600
Max drawdown($50)
Time8/22/17 11:19
Quant open1
Worst price5856.75
Drawdown as % of equity-0.24%
$162
Includes Typical Broker Commissions trade costs of $8.00
8/21/17 21:55 @YMU7 MINI DOW LONG 1 21739 8/22 11:16 21808 0.7%
Trade id #113265971
Max drawdown($145)
Time8/22/17 6:55
Quant open1
Worst price21710
Drawdown as % of equity-0.70%
$337
Includes Typical Broker Commissions trade costs of $8.00
8/21/17 9:17 @QMV7 MINY CRUDE OIL SHORT 1 48.375 8/22 2:59 47.900 0.42%
Trade id #113253009
Max drawdown($87)
Time8/21/17 10:08
Quant open-1
Worst price48.550
Drawdown as % of equity-0.42%
$230
Includes Typical Broker Commissions trade costs of $8.00
8/21/17 9:11 QCLV7 CRUDE OIL SHORT 1 48.40 8/22 2:59 47.89 0.67%
Trade id #113252855
Max drawdown($140)
Time8/21/17 10:08
Quant open-1
Worst price48.54
Drawdown as % of equity-0.67%
$502
Includes Typical Broker Commissions trade costs of $8.00
8/20/17 18:29 @JEZ7 E-MINI JAPANESE YEN LONG 2 0.009215 8/21 22:16 0.009202 0.8%
Trade id #113245882
Max drawdown($168)
Time8/21/17 21:35
Quant open2
Worst price0.009201
Drawdown as % of equity-0.80%
($172)
Includes Typical Broker Commissions trade costs of $16.00
8/20/17 20:24 @QOZ7 miNY Gold LONG 2 1294.50 8/21 11:33 1295.00 0.94%
Trade id #113246776
Max drawdown($187)
Time8/20/17 21:02
Quant open1
Worst price1287.25
Drawdown as % of equity-0.94%
$34
Includes Typical Broker Commissions trade costs of $16.00
8/4/17 9:49 @QMU7 MINY CRUDE OIL SHORT 13 48.522 8/21 9:01 48.755 7.39%
Trade id #112987783
Max drawdown($1,511)
Time8/21/17 9:01
Quant open9
Worst price48.350
Drawdown as % of equity-7.39%
($1,615)
Includes Typical Broker Commissions trade costs of $104.00
8/18/17 3:03 @QOZ7 miNY Gold LONG 3 1299.55 8/18 12:40 1291.25 5.71%
Trade id #113214782
Max drawdown($1,244)
Time8/18/17 12:40
Quant open0
Worst price1291.25
Drawdown as % of equity-5.71%
($1,268)
Includes Typical Broker Commissions trade costs of $24.00
8/17/17 6:21 @QOZ7 miNY Gold LONG 1 1289.83 8/17 13:59 1290.50 0.78%
Trade id #113192921
Max drawdown($191)
Time8/17/17 10:35
Quant open1
Worst price1286.00
Drawdown as % of equity-0.78%
$25
Includes Typical Broker Commissions trade costs of $8.00
8/16/17 12:04 @QOZ7 miNY Gold LONG 1 1279.00 8/17 5:53 1290.50 0.37%
Trade id #113177140
Max drawdown($87)
Time8/16/17 12:34
Quant open1
Worst price1277.25
Drawdown as % of equity-0.37%
$567
Includes Typical Broker Commissions trade costs of $8.00
8/16/17 11:39 @YMU7 MINI DOW LONG 1 22046 8/16 13:12 22035 0.24%
Trade id #113176272
Max drawdown($55)
Time8/16/17 13:12
Quant open0
Worst price22035
Drawdown as % of equity-0.24%
($63)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    4/12/2017
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    489.33
  • Age
    16 months ago
  • What it trades
    Futures
  • # Trades
    278
  • # Profitable
    133
  • % Profitable
    47.80%
  • Avg trade duration
    17.4 hours
  • Max peak-to-valley drawdown
    35.44%
  • drawdown period
    July 21, 2017 - Aug 18, 2017
  • Annual Return (Compounded)
    52.2%
  • Avg win
    $348.07
  • Avg loss
    $239.21
  • Model Account Values (Raw)
  • Cash
    $21,607
  • Margin Used
    $0
  • Buying Power
    $21,607
  • Ratios
  • W:L ratio
    1.33:1
  • Sharpe Ratio
    2.724
  • Sortino Ratio
    5.282
  • Calmar Ratio
    9.567
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.09500
  • Return Statistics
  • Ann Return (w trading costs)
    52.2%
  • Ann Return (Compnd, No Fees)
    77.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    615
  • 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
    $239
  • Avg Win
    $348
  • # Winners
    133
  • # Losers
    145
  • % Winners
    47.8%
  • Frequency
  • Avg Position Time (mins)
    1046.33
  • Avg Position Time (hrs)
    17.44
  • Avg Trade Length
    0.7 days
  • Last Trade Ago
    348
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.69043
  • SD
    0.90898
  • Sharpe ratio (Glass type estimate)
    1.85969
  • Sharpe ratio (Hedges UMVUE)
    1.61538
  • df
    6.00000
  • t
    1.42036
  • p
    0.10266
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.96947
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.55971
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.10872
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.33947
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.14090
  • Upside Potential Ratio
    13.50690
  • Upside part of mean
    1.88063
  • Downside part of mean
    -0.19020
  • Upside SD
    0.96279
  • Downside SD
    0.13923
  • N nonnegative terms
    4.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.16011
  • Mean of criterion
    1.69043
  • SD of predictor
    0.04729
