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NazFish Options Trader
(82710435)

Created by: NazFishCapital NazFishCapital
Started: 08/2013
Options
Last trade: 137 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 $250.00 per month.

-30.6%
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
25
Num Trades
60.0%
Win Trades
0.9 : 1
Profit Factor
1.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013                                                   -  (1%)(75.7%)(4.2%)(4.3%)(78%)
2014(4.5%)(4.8%)(5%)(5.3%)(5.5%)(5.9%)(6.2%)(6.7%)(7.1%)+212.1%(17.2%)(110%)(115.3%)
2015(292.8%)  -  (15.2%)(6.6%)(6.2%)(5.8%)(5.5%)(5.2%)(5%)(4.7%)(4.5%)(4.3%)(620.2%)
2016(4.1%)(4%)(3.8%)(3.7%)(3.5%)(3.4%)(3.3%)(3.2%)(3.1%)(3%)(2.9%)(2.8%)(49.6%)
2017(2.8%)(2.7%)(2.6%)(2.6%)(2.5%)(2.4%)(2.4%)(2.3%)(2.3%)(2.2%)(2.2%)(2.1%)(33.2%)
2018(2.1%)(2%)(2%)(2%)(1.9%)(1.9%)(1.8%)(1.8%)(1.8%)(1.7%)(1.7%)(39.7%)-
2019(143%)(18.7%)  -    -    -                                            (135%)

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
1/10/19 8:06 SPY SPDR S&P 500 LONG 2,000 250.00 1/10 10:40 257.07 n/a $14,135
Includes Typical Broker Commissions trade costs of $5.00
12/31/18 16:00 SPY1909A250 SPY Jan9'19 250 call LONG 20 3.86 1/10/19 8:06 0.00 33.95%
Trade id #121727361
Max drawdown($7,720)
Time1/10/19 8:06
Quant open0
Worst price0.00
Drawdown as % of equity-33.95%
($7,734)
Includes Typical Broker Commissions trade costs of $14.00
1/2/19 13:36 SPY1909A247 SPY Jan9'19 247 call SHORT 20 5.56 1/3 10:50 2.27 6.27%
Trade id #121749440
Max drawdown($480)
Time1/2/19 14:00
Quant open-20
Worst price5.80
Drawdown as % of equity-6.27%
$6,552
Includes Typical Broker Commissions trade costs of $28.00
12/20/18 8:06 SPY SPDR S&P 500 SHORT 500 253.00 12/21 9:30 248.22 n/a $2,381
Includes Typical Broker Commissions trade costs of $10.00
12/17/18 13:56 SPY1821L260 SPY Dec21'18 260 call LONG 100 1.72 12/20 10:39 0.04 215.74%
Trade id #121533139
Max drawdown($16,800)
Time12/20/18 9:31
Quant open100
Worst price0.04
Drawdown as % of equity-215.74%
($16,940)
Includes Typical Broker Commissions trade costs of $140.00
12/18/18 10:05 SPY1819X253 SPY Dec19'18 253 put LONG 25 0.90 12/20 8:06 2.08 5.87%
Trade id #121550168
Max drawdown($1,134)
Time12/19/18 14:01
Quant open15
Worst price0.14
Drawdown as % of equity-5.87%
$2,939
Includes Typical Broker Commissions trade costs of $31.50
12/7/18 15:44 SPY1817L272 SPY Dec17'18 272 call LONG 30 1.03 12/18 8:05 0.00 20.76%
Trade id #121406690
Max drawdown($3,090)
Time12/18/18 8:05
Quant open0
Worst price0.00
Drawdown as % of equity-20.76%
($3,111)
Includes Typical Broker Commissions trade costs of $21.00
12/17/18 13:57 SPY1817L257 SPY Dec17'18 257 call LONG 100 0.86 12/17 14:54 0.29 25.01%
Trade id #121533187
Max drawdown($5,700)
Time12/17/18 14:54
Quant open0
Worst price0.29
Drawdown as % of equity-25.01%
($5,840)
Includes Typical Broker Commissions trade costs of $140.00
12/14/18 13:33 SPY1821X261 SPY Dec21'18 261 put LONG 40 4.16 12/17 9:55 5.81 1.2%
Trade id #121506187
Max drawdown($210)
Time12/14/18 13:53
Quant open10
Worst price3.51
Drawdown as % of equity-1.20%
$6,544
Includes Typical Broker Commissions trade costs of $56.00
12/14/18 15:54 SPY1821X252 SPY Dec21'18 252 put SHORT 40 1.10 12/17 9:55 1.63 13.43%
Trade id #121509141
Max drawdown($2,680)
Time12/17/18 9:54
Quant open-40
Worst price1.77
Drawdown as % of equity-13.43%
($2,176)
Includes Typical Broker Commissions trade costs of $56.00
12/7/18 15:40 SPY1817X256 SPY Dec17'18 256 put LONG 30 1.71 12/17 9:50 0.79 56.81%
Trade id #121406596
Max drawdown($4,710)
Time12/13/18 16:00
Quant open30
Worst price0.14
Drawdown as % of equity-56.81%
($2,802)
Includes Typical Broker Commissions trade costs of $42.00
