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

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 10/25/2018
Most recent certification approved 10/31/18 10:50 ET
Trades at broker C2Broker
Scaling percentage used 115%
# trading signals issued by system since certification 85
# trading signals executed in manager's C2Broker account 84
Percent signals followed since 10/25/2018 98.8%
This information was last updated 12/7/18 11:52 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 10/25/2018, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

Chuck's IRA
(113220646)

Created by: CharlesTines CharlesTines
Started: 08/2017
Stocks
Last trade: 8 days ago
Trading style: Equity Trend-following

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 $5.00 per month.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
16.3%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(31.2%)
Max Drawdown
126
Num Trades
42.9%
Win Trades
1.2 : 1
Profit Factor
64.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                 +10.0%+16.2%+8.7%+5.9%+8.6%+59.8%
2018(5.6%)+2.7%(21.3%)+0.9%+5.8%(2.6%)+1.0%+6.5%+0.3%(8.7%)(0.8%)(1.4%)(23.5%)

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 262 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/2/18 14:17 VTI VANGUARD TOTAL STOCK MARKET ET LONG 109 139.05 12/4 13:20 139.60 0.84%
Trade id #120704218
Max drawdown($239)
Time11/15/18 10:38
Quant open102
Worst price136.70
Drawdown as % of equity-0.84%
$59
Includes Typical Broker Commissions trade costs of $2.18
11/16/18 15:31 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1 49.90 11/19 11:26 49.34 0%
Trade id #121020409
Max drawdown($1)
Time11/19/18 11:26
Quant open0
Worst price49.34
Drawdown as % of equity-0.00%
($1)
Includes Typical Broker Commissions trade costs of $0.02
11/7/18 9:31 UPRO PROSHARES ULTRAPRO S&P500 LONG 153 48.80 11/15 9:32 47.20 1.05%
Trade id #120792329
Max drawdown($300)
Time11/15/18 9:32
Quant open59
Worst price43.71
Drawdown as % of equity-1.05%
($248)
Includes Typical Broker Commissions trade costs of $3.06
11/2/18 9:30 GNW GENWORTH FINANCIAL LONG 4 4.01 11/12 9:30 4.65 0%
Trade id #120692985
Max drawdown($0)
Time11/2/18 9:33
Quant open4
Worst price3.97
Drawdown as % of equity-0.00%
$3
Includes Typical Broker Commissions trade costs of $0.08
11/6/18 9:58 ERIC ERICSSON TELEPHONE LONG 52 8.96 11/9 9:30 9.06 0.01%
Trade id #120758595
Max drawdown($2)
Time11/6/18 10:59
Quant open52
Worst price8.91
Drawdown as % of equity-0.01%
$4
Includes Typical Broker Commissions trade costs of $1.04
11/6/18 9:58 GCAP GAIN CAPITAL HOLDINGS LONG 61 7.61 11/9 9:30 7.83 0.01%
Trade id #120758607
Max drawdown($2)
Time11/6/18 10:18
Quant open61
Worst price7.56
Drawdown as % of equity-0.01%
$12
Includes Typical Broker Commissions trade costs of $1.22
11/6/18 9:58 HRZN HORIZON TECH LONG 39 11.76 11/9 9:30 11.76 0.03%
Trade id #120758601
