Collective2 Collective2
Featured Strategy MT3 Algotrading Followed by live capital $3.42 million Hypothetical

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Golden Stone AI Fund
(117123146)

Created by: HenryZhao2 HenryZhao2
Started: 03/2018
Stocks
Last trade: 2,298 days ago
Trading style: Equity Trend-following Pairs Trading / Relative Value

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 $99.00 per month.

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
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Pairs Trading / Relative Value
Category: Equity

Pairs Trading / Relative Value

Seeks to exploit differences in the price or rate of the same or similar securities. The relative value fund trades on gaps, rather than the price of a specific security alone
-2.6%
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.

(27.1%)
Max Drawdown
58
Num Trades
39.7%
Win Trades
0.8 : 1
Profit Factor
2.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018              (3.4%)(9.8%)+9.1%(12%)(7.9%)+8.7%  -    -    -    -  (16.3%)
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -    -    -        0.0

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/31/18 15:58 QLD PROSHARES ULTRA QQQ LONG 565 90.94 8/8 13:30 96.73 0.99%
Trade id #119215569
Max drawdown($395)
Time8/2/18 5:47
Quant open565
Worst price90.24
Drawdown as % of equity-0.99%
 $3,266
Includes Typical Broker Commissions trade costs of $5.00
7/30/18 15:59 QID PROSHARES ULTRASHORT QQQ LONG 1,300 39.97 7/31 15:58 39.46 2.99%
Trade id #119193105
Max drawdown($1,170)
Time7/31/18 12:25
Quant open1,300
Worst price39.07
Drawdown as % of equity-2.99%
 ($668)
Includes Typical Broker Commissions trade costs of $5.00
7/27/18 15:56 QLD PROSHARES ULTRA QQQ LONG 580 92.49 7/30 15:59 89.80 5.09%
Trade id #119169671
Max drawdown($2,093)
Time7/30/18 12:50
Quant open580
Worst price88.88
Drawdown as % of equity-5.09%
 ($1,565)
Includes Typical Broker Commissions trade costs of $5.00
7/23/18 15:59 QLD PROSHARES ULTRA QQQ LONG 565 94.39 7/25 14:43 96.99 n/a $1,464
Includes Typical Broker Commissions trade costs of $5.00
7/16/18 15:56 QID PROSHARES ULTRASHORT QQQ LONG 1,395 38.26 7/23 15:59 38.13 2.32%
Trade id #118962802
Max drawdown($920)
Time7/17/18 15:45
Quant open1,395
Worst price37.60
Drawdown as % of equity-2.32%
 ($186)
Includes Typical Broker Commissions trade costs of $5.00
7/12/18 15:50 QLD PROSHARES ULTRA QQQ LONG 565 94.25 7/16 15:55 94.07 0.55%
Trade id #118903522
Max drawdown($223)
Time7/16/18 15:05
Quant open565
Worst price93.86
Drawdown as % of equity-0.55%
 ($107)
Includes Typical Broker Commissions trade costs of $5.00
7/11/18 15:58 QID PROSHARES ULTRASHORT QQQ LONG 1,390 39.44 7/12 15:50 38.19 4.34%
Trade id #118878716
Max drawdown($1,765)
Time7/12/18 15:50
Quant open1,390
Worst price38.17
Drawdown as % of equity-4.34%
 ($1,743)
Includes Typical Broker Commissions trade costs of $5.00
7/6/18 15:53 QLD PROSHARES ULTRA QQQ LONG 600 90.32 7/11 15:58 91.36 0.01%
Trade id #118810232
Max drawdown($5)
Time7/6/18 15:56
Quant open600
Worst price90.31
Drawdown as % of equity-0.01%
 $619
Includes Typical Broker Commissions trade costs of $5.00
7/2/18 15:57 QID PROSHARES ULTRASHORT QQQ LONG 1,275 41.19 7/6 15:53 39.91 4.43%
Trade id #118750558
Max drawdown($1,848)
Time7/6/18 15:27
Quant open1,275
Worst price39.74
Drawdown as % of equity-4.43%
 ($1,637)
Includes Typical Broker Commissions trade costs of $5.00
6/28/18 15:59 QLD PROSHARES ULTRA QQQ LONG 600 86.19 7/2 15:57 87.68 2.2%
Trade id #118702629
Max drawdown($935)
Time7/2/18 9:32
Quant open600
Worst price84.63
Drawdown as % of equity-2.20%
 $889
Includes Typical Broker Commissions trade costs of $5.00
6/27/18 15:59 QID PROSHARES ULTRASHORT QQQ LONG 1,235 42.57 6/28 15:59 41.91 2.78%
Trade id #118684305
Max drawdown($1,173)
Time6/28/18 15:23
Quant open1,235
Worst price41.62
Drawdown as % of equity-2.78%
 ($820)
Includes Typical Broker Commissions trade costs of $5.00
6/22/18 15:59 QLD PROSHARES ULTRA QQQ LONG 620 90.21 6/27 15:58 84.78 7.64%
Trade id #118603510
Max drawdown($3,367)
Time6/27/18 15:58
Quant open0
Worst price84.78
Drawdown as % of equity-7.64%
 ($3,372)
Includes Typical Broker Commissions trade costs of $5.00
