This system has earned TradesOwnStrategy (TOS) Certification.
This means that the manager of this system trades his own strategy
in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details
Certification process started
07/09/2020
Most recent certification approved
7/12/20 22:47 ET
Trades at broker
Oanda
Scaling percentage used
100%
# trading signals issued by system since certification
304
# trading signals executed in manager's Oanda account
286
Percent signals followed since 07/09/2020
94.1%
This information was last updated
1/28/21 1:02 ET
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife brokerage account,
the trading results presented on this Web site must still be regarded as purely hypothetical results.
This is because (among other reasons) the system developer may not have traded all signals,
particularly those that occurred before 07/09/2020,
and the system developer's results may not match the system results presented here. In addition,
not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:
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
underor overcompensated 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.
You may be interested to learn more technical details about
how Collective2 calculates the hypothetical results you see on this web site.
View Model Analyzer
(122288593)
This system has earned TradesOwnStrategy (TOS) Certification. This means that the manager of this system trades his own strategy in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details  

Certification process started  07/09/2020 
Most recent certification approved  7/12/20 22:47 ET 
Trades at broker  Oanda 
Scaling percentage used  100% 
# trading signals issued by system since certification  304 
# trading signals executed in manager's Oanda account  286 
Percent signals followed since 07/09/2020  94.1% 
This information was last updated  1/28/21 1:02 ET 
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 07/09/2020, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:
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 underor overcompensated 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.
You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.
Subscription terms. Subscriptions to this system cost $49.00 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.
Trendfollowing
Tries to take advantage of long, medium or shortterm moves that seem to play out in various markets. Typically, trendfollowing analysis is backward looking; that is, it attempts to recognize and profit from alreadyestablished trends.Momentum
Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and shortsells a security that has been in a downward trend. While similar to Trendfollowing, tends to be more forwardlooking (predicting oncoming trend), while Momentum is more backwardlooking (observing alreadyestablished price direction).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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2019  (1.2%)  +6.7%  (0.8%)  +1.4%  (0.8%)  (0.5%)  (0.8%)  (0.8%)  (1.6%)  (0.8%)    (1.6%)  (1.1%) 
2020  (0.8%)  (0.8%)  (0.8%)    +4.7%  +2.8%  +11.3%  (5.4%)  (9.5%)  (11.2%)  (27.1%)  (11.8%)  (42.9%) 
2021  +10.1%  (2.1%)  (2.6%)  (8.8%)  (6.8%)  +11.7%  +1.9%  +4.3%  +4.4%  +10.5% 
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.
Started  $10,000  
Buy Power  $7,490  
Cash  $8,643  
Equity  ($552)  
Cumulative $  ($1,909)  
Total System Equity  $8,090  
Margined  $600  
Open P/L  ($552) 
Trading Record
Statistics

Strategy began1/31/2019

Suggested Minimum Cap$10,000

Strategy Age (days)965.52

Age32 months ago

What it tradesForex

# Trades266

# Profitable225

% Profitable84.60%

Avg trade duration2.4 days

Max peaktovalley drawdown60.94%

drawdown periodAug 12, 2020  May 18, 2021

Annual Return (Compounded)16.3%

Avg win$28.95

Avg loss$205.44
 Model Account Values (Raw)

Cash$8,643

Margin Used$600

Buying Power$7,490
 Ratios

W:L ratio0.77:1

Sharpe Ratio0.48

Sortino Ratio0.68

Calmar Ratio0.205
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)100.13%

Correlation to SP5000.13790

Return Percent SP500 (cumu) during strategy life64.31%
 Return Statistics

Ann Return (w trading costs)16.3%
 Slump

Current Slump as Pcnt Equity105.30%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.42%
 Return Statistics

Return Pcnt Since TOS Status31.760%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.163%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocksn/a

Percent Trades Forex1.00%
 Return Statistics

Ann Return (Compnd, No Fees)6.8%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss100.00%

Chance of 20% account loss96.00%

Chance of 30% account loss64.50%

Chance of 40% account loss37.50%

Chance of 60% account loss (Monte Carlo)0.50%

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 Automatedn/a
 Risk of Ruin (MonteCarlo)

Chance of 50% account loss9.00%
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)317
 Trading Style

Any stock shorts? 0/10
 Popularity

Popularity (7 days, Percentile 1000 scale)0
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?Yes

