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

MT USA FUND
(85633603)

Created by: Manuel_Casara Manuel_Casara
Started: 02/2014
Stocks
Last trade: 65 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. You can subscribe to this system for free.

14.1%
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.

15.8%
Max Drawdown
163
Num Trades
47.9%
Win Trades
2.0 : 1
Profit Factor
55.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014       +7.9%+1.1%+4.8%+5.7%+7.2%(1.2%)+1.5%(7.3%)(3%)+7.7%(3.8%)+21.2%
2015(2%)+3.3%+1.1%(1.5%)+3.5%(1.5%)+2.2%+3.8%  -    -  (3%)+1.4%+7.1%
2016+10.8%(0.3%)+0.5%+1.0%+3.5%(2%)+2.4%(2.3%)(2.7%)(0.6%)(1.1%)+2.3%+11.3%
2017+5.5%+3.4%+0.5%+1.9%+2.4%(1.4%)+4.6%(0.7%)+0.4%+3.6%(2.5%)(0.8%)+18.1%
2018  -    -                                                              0.0

Model Account Details

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

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

System developer has asked us to delay this information by 48 hours.

Trading Record

This strategy has placed 239 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/21/17 9:30 LBTYK LIBERTY GLOBAL PLC CLASS C ORD SHORT 66 32.32 12/18 9:30 31.88 n/a $28
Includes Typical Broker Commissions trade costs of $1.32
10/4/17 9:30 GLD SPDR GOLD SHARES LONG 33 121.21 12/6 10:48 120.04 1.2%
Trade id #114009976
Max drawdown($293)
Time11/24/17 13:13
Quant open33
Worst price112.32
Drawdown as % of equity-1.20%
($40)
Includes Typical Broker Commissions trade costs of $0.66
9/11/17 10:50 X UNITED STATES STEEL SHORT 74 26.95 12/4 9:30 29.98 0.99%
Trade id #113624532
Max drawdown($241)
Time12/1/17 10:52
Quant open-74
Worst price30.21
Drawdown as % of equity-0.99%
($225)
Includes Typical Broker Commissions trade costs of $1.48
11/13/17 9:30 CTXS CITRIX SYSTEMS SHORT 28 83.33 11/27 9:30 86.40 0.47%
Trade id #114824333
Max drawdown($116)
Time11/17/17 12:14
Quant open-28
Worst price87.49
Drawdown as % of equity-0.47%
($87)
Includes Typical Broker Commissions trade costs of $0.56
11/13/17 9:30 FAST FASTENAL SHORT 50 47.11 11/27 9:30 49.28 0.5%
Trade id #114824201
Max drawdown($122)
Time11/22/17 10:45
Quant open-50
Worst price49.56
Drawdown as % of equity-0.50%
($109)
Includes Typical Broker Commissions trade costs of $1.00
9/18/17 9:30 NFLX NETFLIX LONG 21 183.67 11/15 10:41 195.03 n/a $239
Includes Typical Broker Commissions trade costs of $0.42
10/2/17 9:30 VRSN VERISIGN LONG 33 106.77 11/13 9:30 109.49 0.05%
Trade id #113969660
Max drawdown($12)
Time10/27/17 9:40
Quant open33
Worst price106.40
Drawdown as % of equity-0.05%
$89
Includes Typical Broker Commissions trade costs of $0.66
