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These are hypothetical performance results that have certain inherent limitations. Learn more
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SPX Liquid Portfolio
(117860965)

Created by: tradeLab tradeLab
Started: 05/2018
Stocks
Last trade: 2,031 days ago
Trading style: Equity Hedged Equity Trend-following

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $10.00 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
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
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.
-7.0%
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.

(46.2%)
Max Drawdown
56
Num Trades
55.4%
Win Trades
0.7 : 1
Profit Factor
48.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                            +2.1%+3.3%+3.2%+2.2%(4.9%)(3%)(3.3%)(1.5%)(2.2%)
2019+3.5%+4.7%(2.8%)(0.6%)+2.4%(8.5%)(2.6%)(8.3%)(5.3%)+2.1%(5.6%)(2%)(21.6%)
2020(13.7%)+5.5%(3.7%)+0.6%+12.6%+0.8%+6.2%+0.2%(8.8%)+7.8%+3.5%+5.3%+14.3%
2021+13.2%+10.8%(9.2%)(2%)+1.2%(0.3%)+0.2%(5.7%)(0.1%)(1%)(3.2%)+20.5%+22.6%
2022(3.5%)(0.7%)+5.8%(12.5%)+3.4%+0.9%+1.2%+11.3%(2.6%)(14.1%)(9.9%)+1.6%(20.1%)
2023(1.9%)(4.4%)(4.4%)(14.8%)(7%)+3.5%+2.7%+4.1%+3.9%+8.9%(2%)+4.9%(8.6%)
2024(3.6%)+0.3%(5.1%)(9.6%)                                                (17.1%)

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 4 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2097 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/27/18 10:01 PLPC PREFORMED LINE PRODUCTS LONG 73 81.09 9/28 9:35 81.08 2.62%
Trade id #119604488
Max drawdown($816)
Time9/27/18 10:32
Quant open73
Worst price69.91
Drawdown as % of equity-2.62%
 ($2)
Includes Typical Broker Commissions trade costs of $1.46
9/21/18 12:26 HURC HURCO COMPANIES LONG 68 45.10 9/24 12:24 45.15 0.01%
Trade id #119976355
Max drawdown($3)
Time9/21/18 12:39
Quant open68
Worst price45.05
Drawdown as % of equity-0.01%
 $2
Includes Typical Broker Commissions trade costs of $1.36
8/27/18 10:16 NATR NATURES SUNSHINE PRODUCTS LONG 645 8.72 9/24 12:07 8.85 0.84%
Trade id #119605079
Max drawdown($273)
Time9/10/18 12:39
Quant open645
Worst price8.30
Drawdown as % of equity-0.84%
 $72
Includes Typical Broker Commissions trade costs of $8.95
9/21/18 10:44 HI HILLENBRAND LONG 58 52.80 9/24 11:54 51.50 0.28%
Trade id #119971711
Max drawdown($87)
Time9/24/18 10:57
Quant open58
Worst price51.30
Drawdown as % of equity-0.28%
 ($76)
Includes Typical Broker Commissions trade costs of $1.16
9/21/18 15:44 PHM PULTEGROUP LONG 110 26.19 9/24 11:52 25.98 0.15%
Trade id #119984562
Max drawdown($48)
Time9/24/18 9:38
Quant open110
Worst price25.75
Drawdown as % of equity-0.15%
 ($25)
Includes Typical Broker Commissions trade costs of $2.20
8/27/18 11:02 BBSI BARRETT BUSINESS SERVICES LONG 76 76.01 9/21 11:18 62.99 3.26%
Trade id #119606465
Max drawdown($1,042)
Time9/20/18 14:43
Quant open76
Worst price62.30
Drawdown as % of equity-3.26%
 ($992)
Includes Typical Broker Commissions trade costs of $1.52
8/31/18 13:01 CBPX CONTINENTAL BUILDING PRODUCTS LONG 156 37.57 9/21 11:03 38.00 0.24%
Trade id #119686559
Max drawdown($80)
Time9/4/18 11:27
Quant open116
Worst price36.70
Drawdown as % of equity-0.24%
 $64
Includes Typical Broker Commissions trade costs of $3.12
8/27/18 10:27 OSIS OSI SYSTEMS LONG 76 77.80 9/21 11:02 78.24 0.97%
Trade id #119605382
Max drawdown($311)
Time9/10/18 13:44
Quant open76
Worst price73.70
Drawdown as % of equity-0.97%
 $31
Includes Typical Broker Commissions trade costs of $1.52
8/27/18 9:50 ICHR ICHOR HOLDINGS ORDINARY SHARES LONG 239 23.65 9/21 10:59 21.10 2.09%
Trade id #119604116
Max drawdown($672)
Time9/20/18 10:00
Quant open239
Worst price20.84
Drawdown as % of equity-2.09%
 ($615)
Includes Typical Broker Commissions trade costs of $4.78
8/27/18 10:08 AFI ARMSTRONG FLOORING INC LONG 325 17.79 9/21 10:48 19.98 0.94%
