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GreedAndFear
(112840355)

Created by: RaoulSuurmeijer RaoulSuurmeijer
Started: 07/2017
Futures
Last trade: 2 days ago
Trading style: Equity Momentum

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.

Trading Category: Equity
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
4.2%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

31.8%
Max Drawdown
39
Num Trades
56.4%
Win Trades
1.2 : 1
Profit Factor
45.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                          (1.5%)(2.2%)+9.9%(7.4%)+11.9%+5.8%+16.1%
2018+9.8%(11.4%)+28.1%(20.4%)(9.5%)                                          (10.2%)

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 8 hours.

Trading Record

This strategy has placed 35 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/22/18 15:30 @ESM8 E-MINI S&P 500 LONG 1 2727.50 5/23 3:30 2712.25 6.13%
Trade id #118054747
Max drawdown($763)
Time5/23/18 3:30
Quant open0
Worst price2712.25
Drawdown as % of equity-6.13%
($771)
Includes Typical Broker Commissions trade costs of $8.00
5/17/18 4:47 @ESM8 E-MINI S&P 500 LONG 1 2716.25 5/18 8:14 2718.50 2.02%
Trade id #117972859
Max drawdown($262)
Time5/17/18 14:05
Quant open1
Worst price2711.00
Drawdown as % of equity-2.02%
$105
Includes Typical Broker Commissions trade costs of $8.00
5/15/18 8:41 @ESM8 E-MINI S&P 500 LONG 1 2719.00 5/15 12:05 2703.75 6.05%
Trade id #117935884
Max drawdown($787)
Time5/15/18 10:00
Quant open1
Worst price2703.25
Drawdown as % of equity-6.05%
($771)
Includes Typical Broker Commissions trade costs of $8.00
5/8/18 5:13 @ESM8 E-MINI S&P 500 LONG 1 2660.25 5/8 16:51 2670.25 2.93%
Trade id #117833475
Max drawdown($400)
Time5/8/18 14:43
Quant open1
Worst price2652.25
Drawdown as % of equity-2.93%
$492
Includes Typical Broker Commissions trade costs of $8.00
4/24/18 10:24 @ESM8 E-MINI S&P 500 LONG 1 2667.00 4/24 12:35 2647.75 6.72%
Trade id #117638160
Max drawdown($963)
Time4/24/18 12:35
Quant open0
Worst price2647.75
Drawdown as % of equity-6.72%
($971)
Includes Typical Broker Commissions trade costs of $8.00
4/23/18 4:16 @ESM8 E-MINI S&P 500 LONG 1 2667.00 4/23 14:06 2667.25 0.18%
Trade id #117616378
Max drawdown($25)
Time4/23/18 4:24
Quant open1
Worst price2666.50
Drawdown as % of equity-0.18%
$5
Includes Typical Broker Commissions trade costs of $8.00
4/20/18 3:30 @ESM8 E-MINI S&P 500 LONG 1 2687.00 4/20 11:11 2669.50 5.82%
Trade id #117590884
Max drawdown($875)
Time4/20/18 11:11
Quant open0
Worst price2669.50
Drawdown as % of equity-5.82%
($883)
Includes Typical Broker Commissions trade costs of $8.00
4/19/18 9:45 @ESM8 E-MINI S&P 500 LONG 1 2694.25 4/19 10:52 2694.50 0.66%
Trade id #117578060
Max drawdown($100)
Time4/19/18 9:53
Quant open1
Worst price2692.25
Drawdown as % of equity-0.66%
$5
Includes Typical Broker Commissions trade costs of $8.00
4/9/18 21:48 @ESM8 E-MINI S&P 500 SHORT 1 2628.25 4/9 22:16 2647.25 5.91%
Trade id #117439727
Max drawdown($950)
Time4/9/18 22:16
Quant open0
Worst price2647.25
Drawdown as % of equity-5.91%
($958)
Includes Typical Broker Commissions trade costs of $8.00
3/21/18 4:40 @ESM8 E-MINI S&P 500 LONG 1 2720.50 3/21 14:00 2736.00 1.73%
Trade id #117148637
Max drawdown($262)
Time3/21/18 9:51
Quant open1
Worst price2715.25
Drawdown as % of equity-1.73%
$767
Includes Typical Broker Commissions trade costs of $8.00
3/14/18 20:56 @ESM8 E-MINI S&P 500 LONG 1 2745.25 3/18 18:36 2751.00 0.08%
Trade id #117052713
Max drawdown($12)
Time3/14/18 21:12
Quant open1
Worst price2745.00
Drawdown as % of equity-0.08%
$280
Includes Typical Broker Commissions trade costs of $8.00