12/14/18 10:10 SPY1814X263.5 SPY Dec14'18 263.5 put LONG 90 0.96 12/14 15:52 2.22 22.41%
Trade id #121500203
Max drawdown($1,820)
Time12/14/18 10:17
Quant open70
Worst price0.75
Drawdown as % of equity-22.41%
$11,190
Includes Typical Broker Commissions trade costs of $126.00
12/7/18 15:45 SPY1817L270 SPY Dec17'18 270 call SHORT 30 1.51 12/13 13:27 0.35 19.28%
Trade id #121406706
Max drawdown($1,350)
Time12/11/18 9:39
Quant open-30
Worst price1.96
Drawdown as % of equity-19.28%
$3,438
Includes Typical Broker Commissions trade costs of $42.00
12/7/18 15:43 SPY1817X258 SPY Dec17'18 258 put SHORT 30 2.13 12/12 9:30 0.45 74.19%
Trade id #121406666
Max drawdown($4,890)
Time12/10/18 11:05
Quant open-30
Worst price3.76
Drawdown as % of equity-74.19%
$4,998
Includes Typical Broker Commissions trade costs of $42.00
12/6/18 15:56 SPY1807L272 SPY Dec7'18 272 call LONG 10 0.57 12/8 9:36 0.00 8.65%
Trade id #121386838
Max drawdown($570)
Time12/8/18 9:36
Quant open0
Worst price0.00
Drawdown as % of equity-8.65%
($577)
Includes Typical Broker Commissions trade costs of $7.00
12/7/18 13:17 SPY1807X265.5 SPY Dec7'18 265.5 put LONG 4 0.97 12/7 15:02 2.75 2.63%
Trade id #121403651
Max drawdown($72)
Time12/7/18 13:25
Quant open4
Worst price0.79
Drawdown as % of equity-2.63%
$706
Includes Typical Broker Commissions trade costs of $5.60
12/7/18 12:37 SPY1807X265 SPY Dec7'18 265 put LONG 30 1.18 12/7 15:01 1.97 61.21%
Trade id #121402441
Max drawdown($2,460)
Time12/7/18 13:05
Quant open30
Worst price0.36
Drawdown as % of equity-61.21%
$2,338
Includes Typical Broker Commissions trade costs of $42.00
12/7/18 9:34 SPY1807L271.5 SPY Dec7'18 271.5 call SHORT 10 0.45 12/7 12:34 0.02 29.17%
Trade id #121396125
Max drawdown($420)
Time12/7/18 9:43
Quant open-10
Worst price0.87
Drawdown as % of equity-29.17%
$416
Includes Typical Broker Commissions trade costs of $14.00
12/6/18 15:55 SPY1807X266 SPY Dec7'18 266 put LONG 10 0.49 12/7 11:12 0.92 27.78%
Trade id #121386823
Max drawdown($400)
Time12/7/18 9:43
Quant open10
Worst price0.09
Drawdown as % of equity-27.78%
$416
Includes Typical Broker Commissions trade costs of $14.00
12/7/18 10:05 SPY1807X270 SPY Dec7'18 270 put LONG 13 0.92 12/7 10:23 2.23 n/a $1,691
Includes Typical Broker Commissions trade costs of $18.20
12/6/18 15:58 SPY1807L276 SPY Dec7'18 276 call SHORT 10 0.05 12/7 9:31 0.02 0.52%
Trade id #121386877
Max drawdown($10)
Time12/6/18 16:00
Quant open-10
Worst price0.06
Drawdown as % of equity-0.52%
$16
Includes Typical Broker Commissions trade costs of $14.00
12/6/18 12:56 SPY1807L269 SPY Dec7'18 269 call LONG 10 1.20 12/6 15:53 1.77 50%
Trade id #121381437
Max drawdown($690)
Time12/6/18 14:49
Quant open10
Worst price0.51
Drawdown as % of equity-50.00%
$556
Includes Typical Broker Commissions trade costs of $14.00
1/27/15 9:43 SPXW1530A2065 SPX Jan30'15 2065 call LONG 10 2.20 1/31 9:10 0.00 151.72%
Trade id #92117485
Max drawdown($2,200)
Time1/31/15 9:10
Quant open0
Worst price0.00
Drawdown as % of equity-151.72%
($2,207)
Includes Typical Broker Commissions trade costs of $7.00
10/24/14 13:39 SPXW1426L2175 SPX Dec26'14 2175 call LONG 100 0.30 12/27 9:01 0.00 73.17%
Trade id #90435815
Max drawdown($3,000)
Time12/27/14 9:01
Quant open0
Worst price0.00
Drawdown as % of equity-73.17%
($3,070)
Includes Typical Broker Commissions trade costs of $70.00
10/8/13 11:08 SPYJ1321X153 SPYJ Dec21'13 153 put LONG 100 1.84 12/22 9:13 0.00 278.79%
Trade id #83361351
Max drawdown($18,400)
Time12/22/13 9:13
Quant open0
Worst price0.00
Drawdown as % of equity-278.79%
($18,470)
Includes Typical Broker Commissions trade costs of $70.00

Statistics

  • Strategy began
    8/26/2013
