Collective2 Collective2
Featured Strategy MT3 Algotrading Followed by live capital $3.19 million Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Inactive Compact
(113220682)

Created by: JohnSnow2019 JohnSnow2019
Started: 08/2017
Stocks
Last trade: 2,314 days ago
Trading style: Equity Non-hedged Equity

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. You can subscribe to this system for free.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
-0.7%
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.

(31.6%)
Max Drawdown
260
Num Trades
44.6%
Win Trades
2.1 : 1
Profit Factor
60.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                 +5.7%+0.6%(1.3%)+15.9%+1.3%+23.2%
2018+4.2%(16%)(8.1%)+1.4%+5.1%(2.9%)+0.8%+7.2%(1.6%)(12.3%)+1.8%(12.5%)(30.9%)
2019+12.7%+9.5%(1.2%)+4.4%(2.1%)+1.1%(3.6%)+4.5%(2%)+2.2%+4.0%+4.6%+38.2%
2020+1.7%(5.3%)(12%)+1.1%+13.3%+0.6%+8.9%+3.1%(4.4%)+4.4%+15.5%+9.2%+38.0%
2021+1.2%+3.1%(2.6%)+5.0%(3.8%)+5.1%(0.9%)+2.3%(3.6%)+6.2%(6.3%)(0.5%)+4.5%
2022(16.4%)+1.0%+2.7%(10.2%)(3%)(7.2%)+11.1%+3.3%(15.1%)+8.1%+1.0%(7.6%)(31.1%)
2023+14.2%(1.3%)(3.6%)+1.2%+0.6%+7.3%+2.7%(5.9%)(3.6%)(6.4%)+9.2%+11.2%+25.6%
2024(2%)+4.6%+4.0%(5.4%)+4.1%(1.8%)+2.5%+2.9%+1.7%+1.3%+12.5%(6.1%)+18.3%

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 328 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2482 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/2/18 9:41 VST VISTRA CORP LONG 38 22.90 5/11 9:31 22.96 0.06%
Trade id #117753741
Max drawdown($11)
Time5/3/18 10:40
Quant open38
Worst price22.60
Drawdown as % of equity-0.06%
 $1
Includes Typical Broker Commissions trade costs of $0.76
4/10/18 9:35 FTD FTD COMPANIES INC. COMMON STO LONG 165 5.00 5/11 9:31 5.17 n/a $25
Includes Typical Broker Commissions trade costs of $3.30
5/7/18 9:41 NGVC NATURAL GROCERS LONG 102 8.91 5/11 9:31 10.52 0.28%
Trade id #117819226
Max drawdown($52)
Time5/7/18 10:41
Quant open102
Worst price8.40
Drawdown as % of equity-0.28%
 $162
Includes Typical Broker Commissions trade costs of $2.04
5/7/18 9:41 THC TENET HEALTHCARE LONG 28 31.44 5/11 9:31 32.59 0.07%
Trade id #117819211
Max drawdown($14)
Time5/8/18 15:30
Quant open28
Worst price30.94
Drawdown as % of equity-0.07%
 $31
Includes Typical Broker Commissions trade costs of $0.56
5/10/18 9:41 ATTU ATTUNITY LONG 90 10.05 5/11 9:31 10.50 0.02%
Trade id #117873140
Max drawdown($4)
Time5/10/18 9:43
Quant open90
Worst price10.00
Drawdown as % of equity-0.02%
 $39
Includes Typical Broker Commissions trade costs of $1.80
5/4/18 15:56 BGFV BIG 5 SPORTING GOODS LONG 211 8.43 5/11 9:31 7.84 0.67%
Trade id #117806840
Max drawdown($127)
Time5/9/18 11:52
Quant open113
Worst price7.30
Drawdown as % of equity-0.67%
 ($127)
Includes Typical Broker Commissions trade costs of $4.22
4/25/18 15:55 TUSK MAMMOTH ENERGY SERVICES INC. LONG 26 32.68 5/11 9:31 34.47 0.6%
Trade id #117664865
Max drawdown($112)
Time5/3/18 9:32
Quant open26
Worst price28.34
Drawdown as % of equity-0.60%
 $46
Includes Typical Broker Commissions trade costs of $0.52
4/23/18 9:35 EC ECOPETROL LONG 40 21.58 5/11 9:31 22.30 0.22%
Trade id #117619276
Max drawdown($40)
Time5/8/18 11:26
Quant open40
Worst price20.56
Drawdown as % of equity-0.22%
 $28
Includes Typical Broker Commissions trade costs of $0.80
5/8/18 9:41 QNST QUINSTREET LONG 71 12.54 5/11 9:31 13.18 0.02%
Trade id #117836693
Max drawdown($4)
Time5/8/18 9:55
Quant open71
Worst price12.48
Drawdown as % of equity-0.02%
 $44
Includes Typical Broker Commissions trade costs of $1.42
4/16/18 9:35 PAY PAYMENTUS HOLDINGS INC LONG 38 22.78 5/11 9:30 22.96 1.48%
Trade id #117524608
Max drawdown($278)
Time4/17/18 15:09
Quant open38
Worst price15.46
Drawdown as % of equity-1.48%