  • SD of criterion
    0.90898
  • Covariance
    -0.00019
  • r
    -0.00444
  • b (slope, estimate of beta)
    -0.08526
  • a (intercept, estimate of alpha)
    1.70408
  • Mean Square Error
    0.99148
  • DF error
    5.00000
  • t(b)
    -0.00992
  • p(b)
    0.50377
  • t(a)
    0.89888
  • p(a)
    0.20496
  • Lowerbound of 95% confidence interval for beta
    -22.18310
  • Upperbound of 95% confidence interval for beta
    22.01260
  • Lowerbound of 95% confidence interval for alpha
    -3.16937
  • Upperbound of 95% confidence interval for alpha
    6.57754
  • Treynor index (mean / b)
    -19.82630
  • Jensen alpha (a)
    1.70408
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.34403
  • SD
    0.71333
  • Sharpe ratio (Glass type estimate)
    1.88417
  • Sharpe ratio (Hedges UMVUE)
    1.63664
  • df
    6.00000
  • t
    1.43906
  • p
    0.10009
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.95064
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.58868
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.09151
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.36480
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.15336
  • Upside Potential Ratio
    10.51640
  • Upside part of mean
    1.54417
  • Downside part of mean
    -0.20014
  • Upside SD
    0.75174
  • Downside SD
    0.14683
  • N nonnegative terms
    4.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.15776
  • Mean of criterion
    1.34403
  • SD of predictor
    0.04651
  • SD of criterion
    0.71333
  • Covariance
    -0.00129
  • r
    -0.03902
  • b (slope, estimate of beta)
    -0.59846
  • a (intercept, estimate of alpha)
    1.43844
  • Mean Square Error
    0.60967
  • DF error
    5.00000
  • t(b)
    -0.08732
  • p(b)
    0.53310
  • t(a)
    0.96668
  • p(a)
    0.18905
  • Lowerbound of 95% confidence interval for beta
    -18.21720
  • Upperbound of 95% confidence interval for beta
    17.02030
  • Lowerbound of 95% confidence interval for alpha
    -2.38680
  • Upperbound of 95% confidence interval for alpha
    5.26368
  • Treynor index (mean / b)
    -2.24582
  • Jensen alpha (a)
    1.43844
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.20284
  • Expected Shortfall on VaR
    0.26650
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03226
  • Expected Shortfall on VaR
    0.07033
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.89604
  • Quartile 1
    1.00000
  • Median
    1.05661
  • Quartile 3
    1.17926
  • Maximum
    1.69122
  • Mean of quarter 1
    0.94802
  • Mean of quarter 2
    1.02830
  • Mean of quarter 3
    1.16196
  • Mean of quarter 4
    1.44389
  • Inter Quartile Range
    0.17926
  • 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
    1.69122
  • 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
    1.00000
  • Minimum
    0.10396
  • Quartile 1
    0.10396
  • Median
    0.10396
  • Quartile 3
    0.10396
  • Maximum
    0.10396
  • 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)
    2.10206
  • Compounded annual return (geometric extrapolation)
    2.94298
  • Calmar ratio (compounded annual return / max draw down)
    28.30810
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    11.04300
  • 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
    1.29601
  • SD
    0.47377
  • Sharpe ratio (Glass type estimate)
    2.73553
  • Sharpe ratio (Hedges UMVUE)
    2.72359
  • df
    172.00000
  • t
    2.22287
  • p
    0.41645
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.30242
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.16092
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.29449
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.15269
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.28164
  • Upside Potential Ratio
    11.60040
  • Upside part of mean
    2.84652
  • Downside part of mean
    -1.55051
  • Upside SD
    0.41153
  • Downside SD
    0.24538
  • N nonnegative terms
    53.00000
  • N negative terms
    120.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    173.00000
  • Mean of predictor
    0.27500
  • Mean of criterion
    1.29601
  • SD of predictor
    0.15822
  • SD of criterion
    0.47377
  • Covariance
    -0.00412
  • r
    -0.05497
  • b (slope, estimate of beta)
    -0.16459
  • a (intercept, estimate of alpha)
    1.34100
  • Mean Square Error
    0.22509
  • DF error
    171.00000
  • t(b)
    -0.71988
  • p(b)
    0.53497
  • t(a)
    2.28407
  • p(a)
    0.39100
  • Lowerbound of 95% confidence interval for beta
    -0.61590
  • Upperbound of 95% confidence interval for beta
    0.28672
  • Lowerbound of 95% confidence interval for alpha
    0.18212
  • Upperbound of 95% confidence interval for alpha