6/18/18 9:30 QID PROSHARES ULTRASHORT QQQ LONG 1,395 40.09 6/22 15:59 40.16 3.93%
Trade id #118478992
Max drawdown($1,771)
Time6/20/18 14:19
Quant open1,395
Worst price38.82
Drawdown as % of equity-3.93%
 $93
Includes Typical Broker Commissions trade costs of $5.00
6/15/18 15:59 QLD PROSHARES ULTRA QQQ LONG 1,395 91.89 6/15 15:59 91.87 0.06%
Trade id #118464015
Max drawdown($28)
Time6/15/18 15:59
Quant open0
Worst price91.87
Drawdown as % of equity-0.06%
 ($33)
Includes Typical Broker Commissions trade costs of $5.00
6/14/18 15:58 QLD PROSHARES ULTRA QQQ LONG 600 92.52 6/15 15:58 91.85 1.96%
Trade id #118442625
Max drawdown($918)
Time6/15/18 9:46
Quant open600
Worst price90.99
Drawdown as % of equity-1.96%
 ($407)
Includes Typical Broker Commissions trade costs of $5.00
6/7/18 15:59 QID PROSHARES ULTRASHORT QQQ LONG 1,410 40.68 6/14 15:58 39.30 4.6%
Trade id #118321847
Max drawdown($2,150)
Time6/14/18 13:37
Quant open1,410
Worst price39.16
Drawdown as % of equity-4.60%
 ($1,951)
Includes Typical Broker Commissions trade costs of $5.00
6/6/18 15:59 QLD PROSHARES ULTRA QQQ LONG 640 90.74 6/7 15:58 89.34 3.01%
Trade id #118297970
Max drawdown($1,452)
Time6/7/18 13:42
Quant open640
Worst price88.47
Drawdown as % of equity-3.01%
 ($901)
Includes Typical Broker Commissions trade costs of $5.00
6/5/18 15:59 QID PROSHARES ULTRASHORT QQQ LONG 1,450 40.52 6/6 15:59 40.07 1.33%
Trade id #118279650
Max drawdown($662)
Time6/6/18 15:58
Quant open1,450
Worst price40.06
Drawdown as % of equity-1.33%
 ($658)
Includes Typical Broker Commissions trade costs of $5.00
6/4/18 15:59 QLD PROSHARES ULTRA QQQ LONG 655 89.18 6/5 15:59 89.76 0.21%
Trade id #118258600
Max drawdown($104)
Time6/5/18 11:46
Quant open655
Worst price89.02
Drawdown as % of equity-0.21%
 $375
Includes Typical Broker Commissions trade costs of $5.00
5/31/18 15:59 QLD PROSHARES ULTRA QQQ LONG 665 85.03 6/1 15:59 87.64 0.08%
Trade id #118199781
Max drawdown($39)
Time5/31/18 16:01
Quant open665
Worst price84.97
Drawdown as % of equity-0.08%
 $1,731
Includes Typical Broker Commissions trade costs of $5.00
5/30/18 15:59 QID PROSHARES ULTRASHORT QQQ LONG 1,315 42.76 5/31 15:59 42.83 1.34%
Trade id #118176722
Max drawdown($644)
Time5/31/18 11:43
Quant open1,315
Worst price42.27
Drawdown as % of equity-1.34%
 $87
Includes Typical Broker Commissions trade costs of $5.00
5/29/18 15:59 QLD PROSHARES ULTRA QQQ LONG 660 83.97 5/30 15:59 85.20 0.13%
Trade id #118154593
Max drawdown($59)
Time5/29/18 16:01
Quant open660
Worst price83.88
Drawdown as % of equity-0.13%
 $807
Includes Typical Broker Commissions trade costs of $5.00
5/18/18 15:59 QID PROSHARES ULTRASHORT QQQ LONG 1,265 44.12 5/29 15:59 43.38 89.96%
Trade id #118003472
Max drawdown($42,200)
Time5/23/18 15:59
Quant open1,265
Worst price10.76
Drawdown as % of equity-89.96%
 ($941)
Includes Typical Broker Commissions trade costs of $5.00
5/17/18 15:59 QLD PROSHARES ULTRA QQQ LONG 675 83.42 5/18 15:59 82.60 1.6%
Trade id #117985033
Max drawdown($769)
Time5/18/18 10:38
Quant open675
Worst price82.28
Drawdown as % of equity-1.60%
 ($559)
Includes Typical Broker Commissions trade costs of $5.00
5/16/18 14:55 QID PROSHARES ULTRASHORT QQQ LONG 5,155 10.81 5/17 15:59 10.91 0.51%
Trade id #117965359
Max drawdown($249)
Time5/17/18 10:59
Quant open5,155
Worst price10.76
Drawdown as % of equity-0.51%
 $511
Includes Typical Broker Commissions trade costs of $5.00
5/15/18 15:59 QLD PROSHARES ULTRA QQQ LONG 660 83.03 5/16 14:54 84.25 0.59%
Trade id #117949546
Max drawdown($277)
Time5/15/18 19:30
Quant open660
Worst price82.61
Drawdown as % of equity-0.59%
 $800
Includes Typical Broker Commissions trade costs of $5.00
5/14/18 9:31 QID PROSHARES ULTRASHORT QQQ LONG 4,995 10.70 5/15 15:59 10.98 1.09%
Trade id #117916087
Max drawdown($499)
Time5/14/18 10:43
Quant open4,995
Worst price10.60
Drawdown as % of equity-1.09%
 $1,394
Includes Typical Broker Commissions trade costs of $5.00
5/11/18 15:59 QLD PROSHARES ULTRA QQQ LONG 630 84.51 5/14 9:30 85.02 n/a $316
Includes Typical Broker Commissions trade costs of $5.00
5/9/18 15:59 QID PROSHARES ULTRASHORT QQQ LONG 4,910 10.99 5/11 15:59 10.78 2.8%
Trade id #117864365
Max drawdown($1,276)
Time5/11/18 7:31
Quant open4,910
Worst price10.73
Drawdown as % of equity-2.80%