TOS percent100%
 Win / Loss

Avg Loss$200

Avg Win$29

Sum Trade PL (losers)$8,203.000
 AUM

AUM (AutoTrader num accounts)1
 Age

Num Months filled monthly returns table33
 Win / Loss

Sum Trade PL (winners)$6,513.000

# Winners225

Num Months Winners10
 Dividends

Dividends Received in Model Acct0
 AUM

AUM (AutoTrader live capital)8139
 Win / Loss

# Losers41

% Winners84.6%
 Frequency

Avg Position Time (mins)3426.58

Avg Position Time (hrs)57.11

Avg Trade Length2.4 days

Last Trade Ago238
 Leverage

Daily leverage (average)13.16

Daily leverage (max)45.95
 Regression

Alpha0.03

Beta0.19

Treynor Index0.22
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02

MAE:PL  Winning Trades  this strat Percentile of All Strats85.69

MAE:PL  worst single value for strategy

MAE:PL  Losing Trades  this strat Percentile of All Strats65.76

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)4.30

MAE:Equity, average, winning trades0.01

MAE:Equity, average, losing trades0.06

Avg(MAE) / Avg(PL)  All trades11.763

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 strat1.10

Avg(MAE) / Avg(PL)  Winning trades3.444

Avg(MAE) / Avg(PL)  Losing trades1.327

HoldandHope Ratio0.084
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.12608

SD0.27862

Sharpe ratio (Glass type estimate)0.45251

Sharpe ratio (Hedges UMVUE)0.43220

df17.00000

t0.55421

p0.58456

Lowerbound of 95% confidence interval for Sharpe Ratio2.05342

Upperbound of 95% confidence interval for Sharpe Ratio1.16143

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.03908

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.17469
 Statistics related to Sortino ratio

Sortino ratio0.55004

Upside Potential Ratio1.11682

Upside part of mean0.25600

Downside part of mean0.38208

Upside SD0.14866

Downside SD0.22922

N nonnegative terms9.00000

N negative terms9.00000
 Statistics related to linear regression on benchmark

N of observations18.00000

Mean of predictor0.33075

Mean of criterion0.12608

SD of predictor0.13868

SD of criterion0.27862

Covariance0.00009

r0.00224

b (slope, estimate of beta)0.00451

a (intercept, estimate of alpha)0.12459

Mean Square Error0.08248

DF error16.00000

t(b)0.00898

p(b)0.50112

t(a)0.43353

p(a)0.55388

Lowerbound of 95% confidence interval for beta1.06931

Upperbound of 95% confidence interval for beta1.06028

Lowerbound of 95% confidence interval for alpha0.73381

Upperbound of 95% confidence interval for alpha0.48463

Treynor index (mean / b)27.95280

Jensen alpha (a)0.12459
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.16540

SD0.29058

Sharpe ratio (Glass type estimate)0.56920

Sharpe ratio (Hedges UMVUE)0.54365

df17.00000

t0.69713

p0.60564

Lowerbound of 95% confidence interval for Sharpe Ratio2.17258

Upperbound of 95% confidence interval for Sharpe Ratio1.05049

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.15436

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.06705
 Statistics related to Sortino ratio

Sortino ratio0.66385

Upside Potential Ratio0.98371

Upside part of mean0.24510

Downside part of mean0.41050

Upside SD0.14124

Downside SD0.24916

N nonnegative terms9.00000

N negative terms9.00000
 Statistics related to linear regression on benchmark

N of observations18.00000

Mean of predictor0.31708

Mean of criterion0.16540

SD of predictor0.13333

SD of criterion0.29058

Covariance0.00007

r0.00183

b (slope, estimate of beta)0.00399

a (intercept, estimate of alpha)0.16414

Mean Square Error0.08972

DF error16.00000

t(b)0.00732

p(b)0.50091

t(a)0.54816

p(a)0.56789

Lowerbound of 95% confidence interval for beta1.15904

Upperbound of 95% confidence interval for beta1.15106

Lowerbound of 95% confidence interval for alpha0.79890

Upperbound of 95% confidence interval for alpha0.47063

Treynor index (mean / b)41.47230

Jensen alpha (a)0.16414
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.14081

Expected Shortfall on VaR0.17000
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.07326

Expected Shortfall on VaR0.14443
 ORDER STATISTICS
 Quartiles of return rates

Number of observations18.00000

Minimum0.82296

Quartile 10.97145

Median1.00325

Quartile 31.01767

Maximum1.12685

Mean of quarter 10.89341

Mean of quarter 20.99520

Mean of quarter 31.01012

Mean of quarter 41.07290

Inter Quartile Range0.04621

Number outliers low3.00000

Percentage of outliers low0.16667

Mean of outliers low0.84525

Number of outliers high3.00000

Percentage of outliers high0.16667

Mean of outliers high1.10339
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.07001