Max drawdown($9)
Time11/6/18 10:27
Quant open39
Worst price11.51
Drawdown as % of equity-0.03%
($1)
Includes Typical Broker Commissions trade costs of $0.78
11/6/18 9:58 EXPR EXPRESS LONG 49 9.36 11/9 9:30 9.55 0.07%
Trade id #120758605
Max drawdown($19)
Time11/7/18 10:41
Quant open49
Worst price8.97
Drawdown as % of equity-0.07%
$8
Includes Typical Broker Commissions trade costs of $0.98
11/6/18 9:58 IZEA IZEA INC. COMMON STOCK LONG 278 1.69 11/9 9:30 1.66 0.12%
Trade id #120758611
Max drawdown($34)
Time11/6/18 10:31
Quant open278
Worst price1.56
Drawdown as % of equity-0.12%
($13)
Includes Typical Broker Commissions trade costs of $5.56
11/6/18 9:58 PCMI PCM INC. COMMON STOCK LONG 25 18.49 11/9 9:30 20.15 0.01%
Trade id #120758597
Max drawdown($3)
Time11/6/18 10:16
Quant open25
Worst price18.35
Drawdown as % of equity-0.01%
$42
Includes Typical Broker Commissions trade costs of $0.50
11/6/18 9:58 TBBK BANCORP LONG 45 10.23 11/9 9:30 10.64 0.02%
Trade id #120758609
Max drawdown($4)
Time11/6/18 10:15
Quant open45
Worst price10.13
Drawdown as % of equity-0.02%
$17
Includes Typical Broker Commissions trade costs of $0.90
11/6/18 9:58 EZPW EZCORP LONG 46 9.97 11/9 9:30 9.37 0.11%
Trade id #120758603
Max drawdown($32)
Time11/8/18 15:36
Quant open46
Worst price9.27
Drawdown as % of equity-0.11%
($29)
Includes Typical Broker Commissions trade costs of $0.92
11/6/18 9:58 AFI ARMSTRONG FLOORING INC LONG 28 16.34 11/9 9:30 15.80 0.17%
Trade id #120758588
Max drawdown($50)
Time11/7/18 11:20
Quant open28
Worst price14.52
Drawdown as % of equity-0.17%
($16)
Includes Typical Broker Commissions trade costs of $0.56
11/6/18 9:58 SPCB SUPERCOM LTD. ORDINARY SHARES LONG 278 1.74 11/9 9:30 1.65 0.09%
Trade id #120758613
Max drawdown($25)
Time11/9/18 9:30
Quant open0
Worst price1.65
Drawdown as % of equity-0.09%
($31)
Includes Typical Broker Commissions trade costs of $5.56
11/2/18 9:30 MN MANNING & NAPIER LONG 9 2.01 11/6 9:58 2.02 0%
Trade id #120693036
Max drawdown($0)
Time11/2/18 9:57
Quant open9
Worst price2.00
Drawdown as % of equity-0.00%
$0
Includes Typical Broker Commissions trade costs of $0.18
10/25/18 11:10 CYH COMMUNITY HEALTH SYSTEMS LONG 8 2.88 11/5 9:31 3.60 0.01%
Trade id #120540315
Max drawdown($3)
Time10/30/18 9:34
Quant open8
Worst price2.50
Drawdown as % of equity-0.01%
$6
Includes Typical Broker Commissions trade costs of $0.16
10/25/18 11:13 GEN GENESIS HEALTHCARE LONG 27 1.56 11/5 9:30 1.63 0.01%
Trade id #120540353
Max drawdown($2)
Time10/26/18 12:15
Quant open16
Worst price1.36
Drawdown as % of equity-0.01%
$1
Includes Typical Broker Commissions trade costs of $0.54
10/25/18 11:12 ESES ECO-STIM ENERGY SOLUTIONS INC. COMMON STOCK LONG 222 0.20 11/5 9:30 0.20 0.01%
Trade id #120540328
Max drawdown($3)
Time11/2/18 9:52
Quant open222
Worst price0.18
Drawdown as % of equity-0.01%
($4)
Includes Typical Broker Commissions trade costs of $4.44
