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

Futures WealthBuilder (111345025)

Created by: JonathanKinlay JonathanKinlay
Started: 05/2017
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 $149.00 per month.

15.8%
Cumul. Return
11.5%
Max Drawdown
33
Num Trades
63.6%
Win Trades
1.9 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                            +2.5%+4.4%+10.1%(1.4%)                        +15.8%

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 65 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/22/17 18:00 @EUU7 EUROFX LONG 1 1.17814 8/23 18:00 1.18227 n/a $508
Includes Typical Broker Commissions trade costs of $8.00
8/20/17 18:00 @EUU7 EUROFX LONG 1 1.17763 8/21 18:01 1.18310 0.64%
Trade id #113245621
Max drawdown($353)
Time8/21/17 3:12
Quant open1
Worst price1.17480
Drawdown as % of equity-0.64%
$676
Includes Typical Broker Commissions trade costs of $8.00
8/16/17 18:00 @EUU7 EUROFX LONG 1 1.17900 8/17 18:00 1.17433 2.41%
Trade id #113185935
Max drawdown($1,375)
Time8/17/17 7:32
Quant open1
Worst price1.16800
Drawdown as % of equity-2.41%
($592)
Includes Typical Broker Commissions trade costs of $8.00
8/13/17 18:00 @EUU7 EUROFX LONG 1 1.18461 8/15 18:00 1.17551 2.99%
Trade id #113119515
Max drawdown($1,725)
Time8/15/17 8:58
Quant open1
Worst price1.17080
Drawdown as % of equity-2.99%
($1,145)
Includes Typical Broker Commissions trade costs of $8.00
8/9/17 18:00 @EUU7 EUROFX LONG 1 1.17821 8/10 18:00 1.17926 1.21%
Trade id #113069479
Max drawdown($695)
Time8/10/17 6:09
Quant open1
Worst price1.17265
Drawdown as % of equity-1.21%
$122
Includes Typical Broker Commissions trade costs of $8.00
8/7/17 18:01 @USU7 US T-BOND LONG 1 154 14/32 8/10 18:00 155 17/32 1.57%
Trade id #113024399
Max drawdown($906)
Time8/8/17 11:35
Quant open1
Worst price153 17/32
Drawdown as % of equity-1.57%
$1,085
Includes Typical Broker Commissions trade costs of $8.00
8/7/17 18:00 @EUU7 EUROFX LONG 1 1.18217 8/8 18:02 1.17735 1.77%
Trade id #113024362
Max drawdown($1,027)
Time8/8/17 11:58
Quant open1
Worst price1.17395
Drawdown as % of equity-1.77%
($610)
Includes Typical Broker Commissions trade costs of $8.00
8/3/17 18:00 @EUU7 EUROFX LONG 1 1.18975 8/6 18:00 1.17990 3.07%
Trade id #112978030
Max drawdown($1,800)
Time8/4/17 10:25
Quant open1
Worst price1.17535
Drawdown as % of equity-3.07%
($1,239)
Includes Typical Broker Commissions trade costs of $8.00
8/1/17 18:00 @EUU7 EUROFX LONG 1 1.18347 8/2 18:00 1.18820 0.26%
Trade id #112930648
Max drawdown($152)
Time8/1/17 21:50
Quant open1
Worst price1.18225
Drawdown as % of equity-0.26%
$583
Includes Typical Broker Commissions trade costs of $8.00
7/30/17 18:00 @EUU7 EUROFX LONG 1 1.17817 7/31 18:00 1.18644 0.62%
Trade id #112885488
Max drawdown($358)
Time7/31/17 3:48
Quant open1
Worst price1.17530
Drawdown as % of equity-0.62%
$1,026
Includes Typical Broker Commissions trade costs of $8.00
7/26/17 18:00 @EUU7 EUROFX LONG 1 1.17780 7/27 18:00 1.17061 2.06%
Trade id #112804706
Max drawdown($1,212)
Time7/27/17 12:17
Quant open1
Worst price1.16810
Drawdown as % of equity-2.06%
($907)
Includes Typical Broker Commissions trade costs of $8.00
7/23/17 18:00 @EUU7 EUROFX LONG 3 1.17009 7/26 3:46 1.16734 2.59%
Trade id #112738183
Max drawdown($1,533)
Time7/24/17 12:16
Quant open3
Worst price1.16600
Drawdown as % of equity-2.59%
($1,056)
Includes Typical Broker Commissions trade costs of $24.00
7/19/17 18:00 @EUU7 EUROFX LONG 1 1.15535 7/20 18:00 1.16675 0.85%
Trade id #112688641
Max drawdown($500)
Time7/20/17 8:08
Quant open1
Worst price1.15135
Drawdown as % of equity-0.85%
