Collective2 Collective2
Featured Strategy MT3 Algotrading +82.7% Annual Return (Compounded) since Mar 31, 2023 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Inactive SF
(114849115)

Created by: JohnSnow2019 JohnSnow2019
Started: 11/2017
Stocks
Last trade: 2,262 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."
-7.5%
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.

(19.4%)
Max Drawdown
222
Num Trades
43.2%
Win Trades
2.8 : 1
Profit Factor
52.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                                      +5.5%+0.2%+5.8%
2018  -  (1.3%)(7.9%)+8.9%(1.5%)(2.8%)+0.9%+7.3%(2.7%)(13.5%)+0.9%(13%)(24.1%)
2019+11.3%+10.0%(2.7%)+3.9%(0.5%)(2%)+1.9%(3.3%)(1%)+2.6%+6.7%+3.0%+32.8%
2020(1.3%)(3%)(12.1%)(0.4%)+10.5%+0.9%+5.5%+7.6%(1.1%)(0.3%)+19.5%+11.5%+39.5%
2021+2.4%+3.2%(1.5%)+2.8%(5%)+4.9%(3.4%)(1%)(1%)+2.2%(1.8%)(1.2%)+0.1%
2022(17.4%)+2.9%+3.6%(13.7%)(8%)+0.5%+6.4%+10.1%(13%)+1.1%+6.5%(5.4%)(27%)
2023+10.2%(0.8%)(4.9%)+0.8%+0.9%+7.7%+3.4%(6.7%)(4.4%)(7.9%)+8.8%+14.6%+20.5%
2024(3.4%)+8.6%+1.3%(7.7%)+5.7%(1.3%)+7.6%+0.3%+1.2%(0.2%)+8.6%      +21.1%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 298 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2393 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/14/18 12:58 VBK VANGUARD SMALL CAP GROWTH ETF LONG 146 180.73 8/30 11:05 189.44 2.81%
Trade id #118439529
Max drawdown($724)
Time7/31/18 10:22
Quant open146
Worst price175.76
Drawdown as % of equity-2.81%
 $1,269
Includes Typical Broker Commissions trade costs of $2.92
3/28/18 15:56 VRTV VERITIV CORP LONG 45 37.15 5/11 9:31 29.80 1.6%
Trade id #117287177
Max drawdown($427)
Time5/8/18 10:25
Quant open45
Worst price27.65
Drawdown as % of equity-1.60%
 ($332)
Includes Typical Broker Commissions trade costs of $0.90
4/20/18 15:55 ACET ADICET BIO INC LONG 646 2.52 5/11 9:31 2.82 0.76%
Trade id #117604490
Max drawdown($193)
Time4/23/18 14:58
Quant open646
Worst price2.22
Drawdown as % of equity-0.76%
 $189
Includes Typical Broker Commissions trade costs of $5.00
5/4/18 15:57 AVP AVON PRODUCTS LONG 764 2.24 5/11 9:31 1.97 0.95%
Trade id #117806973
Max drawdown($252)
Time5/9/18 13:24
Quant open764
Worst price1.91
Drawdown as % of equity-0.95%
 ($211)
Includes Typical Broker Commissions trade costs of $5.00
5/4/18 15:57 INT WORLD FUEL SERVICES LONG 76 22.31 5/11 9:31 22.79 0.01%
Trade id #117806970
Max drawdown($1)
Time5/4/18 15:59
Quant open76
Worst price22.29
Drawdown as % of equity-0.01%
 $34
Includes Typical Broker Commissions trade costs of $1.52
3/28/18 15:57 PBF PBF ENERGY LONG 44 33.53 5/11 9:31 41.60 0.11%
Trade id #117287259
Max drawdown($26)
Time4/2/18 14:06
Quant open35
Worst price32.47
Drawdown as % of equity-0.11%
 $354
Includes Typical Broker Commissions trade costs of $0.88
3/28/18 15:57 PCMI PCM INC. COMMON STOCK LONG 181 8.48 5/11 9:31 12.00 0.52%
Trade id #117287274
Max drawdown($126)
Time4/3/18 13:48
Quant open140
Worst price7.55
Drawdown as % of equity-0.52%
 $632
Includes Typical Broker Commissions trade costs of $3.62
3/28/18 15:57 REGI RENEWABLE ENERGY GROUP LONG 115 12.79 5/11 9:30 13.65 0.13%
Trade id #117287247
Max drawdown($33)
Time5/4/18 9:42
Quant open115
Worst price12.50
Drawdown as % of equity-0.13%
 $97
Includes Typical Broker Commissions trade costs of $2.30
4/20/18 15:55 SPTN SPARTANNASH COMPANY COMMON STO LONG 90 18.02 5/11 9:30 17.46 0.38%
Trade id #117604492
Max drawdown($99)
Time5/4/18 9:34
Quant open90
Worst price16.91
Drawdown as % of equity-0.38%
 ($52)
Includes Typical Broker Commissions trade costs of $1.80
3/28/18 15:57 SVU SUPERVALU LONG 101 15.46 5/11 9:30 16.08 0.64%
Trade id #117287288
Max drawdown($165)
Time4/24/18 16:18
Quant open101
Worst price13.82
Drawdown as % of equity-0.64%
 $61
