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NazFish Spoos Trader
(55300698)

Created by: NazFishCapital NazFishCapital
Started: 11/2010
Futures, Options
Last trade: 235 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $199.00 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.

2.5%
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.

(100.0%)
Max Drawdown
16
Num Trades
68.8%
Win Trades
1.2 : 1
Profit Factor
2.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010                                                                      +0.9%+12.6%+13.6%
2011(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.9%)
2012(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.8%)
2013(0.1%)  -  (0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.9%)
2014(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.9%)
2015(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.9%)
2016(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.9%)
2017(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)  -  (0.1%)  -  (0.1%)(0.1%)(1%)
2018(0.1%)(0.1%)(0.1%)(0.1%)(0.1%)  -  (0.1%)(0.1%)(0.1%)(0.1%)(0.1%)+17.4%+16.4%
2019  -    -    -    -    -    -    -    -                          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

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/18/18 15:20 SPY1824L258 SPY Dec24'18 258 call LONG 200 1.62 12/25 8:05 0.52 7.65%
Trade id #121559821
Max drawdown($25,800)
Time12/21/18 14:24
Quant open160
Worst price0.01
Drawdown as % of equity-7.65%
($22,298)
Includes Typical Broker Commissions trade costs of $168.00
12/18/18 10:08 SPY1819X254 SPY Dec19'18 254 put LONG 1,000 1.13 12/19 15:36 2.44 10.28%
Trade id #121550257
Max drawdown($29,015)
Time12/19/18 14:00
Quant open350
Worst price0.30
Drawdown as % of equity-10.28%
$129,600
Includes Typical Broker Commissions trade costs of $1,400.00
12/18/18 12:30 SPY1824X253 SPY Dec24'18 253 put LONG 100 2.19 12/19 15:03 3.90 0.98%
Trade id #121555608
Max drawdown($2,760)
Time12/19/18 13:57
Quant open40
Worst price1.50
Drawdown as % of equity-0.98%
$17,010
Includes Typical Broker Commissions trade costs of $140.00
12/17/18 12:24 @ESZ8 E-MINI S&P 500 SHORT 80 2591.47 12/18 16:08 2568.22 0.11%
Trade id #121530669
Max drawdown($125)
Time12/17/18 12:27
Quant open-80
Worst price2591.50
Drawdown as % of equity-0.11%
$92,360
Includes Typical Broker Commissions trade costs of $640.00
12/14/18 13:40 SPY1821X261.5 SPY Dec21'18 261.5 put LONG 200 4.33 12/17 9:54 6.31 1.02%
Trade id #121506364
Max drawdown($760)
Time12/14/18 14:24
Quant open40
Worst price3.75
Drawdown as % of equity-1.02%
$39,320
Includes Typical Broker Commissions trade costs of $280.00
12/14/18 15:51 SPY1821X252 SPY Dec21'18 252 put SHORT 200 1.18 12/17 9:53 1.77 12.59%
Trade id #121509068
Max drawdown($11,900)
Time12/17/18 9:53