$1,417
Includes Typical Broker Commissions trade costs of $8.00
7/16/17 18:00 @EUU7 EUROFX LONG 2 1.15092 7/19 3:54 1.15764 1.62%
Trade id #112630672
Max drawdown($906)
Time7/17/17 3:45
Quant open2
Worst price1.14730
Drawdown as % of equity-1.62%
$1,662
Includes Typical Broker Commissions trade costs of $16.00
6/21/17 16:30 @VXN7 CBOE Volatility Index VIX SHORT 1 12.20 7/18 14:36 10.20 2.93%
Trade id #112161144
Max drawdown($1,550)
Time6/29/17 13:30
Quant open-1
Worst price13.75
Drawdown as % of equity-2.93%
$1,992
Includes Typical Broker Commissions trade costs of $8.00
7/12/17 18:00 @EUU7 EUROFX LONG 1 1.14518 7/13 18:00 1.14370 0.96%
Trade id #112563303
Max drawdown($534)
Time7/13/17 7:12
Quant open1
Worst price1.14090
Drawdown as % of equity-0.96%
($192)
Includes Typical Broker Commissions trade costs of $8.00
7/9/17 18:00 @EUU7 EUROFX LONG 2 1.14413 7/12 3:54 1.14987 0.85%
Trade id #112484648
Max drawdown($456)
Time7/10/17 7:41
Quant open2
Worst price1.14230
Drawdown as % of equity-0.85%
$1,422
Includes Typical Broker Commissions trade costs of $16.00
7/6/17 18:00 @USU7 US T-BOND LONG 1 152 9/32 7/11 18:01 152 1.35%
Trade id #112454132
Max drawdown($718)
Time7/7/17 9:03
Quant open1
Worst price151 18/32
Drawdown as % of equity-1.35%
($289)
Includes Typical Broker Commissions trade costs of $8.00
7/4/17 18:00 @USU7 US T-BOND LONG 1 153 2/32 7/5 18:01 153 14/32 0.29%
Trade id #112406143
Max drawdown($155)
Time7/5/17 3:46
Quant open1
Worst price152 29/32
Drawdown as % of equity-0.29%
$368
Includes Typical Broker Commissions trade costs of $8.00
5/24/17 16:30 @VXM7 CBOE Volatility Index VIX SHORT 1 11.90 6/19 16:30 10.90 1.09%
Trade id #111757222
Max drawdown($550)
Time6/9/17 14:51
Quant open-1
Worst price12.45
Drawdown as % of equity-1.09%
$992
Includes Typical Broker Commissions trade costs of $8.00
6/15/17 18:01 @EUM7 EUROFX LONG 1 1.11490 6/19 6:04 1.11925 0.25%
Trade id #112086987
Max drawdown($131)
Time6/16/17 1:32
Quant open1
Worst price1.11385
Drawdown as % of equity-0.25%
$536
Includes Typical Broker Commissions trade costs of $8.00
6/8/17 18:20 @USM7 US T-BOND LONG 1 155 26/32 6/14 18:20 157 1.79%
Trade id #111979446
Max drawdown($906)
Time6/13/17 9:21
Quant open1
Worst price154 29/32
Drawdown as % of equity-1.79%
$1,180
Includes Typical Broker Commissions trade costs of $8.00
6/8/17 18:00 @EUM7 EUROFX LONG 1 1.12095 6/14 18:00 1.12170 0.96%
Trade id #111979229
Max drawdown($487)
Time6/9/17 9:02
Quant open1
Worst price1.11705
Drawdown as % of equity-0.96%
$86
Includes Typical Broker Commissions trade costs of $8.00
6/5/17 18:00 @EUM7 EUROFX LONG 1 1.12615 6/7 18:00 1.12635 1.26%
Trade id #111921741
Max drawdown($643)
Time6/7/17 7:20
Quant open1
Worst price1.12100
Drawdown as % of equity-1.26%
$17
Includes Typical Broker Commissions trade costs of $8.00
5/24/17 18:01 @USM7 US T-BOND LONG 1 153 25/32 6/1 9:54 154 16/32 0.62%
Trade id #111758109
Max drawdown($312)
Time5/25/17 10:33
Quant open1
Worst price153 15/32
Drawdown as % of equity-0.62%
$711
Includes Typical Broker Commissions trade costs of $8.00
5/17/17 18:00 @EUM7 EUROFX LONG 1 1.11815 5/23 11:28 1.12530 2.3%
Trade id #111653877
Max drawdown($1,125)
Time5/18/17 14:03
Quant open1
Worst price1.10915
Drawdown as % of equity-2.30%
$886
Includes Typical Broker Commissions trade costs of $8.00
5/9/17 18:00 @EUK7 EUROFX LONG 1 1.08790 5/16 18:20 1.09730 1.02%
Trade id #111487222
Max drawdown($493)
Time5/11/17 8:38
Quant open1
Worst price1.08395
Drawdown as % of equity-1.02%
$1,167
Includes Typical Broker Commissions trade costs of $8.00
