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SHORT BOY
(120941870)

Created by: Short Short
Started: 11/2018
Stocks
Last trade: 87 days ago

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 $95.00 per month.

-130.4%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(100.0%)
Max Drawdown
64
Num Trades
73.4%
Win Trades
0.7 : 1
Profit Factor
16.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                                      +23.7%(92%)(90.1%)
2019(404.5%)(0.6%)(0.6%)(0.6%)                                                (410.3%)

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 168 hours.

Trading Record

This strategy has placed 16 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/25/19 15:22 DGAZ VELOCITYSHARES 3X INV NATURAL SHORT 1,500 74.81 1/28 10:46 86.67 430.1%
Trade id #122192446
Max drawdown($22,245)
Time1/28/19 7:01
Quant open-1,500
Worst price89.64
Drawdown as % of equity430.10%
($17,795)
Includes Typical Broker Commissions trade costs of $5.00
1/25/19 15:21 DWT VELOCITYSHARES 3X INV CRUDE & S&P SHORT 13,000 9.60 1/28 10:46 10.65 101.49%
Trade id #122192410
Max drawdown($13,715)
Time1/28/19 10:46
Quant open-13,000
Worst price10.65
Drawdown as % of equity101.49%
($13,655)
Includes Typical Broker Commissions trade costs of $5.00
1/25/19 15:22 DRIP DIREXION DAILY S&P OIL GAS EXPL PROD BEA SHORT 10,000 10.76 1/28 10:46 11.58 87.32%
Trade id #122192488
Max drawdown($11,800)
Time1/28/19 10:05
Quant open-10,000
Worst price11.94
Drawdown as % of equity87.32%
($8,205)
Includes Typical Broker Commissions trade costs of $5.00
1/22/19 13:50 TQQQ PROSHARES ULTRAPRO QQQ SHORT 8,500 42.26 1/25 15:19 44.90 93.96%
Trade id #122114628
Max drawdown($24,738)
Time1/25/19 12:41
Quant open-8,500
Worst price45.17
Drawdown as % of equity-93.96%
($22,453)
Includes Typical Broker Commissions trade costs of $10.00
1/22/19 11:00 USLV VELOCITYSHARES 3X LONG SILVER SHORT 1,000 70.78 1/22 14:45 71.54 1%
Trade id #122108269
Max drawdown$500
Time1/22/19 11:02
Quant open
Worst price71.50
Drawdown as % of equity1.00%
($765)
Includes Typical Broker Commissions trade costs of $5.00
1/18/19 10:49 STNG SCORPIO TANKERS SHORT 12,000 20.75 1/22 10:25 20.11 12.4%
Trade id #122055689
Max drawdown$8,700
Time1/18/19 11:23
Quant open
Worst price21.25
Drawdown as % of equity12.40%
$7,713
Includes Typical Broker Commissions trade costs of $7.50
1/17/19 14:08 MBOT MICROBOT MEDICAL INC SHORT 20,000 9.54 1/22 10:24 7.78 33.31%
Trade id #122037665
Max drawdown$9,000
Time1/17/19 14:12
Quant open
Worst price10.00
Drawdown as % of equity33.31%
$35,213
Includes Typical Broker Commissions trade costs of $7.50
1/15/19 14:43 TQQQ PROSHARES ULTRAPRO QQQ SHORT 8,300 42.27 1/18 10:48 44.35 38.98%
Trade id #121990842
Max drawdown$13,200
Time1/15/19 14:50
Quant open
Worst price44.93
Drawdown as % of equity38.98%
($17,253)
Includes Typical Broker Commissions trade costs of $12.50
1/16/19 10:21 DSLV VELOCITYSHARES 3X INVERSE SILV SHORT 4,000 27.37 1/17 14:07 27.99 14.2%
Trade id #122005418
Max drawdown$3,335
Time1/16/19 10:33
Quant open
Worst price28.20
Drawdown as % of equity14.20%
($2,485)
Includes Typical Broker Commissions trade costs of $5.00
1/11/19 14:33 DSLV VELOCITYSHARES 3X INVERSE SILV SHORT 8,120 27.30 1/15 14:40 27.47 9.42%
Trade id #121928331
Max drawdown$4,872
Time1/15/19 9:31
Quant open
Worst price27.64
Drawdown as % of equity9.42%
($1,404)
Includes Typical Broker Commissions trade costs of $10.00
1/11/19 9:30 DWT VELOCITYSHARES 3X INV CRUDE & S&P SHORT 6,050 10.75 1/15 14:40 10.57 8.16%
Trade id #121917197
Max drawdown$4,114
Time1/11/19 17:06
Quant open
Worst price11.48
Drawdown as % of equity8.16%
$1,071
Includes Typical Broker Commissions trade costs of $10.00
1/11/19 14:39 SPXU PROSHARES ULTRAPRO SHORT S&P50 SHORT 5,450 41.80 1/15 14:39 41.91 11.53%
Trade id #121928502
