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

Follow me 2.2019
(123181548)

Created by: AntEsP AntEsP
Started: 04/2019
Stocks
Last trade: 1,107 days ago
Trading style: Equity Trend-following Momentum

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 $179.00 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
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Momentum
Category: Equity

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 short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
-6.9%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(57.7%)
Max Drawdown
57
Num Trades
42.1%
Win Trades
0.9 : 1
Profit Factor
51.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                     (10.9%)(1.4%)(5%)(1.1%)+4.5%(8.2%)(2.6%)+25.4%(55.4%)(56.8%)
2020+16.4%+10.7%(8.8%)+12.9%(2.4%)(0.9%)+2.0%+6.4%+1.9%(1.5%)+1.1%+14.1%+61.4%
2021(7.1%)+4.6%+4.5%(0.2%)(4.1%)+0.2%+1.3%(0.8%)+0.6%+0.3%+0.2%(0.9%)(2%)
2022+0.6%(2.2%)+0.1%+2.0%+0.3%+2.0%(1.6%)+1.2%+1.8%(1.2%)(0.8%)+0.9%+3.0%
2023(0.9%)+1.9%+2.4%(0.4%)+0.1%(1%)(0.7%)(0.5%)+1.4%+1.0%(3.2%)(1.2%)(1.2%)
2024(0.6%)+1.5%(0.5%)                                                      +0.4%

