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QuantAlphaMR
(68456563)

Created by: TimSimons TimSimons
Started: 11/2011
Stocks
Last trade: 7 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 $39.00 per month.

10.3%
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.

12.2%
Max Drawdown
4464
Num Trades
69.8%
Win Trades
2.0 : 1
Profit Factor
71.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                                                                        -  +0.9%+0.9%
2012(0.9%)+1.3%+3.3%+2.2%(5.5%)+4.7%+3.6%(0.2%)+0.1%+2.0%+3.2%+2.5%+17.1%
2013+2.5%+0.7%(0.2%)+6.0%(2.1%)+3.0%+0.5%+0.6%+2.6%+2.6%+1.0%+2.1%+20.8%
2014(0.7%)+1.2%+1.3%+2.5%+0.6%+0.8%(1.8%)+2.9%(1%)(3.2%)  -  +3.5%+5.9%
2015+2.6%+1.1%+1.9%(0.8%)+1.5%+0.6%+0.5%(0.3%)+1.5%(1.5%)+1.1%+1.5%+10.0%
2016  -  +1.4%(1.4%)+0.4%+2.1%+1.0%+0.4%(0.4%)+2.2%(1.1%)+0.6%(0.6%)+4.5%
2017+1.3%+0.6%+0.7%+0.9%+0.7%  -  +0.1%+0.6%+0.5%+0.2%+0.9%+0.9%+7.6%
2018+1.0%+1.3%(0.9%)(0.1%)+0.5%(1.2%)+1.9%                              +2.5%

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.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 3,330 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/22/18 9:30 PGR PROGRESSIVE LONG 95 60.83 7/10 9:30 59.66 0.1%
Trade id #118589149
Max drawdown($204)
Time6/27/18 16:00
Quant open95
Worst price58.68
Drawdown as % of equity-0.10%
($114)
Includes Typical Broker Commissions trade costs of $1.90
6/14/18 9:30 MPC MARATHON PETROLEUM LONG 38 75.57 7/10 9:30 71.89 0.14%
Trade id #118433184
Max drawdown($280)
Time7/5/18 9:58
Quant open38
Worst price68.18
Drawdown as % of equity-0.14%
($141)
Includes Typical Broker Commissions trade costs of $0.76
6/27/18 9:30 JBHT J.B. HUNT TRANSPORT LONG 46 122.40 7/10 9:30 124.67 0.06%
Trade id #118668979
Max drawdown($129)
Time7/5/18 12:18
Quant open46
Worst price119.59
Drawdown as % of equity-0.06%
$103
Includes Typical Broker Commissions trade costs of $0.92
6/25/18 9:30 FLIR FLIR SYSTEMS LONG 109 52.75 7/10 9:30 52.24 0.09%
Trade id #118621175
Max drawdown($178)
Time7/2/18 9:31
Quant open109
Worst price51.11
Drawdown as % of equity-0.09%
($57)
Includes Typical Broker Commissions trade costs of $2.18
6/27/18 9:30 TROW T. ROWE PRICE LONG 49 117.48 7/10 9:30 117.60 0.05%
Trade id #118668985
Max drawdown($98)
Time6/28/18 10:22
Quant open24
Worst price114.40
Drawdown as % of equity-0.05%
$5
Includes Typical Broker Commissions trade costs of $0.98
6/25/18 9:30 RL RALPH LAUREN LONG 44 128.82 7/10 9:30 127.05 0.1%
Trade id #118621164
Max drawdown($206)
Time7/2/18 12:14
Quant open44
Worst price124.14
Drawdown as % of equity-0.10%
($79)
Includes Typical Broker Commissions trade costs of $0.88
6/26/18 9:30 AKAM AKAMAI TECHNOLOGIES LONG 37 74.49 7/10 9:30 76.11 0.06%
Trade id #118649659
Max drawdown($128)
Time6/28/18 9:31
Quant open37
Worst price71.02
Drawdown as % of equity-0.06%
$59
Includes Typical Broker Commissions trade costs of $0.74
6/22/18 9:30 PVH PVH LONG 18 155.23 7/10 9:30 149.92 0.1%
Trade id #118589088
Max drawdown($193)
Time7/5/18 10:20
Quant open18
Worst price144.47
Drawdown as % of equity-0.10%
($96)
Includes Typical Broker Commissions trade costs of $0.36
6/28/18 9:30 NDAQ NASDAQ INC COMMON STOCK LONG 31 91.09 7/10 9:30 90.78 0.02%
Trade id #118692996
Max drawdown($43)
Time7/6/18 14:45
Quant open31
Worst price89.70
Drawdown as % of equity-0.02%
($11)
Includes Typical Broker Commissions trade costs of $0.62
7/9/18 9:30 EXPD EXPEDITORS INTERNATIONAL LONG 40 72.77 7/10 9:30 73.45 0.01%
Trade id #118821912
Max drawdown($19)
Time7/9/18 9:33
Quant open40
Worst price72.28
Drawdown as % of equity-0.01%
$26