Max drawdown$5,918
Time1/11/19 18:23
Quant open
Worst price42.90
Drawdown as % of equity11.53%
($621)
Includes Typical Broker Commissions trade costs of $15.00
1/11/19 14:32 DRIP DIREXION DAILY S&P OIL GAS EXPL PROD BEA SHORT 2,900 11.30 1/14 10:31 11.13 0.95%
Trade id #121928291
Max drawdown$985
Time1/11/19 20:01
Quant open
Worst price11.60
Drawdown as % of equity0.95%
$486
Includes Typical Broker Commissions trade costs of $7.50
1/11/19 14:40 DGAZ VELOCITYSHARES 3X INV NATURAL SHORT 280 102.23 1/14 10:26 72.72 2.35%
Trade id #121928539
Max drawdown$2,430
Time1/14/19 4:01
Quant open
Worst price85.16
Drawdown as % of equity2.35%
$8,257
Includes Typical Broker Commissions trade costs of $5.60
1/7/19 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 9,150 39.82 1/11 14:18 41.14 61.21%
Trade id #121814890
Max drawdown$20,221
Time1/8/19 9:36
Quant open
Worst price38.90
Drawdown as % of equity61.21%
$11,997
Includes Typical Broker Commissions trade costs of $15.00
1/11/19 9:30 DRIP DIREXION DAILY S&P OIL GAS EXPL PROD BEA SHORT 1,550 11.23 1/11 12:05 11.17 0.39%
Trade id #121917200
Max drawdown$325
Time1/11/19 9:31
Quant open
Worst price11.53
Drawdown as % of equity0.39%
$88
Includes Typical Broker Commissions trade costs of $5.00
1/11/19 9:30 DSLV VELOCITYSHARES 3X INVERSE SILV SHORT 575 27.55 1/11 12:04 27.26 0.03%
Trade id #121917269
Max drawdown$23
Time1/11/19 9:31
Quant open
Worst price27.59
Drawdown as % of equity0.03%
$162
Includes Typical Broker Commissions trade costs of $5.00
1/11/19 9:30 DGAZ VELOCITYSHARES 3X INV NATURAL SHORT 116 110.42 1/11 12:04 108.18 0.32%
Trade id #121917262
Max drawdown$269
Time1/11/19 9:36
Quant open
Worst price112.36
Drawdown as % of equity0.32%
$258
Includes Typical Broker Commissions trade costs of $2.32
1/11/19 9:30 YANG DIREXION DAILY FTSE CHINA BEAR 3X SHORT 265 60.32 1/11 12:03 59.92 0.11%
Trade id #121917246
Max drawdown$95
Time1/11/19 9:33
Quant open
Worst price60.61
Drawdown as % of equity0.11%
$101
Includes Typical Broker Commissions trade costs of $5.30
1/11/19 9:30 SPXU PROSHARES ULTRAPRO SHORT S&P50 SHORT 1,180 42.12 1/11 12:03 41.76 0.43%
Trade id #121917183
Max drawdown$365
Time1/11/19 10:12
Quant open
Worst price42.34
Drawdown as % of equity0.43%
$419
Includes Typical Broker Commissions trade costs of $8.80
1/4/19 11:37 UWT VELOCITY SHS 3X LONG CRUDE OIL TO S&P/GSCI INDEX LONG 34,000 10.28 1/7 9:30 10.60 26.63%
Trade id #121788069
Max drawdown$23,120
Time1/7/19 5:39
Quant open
Worst price10.45
Drawdown as % of equity26.63%
$10,957
Includes Typical Broker Commissions trade costs of $7.50
12/24/18 9:30 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 3,800 83.73 1/4/19 9:30 79.94 65.07%
Trade id #121641471
Max drawdown$60,281
Time12/27/18 14:28
Quant open
Worst price77.22
Drawdown as % of equity65.07%
($14,413)
Includes Typical Broker Commissions trade costs of $9.00
12/3/18 15:37 TQQQ PROSHARES ULTRAPRO QQQ LONG 17,910 46.90 12/24 9:30 44.38 29.6%
Trade id #121320089
Max drawdown$39,446
Time12/12/18 13:13
Quant open
Worst price31.60
Drawdown as % of equity29.60%
($45,341)
Includes Typical Broker Commissions trade costs of $71.90
12/18/18 14:44 UWT VELOCITY SHS 3X LONG CRUDE OIL TO S&P/GSCI INDEX LONG 10,000 9.71 12/24 9:30 8.92 64.42%
Trade id #121559055
Max drawdown$21,712
Time12/19/18 11:01
Quant open
Worst price8.59
Drawdown as % of equity64.42%
($7,901)
Includes Typical Broker Commissions trade costs of $7.50
12/11/18 15:58 YINN DIREXION DAILY FTSE CHINA BULL LONG 4,000 19.89 12/24 9:30 17.26 20.61%
Trade id #121451387
Max drawdown$14,440
Time12/13/18 13:41
Quant open
Worst price17.13
Drawdown as % of equity20.61%
($10,519)
Includes Typical Broker Commissions trade costs of $10.00
12/7/18 13:11 GUSH DIREXION DAILY S&P OIL GAS EXPL PROD BUL LONG 19,390 12.48 12/20 13:57 8.86 110.47%
Trade id #121403250