5/15/17 3:37 @USM7 US T-BOND SHORT 1 151 8/32 5/16 10:52 152 1/32 1.68%
Trade id #111594611
Max drawdown($843)
Time5/16/17 10:47
Quant open-1
Worst price152 3/32
Drawdown as % of equity-1.68%
($789)
Includes Typical Broker Commissions trade costs of $8.00
5/12/17 5:32 @USM7 US T-BOND LONG 1 151 5/14 18:00 151 17/32 0.45%
Trade id #111566735
Max drawdown($218)
Time5/12/17 7:53
Quant open1
Worst price150 25/32
Drawdown as % of equity-0.45%
$523
Includes Typical Broker Commissions trade costs of $8.00
5/4/17 18:20 @USM7 US T-BOND LONG 1 151 26/32 5/10 18:00 150 19/32 2.9%
Trade id #111419230
Max drawdown($1,406)
Time5/10/17 13:31
Quant open1
Worst price150 13/32
Drawdown as % of equity-2.90%
($1,227)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    5/1/2017
  • Starting Unit Size
    $35,000
  • Strategy Age (days)
    114.55
  • Age
    115 days ago
  • What it trades
    Futures
  • # Trades
    33
  • # Profitable
    21
  • % Profitable
    63.60%
  • Avg trade duration
    5.1 days
  • Max peak-to-valley drawdown
    11.46%
  • drawdown period
    July 25, 2017 - Aug 21, 2017
  • Cumul. Return
    15.8%
  • Avg win
    $885.00
  • Avg loss
    $815.67
  • Model Account Values (Raw)
  • Cash
    $58,895
  • Margin Used
    $13,637
  • Buying Power
    $45,158
  • Ratios
  • W:L ratio
    1.90:1
  • Sharpe Ratio
    2.737
  • Sortino Ratio
    5.335
  • Calmar Ratio
    8.688
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.35300
  • Return Statistics
  • Ann Return (w trading costs)
    57.7%
  • Ann Return (Compnd, No Fees)
    66.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    10.50%
  • 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)
    880
  • Popularity (Last 6 weeks)
    978
  • C2 Score
    77.5
  • 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
    $816
  • Avg Win
    $885
  • # Winners
    21
  • # Losers
    12
  • % Winners
    63.6%
  • Frequency
  • Avg Position Time (mins)
    7381.50
  • Avg Position Time (hrs)
    123.03
  • Avg Trade Length
    5.1 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
    0.69894
  • SD
    0.14311
  • Sharpe ratio (Glass type estimate)
    4.88390
  • Sharpe ratio (Hedges UMVUE)
    2.75545
  • df
    2.00000
  • t
    2.44195
  • p
    0.06732
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.18404
  • Upperbound of 95% confidence interval for Sharpe Ratio
    10.62530
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.00453
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.51542
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.69894
  • Downside part of mean
    0.00000
  • Upside SD
    0.23316
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.11800
  • Mean of criterion
    0.69894
  • SD of predictor
    0.03032
  • SD of criterion
    0.14311
  • Covariance
    0.00354
  • r
    0.81699
  • b (slope, estimate of beta)
    3.85624
  • a (intercept, estimate of alpha)
    0.24388
  • Mean Square Error
    0.01362
  • DF error
    1.00000
  • t(b)
    1.41677
  • p(b)
    0.19564
  • t(a)
    0.61425
  • p(a)
    0.32467
  • Lowerbound of 95% confidence interval for beta
    -30.72800
  • Upperbound of 95% confidence interval for beta
    38.44050
  • Lowerbound of 95% confidence interval for alpha
    -4.80108
  • Upperbound of 95% confidence interval for alpha
    5.28885
  • Treynor index (mean / b)
    0.18125
  • Jensen alpha (a)
    0.24388
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.67178
  • SD
    0.13415
  • Sharpe ratio (Glass type estimate)
    5.00750
  • Sharpe ratio (Hedges UMVUE)
    2.82518
  • df
    2.00000
  • t