Quant open0
Worst price1.77
Drawdown as % of equity-12.59%
($12,180)
Includes Typical Broker Commissions trade costs of $280.00
12/14/18 10:06 SPY1814X263 SPY Dec14'18 263 put LONG 400 0.83 12/14 15:08 2.13 30.04%
Trade id #121500106
Max drawdown($9,700)
Time12/14/18 10:17
Quant open400
Worst price0.59
Drawdown as % of equity-30.04%
$51,540
Includes Typical Broker Commissions trade costs of $560.00
12/14/18 13:34 SPY1814L261.5 SPY Dec14'18 261.5 call LONG 100 0.60 12/14 13:41 0.75 0%
Trade id #121506239
Max drawdown$0
Time12/14/18 13:37
Quant open100
Worst price0.60
Drawdown as % of equity0.00%
$1,360
Includes Typical Broker Commissions trade costs of $140.00
12/14/18 13:35 SPY1821L261.5 SPY Dec21'18 261.5 call LONG 30 2.82 12/14 13:40 2.83 0.14%
Trade id #121506255
Max drawdown($110)
Time12/14/18 13:39
Quant open30
Worst price2.78
Drawdown as % of equity-0.14%
($2)
Includes Typical Broker Commissions trade costs of $42.00
12/12/18 15:20 SPY1814X266.5 SPY Dec14'18 266.5 put LONG 120 1.98 12/14 10:02 3.01 47.26%
Trade id #121468075
Max drawdown($8,750)
Time12/13/18 10:13
Quant open120
Worst price1.25
Drawdown as % of equity-47.26%
$12,202
Includes Typical Broker Commissions trade costs of $168.00
12/12/18 14:13 @ESZ8 E-MINI S&P 500 SHORT 15 2667.50 12/12 15:11 2670.75 17.5%
Trade id #121467171
Max drawdown($4,500)
Time12/12/18 14:21
Quant open-15
Worst price2673.50
Drawdown as % of equity-17.50%
($2,558)
Includes Typical Broker Commissions trade costs of $120.00
12/11/18 9:52 @ESZ8 E-MINI S&P 500 SHORT 10 2668.85 12/12 10:57 2659.38 15.59%
Trade id #121441480
Max drawdown($3,200)
Time12/11/18 10:08
Quant open-10
Worst price2675.25
Drawdown as % of equity-15.59%
$4,658
Includes Typical Broker Commissions trade costs of $80.00
12/10/18 10:58 @ESZ8 E-MINI S&P 500 SHORT 200 2604.50 12/10 15:38 2631.80 84.51%
Trade id #121424488
Max drawdown($285,000)
Time12/10/18 13:54
Quant open-200
Worst price2633.00
Drawdown as % of equity-84.51%
($274,625)
Includes Typical Broker Commissions trade costs of $1,600.00
12/10/18 10:23 @ESZ8 E-MINI S&P 500 LONG 50 2625.80 12/10 10:58 2603.15 19.36%
Trade id #121423486
Max drawdown($56,625)
Time12/10/18 10:58
Quant open30
Worst price2604.50
Drawdown as % of equity-19.36%
($57,025)
Includes Typical Broker Commissions trade costs of $400.00
12/7/18 9:38 @ESZ8 E-MINI S&P 500 SHORT 40 2699.00 12/7 15:33 2665.44 7.8%
Trade id #121396292
Max drawdown($21,500)
Time12/7/18 9:43
Quant open-40
Worst price2709.75
Drawdown as % of equity-7.80%
$66,805
Includes Typical Broker Commissions trade costs of $320.00
11/29/10 13:46 @ESZ0 E-MINI S&P 500 LONG 10 1176.50 12/14 11:57 1245.00 0.7%
Trade id #55300731
Max drawdown($1,750)
Time11/30/10 9:42
Quant open10
Worst price1173.00
Drawdown as % of equity-0.70%
$34,170
Includes Typical Broker Commissions trade costs of $80.00

