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AlgoFolio Short
(116203071)

Created by: AlgoFolio AlgoFolio
Started: 01/2018
Stocks
Last trade: 11 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. Subscriptions to this system cost $275.00 per month.

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."
-39.1%
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.

(84.6%)
Max Drawdown
423
Num Trades
64.8%
Win Trades
0.9 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018  -  +20.5%+5.7%+4.5%+39.3%(8.9%)+11.2%+1.3%+26.6%+9.5%+0.7%+17.0%+210.8%
2019(54.6%)(42%)(30.6%)                                                      (81.7%)

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 656 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/24/18 2:00 EXH9 DJ EURO STOXX 50 SHORT 10 2951.00 3/15/19 9:50 3207.80 32.26%
Trade id #121639126
Max drawdown($29,100)
Time3/15/19 9:50
Quant open9
Worst price3386.00
Drawdown as % of equity-32.26%
($29,180)
Includes Typical Broker Commissions trade costs of $80.00
12/24/18 1:50 XGH9 DAX INDEX SHORT 7 10488.19 3/15/19 9:50 11292.32 193.79%
Trade id #121639089
Max drawdown($174,783)
Time3/15/19 6:56
Quant open-5
Worst price11720.00
Drawdown as % of equity-193.79%
($159,512)
Includes Typical Broker Commissions trade costs of $56.00
12/27/18 14:07 KR KROGER SHORT 400 26.56 3/7/19 9:31 24.88 1.46%
Trade id #121685197
Max drawdown($1,363)
Time2/28/19 9:31
Quant open-400
Worst price29.97
Drawdown as % of equity-1.46%
$664
Includes Typical Broker Commissions trade costs of $8.00
12/27/18 14:05 NWL NEWELL BRANDS INC SHORT 400 17.96 2/28/19 11:08 18.05 1.08%
Trade id #121685121
Max drawdown($1,575)
Time2/5/19 9:43
Quant open-400
Worst price21.90
Drawdown as % of equity-1.08%
($44)
Includes Typical Broker Commissions trade costs of $8.00
12/27/18 14:19 CVS CVS HEALTH CORP SHORT 200 62.95 2/26/19 13:34 60.67 1.27%
Trade id #121685470
Max drawdown($1,599)
Time2/19/19 19:57
Quant open-200
Worst price70.95
Drawdown as % of equity-1.27%
$453
Includes Typical Broker Commissions trade costs of $4.00
12/27/18 14:05 CNC CENTENE SHORT 400 54.61 2/7/19 9:30 64.35 23.24%
Trade id #121685143
Max drawdown($33,757)
Time2/5/19 9:10
Quant open-400
Worst price139.00
Drawdown as % of equity-23.24%
($3,906)
Includes Typical Broker Commissions trade costs of $8.00
12/23/18 18:24 @NQH9 E-MINI NASDAQ 100 STK IDX SHORT 7 6070.54 1/4/19 16:04 6439.55 23.68%
Trade id #121637201
Max drawdown($54,805)
Time1/4/19 13:33
Quant open-7
Worst price6462.00
Drawdown as % of equity-23.68%
($51,718)
Includes Typical Broker Commissions trade costs of $56.00
1/2/19 19:08 QHGF9 Copper SHORT 5 259.25 1/4 16:04 264.72 3.21%
Trade id #121755465
Max drawdown($7,379)
Time1/4/19 14:14
Quant open-5
Worst price265.15
Drawdown as % of equity-3.21%
($6,879)
Includes Typical Broker Commissions trade costs of $40.00
1/2/19 19:10 GBP/JPY GBP/JPY SHORT 25 134.548 1/4 16:04 138.105 3.77%
Trade id #121755481
Max drawdown($8,657)
Time1/4/19 14:36
Quant open-25
Worst price138.304
Drawdown as % of equity-3.77%
($8,199)
12/10/18 15:55 GBP/USD GBP/USD SHORT 50 1.25366 1/2/19 17:49 1.24608 4.68%
Trade id #121430887
Max drawdown($13,921)
Time12/31/18 10:32
Quant open-50
Worst price1.28150
Drawdown as % of equity-4.68%
$3,791
12/10/18 15:56 GBP/CHF GBP/CHF SHORT 50 1.24264 1/2/19 17:42 1.24354 2.74%
Trade id #121430892
Max drawdown($8,947)
Time12/24/18 3:52
Quant open-50
Worst price1.26033
Drawdown as % of equity-2.74%
($456)
11/21/18 9:30 GPS GAP SHORT 500 25.37 12/19 15:05 24.98 0.53%
Trade id #121094210
Max drawdown($1,376)
Time12/4/18 9:34
Quant open-400
Worst price28.44
