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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.

27.9%
Cumul. Return
11.5%
Max Drawdown
58
Num Trades
58.6%
Win Trades
1.9 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                            +2.2%+4.4%+10.1%+5.3%+0.2%+3.3%            +27.9%

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 118 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/19/17 16:30 @ESZ7 E-MINI S&P 500 LONG 1 2560.75 10/20 16:30 2574.00 n/a $655
Includes Typical Broker Commissions trade costs of $8.00
9/21/17 16:30 @VXV7 CBOE Volatility Index VIX SHORT 1 12.30 10/18 9:01 10.30 0.89%
Trade id #113796682
Max drawdown($550)
Time9/21/17 22:35
Quant open-1
Worst price12.85
Drawdown as % of equity-0.89%
$1,992
Includes Typical Broker Commissions trade costs of $8.00
10/6/17 16:30 @ESZ7 E-MINI S&P 500 LONG 3 2545.85 10/11 16:30 2549.25 0.51%
Trade id #114075936
Max drawdown($330)
Time10/9/17 15:14
Quant open1
Worst price2539.25
Drawdown as % of equity-0.51%
$486
Includes Typical Broker Commissions trade costs of $24.00
10/8/17 18:00 @USZ7 US T-BOND LONG 1 152 1/32 10/10 18:00 152 6/32 0.25%
Trade id #114099395
Max drawdown($162)
Time10/8/17 18:02
Quant open1
Worst price151 28/32
Drawdown as % of equity-0.25%
$142
Includes Typical Broker Commissions trade costs of $8.00
10/4/17 16:30 @ESZ7 E-MINI S&P 500 LONG 1 2536.25 10/5 16:30 2549.50 0.14%
Trade id #114023692
Max drawdown($87)
Time10/4/17 20:42
Quant open1
Worst price2534.50
Drawdown as % of equity-0.14%
$655
Includes Typical Broker Commissions trade costs of $8.00
10/3/17 18:00 @USZ7 US T-BOND LONG 1 152 26/32 10/4 18:00 152 23/32 0.99%
Trade id #114000996
Max drawdown($624)
Time10/4/17 12:16
Quant open1
Worst price152 6/32
Drawdown as % of equity-0.99%
($101)
Includes Typical Broker Commissions trade costs of $8.00
9/14/17 9:52 @ESZ7 E-MINI S&P 500 LONG 1 2491.50 10/3 16:30 2532.75 0.53%
Trade id #113680583
Max drawdown($325)
Time9/25/17 11:05
Quant open1
Worst price2485.00
Drawdown as % of equity-0.53%
$2,055
Includes Typical Broker Commissions trade costs of $8.00
9/26/17 3:48 @EUZ7 EUROFX SHORT 1 1.18799 9/26 5:58 1.18675 0.05%
Trade id #113856704
Max drawdown($32)
Time9/26/17 5:27
Quant open-1
Worst price1.18825
Drawdown as % of equity-0.05%
$148
Includes Typical Broker Commissions trade costs of $8.00
9/26/17 3:54 @USZ7 US T-BOND SHORT 1 154 24/32 9/26 5:58 154 31/32 0.36%
Trade id #113856811
Max drawdown($219)
Time9/26/17 5:58
Quant open0
Worst price154 31/32
Drawdown as % of equity-0.36%
($227)
Includes Typical Broker Commissions trade costs of $8.00
9/21/17 18:00 @EUZ7 EUROFX LONG 1 1.19946 9/25 18:00 1.19005 2.22%
Trade id #113797531
Max drawdown($1,357)
Time9/25/17 12:20
Quant open1
Worst price1.18860
Drawdown as % of equity-2.22%
($1,184)
Includes Typical Broker Commissions trade costs of $8.00
9/19/17 18:00 @USZ7 US T-BOND LONG 1 154 2/32 9/21 18:00 153 30/32 0.87%
Trade id #113753814
Max drawdown($562)
Time9/20/17 14:36
Quant open1
Worst price153 16/32
Drawdown as % of equity-0.87%
($132)
Includes Typical Broker Commissions trade costs of $8.00
9/14/17 18:00 @EUZ7 EUROFX LONG 1 1.19730 9/20 18:01 1.19480 1.07%
Trade id #113691483
Max drawdown($693)
Time9/20/17 14:41
Quant open1
Worst price1.19175
Drawdown as % of equity-1.07%
($321)
Includes Typical Broker Commissions trade costs of $8.00
9/14/17 9:56 @VXV7 CBOE Volatility Index VIX SHORT 1 12.90 9/19 16:30 12.45 0.72%