 $6
Includes Typical Broker Commissions trade costs of $0.76
4/23/18 9:35 HBIO HARVARD BIOSCIENCE LONG 145 6.00 5/11 9:30 4.90 1.16%
Trade id #117619274
Max drawdown($217)
Time5/7/18 9:12
Quant open145
Worst price4.50
Drawdown as % of equity-1.16%
 ($163)
Includes Typical Broker Commissions trade costs of $2.90
5/7/18 9:41 CLUB TOWN SPORTS INTL HLDGS LONG 79 11.10 5/11 9:30 11.50 0.13%
Trade id #117819231
Max drawdown($23)
Time5/7/18 14:53
Quant open79
Worst price10.80
Drawdown as % of equity-0.13%
 $30
Includes Typical Broker Commissions trade costs of $1.58
5/2/18 9:41 CORR CORENERGY INFRASTRUCTURE LONG 23 38.15 5/11 9:30 37.35 0.22%
Trade id #117753745
Max drawdown($41)
Time5/9/18 10:17
Quant open23
Worst price36.33
Drawdown as % of equity-0.22%
 ($18)
Includes Typical Broker Commissions trade costs of $0.46
5/8/18 9:41 PCMI PCM INC. COMMON STOCK LONG 73 12.30 5/11 9:30 12.00 0.18%
Trade id #117836695
Max drawdown($36)
Time5/10/18 11:48
Quant open73
Worst price11.80
Drawdown as % of equity-0.18%
 ($23)
Includes Typical Broker Commissions trade costs of $1.46
4/3/18 9:33 GPRK GEOPARK LIMITED LONG 64 12.21 5/11 9:30 14.27 n/a $131
Includes Typical Broker Commissions trade costs of $1.28
5/7/18 9:41 NSIT INSIGHT ENTERPRISES LONG 20 43.78 5/11 9:30 45.80 0.09%
Trade id #117819223
Max drawdown($16)
Time5/7/18 15:54
Quant open20
Worst price42.95
Drawdown as % of equity-0.09%
 $40
Includes Typical Broker Commissions trade costs of $0.40
5/9/18 9:41 UGI UGI CORP LONG 18 48.25 5/11 9:30 49.67 0.02%
Trade id #117855743
Max drawdown($4)
Time5/9/18 12:29
Quant open18
Worst price47.99
Drawdown as % of equity-0.02%
 $26
Includes Typical Broker Commissions trade costs of $0.36
4/16/18 9:35 HEAR TURTLE BEACH CORPORATION COMMO LONG 174 4.75 5/11 9:30 10.03 0.78%
Trade id #117524610
Max drawdown($144)
Time4/17/18 10:41
Quant open174
Worst price3.92
Drawdown as % of equity-0.78%
 $916
Includes Typical Broker Commissions trade costs of $3.48
4/16/18 9:35 TNDM TANDEM DIABETES CARE INC. COM LONG 121 7.22 5/11 9:30 8.90 0.43%
Trade id #117524616
Max drawdown($80)
Time4/26/18 17:15
Quant open121
Worst price6.55
Drawdown as % of equity-0.43%
 $202
Includes Typical Broker Commissions trade costs of $2.42
4/30/18 9:41 NGHC NATIONAL GENERAL HOLDINGS CORP LONG 34 26.08 5/11 9:30 26.08 0.71%
Trade id #117713909
Max drawdown($133)
Time5/7/18 9:06
Quant open34
Worst price22.14
Drawdown as % of equity-0.71%
 ($1)
Includes Typical Broker Commissions trade costs of $0.68
4/9/18 9:35 SVU SUPERVALU LONG 51 16.92 5/10 9:35 16.25 0.87%
Trade id #117424952
Max drawdown($158)
Time4/24/18 16:18
Quant open51
Worst price13.82
Drawdown as % of equity-0.87%
 ($35)
Includes Typical Broker Commissions trade costs of $1.02
4/24/18 9:35 DNR DENBURY RESOURCES LONG 272 3.20 5/9 9:36 3.55 0.18%
Trade id #117635829
Max drawdown($34)
Time5/8/18 9:42
Quant open272
Worst price3.08
Drawdown as % of equity-0.18%
 $90
Includes Typical Broker Commissions trade costs of $5.44
4/9/18 9:35 LUNA LUNA INNOVATIONS LONG 254 3.38 5/8 9:35 3.30 0.61%
Trade id #117424954
Max drawdown($114)
Time5/7/18 8:01
Quant open254
Worst price2.93
Drawdown as % of equity-0.61%
 ($25)
Includes Typical Broker Commissions trade costs of $5.08
4/2/18 9:33 GES GUESS LONG 40 20.50 5/8 9:35 22.60 n/a $83
Includes Typical Broker Commissions trade costs of $0.80
3/28/18 15:56 SRI STONERIDGE LONG 30 27.01 5/7 9:35 27.19 0.64%
Trade id #117287151
Max drawdown($120)
Time4/30/18 18:53
Quant open30
Worst price23.00
Drawdown as % of equity-0.64%
 $4
Includes Typical Broker Commissions trade costs of $0.60
4/3/18 9:33 REGI RENEWABLE ENERGY GROUP LONG 62 12.93 5/7 9:35 13.32 0.14%
Trade id #117344075
Max drawdown($26)
