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Futures WealthBuilder (111345025)

Created by: JonathanKinlay JonathanKinlay
Started: 05/2017
Futures
Last trade: 7 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 $149.00 per month.

44.2%
Cumul. Return
11.5%
Max Drawdown
138
Num Trades
52.9%
Win Trades
1.8 : 1
Profit Factor
87.5%
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%+9.3%+8.2%(1.6%)+44.2%

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 168 hours.

Trading Record

This strategy has placed 312 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/6/17 9:04 @USH8 US T-BOND LONG 1 154 3/32 12/7 0:27 153 23/32 0.62%
Trade id #115216649
Max drawdown($469)
Time12/6/17 19:59
Quant open1
Worst price153 20/32
Drawdown as % of equity-0.62%
($383)
Includes Typical Broker Commissions trade costs of $8.00
12/6/17 5:30 @USH8 US T-BOND SHORT 1 154 8/32 12/6 9:05 154 3/32 0.16%
Trade id #115214902
Max drawdown($125)
Time12/6/17 8:31
Quant open-1
Worst price154 12/32
Drawdown as % of equity-0.16%
$148
Includes Typical Broker Commissions trade costs of $8.00
12/5/17 10:05 @USH8 US T-BOND LONG 1 152 29/32 12/6 5:30 154 8/32 n/a $1,336
Includes Typical Broker Commissions trade costs of $8.00
12/5/17 4:18 @USH8 US T-BOND SHORT 1 152 31/32 12/5 10:05 152 29/32 0.28%
Trade id #115192770
Max drawdown($211)
Time12/5/17 10:01
Quant open-1
Worst price153 6/32
Drawdown as % of equity-0.28%
$62
Includes Typical Broker Commissions trade costs of $8.00
12/4/17 6:33 @USH8 US T-BOND LONG 1 152 17/32 12/5 4:18 152 31/32 0.08%
Trade id #115167792
Max drawdown($62)
Time12/4/17 9:33
Quant open1
Worst price152 15/32
Drawdown as % of equity-0.08%
$439
Includes Typical Broker Commissions trade costs of $8.00
12/1/17 11:13 @USH8 US T-BOND LONG 5 153 26/32 12/1 15:09 153 20/32 2.63%
Trade id #115143301
Max drawdown($2,027)
Time12/1/17 11:17
Quant open3
Worst price153 8/32
Drawdown as % of equity-2.63%
($944)
Includes Typical Broker Commissions trade costs of $40.00
12/1/17 6:26 @USH8 US T-BOND SHORT 1 152 28/32 12/1 11:13 153 23/32 1.1%
Trade id #115136585
Max drawdown($850)
Time12/1/17 11:13
Quant open0
Worst price153 23/32
Drawdown as % of equity-1.10%
($858)
Includes Typical Broker Commissions trade costs of $8.00
11/30/17 15:34 @USH8 US T-BOND LONG 1 151 21/32 12/1 6:26 152 28/32 0.08%
Trade id #115128097
Max drawdown($62)
Time11/30/17 15:36
Quant open1
Worst price151 19/32
Drawdown as % of equity-0.08%
$1,211
Includes Typical Broker Commissions trade costs of $8.00
11/29/17 18:00 @EUZ7 EUROFX LONG 1 1.18617 11/30 18:00 1.18997 0.72%
Trade id #115108481
Max drawdown($540)
Time11/30/17 5:02
Quant open1
Worst price1.18185
Drawdown as % of equity-0.72%
$467
Includes Typical Broker Commissions trade costs of $8.00
11/29/17 16:30 @ESZ7 E-MINI S&P 500 LONG 1 2625.50 11/30 16:30 2641.50 0.25%
Trade id #115107310
Max drawdown($187)
Time11/29/17 20:47
Quant open1
Worst price2621.75
Drawdown as % of equity-0.25%
$792
Includes Typical Broker Commissions trade costs of $8.00
11/30/17 13:51 @USH8 US T-BOND SHORT 1 151 8/32 11/30 16:00 151 21/32 0.82%
Trade id #115125475
Max drawdown($625)
Time11/30/17 15:06
Quant open-1
Worst price151 28/32
Drawdown as % of equity-0.82%
($411)
Includes Typical Broker Commissions trade costs of $8.00
11/30/17 7:26 @USH8 US T-BOND LONG 1 151 29/32 11/30 13:51 151 8/32 1.17%
Trade id #115115600
Max drawdown($895)
Time11/30/17 13:26
Quant open1
Worst price151
Drawdown as % of equity-1.17%
($653)
Includes Typical Broker Commissions trade costs of $8.00
11/30/17 4:46 @USH8 US T-BOND SHORT 1 151 30/32 11/30 7:26 151 28/32 0.29%
Trade id #115113860
Max drawdown($218)
Time11/30/17 7:03
Quant open-1
Worst price152 5/32
Drawdown as % of equity-0.29%
$46
Includes Typical Broker Commissions trade costs of $8.00
11/29/17 16:30 @USH8 US T-BOND LONG 1 152 1/32 11/30 4:48 151 30/32 0.5%
Trade id #115107315