 ($1,036)
Includes Typical Broker Commissions trade costs of $5.00
5/8/18 15:59 QLD PROSHARES ULTRA QQQ LONG 650 81.07 5/9 15:59 82.97 0.1%
Trade id #117847248
Max drawdown($45)
Time5/9/18 10:59
Quant open650
Worst price81.00
Drawdown as % of equity-0.10%
 $1,230
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    3/19/2018
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    2430.49
  • Age
    81 months ago
  • What it trades
    Stocks
  • # Trades
    58
  • # Profitable
    23
  • % Profitable
    39.70%
  • Avg trade duration
    2.2 days
  • Max peak-to-valley drawdown
    27.11%
  • drawdown period
    March 22, 2018 - July 31, 2018
  • Annual Return (Compounded)
    -2.6%
  • Avg win
    $1,202
  • Avg loss
    $1,003
  • Model Account Values (Raw)
  • Cash
    $42,820
  • Margin Used
    $0
  • Buying Power
    $42,820
  • Ratios
  • W:L ratio
    0.80:1
  • Sharpe Ratio
    -0.46
  • Sortino Ratio
    -0.61
  • Calmar Ratio
    -0.533
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -136.83%
  • Correlation to SP500
    -0.01830
  • Return Percent SP500 (cumu) during strategy life
    119.27%
  • Return Statistics
  • Ann Return (w trading costs)
    -2.6%
  • Slump
  • Current Slump as Pcnt Equity
    25.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    1.00%
  • 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)
    -0.026%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -2.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    57.50%
  • Chance of 30% account loss
    5.50%
  • 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
  • Chance of 100% 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)
    0
  • 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
    $1,004
  • Avg Win
    $1,203
  • Sum Trade PL (losers)
    $35,128.000
  • Age
  • Num Months filled monthly returns table
    81
  • Win / Loss
  • Sum Trade PL (winners)
    $27,658.000
  • # Winners
    23
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    287
  • Win / Loss
  • # Losers
    35
  • % Winners
    39.7%
  • Frequency
  • Avg Position Time (mins)
    3233.95
  • Avg Position Time (hrs)
    53.90
  • Avg Trade Length
    2.2 days
  • Last Trade Ago
    2288
  • Regression
  • Alpha
    -0.01
  • Beta
    -0.01
  • Treynor Index
    1.55
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    36.05
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    86.16
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -4.70
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.06
  • Avg(MAE) / Avg(PL) - All trades
    -9.208
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.347
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.680
  • Hold-and-Hope Ratio
    -0.109
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.14502
  • SD
    0.17864
  • Sharpe ratio (Glass type estimate)
    -0.81180
  • Sharpe ratio (Hedges UMVUE)
    -0.76389
  • df
    13.00000
  • t
    -0.87684
  • p
    0.64902
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.63750
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.04387
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.60207
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.07429
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.91870
  • Upside Potential Ratio
    0.66378
  • Upside part of mean
    0.10478
  • Downside part of mean
    -0.24980
  • Upside SD
    0.08042
  • Downside SD
    0.15786
  • N nonnegative terms
    2.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.70518
  • Mean of criterion
    -0.14502
  • SD of predictor
    0.42534
  • SD of criterion
    0.17864
  • Covariance
    0.00678
  • r
    0.08923
  • b (slope, estimate of beta)
    0.03748
  • a (intercept, estimate of alpha)
    -0.17145
  • Mean Square Error
    0.03430
  • DF error
    12.00000
  • t(b)
    0.31035
  • p(b)
    0.45538
  • t(a)
    -0.89558
  • p(a)
    0.62515
  • Lowerbound of 95% confidence interval for beta
    -0.22564
  • Upperbound of 95% confidence interval for beta
    0.30060
  • Lowerbound of 95% confidence interval for alpha
    -0.58857
  • Upperbound of 95% confidence interval for alpha
    0.24566
  • Treynor index (mean / b)
    -3.86956