Time5/4/18 9:42
Quant open62
Worst price12.50
Drawdown as % of equity-0.14%
 $24
Includes Typical Broker Commissions trade costs of $1.24
3/28/18 15:57 SGH SMART GLOBAL HOLDINGS INC. LONG 16 49.92 5/7 9:35 41.54 1.09%
Trade id #117287272
Max drawdown($199)
Time4/25/18 10:15
Quant open16
Worst price37.43
Drawdown as % of equity-1.09%
 ($134)
Includes Typical Broker Commissions trade costs of $0.32
3/28/18 15:56 RDNT RADNET LONG 58 13.90 5/7 9:35 13.65 0.33%
Trade id #117287180
Max drawdown($60)
Time4/27/18 10:58
Quant open58
Worst price12.85
Drawdown as % of equity-0.33%
 ($16)
Includes Typical Broker Commissions trade costs of $1.16
4/2/18 9:33 DXPE DXP ENTERPRISES LONG 21 38.98 5/4 15:51 36.70 0.41%
Trade id #117323430
Max drawdown($76)
Time4/26/18 11:53
Quant open21
Worst price35.34
Drawdown as % of equity-0.41%
 ($48)
Includes Typical Broker Commissions trade costs of $0.42
4/2/18 9:33 CNC CENTENE LONG 7 106.59 5/2 9:35 108.45 0.12%
Trade id #117323435
Max drawdown($21)
Time4/6/18 16:12
Quant open7
Worst price103.55
Drawdown as % of equity-0.12%
 $13
Includes Typical Broker Commissions trade costs of $0.14
Next

Statistics

  • Strategy began
    8/18/2017
  • Suggested Minimum Cap
    $17,794
  • Strategy Age (days)
    2690.89
  • Age
    90 months ago
  • What it trades
    Stocks
  • # Trades
    260
  • # Profitable
    116
  • % Profitable
    44.60%
  • Avg trade duration
    18.3 days
  • Max peak-to-valley drawdown
    31.58%
  • drawdown period
    Jan 12, 2018 - April 09, 2018
  • Annual Return (Compounded)
    -0.7%
  • Avg win
    $229.61
  • Avg loss
    $93.79
  • Model Account Values (Raw)
  • Cash
    $10,591
  • Margin Used
    $0
  • Buying Power
    $21,960
  • Ratios
  • W:L ratio
    2.05:1
  • Sharpe Ratio
    0.3
  • Sortino Ratio
    0.44
  • Calmar Ratio
    0.895
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -12.68%
  • Correlation to SP500
    0.70700
  • Return Percent SP500 (cumu) during strategy life
    146.16%
  • Return Statistics
  • Ann Return (w trading costs)
    -0.7%
  • Slump
  • Current Slump as Pcnt Equity
    6.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.007%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    8.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    60.50%
  • Chance of 20% account loss
    8.00%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    529
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $94
  • Avg Win
    $230
  • Sum Trade PL (losers)
    $13,506.000
  • Age
  • Num Months filled monthly returns table
    89
  • Win / Loss
  • Sum Trade PL (winners)
    $26,635.000
  • # Winners
    116
  • Num Months Winners
    54
  • Dividends
  • Dividends Received in Model Acct
    1077
  • Win / Loss
  • # Losers
    144
  • % Winners
    44.6%
  • Frequency
  • Avg Position Time (mins)
    26363.20
  • Avg Position Time (hrs)
    439.39
  • Avg Trade Length
    18.3 days
  • Last Trade Ago
    2314
  • Regression
  • Alpha
    -0.01
  • Beta
    0.98
  • Treynor Index
    0.02
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    37.25
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    35.73
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.53
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    2.615
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.459
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.416
  • Hold-and-Hope Ratio
    0.024
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01495
  • SD
    0.26161
  • Sharpe ratio (Glass type estimate)
    0.05713
  • Sharpe ratio (Hedges UMVUE)
    0.05376
  • df
    13.00000
  • t
    0.06171
  • p
    0.48911
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.75860
