Collective2 Collective2
Featured Strategy Easiest +108.7% Annual Return (Compounded) since Mar 27, 2023 Hypothetical

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This is an archived track record. This track record was archived on 3/19/19 12:06 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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IB Latest and Greatest
(121450215)

Created by: JohnSnow2019 JohnSnow2019
Started: 12/2018
Stocks
Last trade: 1,857 days ago
Trading style: Equity Non-hedged Equity Event-driven
Subscriptions not currently available.

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 $25.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
Event-driven
Category: Equity

Event-driven

Seeks to exploit pricing inefficiencies that may occur before or after a corporate event, such as an earnings call, bankruptcy, merger, acquisition, or spinoff.
10.2%
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.

(5.5%)
Max Drawdown
166
Num Trades
56.0%
Win Trades
1.8 : 1
Profit Factor
3.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                                             (3.3%)(3.3%)
2019+3.7%(0.6%)+3.4%  -    -    -    -    -    -    -  +6.6%
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

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

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/18/19 9:30 SPY SPDR S&P 500 LONG 188 281.55 3/19 12:06 284.31 n/a $515
Includes Typical Broker Commissions trade costs of $3.76
3/15/19 12:59 TLT ISHARES 20+ YEAR TREASURY BOND LONG 1,691 121.54 3/19 12:06 121.48 n/a ($106)
Includes Typical Broker Commissions trade costs of $5.00
2/21/19 9:30 UPRO PROSHARES ULTRAPRO S&P 500 LONG 1,097 46.72 3/18 9:30 49.01 1.22%
Trade id #122618054
Max drawdown($3,082)
Time3/8/19 10:07
Quant open1,097
Worst price43.91
Drawdown as % of equity-1.22%
 $2,507
Includes Typical Broker Commissions trade costs of $5.00
2/13/19 14:26 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 10,587 19.19 3/15 12:24 19.32 4.95%
Trade id #122509005
Max drawdown($12,177)
Time3/1/19 17:28
Quant open10,587
Worst price18.04
Drawdown as % of equity-4.95%
 $1,364
Includes Typical Broker Commissions trade costs of $10.00
3/4/19 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 769 52.52 3/11 10:30 50.04 1.22%
Trade id #122770775
Max drawdown($3,076)
Time3/8/19 10:17
Quant open769
Worst price48.52
Drawdown as % of equity-1.22%
 ($1,912)
Includes Typical Broker Commissions trade costs of $5.00
2/15/19 15:33 ZIV VELOCITYSHARES DAILY INVERSE V LONG 1,756 72.62 2/21 9:30 73.10 0.02%
Trade id #122552643
Max drawdown($43)
Time2/15/19 15:59
Quant open540
Worst price71.99
Drawdown as % of equity-0.02%
 $829
Includes Typical Broker Commissions trade costs of $7.50
2/13/19 14:27 GLD SPDR GOLD SHARES LONG 1 123.65 2/20 12:02 127.06 0%
Trade id #122509063
Max drawdown($0)
Time2/14/19 7:50
Quant open1
Worst price123.08
Drawdown as % of equity-0.00%
 $3
Includes Typical Broker Commissions trade costs of $0.02
