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QuantAlphaMR
(68456563)

Created by: TimSimons TimSimons
Started: 11/2011
Stocks
Last trade: 8 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.

10.8%
Annual Return (Compounded)
12.2%
Max Drawdown
4174
Num Trades
70.1%
Win Trades
2.1 : 1
Profit Factor
73.3%
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+0.6%                                                                  +0.6%

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 2,706 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/22/17 9:30 ALGN ALIGN TECHNOLOGY LONG 9 216.37 1/8/18 9:31 242.00 0%
Trade id #115481355
Max drawdown($9)
Time12/22/17 9:37
Quant open9
Worst price215.32
Drawdown as % of equity-0.00%
$231
Includes Typical Broker Commissions trade costs of $0.18
1/2/18 9:31 JNJ JOHNSON & JOHNSON LONG 14 139.66 1/8 9:30 141.70 0.01%
Trade id #115642053
Max drawdown($13)
Time1/2/18 14:16
Quant open14
Worst price138.72
Drawdown as % of equity-0.01%
$29
Includes Typical Broker Commissions trade costs of $0.28
1/3/18 9:30 PPL PPL LONG 65 30.56 1/8 9:30 30.94 0%
Trade id #115664362
Max drawdown($6)
Time1/3/18 13:19
Quant open65
Worst price30.46
Drawdown as % of equity-0.00%
$24
Includes Typical Broker Commissions trade costs of $1.30
12/15/17 9:32 CI CIGNA LONG 9 205.18 1/8/18 9:30 209.77 0.02%
Trade id #115370821
Max drawdown($34)
Time1/3/18 9:53
Quant open9
Worst price201.30
Drawdown as % of equity-0.02%
$41
Includes Typical Broker Commissions trade costs of $0.18
1/3/18 9:30 MMM 3M LONG 8 235.07 1/5 9:31 238.65 0.01%
Trade id #115664395
Max drawdown($14)
Time1/3/18 10:58
Quant open8
Worst price233.29
Drawdown as % of equity-0.01%
$29
Includes Typical Broker Commissions trade costs of $0.16
12/29/17 9:30 USB U.S. BANCORP LONG 37 54.12 1/5/18 9:30 55.50 0.01%
Trade id #115586471
Max drawdown($25)
Time12/29/17 17:17
Quant open37
Worst price53.44
Drawdown as % of equity-0.01%
$50
Includes Typical Broker Commissions trade costs of $0.74
12/22/17 9:30 IBM INTERNATIONAL BUSINESS MACHINE LONG 13 151.69 1/5/18 9:30 162.50 0%
Trade id #115481383
Max drawdown($1)
Time12/22/17 9:36
Quant open13
Worst price151.55
Drawdown as % of equity-0.00%
$141
Includes Typical Broker Commissions trade costs of $0.26
1/2/18 9:31 LLY ELI LILLY LONG 23 84.46 1/5 9:30 86.03 0.01%
Trade id #115642020
Max drawdown($10)
Time1/3/18 4:44
Quant open23
Worst price84.01
Drawdown as % of equity-0.01%
$36
Includes Typical Broker Commissions trade costs of $0.46
1/3/18 9:31 CME CME GROUP LONG 26 144.34 1/5 9:30 148.49 0%
Trade id #115664415
Max drawdown($4)
Time1/3/18 9:33
Quant open26
Worst price144.15
Drawdown as % of equity-0.00%
$107
Includes Typical Broker Commissions trade costs of $0.52
12/22/17 9:30 SNPS SYNOPSYS LONG 23 86.40 1/5/18 9:30 88.28 0.02%
Trade id #115481421
Max drawdown($31)
Time12/27/17 9:53
Quant open23
Worst price85.05
Drawdown as % of equity-0.02%
$43
Includes Typical Broker Commissions trade costs of $0.46
12/22/17 9:30 MCO MOODY'S LONG 26 147.31 1/5/18 9:30 151.97 0.03%
Trade id #115481405
Max drawdown($56)
Time12/27/17 9:31
Quant open26
Worst price145.12
Drawdown as % of equity-0.03%
$120
Includes Typical Broker Commissions trade costs of $0.52
1/2/18 9:31 RHT RED HAT LONG 16 121.04 1/5 9:30 124.86 0.01%
Trade id #115642065
Max drawdown($23)
Time1/2/18 9:36
Quant open16
Worst price119.57
Drawdown as % of equity-0.01%
$61
Includes Typical Broker Commissions trade costs of $0.32
12/15/17 9:30 ISRG INTUITIVE SURGICAL LONG 5 364.13 1/5/18 9:30 380.88 0.01%
Trade id #115370620
Max drawdown($21)
Time12/22/17 9:37
Quant open5
Worst price359.78
Drawdown as % of equity-0.01%
$84
Includes Typical Broker Commissions trade costs of $0.10
1/2/18 9:30 NTAP NETAPP LONG 36 55.50 1/5 9:30 57.99 0%
Trade id #115641943
Max drawdown($3)
Time1/2/18 9:36
Quant open36
Worst price55.41
Drawdown as % of equity-0.00%
$89