Model Account Details

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

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/10/19 9:49 USAT USA TECHNOLOGIES LONG 300 7.60 3/18/21 9:39 12.00 22.75%
Trade id #124002380
Max drawdown($1,140)
Time3/23/20 0:00
Quant open300
Worst price3.80
Drawdown as % of equity-22.75%
$1,314
Includes Typical Broker Commissions trade costs of $6.00
8/27/19 10:54 TRGP TARGA RESOURCES SHORT 150 32.75 3/6/20 11:53 28.50 17.93%
Trade id #125102796
Max drawdown($1,607)
Time9/16/19 0:00
Quant open150
Worst price43.47
Drawdown as % of equity-17.93%
$635
Includes Typical Broker Commissions trade costs of $3.00
11/20/19 10:43 ATRC ATRICURE LONG 100 29.38 1/2/20 14:12 33.00 0.91%
Trade id #126285258
Max drawdown($91)
Time11/21/19 0:00
Quant open100
Worst price28.47
Drawdown as % of equity-0.91%
$360
Includes Typical Broker Commissions trade costs of $2.00
12/2/19 10:53 XLNX XILINX SHORT 100 89.87 12/11 14:56 93.90 7.83%
Trade id #126441787
Max drawdown($402)
Time12/11/19 14:56
Quant open100
Worst price93.89
Drawdown as % of equity-7.83%
($405)
Includes Typical Broker Commissions trade costs of $2.00
11/20/19 10:47 CDNA CAREDX INC SHORT 100 20.10 12/9 9:33 21.61 2.39%
Trade id #126285430
Max drawdown($133)
Time12/5/19 0:00
Quant open100
Worst price21.43
Drawdown as % of equity-2.39%
($153)
Includes Typical Broker Commissions trade costs of $2.00
6/10/19 11:03 MRO MARATHON OIL LONG 150 13.60 12/5 15:14 12.04 4.86%
Trade id #124004052
Max drawdown($381)
Time10/9/19 0:00
Quant open150
Worst price11.06
Drawdown as % of equity-4.86%
($237)
Includes Typical Broker Commissions trade costs of $3.00
11/18/19 10:06 BOLD BOUNDLESS BIO INC. SHORT 150 25.71 12/4 11:17 59.23 89.13%
Trade id #126252659
Max drawdown($5,034)
Time12/4/19 10:31
Quant open150
Worst price59.27
Drawdown as % of equity-89.13%
($5,031)
Includes Typical Broker Commissions trade costs of $3.00
11/25/19 10:39 UNM UNUM LONG 100 30.32 12/2 10:52 30.80 0.45%
Trade id #126353845
Max drawdown($48)
Time11/26/19 0:00
Quant open100
Worst price29.84
Drawdown as % of equity-0.45%
$46
Includes Typical Broker Commissions trade costs of $2.00
11/20/19 10:46 SYF SYNCHRONY FINANCIAL SHORT 100 36.75 11/26 9:31 37.50 0.65%
Trade id #126285395
Max drawdown($70)
Time11/26/19 9:31
Quant open100
Worst price37.45
Drawdown as % of equity-0.65%
($77)
Includes Typical Broker Commissions trade costs of $2.00
10/25/19 11:30 LOMA LOMA NEGRA COMP LONG 1,000 6.12 11/20 10:43 6.44 6.96%
Trade id #125951214
Max drawdown($560)
Time10/28/19 0:00
Quant open1,000
Worst price5.56
Drawdown as % of equity-6.96%
$315
Includes Typical Broker Commissions trade costs of $5.00
11/20/19 10:40 ATRC ATRICURE LONG 100 29.38 11/20 10:42 29.30 0.02%
Trade id #126285160
Max drawdown($2)
Time11/20/19 10:41
Quant open100
Worst price29.36
Drawdown as % of equity-0.02%
($10)
Includes Typical Broker Commissions trade costs of $2.00
11/13/19 11:29 AMZN AMAZON.COM SHORT 1 1760.50 11/19 12:27 1755.18 0.06%
Trade id #126190965
Max drawdown($6)
Time11/13/19 11:54
Quant open1
Worst price1766.95
Drawdown as % of equity-0.06%
$5
Includes Typical Broker Commissions trade costs of $0.02
6/6/19 11:43 PE PARSLEY ENERGY INC SHORT 100 17.15 11/18 10:08 15.88 3.78%
Trade id #123964453
Max drawdown($365)
Time9/16/19 0:00
Quant open100
Worst price20.80
Drawdown as % of equity-3.78%
$125
Includes Typical Broker Commissions trade costs of $2.00
6/4/19 9:30 TVTY TIVITY HEALTH INC LONG 400 19.15 11/18 10:05 20.75 20.87%
Trade id #123929032
Max drawdown($1,724)
Time7/22/19 0:00
Quant open400
Worst price14.84
Drawdown as % of equity-20.87%
$630
Includes Typical Broker Commissions trade costs of $8.00
8/27/19 12:10 CF CF INDUSTRIES HOLDINGS SHORT 150 46.45 10/31 9:33 45.00 9.09%