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    2080.19
  • Age
    70 months ago
  • What it trades
    Options
  • # Trades
    25
  • # Profitable
    15
  • % Profitable
    60.00%
  • Avg trade duration
    8.0 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Dec 15, 2014 - Dec 06, 2018
  • Annual Return (Compounded)
    -30.6%
  • Avg win
    $3,918
  • Avg loss
    $6,236
  • Model Account Values (Raw)
  • Cash
    $20,700
  • Margin Used
    $0
  • Buying Power
    $20,700
  • Ratios
  • W:L ratio
    0.94:1
  • Sharpe Ratio
    0.72
  • Sortino Ratio
    1.806
  • Calmar Ratio
    -0.105
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.05900
  • Return Statistics
  • Ann Return (w trading costs)
    -30.6%
  • Ann Return (Compnd, No Fees)
    -3.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    10
  • Win / Loss
  • Avg Loss
    $6,236
  • Avg Win
    $3,919
  • # Winners
    15
  • # Losers
    10
  • % Winners
    60.0%
  • Frequency
  • Avg Position Time (mins)
    11517.30
  • Avg Position Time (hrs)
    191.96
  • Avg Trade Length
    8.0 days
  • Last Trade Ago
    118
  • Unknown
  • Alpha
    1.75
  • Beta
    -0.53
  • Treynor Index
    -3.00
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    6.58847
  • SD
    9.81826
  • Sharpe ratio (Glass type estimate)
    0.67104
  • Sharpe ratio (Hedges UMVUE)
    0.64551
  • df
    20.00000
  • t
    0.88771
  • p
    0.40265
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83305
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15882
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84953
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.14054
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.37108
  • Upside Potential Ratio
    8.87554
  • Upside part of mean
    7.93320
  • Downside part of mean
    -1.34473
  • Upside SD
    9.72760
  • Downside SD
    0.89383
  • N nonnegative terms
    2.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.23088
  • Mean of criterion
    6.58847
  • SD of predictor
    0.14463
  • SD of criterion
    9.81826
  • Covariance
    -0.60684
  • r
    -0.42736
  • b (slope, estimate of beta)
    -29.01190
  • a (intercept, estimate of alpha)
    13.28680
  • Mean Square Error
    82.93960
  • DF error
    19.00000
  • t(b)
    -2.06043
  • p(b)
    0.76354
  • t(a)
    1.74521
  • p(a)
    0.26894
  • Lowerbound of 95% confidence interval for beta
    -58.48270
  • Upperbound of 95% confidence interval for beta
    0.45892
  • Lowerbound of 95% confidence interval for alpha
    -2.64806
  • Upperbound of 95% confidence interval for alpha
    29.22170
  • Treynor index (mean / b)
    -0.22709
  • Jensen alpha (a)
    13.28680
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.17406
  • SD
    2.56939
  • Sharpe ratio (Glass type estimate)
    -0.06774
  • Sharpe ratio (Hedges UMVUE)
    -0.06517
  • df
    20.00000
  • t
    -0.08962
  • p
    0.51002
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.54868
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.41480
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.54690
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.41656
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.12134
  • Upside Potential Ratio
    1.33249
  • Upside part of mean
    1.91142
  • Downside part of mean
    -2.08548
  • Upside SD
    2.05723
  • Downside SD
    1.43447
  • N nonnegative terms
    2.00000
  • N negative terms
    19.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.21843
  • Mean of criterion
    -0.17406
  • SD of predictor
    0.14365
  • SD of criterion
    2.56939
  • Covariance
    -0.14734
  • r
    -0.39920
  • b (slope, estimate of beta)
    -7.14030