10/2/17 9:30 Z ZILLOW GROUP INC. CLASS C CAPITAL STOCK LONG 86 40.40 11/6 9:30 40.19 0.43%
Trade id #113969645
Max drawdown($106)
Time11/3/17 9:55
Quant open86
Worst price39.16
Drawdown as % of equity-0.43%
($20)
Includes Typical Broker Commissions trade costs of $1.72
9/18/17 9:30 PBR PETROLEO BRASILEIRO SA SHORT 230 10.03 11/6 9:30 10.78 0.97%
Trade id #113721057
Max drawdown($241)
Time11/3/17 16:40
Quant open-230
Worst price11.08
Drawdown as % of equity-0.97%
($177)
Includes Typical Broker Commissions trade costs of $4.60
10/2/17 14:41 BMRN BIOMARIN PHARMACEUTICAL SHORT 25 93.06 10/26 9:34 83.00 0.3%
Trade id #113978932
Max drawdown($74)
Time10/10/17 9:39
Quant open-25
Worst price96.05
Drawdown as % of equity-0.30%
$252
Includes Typical Broker Commissions trade costs of $0.50
10/2/17 9:30 GTLS CHART INDUSTRIES SHORT 60 37.32 10/9 9:30 40.98 0.89%
Trade id #113969675
Max drawdown($220)
Time10/9/17 9:30
Quant open0
Worst price40.98
Drawdown as % of equity-0.89%
($221)
Includes Typical Broker Commissions trade costs of $1.20
9/11/17 9:30 DAL DELTA AIR LINES LONG 84 48.00 10/6 9:37 52.48 0.31%
Trade id #113620382
Max drawdown($73)
Time9/27/17 14:27
Quant open84
Worst price47.12
Drawdown as % of equity-0.31%
$374
Includes Typical Broker Commissions trade costs of $1.68
8/21/17 9:30 CSCO CISCO SYSTEMS SHORT 66 30.37 9/18 9:30 32.43 0.59%
Trade id #113253222
Max drawdown($144)
Time9/18/17 9:08
Quant open-66
Worst price32.55
Drawdown as % of equity-0.59%
($137)
Includes Typical Broker Commissions trade costs of $1.32
8/28/17 11:12 GLD SPDR GOLD SHARES LONG 32 124.26 9/11 9:30 126.73 0.03%
Trade id #113385764
Max drawdown($6)
Time8/29/17 15:21
Quant open32
Worst price124.05
Drawdown as % of equity-0.03%
$78
Includes Typical Broker Commissions trade costs of $0.64
8/21/17 9:33 ADBE ADOBE SYSTEMS SHORT 12 147.93 8/28 9:30 151.97 0.26%
Trade id #113253452
Max drawdown($62)
Time8/24/17 8:08
Quant open-12
Worst price153.17
Drawdown as % of equity-0.26%
($48)
Includes Typical Broker Commissions trade costs of $0.24
5/1/17 9:30 VRSN VERISIGN LONG 50 89.51 7/27 15:17 101.76 n/a $612
Includes Typical Broker Commissions trade costs of $1.00
5/1/17 9:30 FL FOOT LOCKER LONG 56 77.34 7/27 15:09 47.32 7.6%
Trade id #111341396
Max drawdown($1,834)
Time7/24/17 9:33
Quant open56
Worst price44.59
Drawdown as % of equity-7.60%
($1,682)
Includes Typical Broker Commissions trade costs of $1.12
4/10/17 9:30 TSLA TESLA INC. LONG 36 315.82 7/27 15:00 330.26 1.96%
Trade id #110875195
Max drawdown($432)
Time4/13/17 4:02
Quant open28
Worst price293.50
Drawdown as % of equity-1.96%
$519
Includes Typical Broker Commissions trade costs of $0.72