Includes Typical Broker Commissions trade costs of $0.80
6/29/18 9:30 ETFC E*TRADE FINANCIAL CORP LONG 95 60.99 7/10 9:30 61.78 0.07%
Trade id #118709732
Max drawdown($141)
Time7/6/18 9:31
Quant open95
Worst price59.50
Drawdown as % of equity-0.07%
$73
Includes Typical Broker Commissions trade costs of $1.90
6/18/18 9:30 VLO VALERO ENERGY LONG 25 115.36 7/10 9:30 109.84 0.12%
Trade id #118478980
Max drawdown($235)
Time7/6/18 9:32
Quant open25
Worst price105.95
Drawdown as % of equity-0.12%
($139)
Includes Typical Broker Commissions trade costs of $0.50
6/29/18 9:30 CME CME GROUP LONG 17 164.67 7/10 9:30 163.64 0.04%
Trade id #118709680
Max drawdown($90)
Time7/5/18 14:16
Quant open17
Worst price159.36
Drawdown as % of equity-0.04%
($18)
Includes Typical Broker Commissions trade costs of $0.34
6/29/18 9:30 TXT TEXTRON LONG 44 66.11 7/10 9:30 66.85 0.03%
Trade id #118709714
Max drawdown($51)
Time7/2/18 9:51
Quant open44
Worst price64.94
Drawdown as % of equity-0.03%
$32
Includes Typical Broker Commissions trade costs of $0.88
7/2/18 9:30 FL FOOT LOCKER LONG 110 52.32 7/10 9:30 53.40 0.08%
Trade id #118740839
Max drawdown($156)
Time7/2/18 9:51
Quant open110
Worst price50.90
Drawdown as % of equity-0.08%
$117
Includes Typical Broker Commissions trade costs of $2.20
6/29/18 9:30 MU MICRON TECHNOLOGY LONG 54 53.69 7/10 9:30 54.65 0.1%
Trade id #118709779
Max drawdown($193)
Time7/3/18 12:35
Quant open54
Worst price50.10
Drawdown as % of equity-0.10%
$51
Includes Typical Broker Commissions trade costs of $1.08
7/5/18 9:30 MOS MOSAIC LONG 104 27.82 7/9 9:31 28.29 0.02%
Trade id #118783401
Max drawdown($33)
Time7/6/18 9:33
Quant open104
Worst price27.50
Drawdown as % of equity-0.02%
$47
Includes Typical Broker Commissions trade costs of $2.08
6/26/18 9:30 MCHP MICROCHIP TECHNOLOGY LONG 31 93.76 7/9 9:31 93.75 0.07%
Trade id #118649565
Max drawdown($141)
Time7/2/18 9:32
Quant open31
Worst price89.20
Drawdown as % of equity-0.07%
($1)
Includes Typical Broker Commissions trade costs of $0.62
6/28/18 9:31 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 11 246.28 7/9 9:30 249.00 0.05%
Trade id #118693106
Max drawdown($97)
Time7/2/18 11:51
Quant open11
Worst price237.42
Drawdown as % of equity-0.05%
$30
Includes Typical Broker Commissions trade costs of $0.22
6/28/18 9:30 ULTA ULTA BEAUTY INC LONG 12 236.50 7/9 9:30 243.28 0.05%
Trade id #118692990
Max drawdown($97)
Time7/2/18 9:33
Quant open12
Worst price228.38
Drawdown as % of equity-0.05%
$81
Includes Typical Broker Commissions trade costs of $0.24
6/28/18 9:30 ADI ANALOG DEVICES LONG 60 95.61 7/9 9:30 97.42 0.08%
Trade id #118693098
Max drawdown($153)
Time7/3/18 15:41
Quant open60
Worst price93.06
Drawdown as % of equity-0.08%
$107
Includes Typical Broker Commissions trade costs of $1.20
6/21/18 9:30 PSX PHILLIPS 66 LONG 25 113.98 7/9 9:30 111.60 0.06%
Trade id #118559509
Max drawdown($122)
Time7/6/18 9:33
Quant open25
Worst price109.07
Drawdown as % of equity-0.06%
($61)
Includes Typical Broker Commissions trade costs of $0.50
6/20/18 9:30 NRG NRG ENERGY LONG 183 31.50 7/9 9:30 31.11 0.15%
Trade id #118533032
Max drawdown($292)
Time7/2/18 9:31
Quant open183
Worst price29.90
Drawdown as % of equity-0.15%
($75)
Includes Typical Broker Commissions trade costs of $3.66
6/28/18 9:31 BHF BRIGHTHOUSE FINANCIAL INC. COMMON STOCK LONG 72 40.21 7/9 9:30 41.76 0.04%
Trade id #118693160
Max drawdown($69)
Time7/2/18 10:15
Quant open72
Worst price39.24
Drawdown as % of equity-0.04%
$111
Includes Typical Broker Commissions trade costs of $1.44
6/29/18 9:30 TXN TEXAS INSTRUMENTS LONG 26 109.79 7/6 9:30 111.56 0.02%
Trade id #118709800
Max drawdown($36)