Drawdown as % of equity-0.53%
$186
Includes Typical Broker Commissions trade costs of $10.00
11/23/18 9:30 WUBA 58.COM INC SHORT 500 56.10 12/19 14:12 54.98 1.27%
Trade id #121133908
Max drawdown($3,446)
Time12/12/18 11:42
Quant open-400
Worst price63.75
Drawdown as % of equity-1.27%
$552
Includes Typical Broker Commissions trade costs of $10.00
12/10/18 15:41 APTV APTIV PLC SHORT 300 65.56 12/17 13:33 64.89 0.3%
Trade id #121430578
Max drawdown($886)
Time12/11/18 10:58
Quant open-300
Worst price68.52
Drawdown as % of equity-0.30%
$196
Includes Typical Broker Commissions trade costs of $6.00
12/10/18 15:39 SRCL STERICYCLE SHORT 500 42.34 12/17 12:12 40.25 0.1%
Trade id #121430448
Max drawdown($305)
Time12/11/18 10:10
Quant open-300
Worst price43.43
Drawdown as % of equity-0.10%
$1,034
Includes Typical Broker Commissions trade costs of $10.00
12/10/18 15:52 CTAS CINTAS SHORT 275 171.26 12/17 12:11 169.67 0.49%
Trade id #121430824
Max drawdown($1,325)
Time12/12/18 12:57
Quant open-275
Worst price176.08
Drawdown as % of equity-0.49%
$433
Includes Typical Broker Commissions trade costs of $5.50
12/10/18 15:53 GIS GENERAL MILLS SHORT 400 38.57 12/17 12:07 37.50 0.12%
Trade id #121430841
Max drawdown($350)
Time12/11/18 10:22
Quant open-400
Worst price39.45
Drawdown as % of equity-0.12%
$423
Includes Typical Broker Commissions trade costs of $8.00
12/10/18 15:47 WDC WESTERN DIGITAL SHORT 400 41.67 12/17 12:06 39.49 0.11%
Trade id #121430651
Max drawdown($311)
Time12/11/18 8:36
Quant open-300
Worst price42.74
Drawdown as % of equity-0.11%
$862
Includes Typical Broker Commissions trade costs of $8.00
12/10/18 15:49 MAR MARRIOT INTERNATIONAL CLASS A SHORT 200 110.67 12/17 12:06 108.56 0.22%
Trade id #121430682
Max drawdown($645)
Time12/11/18 8:51
Quant open-200
Worst price113.90
Drawdown as % of equity-0.22%
$417
Includes Typical Broker Commissions trade costs of $4.00
12/10/18 15:50 COF CAPITAL ONE FINANCIAL SHORT 300 82.58 12/17 9:31 78.47 0.16%
Trade id #121430776
Max drawdown($459)
Time12/11/18 9:16
Quant open-300
Worst price84.11
Drawdown as % of equity-0.16%
$1,225
Includes Typical Broker Commissions trade costs of $6.00
12/11/18 15:58 MAT MATTEL SHORT 500 12.64 12/17 9:30 11.72 0.06%
Trade id #121451383
Max drawdown($182)
Time12/12/18 10:38
Quant open-500
Worst price13.01
Drawdown as % of equity-0.06%
$450
Includes Typical Broker Commissions trade costs of $10.00
12/10/18 15:40 BBY BEST BUY SHORT 400 58.71 12/17 9:30 54.29 0.11%
Trade id #121430489
Max drawdown($335)
Time12/11/18 7:26
Quant open-300
Worst price60.00
Drawdown as % of equity-0.11%
$1,757
Includes Typical Broker Commissions trade costs of $8.00
12/9/18 23:19 @RTYH9 Russell 2000 CME SHORT 14 1436.11 12/16 19:39 1418.63 3.17%
Trade id #121416868
Max drawdown($8,985)
Time12/12/18 10:58
Quant open-5
Worst price1478.20
Drawdown as % of equity-3.17%
$12,127
Includes Typical Broker Commissions trade costs of $112.00
12/9/18 23:18 @NQH9 E-MINI NASDAQ 100 STK IDX SHORT 7 6619.39 12/16 18:00 6598.50 11.23%
Trade id #121416847
Max drawdown($30,145)
Time12/12/18 13:13
Quant open-5
Worst price6897.00
Drawdown as % of equity-11.23%
$2,869
Includes Typical Broker Commissions trade costs of $56.00
12/10/18 15:44 TSN TYSON FOODS SHORT 300 55.58 12/14 15:26 55.39 0.12%
Trade id #121430613
Max drawdown($347)
Time12/11/18 10:46
Quant open-300
Worst price56.74
Drawdown as % of equity-0.12%
$52
Includes Typical Broker Commissions trade costs of $6.00
12/10/18 15:41 BWA BORGWARNER SHORT 500 34.93 12/14 15:12 34.74 0.13%
Trade id #121430569
Max drawdown($389)
Time12/11/18 9:34
Quant open-300
Worst price36.25