Includes Typical Broker Commissions trade costs of $2.02
4/9/18 15:27 CORE CORE MARK HOLDING CO INC LONG 73 21.37 5/11 9:30 18.38 1.18%
Trade id #117435869
Max drawdown($311)
Time5/9/18 9:31
Quant open73
Worst price17.10
Drawdown as % of equity-1.18%
 ($219)
Includes Typical Broker Commissions trade costs of $1.46
3/28/18 15:57 ANW AEGEAN MARINE PETROLEUM LONG 655 2.43 5/11 9:30 3.00 0.71%
Trade id #117287293
Max drawdown($171)
Time4/3/18 15:18
Quant open489
Worst price2.10
Drawdown as % of equity-0.71%
 $364
Includes Typical Broker Commissions trade costs of $9.05
5/7/18 12:03 TCS THE CONTAINER STORE GROUP INC LONG 265 6.51 5/11 9:30 6.37 0.26%
Trade id #117823413
Max drawdown($68)
Time5/9/18 18:41
Quant open265
Worst price6.25
Drawdown as % of equity-0.26%
 ($42)
Includes Typical Broker Commissions trade costs of $5.30
5/4/18 15:57 AGRO ADECOAGRO SA LONG 233 7.29 5/11 9:30 7.40 0.01%
Trade id #117806979
Max drawdown($2)
Time5/4/18 15:59
Quant open233
Worst price7.28
Drawdown as % of equity-0.01%
 $21
Includes Typical Broker Commissions trade costs of $4.66
5/4/18 15:57 NRG NRG ENERGY LONG 51 33.31 5/11 9:30 34.73 0%
Trade id #117806962
Max drawdown($1)
Time5/4/18 15:59
Quant open51
Worst price33.29
Drawdown as % of equity-0.00%
 $71
Includes Typical Broker Commissions trade costs of $1.02
4/9/18 15:27 BMCH BMC STOCK HOLDINGS INC LONG 79 19.85 5/11 9:30 20.00 0.81%
Trade id #117435871
Max drawdown($216)
Time4/30/18 13:32
Quant open79
Worst price17.10
Drawdown as % of equity-0.81%
 $10
Includes Typical Broker Commissions trade costs of $1.58
5/7/18 9:41 GLP GLOBAL PARTNERS LONG 102 16.65 5/7 11:57 16.50 0.06%
Trade id #117819213
Max drawdown($15)
Time5/7/18 10:22
Quant open102
Worst price16.50
Drawdown as % of equity-0.06%
 ($17)
Includes Typical Broker Commissions trade costs of $2.04
4/9/18 15:27 TCS THE CONTAINER STORE GROUP INC LONG 279 5.59 5/7 9:35 6.29 0.01%
Trade id #117435859
Max drawdown($2)
Time4/9/18 15:36
Quant open279
Worst price5.58
Drawdown as % of equity-0.01%
 $189
Includes Typical Broker Commissions trade costs of $5.58
3/28/18 15:57 AMRK A-MARK PRECIOUS METALS INC. C LONG 129 12.08 5/4 15:51 13.22 0.04%
Trade id #117287255
Max drawdown($10)
Time4/5/18 10:21
Quant open98
Worst price11.99
Drawdown as % of equity-0.04%
 $144
Includes Typical Broker Commissions trade costs of $2.58
3/28/18 15:57 ODP OFFICE DEPOT INC. COMMON STOC LONG 771 2.11 5/4 15:51 2.32 0.34%
Trade id #117287251
Max drawdown($83)
Time4/9/18 15:39
Quant open771
Worst price2.00
Drawdown as % of equity-0.34%
 $156
Includes Typical Broker Commissions trade costs of $7.13
3/28/18 15:57 GLP GLOBAL PARTNERS LONG 101 15.39 5/4 15:51 16.40 0.06%
Trade id #117287295
Max drawdown($14)
Time4/2/18 11:24
Quant open77
Worst price15.16
Drawdown as % of equity-0.06%
 $100
Includes Typical Broker Commissions trade costs of $2.02
3/28/18 15:57 ANDE ANDERSONS LONG 47 32.79 5/4 15:51 33.15 0.19%
Trade id #117287264
Max drawdown($51)
Time5/3/18 11:30
Quant open47
Worst price31.70
Drawdown as % of equity-0.19%
 $16
Includes Typical Broker Commissions trade costs of $0.94
3/28/18 15:57 CPSS CONSUMER PORTFOLIO LONG 406 3.77 4/20 15:53 3.61 0.43%
Trade id #117287266
Max drawdown($113)
Time4/19/18 9:31
Quant open406
Worst price3.49
Drawdown as % of equity-0.43%
 ($72)
Includes Typical Broker Commissions trade costs of $8.12
3/28/18 15:56 RYI RYERSON HOLDING CORPORATION LONG 181 8.10 4/20 15:53 10.05 0.05%
Trade id #117287222
Max drawdown($12)
Time4/3/18 10:49
Quant open149
Worst price7.90
Drawdown as % of equity-0.05%
 $349
Includes Typical Broker Commissions trade costs of $3.62
3/28/18 15:57 BLDR BUILDERS FIRSTSOURCE LONG 60 19.66 4/9 15:25 19.21 0.29%
Trade id #117287270
Max drawdown($70)
Time4/2/18 14:44
Quant open60