3/13/18 12:05 @ESM8 E-MINI S&P 500 LONG 1 2776.50 3/14 11:41 2752.25 7.63%
Trade id #117021349
Max drawdown($1,213)
Time3/14/18 11:41
Quant open0
Worst price2752.25
Drawdown as % of equity-7.63%
($1,221)
Includes Typical Broker Commissions trade costs of $8.00
3/6/18 18:04 @ESH8 E-MINI S&P 500 LONG 1 2698.00 3/9 13:33 2776.50 6.86%
Trade id #116894569
Max drawdown($837)
Time3/6/18 19:37
Quant open1
Worst price2681.25
Drawdown as % of equity-6.86%
$3,917
Includes Typical Broker Commissions trade costs of $8.00
3/4/18 18:00 @ESH8 E-MINI S&P 500 LONG 1 2683.25 3/6 18:00 2694.75 8.91%
Trade id #116850056
Max drawdown($975)
Time3/5/18 2:45
Quant open1
Worst price2663.75
Drawdown as % of equity-8.91%
$567
Includes Typical Broker Commissions trade costs of $8.00
3/1/18 21:31 @ESH8 E-MINI S&P 500 LONG 1 2674.00 3/2 7:55 2655.50 7.33%
Trade id #116816201
Max drawdown($925)
Time3/2/18 7:55
Quant open0
Worst price2655.50
Drawdown as % of equity-7.33%
($933)
Includes Typical Broker Commissions trade costs of $8.00
2/28/18 20:17 @ESH8 E-MINI S&P 500 LONG 1 2708.75 3/1 10:59 2709.00 4.25%
Trade id #116788787
Max drawdown($537)
Time3/1/18 6:51
Quant open1
Worst price2698.00
Drawdown as % of equity-4.25%
$5
Includes Typical Broker Commissions trade costs of $8.00
2/27/18 22:14 @ESH8 E-MINI S&P 500 LONG 1 2739.00 2/28 11:47 2739.25 0.2%
Trade id #116764114
Max drawdown($25)
Time2/27/18 22:16
Quant open1
Worst price2738.50
Drawdown as % of equity-0.20%
$5
Includes Typical Broker Commissions trade costs of $8.00
2/19/18 11:01 @ESH8 E-MINI S&P 500 LONG 1 2719.75 2/21 15:08 2720.00 5.5%
Trade id #116594915
Max drawdown($700)
Time2/20/18 15:22
Quant open1
Worst price2705.75
Drawdown as % of equity-5.50%
$5
Includes Typical Broker Commissions trade costs of $8.00
2/5/18 11:21 @ESH8 E-MINI S&P 500 LONG 1 2753.00 2/5 12:17 2738.00 5.63%
Trade id #116299359
Max drawdown($750)
Time2/5/18 12:17
Quant open0
Worst price2738.00
Drawdown as % of equity-5.63%
($758)
Includes Typical Broker Commissions trade costs of $8.00
2/1/18 8:18 @ESH8 E-MINI S&P 500 LONG 1 2822.00 2/1 9:14 2810.00 4.31%
Trade id #116218094
Max drawdown($600)
Time2/1/18 9:14
Quant open0
Worst price2810.00
Drawdown as % of equity-4.31%
($608)
Includes Typical Broker Commissions trade costs of $8.00
1/18/18 10:21 @ESH8 E-MINI S&P 500 LONG 1 2797.50 1/22 15:54 2832.50 2.38%
Trade id #115955449
Max drawdown($287)
Time1/18/18 22:40
Quant open1
Worst price2791.75
Drawdown as % of equity-2.38%
$1,742
Includes Typical Broker Commissions trade costs of $8.00
1/16/18 14:16 @ESH8 E-MINI S&P 500 LONG 1 2781.75 1/16 14:44 2772.75 3.56%
Trade id #115910976
Max drawdown($450)
Time1/16/18 14:44
Quant open0
Worst price2772.75
Drawdown as % of equity-3.56%
($458)
Includes Typical Broker Commissions trade costs of $8.00
12/12/17 22:20 @ESH8 E-MINI S&P 500 LONG 1 2662.75 12/15 11:29 2676.00 4.69%
Trade id #115323863
Max drawdown($550)
Time12/14/17 16:59
Quant open1
Worst price2651.75
Drawdown as % of equity-4.69%
$655
Includes Typical Broker Commissions trade costs of $8.00
12/7/17 8:19 @ESZ7 E-MINI S&P 500 LONG 1 2628.00 12/8 15:58 2649.75 0.8%
Trade id #115237564
Max drawdown($87)
Time12/7/17 9:33
Quant open1
Worst price2626.25
Drawdown as % of equity-0.80%
$1,080
Includes Typical Broker Commissions trade costs of $8.00
12/5/17 14:54 @ESZ7 E-MINI S&P 500 LONG 1 2632.00 12/6 2:41 2620.50 5.19%
Trade id #115207453
Max drawdown($575)
Time12/6/17 2:41
Quant open0
Worst price2620.50
Drawdown as % of equity-5.19%
($583)
Includes Typical Broker Commissions trade costs of $8.00
11/30/17 20:52 @ESZ7 E-MINI S&P 500 LONG 1 2638.00 12/1 11:12 2634.00 2.87%