Drawdown as % of equity-0.13%
$84
Includes Typical Broker Commissions trade costs of $10.00
12/10/18 13:59 BHF BRIGHTHOUSE FINANCIAL INC. COMMON STOCK SHORT 1,000 32.82 12/14 11:49 31.68 0.15%
Trade id #121428534
Max drawdown($446)
Time12/11/18 9:36
Quant open-500
Worst price34.02
Drawdown as % of equity-0.15%
$1,124
Includes Typical Broker Commissions trade costs of $12.50
11/16/18 9:47 MAC MACERICH SHORT 500 48.97 12/12 9:50 48.38 1.15%
Trade id #121002079
Max drawdown($3,610)
Time12/11/18 17:50
Quant open-500
Worst price56.19
Drawdown as % of equity-1.15%
$285
Includes Typical Broker Commissions trade costs of $10.00
12/9/18 23:13 GBP/CHF GBP/CHF SHORT 50 1.25886 12/10 13:43 1.24381 0.35%
Trade id #121416813
Max drawdown($1,077)
Time12/10/18 3:06
Quant open-50
Worst price1.26099
Drawdown as % of equity-0.35%
$7,601
11/21/18 9:30 CAR AVIS BUDGET GROUP SHORT 800 27.17 12/10 13:37 26.73 0.58%
Trade id #121094179
Max drawdown($1,614)
Time11/28/18 14:21
Quant open-400
Worst price31.13
Drawdown as % of equity-0.58%
$345
Includes Typical Broker Commissions trade costs of $12.50

Statistics

  • Strategy began
    1/31/2018
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    414.51
  • Age
    14 months ago
  • What it trades
    Stocks
  • # Trades
    423
  • # Profitable
    274
  • % Profitable
    64.80%
  • Avg trade duration
    5.5 days
  • Max peak-to-valley drawdown
    84.58%
  • drawdown period
    Dec 27, 2018 - March 22, 2019
  • Annual Return (Compounded)
    -39.1%
  • Avg win
    $1,634
  • Avg loss
    $3,177
  • Model Account Values (Raw)
  • Cash
    $176,768
  • Margin Used
    $123,696
  • Buying Power
    $28,570
  • Ratios
  • W:L ratio
    0.95:1
  • Sharpe Ratio
    0.016
  • Sortino Ratio
    0.022
  • Calmar Ratio
    -0.376
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.05300
  • Return Statistics
  • Ann Return (w trading costs)
    -39.1%
  • Ann Return (Compnd, No Fees)
    -27.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    82.50%
  • Chance of 50% account loss
    61.50%
  • Popularity
  • Popularity (Today)
    353
  • Popularity (Last 6 weeks)
    855
  • C2 Score
    9.3
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $3,204
  • Avg Win
    $1,635
  • # Winners
    274
  • # Losers
    149
  • % Winners
    64.8%
  • Frequency
  • Avg Position Time (mins)
    7837.87
  • Avg Position Time (hrs)
    130.63
  • Avg Trade Length
    5.4 days
  • Last Trade Ago
    7
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.62191
  • SD
    0.73886
  • Sharpe ratio (Glass type estimate)
    0.84171
  • Sharpe ratio (Hedges UMVUE)
    0.78276
  • df
    11.00000
  • t
    0.84171
  • p
    0.20894
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.16710
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.81394
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.20431
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.76983
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.23748
  • Upside Potential Ratio
    2.45270
  • Upside part of mean
    1.23262
  • Downside part of mean
    -0.61072
  • Upside SD
    0.52923
  • Downside SD
    0.50256
  • N nonnegative terms
    8.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    -0.05728
  • Mean of criterion
    0.62191
  • SD of predictor
    0.16797
  • SD of criterion
    0.73886
  • Covariance
    -0.05996
  • r
    -0.48312
  • b (slope, estimate of beta)
    -2.12511
  • a (intercept, estimate of alpha)
    0.50017
  • Mean Square Error
    0.46034
  • DF error
    10.00000
  • t(b)
    -1.74491
  • p(b)
    0.94420
  • t(a)
    0.73333
  • p(a)