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.87075
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.76093
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.86845
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.07420
  • Upside Potential Ratio
    1.67551
  • Upside part of mean
    0.33749
  • Downside part of mean
    -0.32255
  • Upside SD
    0.15165
  • Downside SD
    0.20143
  • N nonnegative terms
    9.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.05918
  • Mean of criterion
    0.01495
  • SD of predictor
    0.13765
  • SD of criterion
    0.26161
  • Covariance
    0.03015
  • r
    0.83720
  • b (slope, estimate of beta)
    1.59113
  • a (intercept, estimate of alpha)
    -0.07922
  • Mean Square Error
    0.02218
  • DF error
    12.00000
  • t(b)
    5.30286
  • p(b)
    0.08140
  • t(a)
    -0.56985
  • p(a)
    0.58116
  • Lowerbound of 95% confidence interval for beta
    0.93737
  • Upperbound of 95% confidence interval for beta
    2.24488
  • Lowerbound of 95% confidence interval for alpha
    -0.38210
  • Upperbound of 95% confidence interval for alpha
    0.22366
  • Treynor index (mean / b)
    0.00939
  • Jensen alpha (a)
    -0.07922
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01825
  • SD
    0.27064
  • Sharpe ratio (Glass type estimate)
    -0.06743
  • Sharpe ratio (Hedges UMVUE)
    -0.06345
  • df
    13.00000
  • t
    -0.07284
  • p
    0.51286
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.88092
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.74859
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.87819
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.75128
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.08432
  • Upside Potential Ratio
    1.50539
  • Upside part of mean
    0.32584
  • Downside part of mean
    -0.34409
  • Upside SD
    0.14557
  • Downside SD
    0.21645
  • N nonnegative terms
    9.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.04992
  • Mean of criterion
    -0.01825
  • SD of predictor
    0.14025
  • SD of criterion
    0.27064
  • Covariance
    0.03200
  • r
    0.84297
  • b (slope, estimate of beta)
    1.62673
  • a (intercept, estimate of alpha)
    -0.09946
  • Mean Square Error
    0.02296
  • DF error
    12.00000
  • t(b)
    5.42814
  • p(b)
    0.07852
  • t(a)
    -0.70492
  • p(a)
    0.59970
  • Lowerbound of 95% confidence interval for beta
    0.97377
  • Upperbound of 95% confidence interval for beta
    2.27968
  • Lowerbound of 95% confidence interval for alpha
    -0.40688
  • Upperbound of 95% confidence interval for alpha
    0.20796
  • Treynor index (mean / b)
    -0.01122
  • Jensen alpha (a)
    -0.09946
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12193
  • Expected Shortfall on VaR
    0.14978
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04910
  • Expected Shortfall on VaR
    0.10410
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.83836
  • Quartile 1
    0.99471
  • Median
    1.01350
  • Quartile 3
    1.05823
  • Maximum
    1.11073
  • Mean of quarter 1
    0.90991
  • Mean of quarter 2
    1.00279
  • Mean of quarter 3
    1.03199
  • Mean of quarter 4
    1.07652
  • Inter Quartile Range
    0.06352
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.14286
  • Mean of outliers low
    0.86098
  • 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)
    -44.88350
  • VaR(95%) (moments method)
    0.02287
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.34654
  • VaR(95%) (regression method)
    0.18160
  • Expected Shortfall (regression method)
    0.19344
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.24518