Max drawdown$94,521
Time12/7/18 13:13
Quant open
Worst price7.56
Drawdown as % of equity110.47%
($70,295)
Includes Typical Broker Commissions trade costs of $47.50
12/13/18 15:58 CANE TEUCRIUM SUGAR LONG 5,800 7.44 12/19 15:00 7.22 3.41%
Trade id #121490601
Max drawdown$1,705
Time12/14/18 11:22
Quant open
Worst price6.67
Drawdown as % of equity3.41%
($1,269)
Includes Typical Broker Commissions trade costs of $7.50
12/10/18 11:56 DGAZ VELOCITYSHARES 3X INV NATURAL LONG 1,850 51.22 12/12 15:54 64.46 5.56%
Trade id #121426182
Max drawdown$7,881
Time12/12/18 8:58
Quant open
Worst price59.29
Drawdown as % of equity5.56%
$24,480
Includes Typical Broker Commissions trade costs of $15.00
12/7/18 13:12 UWT VELOCITY SHS 3X LONG CRUDE OIL TO S&P/GSCI INDEX LONG 8,220 14.58 12/12 12:07 14.12 25.55%
Trade id #121403273
Max drawdown$21,783
Time12/7/18 13:17
Quant open
Worst price13.07
Drawdown as % of equity25.55%
($3,816)
Includes Typical Broker Commissions trade costs of $27.50
12/7/18 11:29 UWT VELOCITY SHS 3X LONG CRUDE OIL TO S&P/GSCI INDEX LONG 2,800 15.55 12/7 13:05 15.71 0.85%
Trade id #121400641
Max drawdown$728
Time12/7/18 11:46
Quant open
Worst price15.51
Drawdown as % of equity0.85%
$443
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    11/14/2018
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    157.74
  • Age
    162 days ago
  • What it trades
    Stocks
  • # Trades
    64
  • # Profitable
    47
  • % Profitable
    73.40%
  • Avg trade duration
    3.0 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Jan 02, 2019 - April 14, 2019
  • Cumul. Return
    -130.4%
  • Avg win
    $3,728
  • Avg loss
    $14,066
  • Model Account Values (Raw)
  • Cash
    ($13,887)
  • Margin Used
    $0
  • Buying Power
    ($13,887)
  • Ratios
  • W:L ratio
    0.73:1
  • Sharpe Ratio
    1.969
  • Sortino Ratio
    5259.3
  • Calmar Ratio
    -1
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.13300
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • 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 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $14,066
  • Avg Win
    $3,729
  • # Winners
    47
  • # Losers
    17
  • % Winners
    73.4%
  • Frequency
  • Avg Position Time (mins)
    4292.98
  • Avg Position Time (hrs)
    71.55
  • Avg Trade Length
    3.0 days
  • Last Trade Ago
    83
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -4.31092
  • SD
    3.18398
  • Sharpe ratio (Glass type estimate)
    -1.35394
  • Sharpe ratio (Hedges UMVUE)
    -0.76388
  • df
    2.00000
  • t
    -0.67697
  • p
    0.71588
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.32522
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.89160
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.75464
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.22689
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.70625
  • Upside Potential Ratio
    1.09795
  • Upside part of mean
    2.77400
  • Downside part of mean
    -7.08492
  • Upside SD
    1.38700
  • Downside SD
    2.52654
  • N nonnegative terms
    1.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.23576
  • Mean of criterion
    -4.31092
  • SD of predictor
    0.26655
  • SD of criterion
    3.18398
  • Covariance
    -0.80195
  • r
    -0.94492
  • b (slope, estimate of beta)
    -11.28710
  • a (intercept, estimate of alpha)
    -1.64983
  • Mean Square Error
    2.17220
  • DF error
    1.00000
  • t(b)
    -2.88688
  • p(b)
    0.89386
  • t(a)
    -0.53420
  • p(a)
    0.65617
  • Lowerbound of 95% confidence interval for beta
    -60.96570
  • Upperbound of 95% confidence interval for beta
    38.39150
  • Lowerbound of 95% confidence interval for alpha
    -40.89220
  • Upperbound of 95% confidence interval for alpha
    37.59250
  • Treynor index (mean / b)
    0.38193