Trade id #115130508
Max drawdown($337)
Time12/1/17 5:57
Quant open1
Worst price2631.25
Drawdown as % of equity-2.87%
($208)
Includes Typical Broker Commissions trade costs of $8.00
11/29/17 12:01 @ESZ7 E-MINI S&P 500 LONG 1 2620.00 11/30 12:14 2648.50 0.12%
Trade id #115101237
Max drawdown($12)
Time11/29/17 12:05
Quant open1
Worst price2619.75
Drawdown as % of equity-0.12%
$1,417
Includes Typical Broker Commissions trade costs of $8.00
11/21/17 5:01 @ESZ7 E-MINI S&P 500 SHORT 1 2583.75 11/21 9:35 2592.75 4.36%
Trade id #114954507
Max drawdown($450)
Time11/21/17 9:35
Quant open0
Worst price2592.75
Drawdown as % of equity-4.36%
($458)
Includes Typical Broker Commissions trade costs of $8.00
11/15/17 21:11 @ESZ7 E-MINI S&P 500 SHORT 1 2569.25 11/16 10:19 2580.50 5.11%
Trade id #114883444
Max drawdown($563)
Time11/16/17 10:19
Quant open0
Worst price2580.50
Drawdown as % of equity-5.11%
($571)
Includes Typical Broker Commissions trade costs of $8.00
11/10/17 3:21 @ESZ7 E-MINI S&P 500 LONG 1 2578.75 11/13 10:19 2580.25 3.95%
Trade id #114786537
Max drawdown($425)
Time11/13/17 9:03
Quant open1
Worst price2570.25
Drawdown as % of equity-3.95%
$67
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    7/27/2017
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    301.42
  • Age
    10 months ago
  • What it trades
    Futures
  • # Trades
    39
  • # Profitable
    22
  • % Profitable
    56.40%
  • Avg trade duration
    1.3 days
  • Max peak-to-valley drawdown
    31.76%
  • drawdown period
    March 13, 2018 - May 23, 2018
  • Cumul. Return
    4.2%
  • Avg win
    $650.86
  • Avg loss
    $702.41
  • Model Account Values (Raw)
  • Cash
    $12,378
  • Margin Used
    $0
  • Buying Power
    $12,378
  • Ratios
  • W:L ratio
    1.20:1
  • Sharpe Ratio
    0.83
  • Sortino Ratio
    1.431
  • Calmar Ratio
    1.297
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.11800
  • Return Statistics
  • Ann Return (w trading costs)
    5.1%
  • Ann Return (Compnd, No Fees)
    29.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    71.50%
  • Chance of 20% account loss
    39.50%
  • Chance of 30% account loss
    15.00%
  • Chance of 40% account loss
    6.00%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    704
  • C2 Score
    21.2
  • 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
    $702
  • Avg Win
    $651
  • # Winners
    22
  • # Losers
    17
  • % Winners
    56.4%
  • Frequency
  • Avg Position Time (mins)
    1884.03
  • Avg Position Time (hrs)
    31.40
  • Avg Trade Length
    1.3 days
  • Last Trade Ago
    2
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.46546
  • SD
    0.45124
  • Sharpe ratio (Glass type estimate)
    1.03152
  • Sharpe ratio (Hedges UMVUE)
    0.93115
  • df
    8.00000
  • t
    0.89332
  • p
    0.19888
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.31572
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.31847
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.37755
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.23986
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.44553
  • Upside Potential Ratio
    4.07688
  • Upside part of mean
    0.77595
  • Downside part of mean
    -0.31050
  • Upside SD
    0.40351
  • Downside SD
    0.19033
  • N nonnegative terms
    4.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.07940
  • Mean of criterion
    0.46546
  • SD of predictor
    0.10648
  • SD of criterion
    0.45124
  • Covariance
    -0.01219
  • r
    -0.25370
  • b (slope, estimate of beta)
    -1.07507
  • a (intercept, estimate of alpha)
    0.55082
  • Mean Square Error