Max drawdown($374)
Time11/30/17 4:17
Quant open1
Worst price151 21/32
Drawdown as % of equity-0.50%
($101)
Includes Typical Broker Commissions trade costs of $8.00
11/28/17 16:04 @USH8 US T-BOND SHORT 1 153 11/32 11/29 16:30 152 1/32 0.38%
Trade id #115085780
Max drawdown($281)
Time11/28/17 22:17
Quant open-1
Worst price153 20/32
Drawdown as % of equity-0.38%
$1,305
Includes Typical Broker Commissions trade costs of $8.00
11/27/17 18:00 @EUZ7 EUROFX LONG 1 1.19135 11/28 18:00 1.18584 1.25%
Trade id #115068241
Max drawdown($918)
Time11/28/17 14:52
Quant open1
Worst price1.18400
Drawdown as % of equity-1.25%
($697)
Includes Typical Broker Commissions trade costs of $8.00
10/23/17 16:30 @ESZ7 E-MINI S&P 500 LONG 1 2563.00 11/28 16:30 2625.25 0.53%
Trade id #114430515
Max drawdown($375)
Time11/15/17 9:40
Quant open1
Worst price2555.50
Drawdown as % of equity-0.53%
$3,105
Includes Typical Broker Commissions trade costs of $8.00
11/28/17 13:02 @USH8 US T-BOND LONG 1 153 15/32 11/28 16:04 153 11/32 0.55%
Trade id #115081556
Max drawdown($406)
Time11/28/17 14:57
Quant open1
Worst price153 2/32
Drawdown as % of equity-0.55%
($133)
Includes Typical Broker Commissions trade costs of $8.00
11/28/17 6:42 @USH8 US T-BOND SHORT 1 153 7/32 11/28 13:02 153 15/32 0.72%
Trade id #115073865
Max drawdown($531)
Time11/28/17 12:17
Quant open-1
Worst price153 24/32
Drawdown as % of equity-0.72%
($258)
Includes Typical Broker Commissions trade costs of $8.00
11/27/17 10:49 @USZ7 US T-BOND SHORT 1 154 6/32 11/28 4:02 154 6/32 0.55%
Trade id #115060140
Max drawdown($405)
Time11/27/17 11:39
Quant open-1
Worst price154 19/32
Drawdown as % of equity-0.55%
($8)
Includes Typical Broker Commissions trade costs of $8.00
11/27/17 8:21 @USZ7 US T-BOND LONG 1 154 16/32 11/27 10:49 154 6/32 0.76%
Trade id #115053310
Max drawdown($562)
Time11/27/17 10:24
Quant open1
Worst price153 30/32
Drawdown as % of equity-0.76%
($320)
Includes Typical Broker Commissions trade costs of $8.00
11/24/17 9:39 @USZ7 US T-BOND SHORT 1 154 15/32 11/27 8:21 154 16/32 0.38%
Trade id #115012828
Max drawdown($281)
Time11/27/17 7:44
Quant open-1
Worst price154 24/32
Drawdown as % of equity-0.38%
($39)
Includes Typical Broker Commissions trade costs of $8.00
11/15/17 18:00 @EUZ7 EUROFX LONG 1 1.17916 11/26 18:00 1.19477 1.12%
Trade id #114881487
Max drawdown($795)
Time11/21/17 8:14
Quant open1
Worst price1.17280
Drawdown as % of equity-1.12%
$1,942
Includes Typical Broker Commissions trade costs of $8.00
11/22/17 10:41 @USZ7 US T-BOND LONG 1 154 5/32 11/24 9:07 154 12/32 0.34%
Trade id #114982555
Max drawdown($249)
Time11/24/17 6:29
Quant open1
Worst price153 29/32
Drawdown as % of equity-0.34%
$211
Includes Typical Broker Commissions trade costs of $8.00
11/22/17 7:55 @USZ7 US T-BOND SHORT 1 153 26/32 11/22 10:41 154 5/32 0.87%
Trade id #114978152
Max drawdown($625)
Time11/22/17 10:36
Quant open-1
Worst price154 14/32
Drawdown as % of equity-0.87%
($352)
Includes Typical Broker Commissions trade costs of $8.00
11/22/17 4:03 @USZ7 US T-BOND LONG 1 154 6/32 11/22 7:55 153 26/32 0.91%
Trade id #114976502
Max drawdown($649)
Time11/22/17 7:29
Quant open1
Worst price153 17/32
Drawdown as % of equity-0.91%
($377)
Includes Typical Broker Commissions trade costs of $8.00
11/21/17 13:14 @USZ7 US T-BOND SHORT 1 154 2/32 11/22 0:24 154 8/32 0.52%
Trade id #114965399
Max drawdown($375)
Time11/21/17 20:15
Quant open-1
Worst price154 14/32
Drawdown as % of equity-0.52%
($196)
Includes Typical Broker Commissions trade costs of $8.00
11/21/17 6:59 @USZ7 US T-BOND LONG 1 154 2/32 11/21 13:14 154 2/32 0.35%
Trade id #114955493
Max drawdown($249)
Time11/21/17 12:38
Quant open1
Worst price153 26/32
Drawdown as % of equity-0.35%
($8)
Includes Typical Broker Commissions trade costs of $8.00
11/20/17 9:44 @USZ7 US T-BOND SHORT 1 153 26/32 11/21 6:59 154 2/32 0.75%
Trade id #114939449
Max drawdown($531)