Trade id #119604853
Max drawdown($302)
Time9/7/18 9:15
Quant open242
Worst price16.65
Drawdown as % of equity-0.94%
 $705
Includes Typical Broker Commissions trade costs of $6.50
8/27/18 9:53 WCG WELLCARE HEALTH PLANS LONG 19 306.36 9/21 10:44 302.70 0.84%
Trade id #119604166
Max drawdown($272)
Time9/11/18 17:17
Quant open19
Worst price292.02
Drawdown as % of equity-0.84%
 ($70)
Includes Typical Broker Commissions trade costs of $0.38
8/27/18 9:53 TUSK MAMMOTH ENERGY SERVICES INC. LONG 194 29.02 9/21 10:40 28.84 1.9%
Trade id #119604177
Max drawdown($613)
Time9/7/18 9:32
Quant open144
Worst price25.64
Drawdown as % of equity-1.90%
 ($38)
Includes Typical Broker Commissions trade costs of $3.88
8/31/18 13:00 MEDP MEDPACE HOLDINGS INC. COMMON STOCK LONG 97 59.59 9/21 10:39 56.56 1.39%
Trade id #119686468
Max drawdown($443)
Time9/19/18 12:37
Quant open97
Worst price55.02
Drawdown as % of equity-1.39%
 ($296)
Includes Typical Broker Commissions trade costs of $1.94
9/10/18 9:39 SPY1817U288 SPY Sep17'18 288 put LONG 2 1.32 9/18 8:06 0.00 0.82%
Trade id #119777743
Max drawdown($264)
Time9/18/18 8:06
Quant open0
Worst price0.00
Drawdown as % of equity-0.82%
 ($265)
Includes Typical Broker Commissions trade costs of $1.40
8/13/18 10:26 SPY SPDR S&P 500 SHORT 77 284.13 9/10 9:31 288.83 1.76%
Trade id #119408305
Max drawdown($585)
Time8/29/18 15:39
Quant open-77
Worst price291.74
Drawdown as % of equity-1.76%
 ($364)
Includes Typical Broker Commissions trade costs of $1.54
8/27/18 9:46 HIBB HIBBETT INC LONG 224 19.30 8/31 12:59 20.15 0.37%
Trade id #119603950
Max drawdown($123)
Time8/29/18 9:32
Quant open224
Worst price18.75
Drawdown as % of equity-0.37%
 $186
Includes Typical Broker Commissions trade costs of $4.48
8/27/18 9:48 FL FOOT LOCKER LONG 92 47.30 8/31 12:58 49.06 0.04%
Trade id #119604016
Max drawdown($13)
Time8/27/18 9:51
Quant open92
Worst price47.15
Drawdown as % of equity-0.04%
 $160
Includes Typical Broker Commissions trade costs of $1.84
8/13/18 10:24 INTU INTUIT LONG 41 211.85 8/27 9:56 210.60 1.19%
Trade id #119408209
Max drawdown($394)
Time8/23/18 16:54
Quant open41
Worst price202.22
Drawdown as % of equity-1.19%
 ($52)
Includes Typical Broker Commissions trade costs of $0.82
8/13/18 10:25 VRSN VERISIGN LONG 56 153.97 8/27 9:43 157.38 0.71%
Trade id #119408271
Max drawdown($229)
Time8/20/18 9:44
Quant open56
Worst price149.87
Drawdown as % of equity-0.71%
 $190
Includes Typical Broker Commissions trade costs of $1.12
8/13/18 10:23 TRIP TRIPADVISOR LONG 158 54.44 8/27 9:42 53.35 2.08%
Trade id #119408192
Max drawdown($687)
Time8/21/18 17:23
Quant open158
Worst price50.09
Drawdown as % of equity-2.08%
 ($175)
Includes Typical Broker Commissions trade costs of $3.16
8/13/18 10:25 UAL UNITED AIRLINES HOLDINGS INC LONG 105 81.68 8/27 9:42 86.20 0.43%
Trade id #119408242
Max drawdown($139)
Time8/15/18 10:19
Quant open105
Worst price80.35
Drawdown as % of equity-0.43%
 $473
Includes Typical Broker Commissions trade costs of $2.10
8/13/18 10:23 BR BROADRIDGE LONG 66 130.36 8/27 9:41 134.48 0.37%
Trade id #119408166
Max drawdown($120)
Time8/14/18 9:51
Quant open66
Worst price128.53
Drawdown as % of equity-0.37%
 $271
Includes Typical Broker Commissions trade costs of $1.32
8/13/18 10:12: Rescaled downward to 37% of previous Model Account size
7/30/18 11:12 VRSN VERISIGN LONG 55.500000000 147.36 8/13 10:08 153.80 0.38%
Trade id #119185225
Max drawdown($123)
Time7/31/18 15:51
Quant open56
Worst price145.13
Drawdown as % of equity-0.38%
 $356
Includes Typical Broker Commissions trade costs of $1.12
7/30/18 11:12 TRIP TRIPADVISOR LONG 140.600000000 58.15 8/13 10:05 54.34 4.45%
Trade id #119185229
Max drawdown($1,398)
Time8/2/18 12:25
Quant open141
Worst price48.20
Drawdown as % of equity-4.45%
 ($539)
Includes Typical Broker Commissions trade costs of $2.82
7/23/18 9:54 UAL UNITED AIRLINES HOLDINGS INC LONG 100.640000000 80.53 8/13 10:04 81.61 0.56%