5/1/17 9:30 NFLX NETFLIX LONG 29 152.31 7/27 14:56 182.58 1.04%
Trade id #111341327
Max drawdown($233)
Time7/6/17 10:20
Quant open29
Worst price144.25
Drawdown as % of equity-1.04%
$877
Includes Typical Broker Commissions trade costs of $0.58
5/2/17 10:34 MMM 3M LONG 46 198.92 7/27 14:54 201.22 0.34%
Trade id #111362859
Max drawdown($75)
Time5/18/17 9:54
Quant open33
Worst price193.54
Drawdown as % of equity-0.34%
$105
Includes Typical Broker Commissions trade costs of $0.92
5/1/17 9:30 AMZN AMAZON.COM LONG 7 952.61 7/27 11:20 1074.90 1.81%
Trade id #111341325
Max drawdown($402)
Time5/24/17 17:25
Quant open5
Worst price850.34
Drawdown as % of equity-1.81%
$856
Includes Typical Broker Commissions trade costs of $0.14
6/12/17 9:30 ABBV ABBVIE INC LONG 63 69.87 6/12 9:30 69.70 0.04%
Trade id #112011950
Max drawdown($10)
Time6/12/17 9:30
Quant open0
Worst price69.70
Drawdown as % of equity-0.04%
($11)
Includes Typical Broker Commissions trade costs of $1.26
5/1/17 9:30 TEL TE CONNECTIVITY LONG 56 77.57 5/30 14:49 78.78 1.15%
Trade id #111341339
Max drawdown($255)
Time5/18/17 9:36
Quant open56
Worst price73.01
Drawdown as % of equity-1.15%
$67
Includes Typical Broker Commissions trade costs of $1.12
4/10/17 9:30 CMCSA COMCAST LONG 112 37.97 4/27 9:52 40.45 0.5%
Trade id #110875201
Max drawdown($109)
Time4/13/17 12:46
Quant open112
Worst price36.99
Drawdown as % of equity-0.50%
$276
Includes Typical Broker Commissions trade costs of $2.24
3/22/17 12:00 MSFT MICROSOFT SHORT 43 64.88 3/22 12:06 64.90 0.01%
Trade id #110381445
Max drawdown($1)
Time3/22/17 12:06
Quant open-43
Worst price64.91
Drawdown as % of equity-0.01%
($2)
Includes Typical Broker Commissions trade costs of $0.86
12/19/16 9:30 MSFT MICROSOFT LONG 57 62.63 3/22/17 12:00 64.88 n/a $127
Includes Typical Broker Commissions trade costs of $1.14
12/19/16 9:34 INTU INTUIT LONG 30 117.51 3/22/17 11:56 121.36 n/a $114
Includes Typical Broker Commissions trade costs of $0.60
2/2/17 9:30 AMZN AMAZON.COM LONG 9 836.75 3/22 11:55 831.12 1.48%
Trade id #109232433
Max drawdown($321)
Time2/2/17 18:42
Quant open9
Worst price801.00
Drawdown as % of equity-1.48%
($51)
Includes Typical Broker Commissions trade costs of $0.18
2/1/17 9:30 FB FACEBOOK LONG 30 132.22 3/10 9:30 138.96 0.1%
Trade id #109199797
Max drawdown($21)
Time2/8/17 8:03
Quant open30
Worst price131.50
Drawdown as % of equity-0.10%
$201
Includes Typical Broker Commissions trade costs of $0.60
1/30/17 14:27 FL FOOT LOCKER LONG 58 68.02 3/2 9:38 76.61 0.82%
Trade id #109144957
Max drawdown($175)
Time2/6/17 17:40
Quant open58
Worst price65.00
Drawdown as % of equity-0.82%
$497
Includes Typical Broker Commissions trade costs of $1.16