Worst price18.48
Drawdown as % of equity-0.29%
 ($28)
Includes Typical Broker Commissions trade costs of $1.20
3/28/18 15:57 HRTG HERITAGE INSURANCE HOLDINGS IN LONG 77 15.31 4/9 15:25 15.95 0.11%
Trade id #117287299
Max drawdown($27)
Time4/2/18 14:03
Quant open77
Worst price14.95
Drawdown as % of equity-0.11%
 $47
Includes Typical Broker Commissions trade costs of $1.54
3/28/18 15:57 HZO MARINEMAX LONG 62 19.05 4/9 15:25 18.21 0.32%
Trade id #117287257
Max drawdown($77)
Time4/4/18 9:47
Quant open62
Worst price17.80
Drawdown as % of equity-0.32%
 ($53)
Includes Typical Broker Commissions trade costs of $1.24
3/2/18 10:45 VRTV VERITIV CORP LONG 38 31.50 3/27 15:36 39.13 0.04%
Trade id #116829083
Max drawdown($11)
Time3/2/18 10:49
Quant open38
Worst price31.20
Drawdown as % of equity-0.04%
 $289
Includes Typical Broker Commissions trade costs of $0.76
3/2/18 10:44 SVU SUPERVALU LONG 80 15.00 3/27 15:35 14.91 0.17%
Trade id #116829047
Max drawdown($42)
Time3/26/18 9:40
Quant open57
Worst price14.25
Drawdown as % of equity-0.17%
 ($9)
Includes Typical Broker Commissions trade costs of $1.60
3/15/18 10:47 RYI RYERSON HOLDING CORPORATION LONG 133 8.95 3/27 15:35 8.21 0.41%
Trade id #117062471
Max drawdown($103)
Time3/26/18 9:46
Quant open94
Worst price7.85
Drawdown as % of equity-0.41%
 ($101)
Includes Typical Broker Commissions trade costs of $2.66
Next

Statistics

  • Strategy began
    11/14/2017
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    2550.16
  • Age
    85 months ago
  • What it trades
    Stocks
  • # Trades
    222
  • # Profitable
    96
  • % Profitable
    43.20%
  • Avg trade duration
    21.3 days
  • Max peak-to-valley drawdown
    19.42%
  • drawdown period
    Feb 08, 2018 - Oct 29, 2018
  • Cumul. Return
    -7.3%
  • Avg win
    $236.42
  • Avg loss
    $68.02
  • Model Account Values (Raw)
  • Cash
    $14,665
  • Margin Used
    $0
  • Buying Power
    $26,163
  • Ratios
  • W:L ratio
    2.81:1
  • Sharpe Ratio
    0.27
  • Sortino Ratio
    0.39
  • Calmar Ratio
    0.76
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -12.41%
  • Correlation to SP500
    0.68340
  • Return Percent SP500 (cumu) during strategy life
    131.62%
  • Return Statistics
  • Ann Return (w trading costs)
    -7.5%
  • Slump
  • Current Slump as Pcnt Equity
    7.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.53%
  • 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)
    -0.073%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    7.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    59.50%
  • Chance of 20% account loss
    4.00%
  • Chance of 30% account loss
    n/a
  • 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
    $68
  • Avg Win
    $236
  • Sum Trade PL (losers)
    $8,571.000
  • Age
  • Num Months filled monthly returns table
    85
  • Win / Loss
  • Sum Trade PL (winners)
    $22,696.000
  • # Winners
    96
  • Num Months Winners
    45
  • Dividends
  • Dividends Received in Model Acct
    1385
  • Win / Loss
  • # Losers
    126
  • % Winners
    43.2%
  • Frequency
  • Avg Position Time (mins)
    30743.20
  • Avg Position Time (hrs)
    512.39
  • Avg Trade Length
    21.3 days
  • Last Trade Ago
    2261
  • 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
    48.56
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    22.21
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.04
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    2.150
  • 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
    0.761
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.293
  • Hold-and-Hope Ratio
    0.129
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02254
  • SD
    0.14867
  • Sharpe ratio (Glass type estimate)