VaR(95%) (moments method)0.09392

Expected Shortfall (moments method)0.13992

Extreme Value Index (regression method)0.53480

VaR(95%) (regression method)0.09799

Expected Shortfall (regression method)0.11374
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations1.00000

Minimum0.44506

Quartile 10.44506

Median0.44506

Quartile 30.44506

Maximum0.44506

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)0.12424

Compounded annual return (geometric extrapolation)0.12846

Calmar ratio (compounded annual return / max draw down)0.28864

Compounded annual return / average of 25% largest draw downs0.00000

Compounded annual return / Expected Shortfall lognormal0.75564

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.09740

SD0.27499

Sharpe ratio (Glass type estimate)0.35420

Sharpe ratio (Hedges UMVUE)0.35354

df403.00000

t0.43983

p0.66985

Lowerbound of 95% confidence interval for Sharpe Ratio1.93256

Upperbound of 95% confidence interval for Sharpe Ratio1.22456

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.93209

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.22502
 Statistics related to Sortino ratio

Sortino ratio0.50193

Upside Potential Ratio6.40001

Upside part of mean1.24194

Downside part of mean1.33934

Upside SD0.19446

Downside SD0.19405

N nonnegative terms141.00000

N negative terms263.00000
 Statistics related to linear regression on benchmark

N of observations404.00000

Mean of predictor0.31894

Mean of criterion0.09740

SD of predictor0.24586

SD of criterion0.27499

Covariance0.01010

r0.14935

b (slope, estimate of beta)0.16704

a (intercept, estimate of alpha)0.04400

Mean Square Error0.07412

DF error402.00000

t(b)3.02835

p(b)0.99869

t(a)0.20061

p(a)0.57945

Lowerbound of 95% confidence interval for beta0.27548

Upperbound of 95% confidence interval for beta0.05861

Lowerbound of 95% confidence interval for alpha0.47651

Upperbound of 95% confidence interval for alpha0.38827

Treynor index (mean / b)0.58309

Jensen alpha (a)0.04412
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.13512

SD0.27499

Sharpe ratio (Glass type estimate)0.49138

Sharpe ratio (Hedges UMVUE)0.49047

df403.00000

t0.61018

p0.72896

Lowerbound of 95% confidence interval for Sharpe Ratio2.06984

Upperbound of 95% confidence interval for Sharpe Ratio1.08763

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.06920

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.08826
 Statistics related to Sortino ratio

Sortino ratio0.68148

Upside Potential Ratio6.17030

Upside part of mean1.22345

Downside part of mean1.35858

Upside SD0.19023

Downside SD0.19828

N nonnegative terms141.00000

N negative terms263.00000
 Statistics related to linear regression on benchmark

N of observations404.00000

Mean of predictor0.28717

Mean of criterion0.13512

SD of predictor0.25468

SD of criterion0.27499

Covariance0.01018

r0.14536

b (slope, estimate of beta)0.15695

a (intercept, estimate of alpha)0.09005

Mean Square Error0.07421

DF error402.00000

t(b)2.94568

p(b)0.99830

t(a)0.40951

p(a)0.65881

Lowerbound of 95% confidence interval for beta0.26170

Upperbound of 95% confidence interval for beta0.05220

Lowerbound of 95% confidence interval for alpha0.52236

Upperbound of 95% confidence interval for alpha0.34225

Treynor index (mean / b)0.86094

Jensen alpha (a)0.09005
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02806

Expected Shortfall on VaR0.03491
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01376

Expected Shortfall on VaR0.02763
 ORDER STATISTICS
 Quartiles of return rates

Number of observations404.00000

Minimum0.92489

Quartile 10.99468

Median1.00000

Quartile 31.00397

Maximum1.08170

Mean of quarter 10.98120

Mean of quarter 20.99863

Mean of quarter 31.00085

Mean of quarter 41.01826

Inter Quartile Range0.00929

Number outliers low36.00000

Percentage of outliers low0.08911

Mean of outliers low0.96569

Number of outliers high35.00000

Percentage of outliers high0.08663

Mean of outliers high1.03549
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.38418

VaR(95%) (moments method)0.01741

Expected Shortfall (moments method)0.03381

Extreme Value Index (regression method)0.13664

VaR(95%) (regression method)0.01900

Expected Shortfall (regression method)0.02998
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations6.00000

Minimum0.00198

Quartile 10.00367

Median0.01342

Quartile 30.03981

Maximum0.49570

Mean of quarter 10.00210

Mean of quarter 20.00801

Mean of quarter 30.01882

Mean of quarter 40.27125

Inter Quartile Range0.03614

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.16667

Mean of outliers high0.49570
 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)0.09882