10/25/18 11:13 JASN JASON INDUSTRIES INC. COMMON LONG 16 2.49 11/5 9:30 2.31 0.02%
Trade id #120540377
Max drawdown($5)
Time10/30/18 9:32
Quant open9
Worst price1.96
Drawdown as % of equity-0.02%
($3)
Includes Typical Broker Commissions trade costs of $0.32
10/25/18 11:10 ASNA ASCENA RETAIL GROUP LONG 10 3.76 11/5 9:30 3.90 0%
Trade id #120540268
Max drawdown($1)
Time11/1/18 12:39
Quant open6
Worst price3.59
Drawdown as % of equity-0.00%
$1
Includes Typical Broker Commissions trade costs of $0.20
11/2/18 9:31 AUO AU OPTRONICS LONG 4 3.86 11/5 9:30 3.80 0%
Trade id #120693201
Max drawdown($0)
Time11/2/18 12:39
Quant open4
Worst price3.79
Drawdown as % of equity-0.00%
$0
Includes Typical Broker Commissions trade costs of $0.08
10/25/18 11:13 NM NAVIOS MARITIME HOLDINGS LONG 79 0.54 11/5 9:30 0.55 0.01%
Trade id #120540382
Max drawdown($1)
Time10/26/18 9:56
Quant open50
Worst price0.46
Drawdown as % of equity-0.01%
($1)
Includes Typical Broker Commissions trade costs of $1.58
10/25/18 11:14 SUMR SUMMER INFANT LONG 33 1.35 11/5 9:30 1.33 0.02%
Trade id #120540398
Max drawdown($4)
Time11/1/18 9:31
Quant open20
Worst price1.15
Drawdown as % of equity-0.02%
($2)
Includes Typical Broker Commissions trade costs of $0.66
10/25/18 11:12 EVLV EVINE LIVE INC. CLASS A COMMON LONG 38 1.11 11/5 9:30 1.12 0.02%
Trade id #120540341
Max drawdown($5)
Time10/30/18 9:35
Quant open22
Worst price0.89
Drawdown as % of equity-0.02%
($1)
Includes Typical Broker Commissions trade costs of $0.76
11/2/18 9:30 CHK CHESAPEAKE ENERGY LONG 5 3.60 11/5 9:30 3.65 0%
Trade id #120692974
Max drawdown($0)
Time11/2/18 13:03
Quant open5
Worst price3.43
Drawdown as % of equity-0.00%
$0
Includes Typical Broker Commissions trade costs of $0.10
10/25/18 11:15 TA TRAVELCENTERS OF AMERICA LONG 9 4.55 11/5 9:30 4.65 0%
Trade id #120540481
Max drawdown($1)
Time10/26/18 12:23
Quant open5
Worst price4.25
Drawdown as % of equity-0.00%
$1
Includes Typical Broker Commissions trade costs of $0.18
11/2/18 9:31 PRTS U.S. AUTO PARTS NETWORK LONG 14 1.25 11/5 9:30 1.24 0%
Trade id #120693162
Max drawdown($0)
Time11/2/18 9:41
Quant open14
Worst price1.23
Drawdown as % of equity-0.00%
$0
Includes Typical Broker Commissions trade costs of $0.28
11/2/18 9:30 RAD RITE AID LONG 15 1.16 11/5 9:30 1.20 n/a $1
Includes Typical Broker Commissions trade costs of $0.30
10/25/18 11:13 GNC GNC ACQUISITION HOLDINGS LONG 11 3.67 11/5 9:30 4.02 0.01%
Trade id #120540365
Max drawdown($2)
Time10/26/18 11:25
Quant open7
Worst price3.15
Drawdown as % of equity-0.01%
$4
Includes Typical Broker Commissions trade costs of $0.22
8/30/18 11:06 MGK CRSP US MEGA CAP GROWTH IND LONG 255 128.11 11/2 14:12 116.88 14.66%
Trade id #119664585
Max drawdown($4,060)
Time10/29/18 15:46
Quant open241
Worst price111.26
Drawdown as % of equity-14.66%
($2,868)
Includes Typical Broker Commissions trade costs of $5.10