Statistics

  • Strategy began
    11/29/2010
  • Suggested Minimum Cap
    $250,000
  • Strategy Age (days)
    3174.08
  • Age
    106 months ago
  • What it trades
    Options, Futures
  • # Trades
    16
  • # Profitable
    11
  • % Profitable
    68.80%
  • Avg trade duration
    2.1 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Dec 10, 2018 - Dec 18, 2018
  • Annual Return (Compounded)
    2.5%
  • Avg win
    $41,170
  • Avg loss
    $73,223
  • Model Account Values (Raw)
  • Cash
    $336,755
  • Margin Used
    $0
  • Buying Power
    $336,755
  • Ratios
  • W:L ratio
    1.24:1
  • Sharpe Ratio
    0.29
  • Sortino Ratio
    4.51
  • Calmar Ratio
    0.065
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.05230
  • Return Statistics
  • Ann Return (w trading costs)
    2.5%
  • Ann Return (Compnd, No Fees)
    3.5%
  • 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 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $73,224
  • Avg Win
    $41,170
  • # Winners
    11
  • # Losers
    5
  • % Winners
    68.8%
  • Frequency
  • Avg Position Time (mins)
    3082.90
  • Avg Position Time (hrs)
    51.38
  • Avg Trade Length
    2.1 days
  • Last Trade Ago
    226
  • Regression
  • Alpha
    0.70
  • Beta
    -2.47
  • Treynor Index
    -0.25
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    5.319
  • Avg(MAE) / Avg(PL) - Winning trades
    0.172
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.048
  • Hold-and-Hope Ratio
    0.188
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03539
  • SD
    0.10816
  • Sharpe ratio (Glass type estimate)
    0.32722
  • Sharpe ratio (Hedges UMVUE)
    0.31994
  • df
    34.00000
  • t
    0.55883
  • p
    0.28997
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.82538
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.47511
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.83022
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.47009
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.45207
  • Upside Potential Ratio
    7.86633
  • Upside part of mean
    0.06253
  • Downside part of mean
    -0.02714
  • Upside SD
    0.10679
  • Downside SD
    0.00795
  • N nonnegative terms
    1.00000
  • N negative terms
    34.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    35.00000
  • Mean of predictor
    0.27885
  • Mean of criterion
    0.03539
  • SD of predictor
    0.22877
  • SD of criterion
    0.10816
  • Covariance
    -0.00912
  • r
    -0.36844
  • b (slope, estimate of beta)
    -0.17419
  • a (intercept, estimate of alpha)
    0.08396
  • Mean Square Error
    0.01042
  • DF error
    33.00000
  • t(b)
    -2.27668
  • p(b)
    0.98529
  • t(a)
    1.32320
  • p(a)
    0.09743
  • Lowerbound of 95% confidence interval for beta
    -0.32985
  • Upperbound of 95% confidence interval for beta
    -0.01853
  • Lowerbound of 95% confidence interval for alpha
    -0.04514
  • Upperbound of 95% confidence interval for alpha
    0.21306
  • Treynor index (mean / b)
    -0.20317
  • Jensen alpha (a)
    0.08396
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03021
  • SD
    0.09925
  • Sharpe ratio (Glass type estimate)
    0.30436
  • Sharpe ratio (Hedges UMVUE)
    0.29759
  • df
    34.00000
  • t
    0.51980
  • p
    0.30329
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84773
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.45205
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.85223
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.44740
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.80446
  • Upside Potential Ratio
    7.21871
  • Upside part of mean
    0.05732
  • Downside part of mean
    -0.02711
  • Upside SD
    0.09789
  • Downside SD
    0.00794
  • N nonnegative terms
    1.00000
  • N negative terms
    34.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    35.00000
  • Mean of predictor
    0.25027
  • Mean of criterion
    0.03021
  • SD of predictor
    0.22739
  • SD of criterion
    0.09925
  • Covariance
    -0.00865
  • r
    -0.38311
  • b (slope, estimate of beta)
    -0.16722
  • a (intercept, estimate of alpha)
    0.07206
  • Mean Square Error
    0.00866
  • DF error
    33.00000
  • t(b)
    -2.38259
  • p(b)
    0.98845
  • t(a)
    1.25867
  • p(a)
    0.10849
  • Lowerbound of 95% confidence interval for beta
    -0.31001
  • Upperbound of 95% confidence interval for beta
    -0.02443
  • Lowerbound of 95% confidence interval for alpha
    -0.04442
  • Upperbound of 95% confidence interval for alpha
    0.18853
  • Treynor index (mean / b)
    -0.18065
  • Jensen alpha (a)
    0.07206
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04363
  • Expected Shortfall on VaR
    0.05496
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00240
  • Expected Shortfall on VaR
    0.00240
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    35.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.18471
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02052
  • 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
    1.00000
  • Percentage of outliers high
    0.02857
  • Mean of outliers high
    1.18471
  • 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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)