  • a (intercept, estimate of alpha)
    1.38562
  • Mean Square Error
    5.84176
  • DF error
    19.00000
  • t(b)
    -1.89788
  • p(b)
    0.74722
  • t(a)
    0.69164
  • p(a)
    0.40064
  • Lowerbound of 95% confidence interval for beta
    -15.01480
  • Upperbound of 95% confidence interval for beta
    0.73420
  • Lowerbound of 95% confidence interval for alpha
    -2.80749
  • Upperbound of 95% confidence interval for alpha
    5.57873
  • Treynor index (mean / b)
    0.02438
  • Jensen alpha (a)
    1.38562
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.70903
  • Expected Shortfall on VaR
    0.77931
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.36675
  • Expected Shortfall on VaR
    0.70721
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    21.00000
  • Minimum
    0.26400
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    13.82710
  • Mean of quarter 1
    0.61516
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    3.77755
  • Inter Quartile Range
    0.00000
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.19048
  • Mean of outliers low
    0.42274
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.09524
  • Mean of outliers high
    7.94387
  • 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)
    -1.74667
  • VaR(95%) (regression method)
    0.70127
  • Expected Shortfall (regression method)
    0.73537
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.94400
  • Quartile 1
    0.94400
  • Median
    0.94400
  • Quartile 3
    0.94400
  • Maximum
    0.94400
  • 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)
    -0.12896
  • Compounded annual return (geometric extrapolation)
    -0.13598
  • Calmar ratio (compounded annual return / max draw down)
    -0.14404
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.17448
  • 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
    1.58834
  • SD
    2.20210
  • Sharpe ratio (Glass type estimate)
    0.72128
  • Sharpe ratio (Hedges UMVUE)
    0.72014
  • df
    475.00000
  • t
    0.97221
  • p
    0.16572
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.73388
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17578
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.73468
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.17497
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.80590
  • Upside Potential Ratio
    4.74559
  • Upside part of mean
    4.17386
  • Downside part of mean
    -2.58552
  • Upside SD
    2.01869
  • Downside SD
    0.87952
  • N nonnegative terms
    26.00000
  • N negative terms
    450.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    476.00000
  • Mean of predictor
    0.30855
  • Mean of criterion
    1.58834
  • SD of predictor
    0.21697
  • SD of criterion
    2.20210
  • Covariance
    -0.02493
  • r
    -0.05218
  • b (slope, estimate of beta)
    -0.52956
  • a (intercept, estimate of alpha)
    1.75200
  • Mean Square Error
    4.84624
  • DF error
    474.00000
  • t(b)
    -1.13751
  • p(b)
    0.87205
  • t(a)
    1.06843
  • p(a)
    0.14294
  • Lowerbound of 95% confidence interval for beta
    -1.44434
  • Upperbound of 95% confidence interval for beta
    0.38522
  • Lowerbound of 95% confidence interval for alpha
    -1.46994
  • Upperbound of 95% confidence interval for alpha
    4.97340
  • Treynor index (mean / b)
    -2.99935
  • Jensen alpha (a)
    1.75173
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.13177
  • SD
    1.82157
  • Sharpe ratio (Glass type estimate)
    -0.07234
  • Sharpe ratio (Hedges UMVUE)
    -0.07222
  • df
    475.00000
  • t
    -0.09750
  • p
    0.53882
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.52645