Includes Typical Broker Commissions trade costs of $0.72
12/29/17 9:30 BDX BECTON DICKINSON LONG 9 216.64 1/3/18 9:31 219.43 0.01%
Trade id #115586429
Max drawdown($24)
Time12/29/17 16:00
Quant open9
Worst price213.95
Drawdown as % of equity-0.01%
$25
Includes Typical Broker Commissions trade costs of $0.18
12/27/17 15:59 QQQ POWERSHARES QQQ LONG 204 156.56 1/3/18 9:31 158.64 0.14%
Trade id #115551361
Max drawdown($281)
Time12/29/17 16:04
Quant open204
Worst price155.18
Drawdown as % of equity-0.14%
$420
Includes Typical Broker Commissions trade costs of $4.08
12/5/17 9:30 QCOM QUALCOMM LONG 61 64.65 1/3/18 9:31 64.99 0.02%
Trade id #115197361
Max drawdown($31)
Time12/8/17 15:37
Quant open30
Worst price63.88
Drawdown as % of equity-0.02%
$20
Includes Typical Broker Commissions trade costs of $1.22
1/2/18 9:30 SPY SPDR S&P 500 LONG 59 267.86 1/3 9:30 268.99 0.01%
Trade id #115641870
Max drawdown($27)
Time1/2/18 9:37
Quant open59
Worst price267.40
Drawdown as % of equity-0.01%
$66
Includes Typical Broker Commissions trade costs of $1.18
12/27/17 9:30 SBUX STARBUCKS LONG 35 57.19 1/3/18 9:30 57.93 n/a $25
Includes Typical Broker Commissions trade costs of $0.70
1/2/18 9:31 MDT MEDTRONIC PLC LONG 24 82.15 1/3 9:30 82.20 0%
Trade id #115642059
Max drawdown($3)
Time1/2/18 14:53
Quant open24
Worst price82.00
Drawdown as % of equity-0.00%
$1
Includes Typical Broker Commissions trade costs of $0.48
12/20/17 9:30 PEG PUBLIC SERVICE ENTERPRISE LONG 38 51.32 1/2/18 9:30 51.50 0.01%
Trade id #115440986
Max drawdown($23)
Time12/21/17 9:34
Quant open38
Worst price50.71
Drawdown as % of equity-0.01%
$6
Includes Typical Broker Commissions trade costs of $0.76
12/20/17 9:30 WEC WEC ENERGY GROUP LONG 30 66.16 1/2/18 9:30 66.43 0.01%
Trade id #115441024
Max drawdown($26)
Time12/21/17 9:50
Quant open30
Worst price65.27
Drawdown as % of equity-0.01%
$7
Includes Typical Broker Commissions trade costs of $0.60
12/5/17 9:30 SBAC SBA COMMUNICATIONS LONG 12 161.73 12/29 9:30 163.56 0.03%
Trade id #115197454
Max drawdown($68)
Time12/22/17 9:31
Quant open12
Worst price156.02
Drawdown as % of equity-0.03%
$22
Includes Typical Broker Commissions trade costs of $0.24
12/21/17 9:30 MMC MARSH & MCLENNAN LONG 24 82.50 12/29 9:30 82.16 0.03%
Trade id #115460946
Max drawdown($57)
Time12/22/17 11:28
Quant open24
Worst price80.12
Drawdown as % of equity-0.03%
($8)
Includes Typical Broker Commissions trade costs of $0.48
12/13/17 9:30 AJG ARTHUR J. GALLAGHER LONG 30 65.04 12/29 9:30 63.68 0.15%
Trade id #115330109
Max drawdown($301)
Time12/14/17 9:17
Quant open30
Worst price55.00
Drawdown as % of equity-0.15%
($42)
Includes Typical Broker Commissions trade costs of $0.60
12/15/17 9:30 GRMN GARMIN LONG 67 58.76 12/29 9:30 59.77 0.02%
Trade id #115370589
Max drawdown($41)
Time12/15/17 13:54
Quant open33
Worst price57.39
Drawdown as % of equity-0.02%
$67
Includes Typical Broker Commissions trade costs of $1.34
12/13/17 9:30 COG CABOT OIL & GAS LONG 72 27.58 12/22 9:30 27.66 0.04%
Trade id #115330098
Max drawdown($80)
Time12/15/17 15:23
Quant open72
Worst price26.46
Drawdown as % of equity-0.04%
$5
Includes Typical Broker Commissions trade costs of $1.44
12/14/17 9:30 LUK LEUCADIA NATIONAL LONG 78 25.64 12/21 9:30 26.49 0.01%
Trade id #115348970
Max drawdown($19)
Time12/15/17 11:02
Quant open78
Worst price25.39
Drawdown as % of equity-0.01%
$64
Includes Typical Broker Commissions trade costs of $1.56
11/29/17 9:30 SWKS SKYWORKS SOLUTIONS LONG 18 107.20 12/21 9:30 98.00 0.13%
Trade id #115094778
Max drawdown($254)
Time12/6/17 9:32
Quant open18
Worst price93.05
Drawdown as % of equity-0.13%
($166)
Includes Typical Broker Commissions trade costs of $0.36
12/14/17 9:30 BWA BORGWARNER LONG 38 52.29 12/21 9:30 53.33 0.02%
Trade id #115348927
Max drawdown($41)
Time12/15/17 9:43
Quant open38
Worst price51.20
Drawdown as % of equity-0.02%
$39
Includes Typical Broker Commissions trade costs of $0.76