    0.21773
  • DF error
    7.00000
  • t(b)
    -0.69392
  • p(b)
    0.74495
  • t(a)
    0.99667
  • p(a)
    0.17606
  • Lowerbound of 95% confidence interval for beta
    -4.73855
  • Upperbound of 95% confidence interval for beta
    2.58841
  • Lowerbound of 95% confidence interval for alpha
    -0.75602
  • Upperbound of 95% confidence interval for alpha
    1.85766
  • Treynor index (mean / b)
    -0.43296
  • Jensen alpha (a)
    0.55082
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37394
  • SD
    0.42678
  • Sharpe ratio (Glass type estimate)
    0.87619
  • Sharpe ratio (Hedges UMVUE)
    0.79094
  • df
    8.00000
  • t
    0.75880
  • p
    0.23487
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.45192
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.15246
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.50517
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.08705
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.81447
  • Upside Potential Ratio
    3.41516
  • Upside part of mean
    0.70382
  • Downside part of mean
    -0.32988
  • Upside SD
    0.36205
  • Downside SD
    0.20609
  • N nonnegative terms
    4.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.07394
  • Mean of criterion
    0.37394
  • SD of predictor
    0.10652
  • SD of criterion
    0.42678
  • Covariance
    -0.01216
  • r
    -0.26741
  • b (slope, estimate of beta)
    -1.07138
  • a (intercept, estimate of alpha)
    0.45316
  • Mean Square Error
    0.19327
  • DF error
    7.00000
  • t(b)
    -0.73424
  • p(b)
    0.75667
  • t(a)
    0.87317
  • p(a)
    0.20576
  • Lowerbound of 95% confidence interval for beta
    -4.52179
  • Upperbound of 95% confidence interval for beta
    2.37903
  • Lowerbound of 95% confidence interval for alpha
    -0.77404
  • Upperbound of 95% confidence interval for alpha
    1.68035
  • Treynor index (mean / b)
    -0.34902
  • Jensen alpha (a)
    0.45316
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15759
  • Expected Shortfall on VaR
    0.19904
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06348
  • Expected Shortfall on VaR
    0.12468
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.84220
  • Quartile 1
    0.97951
  • Median
    0.99630
  • Quartile 3
    1.06914
  • Maximum
    1.25277
  • Mean of quarter 1
    0.93340
  • Mean of quarter 2
    0.98928
  • Mean of quarter 3
    1.05205
  • Mean of quarter 4
    1.24359
  • Inter Quartile Range
    0.08964
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.11111
  • Mean of outliers low
    0.84220
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.22222
  • Mean of outliers high
    1.24359
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.99521
  • VaR(95%) (moments method)
    0.09391
  • Expected Shortfall (moments method)
    19.80240
  • Extreme Value Index (regression method)
    6.07311
  • VaR(95%) (regression method)
    1.53147
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00370
  • Quartile 1
    0.01629
  • Median
    0.02967
  • Quartile 3
    0.06859
  • Maximum
    0.15780
  • Mean of quarter 1
    0.00370
  • Mean of quarter 2
    0.02049
  • Mean of quarter 3
    0.03885
  • Mean of quarter 4
    0.15780
  • Inter Quartile Range
    0.05230
  • 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
    0.15780
  • 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)
    0.46897
  • Compounded annual return (geometric extrapolation)
    0.49458
  • Calmar ratio (compounded annual return / max draw down)
    3.13417
  • Compounded annual return / average of 25% largest draw downs
    3.13417