    0.24010
  • Lowerbound of 95% confidence interval for beta
    -4.83874
  • Upperbound of 95% confidence interval for beta
    0.58852
  • Lowerbound of 95% confidence interval for alpha
    -1.01955
  • Upperbound of 95% confidence interval for alpha
    2.01990
  • Treynor index (mean / b)
    -0.29265
  • Jensen alpha (a)
    0.50017
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30902
  • SD
    0.86631
  • Sharpe ratio (Glass type estimate)
    0.35671
  • Sharpe ratio (Hedges UMVUE)
    0.33173
  • df
    11.00000
  • t
    0.35671
  • p
    0.36403
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.61669
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.31428
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.63313
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.29658
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.44939
  • Upside Potential Ratio
    1.61369
  • Upside part of mean
    1.10964
  • Downside part of mean
    -0.80062
  • Upside SD
    0.47228
  • Downside SD
    0.68765
  • N nonnegative terms
    8.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    -0.07050
  • Mean of criterion
    0.30902
  • SD of predictor
    0.17056
  • SD of criterion
    0.86631
  • Covariance
    -0.07128
  • r
    -0.48240
  • b (slope, estimate of beta)
    -2.45021
  • a (intercept, estimate of alpha)
    0.13627
  • Mean Square Error
    0.63343
  • DF error
    10.00000
  • t(b)
    -1.74151
  • p(b)
    0.94390
  • t(a)
    0.16991
  • p(a)
    0.43424
  • Lowerbound of 95% confidence interval for beta
    -5.58508
  • Upperbound of 95% confidence interval for beta
    0.68466
  • Lowerbound of 95% confidence interval for alpha
    -1.65078
  • Upperbound of 95% confidence interval for alpha
    1.92333
  • Treynor index (mean / b)
    -0.12612
  • Jensen alpha (a)
    0.13627
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.31995
  • Expected Shortfall on VaR
    0.38490
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08507
  • Expected Shortfall on VaR
    0.20010
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.50661
  • Quartile 1
    0.99021
  • Median
    1.05265
  • Quartile 3
    1.23949
  • Maximum
    1.27521
  • Mean of quarter 1
    0.79973
  • Mean of quarter 2
    1.00921
  • Mean of quarter 3
    1.14126
  • Mean of quarter 4
    1.26641
  • Inter Quartile Range
    0.24927
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.08333
  • Mean of outliers low
    0.50661
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.75351
  • VaR(95%) (moments method)
    0.15493
  • Expected Shortfall (moments method)
    0.75751
  • Extreme Value Index (regression method)
    2.69553
  • VaR(95%) (regression method)
    0.53083
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00059
  • Quartile 1
    0.02818
  • Median
    0.05371
  • Quartile 3
    0.17588
  • Maximum
    0.49339
  • Mean of quarter 1
    0.00059
  • Mean of quarter 2
    0.03737
  • Mean of quarter 3
    0.07005
  • Mean of quarter 4
    0.49339
  • Inter Quartile Range
    0.14771
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    0.49339
  • 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)
    0.40064
  • Compounded annual return (geometric extrapolation)
    0.40064
  • Calmar ratio (compounded annual return / max draw down)
    0.81200
  • Compounded annual return / average of 25% largest draw downs
    0.81200
  • Compounded annual return / Expected Shortfall lognormal
    1.04090
  • 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
    0.01387
  • SD
    0.88721
  • Sharpe ratio (Glass type estimate)
