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These are hypothetical performance results that have certain inherent limitations. Learn more

Alpha Hedge
(120266409)

Created by: The_Plunger The_Plunger
Started: 10/2018
Futures, Forex
Last trade: 1,942 days ago
Trading style: Futures Short Term

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 $199.00 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: Futures
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
-
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.

(100.0%)
Max Drawdown
78
Num Trades
47.4%
Win Trades
0.5 : 1
Profit Factor
6.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                               +40.7%+26.8%+73.2%+209.1%
2019  -  +148.1%  -    -    -    -    -    -    -    -    -  +148.1%
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -  (151.8%)(6.2%)(148.6%)
2024(15.7%)(13.8%)(4.4%)                                                      (37.4%)

Model Account Details

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

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

System developer has asked us to delay this information by one hour.

Trading Record

This strategy has placed 125 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1946 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/28/18 15:41 QCLF9 CRUDE OIL SHORT 5 50.37 11/29 11:44 51.53 25.24%
Trade id #121227244
Max drawdown($5,770)
Time11/29/18 11:44
Quant open2
Worst price51.94
Drawdown as % of equity-25.24%
($5,810)
Includes Typical Broker Commissions trade costs of $40.00
11/28/18 3:22 @QMF9 MINY CRUDE OIL SHORT 7 52.125 11/28 10:37 51.350 1.62%
Trade id #121207766
Max drawdown($437)
Time11/28/18 3:29
Quant open-7
Worst price52.250
Drawdown as % of equity-1.62%
$2,657
Includes Typical Broker Commissions trade costs of $56.00
11/27/18 10:49 @QMF9 MINY CRUDE OIL LONG 7 52.175 11/27 12:29 50.400 21.64%
Trade id #121191612
Max drawdown($6,562)
Time11/27/18 12:29
Quant open7
Worst price50.300
Drawdown as % of equity-21.64%
($6,269)
Includes Typical Broker Commissions trade costs of $56.00
11/27/18 7:37 @QMF9 MINY CRUDE OIL LONG 7 51.500 11/27 8:34 51.200 3.81%
Trade id #121184975
Max drawdown($1,312)
Time11/27/18 8:33
Quant open7
Worst price51.125
Drawdown as % of equity-3.81%
($1,106)
Includes Typical Broker Commissions trade costs of $56.00
11/26/18 8:11 @QMF9 MINY CRUDE OIL LONG 19 51.375 11/26 9:03 51.050 9.64%
Trade id #121161657
Max drawdown($3,562)
Time11/26/18 9:03
Quant open19
Worst price51.000
Drawdown as % of equity-9.64%
($3,240)
Includes Typical Broker Commissions trade costs of $152.00
11/25/18 20:52 @QMF9 MINY CRUDE OIL SHORT 22 50.757 11/26 8:10 51.425 18.16%
Trade id #121155045
Max drawdown($7,350)
Time11/26/18 8:10
Quant open0
Worst price51.425
Drawdown as % of equity-18.16%
($7,526)
Includes Typical Broker Commissions trade costs of $176.00
11/23/18 11:55 @QMF9 MINY CRUDE OIL SHORT 10 50.980 11/23 12:46 51.510 5.88%
Trade id #121138686
Max drawdown($2,650)
Time11/23/18 12:46
Quant open6
Worst price51.600