  • Quartile 1
    0.24518
  • Median
    0.24518
  • Quartile 3
    0.24518
  • Maximum
    0.24518
  • 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)
    0.00971
  • Compounded annual return (geometric extrapolation)
    0.00970
  • Calmar ratio (compounded annual return / max draw down)
    0.03958
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.06478
  • 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
    0.00238
  • SD
    0.17525
  • Sharpe ratio (Glass type estimate)
    0.01360
  • Sharpe ratio (Hedges UMVUE)
    0.01356
  • df
    311.00000
  • t
    0.01484
  • p
    0.49409
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.78247
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.80966
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.78250
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.80962
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.01827
  • Upside Potential Ratio
    7.14727
  • Upside part of mean
    0.93223
  • Downside part of mean
    -0.92985
  • Upside SD
    0.11663
  • Downside SD
    0.13043
  • N nonnegative terms
    158.00000
  • N negative terms
    154.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    312.00000
  • Mean of predictor
    0.07440
  • Mean of criterion
    0.00238
  • SD of predictor
    0.13118
  • SD of criterion
    0.17525
  • Covariance
    0.00850
  • r
    0.36966
  • b (slope, estimate of beta)
    0.49387
  • a (intercept, estimate of alpha)
    -0.10000
  • Mean Square Error
    0.02660
  • DF error
    310.00000
  • t(b)
    7.00472
  • p(b)
    0.00000
  • t(a)
    -0.22975
  • p(a)
    0.59078
  • Lowerbound of 95% confidence interval for beta
    0.35514
  • Upperbound of 95% confidence interval for beta
    0.63260
  • Lowerbound of 95% confidence interval for alpha
    -0.32863
  • Upperbound of 95% confidence interval for alpha
    0.25991
  • Treynor index (mean / b)
    0.00482
  • Jensen alpha (a)
    -0.03436
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01299
  • SD
    0.17580
  • Sharpe ratio (Glass type estimate)
    -0.07387
  • Sharpe ratio (Hedges UMVUE)
    -0.07369
  • df
    311.00000
  • t
    -0.08061
  • p
    0.53210
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.86989
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.72225
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.86976
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.72238
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.09807
  • Upside Potential Ratio
    6.98891
  • Upside part of mean
    0.92544
  • Downside part of mean
    -0.93843
  • Upside SD
    0.11521
  • Downside SD
    0.13242
  • N nonnegative terms
    158.00000
  • N negative terms
    154.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    312.00000
  • Mean of predictor
    0.06575
  • Mean of criterion
    -0.01299
  • SD of predictor
    0.13180
  • SD of criterion
    0.17580
  • Covariance
    0.00862
  • r
    0.37203
  • b (slope, estimate of beta)
    0.49623
  • a (intercept, estimate of alpha)
    -0.04561
  • Mean Square Error
    0.02671
  • DF error
    310.00000
  • t(b)
    7.05685
  • p(b)
    0.00000
  • t(a)
    -0.30441
  • p(a)
    0.61949
  • Lowerbound of 95% confidence interval for beta
    0.35787
  • Upperbound of 95% confidence interval for beta
    0.63459
  • Lowerbound of 95% confidence interval for alpha
    -0.34046
  • Upperbound of 95% confidence interval for alpha
    0.24923
  • Treynor index (mean / b)
    -0.02617
  • Jensen alpha (a)
    -0.04561
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01775
  • Expected Shortfall on VaR
    0.02219
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00803