  • Compounded annual return / Expected Shortfall lognormal
    2.48487
  • 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
    0.30481
  • SD
    0.36594
  • Sharpe ratio (Glass type estimate)
    0.83296
  • Sharpe ratio (Hedges UMVUE)
    0.82995
  • df
    208.00000
  • t
    0.74395
  • p
    0.22887
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.36394
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.02788
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.36595
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.02585
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.43136
  • Upside Potential Ratio
    7.93318
  • Upside part of mean
    1.68940
  • Downside part of mean
    -1.38459
  • Upside SD
    0.29712
  • Downside SD
    0.21295
  • N nonnegative terms
    48.00000
  • N negative terms
    161.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    209.00000
  • Mean of predictor
    0.10265
  • Mean of criterion
    0.30481
  • SD of predictor
    0.13289
  • SD of criterion
    0.36594
  • Covariance
    0.00637
  • r
    0.13092
  • b (slope, estimate of beta)
    0.36052
  • a (intercept, estimate of alpha)
    0.26800
  • Mean Square Error
    0.13225
  • DF error
    207.00000
  • t(b)
    1.89994
  • p(b)
    0.02942
  • t(a)
    0.65696
  • p(a)
    0.25597
  • Lowerbound of 95% confidence interval for beta
    -0.01358
  • Upperbound of 95% confidence interval for beta
    0.73461
  • Lowerbound of 95% confidence interval for alpha
    -0.53585
  • Upperbound of 95% confidence interval for alpha
    1.07146
  • Treynor index (mean / b)
    0.84549
  • Jensen alpha (a)
    0.26781
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23922
  • SD
    0.36106
  • Sharpe ratio (Glass type estimate)
    0.66256
  • Sharpe ratio (Hedges UMVUE)
    0.66017
  • df
    208.00000
  • t
    0.59176
  • p
    0.27733
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.53357
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.85717
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.53520
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.85553
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.09871
  • Upside Potential Ratio
    7.56444
  • Upside part of mean
    1.64701
  • Downside part of mean
    -1.40779
  • Upside SD
    0.28732
  • Downside SD
    0.21773
  • N nonnegative terms
    48.00000
  • N negative terms
    161.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    209.00000
  • Mean of predictor
    0.09378
  • Mean of criterion
    0.23922
  • SD of predictor
    0.13356
  • SD of criterion
    0.36106
  • Covariance
    0.00623
  • r
    0.12916
  • b (slope, estimate of beta)
    0.34918
  • a (intercept, estimate of alpha)
    0.20648
  • Mean Square Error
    0.12881
  • DF error
    207.00000
  • t(b)
    1.87401
  • p(b)
    0.03117
  • t(a)
    0.51335
  • p(a)
    0.30413
  • Lowerbound of 95% confidence interval for beta
    -0.01816
  • Upperbound of 95% confidence interval for beta
    0.71653
  • Lowerbound of 95% confidence interval for alpha
    -0.58649
  • Upperbound of 95% confidence interval for alpha
    0.99945
  • Treynor index (mean / b)
    0.68510
  • Jensen alpha (a)
    0.20648
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03515
  • Expected Shortfall on VaR
    0.04406
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01574
  • Expected Shortfall on VaR
    0.03168
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    209.00000
  • Minimum
    0.91695
  • Quartile 1
    0.99960
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.09672
  • Mean of quarter 1