Trade id #125105527
Max drawdown($877)
Time9/16/19 0:00
Quant open150
Worst price52.30
Drawdown as % of equity-9.09%
$215
Includes Typical Broker Commissions trade costs of $3.00
8/27/19 10:31 DISH DISH NETWORK LONG 300 32.84 9/10 9:39 36.22 1.77%
Trade id #125102279
Max drawdown($172)
Time8/27/19 15:56
Quant open300
Worst price32.27
Drawdown as % of equity-1.77%
$1,008
Includes Typical Broker Commissions trade costs of $6.00
5/28/19 15:42 VIAB VIACOM INC CLASS B SHORT 100 28.00 8/15 9:35 26.50 4.27%
Trade id #123849902
Max drawdown($396)
Time5/28/19 15:42
Quant open100
Worst price31.96
Drawdown as % of equity-4.27%
$148
Includes Typical Broker Commissions trade costs of $2.00
5/29/19 11:32 CBS CBS SHORT 100 47.00 8/14 10:38 45.30 7.24%
Trade id #123861470
Max drawdown($671)
Time5/29/19 11:32
Quant open100
Worst price53.71
Drawdown as % of equity-7.24%
$168
Includes Typical Broker Commissions trade costs of $2.00
6/5/19 9:30 CIEN CIENA CORPORTION LONG 150 35.98 6/6 9:30 42.51 1.17%
Trade id #123946256
Max drawdown($111)
Time6/5/19 10:51
Quant open150
Worst price35.24
Drawdown as % of equity-1.17%
$977
Includes Typical Broker Commissions trade costs of $3.00
5/29/19 9:30 NCLH NORWEGIAN CRUISE LINE HOLDINGS SHORT 100 55.00 6/4 9:58 53.00 0.38%
Trade id #123858276
Max drawdown($36)
Time5/29/19 10:32
Quant open-100
Worst price55.36
Drawdown as % of equity-0.38%
$198
Includes Typical Broker Commissions trade costs of $2.00
5/29/19 9:30 SNV SYNOVUS FINANCIAL SHORT 100 33.09 6/3 9:30 31.80 0.99%
Trade id #123858232
Max drawdown($94)
Time5/30/19 9:34
Quant open-100
Worst price34.03
Drawdown as % of equity-0.99%
$127
Includes Typical Broker Commissions trade costs of $2.00
4/30/19 10:01 EXEL EXELIXIS SHORT 180 19.84 5/2 9:58 20.19 0.65%
Trade id #123476401
Max drawdown($63)
Time5/2/19 9:58
Quant open0
Worst price20.19
Drawdown as % of equity-0.65%
($67)
Includes Typical Broker Commissions trade costs of $3.60
5/2/19 9:39 HFC HOLLYFRONTIER SHORT 120 47.30 5/2 9:40 47.88 0.73%
Trade id #123504332
Max drawdown($70)
Time5/2/19 9:40
Quant open0
Worst price47.88
Drawdown as % of equity-0.73%
($72)
Includes Typical Broker Commissions trade costs of $2.40
4/29/19 9:35 PDCE PDC ENERGY SHORT 100 44.18 5/2 9:30 39.96 0.23%
Trade id #123462257
Max drawdown($20)
Time4/29/19 9:43
Quant open-100
Worst price44.38
Drawdown as % of equity-0.23%
$420
Includes Typical Broker Commissions trade costs of $2.00
4/29/19 10:17 KNX KNIGHT-SWIFT TRANSPORTATION HOLDINGS INC SHORT 130 34.49 5/1 9:51 32.20 0.49%
Trade id #123463222
Max drawdown($44)
Time4/29/19 10:40
Quant open-130
Worst price34.83
Drawdown as % of equity-0.49%
$295
Includes Typical Broker Commissions trade costs of $2.60
4/30/19 9:38 PBYI PUMA BIOTECHNOLOGY SHORT 140 32.10 4/30 12:10 32.53 0.66%
Trade id #123475634
Max drawdown($61)
Time4/30/19 12:10
Quant open0
Worst price32.53
Drawdown as % of equity-0.66%
($64)
Includes Typical Broker Commissions trade costs of $2.80
4/29/19 9:35 BK BANK OF NEW YORK MELLON LONG 180 48.90 4/30 11:31 49.18 n/a $46
Includes Typical Broker Commissions trade costs of $3.60
4/29/19 9:31 BHF BRIGHTHOUSE FINANCIAL INC. LONG 190 41.23 4/29 11:08 41.72 n/a $89
Includes Typical Broker Commissions trade costs of $3.80
4/23/19 9:37 AM ANTERO MIDSTREAM CORP SHORT 160 13.50 4/29 11:08 12.63 0.27%
Trade id #123399553
Max drawdown($24)
Time4/23/19 10:43
Quant open-160
Worst price13.65
Drawdown as % of equity-0.27%
$136
Includes Typical Broker Commissions trade costs of $3.20
4/25/19 9:32 EQT EQT SHORT 132 20.29 4/26 9:32 20.82 0.78%
Trade id #123425796
Max drawdown($70)
Time4/26/19 9:32
Quant open0
Worst price20.82
Drawdown as % of equity-0.78%
($73)
Includes Typical Broker Commissions trade costs of $2.64