    2.50375
  • p
    0.06465
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.13813
  • Upperbound of 95% confidence interval for Sharpe Ratio
    10.83670
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.97389
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.62425
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.67178
  • Downside part of mean
    0.00000
  • Upside SD
    0.22273
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.11686
  • Mean of criterion
    0.67178
  • SD of predictor
    0.02991
  • SD of criterion
    0.13415
  • Covariance
    0.00325
  • r
    0.81044
  • b (slope, estimate of beta)
    3.63532
  • a (intercept, estimate of alpha)
    0.24697
  • Mean Square Error
    0.01235
  • DF error
    1.00000
  • t(b)
    1.38342
  • p(b)
    0.19923
  • t(a)
    0.65147
  • p(a)
    0.31621
  • Lowerbound of 95% confidence interval for beta
    -29.75360
  • Upperbound of 95% confidence interval for beta
    37.02430
  • Lowerbound of 95% confidence interval for alpha
    -4.56982
  • Upperbound of 95% confidence interval for alpha
    5.06375
  • Treynor index (mean / b)
    0.18479
  • Jensen alpha (a)
    0.24697
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00769
  • Expected Shortfall on VaR
    0.02352
  • 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
    3.00000
  • Minimum
    1.02480
  • Quartile 1
    1.03796
  • Median
    1.05112
  • Quartile 3
    1.07846
  • Maximum
    1.10579
  • Mean of quarter 1
    1.02480
  • Mean of quarter 2
    1.05112
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.10579
  • Inter Quartile Range
    0.04049
  • 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 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)
    0.76462
  • Compounded annual return (geometric extrapolation)
    1.01313
  • 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
    43.07950
  • 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
    0.50012
  • SD
    0.18106
  • Sharpe ratio (Glass type estimate)
    2.76214
  • Sharpe ratio (Hedges UMVUE)
    2.73680
  • df
    82.00000
  • t
    1.55466
  • p
    0.06194
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.75382
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.26161
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.77054
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.24415
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.33509
  • Upside Potential Ratio
    13.77460
  • Upside part of mean
    1.29125
  • Downside part of mean
    -0.79113
  • Upside SD
    0.15670
  • Downside SD
    0.09374
  • N nonnegative terms
    46.00000
  • N negative terms
    37.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    83.00000
  • Mean of predictor
    0.04788
  • Mean of criterion
    0.50012
  • SD of predictor
    0.07772
  • SD of criterion
    0.18106
  • Covariance
    0.00595
  • r
    0.42259
  • b (slope, estimate of beta)
    0.98442
  • a (intercept, estimate of alpha)
    0.45300
  • Mean Square Error
    0.02726
  • DF error
    81.00000
  • t(b)
    4.19639
  • p(b)
    0.00003
  • t(a)
    1.54304
  • p(a)
    0.06336
  • Lowerbound of 95% confidence interval for beta
    0.51767
  • Upperbound of 95% confidence interval for beta
    1.45118
  • Lowerbound of 95% confidence interval for alpha
    -0.13112
  • Upperbound of 95% confidence interval for alpha
    1.03708
  • Treynor index (mean / b)
    0.50803
  • Jensen alpha (a)
    0.45298
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.48357
  • SD
    0.17975
  • Sharpe ratio (Glass type estimate)