    2.50042
  • Treynor index (mean / b)
    -7.87418
  • Jensen alpha (a)
    1.34127
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.18410
  • SD
    0.46546
  • Sharpe ratio (Glass type estimate)
    2.54394
  • Sharpe ratio (Hedges UMVUE)
    2.53283
  • df
    172.00000
  • t
    2.06718
  • p
    0.42215
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.11343
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.96728
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.10604
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.95963
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.69590
  • Upside Potential Ratio
    10.96800
  • Upside part of mean
    2.76566
  • Downside part of mean
    -1.58156
  • Upside SD
    0.39645
  • Downside SD
    0.25216
  • N nonnegative terms
    53.00000
  • N negative terms
    120.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    173.00000
  • Mean of predictor
    0.26216
  • Mean of criterion
    1.18410
  • SD of predictor
    0.16038
  • SD of criterion
    0.46546
  • Covariance
    -0.00392
  • r
    -0.05245
  • b (slope, estimate of beta)
    -0.15222
  • a (intercept, estimate of alpha)
    1.22401
  • Mean Square Error
    0.21732
  • DF error
    171.00000
  • t(b)
    -0.68680
  • p(b)
    0.53337
  • t(a)
    2.12271
  • p(a)
    0.39843
  • Lowerbound of 95% confidence interval for beta
    -0.58970
  • Upperbound of 95% confidence interval for beta
    0.28527
  • Lowerbound of 95% confidence interval for alpha
    0.08579
  • Upperbound of 95% confidence interval for alpha
    2.36223
  • Treynor index (mean / b)
    -7.77908
  • Jensen alpha (a)
    1.22401
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04188
  • Expected Shortfall on VaR
    0.05327
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01652
  • Expected Shortfall on VaR
    0.03392
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    173.00000
  • Minimum
    0.91102
  • Quartile 1
    0.99857
  • Median
    1.00000
  • Quartile 3
    1.01068
  • Maximum
    1.13506
  • Mean of quarter 1
    0.97708
  • Mean of quarter 2
    0.99994
  • Mean of quarter 3
    1.00131
  • Mean of quarter 4
    1.04253
  • Inter Quartile Range
    0.01210
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.10405
  • Mean of outliers low
    0.95816
  • Number of outliers high
    25.00000
  • Percentage of outliers high
    0.14451
  • Mean of outliers high
    1.06005
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.74556
  • VaR(95%) (moments method)
    0.00712
  • Expected Shortfall (moments method)
    0.00817
  • Extreme Value Index (regression method)
    0.02562
  • VaR(95%) (regression method)
    0.02000
  • Expected Shortfall (regression method)
    0.03200
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00446
  • Quartile 1
    0.01717
  • Median
    0.03325
  • Quartile 3
    0.09824
  • Maximum
    0.24670
  • Mean of quarter 1
    0.00964
  • Mean of quarter 2
    0.02381
  • Mean of quarter 3
    0.03976
  • Mean of quarter 4
    0.18081
  • Inter Quartile Range
    0.08107
  • 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
    0.10000
  • Mean of outliers high
    0.24670
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -5.20516
  • VaR(95%) (moments method)
    0.19859
  • Expected Shortfall (moments method)
    0.19864
  • Extreme Value Index (regression method)
    -0.81731
  • VaR(95%) (regression method)
    0.27219
  • Expected Shortfall (regression method)
    0.29535
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.85702
  • Compounded annual return (geometric extrapolation)
    2.36023
  • Calmar ratio (compounded annual return / max draw down)
    9.56717
  • Compounded annual return / average of 25% largest draw downs
    13.05350
  • Compounded annual return / Expected Shortfall lognormal
    44.30840
  • 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
    0.21271
  • SD
    0.43676
  • Sharpe ratio (Glass type estimate)
    0.48701
  • Sharpe ratio (Hedges UMVUE)
    0.48420
  • df
    130.00000
  • t
    0.34437
  • p
    0.48490
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.28627
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.25861
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.28823
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.25663
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.80699
  • Upside Potential Ratio
    7.01579
  • Upside part of mean
    1.84924
  • Downside part of mean
    -1.63653
  • Upside SD
    0.34641
  • Downside SD
    0.26358
  • N nonnegative terms
    27.00000
  • N negative terms
    104.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.29844