    0.97950
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02601
  • Inter Quartile Range
    0.00040
  • Number outliers low
    51.00000
  • Percentage of outliers low
    0.24402
  • Mean of outliers low
    0.97871
  • Number of outliers high
    48.00000
  • Percentage of outliers high
    0.22967
  • Mean of outliers high
    1.02818
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.11358
  • VaR(95%) (moments method)
    0.00391
  • Expected Shortfall (moments method)
    0.00426
  • Extreme Value Index (regression method)
    -0.30629
  • VaR(95%) (regression method)
    0.02259
  • Expected Shortfall (regression method)
    0.03072
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00067
  • Quartile 1
    0.02869
  • Median
    0.06331
  • Quartile 3
    0.12324
  • Maximum
    0.23611
  • Mean of quarter 1
    0.00924
  • Mean of quarter 2
    0.04599
  • Mean of quarter 3
    0.09230
  • Mean of quarter 4
    0.17429
  • Inter Quartile Range
    0.09455
  • 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)
    -1.59599
  • VaR(95%) (moments method)
    0.20547
  • Expected Shortfall (moments method)
    0.21146
  • Extreme Value Index (regression method)
    0.13622
  • VaR(95%) (regression method)
    0.25033
  • Expected Shortfall (regression method)
    0.34521
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.29773
  • Compounded annual return (geometric extrapolation)
    0.30621
  • Calmar ratio (compounded annual return / max draw down)
    1.29690
  • Compounded annual return / average of 25% largest draw downs
    1.75688
  • Compounded annual return / Expected Shortfall lognormal
    6.94922
  • 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
    0.24550
  • SD
    0.41191
  • Sharpe ratio (Glass type estimate)
    0.59602
  • Sharpe ratio (Hedges UMVUE)
    0.59257
  • df
    130.00000
  • t
    0.42145
  • p
    0.48153
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.17782
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.36769
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.18017
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.36532
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.02273
  • Upside Potential Ratio
    8.02783
  • Upside part of mean
    1.92707
  • Downside part of mean
    -1.68157
  • Upside SD
    0.33313
  • Downside SD
    0.24005
  • 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
    0.09724
  • Mean of criterion
    0.24550
  • SD of predictor
    0.16045
  • SD of criterion
    0.41191
  • Covariance
    0.00653
  • r
    0.09877
  • b (slope, estimate of beta)
    0.25356
  • a (intercept, estimate of alpha)
    0.22085
  • Mean Square Error
    0.16931
  • DF error
    129.00000
  • t(b)
    1.12730
  • p(b)
    0.43722
  • t(a)
    0.37925
  • p(a)
    0.47876
  • Lowerbound of 95% confidence interval for beta
    -0.19146
  • Upperbound of 95% confidence interval for beta
    0.69859
  • Lowerbound of 95% confidence interval for alpha
    -0.93130
  • Upperbound of 95% confidence interval for alpha
    1.37300
  • Treynor index (mean / b)
    0.96823
  • Jensen alpha (a)
    0.22085
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16271
  • SD
    0.40656
  • Sharpe ratio (Glass type estimate)
    0.40022
  • Sharpe ratio (Hedges UMVUE)
    0.39791
  • df
    130.00000
  • t
    0.28300
  • p
    0.48759
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.37273
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.17173
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.37432
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.17014