Drawdown as % of equity-5.88%
($2,730)
Includes Typical Broker Commissions trade costs of $80.00
11/23/18 3:24 @QMF9 MINY CRUDE OIL LONG 13 53.300 11/23 3:27 53.150 2.01%
Trade id #121130076
Max drawdown($975)
Time11/23/18 3:26
Quant open13
Worst price53.150
Drawdown as % of equity-2.01%
($1,079)
Includes Typical Broker Commissions trade costs of $104.00
11/23/18 0:56 @QMF9 MINY CRUDE OIL SHORT 13 53.200 11/23 1:24 53.325 1.67%
Trade id #121128699
Max drawdown($813)
Time11/23/18 1:24
Quant open0
Worst price53.325
Drawdown as % of equity-1.67%
($917)
Includes Typical Broker Commissions trade costs of $104.00
11/22/18 22:48 QBZF9 Brent Crude Nymex Last Day LONG 1 62.06 11/23 0:46 61.80 0.55%
Trade id #121128039
Max drawdown($280)
Time11/23/18 0:46
Quant open1
Worst price61.78
Drawdown as % of equity-0.55%
($268)
Includes Typical Broker Commissions trade costs of $8.00
11/22/18 23:02 @QMF9 MINY CRUDE OIL LONG 14 53.412 11/23 0:46 53.200 3.29%
Trade id #121128089
Max drawdown($1,662)
Time11/23/18 0:46
Quant open14
Worst price53.175
Drawdown as % of equity-3.29%
($1,600)
Includes Typical Broker Commissions trade costs of $112.00
11/15/18 19:00 QBZF9 Brent Crude Nymex Last Day SHORT 7 66.59 11/22 21:07 62.74 92.32%
Trade id #120994231
Max drawdown($12,550)
Time11/16/18 10:09
Quant open-7
Worst price68.38
Drawdown as % of equity-92.32%
$26,874
Includes Typical Broker Commissions trade costs of $56.00
11/15/18 19:17 @QMK9 MINY CRUDE OIL SHORT 2 54.875 11/16 6:04 62.000 41.34%
Trade id #120994567
Max drawdown($7,125)
Time11/16/18 6:04
Quant open0
Worst price62.000
Drawdown as % of equity-41.34%
($7,141)
Includes Typical Broker Commissions trade costs of $16.00
11/15/18 18:32 QBZH9 Brent Crude Nymex Last Day SHORT 1 67.08 11/16 1:37 67.71 3.32%
Trade id #120993072
Max drawdown($630)
Time11/16/18 1:37
Quant open0
Worst price67.71
Drawdown as % of equity-3.32%
($638)
Includes Typical Broker Commissions trade costs of $8.00
11/15/18 18:32 @QMF9 MINY CRUDE OIL SHORT 1 56.775 11/15 19:35 56.800 0.05%
Trade id #120993046
Max drawdown($13)
Time11/15/18 19:35
Quant open0
Worst price56.800
Drawdown as % of equity-0.05%
($21)
Includes Typical Broker Commissions trade costs of $8.00
11/15/18 18:31 QCLF9 CRUDE OIL SHORT 2 56.77 11/15 19:35 56.78 0.16%
Trade id #120993035
Max drawdown($50)
Time11/15/18 18:33
Quant open-2
Worst price56.79
Drawdown as % of equity-0.16%
($46)
Includes Typical Broker Commissions trade costs of $16.00
11/15/18 12:44 @QMF9 MINY CRUDE OIL SHORT 4 56.850 11/15 15:25 56.706 2.12%
Trade id #120977066
Max drawdown($650)
Time11/15/18 13:27
Quant open-4
Worst price57.175
Drawdown as % of equity-2.12%
$256
Includes Typical Broker Commissions trade costs of $32.00
11/15/18 12:46 QBZH9 Brent Crude Nymex Last Day SHORT 4 67.17 11/15 15:25 67.03 2.71%
Trade id #120977230
Max drawdown($830)
Time11/15/18 13:26
Quant open-4
Worst price67.38
Drawdown as % of equity-2.71%
$548
Includes Typical Broker Commissions trade costs of $32.00
11/15/18 12:46 QCLF9 CRUDE OIL SHORT 1 56.84 11/15 15:25 56.68 1.11%