Time7/2/18 9:33
Quant open26
Worst price108.38
Drawdown as % of equity-0.02%
$45
Includes Typical Broker Commissions trade costs of $0.52
6/28/18 9:31 SPGI S & P GLOBAL INC LONG 14 201.40 7/6 9:30 204.71 n/a $46
Includes Typical Broker Commissions trade costs of $0.28
6/28/18 9:30 ABT ABBOTT LABORATORIES LONG 47 60.52 7/6 9:30 61.50 0.01%
Trade id #118693027
Max drawdown($23)
Time7/3/18 15:07
Quant open47
Worst price60.01
Drawdown as % of equity-0.01%
$45
Includes Typical Broker Commissions trade costs of $0.94
6/22/18 9:30 MCO MOODY'S LONG 16 173.43 7/6 9:30 171.27 0.04%
Trade id #118589168
Max drawdown($80)
Time6/28/18 9:31
Quant open16
Worst price168.39
Drawdown as % of equity-0.04%
($35)
Includes Typical Broker Commissions trade costs of $0.32
6/28/18 9:30 MRK MERCK LONG 48 60.22 7/6 9:30 61.85 0.01%
Trade id #118692965
Max drawdown($14)
Time7/2/18 10:22
Quant open48
Worst price59.92
Drawdown as % of equity-0.01%
$77
Includes Typical Broker Commissions trade costs of $0.96
6/29/18 9:30 JEC JACOBS ENGINEERING LONG 45 63.76 7/6 9:30 64.26 0.02%
Trade id #118709839
Max drawdown($43)
Time7/2/18 9:31
Quant open45
Worst price62.79
Drawdown as % of equity-0.02%
$22
Includes Typical Broker Commissions trade costs of $0.90

Statistics

  • Strategy began
    11/30/2011
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    2420.73
  • Age
    81 months ago
  • What it trades
    Stocks
  • # Trades
    4464
  • # Profitable
    3117
  • % Profitable
    69.80%
  • Avg trade duration
    9.4 days
  • Max peak-to-valley drawdown
    12.25%
  • drawdown period
    Sept 19, 2014 - Oct 15, 2014
  • Annual Return (Compounded)
    10.3%
  • Avg win
    $69.08
  • Avg loss
    $86.41
  • Model Account Values (Raw)
  • Cash
    $197,431
  • Margin Used
    $0
  • Buying Power
    $197,556
  • Ratios
  • W:L ratio
    1.96:1
  • Sharpe Ratio
    1.133
  • Sortino Ratio
    1.785
  • Calmar Ratio
    1.148
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.42100
  • Return Statistics
  • Ann Return (w trading costs)
    10.3%
  • Ann Return (Compnd, No Fees)
    11.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    6.00%
  • 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)
    761
  • Popularity (Last 6 weeks)
    940
  • C2 Score
    83.4
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $87
  • Avg Win
    $69
  • # Winners
    3119
  • # Losers
    1345
  • % Winners
    69.9%
  • Frequency
  • Avg Position Time (mins)
    13554.20
  • Avg Position Time (hrs)
    225.90
  • Avg Trade Length
    9.4 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08248
  • SD
    0.06669
  • Sharpe ratio (Glass type estimate)
    1.23668
  • Sharpe ratio (Hedges UMVUE)
    1.22460
  • df
    77.00000
  • t
    3.15293
  • p
    0.00115
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.43981
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.02602
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.43188
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.01732
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.39029
  • Upside Potential Ratio
    3.68609
  • Upside part of mean
    0.12719
  • Downside part of mean
    -0.04471
  • Upside SD
    0.06138
  • Downside SD
    0.03451
  • N nonnegative terms
    51.00000
  • N negative terms
    27.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    78.00000
  • Mean of predictor
    0.09730
  • Mean of criterion
    0.08248
  • SD of predictor
    0.10838
  • SD of criterion
    0.06669
  • Covariance
    0.00269
  • r
    0.37253
  • b (slope, estimate of beta)
    0.22924
  • a (intercept, estimate of alpha)
