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Capstone Strategic
(121285788)

Created by: David_Bean David_Bean
Started: 11/2018
Futures
Last trade: Today
Trading style: Futures Short Term Commodities

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.

Trading Category: Futures
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
Commodities
Category: Equity

Commodities

Focuses on non-financial futures such as "softs" and grains, or metals and energy.
6.3%
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.

(10.4%)
Max Drawdown
191
Num Trades
48.2%
Win Trades
1.2 : 1
Profit Factor
33.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                                      (0.4%)  -  (0.4%)
2019+9.1%(0.4%)(3.2%)+1.4%                                                +6.7%

Model Account Details

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

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

Trading Record

This strategy has placed 8 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/25/19 2:45 @NQM9 E-MINI NASDAQ 100 STK IDX SHORT 1 7863.25 4/25 11:01 7836.50 n/a $527
Includes Typical Broker Commissions trade costs of $8.00
4/12/19 9:51 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7643.00 4/12 10:07 7642.00 0.06%
Trade id #123294700
Max drawdown($35)
Time4/12/19 9:54
Quant open1
Worst price7641.25
Drawdown as % of equity-0.06%
($28)
Includes Typical Broker Commissions trade costs of $8.00
4/10/19 14:14 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7613.00 4/10 15:19 7630.75 0.36%
Trade id #123271831
Max drawdown($200)
Time4/10/19 14:25
Quant open1
Worst price7603.00
Drawdown as % of equity-0.36%
$347
Includes Typical Broker Commissions trade costs of $8.00
4/8/19 9:43 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7564.00 4/8 9:50 7574.00 0.1%
Trade id #123238339
Max drawdown($55)
Time4/8/19 9:45
Quant open1
Worst price7561.25
Drawdown as % of equity-0.10%
$192
Includes Typical Broker Commissions trade costs of $8.00
4/8/19 9:37 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7577.25 4/8 9:38 7571.00 0.23%
Trade id #123238140
Max drawdown($125)
Time4/8/19 9:38
Quant open0
Worst price7571.00
Drawdown as % of equity-0.23%
($133)
Includes Typical Broker Commissions trade costs of $8.00
4/4/19 10:28 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7562.25 4/4 15:57 7563.25 1.47%
Trade id #123200899
Max drawdown($805)
Time4/4/19 12:48
Quant open1
Worst price7522.00
Drawdown as % of equity-1.47%
$12
Includes Typical Broker Commissions trade costs of $8.00
4/3/19 13:33 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7593.75 4/3 13:50 7579.25 0.52%
Trade id #123190095
Max drawdown($290)
Time4/3/19 13:50
Quant open0
Worst price7579.25
Drawdown as % of equity-0.52%
($298)
Includes Typical Broker Commissions trade costs of $8.00
4/2/19 11:00 @EUM9 EUROFX LONG 1 1.12630 4/2 13:12 1.12710 0.18%
Trade id #123168686
Max drawdown($100)
Time4/2/19 11:47
Quant open1
Worst price1.12550
Drawdown as % of equity-0.18%
$92
Includes Typical Broker Commissions trade costs of $8.00
3/29/19 9:46 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7390.25 3/29 9:46 7380.25 0.36%
Trade id #123125736
Max drawdown($200)
Time3/29/19 9:46
Quant open0
Worst price7380.25
Drawdown as % of equity-0.36%
($208)
Includes Typical Broker Commissions trade costs of $8.00
3/28/19 15:01 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7338.25 3/29 0:58 7371.75 n/a $662
Includes Typical Broker Commissions trade costs of $8.00
3/28/19 12:17 QGCM9 Gold 100 oz LONG 1 1294.8 3/28 16:31 1295.5 0.27%
Trade id #123115967
Max drawdown($150)
Time3/28/19 12:36
Quant open1
Worst price1293.3
Drawdown as % of equity-0.27%
$62
Includes Typical Broker Commissions trade costs of $8.00
3/28/19 14:50 @NQM9 E-MINI NASDAQ 100 STK IDX SHORT 1 7330.25 3/28 15:01 7338.50 0.3%
Trade id #123117749
Max drawdown($165)