Trade id #113680768
Max drawdown($450)
Time9/14/17 18:36
Quant open-1
Worst price13.35
Drawdown as % of equity-0.72%
$442
Includes Typical Broker Commissions trade costs of $8.00
9/18/17 5:30 @USZ7 US T-BOND LONG 1 154 28/32 9/18 18:00 154 15/32 1.18%
Trade id #113717828
Max drawdown($750)
Time9/18/17 14:00
Quant open1
Worst price154 4/32
Drawdown as % of equity-1.18%
($414)
Includes Typical Broker Commissions trade costs of $8.00
9/14/17 9:51 @USZ7 US T-BOND LONG 1 154 30/32 9/14 18:00 155 9/32 0.25%
Trade id #113680555
Max drawdown($156)
Time9/14/17 10:15
Quant open1
Worst price154 25/32
Drawdown as % of equity-0.25%
$335
Includes Typical Broker Commissions trade costs of $8.00
9/13/17 16:30 @VXU7 CBOE Volatility Index VIX SHORT 1 11.50 9/14 9:49 11.70 0.72%
Trade id #113670769
Max drawdown($450)
Time9/14/17 8:31
Quant open-1
Worst price11.95
Drawdown as % of equity-0.72%
($208)
Includes Typical Broker Commissions trade costs of $8.00
9/12/17 18:01 @USU7 US T-BOND LONG 1 156 18/32 9/14 9:48 156 3/32 1.41%
Trade id #113650554
Max drawdown($874)
Time9/14/17 8:31
Quant open1
Worst price155 22/32
Drawdown as % of equity-1.41%
($476)
Includes Typical Broker Commissions trade costs of $8.00
7/20/17 16:30 @ESU7 E-MINI S&P 500 LONG 1 2471.25 9/14 9:48 2494.00 4.99%
Trade id #112708831
Max drawdown($2,775)
Time8/21/17 10:24
Quant open1
Worst price2415.75
Drawdown as % of equity-4.99%
$1,130
Includes Typical Broker Commissions trade costs of $8.00
9/10/17 18:00 @EUU7 EUROFX LONG 3 1.20282 9/13 18:00 1.19337 5.65%
Trade id #113614274
Max drawdown($3,545)
Time9/13/17 18:00
Quant open2
Worst price1.18896
Drawdown as % of equity-5.65%
($3,569)
Includes Typical Broker Commissions trade costs of $24.00
8/21/17 10:21 @VXU7 CBOE Volatility Index VIX SHORT 1 15.00 9/12 16:30 11.95 0.09%
Trade id #113255972
Max drawdown($50)
Time8/21/17 10:23
Quant open-1
Worst price15.05
Drawdown as % of equity-0.09%
$3,042
Includes Typical Broker Commissions trade costs of $8.00
9/3/17 18:09 @EUU7 EUROFX LONG 1 1.18855 9/7 18:00 1.20242 0.19%
Trade id #113512307
Max drawdown($118)
Time9/5/17 3:47
Quant open1
Worst price1.18760
Drawdown as % of equity-0.19%
$1,726
Includes Typical Broker Commissions trade costs of $8.00
8/30/17 18:00 @EUU7 EUROFX LONG 1 1.19035 8/31 18:00 1.19269 1.46%
Trade id #113457057
Max drawdown($893)
Time8/31/17 8:18
Quant open1
Worst price1.18320
Drawdown as % of equity-1.46%
$285
Includes Typical Broker Commissions trade costs of $8.00
8/28/17 18:00 @EUU7 EUROFX LONG 1 1.19916 8/29 18:00 1.19810 0.69%
Trade id #113394186
Max drawdown($420)
Time8/29/17 16:05
Quant open1
Worst price1.19580
Drawdown as % of equity-0.69%
($141)
Includes Typical Broker Commissions trade costs of $8.00
8/28/17 4:32 @EUU7 EUROFX SHORT 1 1.19480 8/28 10:30 1.19620 0.31%
Trade id #113379723
Max drawdown($187)
Time8/28/17 10:24
Quant open-1
Worst price1.19630
Drawdown as % of equity-0.31%
($183)
Includes Typical Broker Commissions trade costs of $8.00
8/24/17 18:00 @EUU7 EUROFX LONG 1 1.18145 8/27 18:00 1.19565 0.59%
Trade id #113328826
Max drawdown($350)
Time8/25/17 3:18
Quant open1
Worst price1.17865
Drawdown as % of equity-0.59%
$1,767
Includes Typical Broker Commissions trade costs of $8.00
8/22/17 18:00 @EUU7 EUROFX LONG 1 1.17814 8/23 18:00 1.18227 0.54%
Trade id #113284605
Max drawdown($317)
Time8/23/17 3:18
Quant open1
Worst price1.17560
Drawdown as % of equity-0.54%
$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