Statistics

  • Strategy began
    8/18/2017
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    481.45
  • Age
    16 months ago
  • What it trades
    Stocks
  • # Trades
    126
  • # Profitable
    54
  • % Profitable
    42.90%
  • Avg trade duration
    6.6 days
  • Max peak-to-valley drawdown
    31.23%
  • drawdown period
    Jan 12, 2018 - April 02, 2018
  • Annual Return (Compounded)
    16.3%
  • Avg win
    $545.85
  • Avg loss
    $336.29
  • Model Account Values (Raw)
  • Cash
    $28,199
  • Margin Used
    $0
  • Buying Power
    $28,199
  • Ratios
  • W:L ratio
    1.23:1
  • Sharpe Ratio
    0.708
  • Sortino Ratio
    0.993
  • Calmar Ratio
    0.613
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.31600
  • Return Statistics
  • Ann Return (w trading costs)
    16.3%
  • Ann Return (Compnd, No Fees)
    17.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    50.50%
  • Chance of 20% account loss
    13.00%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    747
  • C2 Score
    57.7
  • Trades-Own-System Certification
  • Trades Own System?
    184630
  • TOS percent
    115%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $336
  • Avg Win
    $546
  • # Winners
    54
  • # Losers
    72
  • % Winners
    42.9%
  • Frequency
  • Avg Position Time (mins)
    9557.30
  • Avg Position Time (hrs)
    159.29
  • Avg Trade Length
    6.6 days
  • Last Trade Ago
    5
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21474
  • SD
    0.36126
  • Sharpe ratio (Glass type estimate)
    0.59442
  • Sharpe ratio (Hedges UMVUE)
    0.56190
  • df
    14.00000
  • t
    0.66458
  • p
    0.41256
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.18246
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.35067
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.20346
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.32725
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.03973
  • Upside Potential Ratio
    2.63024
  • Upside part of mean
    0.54323
  • Downside part of mean
    -0.32849
  • Upside SD
    0.28809
  • Downside SD
    0.20653
  • N nonnegative terms
    8.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.04628
  • Mean of criterion
    0.21474
  • SD of predictor
    0.13343
  • SD of criterion
    0.36126
  • Covariance
    0.03407
  • r
    0.70674
  • b (slope, estimate of beta)
    1.91354
  • a (intercept, estimate of alpha)
    0.12618
  • Mean Square Error
    0.07035
  • DF error
    13.00000
  • t(b)
    3.60185
  • p(b)
    0.09101
  • t(a)
    0.52906
  • p(a)
    0.40790
  • Lowerbound of 95% confidence interval for beta
    0.76581
  • Upperbound of 95% confidence interval for beta
    3.06127
  • Lowerbound of 95% confidence interval for alpha
    -0.38906
  • Upperbound of 95% confidence interval for alpha
    0.64142
  • Treynor index (mean / b)
    0.11222
  • Jensen alpha (a)
    0.12618
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15334
  • SD
    0.35685
  • Sharpe ratio (Glass type estimate)
    0.42971
  • Sharpe ratio (Hedges UMVUE)
    0.40620
  • df
    14.00000
  • t
    0.48043
  • p
    0.43632
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.33791
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.18232
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.35329
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.16569
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.67961
  • Upside Potential Ratio
    2.23825
  • Upside part of mean
    0.50503
  • Downside part of mean
    -0.35168
  • Upside SD
    0.26439
  • Downside SD
    0.22563
  • N nonnegative terms
    8.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.03761
  • Mean of criterion
    0.15334
  • SD of predictor
    0.13584
  • SD of criterion
    0.35685
  • Covariance
    0.03469
  • r
    0.71552
  • b (slope, estimate of beta)
    1.87966
  • a (intercept, estimate of alpha)
    0.08265
  • Mean Square Error
    0.06693
  • DF error
    13.00000
  • t(b)
    3.69296
  • p(b)
    0.08708
  • t(a)
    0.35595
  • p(a)
    0.43756
  • Lowerbound of 95% confidence interval for beta
    0.78007
  • Upperbound of 95% confidence interval for beta
    2.97925
  • Lowerbound of 95% confidence interval for alpha
    -0.41896
  • Upperbound of 95% confidence interval for alpha
    0.58425