Trade id #119067660
Max drawdown($184)
Time8/2/18 9:32
Quant open101
Worst price78.70
Drawdown as % of equity-0.56%
 $107
Includes Typical Broker Commissions trade costs of $2.02
7/2/18 11:05 SPY SPDR S&P 500 SHORT 76.590000000 270.86 8/13 10:03 283.63 3.4%
Trade id #118744592
Max drawdown($1,104)
Time8/7/18 10:40
Quant open-73
Worst price286.01
Drawdown as % of equity-3.40%
 ($980)
Includes Typical Broker Commissions trade costs of $1.54
8/6/18 9:57 INTU INTUIT LONG 39.960000000 206.96 8/13 10:03 212.19 0.11%
Trade id #119295353
Max drawdown($33)
Time8/6/18 10:36
Quant open40
Worst price206.11
Drawdown as % of equity-0.11%
 $208
Includes Typical Broker Commissions trade costs of $0.80
7/30/18 11:16 PSX PHILLIPS 66 LONG 67.340000000 121.14 8/13 10:03 123.00 0.15%
Trade id #119185355
Max drawdown($49)
Time8/3/18 11:59
Quant open67
Worst price120.41
Drawdown as % of equity-0.15%
 $124
Includes Typical Broker Commissions trade costs of $1.34
6/13/18 15:24 HUM HUMANA LONG 34.040000000 306.58 8/6 9:55 319.95 0.53%
Trade id #118424675
Max drawdown($170)
Time6/28/18 10:00
Quant open13
Worst price293.03
Drawdown as % of equity-0.53%
 $454
Includes Typical Broker Commissions trade costs of $0.68
7/6/18 9:59 CNC CENTENE LONG 63.270000000 128.17 7/30 11:14 130.06 n/a $119
Includes Typical Broker Commissions trade costs of $1.26
Next

Statistics

  • Strategy began
    5/9/2018
  • Suggested Minimum Cap
    $29,785
  • Strategy Age (days)
    2164.84
  • Age
    72 months ago
  • What it trades
    Stocks
  • # Trades
    56
  • # Profitable
    31
  • % Profitable
    55.40%
  • Avg trade duration
    340.9 days
  • Max peak-to-valley drawdown
    46.2%
  • drawdown period
    Aug 22, 2022 - May 29, 2023
  • Annual Return (Compounded)
    -7.0%
  • Avg win
    $914.77
  • Avg loss
    $1,468
  • Model Account Values (Raw)
  • Cash
    $39,715
  • Margin Used
    $37,245
  • Buying Power
    ($5,082)
  • Ratios
  • W:L ratio
    0.72:1
  • Sharpe Ratio
    -0.17
  • Sortino Ratio
    -0.25
  • Calmar Ratio
    -0.544
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -127.61%
  • Correlation to SP500
    0.00690
  • Return Percent SP500 (cumu) during strategy life
    84.12%
  • Return Statistics
  • Ann Return (w trading costs)
    -7.0%
  • Slump
  • Current Slump as Pcnt Equity
    74.20%
  • Instruments
  • Percent Trades Futures
    0.02%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.27%
  • 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)
    -0.070%
  • Instruments
  • Percent Trades Options
    0.03%
  • Percent Trades Stocks
    0.95%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -6.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    20.00%
  • Chance of 20% account loss
    0.50%
  • 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)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,468
  • Avg Win
    $915
  • Sum Trade PL (losers)
    $36,700.000
  • Age
  • Num Months filled monthly returns table
    72
  • Win / Loss
  • Sum Trade PL (winners)
    $28,358.000
  • # Winners
    31
  • Num Months Winners
    35
  • Dividends
  • Dividends Received in Model Acct
    -1782
  • Win / Loss
  • # Losers
    25
  • % Winners
    55.4%
  • Frequency
  • Avg Position Time (mins)
    490828.00
  • Avg Position Time (hrs)
    8180.47
  • Avg Trade Length
    340.9 days
  • Last Trade Ago
    2027
  • Regression
  • Alpha
    -0.02
  • Beta
    0.01
  • Treynor Index
    -1.39
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    19.90
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    98.43
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -15.37
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.07
  • Avg(MAE) / Avg(PL) - All trades
    -8.312
  • 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
    0.11