  • Mean of criterion
    0.21271
  • SD of predictor
    0.17685
  • SD of criterion
    0.43676
  • Covariance
    -0.00226
  • r
    -0.02923
  • b (slope, estimate of beta)
    -0.07219
  • a (intercept, estimate of alpha)
    0.23425
  • Mean Square Error
    0.19207
  • DF error
    129.00000
  • t(b)
    -0.33215
  • p(b)
    0.51861
  • t(a)
    0.37590
  • p(a)
    0.47895
  • Lowerbound of 95% confidence interval for beta
    -0.50222
  • Upperbound of 95% confidence interval for beta
    0.35783
  • Lowerbound of 95% confidence interval for alpha
    -0.99872
  • Upperbound of 95% confidence interval for alpha
    1.46722
  • Treynor index (mean / b)
    -2.94639
  • Jensen alpha (a)
    0.23425
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11982
  • SD
    0.43063
  • Sharpe ratio (Glass type estimate)
    0.27823
  • Sharpe ratio (Hedges UMVUE)
    0.27663
  • df
    130.00000
  • t
    0.19674
  • p
    0.49137
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.49426
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.04976
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.49539
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.04863
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.44162
  • Upside Potential Ratio
    6.60595
  • Upside part of mean
    1.79227
  • Downside part of mean
    -1.67246
  • Upside SD
    0.33238
  • Downside SD
    0.27131
  • N nonnegative terms
    27.00000
  • N negative terms
    104.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.28243
  • Mean of criterion
    0.11982
  • SD of predictor
    0.17939
  • SD of criterion
    0.43063
  • Covariance
    -0.00215
  • r
    -0.02779
  • b (slope, estimate of beta)
    -0.06670
  • a (intercept, estimate of alpha)
    0.13866
  • Mean Square Error
    0.18674
  • DF error
    129.00000
  • t(b)
    -0.31572
  • p(b)
    0.51769
  • t(a)
    0.22581
  • p(a)
    0.48735
  • Lowerbound of 95% confidence interval for beta
    -0.48471
  • Upperbound of 95% confidence interval for beta
    0.35130
  • Lowerbound of 95% confidence interval for alpha
    -1.07623
  • Upperbound of 95% confidence interval for alpha
    1.35354
  • Treynor index (mean / b)
    -1.79630
  • Jensen alpha (a)
    0.13866
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04238
  • Expected Shortfall on VaR
    0.05292
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01893
  • Expected Shortfall on VaR
    0.03854
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91102
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.13506
  • Mean of quarter 1
    0.97554
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02811
  • Inter Quartile Range
    0.00000
  • Number outliers low
    32.00000
  • Percentage of outliers low
    0.24427
  • Mean of outliers low
    0.97477
  • Number of outliers high
    27.00000
  • Percentage of outliers high
    0.20611
  • Mean of outliers high
    1.03435
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.28807
  • VaR(95%) (moments method)
    0.00465
  • Expected Shortfall (moments method)
    0.00474
  • Extreme Value Index (regression method)
    0.12368
  • VaR(95%) (regression method)
    0.02295
  • Expected Shortfall (regression method)
    0.04083
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.02061
  • Quartile 1
    0.09338
  • Median
    0.11925
  • Quartile 3
    0.15231
  • Maximum
    0.24670
  • Mean of quarter 1
    0.02061
  • Mean of quarter 2
    0.11764
  • Mean of quarter 3
    0.12085
  • Mean of quarter 4
    0.24670
  • Inter Quartile Range
    0.05893
  • 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
    0.25000
  • Mean of outliers high
    0.24670
  • 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)
    0.15332
  • Compounded annual return (geometric extrapolation)
    0.15919
  • Calmar ratio (compounded annual return / max draw down)
    0.64528
  • Compounded annual return / average of 25% largest draw downs
    0.64528
  • Compounded annual return / Expected Shortfall lognormal
    3.00816

Strategy Description

The strategy is discretionary.
The strategy uses "follow trend" method.
Swing trade as well as intraday trading.
Every trade has a stop, sometimes it is hard stop, sometimes when I monitor market, I have mental stops.
Will try to keep drawdown below current drawdown 25%.

Summary Statistics

Strategy began
2017-04-12
Suggested Minimum Capital
$25,000
# Trades
278
# Profitable
133
% Profitable
47.8%
Correlation S&P500
-0.095
Sharpe Ratio
2.724

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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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.