Statistics

  • Strategy began
    11/30/2011
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2241.57
  • Age
    75 months ago
  • What it trades
    Stocks
  • # Trades
    4174
  • # Profitable
    2926
  • % Profitable
    70.10%
  • Avg trade duration
    9.2 days
  • Max peak-to-valley drawdown
    12.25%
  • drawdown period
    Sept 19, 2014 - Oct 15, 2014
  • Annual Return (Compounded)
    10.8%
  • Avg win
    $67.12
  • Avg loss
    $80.84
  • Model Account Values (Raw)
  • Cash
    $179,429
  • Margin Used
    $0
  • Buying Power
    $177,996
  • Ratios
  • W:L ratio
    2.06:1
  • Sharpe Ratio
    1.282
  • Sortino Ratio
    2.081
  • Calmar Ratio
    1.208
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.43000
  • Return Statistics
  • Ann Return (w trading costs)
    10.8%
  • Ann Return (Compnd, No Fees)
    12.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    2.00%
  • 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)
    612
  • Popularity (Last 6 weeks)
    890
  • C2 Score
    64.3
  • 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
    $81
  • Avg Win
    $67
  • # Winners
    2926
  • # Losers
    1248
  • % Winners
    70.1%
  • Frequency
  • Avg Position Time (mins)
    13182.20
  • Avg Position Time (hrs)
    219.70
  • Avg Trade Length
    9.2 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
    0.08986
  • SD
    0.06829
  • Sharpe ratio (Glass type estimate)
    1.31578
  • Sharpe ratio (Hedges UMVUE)
    1.30183
  • df
    71.00000
  • t
    3.22299
  • p
    0.00096
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.48267
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.14028
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47353
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13014
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.55428
  • Upside Potential Ratio
    3.79133
  • Upside part of mean
    0.13338
  • Downside part of mean
    -0.04352
  • Upside SD
    0.06352
  • Downside SD
    0.03518
  • N nonnegative terms
    48.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    72.00000
  • Mean of predictor
    0.10603
  • Mean of criterion
    0.08986
  • SD of predictor
    0.10606
  • SD of criterion
    0.06829
  • Covariance
    0.00268
  • r
    0.36999
  • b (slope, estimate of beta)
    0.23823
  • a (intercept, estimate of alpha)
    0.06460
  • Mean Square Error
    0.00408
  • DF error
    70.00000
  • t(b)
    3.33197
  • p(b)
    0.00069
  • t(a)
    2.37797
  • p(a)
    0.01007
  • Lowerbound of 95% confidence interval for beta
    0.09563
  • Upperbound of 95% confidence interval for beta
    0.38082
  • Lowerbound of 95% confidence interval for alpha
    0.01042
  • Upperbound of 95% confidence interval for alpha
    0.11878
  • Treynor index (mean / b)
    0.37719
  • Jensen alpha (a)
    0.06460
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08706
  • SD
    0.06766
  • Sharpe ratio (Glass type estimate)
    1.28663
  • Sharpe ratio (Hedges UMVUE)
    1.27299
  • df
    71.00000
  • t
    3.15159
  • p
    0.00119
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.45484
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.10997
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.44590
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.10009
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.43033
  • Upside Potential Ratio
    3.66003
  • Upside part of mean
    0.13111
  • Downside part of mean
    -0.04405
  • Upside SD
    0.06216
  • Downside SD
    0.03582
  • N nonnegative terms
    48.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    72.00000
  • Mean of predictor
    0.09982
  • Mean of criterion
    0.08706
  • SD of predictor
    0.10603
  • SD of criterion
    0.06766
  • Covariance
    0.00270
  • r
    0.37625
  • b (slope, estimate of beta)
    0.24012
  • a (intercept, estimate of alpha)
    0.06309
  • Mean Square Error
    0.00399
  • DF error
    70.00000
  • t(b)
    3.39760
  • p(b)
    0.00056
  • t(a)
    2.36082
  • p(a)
    0.01051
  • Lowerbound of 95% confidence interval for beta
    0.09917
  • Upperbound of 95% confidence interval for beta
    0.38107
  • Lowerbound of 95% confidence interval for alpha
    0.00979