    0.06333
  • Compounded annual return (geometric extrapolation)
    0.05984
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    1.08879
  • 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
    0.94519
  • SD
    1.53684
  • Sharpe ratio (Glass type estimate)
    0.61502
  • Sharpe ratio (Hedges UMVUE)
    0.61442
  • df
    768.00000
  • t
    1.05366
  • p
    0.14619
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.52958
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.75929
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.53002
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.75886
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.78423
  • Upside Potential Ratio
    2.79702
  • Upside part of mean
    1.48171
  • Downside part of mean
    -0.53652
  • Upside SD
    1.44277
  • Downside SD
    0.52975
  • N nonnegative terms
    13.00000
  • N negative terms
    756.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    769.00000
  • Mean of predictor
    0.28472
  • Mean of criterion
    0.94519
  • SD of predictor
    0.24130
  • SD of criterion
    1.53684
  • Covariance
    -0.02131
  • r
    -0.05746
  • b (slope, estimate of beta)
    -0.36598
  • a (intercept, estimate of alpha)
    1.04900
  • Mean Square Error
    2.35715
  • DF error
    767.00000
  • t(b)
    -1.59402
  • p(b)
    0.94433
  • t(a)
    1.16789
  • p(a)
    0.12161
  • Lowerbound of 95% confidence interval for beta
    -0.81669
  • Upperbound of 95% confidence interval for beta
    0.08473
  • Lowerbound of 95% confidence interval for alpha
    -0.71449
  • Upperbound of 95% confidence interval for alpha
    2.81326
  • Treynor index (mean / b)
    -2.58261
  • Jensen alpha (a)
    1.04939
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02984
  • SD
    1.44335
  • Sharpe ratio (Glass type estimate)
    0.02068
  • Sharpe ratio (Hedges UMVUE)
    0.02066
  • df
    768.00000
  • t
    0.03542
  • p
    0.48588
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.12335
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.16470
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.12337
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.16468
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.02589
  • Upside Potential Ratio
    0.82837
  • Upside part of mean
    0.95479
  • Downside part of mean
    -0.92495
  • Upside SD
    0.86719
  • Downside SD
    1.15262
  • N nonnegative terms
    13.00000
  • N negative terms
    756.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    769.00000
  • Mean of predictor
    0.25534
  • Mean of criterion
    0.02984
  • SD of predictor
    0.24223
  • SD of criterion
    1.44335
  • Covariance
    -0.01042
  • r
    -0.02979
  • b (slope, estimate of beta)
    -0.17751
  • a (intercept, estimate of alpha)
    0.07517
  • Mean Square Error
    2.08413
  • DF error
    767.00000
  • t(b)
    -0.82543
  • p(b)
    0.79531
  • t(a)
    0.08902
  • p(a)
    0.46455
  • Lowerbound of 95% confidence interval for beta
    -0.59968
  • Upperbound of 95% confidence interval for beta
    0.24465
  • Lowerbound of 95% confidence interval for alpha
    -1.58252
  • Upperbound of 95% confidence interval for alpha
    1.73286
  • Treynor index (mean / b)
    -0.16811
  • Jensen alpha (a)
    0.07517
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13633
  • Expected Shortfall on VaR
    0.16746
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00703
  • Expected Shortfall on VaR
    0.01606
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    769.00000
  • Minimum
    0.14266
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    2.71148
  • Mean of quarter 1
    0.99226
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02266
  • Inter Quartile Range
    0.00000
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.01691
  • Mean of outliers low
    0.88506
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.01691
  • Mean of outliers high
    1.33464
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    2.32351
  • VaR(95%) (moments method)
    -0.00030
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.56321
  • VaR(95%) (regression method)
    -0.00407
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00449
  • Quartile 1
    0.05826
  • Median
    0.11202
  • Quartile 3
    0.51305
  • Maximum
    0.91407
  • Mean of quarter 1
    0.00449
  • Mean of quarter 2
    0.11202
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.91407
  • Inter Quartile Range
    0.45479
  • 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)
    0.06293
  • Compounded annual return (geometric extrapolation)
    0.05945
  • Calmar ratio (compounded annual return / max draw down)
    0.06504
  • Compounded annual return / average of 25% largest draw downs
    0.06504
  • Compounded annual return / Expected Shortfall lognormal
    0.35500
  • 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
    5.66586
  • SD
    3.71674
  • Sharpe ratio (Glass type estimate)
    1.52442
  • Sharpe ratio (Hedges UMVUE)
    1.51561
  • df
    130.00000
  • t
    1.07793
  • p
    0.45294
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.25648
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.29951