  • Expected Shortfall on VaR
    0.01650
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    312.00000
  • Minimum
    0.94756
  • Quartile 1
    0.99585
  • Median
    1.00020
  • Quartile 3
    1.00486
  • Maximum
    1.05566
  • Mean of quarter 1
    0.98737
  • Mean of quarter 2
    0.99865
  • Mean of quarter 3
    1.00268
  • Mean of quarter 4
    1.01176
  • Inter Quartile Range
    0.00901
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.04167
  • Mean of outliers low
    0.96992
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.03526
  • Mean of outliers high
    1.02698
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23604
  • VaR(95%) (moments method)
    0.01164
  • Expected Shortfall (moments method)
    0.01893
  • Extreme Value Index (regression method)
    0.30804
  • VaR(95%) (regression method)
    0.01112
  • Expected Shortfall (regression method)
    0.01898
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00101
  • Quartile 1
    0.00243
  • Median
    0.01069
  • Quartile 3
    0.03594
  • Maximum
    0.28000
  • Mean of quarter 1
    0.00179
  • Mean of quarter 2
    0.00478
  • Mean of quarter 3
    0.02097
  • Mean of quarter 4
    0.13400
  • Inter Quartile Range
    0.03351
  • 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
    0.08333
  • Mean of outliers high
    0.28000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.12580
  • VaR(95%) (moments method)
    0.11066
  • Expected Shortfall (moments method)
    0.15650
  • Extreme Value Index (regression method)
    1.53226
  • VaR(95%) (regression method)
    0.27369
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.01505
  • Compounded annual return (geometric extrapolation)
    0.01503
  • Calmar ratio (compounded annual return / max draw down)
    0.05369
  • Compounded annual return / average of 25% largest draw downs
    0.11219
  • Compounded annual return / Expected Shortfall lognormal
    0.67734
  • 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
    -0.09081
  • SD
    0.11536
  • Sharpe ratio (Glass type estimate)
    -0.78717
  • Sharpe ratio (Hedges UMVUE)
    -0.78262
  • df
    130.00000
  • t
    -0.55661
  • p
    0.52438
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.55918
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.98774
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.55606
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.99082
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.05593
  • Upside Potential Ratio
    6.86256
  • Upside part of mean
    0.59015
  • Downside part of mean
    -0.68096
  • Upside SD
    0.07643
  • Downside SD
    0.08600
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03645
  • Mean of criterion
    -0.09081
  • SD of predictor
    0.12222
  • SD of criterion
    0.11536
  • Covariance
    0.00833
  • r
    0.59092
  • b (slope, estimate of beta)
    0.55774
  • a (intercept, estimate of alpha)
    -0.11114
  • Mean Square Error
    0.00873
  • DF error
    129.00000
  • t(b)
    8.31946
  • p(b)
    0.14702
  • t(a)
    -0.84105
  • p(a)
    0.54697
  • Lowerbound of 95% confidence interval for beta
    0.42510
  • Upperbound of 95% confidence interval for beta
    0.69038
  • Lowerbound of 95% confidence interval for alpha
    -0.37258
  • Upperbound of 95% confidence interval for alpha
    0.15031
  • Treynor index (mean / b)
    -0.16281
  • Jensen alpha (a)
    -0.11114
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.09742
  • SD
    0.11536
  • Sharpe ratio (Glass type estimate)
    -0.84444
  • Sharpe ratio (Hedges UMVUE)
    -0.83956
  • df
    130.00000
  • t
    -0.59711
  • p
    0.52615