Statistics

  • Strategy began
    4/3/2019
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    1817.42
  • Age
    61 months ago
  • What it trades
    Stocks
  • # Trades
    57
  • # Profitable
    24
  • % Profitable
    42.10%
  • Avg trade duration
    59.0 days
  • Max peak-to-valley drawdown
    57.66%
  • drawdown period
    April 04, 2019 - Jan 14, 2020
  • Annual Return (Compounded)
    -6.9%
  • Avg win
    $322.12
  • Avg loss
    $231.61
  • Model Account Values (Raw)
  • Cash
    $10,138
  • Margin Used
    $1,860
  • Buying Power
    $8,412
  • Ratios
  • W:L ratio
    0.87:1
  • Sharpe Ratio
    -0.13
  • Sortino Ratio
    -0.16
  • Calmar Ratio
    -0.165
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -112.29%
  • Correlation to SP500
    -0.04830
  • Return Percent SP500 (cumu) during strategy life
    82.86%
  • Return Statistics
  • Ann Return (w trading costs)
    -6.9%
  • Slump
  • Current Slump as Pcnt Equity
    41.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    1.00%
  • 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)
    -0.069%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -2.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    10.00%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $232
  • Avg Win
    $322
  • Sum Trade PL (losers)
    $7,643.000
  • Age
  • Num Months filled monthly returns table
    60
  • Win / Loss
  • Sum Trade PL (winners)
    $7,731.000
  • # Winners
    24
  • Num Months Winners
    32
  • Dividends
  • Dividends Received in Model Acct
    -1054
  • Win / Loss
  • # Losers
    33
  • % Winners
    42.1%
  • Frequency
  • Avg Position Time (mins)
    85003.10
  • Avg Position Time (hrs)
    1416.72
  • Avg Trade Length
    59.0 days
  • Last Trade Ago
    1571
  • Regression
  • Alpha
    -0.01
  • Beta
    -0.07
  • Treynor Index
    0.16
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    9.62
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    3.56
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.04
  • MAE:Equity, average, winning trades
    0.05
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    -268.809
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    1.100
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.019
  • Hold-and-Hope Ratio
    -0.012
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06913
  • SD
    0.58162
  • Sharpe ratio (Glass type estimate)
    0.11885
  • Sharpe ratio (Hedges UMVUE)
    0.11235
  • df
    14.00000
  • t
    0.13288
  • p
    0.48225
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.63684
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.87036
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.64119
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.86588
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.16093
  • Upside Potential Ratio
    1.64858
  • Upside part of mean
    0.70814
  • Downside part of mean
    -0.63902
  • Upside SD
    0.36279
  • Downside SD
    0.42955
  • N nonnegative terms
    9.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.44528
  • Mean of criterion
    0.06913
  • SD of predictor
    0.36947
  • SD of criterion
    0.58162
  • Covariance
    -0.02051
  • r
    -0.09542
  • b (slope, estimate of beta)
    -0.15021
  • a (intercept, estimate of alpha)
    0.13601
  • Mean Square Error
    0.36099
  • DF error
    13.00000
  • t(b)
    -0.34563
  • p(b)
    0.56066
  • t(a)
    0.23813
  • p(a)
    0.45808
  • Lowerbound of 95% confidence interval for beta
    -1.08913
  • Upperbound of 95% confidence interval for beta
    0.78870
  • Lowerbound of 95% confidence interval for alpha
    -1.09794
  • Upperbound of 95% confidence interval for alpha
    1.36996
  • Treynor index (mean / b)
    -0.46018
  • Jensen alpha (a)
    0.13601
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.11537
  • SD
    0.65970
  • Sharpe ratio (Glass type estimate)
    -0.17489
  • Sharpe ratio (Hedges UMVUE)
    -0.16532
  • df
    14.00000
  • t
    -0.19553
  • p
    0.52609
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.92603
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58240
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.91943
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.58879
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.21049