  • Avg(MAE) / Avg(PL) - Winning trades
    0.351
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.189
  • Hold-and-Hope Ratio
    0.159
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.12959
  • SD
    0.45003
  • Sharpe ratio (Glass type estimate)
    -0.28796
  • Sharpe ratio (Hedges UMVUE)
    -0.27421
  • df
    16.00000
  • t
    -0.34274
  • p
    0.54269
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.93319
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.36615
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.92364
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.37523
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.42957
  • Upside Potential Ratio
    1.57063
  • Upside part of mean
    0.47382
  • Downside part of mean
    -0.60341
  • Upside SD
    0.31782
  • Downside SD
    0.30168
  • N nonnegative terms
    7.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.44730
  • Mean of criterion
    -0.12959
  • SD of predictor
    0.50057
  • SD of criterion
    0.45003
  • Covariance
    0.13078
  • r
    0.58054
  • b (slope, estimate of beta)
    0.52193
  • a (intercept, estimate of alpha)
    -0.36305
  • Mean Square Error
    0.14322
  • DF error
    15.00000
  • t(b)
    2.76140
  • p(b)
    0.15238
  • t(a)
    -1.10346
  • p(a)
    0.67223
  • Lowerbound of 95% confidence interval for beta
    0.11907
  • Upperbound of 95% confidence interval for beta
    0.92479
  • Lowerbound of 95% confidence interval for alpha
    -1.06431
  • Upperbound of 95% confidence interval for alpha
    0.33822
  • Treynor index (mean / b)
    -0.24829
  • Jensen alpha (a)
    -0.36305
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.22396
  • SD
    0.44439
  • Sharpe ratio (Glass type estimate)
    -0.50397
  • Sharpe ratio (Hedges UMVUE)
    -0.47991
  • df
    16.00000
  • t
    -0.59984
  • p
    0.57415
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.15204
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.15952
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.13498
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.17517
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.67314
  • Upside Potential Ratio
    1.29184
  • Upside part of mean
    0.42980
  • Downside part of mean
    -0.65376
  • Upside SD
    0.28169
  • Downside SD
    0.33271
  • N nonnegative terms
    7.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.34065
  • Mean of criterion
    -0.22396
  • SD of predictor
    0.44379
  • SD of criterion
    0.44439
  • Covariance
    0.10525
  • r
    0.53367
  • b (slope, estimate of beta)
    0.53439
  • a (intercept, estimate of alpha)
    -0.40600
  • Mean Square Error
    0.15065
  • DF error
    15.00000
  • t(b)
    2.44401
  • p(b)
    0.17715
  • t(a)
    -1.21373
  • p(a)
    0.68750
  • Lowerbound of 95% confidence interval for beta
    0.06834
  • Upperbound of 95% confidence interval for beta
    1.00044
  • Lowerbound of 95% confidence interval for alpha
    -1.11897
  • Upperbound of 95% confidence interval for alpha
    0.30698
  • Treynor index (mean / b)
    -0.41909
  • Jensen alpha (a)
    -0.40600
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.20520
  • Expected Shortfall on VaR
    0.24585
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.12853
  • Expected Shortfall on VaR
    0.22164
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.78013
  • Quartile 1
    0.95026
  • Median
    0.98072
  • Quartile 3
    1.03923
  • Maximum
    1.31068
  • Mean of quarter 1
    0.85744
  • Mean of quarter 2
    0.97150
  • Mean of quarter 3
    1.01526
  • Mean of quarter 4
    1.15543
  • Inter Quartile Range
    0.08897
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.05882
  • Mean of outliers low
    0.78013
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.11765
  • Mean of outliers high
    1.25810