    0.01563
  • Sharpe ratio (Hedges UMVUE)
    0.01559
  • df
    273.00000
  • t
    0.01599
  • p
    0.49363
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.90093
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.93220
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.90098
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.93215
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.02160
  • Upside Potential Ratio
    7.03378
  • Upside part of mean
    4.51666
  • Downside part of mean
    -4.50279
  • Upside SD
    0.60985
  • Downside SD
    0.64214
  • N nonnegative terms
    132.00000
  • N negative terms
    142.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    274.00000
  • Mean of predictor
    -0.01278
  • Mean of criterion
    0.01387
  • SD of predictor
    0.17659
  • SD of criterion
    0.88721
  • Covariance
    -0.04669
  • r
    -0.29801
  • b (slope, estimate of beta)
    -1.49724
  • a (intercept, estimate of alpha)
    -0.00500
  • Mean Square Error
    0.71986
  • DF error
    272.00000
  • t(b)
    -5.14879
  • p(b)
    1.00000
  • t(a)
    -0.00636
  • p(a)
    0.50253
  • Lowerbound of 95% confidence interval for beta
    -2.06973
  • Upperbound of 95% confidence interval for beta
    -0.92475
  • Lowerbound of 95% confidence interval for alpha
    -1.63866
  • Upperbound of 95% confidence interval for alpha
    1.62812
  • Treynor index (mean / b)
    -0.00926
  • Jensen alpha (a)
    -0.00527
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.38579
  • SD
    0.90125
  • Sharpe ratio (Glass type estimate)
    -0.42806
  • Sharpe ratio (Hedges UMVUE)
    -0.42688
  • df
    273.00000
  • t
    -0.43775
  • p
    0.66905
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.34462
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.48919
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.34378
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.49001
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.55782
  • Upside Potential Ratio
    6.28115
  • Upside part of mean
    4.34401
  • Downside part of mean
    -4.72979
  • Upside SD
    0.57580
  • Downside SD
    0.69159
  • N nonnegative terms
    132.00000
  • N negative terms
    142.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    274.00000
  • Mean of predictor
    -0.02836
  • Mean of criterion
    -0.38579
  • SD of predictor
    0.17694
  • SD of criterion
    0.90125
  • Covariance
    -0.04761
  • r
    -0.29858
  • b (slope, estimate of beta)
    -1.52085
  • a (intercept, estimate of alpha)
    -0.42892
  • Mean Square Error
    0.74255
  • DF error
    272.00000
  • t(b)
    -5.15968
  • p(b)
    1.00000
  • t(a)
    -0.50899
  • p(a)
    0.69442
  • Lowerbound of 95% confidence interval for beta
    -2.10114
  • Upperbound of 95% confidence interval for beta
    -0.94056
  • Lowerbound of 95% confidence interval for alpha
    -2.08791
  • Upperbound of 95% confidence interval for alpha
    1.23008
  • Treynor index (mean / b)
    0.25367
  • Jensen alpha (a)
    -0.42892
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08886
  • Expected Shortfall on VaR
    0.10962
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04010
  • Expected Shortfall on VaR
    0.08233
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    274.00000
  • Minimum
    0.78065
  • Quartile 1
    0.98292
  • Median
    1.00000
  • Quartile 3
    1.01760
  • Maximum
    1.22315
  • Mean of quarter 1
    0.93843
  • Mean of quarter 2
    0.99345
  • Mean of quarter 3
    1.00771
  • Mean of quarter 4
    1.06107
  • Inter Quartile Range
    0.03468