Time3/28/19 15:01
Quant open0
Worst price7338.50
Drawdown as % of equity-0.30%
($173)
Includes Typical Broker Commissions trade costs of $8.00
3/28/19 13:02 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7343.75 3/28 14:50 7330.75 0.54%
Trade id #123116569
Max drawdown($300)
Time3/28/19 14:50
Quant open1
Worst price7328.75
Drawdown as % of equity-0.54%
($268)
Includes Typical Broker Commissions trade costs of $8.00
3/28/19 9:29 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7346.00 3/28 9:34 7331.00 0.54%
Trade id #123111512
Max drawdown($300)
Time3/28/19 9:34
Quant open0
Worst price7331.00
Drawdown as % of equity-0.54%
($308)
Includes Typical Broker Commissions trade costs of $8.00
3/27/19 9:46 @EUM9 EUROFX LONG 1 1.13315 3/27 14:50 1.13395 0.26%
Trade id #123095810
Max drawdown($143)
Time3/27/19 11:07
Quant open1
Worst price1.13200
Drawdown as % of equity-0.26%
$92
Includes Typical Broker Commissions trade costs of $8.00
3/26/19 13:07 @ESM9 E-MINI S&P 500 LONG 1 2819.50 3/26 13:29 2818.00 0.14%
Trade id #123081748
Max drawdown($75)
Time3/26/19 13:29
Quant open1
Worst price2818.00
Drawdown as % of equity-0.14%
($83)
Includes Typical Broker Commissions trade costs of $8.00
3/26/19 10:46 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7415.00 3/26 11:50 7395.00 0.72%
Trade id #123077049
Max drawdown($400)
Time3/26/19 11:50
Quant open0
Worst price7395.00
Drawdown as % of equity-0.72%
($408)
Includes Typical Broker Commissions trade costs of $8.00
3/25/19 14:46 @NQM9 E-MINI NASDAQ 100 STK IDX SHORT 1 7325.00 3/25 15:01 7338.00 0.46%
Trade id #123064465
Max drawdown($260)
Time3/25/19 15:01
Quant open0
Worst price7338.00
Drawdown as % of equity-0.46%
($268)
Includes Typical Broker Commissions trade costs of $8.00
3/22/19 12:23 @EUM9 EUROFX SHORT 1 1.13715 3/22 16:02 1.13810 0.25%
Trade id #123036777
Max drawdown($143)
Time3/22/19 15:30
Quant open-1
Worst price1.13830
Drawdown as % of equity-0.25%
($127)
Includes Typical Broker Commissions trade costs of $8.00
3/22/19 11:19 @EUM9 EUROFX LONG 1 1.13665 3/22 12:23 1.13715 0.24%
Trade id #123033282
Max drawdown($137)
Time3/22/19 11:48
Quant open1
Worst price1.13555
Drawdown as % of equity-0.24%
$55
Includes Typical Broker Commissions trade costs of $8.00
3/22/19 10:22 @NQM9 E-MINI NASDAQ 100 STK IDX SHORT 1 7488.25 3/22 10:28 7470.50 n/a $347
Includes Typical Broker Commissions trade costs of $8.00
3/22/19 10:07 QCLK9 CRUDE OIL LONG 1 58.73 3/22 10:24 59.02 0.11%
Trade id #123030643
Max drawdown($60)
Time3/22/19 10:11
Quant open1
Worst price58.67
Drawdown as % of equity-0.11%
$282
Includes Typical Broker Commissions trade costs of $8.00
3/22/19 9:53 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7470.25 3/22 9:53 7461.00 0.33%
Trade id #123030015
Max drawdown($185)
Time3/22/19 9:53
Quant open0
Worst price7461.00
Drawdown as % of equity-0.33%
($193)
Includes Typical Broker Commissions trade costs of $8.00
3/21/19 11:30 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7468.00 3/21 13:15 7484.50 0.13%
Trade id #123014851
Max drawdown($75)
Time3/21/19 11:32
Quant open1
Worst price7464.25
Drawdown as % of equity-0.13%
$322
Includes Typical Broker Commissions trade costs of $8.00
3/21/19 11:19 @EUM9 EUROFX LONG 1 1.14505 3/21 12:25 1.14265 0.54%
Trade id #123014536
Max drawdown($300)
Time3/21/19 12:25
Quant open0
Worst price1.14265
Drawdown as % of equity-0.54%
($308)
Includes Typical Broker Commissions trade costs of $8.00
3/19/19 15:36 @ESM9 E-MINI S&P 500 LONG 1 2834.25 3/19 15:40 2831.75 0.22%
Trade id #122976544
Max drawdown($125)
Time3/19/19 15:40
Quant open0
Worst price2831.75
Drawdown as % of equity-0.22%
($133)
Includes Typical Broker Commissions trade costs of $8.00
3/19/19 10:14 @SK9 SOYBEANS LONG 1 903 2/4 3/19 11:34 901 2/4 0.18%
Trade id #122970446
Max drawdown($100)
Time3/19/19 11:34
Quant open0
Worst price901 2/4
Drawdown as % of equity-0.18%
($108)