  • Treynor index (mean / b)
    0.08158
  • Jensen alpha (a)
    0.08265
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.14501
  • Expected Shortfall on VaR
    0.18044
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05997
  • Expected Shortfall on VaR
    0.12203
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.80470
  • Quartile 1
    0.98415
  • Median
    1.00772
  • Quartile 3
    1.05755
  • Maximum
    1.22720
  • Mean of quarter 1
    0.90690
  • Mean of quarter 2
    0.99645
  • Mean of quarter 3
    1.03220
  • Mean of quarter 4
    1.14834
  • Inter Quartile Range
    0.07340
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.06667
  • Mean of outliers low
    0.80470
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.06667
  • Mean of outliers high
    1.22720
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -6.70402
  • VaR(95%) (moments method)
    0.05420
  • Expected Shortfall (moments method)
    0.05420
  • Extreme Value Index (regression method)
    -0.08299
  • VaR(95%) (regression method)
    0.13204
  • Expected Shortfall (regression method)
    0.19340
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01761
  • Quartile 1
    0.07959
  • Median
    0.14158
  • Quartile 3
    0.20356
  • Maximum
    0.26554
  • Mean of quarter 1
    0.01761
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.26554
  • Inter Quartile Range
    0.12397
  • 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)
    0.20343
  • Compounded annual return (geometric extrapolation)
    0.19872
  • Calmar ratio (compounded annual return / max draw down)
    0.74834
  • Compounded annual return / average of 25% largest draw downs
    0.74834
  • Compounded annual return / Expected Shortfall lognormal
    1.10126
  • 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
    0.16616
  • SD
    0.23413
  • Sharpe ratio (Glass type estimate)
    0.70970
  • Sharpe ratio (Hedges UMVUE)
    0.70813
  • df
    340.00000
  • t
    0.80966
  • p
    0.20935
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.00963
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.42801
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.01068
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.42695
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.99256
  • Upside Potential Ratio
    6.99479
  • Upside part of mean
    1.17099
  • Downside part of mean
    -1.00482
  • Upside SD
    0.16351
  • Downside SD
    0.16741
  • N nonnegative terms
    180.00000
  • N negative terms
    161.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    341.00000
  • Mean of predictor
    0.05008
  • Mean of criterion
    0.16616
  • SD of predictor
    0.13887
  • SD of criterion
    0.23413
  • Covariance
    0.01067
  • r
    0.32807
  • b (slope, estimate of beta)
    0.55314
  • a (intercept, estimate of alpha)
    0.13800
  • Mean Square Error
    0.04906
  • DF error
    339.00000
  • t(b)
    6.39439
  • p(b)
    0.00000
  • t(a)
    0.71297
  • p(a)
    0.23818
  • Lowerbound of 95% confidence interval for beta
    0.38299
  • Upperbound of 95% confidence interval for beta
    0.72329
  • Lowerbound of 95% confidence interval for alpha
    -0.24353
  • Upperbound of 95% confidence interval for alpha
    0.52046
  • Treynor index (mean / b)
    0.30040
  • Jensen alpha (a)
    0.13846
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13865
  • SD
    0.23504
  • Sharpe ratio (Glass type estimate)
    0.58989
  • Sharpe ratio (Hedges UMVUE)
    0.58859
  • df
    340.00000
  • t
    0.67297
  • p
    0.25071
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.12910
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.30804
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.12998
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.30715
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.80700
  • Upside Potential Ratio
    6.73946
  • Upside part of mean
    1.15787
  • Downside part of mean
    -1.01922
  • Upside SD
    0.16012
  • Downside SD
    0.17180
  • N nonnegative terms
    180.00000
  • N negative terms
    161.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    341.00000
  • Mean of predictor
    0.04040
  • Mean of criterion
    0.13865
  • SD of predictor
    0.13951
  • SD of criterion
    0.23504
  • Covariance
    0.01066
  • r
    0.32509