2/13/19 14:27 DBC INVESCO DB COMMODITY INDEX LONG 12 15.59 2/20 12:02 16.06 0%
Trade id #122509060
Max drawdown($6)
Time2/14/19 18:56
Quant open12
Worst price15.01
Drawdown as % of equity-0.00%
 $6
Includes Typical Broker Commissions trade costs of $0.24
2/13/19 14:27 BIV VANGUARD INTERMEDIATE-TERM BON LONG 46 82.11 2/20 12:02 82.36 0%
Trade id #122509057
Max drawdown($0)
Time2/13/19 15:08
Quant open46
Worst price82.09
Drawdown as % of equity-0.00%
 $11
Includes Typical Broker Commissions trade costs of $0.92
2/13/19 14:27 BLV VANGUARD LONG-TERM BOND INDEX LONG 114 88.59 2/20 12:02 88.86 0%
Trade id #122509054
Max drawdown($1)
Time2/13/19 14:46
Quant open114
Worst price88.58
Drawdown as % of equity-0.00%
 $29
Includes Typical Broker Commissions trade costs of $2.28
2/13/19 14:27 SPTM SPDR PORTFOLIO S&P 1500 COMPOSITE STOCK MARKET ETF LONG 221 34.34 2/20 12:02 34.78 0.02%
Trade id #122509038
Max drawdown($55)
Time2/14/19 9:48
Quant open221
Worst price34.09
Drawdown as % of equity-0.02%
 $93
Includes Typical Broker Commissions trade costs of $4.42
2/19/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 882 43.66 2/20 11:53 44.59 n/a $815
Includes Typical Broker Commissions trade costs of $5.00
2/15/19 15:33 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 776 50.16 2/20 11:50 50.83 0.16%
Trade id #122552649
Max drawdown($403)
Time2/19/19 9:32
Quant open776
Worst price49.64
Drawdown as % of equity-0.16%
 $515
Includes Typical Broker Commissions trade costs of $5.00
2/15/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 1,671 22.65 2/19 9:31 22.60 0.23%
Trade id #122541605
Max drawdown($584)
Time2/15/19 17:53
Quant open1,671
Worst price22.30
Drawdown as % of equity-0.23%
 ($89)
Includes Typical Broker Commissions trade costs of $5.00
2/13/19 15:36 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,725 43.34 2/15 9:30 43.60 0.91%
Trade id #122510899
Max drawdown($2,311)
Time2/14/19 9:47
Quant open1,725
Worst price42.00
Drawdown as % of equity-0.91%
 $444
Includes Typical Broker Commissions trade costs of $5.00
2/13/19 15:36 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 746 50.01 2/14 15:36 49.61 0.37%
Trade id #122510896
Max drawdown($932)
Time2/14/19 9:48
Quant open746
Worst price48.76
Drawdown as % of equity-0.37%
 ($303)
Includes Typical Broker Commissions trade costs of $5.00
2/13/19 15:36 ZIV VELOCITYSHARES DAILY INVERSE V LONG 518 72.07 2/14 15:36 71.58 0.23%
Trade id #122510904
Max drawdown($580)
Time2/14/19 9:49
Quant open518
Worst price70.95
Drawdown as % of equity-0.23%
 ($259)
Includes Typical Broker Commissions trade costs of $5.00
2/13/19 10:37 TQQQ PROSHARES ULTRAPRO QQQ LONG 5,135 50.04 2/13 12:39 49.47 1.58%
Trade id #122502585
Max drawdown($4,056)
Time2/13/19 11:33
Quant open5,135
Worst price49.25
Drawdown as % of equity-1.58%
 ($2,932)
Includes Typical Broker Commissions trade costs of $5.00
2/12/19 15:48 ZIV VELOCITYSHARES DAILY INVERSE V LONG 537 71.22 2/13 10:21 71.54 0.06%
Trade id #122488013
Max drawdown($155)
Time2/13/19 9:15
Quant open537
Worst price70.93