Includes Typical Broker Commissions trade costs of $8.00
3/18/19 11:25 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7341.00 3/18 11:36 7329.25 0.42%
Trade id #122953315
Max drawdown($235)
Time3/18/19 11:36
Quant open0
Worst price7329.25
Drawdown as % of equity-0.42%
($243)
Includes Typical Broker Commissions trade costs of $8.00
3/15/19 14:29 @ESM9 E-MINI S&P 500 LONG 1 2829.00 3/15 14:53 2829.25 0.02%
Trade id #122932185
Max drawdown($12)
Time3/15/19 14:31
Quant open1
Worst price2828.75
Drawdown as % of equity-0.02%
$5
Includes Typical Broker Commissions trade costs of $8.00
3/15/19 10:21 @SK9 SOYBEANS LONG 1 904 1/4 3/15 11:33 907 2/4 0.02%
Trade id #122926531
Max drawdown($12)
Time3/15/19 10:23
Quant open1
Worst price904
Drawdown as % of equity-0.02%
$155
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    11/30/2018
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    145.97
  • Age
    146 days ago
  • What it trades
    Futures
  • # Trades
    191
  • # Profitable
    92
  • % Profitable
    48.20%
  • Avg trade duration
    1.0 hours
  • Max peak-to-valley drawdown
    10.41%
  • drawdown period
    Dec 20, 2018 - Jan 04, 2019
  • Cumul. Return
    6.3%
  • Avg win
    $387.72
  • Avg loss
    $298.05
  • Model Account Values (Raw)
  • Cash
    $56,163
  • Margin Used
    $0
  • Buying Power
    $56,163
  • Ratios
  • W:L ratio
    1.21:1
  • Sharpe Ratio
    1.395
  • Sortino Ratio
    3.263
  • Calmar Ratio
    5.46
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.04900
  • Return Statistics
  • Ann Return (w trading costs)
    16.2%
  • Ann Return (Compnd, No Fees)
    33.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    6.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    848
  • C2 Score
    34.7
  • 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
    $298
  • Avg Win
    $388
  • # Winners
    92
  • # Losers
    99
  • % Winners
    48.2%
  • Frequency
  • Avg Position Time (mins)
    60.13
  • Avg Position Time (hrs)
    1.00
  • Avg Trade Length
    0.0 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29247
  • SD
    0.27511
  • Sharpe ratio (Glass type estimate)
    1.06313
  • Sharpe ratio (Hedges UMVUE)
    0.76928
  • df
    3.00000
  • t
    0.61380
  • p
    0.29138
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.50547
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.47478
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.68083
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.21939
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.13647
  • Upside Potential Ratio
    9.02094
  • Upside part of mean
    0.42995
  • Downside part of mean
    -0.13748
  • Upside SD
    0.24823
  • Downside SD
    0.04766
  • N nonnegative terms
    1.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.14023
  • Mean of criterion
    0.29247
  • SD of predictor
    0.32635
  • SD of criterion
    0.27511
  • Covariance
    0.06186
  • r
    0.68900
  • b (slope, estimate of beta)
    0.58082
  • a (intercept, estimate of alpha)
    0.21102
  • Mean Square Error
    0.05963
  • DF error
    2.00000
  • t(b)
    1.34444
  • p(b)
    0.15550
  • t(a)
    0.49388
  • p(a)
    0.33515
  • Lowerbound of 95% confidence interval for beta
    -1.27799
  • Upperbound of 95% confidence interval for beta
    2.43962
  • Lowerbound of 95% confidence interval for alpha
    -1.62741
  • Upperbound of 95% confidence interval for alpha
    2.04946
  • Treynor index (mean / b)
    0.50356
  • Jensen alpha (a)
    0.21102
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26262
  • SD
    0.25855
  • Sharpe ratio (Glass type estimate)
    1.01577
  • Sharpe ratio (Hedges UMVUE)
    0.73501
  • df
    3.00000
  • t
    0.58645
  • p
    0.29939
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.54156
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.42233