    -0.15160
  • Sharpe ratio (Hedges UMVUE)
    -0.13989
  • df
    10.00000
  • t
    -0.14515
  • p
    0.55626
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.19610
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.90028
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.18792
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.90814
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.18821
  • Upside Potential Ratio
    1.45249
  • Upside part of mean
    0.17394
  • Downside part of mean
    -0.19647
  • Upside SD
    0.07612
  • Downside SD
    0.11975
  • N nonnegative terms
    6.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.05395
  • Mean of criterion
    -0.02254
  • SD of predictor
    0.09529
  • SD of criterion
    0.14867
  • Covariance
    0.01133
  • r
    0.79968
  • b (slope, estimate of beta)
    1.24763
  • a (intercept, estimate of alpha)
    -0.08984
  • Mean Square Error
    0.00885
  • DF error
    9.00000
  • t(b)
    3.99551
  • p(b)
    0.00157
  • t(a)
    -0.90106
  • p(a)
    0.80448
  • Lowerbound of 95% confidence interval for beta
    0.54125
  • Upperbound of 95% confidence interval for beta
    1.95400
  • Lowerbound of 95% confidence interval for alpha
    -0.31540
  • Upperbound of 95% confidence interval for alpha
    0.13572
  • Treynor index (mean / b)
    -0.01806
  • Jensen alpha (a)
    -0.08984
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03287
  • SD
    0.15217
  • Sharpe ratio (Glass type estimate)
    -0.21598
  • Sharpe ratio (Hedges UMVUE)
    -0.19930
  • df
    10.00000
  • t
    -0.20679
  • p
    0.57984
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.25998
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.83855
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.24827
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.84968
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.26331
  • Upside Potential Ratio
    1.36771
  • Upside part of mean
    0.17072
  • Downside part of mean
    -0.20358
  • Upside SD
    0.07457
  • Downside SD
    0.12482
  • N nonnegative terms
    6.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.04961
  • Mean of criterion
    -0.03287
  • SD of predictor
    0.09503
  • SD of criterion
    0.15217
  • Covariance
    0.01161
  • r
    0.80255
  • b (slope, estimate of beta)
    1.28506
  • a (intercept, estimate of alpha)
    -0.09661
  • Mean Square Error
    0.00916
  • DF error
    9.00000
  • t(b)
    4.03578
  • p(b)
    0.00147
  • t(a)
    -0.95482
  • p(a)
    0.81770
  • Lowerbound of 95% confidence interval for beta
    0.56475
  • Upperbound of 95% confidence interval for beta
    2.00536
  • Lowerbound of 95% confidence interval for alpha
    -0.32551
  • Upperbound of 95% confidence interval for alpha
    0.13228
  • Treynor index (mean / b)
    -0.02558
  • Jensen alpha (a)
    -0.09661
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07225
  • Expected Shortfall on VaR
    0.08900
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03537
  • Expected Shortfall on VaR
    0.07125
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.90633
  • Quartile 1
    0.99165
  • Median
    1.01138
  • Quartile 3
    1.03018
  • Maximum
    1.04824
  • Mean of quarter 1
    0.94480
  • Mean of quarter 2
    1.00284
  • Mean of quarter 3
    1.01896
  • Mean of quarter 4
    1.04137
  • Inter Quartile Range
    0.03853
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.09091
  • Mean of outliers low
    0.90633
  • 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)
    -21.71700
  • VaR(95%) (moments method)
    0.03833
  • Expected Shortfall (moments method)
    0.03833
  • Extreme Value Index (regression method)