Drawdown as % of equity-0.06%
 $167
Includes Typical Broker Commissions trade costs of $5.00
2/12/19 15:48 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 769 49.67 2/13 10:21 49.71 0.02%
Trade id #122488001
Max drawdown($53)
Time2/13/19 10:17
Quant open769
Worst price49.60
Drawdown as % of equity-0.02%
 $26
Includes Typical Broker Commissions trade costs of $5.00
2/12/19 12:33 UPRO PROSHARES ULTRAPRO S&P 500 LONG 851 44.95 2/13 10:21 45.62 0.05%
Trade id #122481705
Max drawdown($119)
Time2/12/19 12:50
Quant open851
Worst price44.81
Drawdown as % of equity-0.05%
 $565
Includes Typical Broker Commissions trade costs of $5.00
1/9/19 15:31 BLV VANGUARD LONG-TERM BOND INDEX LONG 130 87.63 2/13 10:20 88.72 0%
Trade id #121884532
Max drawdown($1)
Time1/16/19 9:48
Quant open2
Worst price86.77
Drawdown as % of equity-0.00%
 $139
Includes Typical Broker Commissions trade costs of $2.60
2/12/19 15:53 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,801 42.57 2/13 10:19 43.17 0.02%
Trade id #122488251
Max drawdown($54)
Time2/12/19 16:01
Quant open1,801
Worst price42.54
Drawdown as % of equity-0.02%
 $1,076
Includes Typical Broker Commissions trade costs of $5.00
1/9/19 15:31 DBC INVESCO DB COMMODITY INDEX LONG 140 15.98 2/13 10:19 15.61 0.02%
Trade id #121884523
Max drawdown($52)
Time2/13/19 10:19
Quant open53
Worst price15.61
Drawdown as % of equity-0.02%
 ($55)
Includes Typical Broker Commissions trade costs of $2.80
2/5/19 11:56 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 5,938 19.11 2/13 10:19 19.24 0.23%
Trade id #122371203
Max drawdown($593)
Time2/5/19 13:58
Quant open5,938
Worst price19.01
Drawdown as % of equity-0.23%
 $765
Includes Typical Broker Commissions trade costs of $7.50
1/9/19 15:31 GLD SPDR GOLD SHARES LONG 13 122.88 2/13 10:19 124.35 0%
Trade id #121884518
Max drawdown($3)
Time1/24/19 8:33
Quant open2
Worst price120.70
Drawdown as % of equity-0.00%
 $19
Includes Typical Broker Commissions trade costs of $0.26
1/9/19 15:31 BIV VANGUARD INTERMEDIATE-TERM BON LONG 51 81.95 2/13 10:19 82.10 0%
Trade id #121884513
Max drawdown($0)
Time1/10/19 19:55
Quant open2
Worst price81.00
Drawdown as % of equity-0.00%
 $7
Includes Typical Broker Commissions trade costs of $1.02
12/26/18 11:28 SPTM SPDR PORTFOLIO S&P 1500 COMPOSITE STOCK MARKET ETF LONG 269 33.00 2/13/19 10:19 34.20 0%
Trade id #121663289
Max drawdown($0)
Time12/26/18 11:36
Quant open31
Worst price29.16
Drawdown as % of equity-0.00%
 $318
Includes Typical Broker Commissions trade costs of $5.38
12/12/18 11:37 GBTC GRAYSCALE BITCOIN TRUST (BTC) LONG 3,725 4.14 2/12/19 10:55 4.23 0.69%
Trade id #121464350
Max drawdown($1,735)
Time2/6/19 10:28
Quant open3,640
Worst price3.66
Drawdown as % of equity-0.69%
 $351
Includes Typical Broker Commissions trade costs of $11.86
1/10/19 9:30 VRTS VIRTUS INVESTMENT LONG 2 82.94 2/5 11:53 89.70 0.01%
Trade id #121893830
Max drawdown($17)
Time1/11/19 10:26
Quant open2
Worst price74.22
Drawdown as % of equity-0.01%
 $14
Includes Typical Broker Commissions trade costs of $0.04
Next