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.71031
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.18034
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.47411
  • Upside Potential Ratio
    8.35687
  • Upside part of mean
    0.40093
  • Downside part of mean
    -0.13830
  • Upside SD
    0.23148
  • Downside SD
    0.04798
  • N nonnegative terms
    1.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.09896
  • Mean of criterion
    0.26262
  • SD of predictor
    0.32988
  • SD of criterion
    0.25855
  • Covariance
    0.05653
  • r
    0.66277
  • b (slope, estimate of beta)
    0.51945
  • a (intercept, estimate of alpha)
    0.21122
  • Mean Square Error
    0.05623
  • DF error
    2.00000
  • t(b)
    1.25169
  • p(b)
    0.16862
  • t(a)
    0.51174
  • p(a)
    0.32987
  • Lowerbound of 95% confidence interval for beta
    -1.26615
  • Upperbound of 95% confidence interval for beta
    2.30505
  • Lowerbound of 95% confidence interval for alpha
    -1.56471
  • Upperbound of 95% confidence interval for alpha
    1.98714
  • Treynor index (mean / b)
    0.50558
  • Jensen alpha (a)
    0.21122
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09596
  • Expected Shortfall on VaR
    0.12339
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02425
  • Expected Shortfall on VaR
    0.02633
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.98127
  • Quartile 1
    0.98636
  • Median
    0.98994
  • Quartile 3
    1.03028
  • Maximum
    1.14565
  • Mean of quarter 1
    0.98127
  • Mean of quarter 2
    0.98806
  • Mean of quarter 3
    0.99182
  • Mean of quarter 4
    1.14565
  • Inter Quartile Range
    0.04392
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    1.14565
  • 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
    2.00000
  • Minimum
    0.01194
  • Quartile 1
    0.01564
  • Median
    0.01934
  • Quartile 3
    0.02305
  • Maximum
    0.02675
  • Mean of quarter 1
    0.01194
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.02675
  • Inter Quartile Range
    0.00740
  • 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)
    0.30507
  • Compounded annual return (geometric extrapolation)
    0.33714
  • Calmar ratio (compounded annual return / max draw down)
    12.60420
  • Compounded annual return / average of 25% largest draw downs
    12.60420
  • Compounded annual return / Expected Shortfall lognormal
    2.73239
  • 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
    0.28911
  • SD
    0.20570
  • Sharpe ratio (Glass type estimate)
    1.40547
  • Sharpe ratio (Hedges UMVUE)
    1.39469
  • df
    98.00000
  • t
    0.86395
  • p
    0.19486
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.79257
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.59648
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.79974
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.58912
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.26325
  • Upside Potential Ratio
    10.02170
  • Upside part of mean
    0.88788
  • Downside part of mean
    -0.59877
  • Upside SD
    0.18535
  • Downside SD
    0.08860
  • N nonnegative terms
    45.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    99.00000
  • Mean of predictor
    0.14762
  • Mean of criterion
    0.28911
  • SD of predictor
    0.17726
  • SD of criterion
    0.20570
  • Covariance
    0.00385
  • r
    0.10556
  • b (slope, estimate of beta)
    0.12250
  • a (intercept, estimate of alpha)
    0.27100
  • Mean Square Error
    0.04227
  • DF error
    97.00000
  • t(b)
    1.04550
  • p(b)
    0.14919
  • t(a)
    0.80922
  • p(a)
    0.21019
  • Lowerbound of 95% confidence interval for beta
    -0.11005
  • Upperbound of 95% confidence interval for beta
    0.35505
  • Lowerbound of 95% confidence interval for alpha
    -0.39371
  • Upperbound of 95% confidence interval for alpha