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.38177
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.52633
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.38189
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.10108
  • Upside Potential Ratio
    2.37363
  • Upside part of mean
    3.09423
  • Downside part of mean
    -3.22600
  • Upside SD
    1.26959
  • Downside SD
    1.30359
  • N nonnegative terms
    26.00000
  • N negative terms
    450.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    476.00000
  • Mean of predictor
    0.28472
  • Mean of criterion
    -0.13177
  • SD of predictor
    0.21798
  • SD of criterion
    1.82157
  • Covariance
    -0.00885
  • r
    -0.02228
  • b (slope, estimate of beta)
    -0.18619
  • a (intercept, estimate of alpha)
    -0.07876
  • Mean Square Error
    3.32346
  • DF error
    474.00000
  • t(b)
    -0.48519
  • p(b)
    0.68612
  • t(a)
    -0.05804
  • p(a)
    0.52313
  • Lowerbound of 95% confidence interval for beta
    -0.94024
  • Upperbound of 95% confidence interval for beta
    0.56786
  • Lowerbound of 95% confidence interval for alpha
    -2.74508
  • Upperbound of 95% confidence interval for alpha
    2.58757
  • Treynor index (mean / b)
    0.70771
  • Jensen alpha (a)
    -0.07876
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16940
  • Expected Shortfall on VaR
    0.20688
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03313
  • Expected Shortfall on VaR
    0.07394
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    476.00000
  • Minimum
    0.26400
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    3.20048
  • Mean of quarter 1
    0.96093
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.06375
  • Inter Quartile Range
    0.00000
  • Number outliers low
    36.00000
  • Percentage of outliers low
    0.07563
  • Mean of outliers low
    0.87085
  • Number of outliers high
    26.00000
  • Percentage of outliers high
    0.05462
  • Mean of outliers high
    1.29176
  • 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)
    0.40477
  • VaR(95%) (regression method)
    0.02465
  • Expected Shortfall (regression method)
    0.12757
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.94400
  • Quartile 1
    0.94400
  • Median
    0.94400
  • Quartile 3
    0.94400
  • Maximum
    0.94400
  • 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)
    -0.09465
  • Compounded annual return (geometric extrapolation)
    -0.09865
  • Calmar ratio (compounded annual return / max draw down)
    -0.10450
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.47685
  • 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
    9.11566
  • SD
    3.66344
  • Sharpe ratio (Glass type estimate)
    2.48828
  • Sharpe ratio (Hedges UMVUE)
    2.47390
  • df
    130.00000
  • t
    1.75948
  • p
    0.42374
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.30459
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.27181
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.31417
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.26197
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.18640
  • Upside Potential Ratio
    13.78710
  • Upside part of mean
    11.23490
  • Downside part of mean
    -2.11928
  • Upside SD
    3.60159
  • Downside SD
    0.81489
  • N nonnegative terms
    14.00000
  • N negative terms
    117.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.43230
  • Mean of criterion
    9.11566
  • SD of predictor
    0.23717
  • SD of criterion
    3.66344
  • Covariance
    -0.12764
  • r
    -0.14691
  • b (slope, estimate of beta)
    -2.26930
  • a (intercept, estimate of alpha)
    10.09670
  • Mean Square Error