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -4.16338
  • VaR(95%) (moments method)
    0.12073
  • Expected Shortfall (moments method)
    0.12082
  • Extreme Value Index (regression method)
    -1.36815
  • VaR(95%) (regression method)
    0.19499
  • Expected Shortfall (regression method)
    0.20387
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.39030
  • Quartile 1
    0.39030
  • Median
    0.39030
  • Quartile 3
    0.39030
  • Maximum
    0.39030
  • 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)
    -0.17118
  • Compounded annual return (geometric extrapolation)
    -0.17803
  • Calmar ratio (compounded annual return / max draw down)
    -0.45613
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.72413
  • 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
    -0.18340
  • SD
    0.51287
  • Sharpe ratio (Glass type estimate)
    -0.35759
  • Sharpe ratio (Hedges UMVUE)
    -0.35688
  • df
    378.00000
  • t
    -0.43008
  • p
    0.66631
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.98717
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.27241
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.98667
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.27291
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.50272
  • Upside Potential Ratio
    6.46881
  • Upside part of mean
    2.35990
  • Downside part of mean
    -2.54330
  • Upside SD
    0.35970
  • Downside SD
    0.36481
  • N nonnegative terms
    177.00000
  • N negative terms
    202.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    379.00000
  • Mean of predictor
    0.48120
  • Mean of criterion
    -0.18340
  • SD of predictor
    0.32763
  • SD of criterion
    0.51287
  • Covariance
    0.00572
  • r
    0.03401
  • b (slope, estimate of beta)
    0.05324
  • a (intercept, estimate of alpha)
    -0.20900
  • Mean Square Error
    0.26343
  • DF error
    377.00000
  • t(b)
    0.66079
  • p(b)
    0.25457
  • t(a)
    -0.48779
  • p(a)
    0.68701
  • Lowerbound of 95% confidence interval for beta
    -0.10519
  • Upperbound of 95% confidence interval for beta
    0.21168
  • Lowerbound of 95% confidence interval for alpha
    -1.05157
  • Upperbound of 95% confidence interval for alpha
    0.63353
  • Treynor index (mean / b)
    -3.44452
  • Jensen alpha (a)
    -0.20902
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.31494
  • SD
    0.51392
  • Sharpe ratio (Glass type estimate)
    -0.61283
  • Sharpe ratio (Hedges UMVUE)
    -0.61161
  • df
    378.00000
  • t
    -0.73707
  • p
    0.76923
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.24263
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.01773
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.24178
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.01857
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.83011
  • Upside Potential Ratio
    6.05747
  • Upside part of mean
    2.29818
  • Downside part of mean
    -2.61313
  • Upside SD
    0.34620
  • Downside SD
    0.37940
  • N nonnegative terms
    177.00000
  • N negative terms
    202.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    379.00000
  • Mean of predictor
    0.42726
  • Mean of criterion
    -0.31494
  • SD of predictor
    0.32766
  • SD of criterion
    0.51392
  • Covariance
    0.00619
  • r
    0.03674
  • b (slope, estimate of beta)
    0.05762
  • a (intercept, estimate of alpha)
    -0.33956
  • Mean Square Error
    0.26445
  • DF error
    377.00000
  • t(b)
    0.71378
  • p(b)
    0.23790
  • t(a)
    -0.79160
  • p(a)
    0.78545
  • Lowerbound of 95% confidence interval for beta
    -0.10111
  • Upperbound of 95% confidence interval for beta
    0.21635
  • Lowerbound of 95% confidence interval for alpha
    -1.18301
  • Upperbound of 95% confidence interval for alpha
    0.50389
  • Treynor index (mean / b)