    -1.29799
  • VaR(95%) (regression method)
    0.11439
  • Expected Shortfall (regression method)
    0.12240
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.07113
  • Quartile 1
    0.07677
  • Median
    0.08240
  • Quartile 3
    0.08803
  • Maximum
    0.09367
  • Mean of quarter 1
    0.07113
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09367
  • Inter Quartile Range
    0.01127
  • 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)
    -0.00495
  • Compounded annual return (geometric extrapolation)
    -0.00495
  • Calmar ratio (compounded annual return / max draw down)
    -0.05281
  • Compounded annual return / average of 25% largest draw downs
    -0.05281
  • Compounded annual return / Expected Shortfall lognormal
    -0.05558
  • 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
    -0.07154
  • SD
    0.13824
  • Sharpe ratio (Glass type estimate)
    -0.51749
  • Sharpe ratio (Hedges UMVUE)
    -0.51593
  • df
    249.00000
  • t
    -0.50550
  • p
    0.69317
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.52395
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.48998
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.52289
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.49103
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.68824
  • Upside Potential Ratio
    6.97121
  • Upside part of mean
    0.72462
  • Downside part of mean
    -0.79616
  • Upside SD
    0.09083
  • Downside SD
    0.10394
  • N nonnegative terms
    120.00000
  • N negative terms
    130.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    250.00000
  • Mean of predictor
    0.03518
  • Mean of criterion
    -0.07154
  • SD of predictor
    0.14423
  • SD of criterion
    0.13824
  • Covariance
    0.00645
  • r
    0.32359
  • b (slope, estimate of beta)
    0.31015
  • a (intercept, estimate of alpha)
    -0.21300
  • Mean Square Error
    0.01718
  • DF error
    248.00000
  • t(b)
    5.38561
  • p(b)
    0.00000
  • t(a)
    -0.61441
  • p(a)
    0.73025
  • Lowerbound of 95% confidence interval for beta
    0.19672
  • Upperbound of 95% confidence interval for beta
    0.42357
  • Lowerbound of 95% confidence interval for alpha
    -0.34675
  • Upperbound of 95% confidence interval for alpha
    0.18185
  • Treynor index (mean / b)
    -0.23066
  • Jensen alpha (a)
    -0.08245
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.08108
  • SD
    0.13847
  • Sharpe ratio (Glass type estimate)
    -0.58556
  • Sharpe ratio (Hedges UMVUE)
    -0.58379
  • df
    249.00000
  • t
    -0.57199
  • p
    0.71608
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.59210
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.42212
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.59090
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.42331
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.77249
  • Upside Potential Ratio
    6.86427
  • Upside part of mean
    0.72047
  • Downside part of mean
    -0.80155
  • Upside SD
    0.09003
  • Downside SD
    0.10496
  • N nonnegative terms
    120.00000
  • N negative terms
    130.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    250.00000
  • Mean of predictor
    0.02474
  • Mean of criterion
    -0.08108
  • SD of predictor
    0.14494
  • SD of criterion
    0.13847
  • Covariance
    0.00650
  • r
    0.32408
  • b (slope, estimate of beta)
    0.30960
  • a (intercept, estimate of alpha)
    -0.08874
  • Mean Square Error
    0.01723
  • DF error
    248.00000
  • t(b)
    5.39475
  • p(b)
    0.00000
  • t(a)
    -0.66038
  • p(a)
    0.74519
  • Lowerbound of 95% confidence interval for beta
    0.19657
  • Upperbound of 95% confidence interval for beta
    0.42264