    0.06018
  • Mean Square Error
    0.00388
  • DF error
    76.00000
  • t(b)
    3.49949
  • p(b)
    0.00039
  • t(a)
    2.38284
  • p(a)
    0.00984
  • Lowerbound of 95% confidence interval for beta
    0.09877
  • Upperbound of 95% confidence interval for beta
    0.35971
  • Lowerbound of 95% confidence interval for alpha
    0.00988
  • Upperbound of 95% confidence interval for alpha
    0.11047
  • Treynor index (mean / b)
    0.35980
  • Jensen alpha (a)
    0.06018
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07985
  • SD
    0.06608
  • Sharpe ratio (Glass type estimate)
    1.20843
  • Sharpe ratio (Hedges UMVUE)
    1.19662
  • df
    77.00000
  • t
    3.08090
  • p
    0.00143
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.41271
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.99677
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.40497
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.98827
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.27396
  • Upside Potential Ratio
    3.56164
  • Upside part of mean
    0.12507
  • Downside part of mean
    -0.04522
  • Upside SD
    0.06007
  • Downside SD
    0.03512
  • N nonnegative terms
    51.00000
  • N negative terms
    27.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    78.00000
  • Mean of predictor
    0.09092
  • Mean of criterion
    0.07985
  • SD of predictor
    0.10840
  • SD of criterion
    0.06608
  • Covariance
    0.00271
  • r
    0.37860
  • b (slope, estimate of beta)
    0.23080
  • a (intercept, estimate of alpha)
    0.05887
  • Mean Square Error
    0.00379
  • DF error
    76.00000
  • t(b)
    3.56603
  • p(b)
    0.00032
  • t(a)
    2.36859
  • p(a)
    0.01020
  • Lowerbound of 95% confidence interval for beta
    0.10189
  • Upperbound of 95% confidence interval for beta
    0.35970
  • Lowerbound of 95% confidence interval for alpha
    0.00937
  • Upperbound of 95% confidence interval for alpha
    0.10837
  • Treynor index (mean / b)
    0.34598
  • Jensen alpha (a)
    0.05887
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02442
  • Expected Shortfall on VaR
    0.03214
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00646
  • Expected Shortfall on VaR
    0.01483
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    78.00000
  • Minimum
    0.94737
  • Quartile 1
    1.00029
  • Median
    1.00678
  • Quartile 3
    1.01919
  • Maximum
    1.06396
  • Mean of quarter 1
    0.98814
  • Mean of quarter 2
    1.00387
  • Mean of quarter 3
    1.01077
  • Mean of quarter 4
    1.03384
  • Inter Quartile Range
    0.01891
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02564
  • Mean of outliers low
    0.95339
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.05128
  • Mean of outliers high
    1.05483
  • 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)
    0.27187
  • VaR(95%) (regression method)
    0.01223
  • Expected Shortfall (regression method)
    0.02560
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00183
  • Quartile 1
    0.00360
  • Median
    0.00601
  • Quartile 3
    0.02128
  • Maximum
    0.05263
  • Mean of quarter 1
    0.00260
  • Mean of quarter 2
    0.00507
  • Mean of quarter 3
    0.01465
  • Mean of quarter 4
    0.03901
  • Inter Quartile Range
    0.01768
  • 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
    0.06667
  • Mean of outliers high
    0.05263
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -6.49882
  • VaR(95%) (moments method)
    0.04078
  • Expected Shortfall (moments method)
    0.04078
  • Extreme Value Index (regression method)
    -0.82747