  • b (slope, estimate of beta)
    0.54770
  • a (intercept, estimate of alpha)
    0.11652
  • Mean Square Error
    0.04955
  • DF error
    339.00000
  • t(b)
    6.32941
  • p(b)
    0.00000
  • t(a)
    0.59707
  • p(a)
    0.27543
  • Lowerbound of 95% confidence interval for beta
    0.37749
  • Upperbound of 95% confidence interval for beta
    0.71791
  • Lowerbound of 95% confidence interval for alpha
    -0.26734
  • Upperbound of 95% confidence interval for alpha
    0.50037
  • Treynor index (mean / b)
    0.25314
  • Jensen alpha (a)
    0.11652
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02308
  • Expected Shortfall on VaR
    0.02898
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00830
  • Expected Shortfall on VaR
    0.01816
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    341.00000
  • Minimum
    0.90720
  • Quartile 1
    0.99728
  • Median
    1.00032
  • Quartile 3
    1.00521
  • Maximum
    1.09163
  • Mean of quarter 1
    0.98578
  • Mean of quarter 2
    0.99923
  • Mean of quarter 3
    1.00263
  • Mean of quarter 4
    1.01550
  • Inter Quartile Range
    0.00793
  • Number outliers low
    24.00000
  • Percentage of outliers low
    0.07038
  • Mean of outliers low
    0.96830
  • Number of outliers high
    27.00000
  • Percentage of outliers high
    0.07918
  • Mean of outliers high
    1.02916
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.31124
  • VaR(95%) (moments method)
    0.01026
  • Expected Shortfall (moments method)
    0.01891
  • Extreme Value Index (regression method)
    0.39097
  • VaR(95%) (regression method)
    0.01176
  • Expected Shortfall (regression method)
    0.02414
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00026
  • Quartile 1
    0.00167
  • Median
    0.00568
  • Quartile 3
    0.02153
  • Maximum
    0.29572
  • Mean of quarter 1
    0.00112
  • Mean of quarter 2
    0.00301
  • Mean of quarter 3
    0.00932
  • Mean of quarter 4
    0.12498
  • Inter Quartile Range
    0.01986
  • 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
    0.18750
  • Mean of outliers high
    0.15282
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.20839
  • VaR(95%) (moments method)
    0.10986
  • Expected Shortfall (moments method)
    0.18467
  • Extreme Value Index (regression method)
    1.08419
  • VaR(95%) (regression method)
    0.20844
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.18598
  • Compounded annual return (geometric extrapolation)
    0.18123
  • Calmar ratio (compounded annual return / max draw down)
    0.61283
  • Compounded annual return / average of 25% largest draw downs
    1.45006
  • Compounded annual return / Expected Shortfall lognormal
    6.25347
  • 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
    -0.14253
  • SD
    0.10969
  • Sharpe ratio (Glass type estimate)
    -1.29939
  • Sharpe ratio (Hedges UMVUE)
    -1.29188
  • df
    130.00000
  • t
    -0.91881
  • p
    0.54016
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.07328
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.47933
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.06813
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.48437
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.65623
  • Upside Potential Ratio
    6.40291
  • Upside part of mean
    0.55100
  • Downside part of mean
    -0.69352
  • Upside SD
    0.06791
  • Downside SD
    0.08605
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.11683
  • Mean of criterion
    -0.14253
  • SD of predictor
    0.14819
  • SD of criterion
    0.10969
  • Covariance
    0.00937
  • r
    0.57669
  • b (slope, estimate of beta)
    0.42684
  • a (intercept, estimate of alpha)
    -0.09266
  • Mean Square Error
    0.00809
  • DF error
    129.00000
  • t(b)
    8.01751
  • p(b)
    0.15438
  • t(a)
    -0.72748
  • p(a)
    0.54066
  • Lowerbound of 95% confidence interval for beta
    0.32151
  • Upperbound of 95% confidence interval for beta
    0.53217
  • Lowerbound of 95% confidence interval for alpha
    -0.34466
  • Upperbound of 95% confidence interval for alpha
    0.15934
  • Treynor index (mean / b)
    -0.33391
  • Jensen alpha (a)
    -0.09266
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.14853
  • SD
    0.10983
  • Sharpe ratio (Glass type estimate)
    -1.35232