Time11/21/17 4:38
Quant open-1
Worst price154 11/32
Drawdown as % of equity-0.75%
($258)
Includes Typical Broker Commissions trade costs of $8.00
11/20/17 8:45 @USZ7 US T-BOND LONG 1 153 24/32 11/20 9:44 153 26/32 0.22%
Trade id #114937700
Max drawdown($156)
Time11/20/17 9:18
Quant open1
Worst price153 19/32
Drawdown as % of equity-0.22%
$54
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    5/1/2017
  • Starting Unit Size
    $45,000
  • Strategy Age (days)
    226.59
  • Age
    8 months ago
  • What it trades
    Futures
  • # Trades
    138
  • # Profitable
    73
  • % Profitable
    52.90%
  • Avg trade duration
    3.3 days
  • Max peak-to-valley drawdown
    11.46%
  • drawdown period
    July 25, 2017 - Aug 21, 2017
  • Cumul. Return
    44.1%
  • Avg win
    $778.99
  • Avg loss
    $497.09
  • Model Account Values (Raw)
  • Cash
    $74,551
  • Margin Used
    $0
  • Buying Power
    $74,551
  • Ratios
  • W:L ratio
    1.76:1
  • Sharpe Ratio
    3.667
  • Sortino Ratio
    6.705
  • Calmar Ratio
    11.715
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.23300
  • Return Statistics
  • Ann Return (w trading costs)
    78.8%
  • Ann Return (Compnd, No Fees)
    89.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    11.50%
  • 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)
    990
  • Popularity (Last 6 weeks)
    988
  • C2 Score
    87.3
  • 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
    $497
  • Avg Win
    $779
  • # Winners
    73
  • # Losers
    65
  • % Winners
    52.9%
  • Frequency
  • Avg Position Time (mins)
    4739.95
  • Avg Position Time (hrs)
    79.00
  • Avg Trade Length
    3.3 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
    0.70798
  • SD
    0.13567
  • Sharpe ratio (Glass type estimate)
    5.21819
  • Sharpe ratio (Hedges UMVUE)
    4.53266
  • df
    6.00000
  • t
    3.98546
  • p
    0.00362
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.27454
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.98909
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.90468
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.16064
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.70798
  • Downside part of mean
    0.00000
  • Upside SD
    0.23989
  • Downside SD
    0.00000
  • N nonnegative terms
    7.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.15089
  • Mean of criterion
    0.70798
  • SD of predictor
    0.04500
  • SD of criterion
    0.13567
  • Covariance
    0.00330
  • r
    0.54083
  • b (slope, estimate of beta)
    1.63060
  • a (intercept, estimate of alpha)
    0.46194
  • Mean Square Error
    0.01563
  • DF error
    5.00000
  • t(b)
    1.43774
  • p(b)
    0.10501
  • t(a)
    1.95074
  • p(a)
    0.05428
  • Lowerbound of 95% confidence interval for beta
    -1.28493
  • Upperbound of 95% confidence interval for beta
    4.54613
  • Lowerbound of 95% confidence interval for alpha
    -0.14681
  • Upperbound of 95% confidence interval for alpha
    1.07069
  • Treynor index (mean / b)
    0.43418
  • Jensen alpha (a)
    0.46194
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.67936
  • SD
    0.12742
  • Sharpe ratio (Glass type estimate)
    5.33163
  • Sharpe ratio (Hedges UMVUE)
    4.63120
  • df
    6.00000
  • t
    4.07210
  • p
    0.00328
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.34181
  • Upperbound of 95% confidence interval for Sharpe Ratio
    9.14982
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.96360
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.29880
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.67936
  • Downside part of mean
    0.00000
  • Upside SD
    0.22886
  • Downside SD
    0.00000
  • N nonnegative terms
    7.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.14875
  • Mean of criterion
    0.67936
  • SD of predictor
    0.04453