  • VaR(95%) (regression method)
    0.04827
  • Expected Shortfall (regression method)
    0.05206
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15610
  • Compounded annual return (geometric extrapolation)
    0.11378
  • Calmar ratio (compounded annual return / max draw down)
    2.16203
  • Compounded annual return / average of 25% largest draw downs
    2.91682
  • Compounded annual return / Expected Shortfall lognormal
    3.54012
  • 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
    0.08414
  • SD
    0.07422
  • Sharpe ratio (Glass type estimate)
    1.13375
  • Sharpe ratio (Hedges UMVUE)
    1.13325
  • df
    1716.00000
  • t
    2.90236
  • p
    0.46505
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.36704
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.90016
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.36670
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.89981
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.78496
  • Upside Potential Ratio
    7.10205
  • Upside part of mean
    0.33479
  • Downside part of mean
    -0.25065
  • Upside SD
    0.05753
  • Downside SD
    0.04714
  • N nonnegative terms
    823.00000
  • N negative terms
    894.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1717.00000
  • Mean of predictor
    0.10334
  • Mean of criterion
    0.08414
  • SD of predictor
    0.12542
  • SD of criterion
    0.07422
  • Covariance
    0.00393
  • r
    0.42260
  • b (slope, estimate of beta)
    0.25006
  • a (intercept, estimate of alpha)
    0.05800
  • Mean Square Error
    0.00453
  • DF error
    1715.00000
  • t(b)
    19.30990
  • p(b)
    0.23920
  • t(a)
    2.21534
  • p(a)
    0.46601
  • Lowerbound of 95% confidence interval for beta
    0.22466
  • Upperbound of 95% confidence interval for beta
    0.27546
  • Lowerbound of 95% confidence interval for alpha
    0.00668
  • Upperbound of 95% confidence interval for alpha
    0.10992
  • Treynor index (mean / b)
    0.33649
  • Jensen alpha (a)
    0.05830
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08137
  • SD
    0.07418
  • Sharpe ratio (Glass type estimate)
    1.09698
  • Sharpe ratio (Hedges UMVUE)
    1.09650
  • df
    1716.00000
  • t
    2.80824
  • p
    0.46618
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.33033
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.86333
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.33000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.86300
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.70780
  • Upside Potential Ratio
    6.99144
  • Upside part of mean
    0.33312
  • Downside part of mean
    -0.25175
  • Upside SD
    0.05704
  • Downside SD
    0.04765
  • N nonnegative terms
    823.00000
  • N negative terms
    894.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1717.00000
  • Mean of predictor
    0.09544
  • Mean of criterion
    0.08137
  • SD of predictor
    0.12557
  • SD of criterion
    0.07418
  • Covariance
    0.00394
  • r
    0.42306
  • b (slope, estimate of beta)
    0.24991
  • a (intercept, estimate of alpha)
    0.05752
  • Mean Square Error
    0.00452
  • DF error
    1715.00000
  • t(b)
    19.33570
  • p(b)
    0.23894
  • t(a)
    2.18772
  • p(a)
    0.46643
  • Lowerbound of 95% confidence interval for beta
    0.22456
  • Upperbound of 95% confidence interval for beta
    0.27526
  • Lowerbound of 95% confidence interval for alpha
    0.00595
  • Upperbound of 95% confidence interval for alpha
    0.10909
  • Treynor index (mean / b)
    0.32559
  • Jensen alpha (a)
    0.05752