  • Jensen alpha (a)
    -0.17145
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.16126
  • SD
    0.18571
  • Sharpe ratio (Glass type estimate)
    -0.86837
  • Sharpe ratio (Hedges UMVUE)
    -0.81712
  • df
    13.00000
  • t
    -0.93794
  • p
    0.65856
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.69680
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.99201
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.65867
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.02444
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.96147
  • Upside Potential Ratio
    0.60483
  • Upside part of mean
    0.10145
  • Downside part of mean
    -0.26271
  • Upside SD
    0.07784
  • Downside SD
    0.16773
  • N nonnegative terms
    2.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.61419
  • Mean of criterion
    -0.16126
  • SD of predictor
    0.38052
  • SD of criterion
    0.18571
  • Covariance
    0.00651
  • r
    0.09208
  • b (slope, estimate of beta)
    0.04494
  • a (intercept, estimate of alpha)
    -0.18887
  • Mean Square Error
    0.03705
  • DF error
    12.00000
  • t(b)
    0.32034
  • p(b)
    0.45396
  • t(a)
    -0.95420
  • p(a)
    0.63278
  • Lowerbound of 95% confidence interval for beta
    -0.26072
  • Upperbound of 95% confidence interval for beta
    0.35060
  • Lowerbound of 95% confidence interval for alpha
    -0.62012
  • Upperbound of 95% confidence interval for alpha
    0.24239
  • Treynor index (mean / b)
    -3.58843
  • Jensen alpha (a)
    -0.18887
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09663
  • Expected Shortfall on VaR
    0.11646
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06598
  • Expected Shortfall on VaR
    0.12523
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.86366
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.06954
  • Mean of quarter 1
    0.93412
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.03173
  • Inter Quartile Range
    0.00000
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.21429
  • Mean of outliers low
    0.91217
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    1.06345
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.82518
  • VaR(95%) (regression method)
    0.14315
  • Expected Shortfall (regression method)
    0.16486
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.19974
  • Quartile 1
    0.19974
  • Median
    0.19974
  • Quartile 3
    0.19974
  • Maximum
    0.19974
  • 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)
    -0.12350
  • Compounded annual return (geometric extrapolation)
    -0.12485
  • Calmar ratio (compounded annual return / max draw down)
    -0.62506
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.07198
  • 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
    -0.14195
  • SD
    0.18903
  • Sharpe ratio (Glass type estimate)
    -0.75095
  • Sharpe ratio (Hedges UMVUE)
    -0.74912
  • df
    308.00000
  • t
    -0.81553
  • p
    0.79230
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.55612
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.05535
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.55485
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.05661
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.01340
  • Upside Potential Ratio
    4.14436
  • Upside part of mean
    0.58052
  • Downside part of mean
    -0.72247
  • Upside SD
    0.12678
  • Downside SD
    0.14007
  • N nonnegative terms
    48.00000
  • N negative terms
    261.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    309.00000
  • Mean of predictor
    0.71973
  • Mean of criterion
    -0.14195
  • SD of predictor
    0.48900
  • SD of criterion
    0.18903
  • Covariance
    -0.00194
  • r
    -0.02096
  • b (slope, estimate of beta)
    -0.00810
  • a (intercept, estimate of alpha)
    -0.13600
  • Mean Square Error
    0.03583
  • DF error
    307.00000
  • t(b)
    -0.36739
  • p(b)
    0.64321
  • t(a)
    -0.77770
  • p(a)
    0.78133
  • Lowerbound of 95% confidence interval for beta
    -0.05151
  • Upperbound of 95% confidence interval for beta
    0.03530
  • Lowerbound of 95% confidence interval for alpha
    -0.48052
  • Upperbound of 95% confidence interval for alpha