  • Lowerbound of 95% confidence interval for alpha
    -0.35341
  • Upperbound of 95% confidence interval for alpha
    0.17593
  • Treynor index (mean / b)
    -0.26188
  • Jensen alpha (a)
    -0.08874
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01428
  • Expected Shortfall on VaR
    0.01779
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00716
  • Expected Shortfall on VaR
    0.01415
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    250.00000
  • Minimum
    0.96235
  • Quartile 1
    0.99647
  • Median
    1.00000
  • Quartile 3
    1.00367
  • Maximum
    1.03595
  • Mean of quarter 1
    0.98942
  • Mean of quarter 2
    0.99871
  • Mean of quarter 3
    1.00189
  • Mean of quarter 4
    1.00932
  • Inter Quartile Range
    0.00721
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.06000
  • Mean of outliers low
    0.97927
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.04000
  • Mean of outliers high
    1.02099
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.13031
  • VaR(95%) (moments method)
    0.00940
  • Expected Shortfall (moments method)
    0.01407
  • Extreme Value Index (regression method)
    -0.19353
  • VaR(95%) (regression method)
    0.01101
  • Expected Shortfall (regression method)
    0.01432
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00033
  • Quartile 1
    0.00536
  • Median
    0.00839
  • Quartile 3
    0.03372
  • Maximum
    0.17013
  • Mean of quarter 1
    0.00184
  • Mean of quarter 2
    0.00751
  • Mean of quarter 3
    0.02641
  • Mean of quarter 4
    0.11194
  • Inter Quartile Range
    0.02836
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    0.14726
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.06878
  • VaR(95%) (moments method)
    0.09040
  • Expected Shortfall (moments method)
    0.13233
  • Extreme Value Index (regression method)
    0.36683
  • VaR(95%) (regression method)
    0.13552
  • Expected Shortfall (regression method)
    0.26037
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.05185
  • Compounded annual return (geometric extrapolation)
    -0.05178
  • Calmar ratio (compounded annual return / max draw down)
    -0.30438
  • Compounded annual return / average of 25% largest draw downs
    -0.46260
  • Compounded annual return / Expected Shortfall lognormal
    -2.91090
  • 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
    -0.26458
  • SD
    0.12105
  • Sharpe ratio (Glass type estimate)
    -2.18569
  • Sharpe ratio (Hedges UMVUE)
    -2.17306
  • df
    130.00000
  • t
    -1.54552
  • p
    0.56716
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.96608
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.60294
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.95742
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.61131
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.60356
  • Upside Potential Ratio
    5.06770
  • Upside part of mean
    0.51498
  • Downside part of mean
    -0.77956
  • Upside SD
    0.06694
  • Downside SD
    0.10162
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03645
  • Mean of criterion
    -0.26458
  • SD of predictor
    0.12222
  • SD of criterion
    0.12105
  • Covariance
    0.00770
  • r
    0.52077
  • b (slope, estimate of beta)
    0.51578
  • a (intercept, estimate of alpha)
    -0.28338
  • Mean Square Error
    0.01076
  • DF error
    129.00000
  • t(b)
    6.92846
  • p(b)
    0.18413
  • t(a)
    -1.93123
  • p(a)
    0.60621
  • Lowerbound of 95% confidence interval for beta
    0.36849
  • Upperbound of 95% confidence interval for beta
    0.66307
  • Lowerbound of 95% confidence interval for alpha
    -0.57369
  • Upperbound of 95% confidence interval for alpha
    0.00694