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00720
  • Expected Shortfall on VaR
    0.00910
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00220
  • Expected Shortfall on VaR
    0.00488
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1717.00000
  • Minimum
    0.95130
  • Quartile 1
    0.99941
  • Median
    1.00007
  • Quartile 3
    1.00098
  • Maximum
    1.03451
  • Mean of quarter 1
    0.99659
  • Mean of quarter 2
    0.99981
  • Mean of quarter 3
    1.00041
  • Mean of quarter 4
    1.00492
  • Inter Quartile Range
    0.00158
  • Number outliers low
    137.00000
  • Percentage of outliers low
    0.07979
  • Mean of outliers low
    0.99233
  • Number of outliers high
    195.00000
  • Percentage of outliers high
    0.11357
  • Mean of outliers high
    1.00861
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.64560
  • VaR(95%) (moments method)
    0.00329
  • Expected Shortfall (moments method)
    0.01049
  • Extreme Value Index (regression method)
    0.27216
  • VaR(95%) (regression method)
    0.00290
  • Expected Shortfall (regression method)
    0.00523
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    145.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00065
  • Median
    0.00285
  • Quartile 3
    0.00803
  • Maximum
    0.10060
  • Mean of quarter 1
    0.00029
  • Mean of quarter 2
    0.00158
  • Mean of quarter 3
    0.00468
  • Mean of quarter 4
    0.02400
  • Inter Quartile Range
    0.00738
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.11034
  • Mean of outliers high
    0.03913
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.53361
  • VaR(95%) (moments method)
    0.02511
  • Expected Shortfall (moments method)
    0.05911
  • Extreme Value Index (regression method)
    0.48984
  • VaR(95%) (regression method)
    0.02456
  • Expected Shortfall (regression method)
    0.05350
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15969
  • Compounded annual return (geometric extrapolation)
    0.11547
  • Calmar ratio (compounded annual return / max draw down)
    1.14777
  • Compounded annual return / average of 25% largest draw downs
    4.81119
  • Compounded annual return / Expected Shortfall lognormal
    12.69060
  • 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
    0.02039
  • SD
    0.11673
  • Sharpe ratio (Glass type estimate)
    0.17468
  • Sharpe ratio (Hedges UMVUE)
    0.17367
  • df
    130.00000
  • t
    0.12352
  • p
    0.49458
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.59745
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.94633
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.59822
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.94555
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.24667
  • Upside Potential Ratio
    5.46351
  • Upside part of mean
    0.45164
  • Downside part of mean
    -0.43124
  • Upside SD
    0.08180
  • Downside SD
    0.08266
  • 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
    -0.00567
  • Mean of criterion
    0.02039
  • SD of predictor
    0.16441
  • SD of criterion
    0.11673
  • Covariance
    0.00744
  • r
    0.38756
  • b (slope, estimate of beta)
    0.27516
  • a (intercept, estimate of alpha)
    0.02195
  • Mean Square Error
    0.01167
  • DF error
    129.00000
  • t(b)
    4.77498
  • p(b)
    0.25960
  • t(a)
    0.14369
  • p(a)
    0.49195
  • Lowerbound of 95% confidence interval for beta
    0.16115
  • Upperbound of 95% confidence interval for beta
    0.38918
  • Lowerbound of 95% confidence interval for alpha
    -0.28031
  • Upperbound of 95% confidence interval for alpha
    0.32422