  • Sharpe ratio (Hedges UMVUE)
    -1.34451
  • df
    130.00000
  • t
    -0.95624
  • p
    0.54179
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.12646
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.42689
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.12113
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.43211
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.71344
  • Upside Potential Ratio
    6.32925
  • Upside part of mean
    0.54866
  • Downside part of mean
    -0.69719
  • Upside SD
    0.06739
  • Downside SD
    0.08669
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.12780
  • Mean of criterion
    -0.14853
  • SD of predictor
    0.14884
  • SD of criterion
    0.10983
  • Covariance
    0.00945
  • r
    0.57788
  • b (slope, estimate of beta)
    0.42643
  • a (intercept, estimate of alpha)
    -0.09403
  • Mean Square Error
    0.00810
  • DF error
    129.00000
  • t(b)
    8.04220
  • p(b)
    0.15376
  • t(a)
    -0.73786
  • p(a)
    0.54124
  • Lowerbound of 95% confidence interval for beta
    0.32152
  • Upperbound of 95% confidence interval for beta
    0.53134
  • Lowerbound of 95% confidence interval for alpha
    -0.34617
  • Upperbound of 95% confidence interval for alpha
    0.15811
  • Treynor index (mean / b)
    -0.34831
  • Jensen alpha (a)
    -0.09403
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01166
  • Expected Shortfall on VaR
    0.01445
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00590
  • Expected Shortfall on VaR
    0.01153
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97531
  • Quartile 1
    0.99663
  • Median
    1.00023
  • Quartile 3
    1.00354
  • Maximum
    1.02883
  • Mean of quarter 1
    0.99088
  • Mean of quarter 2
    0.99883
  • Mean of quarter 3
    1.00180
  • Mean of quarter 4
    1.00680
  • Inter Quartile Range
    0.00691
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.98269
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.02142
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.02096
  • VaR(95%) (moments method)
    0.00856
  • Expected Shortfall (moments method)
    0.01138
  • Extreme Value Index (regression method)
    -0.19451
  • VaR(95%) (regression method)
    0.00857
  • Expected Shortfall (regression method)
    0.01064
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00223
  • Quartile 1
    0.00261
  • Median
    0.01194
  • Quartile 3
    0.03730
  • Maximum
    0.11734
  • Mean of quarter 1
    0.00227
  • Mean of quarter 2
    0.00360
  • Mean of quarter 3
    0.02826
  • Mean of quarter 4
    0.07759
  • Inter Quartile Range
    0.03469
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.11734
  • 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)
    -0.11706
  • Compounded annual return (geometric extrapolation)
    -0.11363
  • Calmar ratio (compounded annual return / max draw down)
    -0.96843
  • Compounded annual return / average of 25% largest draw downs
    -1.46454
  • Compounded annual return / Expected Shortfall lognormal
    -7.86118

Strategy Description

This strategy is used to manage my own Roth IRA. Pretty early on I used this strategy to trade XIV and VXX almost exclusively with real money and would put up to 100% of the strategy capital into one of these very risky instruments. Fortunately, my trading system had me out of XIV when it drop approximately 95% in February of 2018. However, about a month later, while using VMIN as a stand in for XIV, I made some changes to my code to adjust and made some faulty assumptions that caused a series of large bad trades on March 12-14th of 2018. Shortly after I took a while off from managing this particular strategy and disconnected my actual money. While I wasn't actively managing it every day I just left it in index funds or cash.

Then starting on October 25th, 2018 I reconnected my brokerage account, improved, and diversified my strategy a bit to make it more robust and to deal with the closing of XIV. Please feel free to submit any questions via the private message feature.

Summary Statistics

Strategy began
2017-08-18
Suggested Minimum Capital
$15,000
# Trades
126
# Profitable
54
% Profitable
42.9%
Net Dividends
Correlation S&P500
0.316
Sharpe Ratio
0.708

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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