  • SD of criterion
    0.12742
  • Covariance
    0.00306
  • r
    0.53917
  • b (slope, estimate of beta)
    1.54292
  • a (intercept, estimate of alpha)
    0.44984
  • Mean Square Error
    0.01382
  • DF error
    5.00000
  • t(b)
    1.43151
  • p(b)
    0.10585
  • t(a)
    2.02401
  • p(a)
    0.04943
  • Lowerbound of 95% confidence interval for beta
    -1.22784
  • Upperbound of 95% confidence interval for beta
    4.31369
  • Lowerbound of 95% confidence interval for alpha
    -0.12150
  • Upperbound of 95% confidence interval for alpha
    1.02118
  • Treynor index (mean / b)
    0.44030
  • Jensen alpha (a)
    0.44984
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00388
  • Expected Shortfall on VaR
    0.01898
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    1.02172
  • Quartile 1
    1.02630
  • Median
    1.05112
  • Quartile 3
    1.09680
  • Maximum
    1.11026
  • Mean of quarter 1
    1.02326
  • Mean of quarter 2
    1.03946
  • Mean of quarter 3
    1.08780
  • Mean of quarter 4
    1.10802
  • Inter Quartile Range
    0.07050
  • 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)
    0.87548
  • Compounded annual return (geometric extrapolation)
    1.02843
  • 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
    54.17260
  • 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
    0.62938
  • SD
    0.17085
  • Sharpe ratio (Glass type estimate)
    3.68385
  • Sharpe ratio (Hedges UMVUE)
    3.66677
  • df
    162.00000
  • t
    2.90567
  • p
    0.38872
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.16141
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.19540
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.15003
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.18352
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.70475
  • Upside Potential Ratio
    14.81450
  • Upside part of mean
    1.39064
  • Downside part of mean
    -0.76126
  • Upside SD
    0.14734
  • Downside SD
    0.09387
  • N nonnegative terms
    97.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    163.00000
  • Mean of predictor
    0.14928
  • Mean of criterion
    0.62938
  • SD of predictor
    0.06714
  • SD of criterion
    0.17085
  • Covariance
    0.00323
  • r
    0.28130
  • b (slope, estimate of beta)
    0.71583
  • a (intercept, estimate of alpha)
    0.52300
  • Mean Square Error
    0.02705
  • DF error
    161.00000
  • t(b)
    3.71941
  • p(b)
    0.32331
  • t(a)
    2.48260
  • p(a)
    0.37851
  • Lowerbound of 95% confidence interval for beta
    0.33576
  • Upperbound of 95% confidence interval for beta
    1.09590
  • Lowerbound of 95% confidence interval for alpha
    0.10688
  • Upperbound of 95% confidence interval for alpha
    0.93816
  • Treynor index (mean / b)
    0.87922
  • Jensen alpha (a)
    0.52252
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.61417
  • SD
    0.16999
  • Sharpe ratio (Glass type estimate)
    3.61296
  • Sharpe ratio (Hedges UMVUE)
    3.59621
  • df
    162.00000
  • t
    2.84975
  • p
    0.39076
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.09183
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.12339
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.08067
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.11175
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.49627
  • Upside Potential Ratio
    14.59450
  • Upside part of mean
    1.37980
  • Downside part of mean
    -0.76563
  • Upside SD
    0.14567
  • Downside SD
    0.09454
  • N nonnegative terms
    97.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    163.00000
  • Mean of predictor
    0.14698
  • Mean of criterion
    0.61417
  • SD of predictor
    0.06723
  • SD of criterion
    0.16999
  • Covariance
    0.00323
  • r
    0.28237
  • b (slope, estimate of beta)
    0.71403
  • a (intercept, estimate of alpha)