  • Upside Potential Ratio
    1.18465
  • Upside part of mean
    0.64933
  • Downside part of mean
    -0.76471
  • Upside SD
    0.32690
  • Downside SD
    0.54812
  • N nonnegative terms
    9.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.37690
  • Mean of criterion
    -0.11537
  • SD of predictor
    0.35750
  • SD of criterion
    0.65970
  • Covariance
    -0.02256
  • r
    -0.09565
  • b (slope, estimate of beta)
    -0.17651
  • a (intercept, estimate of alpha)
    -0.04885
  • Mean Square Error
    0.46439
  • DF error
    13.00000
  • t(b)
    -0.34646
  • p(b)
    0.56080
  • t(a)
    -0.07644
  • p(a)
    0.51349
  • Lowerbound of 95% confidence interval for beta
    -1.27713
  • Upperbound of 95% confidence interval for beta
    0.92412
  • Lowerbound of 95% confidence interval for alpha
    -1.42943
  • Upperbound of 95% confidence interval for alpha
    1.33173
  • Treynor index (mean / b)
    0.65365
  • Jensen alpha (a)
    -0.04885
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.27592
  • Expected Shortfall on VaR
    0.32969
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.10427
  • Expected Shortfall on VaR
    0.22333
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.56273
  • Quartile 1
    0.95847
  • Median
    1.01425
  • Quartile 3
    1.08439
  • Maximum
    1.28573
  • Mean of quarter 1
    0.81518
  • Mean of quarter 2
    0.99476
  • Mean of quarter 3
    1.04395
  • Mean of quarter 4
    1.18743
  • Inter Quartile Range
    0.12592
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.06667
  • Mean of outliers low
    0.56273
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.06667
  • Mean of outliers high
    1.28573
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.70546
  • VaR(95%) (moments method)
    0.15080
  • Expected Shortfall (moments method)
    0.17593
  • Extreme Value Index (regression method)
    0.64888
  • VaR(95%) (regression method)
    0.28331
  • Expected Shortfall (regression method)
    0.94860
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.12601
  • Quartile 1
    0.14283
  • Median
    0.15965
  • Quartile 3
    0.29846
  • Maximum
    0.43727
  • Mean of quarter 1
    0.12601
  • Mean of quarter 2
    0.15965
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.43727
  • Inter Quartile Range
    0.15563
  • 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)
    -0.08285
  • Compounded annual return (geometric extrapolation)
    -0.08375
  • Calmar ratio (compounded annual return / max draw down)
    -0.19153
  • Compounded annual return / average of 25% largest draw downs
    -0.19153
  • Compounded annual return / Expected Shortfall lognormal
    -0.25403
  • 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
    -0.00161
  • SD
    0.45291
  • Sharpe ratio (Glass type estimate)
    -0.00355
  • Sharpe ratio (Hedges UMVUE)
    -0.00354
  • df
    332.00000
  • t
    -0.00400
  • p
    0.50159
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.74205
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.73496
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.74204
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.73497
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.00465
  • Upside Potential Ratio
    5.57696
  • Upside part of mean
    1.92424
  • Downside part of mean
    -1.92585
  • Upside SD
    0.29233
  • Downside SD
    0.34503
  • N nonnegative terms
    155.00000
  • N negative terms
    178.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    333.00000
  • Mean of predictor
    0.49845
  • Mean of criterion
    -0.00161
  • SD of predictor
    0.35908
  • SD of criterion
    0.45291
  • Covariance
    0.01135
  • r
    0.06976
  • b (slope, estimate of beta)
    0.08799
  • a (intercept, estimate of alpha)
    -0.04500
  • Mean Square Error
    0.20474
  • DF error
    331.00000
  • t(b)
    1.27230
  • p(b)
    0.10208
  • t(a)
    -0.11286
  • p(a)
    0.54490
  • Lowerbound of 95% confidence interval for beta
    -0.04806
  • Upperbound of 95% confidence interval for beta
    0.22404
  • Lowerbound of 95% confidence interval for alpha
    -0.83791
  • Upperbound of 95% confidence interval for alpha
    0.74698
  • Treynor index (mean / b)
    -0.01825
  • Jensen alpha (a)