  • Upperbound of 95% confidence interval for alpha
    0.11639
  • Treynor index (mean / b)
    0.36257
  • Jensen alpha (a)
    0.06309
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02457
  • Expected Shortfall on VaR
    0.03247
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00607
  • Expected Shortfall on VaR
    0.01423
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    72.00000
  • Minimum
    0.94737
  • Quartile 1
    1.00055
  • Median
    1.00723
  • Quartile 3
    1.02213
  • Maximum
    1.06396
  • Mean of quarter 1
    0.98810
  • Mean of quarter 2
    1.00408
  • Mean of quarter 3
    1.01184
  • Mean of quarter 4
    1.03525
  • Inter Quartile Range
    0.02158
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02778
  • Mean of outliers low
    0.95339
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.02778
  • Mean of outliers high
    1.05972
  • 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)
    0.33190
  • VaR(95%) (regression method)
    0.01286
  • Expected Shortfall (regression method)
    0.02962
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00183
  • Quartile 1
    0.00339
  • Median
    0.00593
  • Quartile 3
    0.02311
  • Maximum
    0.05263
  • Mean of quarter 1
    0.00260
  • Mean of quarter 2
    0.00475
  • Mean of quarter 3
    0.01135
  • Mean of quarter 4
    0.03901
  • Inter Quartile Range
    0.01972
  • 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)
    -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)
    0.04871
  • Expected Shortfall (regression method)
    0.05230
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.16555
  • Compounded annual return (geometric extrapolation)
    0.12183
  • Calmar ratio (compounded annual return / max draw down)
    2.31510
  • Compounded annual return / average of 25% largest draw downs
    3.12333
  • Compounded annual return / Expected Shortfall lognormal
    3.75214
  • 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
    0.08918
  • SD
    0.06952
  • Sharpe ratio (Glass type estimate)
    1.28291
  • Sharpe ratio (Hedges UMVUE)
    1.28231
  • df
    1589.00000
  • t
    3.16042
  • p
    0.44974
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.48585
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.07957
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.48545
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.07916
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.08090
  • Upside Potential Ratio
    7.57192
  • Upside part of mean
    0.32451
  • Downside part of mean
    -0.23533
  • Upside SD
    0.05498
  • Downside SD
    0.04286
  • N nonnegative terms
    761.00000
  • N negative terms
    829.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1590.00000
  • Mean of predictor
    0.11270
  • Mean of criterion
    0.08918
  • SD of predictor
    0.12161
  • SD of criterion
    0.06952
  • Covariance
    0.00364
  • r
    0.43041
  • b (slope, estimate of beta)
    0.24603
  • a (intercept, estimate of alpha)
    0.06100
  • Mean Square Error
    0.00394
  • DF error
    1588.00000
  • t(b)
    19.00170
  • p(b)
    0.28480
  • t(a)
    2.40805
  • p(a)
    0.46984
  • Lowerbound of 95% confidence interval for beta
    0.22063
  • Upperbound of 95% confidence interval for beta
    0.27143
  • Lowerbound of 95% confidence interval for alpha
    0.01140
  • Upperbound of 95% confidence interval for alpha
    0.11151
  • Treynor index (mean / b)
    0.36249
  • Jensen alpha (a)
    0.06146
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08675
  • SD
    0.06946
  • Sharpe ratio (Glass type estimate)
    1.24879
  • Sharpe ratio (Hedges UMVUE)
    1.24820
  • df
    1589.00000
  • t
    3.07635
  • p
    0.45106
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.45181
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.04540
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.45141
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.04499
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.00338
  • Upside Potential Ratio
    7.45923
  • Upside part of mean
    0.32298
  • Downside part of mean
    -0.23624
  • Upside SD
    0.05455
  • Downside SD
    0.04330
  • N nonnegative terms