    -5.46589
  • Jensen alpha (a)
    -0.33956
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05202
  • Expected Shortfall on VaR
    0.06445
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02305
  • Expected Shortfall on VaR
    0.04726
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    379.00000
  • Minimum
    0.87995
  • Quartile 1
    0.99115
  • Median
    1.00000
  • Quartile 3
    1.00709
  • Maximum
    1.14142
  • Mean of quarter 1
    0.96477
  • Mean of quarter 2
    0.99673
  • Mean of quarter 3
    1.00309
  • Mean of quarter 4
    1.03308
  • Inter Quartile Range
    0.01594
  • Number outliers low
    37.00000
  • Percentage of outliers low
    0.09763
  • Mean of outliers low
    0.93700
  • Number of outliers high
    39.00000
  • Percentage of outliers high
    0.10290
  • Mean of outliers high
    1.06136
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.52572
  • VaR(95%) (moments method)
    0.03372
  • Expected Shortfall (moments method)
    0.08184
  • Extreme Value Index (regression method)
    0.07218
  • VaR(95%) (regression method)
    0.03293
  • Expected Shortfall (regression method)
    0.04990
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00180
  • Quartile 1
    0.00465
  • Median
    0.00571
  • Quartile 3
    0.07469
  • Maximum
    0.45835
  • Mean of quarter 1
    0.00288
  • Mean of quarter 2
    0.00519
  • Mean of quarter 3
    0.02740
  • Mean of quarter 4
    0.35931
  • Inter Quartile Range
    0.07003
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    0.35931
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -647.25900
  • VaR(95%) (moments method)
    0.34706
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -4.51384
  • VaR(95%) (regression method)
    0.88123
  • Expected Shortfall (regression method)
    0.88181
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.23490
  • Compounded annual return (geometric extrapolation)
    -0.24951
  • Calmar ratio (compounded annual return / max draw down)
    -0.54437
  • Compounded annual return / average of 25% largest draw downs
    -0.69444
  • Compounded annual return / Expected Shortfall lognormal
    -3.87127
  • 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
    -0.11360
  • SD
    0.76021
  • Sharpe ratio (Glass type estimate)
    -0.14943
  • Sharpe ratio (Hedges UMVUE)
    -0.14856
  • df
    130.00000
  • t
    -0.10566
  • p
    0.50463
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.92105
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.62268
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.92043
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.62330
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.21586
  • Upside Potential Ratio
    8.80908
  • Upside part of mean
    4.63582
  • Downside part of mean
    -4.74942
  • Upside SD
    0.54462
  • Downside SD
    0.52626
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.14094
  • Mean of criterion
    -0.11360
  • SD of predictor
    0.41674
  • SD of criterion
    0.76021
  • Covariance
    0.03482
  • r
    0.10992
  • b (slope, estimate of beta)
    0.20051
  • a (intercept, estimate of alpha)
    -0.34236
  • Mean Square Error
    0.57536
  • DF error
    129.00000
  • t(b)
    1.25602
  • p(b)
    0.43017
  • t(a)
    -0.31465
  • p(a)
    0.51763
  • Lowerbound of 95% confidence interval for beta
    -0.11534
  • Upperbound of 95% confidence interval for beta
    0.51635
  • Lowerbound of 95% confidence interval for alpha
    -2.49514
  • Upperbound of 95% confidence interval for alpha
    1.81041
  • Treynor index (mean / b)
    -0.56654
  • Jensen alpha (a)
    -0.34236
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.39986
  • SD
    0.75933
  • Sharpe ratio (Glass type estimate)
    -0.52660
  • Sharpe ratio (Hedges UMVUE)
    -0.52356
  • df
    130.00000
  • t