    -0.04546
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.10918
  • SD
    0.47129
  • Sharpe ratio (Glass type estimate)
    -0.23165
  • Sharpe ratio (Hedges UMVUE)
    -0.23113
  • df
    332.00000
  • t
    -0.26116
  • p
    0.60294
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.97011
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.50708
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.96973
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.50746
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.28967
  • Upside Potential Ratio
    4.99689
  • Upside part of mean
    1.88335
  • Downside part of mean
    -1.99252
  • Upside SD
    0.28184
  • Downside SD
    0.37690
  • N nonnegative terms
    155.00000
  • N negative terms
    178.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    333.00000
  • Mean of predictor
    0.43231
  • Mean of criterion
    -0.10918
  • SD of predictor
    0.36527
  • SD of criterion
    0.47129
  • Covariance
    0.01062
  • r
    0.06169
  • b (slope, estimate of beta)
    0.07959
  • a (intercept, estimate of alpha)
    -0.14358
  • Mean Square Error
    0.22193
  • DF error
    331.00000
  • t(b)
    1.12449
  • p(b)
    0.13081
  • t(a)
    -0.34270
  • p(a)
    0.63398
  • Lowerbound of 95% confidence interval for beta
    -0.05965
  • Upperbound of 95% confidence interval for beta
    0.21884
  • Lowerbound of 95% confidence interval for alpha
    -0.96780
  • Upperbound of 95% confidence interval for alpha
    0.68063
  • Treynor index (mean / b)
    -1.37165
  • Jensen alpha (a)
    -0.14358
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04716
  • Expected Shortfall on VaR
    0.05863
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01723
  • Expected Shortfall on VaR
    0.03771
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    333.00000
  • Minimum
    0.75263
  • Quartile 1
    0.99283
  • Median
    0.99961
  • Quartile 3
    1.00758
  • Maximum
    1.12748
  • Mean of quarter 1
    0.97459
  • Mean of quarter 2
    0.99646
  • Mean of quarter 3
    1.00286
  • Mean of quarter 4
    1.02680
  • Inter Quartile Range
    0.01476
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.06006
  • Mean of outliers low
    0.93812
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.06306
  • Mean of outliers high
    1.05793
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.58988
  • VaR(95%) (moments method)
    0.02496
  • Expected Shortfall (moments method)
    0.06674
  • Extreme Value Index (regression method)
    0.56169
  • VaR(95%) (regression method)
    0.02168
  • Expected Shortfall (regression method)
    0.05285
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00198
  • Quartile 1
    0.00979
  • Median
    0.13269
  • Quartile 3
    0.20622
  • Maximum
    0.47228
  • Mean of quarter 1
    0.00246
  • Mean of quarter 2
    0.07466
  • Mean of quarter 3
    0.19371
  • Mean of quarter 4
    0.34551
  • Inter Quartile Range
    0.19644
  • 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)
    -0.07721
  • Compounded annual return (geometric extrapolation)
    -0.07805
  • Calmar ratio (compounded annual return / max draw down)
    -0.16527
  • Compounded annual return / average of 25% largest draw downs
    -0.22591
  • Compounded annual return / Expected Shortfall lognormal
    -1.33135
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41563
  • SD
    0.33846
  • Sharpe ratio (Glass type estimate)
    1.22800
  • Sharpe ratio (Hedges UMVUE)
    1.22091
  • df
    130.00000
  • t
    0.86833
  • p
    0.46203
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.55012
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.00153
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.55487
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.99668
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.19113
  • Upside Potential Ratio
    7.80600
  • Upside part of mean
    1.48072
  • Downside part of mean
    -1.06508
  • Upside SD
    0.27993
  • Downside SD
    0.18969
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.11545
  • Mean of criterion
    0.41563
  • SD of predictor
    0.41338
  • SD of criterion
    0.33846
  • Covariance
    0.00466
  • r
    0.03332
  • b (slope, estimate of beta)
    0.02728