Trade id #120977323
Max drawdown($340)
Time11/15/18 13:33
Quant open-1
Worst price57.18
Drawdown as % of equity-1.11%
$152
Includes Typical Broker Commissions trade costs of $8.00
11/15/18 4:03 @QMF9 MINY CRUDE OIL LONG 4 56.475 11/15 12:34 56.875 4.85%
Trade id #120955834
Max drawdown($1,350)
Time11/15/18 5:03
Quant open4
Worst price55.800
Drawdown as % of equity-4.85%
$768
Includes Typical Broker Commissions trade costs of $32.00
11/15/18 2:34 @QMZ8 MINY CRUDE OIL LONG 10 56.300 11/15 12:34 56.650 12.57%
Trade id #120955044
Max drawdown($3,500)
Time11/15/18 5:03
Quant open10
Worst price55.600
Drawdown as % of equity-12.57%
$1,670
Includes Typical Broker Commissions trade costs of $80.00
11/14/18 2:11 @QMZ8 MINY CRUDE OIL LONG 14 56.073 11/14 16:38 55.850 5.06%
Trade id #120922435
Max drawdown($1,563)
Time11/14/18 16:38
Quant open0
Worst price55.850
Drawdown as % of equity-5.06%
($1,675)
Includes Typical Broker Commissions trade costs of $112.00
11/13/18 9:08 @QMZ8 MINY CRUDE OIL SHORT 10 58.755 11/13 10:08 57.825 1.89%
Trade id #120903071
Max drawdown($475)
Time11/13/18 9:48
Quant open-10
Worst price58.850
Drawdown as % of equity-1.89%
$4,570
Includes Typical Broker Commissions trade costs of $80.00
11/13/18 6:40 @QMZ8 MINY CRUDE OIL SHORT 10 58.695 11/13 8:20 59.200 9.16%
Trade id #120901413
Max drawdown($2,525)
Time11/13/18 8:20
Quant open0
Worst price59.200
Drawdown as % of equity-9.16%
($2,605)
Includes Typical Broker Commissions trade costs of $80.00
11/13/18 3:54 @QMZ8 MINY CRUDE OIL SHORT 10 58.975 11/13 5:49 58.475 1.99%
Trade id #120899528
Max drawdown($500)
Time11/13/18 3:56
Quant open-10
Worst price59.075
Drawdown as % of equity-1.99%
$2,420
Includes Typical Broker Commissions trade costs of $80.00
11/13/18 1:48 @QMZ8 MINY CRUDE OIL LONG 10 59.188 11/13 3:52 59.000 3.61%
Trade id #120898506
Max drawdown($938)
Time11/13/18 3:52
Quant open0
Worst price59.000
Drawdown as % of equity-3.61%
($1,018)
Includes Typical Broker Commissions trade costs of $80.00
11/12/18 13:46 @QMZ8 MINY CRUDE OIL SHORT 10 59.875 11/13 1:25 59.118 3.02%
Trade id #120888303
Max drawdown($675)
Time11/12/18 14:12
Quant open-8
Worst price60.250
Drawdown as % of equity-3.02%
$3,708
Includes Typical Broker Commissions trade costs of $80.00
11/12/18 4:05 @QMZ8 MINY CRUDE OIL SHORT 8 60.925 11/12 7:04 60.575 0.96%
Trade id #120876944
Max drawdown($200)
Time11/12/18 4:10
Quant open-8
Worst price60.975
Drawdown as % of equity-0.96%
$1,336
Includes Typical Broker Commissions trade costs of $64.00
11/11/18 23:25 @QMZ8 MINY CRUDE OIL LONG 8 60.975 11/12 0:39 60.725 5.13%
Trade id #120875199
Max drawdown($1,100)
Time11/12/18 0:37
Quant open8
Worst price60.700
Drawdown as % of equity-5.13%
($1,064)
Includes Typical Broker Commissions trade costs of $64.00
11/11/18 20:36 @QMZ8 MINY CRUDE OIL SHORT 8 60.687 11/11 23:25 60.950 4.7%
Trade id #120874161
Max drawdown($1,050)
Time11/11/18 23:25
Quant open0
Worst price60.950
Drawdown as % of equity-4.70%
($1,114)
Includes Typical Broker Commissions trade costs of $64.00