    761.00000
  • N negative terms
    829.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1590.00000
  • Mean of predictor
    0.10527
  • Mean of criterion
    0.08675
  • SD of predictor
    0.12168
  • SD of criterion
    0.06946
  • Covariance
    0.00364
  • r
    0.43037
  • b (slope, estimate of beta)
    0.24569
  • a (intercept, estimate of alpha)
    0.06088
  • Mean Square Error
    0.00393
  • DF error
    1588.00000
  • t(b)
    18.99970
  • p(b)
    0.28481
  • t(a)
    2.38781
  • p(a)
    0.47009
  • Lowerbound of 95% confidence interval for beta
    0.22033
  • Upperbound of 95% confidence interval for beta
    0.27106
  • Lowerbound of 95% confidence interval for alpha
    0.01087
  • Upperbound of 95% confidence interval for alpha
    0.11089
  • Treynor index (mean / b)
    0.35307
  • Jensen alpha (a)
    0.06088
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00671
  • Expected Shortfall on VaR
    0.00848
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00207
  • Expected Shortfall on VaR
    0.00456
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1590.00000
  • Minimum
    0.95130
  • Quartile 1
    0.99941
  • Median
    1.00007
  • Quartile 3
    1.00094
  • Maximum
    1.03426
  • Mean of quarter 1
    0.99682
  • Mean of quarter 2
    0.99981
  • Mean of quarter 3
    1.00040
  • Mean of quarter 4
    1.00476
  • Inter Quartile Range
    0.00153
  • Number outliers low
    129.00000
  • Percentage of outliers low
    0.08113
  • Mean of outliers low
    0.99310
  • Number of outliers high
    182.00000
  • Percentage of outliers high
    0.11446
  • Mean of outliers high
    1.00828
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.55652
  • VaR(95%) (moments method)
    0.00306
  • Expected Shortfall (moments method)
    0.00802
  • Extreme Value Index (regression method)
    0.21985
  • VaR(95%) (regression method)
    0.00281
  • Expected Shortfall (regression method)
    0.00483
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    138.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00060
  • Median
    0.00240
  • Quartile 3
    0.00772
  • Maximum
    0.10060
  • Mean of quarter 1
    0.00026
  • Mean of quarter 2
    0.00144
  • Mean of quarter 3
    0.00441
  • Mean of quarter 4
    0.02168
  • Inter Quartile Range
    0.00711
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09420
  • Mean of outliers high
    0.03884
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.55999
  • VaR(95%) (moments method)
    0.02358
  • Expected Shortfall (moments method)
    0.05740
  • Extreme Value Index (regression method)
    0.50570
  • VaR(95%) (regression method)
    0.02141
  • Expected Shortfall (regression method)
    0.04620
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.16565
  • Compounded annual return (geometric extrapolation)
    0.12148
  • Calmar ratio (compounded annual return / max draw down)
    1.20753
  • Compounded annual return / average of 25% largest draw downs
    5.60344
  • Compounded annual return / Expected Shortfall lognormal
    14.31990
  • 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
    0.04207
  • SD
    0.02603
  • Sharpe ratio (Glass type estimate)
    1.61636
  • Sharpe ratio (Hedges UMVUE)
    1.60701
  • df
    130.00000
  • t
    1.14294
  • p
    0.45013
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.16543
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.39209
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.17167
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.38569
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.13616
  • Upside Potential Ratio
    10.59580
  • Upside part of mean
    0.14215
  • Downside part of mean
    -0.10008
  • Upside SD
    0.02234
  • Downside SD
    0.01342
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23135
  • Mean of criterion
    0.04207
  • SD of predictor
    0.06539
  • SD of criterion
    0.02603
  • Covariance
    0.00104
  • r
    0.61221
  • b (slope, estimate of beta)
    0.24369
  • a (intercept, estimate of alpha)
    -0.01430
  • Mean Square Error
    0.00043
  • DF error
    129.00000
  • t(b)
    8.79412
  • p(b)
    0.13619
  • t(a)
    -0.47819
  • p(a)
    0.52677