Statistics

  • Strategy began
    12/11/2018
  • Suggested Minimum Cap
    $250,000
  • Strategy Age (days)
    1954.44
  • Age
    65 months ago
  • What it trades
    Stocks
  • # Trades
    166
  • # Profitable
    93
  • % Profitable
    56.00%
  • Avg trade duration
    20.0 days
  • Max peak-to-valley drawdown
    5.54%
  • drawdown period
    Feb 26, 2019 - March 04, 2019
  • Cumul. Return
    2.7%
  • Avg win
    $191.40
  • Avg loss
    $141.75
  • Model Account Values (Raw)
  • Cash
    $258,326
  • Margin Used
    $0
  • Buying Power
    $258,326
  • Ratios
  • W:L ratio
    1.81:1
  • Sharpe Ratio
    -0.5
  • Sortino Ratio
    -0.7
  • Calmar Ratio
    0.839
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -4.72%
  • Correlation to SP500
    0.05170
  • Return Percent SP500 (cumu) during strategy life
    90.05%
  • Return Statistics
  • Ann Return (w trading costs)
    10.2%
  • Slump
  • Current Slump as Pcnt Equity
    0.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.96%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.027%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    0.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    0.31%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    707
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    510
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $142
  • Avg Win
    $191
  • Sum Trade PL (losers)
    $10,348.000
  • Age
  • Num Months filled monthly returns table
    65
  • Win / Loss
  • Sum Trade PL (winners)
    $17,800.000
  • # Winners
    93
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    879
  • Win / Loss
  • # Losers
    73
  • % Winners
    56.0%
  • Frequency
  • Avg Position Time (mins)
    28758.20
  • Avg Position Time (hrs)
    479.30
  • Avg Trade Length
    20.0 days
  • Last Trade Ago
    1857
  • Regression
  • Alpha
    -0.00
  • Beta
    0.01
  • Treynor Index
    -0.64
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    47.72
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    65.20
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.40
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    10.133
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    2.574
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.942
  • Hold-and-Hope Ratio
    0.099
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10809
  • SD
    0.08662
  • Sharpe ratio (Glass type estimate)
    1.24784
  • Sharpe ratio (Hedges UMVUE)
    0.70402
  • df
    2.00000
  • t
    0.62392
  • p
    0.29818
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.96117
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.19979
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.27616
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.68420
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.86072
  • Upside Potential Ratio
    4.86072
  • Upside part of mean
    0.18366
  • Downside part of mean
    -0.07557
  • Upside SD
    0.06744
  • Downside SD
    0.03779
  • N nonnegative terms
    2.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.26958
  • Mean of criterion
    0.10809
  • SD of predictor
    0.14648
  • SD of criterion
    0.08662
  • Covariance
    0.01260
  • r
    0.99282
  • b (slope, estimate of beta)
    0.58712
  • a (intercept, estimate of alpha)
    -0.05018
  • Mean Square Error
    0.00021
  • DF error
    1.00000
  • t(b)
    8.30211
  • p(b)
    0.03816
  • t(a)
    -1.43555
  • p(a)
    0.80633
  • Lowerbound of 95% confidence interval for beta
    -0.31146
  • Upperbound of 95% confidence interval for beta
    1.48570
  • Lowerbound of 95% confidence interval for alpha
    -0.49434
  • Upperbound of 95% confidence interval for alpha
    0.39398
  • Treynor index (mean / b)
    0.18411
  • Jensen alpha (a)
    -0.05018
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10490
  • SD
    0.08611
  • Sharpe ratio (Glass type estimate)
    1.21824
  • Sharpe ratio (Hedges UMVUE)
    0.68732
  • df
    2.00000
  • t
    0.60912
  • p
    0.30221
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.98098
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.16535
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.29005
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.66469
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.75630
  • Upside Potential Ratio
    4.75630
  • Upside part of mean
    0.18101
  • Downside part of mean
    -0.07611
  • Upside SD
    0.06642
  • Downside SD
    0.03806
  • N nonnegative terms
    2.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.25912
  • Mean of criterion
    0.10490
  • SD of predictor
    0.14374
  • SD of criterion
    0.08611
  • Covariance
    0.01230
  • r
    0.99350
  • b (slope, estimate of beta)
    0.59515
  • a (intercept, estimate of alpha)
    -0.04932
  • Mean Square Error
    0.00019
  • DF error
    1.00000
  • t(b)
    8.72629
  • p(b)
    0.03632
  • t(a)
    -1.49993
  • p(a)
    0.81283
  • Lowerbound of 95% confidence interval for beta
    -0.27144
  • Upperbound of 95% confidence interval for beta
    1.46175
  • Lowerbound of 95% confidence interval for alpha
    -0.46711
  • Upperbound of 95% confidence interval for alpha
    0.36847
  • Treynor index (mean / b)
    0.17625
  • Jensen alpha (a)
    -0.04932
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03163
  • Expected Shortfall on VaR
    0.04160
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01147
  • Expected Shortfall on VaR
    0.02158
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    0.98344
  • Quartile 1
    1.00114
  • Median
    1.01885
  • Quartile 3
    1.02529
  • Maximum
    1.03173
  • Mean of quarter 1
    0.98344
  • Mean of quarter 2
    1.01885