    0.20828
  • Treynor index (mean / b)
    17.51680
  • Jensen alpha (a)
    -0.13612
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.15982
  • SD
    0.18936
  • Sharpe ratio (Glass type estimate)
    -0.84402
  • Sharpe ratio (Hedges UMVUE)
    -0.84196
  • df
    308.00000
  • t
    -0.91660
  • p
    0.81997
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.64934
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.96264
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.64794
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.96402
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.11940
  • Upside Potential Ratio
    4.01062
  • Upside part of mean
    0.57263
  • Downside part of mean
    -0.73245
  • Upside SD
    0.12432
  • Downside SD
    0.14278
  • N nonnegative terms
    48.00000
  • N negative terms
    261.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    309.00000
  • Mean of predictor
    0.60588
  • Mean of criterion
    -0.15982
  • SD of predictor
    0.47058
  • SD of criterion
    0.18936
  • Covariance
    -0.00198
  • r
    -0.02221
  • b (slope, estimate of beta)
    -0.00894
  • a (intercept, estimate of alpha)
    -0.15441
  • Mean Square Error
    0.03596
  • DF error
    307.00000
  • t(b)
    -0.38918
  • p(b)
    0.65129
  • t(a)
    -0.88153
  • p(a)
    0.81064
  • Lowerbound of 95% confidence interval for beta
    -0.05412
  • Upperbound of 95% confidence interval for beta
    0.03624
  • Lowerbound of 95% confidence interval for alpha
    -0.49908
  • Upperbound of 95% confidence interval for alpha
    0.19026
  • Treynor index (mean / b)
    17.88570
  • Jensen alpha (a)
    -0.15441
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01966
  • Expected Shortfall on VaR
    0.02443
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00866
  • Expected Shortfall on VaR
    0.01832
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    309.00000
  • Minimum
    0.93361
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.06794
  • Mean of quarter 1
    0.98943
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00896
  • Inter Quartile Range
    0.00000
  • Number outliers low
    54.00000
  • Percentage of outliers low
    0.17476
  • Mean of outliers low
    0.98474
  • Number of outliers high
    49.00000
  • Percentage of outliers high
    0.15858
  • Mean of outliers high
    1.01408
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.16271
  • VaR(95%) (moments method)
    0.00320
  • Expected Shortfall (moments method)
    0.00478
  • Extreme Value Index (regression method)
    -0.05927
  • VaR(95%) (regression method)
    0.01098
  • Expected Shortfall (regression method)
    0.01857
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.23194
  • Quartile 1
    0.23194
  • Median
    0.23194
  • Quartile 3
    0.23194
  • Maximum
    0.23194
  • 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)
    -0.12217
  • Compounded annual return (geometric extrapolation)
    -0.12359
  • Calmar ratio (compounded annual return / max draw down)
    -0.53285
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -5.05911
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.91440
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.40395
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.83197
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.40386
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6811250000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.02000
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -93083799999999994255671964991488.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 for a one-period unit investment (based on Ex
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -402118000
  • Max Equity Drawdown (num days)
    131
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2018-03-19
Suggested Minimum Capital
$15,000
# Trades
58
# Profitable
23
% Profitable
39.7%
Net Dividends
$286
Correlation S&P500
-0.018
Sharpe Ratio
-0.46
Sortino Ratio
-0.61
Beta
-0.01
Alpha
-0.01

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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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.