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.61658
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.93083
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.61325
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.93412
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.12497
  • Upside Potential Ratio
    6.78111
  • Upside part of mean
    0.58720
  • Downside part of mean
    -0.68462
  • Upside SD
    0.07579
  • Downside SD
    0.08659
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.02900
  • Mean of criterion
    -0.09742
  • SD of predictor
    0.12268
  • SD of criterion
    0.11536
  • Covariance
    0.00839
  • r
    0.59313
  • b (slope, estimate of beta)
    0.55773
  • a (intercept, estimate of alpha)
    -0.11359
  • Mean Square Error
    0.00869
  • DF error
    129.00000
  • t(b)
    8.36740
  • p(b)
    0.14589
  • t(a)
    -0.86136
  • p(a)
    0.54810
  • VAR (95 Confidence Intrvl)
    0.04000
  • Lowerbound of 95% confidence interval for beta
    0.42585
  • Upperbound of 95% confidence interval for beta
    0.68961
  • Lowerbound of 95% confidence interval for alpha
    -0.37450
  • Upperbound of 95% confidence interval for alpha
    0.14732
  • Treynor index (mean / b)
    -0.17466
  • Jensen alpha (a)
    -0.11359
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01202
  • Expected Shortfall on VaR
    0.01496
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00624
  • Expected Shortfall on VaR
    0.01210
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97639
  • Quartile 1
    0.99694
  • Median
    1.00000
  • Quartile 3
    1.00354
  • Maximum
    1.02935
  • Mean of quarter 1
    0.99070
  • Mean of quarter 2
    0.99921
  • Mean of quarter 3
    1.00162
  • Mean of quarter 4
    1.00757
  • Inter Quartile Range
    0.00660
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.98339
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.02020
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.67582
  • VaR(95%) (moments method)
    0.00839
  • Expected Shortfall (moments method)
    0.00946
  • Extreme Value Index (regression method)
    -0.19082
  • VaR(95%) (regression method)
    0.00838
  • Expected Shortfall (regression method)
    0.01065
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00226
  • Quartile 1
    0.00337
  • Median
    0.02115
  • Quartile 3
    0.03905
  • Maximum
    0.14895
  • Mean of quarter 1
    0.00255
  • Mean of quarter 2
    0.00495
  • Mean of quarter 3
    0.03734
  • Mean of quarter 4
    0.09428
  • Inter Quartile Range
    0.03568
  • 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
    0.16667
  • Mean of outliers high
    0.14895
  • 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
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -32
  • Max Equity Drawdown (num days)
    87
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.06831
  • Compounded annual return (geometric extrapolation)
    -0.06715
  • Calmar ratio (compounded annual return / max draw down)
    -0.45080
  • Compounded annual return / average of 25% largest draw downs
    -0.71219
  • Compounded annual return / Expected Shortfall lognormal
    -4.48960

Strategy Description

Don't sub because this isn't active. Look at Not Your Father's VIX instead.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2017-08-18
Suggested Minimum Capital
$15,000
# Trades
260
# Profitable
116
% Profitable
44.6%
Net Dividends
$1,076
Correlation S&P500
0.707
Sharpe Ratio
0.30
Sortino Ratio
0.44
Beta
0.98
Alpha
-0.01

Latest Activity

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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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