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.03173
  • Inter Quartile Range
    0.02415
  • 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
    0.01656
  • Quartile 1
    0.01656
  • Median
    0.01656
  • Quartile 3
    0.01656
  • Maximum
    0.01656
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13503
  • Compounded annual return (geometric extrapolation)
    0.14203
  • Calmar ratio (compounded annual return / max draw down)
    8.57423
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    3.41426
  • 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
    0.10571
  • SD
    0.09888
  • Sharpe ratio (Glass type estimate)
    1.06907
  • Sharpe ratio (Hedges UMVUE)
    1.05687
  • df
    66.00000
  • t
    0.54062
  • p
    0.29529
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.81504
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.94514
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.82312
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.93686
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.48371
  • Upside Potential Ratio
    9.70865
  • Upside part of mean
    0.69170
  • Downside part of mean
    -0.58599
  • Upside SD
    0.06781
  • Downside SD
    0.07125
  • N nonnegative terms
    38.00000
  • N negative terms
    29.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    67.00000
  • Mean of predictor
    0.27039
  • Mean of criterion
    0.10571
  • SD of predictor
    0.18937
  • SD of criterion
    0.09888
  • Covariance
    0.00556
  • r
    0.29675
  • b (slope, estimate of beta)
    0.15494
  • a (intercept, estimate of alpha)
    0.00500
  • Mean Square Error
    0.00905
  • DF error
    65.00000
  • t(b)
    2.50531
  • p(b)
    0.00737
  • t(a)
    0.33782
  • p(a)
    0.36829
  • Lowerbound of 95% confidence interval for beta
    0.03143
  • Upperbound of 95% confidence interval for beta
    0.27846
  • Lowerbound of 95% confidence interval for alpha
    -0.31344
  • Upperbound of 95% confidence interval for alpha
    0.44107
  • Treynor index (mean / b)
    0.68224
  • Jensen alpha (a)
    0.06381
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10085
  • SD
    0.09899
  • Sharpe ratio (Glass type estimate)
    1.01881
  • Sharpe ratio (Hedges UMVUE)
    1.00719
  • df
    66.00000
  • t
    0.51521
  • p
    0.30406
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.86466
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.89473
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.87241
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.88680
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.40763
  • Upside Potential Ratio
    9.62116
  • Upside part of mean
    0.68934
  • Downside part of mean
    -0.58849
  • Upside SD
    0.06752
  • Downside SD
    0.07165
  • N nonnegative terms
    38.00000
  • N negative terms
    29.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    67.00000
  • Mean of predictor
    0.25269
  • Mean of criterion
    0.10085
  • SD of predictor
    0.18841
  • SD of criterion
    0.09899
  • Covariance
    0.00558
  • r
    0.29933
  • b (slope, estimate of beta)
    0.15727
  • a (intercept, estimate of alpha)
    0.06111
  • Mean Square Error
    0.00906
  • DF error
    65.00000
  • t(b)
    2.52920
  • p(b)
    0.00693
  • t(a)
    0.32358
  • p(a)
    0.37365
  • Lowerbound of 95% confidence interval for beta
    0.03308
  • Upperbound of 95% confidence interval for beta
    0.28145
  • Lowerbound of 95% confidence interval for alpha
    -0.31608
  • Upperbound of 95% confidence interval for alpha
    0.43831
  • Treynor index (mean / b)
    0.64129
  • Jensen alpha (a)
    0.06111
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00963
  • Expected Shortfall on VaR
    0.01215
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00472
  • Expected Shortfall on VaR
    0.00924
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    67.00000
  • Minimum
    0.98384
  • Quartile 1
    0.99652
  • Median
    1.00136
  • Quartile 3
    1.00517
  • Maximum
    1.01341
  • Mean of quarter 1
    0.99250
  • Mean of quarter 2
    0.99910
  • Mean of quarter 3
    1.00329
  • Mean of quarter 4
    1.00731
  • Inter Quartile Range
    0.00864
  • 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)
    0.29957
  • VaR(95%) (moments method)
    0.00825
  • Expected Shortfall (moments method)
    0.01345
  • Extreme Value Index (regression method)
    0.14493
  • VaR(95%) (regression method)
    0.00748
  • Expected Shortfall (regression method)
    0.01056
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00120
  • Quartile 1
    0.00465
  • Median
    0.01247
  • Quartile 3
    0.03428
  • Maximum
    0.04439
  • Mean of quarter 1
    0.00205
  • Mean of quarter 2
    0.00987
  • Mean of quarter 3
    0.01506
  • Mean of quarter 4
    0.04254
  • Inter Quartile Range
    0.02963
  • 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)
    0.13090
  • Compounded annual return (geometric extrapolation)
    0.13742
  • Calmar ratio (compounded annual return / max draw down)
    3.09563
  • Compounded annual return / average of 25% largest draw downs
    3.23066
  • Compounded annual return / Expected Shortfall lognormal
    11.30730
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.00500
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    5
  • Max Equity Drawdown (num days)
    6

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2018-12-11
Suggested Minimum Capital
$45,000
# Trades
166
# Profitable
93
% Profitable
56.0%
Net Dividends
$879
Correlation S&P500
0.052
Sharpe Ratio
-0.50
Sortino Ratio
-0.70
Beta
0.01
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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