  • Treynor index (mean / b)
    0.07410
  • Jensen alpha (a)
    0.02195
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01363
  • SD
    0.11677
  • Sharpe ratio (Glass type estimate)
    0.11669
  • Sharpe ratio (Hedges UMVUE)
    0.11601
  • df
    130.00000
  • t
    0.08251
  • p
    0.49638
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.65528
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.88841
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.65583
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.88786
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.16285
  • Upside Potential Ratio
    5.35806
  • Upside part of mean
    0.44829
  • Downside part of mean
    -0.43467
  • Upside SD
    0.08081
  • Downside SD
    0.08367
  • 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
    -0.01918
  • Mean of criterion
    0.01363
  • SD of predictor
    0.16525
  • SD of criterion
    0.11677
  • Covariance
    0.00754
  • r
    0.39059
  • b (slope, estimate of beta)
    0.27600
  • a (intercept, estimate of alpha)
    0.01892
  • Mean Square Error
    0.01164
  • DF error
    129.00000
  • t(b)
    4.81907
  • p(b)
    0.25782
  • t(a)
    0.12397
  • p(a)
    0.49305
  • Lowerbound of 95% confidence interval for beta
    0.16268
  • Upperbound of 95% confidence interval for beta
    0.38931
  • Lowerbound of 95% confidence interval for alpha
    -0.28302
  • Upperbound of 95% confidence interval for alpha
    0.32085
  • Treynor index (mean / b)
    0.04937
  • Jensen alpha (a)
    0.01892
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01174
  • Expected Shortfall on VaR
    0.01472
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00373
  • Expected Shortfall on VaR
    0.00833
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96575
  • Quartile 1
    0.99931
  • Median
    1.00008
  • Quartile 3
    1.00132
  • Maximum
    1.03451
  • Mean of quarter 1
    0.99384
  • Mean of quarter 2
    0.99984
  • Mean of quarter 3
    1.00049
  • Mean of quarter 4
    1.00658
  • Inter Quartile Range
    0.00201
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.09924
  • Mean of outliers low
    0.98649
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.11450
  • Mean of outliers high
    1.01169
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.08829
  • VaR(95%) (moments method)
    0.00537
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.94272
  • VaR(95%) (regression method)
    0.00455
  • Expected Shortfall (regression method)
    0.08560
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00102
  • Quartile 1
    0.00321
  • Median
    0.00410
  • Quartile 3
    0.02984
  • Maximum
    0.06144
  • Mean of quarter 1
    0.00211
  • Mean of quarter 2
    0.00366
  • Mean of quarter 3
    0.02164
  • Mean of quarter 4
    0.04974
  • Inter Quartile Range
    0.02663
  • 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)
    0.04197
  • Compounded annual return (geometric extrapolation)
    0.04241
  • Calmar ratio (compounded annual return / max draw down)
    0.69018
  • Compounded annual return / average of 25% largest draw downs
    0.85252
  • Compounded annual return / Expected Shortfall lognormal
    2.88186

Strategy Description

https://docs.google.com/file/d/0Byt-k9n1svqgaGNoeV9XZ3ZFVnM/edit?usp=sharing

Summary Statistics

Strategy began
2011-11-30
Suggested Minimum Capital
$15,000
# Trades
4464
# Profitable
3117
% Profitable
69.8%
Net Dividends
Correlation S&P500
0.421
Sharpe Ratio
1.133

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

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