    -0.37237
  • p
    0.51632
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.29818
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.24691
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.29610
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.24898
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.73156
  • Upside Potential Ratio
    8.22316
  • Upside part of mean
    4.49468
  • Downside part of mean
    -4.89454
  • Upside SD
    0.52348
  • Downside SD
    0.54659
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.05266
  • Mean of criterion
    -0.39986
  • SD of predictor
    0.41595
  • SD of criterion
    0.75933
  • Covariance
    0.03374
  • r
    0.10683
  • b (slope, estimate of beta)
    0.19502
  • a (intercept, estimate of alpha)
    -0.60515
  • Mean Square Error
    0.57442
  • DF error
    129.00000
  • t(b)
    1.22032
  • p(b)
    0.43212
  • t(a)
    -0.55776
  • p(a)
    0.53121
  • VAR (95 Confidence Intrvl)
    0.05200
  • Lowerbound of 95% confidence interval for beta
    -0.12117
  • Upperbound of 95% confidence interval for beta
    0.51120
  • Lowerbound of 95% confidence interval for alpha
    -2.75176
  • Upperbound of 95% confidence interval for alpha
    1.54146
  • Treynor index (mean / b)
    -2.05042
  • Jensen alpha (a)
    -0.60515
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07567
  • Expected Shortfall on VaR
    0.09348
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04425
  • Expected Shortfall on VaR
    0.07912
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.88654
  • Quartile 1
    0.97195
  • Median
    1.00000
  • Quartile 3
    1.02624
  • Maximum
    1.14142
  • Mean of quarter 1
    0.94187
  • Mean of quarter 2
    0.98639
  • Mean of quarter 3
    1.01085
  • Mean of quarter 4
    1.05992
  • Inter Quartile Range
    0.05429
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.88687
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.13090
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.35341
  • VaR(95%) (moments method)
    0.05909
  • Expected Shortfall (moments method)
    0.06981
  • Extreme Value Index (regression method)
    -0.51643
  • VaR(95%) (regression method)
    0.05779
  • Expected Shortfall (regression method)
    0.06556
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.01160
  • Quartile 1
    0.02704
  • Median
    0.04962
  • Quartile 3
    0.15704
  • Maximum
    0.45835
  • Mean of quarter 1
    0.01865
  • Mean of quarter 2
    0.03568
  • Mean of quarter 3
    0.07012
  • Mean of quarter 4
    0.28529
  • Inter Quartile Range
    0.13000
  • 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
    0.10000
  • Mean of outliers high
    0.45835
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.04388
  • VaR(95%) (moments method)
    0.32377
  • Expected Shortfall (moments method)
    0.43297
  • Extreme Value Index (regression method)
    1.98568
  • VaR(95%) (regression method)
    0.57251
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -360622000
  • Max Equity Drawdown (num days)
    280
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.33942
  • Compounded annual return (geometric extrapolation)
    -0.31062
  • Calmar ratio (compounded annual return / max draw down)
    -0.67768
  • Compounded annual return / average of 25% largest draw downs
    -1.08876
  • Compounded annual return / Expected Shortfall lognormal
    -3.32287

Strategy Description

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Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2018-05-09
Suggested Minimum Capital
$15,000
# Trades
56
# Profitable
31
% Profitable
55.4%
Net Dividends
($1,781)
Correlation S&P500
0.007
Sharpe Ratio
-0.17
Sortino Ratio
-0.25
Beta
0.01
Alpha
-0.02

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

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