Statistics

  • Strategy began
    5/1/2017
  • Starting Unit Size
    $50,000
  • Strategy Age (days)
    173.21
  • Age
    173 days ago
  • What it trades
    Futures
  • # Trades
    58
  • # Profitable
    34
  • % Profitable
    58.60%
  • Avg trade duration
    5.6 days
  • Max peak-to-valley drawdown
    11.46%
  • drawdown period
    July 25, 2017 - Aug 21, 2017
  • Cumul. Return
    27.9%
  • Avg win
    $944.79
  • Avg loss
    $697.46
  • Model Account Values (Raw)
  • Cash
    $67,028
  • Margin Used
    $8,540
  • Buying Power
    $56,839
  • Ratios
  • W:L ratio
    1.92:1
  • Sharpe Ratio
    3.331
  • Sortino Ratio
    6.106
  • Calmar Ratio
    9.985
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.31200
  • Return Statistics
  • Ann Return (w trading costs)
    66.3%
  • Ann Return (Compnd, No Fees)
    75.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    11.00%
  • 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)
    772
  • Popularity (Last 6 weeks)
    972
  • C2 Score
    86.0
  • 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
    $697
  • Avg Win
    $945
  • # Winners
    34
  • # Losers
    24
  • % Winners
    58.6%
  • Frequency
  • Avg Position Time (mins)
    8093.18
  • Avg Position Time (hrs)
    134.89
  • Avg Trade Length
    5.6 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.55494
  • SD
    0.12212
  • Sharpe ratio (Glass type estimate)
    4.54404
  • Sharpe ratio (Hedges UMVUE)
    3.62562
  • df
    4.00000
  • t
    2.93317
  • p
    0.02134
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.13222
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.71438
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.31539
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.56663
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.55494
  • Downside part of mean
    0.00000
  • Upside SD
    0.19390
  • Downside SD
    0.00000
  • N nonnegative terms
    5.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.12971
  • Mean of criterion
    0.55494
  • SD of predictor
    0.04589
  • SD of criterion
    0.12212
  • Covariance
    0.00191
  • r
    0.34092
  • b (slope, estimate of beta)
    0.90731
  • a (intercept, estimate of alpha)
    0.43726
  • Mean Square Error
    0.01757
  • DF error
    3.00000
  • t(b)
    0.62812
  • p(b)
    0.28724
  • t(a)
    1.57288
  • p(a)
    0.10690
  • Lowerbound of 95% confidence interval for beta
    -3.68969
  • Upperbound of 95% confidence interval for beta
    5.50430
  • Lowerbound of 95% confidence interval for alpha
    -0.44746
  • Upperbound of 95% confidence interval for alpha
    1.32198
  • Treynor index (mean / b)
    0.61164
  • Jensen alpha (a)
    0.43726
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.53716
  • SD
    0.11480
  • Sharpe ratio (Glass type estimate)
    4.67915
  • Sharpe ratio (Hedges UMVUE)
    3.73342
  • df
    4.00000
  • t
    3.02038
  • p
    0.01957
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.20457
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.91431
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.25562
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.72246
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.53716
  • Downside part of mean
    0.00000
  • Upside SD
    0.18598
  • Downside SD
    0.00000
  • N nonnegative terms
    5.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.12818
  • Mean of criterion
    0.53716
  • SD of predictor
    0.04547
  • SD of criterion
    0.11480
  • Covariance
    0.00176
  • r
    0.33688
  • b (slope, estimate of beta)
    0.85052
  • a (intercept, estimate of alpha)
    0.42814
  • Mean Square Error
    0.01558
  • DF error
    3.00000
  • t(b)
    0.61972
  • p(b)
    0.28967
  • t(a)
    1.63780
  • p(a)
    0.09999
  • Lowerbound of 95% confidence interval for beta
    -3.51718
  • Upperbound of 95% confidence interval for beta
    5.21821
  • Lowerbound of 95% confidence interval for alpha
    -0.40379
  • Upperbound of 95% confidence interval for alpha
    1.26007
  • Treynor index (mean / b)
    0.63157
  • Jensen alpha (a)
    0.42814
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00970
  • Expected Shortfall on VaR
    0.02324
  • 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
    5.00000
  • Minimum
    1.02172
  • Quartile 1
    1.02480
  • Median
    1.02779
  • Quartile 3
    1.05112
  • Maximum
    1.10579
  • Mean of quarter 1
    1.02326
  • Mean of quarter 2
    1.02779
  • Mean of quarter 3
    1.05112
  • Mean of quarter 4
    1.10579
  • Inter Quartile Range
    0.02632
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    1.10579
  • 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)
    0.60203
  • Compounded annual return (geometric extrapolation)
    0.71115
  • 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
    30.59430
  • 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
    0.58516
  • SD
    0.17459
  • Sharpe ratio (Glass type estimate)
    3.35155
  • Sharpe ratio (Hedges UMVUE)
    3.33107
  • df
    123.00000
  • t
    2.30572
  • p
    0.37132
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.46539
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.22444