  • a (intercept, estimate of alpha)
    0.38521
  • Mean Square Error
    0.11532
  • DF error
    129.00000
  • t(b)
    0.37862
  • p(b)
    0.47879
  • t(a)
    0.79110
  • p(a)
    0.45580
  • Lowerbound of 95% confidence interval for beta
    -0.11527
  • Upperbound of 95% confidence interval for beta
    0.16983
  • Lowerbound of 95% confidence interval for alpha
    -0.57818
  • Upperbound of 95% confidence interval for alpha
    1.34859
  • Treynor index (mean / b)
    15.23620
  • Jensen alpha (a)
    0.38521
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35985
  • SD
    0.33255
  • Sharpe ratio (Glass type estimate)
    1.08210
  • Sharpe ratio (Hedges UMVUE)
    1.07585
  • df
    130.00000
  • t
    0.76516
  • p
    0.46652
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.69488
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.85497
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.69904
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.85073
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.82123
  • Upside Potential Ratio
    7.30720
  • Upside part of mean
    1.44381
  • Downside part of mean
    -1.08396
  • Upside SD
    0.26683
  • Downside SD
    0.19759
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.02837
  • Mean of criterion
    0.35985
  • SD of predictor
    0.41365
  • SD of criterion
    0.33255
  • Covariance
    0.00324
  • r
    0.02359
  • b (slope, estimate of beta)
    0.01896
  • a (intercept, estimate of alpha)
    0.34035
  • Mean Square Error
    0.11138
  • DF error
    129.00000
  • t(b)
    0.26795
  • p(b)
    0.48499
  • t(a)
    0.71269
  • p(a)
    0.46016
  • VAR (95 Confidence Intrvl)
    0.04700
  • Lowerbound of 95% confidence interval for beta
    -0.12105
  • Upperbound of 95% confidence interval for beta
    0.15897
  • Lowerbound of 95% confidence interval for alpha
    -0.60452
  • Upperbound of 95% confidence interval for alpha
    1.28522
  • Treynor index (mean / b)
    18.97810
  • Jensen alpha (a)
    0.34035
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03190
  • Expected Shortfall on VaR
    0.04015
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00925
  • Expected Shortfall on VaR
    0.02034
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.89231
  • Quartile 1
    0.99621
  • Median
    1.00000
  • Quartile 3
    1.00498
  • Maximum
    1.12748
  • Mean of quarter 1
    0.98601
  • Mean of quarter 2
    0.99807
  • Mean of quarter 3
    1.00214
  • Mean of quarter 4
    1.02056
  • Inter Quartile Range
    0.00877
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.96461
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.04680
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.74549
  • VaR(95%) (moments method)
    0.01453
  • Expected Shortfall (moments method)
    0.05971
  • Extreme Value Index (regression method)
    0.73833
  • VaR(95%) (regression method)
    0.01057
  • Expected Shortfall (regression method)
    0.03791
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00186
  • Quartile 1
    0.00372
  • Median
    0.02288
  • Quartile 3
    0.03691
  • Maximum
    0.15048
  • Mean of quarter 1
    0.00254
  • Mean of quarter 2
    0.01324
  • Mean of quarter 3
    0.02593
  • Mean of quarter 4
    0.10600
  • Inter Quartile Range
    0.03319
  • 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
    0.12500
  • Mean of outliers high
    0.15048
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -362496000
  • Max Equity Drawdown (num days)
    285
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.42790
  • Compounded annual return (geometric extrapolation)
    0.47368
  • Calmar ratio (compounded annual return / max draw down)
    3.14777
  • Compounded annual return / average of 25% largest draw downs
    4.46858
  • Compounded annual return / Expected Shortfall lognormal
    11.79830

Strategy Description

Summary Statistics

Strategy began
2019-04-03
Suggested Minimum Capital
$15,000
# Trades
57
# Profitable
24
% Profitable
42.1%
Net Dividends
Correlation S&P500
-0.048
Sharpe Ratio
-0.13
Sortino Ratio
-0.16
Beta
-0.07
Alpha
-0.01

Latest Activity

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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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