Statistics

  • Strategy began
    10/10/2018
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    1991.94
  • Age
    67 months ago
  • What it trades
    Futures, Forex
  • # Trades
    78
  • # Profitable
    37
  • % Profitable
    47.40%
  • Avg trade duration
    25.3 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Oct 31, 2018 - Feb 19, 2024
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $1,761
  • Avg loss
    $2,968
  • Model Account Values (Raw)
  • Cash
    $24,031
  • Margin Used
    $58,500
  • Buying Power
    ($63,335)
  • Ratios
  • W:L ratio
    0.54:1
  • Sharpe Ratio
    0.25
  • Sortino Ratio
    0.56
  • Calmar Ratio
    -1
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -684.29%
  • Correlation to SP500
    -0.19420
  • Return Percent SP500 (cumu) during strategy life
    88.62%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    0.50%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.06%
  • 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)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.01%
  • Percent Trades Forex
    0.50%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • 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
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • 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
    $2,968
  • Avg Win
    $1,761
  • Sum Trade PL (losers)
    $121,703.000
  • Age
  • Num Months filled monthly returns table
    62
  • Win / Loss
  • Sum Trade PL (winners)
    $65,173.000
  • # Winners
    37
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    41
  • % Winners
    47.4%
  • Frequency
  • Avg Position Time (mins)
    36497.90
  • Avg Position Time (hrs)
    608.30
  • Avg Trade Length
    25.3 days
  • Last Trade Ago
    1937
  • Regression
  • Alpha
    0.00
  • Beta
    -2.61
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.05
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    33.17
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    9.29
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.10
  • MAE:Equity, average, winning trades
    0.05
  • MAE:Equity, average, losing trades
    0.06
  • Avg(MAE) / Avg(PL) - All trades
    5.868
  • 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
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.722
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.040
  • Hold-and-Hope Ratio
    0.153
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    7.20614
  • SD
    7.32882
  • Sharpe ratio (Glass type estimate)
    0.98326
  • Sharpe ratio (Hedges UMVUE)
    0.90730
  • df
    10.00000
  • t
    0.94140
  • p
    0.18434
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.13072
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.05088
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.17808
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.99267
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.92800
  • Upside Potential Ratio
    7.37296
  • Upside part of mean
    8.96264
  • Downside part of mean
    -1.75650
  • Upside SD
    7.18877
  • Downside SD
    1.21561
  • N nonnegative terms
    2.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.70067
  • Mean of criterion
    7.20614
  • SD of predictor
    0.48602
  • SD of criterion
    7.32882
  • Covariance
    -0.34025
  • r
    -0.09553
  • b (slope, estimate of beta)
    -1.44046
  • a (intercept, estimate of alpha)
    8.21543
  • Mean Square Error
    59.13500
  • DF error
    9.00000
  • t(b)
    -0.28789
  • p(b)
    0.61003
  • t(a)
    0.93744
  • p(a)
    0.18650
  • Lowerbound of 95% confidence interval for beta
    -12.75910
  • Upperbound of 95% confidence interval for beta
    9.87817
  • Lowerbound of 95% confidence interval for alpha
    -11.60930
  • Upperbound of 95% confidence interval for alpha
    28.04020
  • Treynor index (mean / b)
    -5.00265
  • Jensen alpha (a)
    8.21543
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -10.08250
  • SD
    12.27140
  • Sharpe ratio (Glass type estimate)
    -0.82162
  • Sharpe ratio (Hedges UMVUE)
    -0.75815
  • df
    10.00000
  • t
    -0.78664
  • p
    0.77514
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.87971
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.27573
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.83205
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.31576
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.85240
  • Upside Potential Ratio
    0.27259
  • Upside part of mean
    3.22430
  • Downside part of mean
    -13.30680
  • Upside SD
    2.33627
  • Downside SD
    11.82840
  • N nonnegative terms
    2.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.58616
  • Mean of criterion
    -10.08250
  • SD of predictor
    0.45139
  • SD of criterion
    12.27140
  • Covariance
    -1.56919
  • r
    -0.28329
  • b (slope, estimate of beta)
    -7.70152
  • a (intercept, estimate of alpha)
    -5.56815
  • Mean Square Error
    153.89200
  • DF error
    9.00000
  • t(b)
    -0.88617
  • p(b)
    0.80071
  • t(a)
    -0.39994
  • p(a)
    0.65074
  • Lowerbound of 95% confidence interval for beta
    -27.36150
  • Upperbound of 95% confidence interval for beta
    11.95840
  • Lowerbound of 95% confidence interval for alpha
    -37.06290
  • Upperbound of 95% confidence interval for alpha
    25.92660