Compounded annual return (geometric extrapolation)0.10167

Calmar ratio (compounded annual return / max draw down)0.20510

Compounded annual return / average of 25% largest draw downs0.37481

Compounded annual return / Expected Shortfall lognormal2.91192

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

Mean0.01133

SD0.20023

Sharpe ratio (Glass type estimate)0.05661

Sharpe ratio (Hedges UMVUE)0.05628

df130.00000

t0.04003

p0.49824

Lowerbound of 95% confidence interval for Sharpe Ratio2.71521

Upperbound of 95% confidence interval for Sharpe Ratio2.82843

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.71553

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.82810
 Statistics related to Sortino ratio

Sortino ratio0.09520

Upside Potential Ratio9.04179

Upside part of mean1.07655

Downside part of mean1.06521

Upside SD0.16003

Downside SD0.11906

N nonnegative terms59.00000

N negative terms72.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.21503

Mean of criterion0.01133

SD of predictor0.13707

SD of criterion0.20023

Covariance0.01125

r0.40989

b (slope, estimate of beta)0.59876

a (intercept, estimate of alpha)0.14009

Mean Square Error0.03361

DF error129.00000

t(b)5.10384

p(b)0.75344

t(a)0.53774

p(a)0.46990

Lowerbound of 95% confidence interval for beta0.83087

Upperbound of 95% confidence interval for beta0.36665

Lowerbound of 95% confidence interval for alpha0.37534

Upperbound of 95% confidence interval for alpha0.65551

Treynor index (mean / b)0.01893

Jensen alpha (a)0.14009
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.00824

SD0.19782

Sharpe ratio (Glass type estimate)0.04163

Sharpe ratio (Hedges UMVUE)0.04139

df130.00000

t0.02944

p0.50129

Lowerbound of 95% confidence interval for Sharpe Ratio2.81344

Upperbound of 95% confidence interval for Sharpe Ratio2.73018

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.81320

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.73042
 Statistics related to Sortino ratio

Sortino ratio0.06848

Upside Potential Ratio8.84818

Upside part of mean1.06405

Downside part of mean1.07228

Upside SD0.15612

Downside SD0.12026

N nonnegative terms59.00000

N negative terms72.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.20562

Mean of criterion0.00824

SD of predictor0.13695

SD of criterion0.19782

Covariance0.01115

r0.41146

b (slope, estimate of beta)0.59433

a (intercept, estimate of alpha)0.11397

Mean Square Error0.03276

DF error129.00000

t(b)5.12738

p(b)0.75435

t(a)0.44333

p(a)0.47518

VAR (95 Confidence Intrvl)0.02800

Lowerbound of 95% confidence interval for beta0.82366

Upperbound of 95% confidence interval for beta0.36499

Lowerbound of 95% confidence interval for alpha0.39466

Upperbound of 95% confidence interval for alpha0.62259

Treynor index (mean / b)0.01386

Jensen alpha (a)0.11397
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01993

Expected Shortfall on VaR0.02491
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01000

Expected Shortfall on VaR0.01796
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.96539

Quartile 10.99376

Median0.99930

Quartile 31.00507

Maximum1.08170

Mean of quarter 10.98761

Mean of quarter 20.99652

Mean of quarter 31.00231

Mean of quarter 41.01422

Inter Quartile Range0.01132

Number outliers low2.00000

Percentage of outliers low0.01527

Mean of outliers low0.96582

Number of outliers high4.00000

Percentage of outliers high0.03053

Mean of outliers high1.04073
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.06345

VaR(95%) (moments method)0.01255

Expected Shortfall (moments method)0.01696

Extreme Value Index (regression method)0.07909

VaR(95%) (regression method)0.01251

Expected Shortfall (regression method)0.01585
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations3.00000

Minimum0.04805

Quartile 10.05545

Median0.06285

Quartile 30.10142

Maximum0.14000

Mean of quarter 10.04805

Mean of quarter 20.06285

Mean of quarter 30.00000

Mean of quarter 40.14000

Inter Quartile Range0.04597

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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 Negativen/a

Expected Shortfall (regression method)0.00000

Strat Max DD how much worse than SP500 max DD during strat life?295042000

Max Equity Drawdown (num days)279
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.01977

Compounded annual return (geometric extrapolation)0.01987

Calmar ratio (compounded annual return / max draw down)0.14190

Compounded annual return / average of 25% largest draw downs0.14190

Compounded annual return / Expected Shortfall lognormal0.79737
Strategy Description
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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.