    2.69032
  • Sharpe ratio (Hedges UMVUE)
    2.66563
  • df
    82.00000
  • t
    1.51423
  • p
    0.06691
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.82415
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.18877
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84043
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.17170
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.12181
  • Upside Potential Ratio
    13.54720
  • Upside part of mean
    1.27906
  • Downside part of mean
    -0.79548
  • Upside SD
    0.15459
  • Downside SD
    0.09441
  • N nonnegative terms
    46.00000
  • N negative terms
    37.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    83.00000
  • Mean of predictor
    0.04488
  • Mean of criterion
    0.48357
  • SD of predictor
    0.07794
  • SD of criterion
    0.17975
  • Covariance
    0.00594
  • r
    0.42400
  • b (slope, estimate of beta)
    0.97786
  • a (intercept, estimate of alpha)
    0.43969
  • Mean Square Error
    0.02683
  • DF error
    81.00000
  • t(b)
    4.21343
  • p(b)
    0.00003
  • t(a)
    1.50996
  • p(a)
    0.06747
  • Lowerbound of 95% confidence interval for beta
    0.51609
  • Upperbound of 95% confidence interval for beta
    1.43964
  • Lowerbound of 95% confidence interval for alpha
    -0.13969
  • Upperbound of 95% confidence interval for alpha
    1.01907
  • Treynor index (mean / b)
    0.49452
  • Jensen alpha (a)
    0.43969
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01629
  • Expected Shortfall on VaR
    0.02083
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00652
  • Expected Shortfall on VaR
    0.01251
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    83.00000
  • Minimum
    0.97608
  • Quartile 1
    0.99568
  • Median
    1.00074
  • Quartile 3
    1.00703
  • Maximum
    1.04015
  • Mean of quarter 1
    0.98972
  • Mean of quarter 2
    0.99865
  • Mean of quarter 3
    1.00335
  • Mean of quarter 4
    1.01641
  • Inter Quartile Range
    0.01135
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01205
  • Mean of outliers low
    0.97608
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.03614
  • Mean of outliers high
    1.03731
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.75251
  • VaR(95%) (moments method)
    0.01035
  • Expected Shortfall (moments method)
    0.01140
  • Extreme Value Index (regression method)
    -0.05338
  • VaR(95%) (regression method)
    0.01001
  • Expected Shortfall (regression method)
    0.01297
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00093
  • Quartile 1
    0.00177
  • Median
    0.01038
  • Quartile 3
    0.02239
  • Maximum
    0.07686
  • Mean of quarter 1
    0.00109
  • Mean of quarter 2
    0.00242
  • Mean of quarter 3
    0.01825
  • Mean of quarter 4
    0.05525
  • Inter Quartile Range
    0.02062
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.07686
  • 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)
    0.55525
  • Compounded annual return (geometric extrapolation)
    0.66776
  • Calmar ratio (compounded annual return / max draw down)
    8.68805
  • Compounded annual return / average of 25% largest draw downs
    12.08670
  • Compounded annual return / Expected Shortfall lognormal
    32.05500

Strategy Description

Summary Statistics

Strategy began
2017-05-01
Minimum Capital Required
$35,000
# Trades
33
# Profitable
21
% Profitable
63.6%
Correlation S&P500
0.353
Sharpe Ratio
2.737

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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