    0.50922
  • Mean Square Error
    0.02676
  • DF error
    161.00000
  • t(b)
    3.73494
  • p(b)
    0.32265
  • t(a)
    2.43318
  • p(a)
    0.38082
  • Lowerbound of 95% confidence interval for beta
    0.33649
  • Upperbound of 95% confidence interval for beta
    1.09157
  • Lowerbound of 95% confidence interval for alpha
    0.09593
  • Upperbound of 95% confidence interval for alpha
    0.92252
  • Treynor index (mean / b)
    0.86014
  • Jensen alpha (a)
    0.50922
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01482
  • Expected Shortfall on VaR
    0.01913
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00586
  • Expected Shortfall on VaR
    0.01168
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    163.00000
  • Minimum
    0.97608
  • Quartile 1
    0.99581
  • Median
    1.00258
  • Quartile 3
    1.00881
  • Maximum
    1.04160
  • Mean of quarter 1
    0.98967
  • Mean of quarter 2
    0.99946
  • Mean of quarter 3
    1.00532
  • Mean of quarter 4
    1.01566
  • Inter Quartile Range
    0.01300
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00613
  • Mean of outliers low
    0.97608
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.02454
  • Mean of outliers high
    1.03627
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.29570
  • VaR(95%) (moments method)
    0.01009
  • Expected Shortfall (moments method)
    0.01220
  • Extreme Value Index (regression method)
    -0.40549
  • VaR(95%) (regression method)
    0.01055
  • Expected Shortfall (regression method)
    0.01244
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00013
  • Quartile 1
    0.00286
  • Median
    0.01787
  • Quartile 3
    0.02569
  • Maximum
    0.07686
  • Mean of quarter 1
    0.00142
  • Mean of quarter 2
    0.01092
  • Mean of quarter 3
    0.02260
  • Mean of quarter 4
    0.04702
  • Inter Quartile Range
    0.02283
  • 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
    0.05882
  • Mean of outliers high
    0.07686
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.20162
  • VaR(95%) (moments method)
    0.05002
  • Expected Shortfall (moments method)
    0.07293
  • Extreme Value Index (regression method)
    1.22391
  • VaR(95%) (regression method)
    0.05960
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.78925
  • Compounded annual return (geometric extrapolation)
    0.90043
  • Calmar ratio (compounded annual return / max draw down)
    11.71520
  • Compounded annual return / average of 25% largest draw downs
    19.14810
  • Compounded annual return / Expected Shortfall lognormal
    47.07930
  • 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
    0.69455
  • SD
    0.17524
  • Sharpe ratio (Glass type estimate)
    3.96353
  • Sharpe ratio (Hedges UMVUE)
    3.94062
  • df
    130.00000
  • t
    2.80264
  • p
    0.38065
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.14294
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.76942
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.12773
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.75350
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.08968
  • Upside Potential Ratio
    15.02590
  • Upside part of mean
    1.47203
  • Downside part of mean
    -0.77748
  • Upside SD
    0.15072
  • Downside SD
    0.09797
  • N nonnegative terms
    82.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15085
  • Mean of criterion
    0.69455
  • SD of predictor
    0.06651
  • SD of criterion
    0.17524
  • Covariance
    0.00333
  • r
    0.28586
  • b (slope, estimate of beta)
    0.75321
  • a (intercept, estimate of alpha)
    0.58092
  • Mean Square Error
    0.02842
  • DF error
    129.00000
  • t(b)
    3.38814
  • p(b)
    0.32053
  • t(a)
    2.41304
  • p(a)
    0.36866
  • Lowerbound of 95% confidence interval for beta
    0.31337
  • Upperbound of 95% confidence interval for beta