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.26232
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.29353
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.44885
  • Upside Potential Ratio
    6.55139
  • Upside part of mean
    8.34356
  • Downside part of mean
    -2.67770
  • Upside SD
    3.49418
  • Downside SD
    1.27356
  • N nonnegative terms
    5.00000
  • N negative terms
    126.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.42399
  • Mean of criterion
    5.66586
  • SD of predictor
    0.24008
  • SD of criterion
    3.71674
  • Covariance
    -0.15157
  • r
    -0.16987
  • b (slope, estimate of beta)
    -2.62974
  • a (intercept, estimate of alpha)
    6.78084
  • Mean Square Error
    13.51950
  • DF error
    129.00000
  • t(b)
    -1.95776
  • p(b)
    0.60762
  • t(a)
    1.29628
  • p(a)
    0.42797
  • Lowerbound of 95% confidence interval for beta
    -5.28737
  • Upperbound of 95% confidence interval for beta
    0.02789
  • Lowerbound of 95% confidence interval for alpha
    -3.56884
  • Upperbound of 95% confidence interval for alpha
    17.13050
  • Treynor index (mean / b)
    -2.15453
  • Jensen alpha (a)
    6.78084
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31110
  • SD
    3.50268
  • Sharpe ratio (Glass type estimate)
    0.08882
  • Sharpe ratio (Hedges UMVUE)
    0.08830
  • df
    130.00000
  • t
    0.06280
  • p
    0.49725
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.68313
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.86052
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.68352
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.86013
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.11160
  • Upside Potential Ratio
    1.88529
  • Upside part of mean
    5.25544
  • Downside part of mean
    -4.94434
  • Upside SD
    2.09874
  • Downside SD
    2.78761
  • N nonnegative terms
    5.00000
  • N negative terms
    126.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.39497
  • Mean of criterion
    0.31110
  • SD of predictor
    0.24045
  • SD of criterion
    3.50268
  • Covariance
    -0.08601
  • r
    -0.10212
  • b (slope, estimate of beta)
    -1.48758
  • a (intercept, estimate of alpha)
    0.89865
  • Mean Square Error
    12.23490
  • DF error
    129.00000
  • t(b)
    -1.16595
  • p(b)
    0.56490
  • t(a)
    0.18073
  • p(a)
    0.48987
  • Lowerbound of 95% confidence interval for beta
    -4.01188
  • Upperbound of 95% confidence interval for beta
    1.03672
  • Lowerbound of 95% confidence interval for alpha
    -8.93918
  • Upperbound of 95% confidence interval for alpha
    10.73650
  • Treynor index (mean / b)
    -0.20913
  • Jensen alpha (a)
    0.89865
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.29865
  • Expected Shortfall on VaR
    0.35729
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03465
  • Expected Shortfall on VaR
    0.07835
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.14266
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    2.71148
  • Mean of quarter 1
    0.95983
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.12643
  • Inter Quartile Range
    0.00000
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.83432
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.83446
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    2.91078
  • VaR(95%) (moments method)
    0.00063
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    2.07599
  • VaR(95%) (regression method)
    0.00264
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00449
  • Quartile 1
    0.23189
  • Median
    0.45928
  • Quartile 3
    0.68668
  • Maximum
    0.91407
  • Mean of quarter 1
    0.00449
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.91407
  • Inter Quartile Range
    0.45479
  • 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)
    0.36943
  • Compounded annual return (geometric extrapolation)
    0.40355
  • Calmar ratio (compounded annual return / max draw down)
    0.44148
  • Compounded annual return / average of 25% largest draw downs
    0.44148
  • Compounded annual return / Expected Shortfall lognormal
    1.12946

Strategy Description

Spoos Trader generates entry and exit signals based on proprietary algorithms.Signals are predominantly issued as limit orders; but market and stop orders are occasionally used.Stop loss orders are carried on every entry signal and will at a minimum yield a 2:1 risk reward ratio.Spoos Trader issues signals between 9:30am and 4:15 pm EST.The Number of signals issued vary according to market volatility.Expect 10-30 signals Per month in periods of low to moderate volatility and 30-60 Signals in periods of high volatility.The system runs from 9:30 am EST till the end of the US Day session at 4:15 pm EST.Spoos Trader generates signals from pure price analysis.As the saying goes its all baked into the price!

Summary Statistics

Strategy began
2010-11-29
Suggested Minimum Capital
$320,000
# Trades
16
# Profitable
11
% Profitable
68.8%
Correlation S&P500
-0.052
Sharpe Ratio
0.29
Sortino Ratio
4.51
Beta
-2.47
Alpha
0.70

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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