  • Treynor index (mean / b)
    -0.51296
  • Jensen alpha (a)
    -0.28338
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.27199
  • SD
    0.12147
  • Sharpe ratio (Glass type estimate)
    -2.23909
  • Sharpe ratio (Hedges UMVUE)
    -2.22615
  • df
    130.00000
  • t
    -1.58328
  • p
    0.56877
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.01999
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.55017
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.01113
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.55883
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.65355
  • Upside Potential Ratio
    5.00202
  • Upside part of mean
    0.51271
  • Downside part of mean
    -0.78470
  • Upside SD
    0.06648
  • Downside SD
    0.10250
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.02900
  • Mean of criterion
    -0.27199
  • SD of predictor
    0.12268
  • SD of criterion
    0.12147
  • Covariance
    0.00778
  • r
    0.52204
  • b (slope, estimate of beta)
    0.51689
  • a (intercept, estimate of alpha)
    -0.28698
  • Mean Square Error
    0.01082
  • DF error
    129.00000
  • t(b)
    6.95165
  • p(b)
    0.18344
  • t(a)
    -1.95084
  • p(a)
    0.60725
  • VAR (95 Confidence Intrvl)
    0.04800
  • Lowerbound of 95% confidence interval for beta
    0.36978
  • Upperbound of 95% confidence interval for beta
    0.66400
  • Lowerbound of 95% confidence interval for alpha
    -0.57803
  • Upperbound of 95% confidence interval for alpha
    0.00407
  • Treynor index (mean / b)
    -0.52621
  • Jensen alpha (a)
    -0.28698
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01329
  • Expected Shortfall on VaR
    0.01638
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00738
  • Expected Shortfall on VaR
    0.01442
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97570
  • Quartile 1
    0.99650
  • Median
    1.00000
  • Quartile 3
    1.00281
  • Maximum
    1.02381
  • Mean of quarter 1
    0.98946
  • Mean of quarter 2
    0.99896
  • Mean of quarter 3
    1.00121
  • Mean of quarter 4
    1.00682
  • Inter Quartile Range
    0.00631
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.98174
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.02223
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19959
  • VaR(95%) (moments method)
    0.00972
  • Expected Shortfall (moments method)
    0.01541
  • Extreme Value Index (regression method)
    -0.48183
  • VaR(95%) (regression method)
    0.01116
  • Expected Shortfall (regression method)
    0.01328
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00367
  • Quartile 1
    0.02883
  • Median
    0.05400
  • Quartile 3
    0.11207
  • Maximum
    0.17013
  • Mean of quarter 1
    0.00367
  • Mean of quarter 2
    0.05400
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.17013
  • Inter Quartile Range
    0.08323
  • 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
  • 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?
    -19
  • Max Equity Drawdown (num days)
    263
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.22978
  • Compounded annual return (geometric extrapolation)
    -0.21658
  • Calmar ratio (compounded annual return / max draw down)
    -1.27301
  • Compounded annual return / average of 25% largest draw downs
    -1.27301
  • Compounded annual return / Expected Shortfall lognormal
    -13.22320

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
2017-11-14
Suggested Minimum Capital
$15,000
# Trades
222
# Profitable
96
% Profitable
43.2%
Net Dividends
$1,384
Correlation S&P500
0.683
Sharpe Ratio
0.27
Sortino Ratio
0.39
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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