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.45185
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.21029
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.10621
  • Upside Potential Ratio
    14.17720
  • Upside part of mean
    1.35860
  • Downside part of mean
    -0.77344
  • Upside SD
    0.14953
  • Downside SD
    0.09583
  • N nonnegative terms
    74.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    124.00000
  • Mean of predictor
    0.16163
  • Mean of criterion
    0.58516
  • SD of predictor
    0.06954
  • SD of criterion
    0.17459
  • Covariance
    0.00471
  • r
    0.38787
  • b (slope, estimate of beta)
    0.97389
  • a (intercept, estimate of alpha)
    0.42800
  • Mean Square Error
    0.02611
  • DF error
    122.00000
  • t(b)
    4.64807
  • p(b)
    0.30606
  • t(a)
    1.80253
  • p(a)
    0.41947
  • Lowerbound of 95% confidence interval for beta
    0.55911
  • Upperbound of 95% confidence interval for beta
    1.38866
  • Lowerbound of 95% confidence interval for alpha
    -0.04202
  • Upperbound of 95% confidence interval for alpha
    0.89751
  • Treynor index (mean / b)
    0.60085
  • Jensen alpha (a)
    0.42775
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.56952
  • SD
    0.17367
  • Sharpe ratio (Glass type estimate)
    3.27939
  • Sharpe ratio (Hedges UMVUE)
    3.25935
  • df
    123.00000
  • t
    2.25607
  • p
    0.37394
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.39466
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.15111
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.38142
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.13729
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.89865
  • Upside Potential Ratio
    13.95740
  • Upside part of mean
    1.34759
  • Downside part of mean
    -0.77808
  • Upside SD
    0.14776
  • Downside SD
    0.09655
  • N nonnegative terms
    74.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    124.00000
  • Mean of predictor
    0.15918
  • Mean of criterion
    0.56952
  • SD of predictor
    0.06968
  • SD of criterion
    0.17367
  • Covariance
    0.00470
  • r
    0.38872
  • b (slope, estimate of beta)
    0.96881
  • a (intercept, estimate of alpha)
    0.41530
  • Mean Square Error
    0.02581
  • DF error
    122.00000
  • t(b)
    4.66008
  • p(b)
    0.30564
  • t(a)
    1.76074
  • p(a)
    0.42129
  • Lowerbound of 95% confidence interval for beta
    0.55726
  • Upperbound of 95% confidence interval for beta
    1.38036
  • Lowerbound of 95% confidence interval for alpha
    -0.05162
  • Upperbound of 95% confidence interval for alpha
    0.88223
  • Treynor index (mean / b)
    0.58785
  • Jensen alpha (a)
    0.41530
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01536
  • Expected Shortfall on VaR
    0.01975
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00593
  • Expected Shortfall on VaR
    0.01187
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    124.00000
  • Minimum
    0.97608
  • Quartile 1
    0.99594
  • Median
    1.00155
  • Quartile 3
    1.00863
  • Maximum
    1.04160
  • Mean of quarter 1
    0.98935
  • Mean of quarter 2
    0.99909
  • Mean of quarter 3
    1.00459
  • Mean of quarter 4
    1.01590
  • Inter Quartile Range
    0.01268
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00806
  • Mean of outliers low
    0.97608
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02419
  • Mean of outliers high
    1.03788
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.32941
  • VaR(95%) (moments method)
    0.01040
  • Expected Shortfall (moments method)
    0.01249
  • Extreme Value Index (regression method)
    -0.48891
  • VaR(95%) (regression method)
    0.01045
  • Expected Shortfall (regression method)
    0.01205
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00013
  • Quartile 1
    0.00194
  • Median
    0.01660
  • Quartile 3
    0.02530
  • Maximum
    0.07686
  • Mean of quarter 1
    0.00106
  • Mean of quarter 2
    0.01162
  • Mean of quarter 3
    0.02060
  • Mean of quarter 4
    0.05387
  • Inter Quartile Range
    0.02336
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.07692
  • Mean of outliers high
    0.07686
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.95173
  • VaR(95%) (moments method)
    0.05314
  • Expected Shortfall (moments method)
    0.05727
  • Extreme Value Index (regression method)
    -0.02447
  • VaR(95%) (regression method)
    0.07442
  • Expected Shortfall (regression method)
    0.10135
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.65366
  • Compounded annual return (geometric extrapolation)
    0.76741
  • Calmar ratio (compounded annual return / max draw down)
    9.98464
  • Compounded annual return / average of 25% largest draw downs
    14.24510
  • Compounded annual return / Expected Shortfall lognormal
    38.85300

Strategy Description

Summary Statistics

Strategy began
2017-05-01
Minimum Capital Required
$50,000
# Trades
58
# Profitable
34
% Profitable
58.6%
Correlation S&P500
0.312
Sharpe Ratio
3.331

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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