  • Treynor index (mean / b)
    1.30916
  • Jensen alpha (a)
    -5.56815
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.99873
  • Expected Shortfall on VaR
    0.99951
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.45206
  • Expected Shortfall on VaR
    0.89318
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.00001
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    7.72005
  • Mean of quarter 1
    0.47027
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    3.74014
  • Inter Quartile Range
    0.00000
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.18182
  • Mean of outliers low
    0.20541
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.18182
  • Mean of outliers high
    5.11020
  • 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)
    -1.52029
  • VaR(95%) (regression method)
    1.31142
  • Expected Shortfall (regression method)
    1.38639
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.58919
  • Quartile 1
    0.69189
  • Median
    0.79459
  • Quartile 3
    0.89729
  • Maximum
    0.99999
  • Mean of quarter 1
    0.58919
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99999
  • Inter Quartile Range
    0.20540
  • 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)
    -1.09080
  • Compounded annual return (geometric extrapolation)
    -0.99996
  • Calmar ratio (compounded annual return / max draw down)
    -0.99997
  • Compounded annual return / average of 25% largest draw downs
    -0.99997
  • Compounded annual return / Expected Shortfall lognormal
    -1.00045
  • 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
    5.03693
  • SD
    3.36271
  • Sharpe ratio (Glass type estimate)
    1.49788
  • Sharpe ratio (Hedges UMVUE)
    1.49329
  • df
    245.00000
  • t
    1.45142
  • p
    0.07397
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.53065
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.52344
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.53373
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.52030
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.24142
  • Upside Potential Ratio
    6.15676
  • Upside part of mean
    9.56714
  • Downside part of mean
    -4.53022
  • Upside SD
    2.99065
  • Downside SD
    1.55392
  • N nonnegative terms
    30.00000
  • N negative terms
    216.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    246.00000
  • Mean of predictor
    0.70763
  • Mean of criterion
    5.03693
  • SD of predictor
    0.41334
  • SD of criterion
    3.36271
  • Covariance
    -0.05277
  • r
    -0.03797
  • b (slope, estimate of beta)
    -0.30887
  • a (intercept, estimate of alpha)
    5.25500
  • Mean Square Error
    11.33780
  • DF error
    244.00000
  • t(b)
    -0.59348
  • p(b)
    0.72330
  • t(a)
    1.50398
  • p(a)
    0.06694
  • Lowerbound of 95% confidence interval for beta
    -1.33400
  • Upperbound of 95% confidence interval for beta
    0.71625
  • Lowerbound of 95% confidence interval for alpha
    -1.62755
  • Upperbound of 95% confidence interval for alpha
    12.13850
  • Treynor index (mean / b)
    -16.30750
  • Jensen alpha (a)
    5.25549
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -9.84408
  • SD
    11.99960
  • Sharpe ratio (Glass type estimate)
    -0.82037
  • Sharpe ratio (Hedges UMVUE)
    -0.81785
  • df
    245.00000
  • t
    -0.79492
  • p
    0.78629
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.84354
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.20447
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.84185
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.20614
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.83216
  • Upside Potential Ratio
    0.59524
  • Upside part of mean
    7.04143
  • Downside part of mean
    -16.88550
  • Upside SD
    1.95880
  • Downside SD
    11.82950
  • N nonnegative terms
    30.00000
  • N negative terms
    216.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    246.00000
  • Mean of predictor
    0.61974
  • Mean of criterion
    -9.84408
  • SD of predictor
    0.42064
  • SD of criterion
    11.99960
  • Covariance
    -0.34811
  • r
    -0.06897
  • b (slope, estimate of beta)
    -1.96740
  • a (intercept, estimate of alpha)
    -8.62481
  • Mean Square Error
    143.89300
  • DF error
    244.00000
  • t(b)
    -1.07986
  • p(b)
    0.85937
  • t(a)
    -0.69382
  • p(a)
    0.75577
  • Lowerbound of 95% confidence interval for beta
    -5.55606
  • Upperbound of 95% confidence interval for beta
    1.62126
  • Lowerbound of 95% confidence interval for alpha
    -33.11030
  • Upperbound of 95% confidence interval for alpha
    15.86070
  • Treynor index (mean / b)
    5.00360
  • Jensen alpha (a)
    -8.62481
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.71548
  • Expected Shortfall on VaR
    0.78419
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05536
  • Expected Shortfall on VaR
    0.12442
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    246.00000
  • Minimum
    0.00001
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    2.82347
  • Mean of quarter 1
    0.93176
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.14494
  • Inter Quartile Range
    0.00000
  • Number outliers low
    22.00000
  • Percentage of outliers low
    0.08943
  • Mean of outliers low
    0.80770