    0.93576
  • Treynor index (mean / b)
    2.36008
  • Jensen alpha (a)
    0.27103
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26874
  • SD
    0.20022
  • Sharpe ratio (Glass type estimate)
    1.34219
  • Sharpe ratio (Hedges UMVUE)
    1.33189
  • df
    98.00000
  • t
    0.82505
  • p
    0.20567
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.85516
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.53282
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.86202
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.52580
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.00199
  • Upside Potential Ratio
    9.73442
  • Upside part of mean
    0.87142
  • Downside part of mean
    -0.60269
  • Upside SD
    0.17874
  • Downside SD
    0.08952
  • N nonnegative terms
    45.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    99.00000
  • Mean of predictor
    0.13206
  • Mean of criterion
    0.26874
  • SD of predictor
    0.17692
  • SD of criterion
    0.20022
  • Covariance
    0.00381
  • r
    0.10746
  • b (slope, estimate of beta)
    0.12161
  • a (intercept, estimate of alpha)
    0.25268
  • Mean Square Error
    0.04004
  • DF error
    97.00000
  • t(b)
    1.06451
  • p(b)
    0.14487
  • t(a)
    0.77544
  • p(a)
    0.21998
  • Lowerbound of 95% confidence interval for beta
    -0.10513
  • Upperbound of 95% confidence interval for beta
    0.34836
  • Lowerbound of 95% confidence interval for alpha
    -0.39405
  • Upperbound of 95% confidence interval for alpha
    0.89940
  • Treynor index (mean / b)
    2.20977
  • Jensen alpha (a)
    0.25268
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01914
  • Expected Shortfall on VaR
    0.02418
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00550
  • Expected Shortfall on VaR
    0.01136
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    99.00000
  • Minimum
    0.97179
  • Quartile 1
    0.99766
  • Median
    1.00000
  • Quartile 3
    1.00231
  • Maximum
    1.09531
  • Mean of quarter 1
    0.99184
  • Mean of quarter 2
    0.99934
  • Mean of quarter 3
    1.00105
  • Mean of quarter 4
    1.01260
  • Inter Quartile Range
    0.00466
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.05051
  • Mean of outliers low
    0.97976
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    1.02643
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35701
  • VaR(95%) (moments method)
    0.00768
  • Expected Shortfall (moments method)
    0.01430
  • Extreme Value Index (regression method)
    0.01916
  • VaR(95%) (regression method)
    0.00815
  • Expected Shortfall (regression method)
    0.01174
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00005
  • Quartile 1
    0.01204
  • Median
    0.03472
  • Quartile 3
    0.05763
  • Maximum
    0.06325
  • Mean of quarter 1
    0.00604
  • Mean of quarter 2
    0.03472
  • Mean of quarter 3
    0.05763
  • Mean of quarter 4
    0.06325
  • Inter Quartile Range
    0.04558
  • 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)
    0.31391
  • Compounded annual return (geometric extrapolation)
    0.34534
  • Calmar ratio (compounded annual return / max draw down)
    5.45953
  • Compounded annual return / average of 25% largest draw downs
    5.45953
  • Compounded annual return / Expected Shortfall lognormal
    14.28070

Strategy Description

Selection of trades from a list of trading systems from Capstone Trading Systems managed with discretion based on inter market analysis, news events, market sentiment, strategy performance, and support and resistance points, adjusted for market volatility, that align with the trading system.

Summary Statistics

Strategy began
2018-11-30
Suggested Minimum Capital
$50,000
# Trades
191
# Profitable
92
% Profitable
48.2%
Correlation S&P500
0.049
Sharpe Ratio
1.395

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.