  • Lowerbound of 95% confidence interval for beta
    0.18887
  • Upperbound of 95% confidence interval for beta
    0.29852
  • Lowerbound of 95% confidence interval for alpha
    -0.07349
  • Upperbound of 95% confidence interval for alpha
    0.04488
  • Treynor index (mean / b)
    0.17265
  • Jensen alpha (a)
    -0.01430
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04173
  • SD
    0.02598
  • Sharpe ratio (Glass type estimate)
    1.60650
  • Sharpe ratio (Hedges UMVUE)
    1.59722
  • df
    130.00000
  • t
    1.13597
  • p
    0.45043
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.17520
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.38216
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.18138
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.37581
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.10657
  • Upside Potential Ratio
    10.56250
  • Upside part of mean
    0.14189
  • Downside part of mean
    -0.10016
  • Upside SD
    0.02227
  • Downside SD
    0.01343
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22911
  • Mean of criterion
    0.04173
  • SD of predictor
    0.06538
  • SD of criterion
    0.02598
  • Covariance
    0.00104
  • r
    0.61243
  • b (slope, estimate of beta)
    0.24331
  • a (intercept, estimate of alpha)
    -0.01401
  • Mean Square Error
    0.00042
  • DF error
    129.00000
  • t(b)
    8.79901
  • p(b)
    0.13609
  • t(a)
    -0.46971
  • p(a)
    0.52630
  • Lowerbound of 95% confidence interval for beta
    0.18860
  • Upperbound of 95% confidence interval for beta
    0.29802
  • Lowerbound of 95% confidence interval for alpha
    -0.07304
  • Upperbound of 95% confidence interval for alpha
    0.04501
  • Treynor index (mean / b)
    0.17151
  • Jensen alpha (a)
    -0.01401
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00248
  • Expected Shortfall on VaR
    0.00315
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00087
  • Expected Shortfall on VaR
    0.00175
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99550
  • Quartile 1
    0.99965
  • Median
    1.00014
  • Quartile 3
    1.00069
  • Maximum
    1.01057
  • Mean of quarter 1
    0.99881
  • Mean of quarter 2
    0.99989
  • Mean of quarter 3
    1.00033
  • Mean of quarter 4
    1.00204
  • Inter Quartile Range
    0.00103
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.99728
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.00544
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.92889
  • VaR(95%) (moments method)
    0.00171
  • Expected Shortfall (moments method)
    0.00209
  • Extreme Value Index (regression method)
    0.05561
  • VaR(95%) (regression method)
    0.00139
  • Expected Shortfall (regression method)
    0.00223
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00012
  • Quartile 1
    0.00021
  • Median
    0.00107
  • Quartile 3
    0.00346
  • Maximum
    0.00855
  • Mean of quarter 1
    0.00017
  • Mean of quarter 2
    0.00036
  • Mean of quarter 3
    0.00264
  • Mean of quarter 4
    0.00548
  • Inter Quartile Range
    0.00324
  • 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
    0.07143
  • Mean of outliers high
    0.00855
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.63654
  • VaR(95%) (moments method)
    0.00633
  • Expected Shortfall (moments method)
    0.00706
  • Extreme Value Index (regression method)
    0.21535
  • VaR(95%) (regression method)
    0.00797
  • Expected Shortfall (regression method)
    0.01203
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.07086
  • Compounded annual return (geometric extrapolation)
    0.07212
  • Calmar ratio (compounded annual return / max draw down)
    8.43127
  • Compounded annual return / average of 25% largest draw downs
    13.15090
  • Compounded annual return / Expected Shortfall lognormal
    22.92530

Strategy Description

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

Summary Statistics

Strategy began
2011-11-30
Suggested Minimum Capital
$35,000
# Trades
4174
# Profitable
2926
% Profitable
70.1%
Net Dividends
Correlation S&P500
0.430
Sharpe Ratio
1.282

Latest Activity

#PERSONNAME#
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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