  • Jensen alpha (a)
    -1.64983
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -43.28230
  • SD
    19.15690
  • Sharpe ratio (Glass type estimate)
    -2.25936
  • Sharpe ratio (Hedges UMVUE)
    -1.27471
  • df
    2.00000
  • t
    -1.12968
  • p
    0.81206
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.49540
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.35469
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.38886
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.83945
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.16502
  • Upside Potential Ratio
    0.10521
  • Upside part of mean
    2.10338
  • Downside part of mean
    -45.38570
  • Upside SD
    1.05169
  • Downside SD
    19.99160
  • N nonnegative terms
    1.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.21008
  • Mean of criterion
    -43.28230
  • SD of predictor
    0.26244
  • SD of criterion
    19.15690
  • Covariance
    -4.57521
  • r
    -0.91002
  • b (slope, estimate of beta)
    -66.42700
  • a (intercept, estimate of alpha)
    -29.32760
  • Mean Square Error
    126.14000
  • DF error
    1.00000
  • t(b)
    -2.19516
  • p(b)
    0.86394
  • t(a)
    -1.25629
  • p(a)
    0.78600
  • Lowerbound of 95% confidence interval for beta
    -450.92600
  • Upperbound of 95% confidence interval for beta
    318.07200
  • Lowerbound of 95% confidence interval for alpha
    -325.95000
  • Upperbound of 95% confidence interval for alpha
    267.29400
  • Treynor index (mean / b)
    0.65158
  • Jensen alpha (a)
    -29.32760
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    1.00000
  • Expected Shortfall on VaR
    1.00000
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    1.30915
  • Expected Shortfall on VaR
    1.49295
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    0.00005
  • Quartile 1
    0.11671
  • Median
    0.23338
  • Quartile 3
    0.96460
  • Maximum
    1.69583
  • Mean of quarter 1
    0.00005
  • Mean of quarter 2
    0.23338
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.69583
  • Inter Quartile Range
    0.84789
  • 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
    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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -3.99992
  • 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
    -1.00000
  • 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
    19249.90000
  • SD
    9662.03000
  • Sharpe ratio (Glass type estimate)
    1.99232
  • Sharpe ratio (Hedges UMVUE)
    1.96925
  • df
    65.00000
  • t
    0.99996
  • p
    0.16052
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.93517
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.90479
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.95045
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.88894
  • Statistics related to Sortino ratio
  • Sortino ratio
    5259.30000
  • Upside Potential Ratio
    5265.94000
  • Upside part of mean
    19274.20000
  • Downside part of mean
    -24.29280
  • Upside SD
    9662.03000
  • Downside SD
    3.66016
  • N nonnegative terms
    29.00000
  • N negative terms
    37.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    66.00000
  • Mean of predictor
    0.23490
  • Mean of criterion
    19249.90000
  • SD of predictor
    0.23253
  • SD of criterion
    9662.03000
  • Covariance
    117.34400
  • r
    0.05223
  • b (slope, estimate of beta)
    2170.30000
  • a (intercept, estimate of alpha)
    18740.10000
  • Mean Square Error
    94554900.00000
  • DF error
    64.00000
  • t(b)
    0.41841
  • p(b)
    0.33852
  • t(a)
    0.96537
  • p(a)
    0.16900
  • Lowerbound of 95% confidence interval for beta
    -8191.92000
  • Upperbound of 95% confidence interval for beta
    12532.50000
  • Lowerbound of 95% confidence interval for alpha