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.66205
  • Upside Potential Ratio
    7.62429
  • Upside part of mean
    1.87383
  • Downside part of mean
    -1.71111
  • Upside SD
    0.32206
  • Downside SD
    0.24577
  • 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
    0.08435
  • Mean of criterion
    0.16271
  • SD of predictor
    0.16131
  • SD of criterion
    0.40656
  • Covariance
    0.00635
  • r
    0.09685
  • b (slope, estimate of beta)
    0.24409
  • a (intercept, estimate of alpha)
    0.14212
  • Mean Square Error
    0.16501
  • DF error
    129.00000
  • t(b)
    1.10517
  • p(b)
    0.43844
  • t(a)
    0.24727
  • p(a)
    0.48614
  • Lowerbound of 95% confidence interval for beta
    -0.19289
  • Upperbound of 95% confidence interval for beta
    0.68108
  • Lowerbound of 95% confidence interval for alpha
    -0.99507
  • Upperbound of 95% confidence interval for alpha
    1.27932
  • Treynor index (mean / b)
    0.66661
  • Jensen alpha (a)
    0.14212
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03988
  • Expected Shortfall on VaR
    0.04986
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01947
  • Expected Shortfall on VaR
    0.03807
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91695
  • Quartile 1
    0.99679
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.09672
  • Mean of quarter 1
    0.97516
  • Mean of quarter 2
    0.99970
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02929
  • Inter Quartile Range
    0.00321
  • Number outliers low
    28.00000
  • Percentage of outliers low
    0.21374
  • Mean of outliers low
    0.97168
  • Number of outliers high
    24.00000
  • Percentage of outliers high
    0.18321
  • Mean of outliers high
    1.04001
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.82591
  • VaR(95%) (moments method)
    0.01515
  • Expected Shortfall (moments method)
    0.01698
  • Extreme Value Index (regression method)
    -0.30436
  • VaR(95%) (regression method)
    0.02391
  • Expected Shortfall (regression method)
    0.03117
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00067
  • Quartile 1
    0.03099
  • Median
    0.07024
  • Quartile 3
    0.12526
  • Maximum
    0.23611
  • Mean of quarter 1
    0.01352
  • Mean of quarter 2
    0.05292
  • Mean of quarter 3
    0.08996
  • Mean of quarter 4
    0.19834
  • Inter Quartile Range
    0.09427
  • 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)
    0.20000
  • Compounded annual return (geometric extrapolation)
    0.21000
  • Calmar ratio (compounded annual return / max draw down)
    0.88941
  • Compounded annual return / average of 25% largest draw downs
    1.05879
  • Compounded annual return / Expected Shortfall lognormal
    4.21187

Strategy Description

As a software engineer (MSc), I have always thought that software should be much better at making objective decisions under pressure compared to humans. That is why I have developed a neural network from the ground up that was able to learn to predict the (very) short term future of the stock market. The field of machine learning combined with that of the process of trading is a very fascinating subject. My blog has regular posts about this subject.

Trading will be done with exactly one ES e-mini future, both long and short. There is *always* a stop loss order in place to cut off a loss if that becomes too big.

Summary Statistics

Strategy began
2017-07-27
Suggested Minimum Capital
$25,000
# Trades
39
# Profitable
22
% Profitable
56.4%
Correlation S&P500
0.118
Sharpe Ratio
0.830

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.