    13.23290
  • DF error
    129.00000
  • t(b)
    -1.68690
  • p(b)
    0.59319
  • t(a)
    1.95020
  • p(a)
    0.39278
  • Lowerbound of 95% confidence interval for beta
    -4.93092
  • Upperbound of 95% confidence interval for beta
    0.39231
  • Lowerbound of 95% confidence interval for alpha
    -0.14664
  • Upperbound of 95% confidence interval for alpha
    20.34000
  • Treynor index (mean / b)
    -4.01694
  • Jensen alpha (a)
    10.09670
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    5.35951
  • SD
    2.41951
  • Sharpe ratio (Glass type estimate)
    2.21512
  • Sharpe ratio (Hedges UMVUE)
    2.20232
  • df
    130.00000
  • t
    1.56633
  • p
    0.43195
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.57385
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.99574
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58238
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.98702
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.02238
  • Upside Potential Ratio
    7.45251
  • Upside part of mean
    7.95277
  • Downside part of mean
    -2.59326
  • Upside SD
    2.18637
  • Downside SD
    1.06713
  • N nonnegative terms
    14.00000
  • N negative terms
    117.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.40402
  • Mean of criterion
    5.35951
  • SD of predictor
    0.23720
  • SD of criterion
    2.41951
  • Covariance
    -0.06144
  • r
    -0.10706
  • b (slope, estimate of beta)
    -1.09204
  • a (intercept, estimate of alpha)
    5.80072
  • Mean Square Error
    5.83179
  • DF error
    129.00000
  • t(b)
    -1.22300
  • p(b)
    0.56803
  • t(a)
    1.68910
  • p(a)
    0.40669
  • Lowerbound of 95% confidence interval for beta
    -2.85869
  • Upperbound of 95% confidence interval for beta
    0.67461
  • Lowerbound of 95% confidence interval for alpha
    -0.99393
  • Upperbound of 95% confidence interval for alpha
    12.59540
  • Treynor index (mean / b)
    -4.90781
  • Jensen alpha (a)
    5.80072
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.20181
  • Expected Shortfall on VaR
    0.24902
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02617
  • Expected Shortfall on VaR
    0.05907
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.51399
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    3.20048
  • Mean of quarter 1
    0.96827
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.17027
  • Inter Quartile Range
    0.00000
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.88365
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.40135
  • 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)
    1.23909
  • VaR(95%) (regression method)
    0.01120
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.03624
  • Quartile 1
    0.19292
  • Median
    0.34960
  • Quartile 3
    0.50628
  • Maximum
    0.66297
  • Mean of quarter 1
    0.03624
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.66297
  • Inter Quartile Range
    0.31337
  • 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)
    27.57290
  • Compounded annual return (geometric extrapolation)
    217.63800
  • Calmar ratio (compounded annual return / max draw down)
    328.27900
  • Compounded annual return / average of 25% largest draw downs
    328.27900
  • Compounded annual return / Expected Shortfall lognormal
    873.99100

Strategy Description

Summary Statistics

Strategy began
2013-08-26
Suggested Minimum Capital
$35,000
# Trades
25
# Profitable
15
% Profitable
60.0%
Net Dividends
Correlation S&P500
-0.059
Sharpe Ratio
0.72
Sortino Ratio
1.81
Beta
-0.53
Alpha
1.75

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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