  • Number of outliers high
    30.00000
  • Percentage of outliers high
    0.12195
  • Mean of outliers high
    1.29954
  • 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)
    0.50657
  • VaR(95%) (regression method)
    0.06288
  • Expected Shortfall (regression method)
    0.30178
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.01683
  • Quartile 1
    0.05536
  • Median
    0.10127
  • Quartile 3
    0.66958
  • Maximum
    0.99999
  • Mean of quarter 1
    0.01710
  • Mean of quarter 2
    0.09731
  • Mean of quarter 3
    0.38114
  • Mean of quarter 4
    0.97900
  • Inter Quartile Range
    0.61422
  • 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)
    -1.06493
  • Compounded annual return (geometric extrapolation)
    -0.99994
  • Calmar ratio (compounded annual return / max draw down)
    -0.99996
  • Compounded annual return / average of 25% largest draw downs
    -1.02139
  • Compounded annual return / Expected Shortfall lognormal
    -1.27514
  • 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
    -2.02788
  • SD
    1.41420
  • Sharpe ratio (Glass type estimate)
    -1.43395
  • Sharpe ratio (Hedges UMVUE)
    -1.42566
  • df
    130.00000
  • t
    -1.01395
  • p
    0.54429
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.20857
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.34599
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.20288
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.35156
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.43379
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -2.02788
  • Upside SD
    0.00000
  • Downside SD
    1.41435
  • 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
    0.95254
  • Mean of criterion
    -2.02788
  • SD of predictor
    0.38142
  • SD of criterion
    1.41420
  • Covariance
    -0.05417
  • r
    -0.10042
  • b (slope, estimate of beta)
    -0.37234
  • a (intercept, estimate of alpha)
    -1.67322
  • Mean Square Error
    1.99513
  • DF error
    129.00000
  • t(b)
    -1.14635
  • p(b)
    0.56382
  • t(a)
    -0.82776
  • p(a)
    0.54623
  • Lowerbound of 95% confidence interval for beta
    -1.01496
  • Upperbound of 95% confidence interval for beta
    0.27029
  • Lowerbound of 95% confidence interval for alpha
    -5.67257
  • Upperbound of 95% confidence interval for alpha
    2.32613
  • Treynor index (mean / b)
    5.44637
  • Jensen alpha (a)
    -1.67322
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -22.60260
  • SD
    15.96270
  • Sharpe ratio (Glass type estimate)
    -1.41596
  • Sharpe ratio (Hedges UMVUE)
    -1.40778
  • df
    130.00000
  • t
    -1.00124
  • p
    0.54374
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.19045
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.36384
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.18486
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.36931
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.41595
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -22.60260
  • Upside SD
    0.00000
  • Downside SD
    15.96290
  • 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
    0.87882
  • Mean of criterion
    -22.60260
  • SD of predictor
    0.38098
  • SD of criterion
    15.96270
  • Covariance
    -0.60735
  • r
    -0.09987
  • b (slope, estimate of beta)
    -4.18447
  • a (intercept, estimate of alpha)
    -18.92520
  • Mean Square Error
    254.22300
  • DF error
    129.00000
  • t(b)
    -1.14000
  • p(b)
    0.56347
  • t(a)
    -0.83084
  • p(a)
    0.54640
  • VAR (95 Confidence Intrvl)
    0.71500
  • Lowerbound of 95% confidence interval for beta
    -11.44680
  • Upperbound of 95% confidence interval for beta
    3.07787
  • Lowerbound of 95% confidence interval for alpha
    -63.99270
  • Upperbound of 95% confidence interval for alpha
    26.14220
  • Treynor index (mean / b)
    5.40154
  • Jensen alpha (a)
    -18.92520
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.81884
  • Expected Shortfall on VaR
    0.87301
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02689
  • Expected Shortfall on VaR
    0.06110
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00001
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    0.96970
  • 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
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.00001
  • 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
    1.00000
  • Minimum
    0.99999
  • Quartile 1
    0.99999
  • Median
    0.99999
  • Quartile 3
    0.99999
  • Maximum
    0.99999
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -360163000
  • Max Equity Drawdown (num days)
    1937
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.99997
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00001
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.14547

Strategy Description

I use a couple of things.
Technical s 20%
Price Action
Naked Setups
Support Resistance
Extreme levels
Mean Regression trading
Renko
Follows fundamentals closely 80%

Summary Statistics

Strategy began
2018-10-10
Suggested Minimum Capital
$80,000
# Trades
78
# Profitable
37
% Profitable
47.4%
Correlation S&P500
-0.194
Sharpe Ratio
0.25
Sortino Ratio
0.56
Beta
-2.61
Alpha
0.00

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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