    1.19305
  • Lowerbound of 95% confidence interval for alpha
    0.10461
  • Upperbound of 95% confidence interval for alpha
    1.05724
  • Treynor index (mean / b)
    0.92212
  • Jensen alpha (a)
    0.58092
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.67844
  • SD
    0.17442
  • Sharpe ratio (Glass type estimate)
    3.88977
  • Sharpe ratio (Hedges UMVUE)
    3.86728
  • df
    130.00000
  • t
    2.75048
  • p
    0.38275
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.07083
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.69427
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.05590
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.67867
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.87356
  • Upside Potential Ratio
    14.79880
  • Upside part of mean
    1.46068
  • Downside part of mean
    -0.78224
  • Upside SD
    0.14901
  • Downside SD
    0.09870
  • N nonnegative terms
    82.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14860
  • Mean of criterion
    0.67844
  • SD of predictor
    0.06654
  • SD of criterion
    0.17442
  • Covariance
    0.00333
  • r
    0.28696
  • b (slope, estimate of beta)
    0.75218
  • a (intercept, estimate of alpha)
    0.56667
  • Mean Square Error
    0.02813
  • DF error
    129.00000
  • t(b)
    3.40226
  • p(b)
    0.31986
  • t(a)
    2.36638
  • p(a)
    0.37106
  • Lowerbound of 95% confidence interval for beta
    0.31476
  • Upperbound of 95% confidence interval for beta
    1.18960
  • Lowerbound of 95% confidence interval for alpha
    0.09288
  • Upperbound of 95% confidence interval for alpha
    1.04046
  • Treynor index (mean / b)
    0.90197
  • Jensen alpha (a)
    0.56667
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01502
  • Expected Shortfall on VaR
    0.01944
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00565
  • Expected Shortfall on VaR
    0.01156
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97608
  • Quartile 1
    0.99581
  • Median
    1.00324
  • Quartile 3
    1.00980
  • Maximum
    1.04160
  • Mean of quarter 1
    0.98924
  • Mean of quarter 2
    1.00006
  • Mean of quarter 3
    1.00605
  • Mean of quarter 4
    1.01578
  • Inter Quartile Range
    0.01399
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.03773
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.26202
  • VaR(95%) (moments method)
    0.01034
  • Expected Shortfall (moments method)
    0.01268
  • Extreme Value Index (regression method)
    -0.46382
  • VaR(95%) (regression method)
    0.01106
  • Expected Shortfall (regression method)
    0.01292
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00013
  • Quartile 1
    0.00286
  • Median
    0.01864
  • Quartile 3
    0.02569
  • Maximum
    0.07686
  • Mean of quarter 1
    0.00146
  • Mean of quarter 2
    0.01385
  • Mean of quarter 3
    0.02393
  • Mean of quarter 4
    0.05149
  • Inter Quartile Range
    0.02283
  • 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)
    0.15581
  • VaR(95%) (moments method)
    0.05252
  • Expected Shortfall (moments method)
    0.07588
  • Extreme Value Index (regression method)
    1.83554
  • VaR(95%) (regression method)
    0.06915
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.84716
  • Compounded annual return (geometric extrapolation)
    1.02658
  • Calmar ratio (compounded annual return / max draw down)
    13.35660
  • Compounded annual return / average of 25% largest draw downs
    19.93840
  • Compounded annual return / Expected Shortfall lognormal
    52.81310

Strategy Description

Summary Statistics

Strategy began
2017-05-01
Minimum Capital Required
$45,000
# Trades
138
# Profitable
73
% Profitable
52.9%
Correlation S&P500
0.233
Sharpe Ratio
3.667

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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