    -20040.50000
  • Upperbound of 95% confidence interval for alpha
    57520.70000
  • Treynor index (mean / b)
    8.86967
  • Jensen alpha (a)
    18740.10000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -42.95470
  • SD
    32.23880
  • Sharpe ratio (Glass type estimate)
    -1.33239
  • Sharpe ratio (Hedges UMVUE)
    -1.31696
  • df
    65.00000
  • t
    -0.66873
  • p
    0.74698
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.23911
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.58441
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.22856
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.59465
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.58142
  • Upside Potential Ratio
    1.95322
  • Upside part of mean
    53.05360
  • Downside part of mean
    -96.00830
  • Upside SD
    17.11310
  • Downside SD
    27.16210
  • N nonnegative terms
    29.00000
  • N negative terms
    37.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    66.00000
  • Mean of predictor
    0.20827
  • Mean of criterion
    -42.95470
  • SD of predictor
    0.23182
  • SD of criterion
    32.23880
  • Covariance
    -0.57607
  • r
    -0.07708
  • b (slope, estimate of beta)
    -10.71980
  • a (intercept, estimate of alpha)
    -40.72200
  • Mean Square Error
    1049.31000
  • DF error
    64.00000
  • t(b)
    -0.61849
  • p(b)
    0.73078
  • t(a)
    -0.62997
  • p(a)
    0.73452
  • Lowerbound of 95% confidence interval for beta
    -45.34470
  • Upperbound of 95% confidence interval for beta
    23.90510
  • Lowerbound of 95% confidence interval for alpha
    -169.85800
  • Upperbound of 95% confidence interval for alpha
    88.41350
  • Treynor index (mean / b)
    4.00704
  • Jensen alpha (a)
    -40.72200
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.96794
  • Expected Shortfall on VaR
    0.98296
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.22670
  • Expected Shortfall on VaR
    0.46988
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    66.00000
  • Minimum
    0.00003
  • Quartile 1
    0.93483
  • Median
    1.00000
  • Quartile 3
    1.09490
  • Maximum
    4850.42000
  • Mean of quarter 1
    0.65141
  • Mean of quarter 2
    0.98815
  • Mean of quarter 3
    1.02563
  • Mean of quarter 4
    286.58400
  • Inter Quartile Range
    0.16006
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.12121
  • Mean of outliers low
    0.43180
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.10606
  • Mean of outliers high
    694.30400
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.18536
  • VaR(95%) (moments method)
    0.24258
  • Expected Shortfall (moments method)
    0.39970
  • Extreme Value Index (regression method)
    -1.45161
  • VaR(95%) (regression method)
    0.40459
  • Expected Shortfall (regression method)
    0.42546
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.01187
  • Quartile 1
    0.04337
  • Median
    0.08140
  • Quartile 3
    0.12834
  • Maximum
    0.99999
  • Mean of quarter 1
    0.02511
  • Mean of quarter 2
    0.05844
  • Mean of quarter 3
    0.10435
  • Mean of quarter 4
    0.56816
  • Inter Quartile Range
    0.08496
  • 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
    0.16667
  • Mean of outliers high
    0.99999
  • 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)
    -3.96962
  • 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
    -1.76007
  • Compounded annual return / Expected Shortfall lognormal
    -1.01734

Strategy Description

Trades a variety of stocks short

Trading is always risky so be cautious.

Summary Statistics

Strategy began
2018-11-14
Suggested Minimum Capital
$35,000
# Trades
64
# Profitable
47
% Profitable
73.4%
Correlation S&P500
-0.133
Sharpe Ratio
1.969

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.