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.07299
  • Mean of outliers low
    0.87469
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.08394
  • Mean of outliers high
    1.10910
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.38067
  • VaR(95%) (moments method)
    0.05638
  • Expected Shortfall (moments method)
    0.10927
  • Extreme Value Index (regression method)
    0.22707
  • VaR(95%) (regression method)
    0.05855
  • Expected Shortfall (regression method)
    0.09825
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    22.00000
  • Minimum
    0.00021
  • Quartile 1
    0.03131
  • Median
    0.07231
  • Quartile 3
    0.13532
  • Maximum
    0.79916
  • Mean of quarter 1
    0.00744
  • Mean of quarter 2
    0.05119
  • Mean of quarter 3
    0.09749
  • Mean of quarter 4
    0.29890
  • Inter Quartile Range
    0.10401
  • 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
    0.09091
  • Mean of outliers high
    0.55027
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.53971
  • VaR(95%) (moments method)
    0.35599
  • Expected Shortfall (moments method)
    0.80766
  • Extreme Value Index (regression method)
    1.25972
  • VaR(95%) (regression method)
    0.41585
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.29854
  • Compounded annual return (geometric extrapolation)
    -0.30084
  • Calmar ratio (compounded annual return / max draw down)
    -0.37645
  • Compounded annual return / average of 25% largest draw downs
    -1.00652
  • Compounded annual return / Expected Shortfall lognormal
    -2.74434
  • 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
    -1.56949
  • SD
    1.06492
  • Sharpe ratio (Glass type estimate)
    -1.47381
  • Sharpe ratio (Hedges UMVUE)
    -1.46529
  • df
    130.00000
  • t
    -1.04214
  • p
    0.54551
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.24862
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.30656
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.24281
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.31223
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.91280
  • Upside Potential Ratio
    5.52359
  • Upside part of mean
    4.53221
  • Downside part of mean
    -6.10170
  • Upside SD
    0.67937
  • Downside SD
    0.82052
  • 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
    -0.03326
  • Mean of criterion
    -1.56949
  • SD of predictor
    0.19572
  • SD of criterion
    1.06492
  • Covariance
    -0.08190
  • r
    -0.39294
  • b (slope, estimate of beta)
    -2.13800
  • a (intercept, estimate of alpha)
    -1.64059
  • Mean Square Error
    0.96638
  • DF error
    129.00000
  • t(b)
    -4.85338
  • p(b)
    0.74356
  • t(a)
    -1.18001
  • p(a)
    0.56567
  • Lowerbound of 95% confidence interval for beta
    -3.00958
  • Upperbound of 95% confidence interval for beta
    -1.26642
  • Lowerbound of 95% confidence interval for alpha
    -4.39136
  • Upperbound of 95% confidence interval for alpha
    1.11019
  • Treynor index (mean / b)
    0.73409
  • Jensen alpha (a)
    -1.64059
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.15591
  • SD
    1.09049
  • Sharpe ratio (Glass type estimate)
    -1.97702
  • Sharpe ratio (Hedges UMVUE)
    -1.96559
  • df
    130.00000
  • t
    -1.39796
  • p
    0.56085
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.75547
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.80882
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.74768
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.81649
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.41969
  • Upside Potential Ratio
    4.84931
  • Upside part of mean
    4.32067
  • Downside part of mean
    -6.47658
  • Upside SD
    0.63558
  • Downside SD
    0.89099
  • 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
    -0.05225
  • Mean of criterion
    -2.15591
  • SD of predictor
    0.19568
  • SD of criterion
    1.09049
  • Covariance
    -0.08442
  • r
    -0.39564
  • b (slope, estimate of beta)
    -2.20486
  • a (intercept, estimate of alpha)
    -2.27112
  • Mean Square Error
    1.01079
  • DF error
    129.00000
  • t(b)
    -4.89283
  • p(b)
    0.74514
  • t(a)
    -1.59711
  • p(a)
    0.58836
  • Lowerbound of 95% confidence interval for beta
    -3.09644
  • Upperbound of 95% confidence interval for beta
    -1.31327
  • Lowerbound of 95% confidence interval for alpha
    -5.08463
  • Upperbound of 95% confidence interval for alpha
    0.54238
  • Treynor index (mean / b)
    0.97780
  • Jensen alpha (a)
    -2.27112
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11223
  • Expected Shortfall on VaR
    0.13661
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05764
  • Expected Shortfall on VaR
    0.11424
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.78065
  • Quartile 1
    0.97888
  • Median
    0.99982
  • Quartile 3
    1.01267
  • Maximum
    1.22315
  • Mean of quarter 1
    0.91736
  • Mean of quarter 2
    0.99043
  • Mean of quarter 3
    1.00375
  • Mean of quarter 4
    1.06522
  • Inter Quartile Range
    0.03378
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.10687
  • Mean of outliers low
    0.86252
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.11450
  • Mean of outliers high
    1.11027
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15743
  • VaR(95%) (moments method)
    0.06640
  • Expected Shortfall (moments method)
    0.10416
  • Extreme Value Index (regression method)
    -0.12327
  • VaR(95%) (regression method)
    0.08712
  • Expected Shortfall (regression method)
    0.11983
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00021
  • Quartile 1
    0.02764
  • Median
    0.08125
  • Quartile 3
    0.11225
  • Maximum
    0.79916
  • Mean of quarter 1
    0.00156
  • Mean of quarter 2
    0.05669
  • Mean of quarter 3
    0.09657
  • Mean of quarter 4
    0.35286
  • Inter Quartile Range
    0.08462
  • 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
    0.79916
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.82126
  • VaR(95%) (moments method)
    0.37203
  • Expected Shortfall (moments method)
    2.22704
  • Extreme Value Index (regression method)
    3.87504
  • VaR(95%) (regression method)
    1.01781
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.30986
  • Compounded annual return (geometric extrapolation)
    -0.88092
  • Calmar ratio (compounded annual return / max draw down)
    -1.10232
  • Compounded annual return / average of 25% largest draw downs
    -2.49653
  • Compounded annual return / Expected Shortfall lognormal
    -6.44863

Strategy Description

Strategy Objective:
Tactical short trades only
Seek low to negative correlation to SP 500
Stocks - 80% of trades
Futures - 10% of trades
Options - 10% of trades
Subscription Price - 1% of Strategy Account Value 12 months

Summary Statistics

Strategy began
2018-01-31
Suggested Minimum Capital
$60,000
# Trades
423
# Profitable
274
% Profitable
64.8%
Net Dividends
Correlation S&P500
-0.053
Sharpe Ratio
0.016

Latest Activity

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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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