Statistics

  • Strategy began
    2/6/2014
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1473.77
  • Age
    49 months ago
  • What it trades
    Stocks
  • # Trades
    163
  • # Profitable
    78
  • % Profitable
    47.90%
  • Avg trade duration
    39.1 days
  • Max peak-to-valley drawdown
    15.83%
  • drawdown period
    July 23, 2014 - Nov 04, 2014
  • Annual Return (Compounded)
    14.1%
  • Avg win
    $256.77
  • Avg loss
    $122.25
  • Model Account Values (Raw)
  • Cash
    $24,213
  • Margin Used
    $0
  • Buying Power
    $24,213
  • Ratios
  • W:L ratio
    1.99:1
  • Sharpe Ratio
    1.153
  • Sortino Ratio
    1.774
  • Calmar Ratio
    1.113
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.16800
  • Return Statistics
  • Ann Return (w trading costs)
    14.1%
  • Ann Return (Compnd, No Fees)
    14.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    12.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    810
  • C2 Score
    71.1
  • 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
    $122
  • Avg Win
    $257
  • # Winners
    78
  • # Losers
    85
  • % Winners
    47.9%
  • Frequency
  • Avg Position Time (mins)
    56280.50
  • Avg Position Time (hrs)
    938.01
  • Avg Trade Length
    39.1 days
  • Last Trade Ago
    64
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13141
  • SD
    0.12210
  • Sharpe ratio (Glass type estimate)
    1.07623
  • Sharpe ratio (Hedges UMVUE)
    1.05733
  • df
    43.00000
  • t
    2.06083
  • p
    0.02270
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.02192
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11865
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00966
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.10500
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.16264
  • Upside Potential Ratio
    3.58616
  • Upside part of mean
    0.21791
  • Downside part of mean
    -0.08650
  • Upside SD
    0.11098
  • Downside SD
    0.06076
  • N nonnegative terms
    27.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    44.00000
  • Mean of predictor
    0.10824
  • Mean of criterion
    0.13141
  • SD of predictor
    0.12110
  • SD of criterion
    0.12210
  • Covariance
    0.00149
  • r
    0.10107
  • b (slope, estimate of beta)
    0.10190
  • a (intercept, estimate of alpha)
    0.12038
  • Mean Square Error
    0.01511
  • DF error
    42.00000
  • t(b)
    0.65839
  • p(b)
    0.25694
  • t(a)
    1.81458
  • p(a)
    0.03837
  • Lowerbound of 95% confidence interval for beta
    -0.21045
  • Upperbound of 95% confidence interval for beta
    0.41426
  • Lowerbound of 95% confidence interval for alpha
    -0.01350
  • Upperbound of 95% confidence interval for alpha
    0.25426
  • Treynor index (mean / b)
    1.28955
  • Jensen alpha (a)
    0.12038
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12334
  • SD
    0.12003
  • Sharpe ratio (Glass type estimate)
    1.02756
  • Sharpe ratio (Hedges UMVUE)
    1.00951
  • df
    43.00000
  • t
    1.96762
  • p
    0.02779
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.02433
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06809
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.03605
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.05507
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.96903
  • Upside Potential Ratio
    3.37735
  • Upside part of mean
    0.21156
  • Downside part of mean
    -0.08822
  • Upside SD
    0.10688
  • Downside SD
    0.06264
  • N nonnegative terms
    27.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    44.00000
  • Mean of predictor
    0.10043
  • Mean of criterion
    0.12334
  • SD of predictor
    0.12067
  • SD of criterion
    0.12003
  • Covariance
    0.00145
  • r
    0.09980
  • b (slope, estimate of beta)
    0.09927
  • a (intercept, estimate of alpha)
    0.11337
  • Mean Square Error
    0.01460
  • DF error
    42.00000
  • t(b)
    0.64999
  • p(b)
    0.25962
  • t(a)
    1.74557
  • p(a)
    0.04410
  • Lowerbound of 95% confidence interval for beta
    -0.20894
  • Upperbound of 95% confidence interval for beta
    0.40748
  • Lowerbound of 95% confidence interval for alpha
    -0.01770
  • Upperbound of 95% confidence interval for alpha
    0.24444
  • Treynor index (mean / b)
    1.24247
  • Jensen alpha (a)
    0.11337
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04564
  • Expected Shortfall on VaR
    0.05928
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01370
  • Expected Shortfall on VaR
    0.02998
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    44.00000
  • Minimum
    0.91432
  • Quartile 1
    0.99818
  • Median
    1.00509
  • Quartile 3
    1.03079
  • Maximum
    1.11010
  • Mean of quarter 1
    0.97456
  • Mean of quarter 2
    1.00221
  • Mean of quarter 3
    1.01745
  • Mean of quarter 4
    1.05890
  • Inter Quartile Range
    0.03260
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02273
  • Mean of outliers low
    0.91432
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.04545
  • Mean of outliers high
    1.09895
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.24133
  • VaR(95%) (moments method)
    0.00911
  • Expected Shortfall (moments method)
    0.00915
  • Extreme Value Index (regression method)
    -0.06574
  • VaR(95%) (regression method)
    0.02832
  • Expected Shortfall (regression method)
    0.04292
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.01323
  • Quartile 1
    0.01866
  • Median
    0.02005
  • Quartile 3
    0.04310
  • Maximum
    0.08691
  • Mean of quarter 1
    0.01583
  • Mean of quarter 2
    0.01935
  • Mean of quarter 3
    0.02076
  • Mean of quarter 4
    0.06873
  • Inter Quartile Range
    0.02444
  • 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
    0.16667
  • Mean of outliers high
    0.08691
  • 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)
    0.20214
  • Compounded annual return (geometric extrapolation)
    0.16328
  • Calmar ratio (compounded annual return / max draw down)
    1.87884
  • Compounded annual return / average of 25% largest draw downs
    2.37583
  • Compounded annual return / Expected Shortfall lognormal
    2.75431
  • 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
    0.12755
  • SD
    0.11055
  • Sharpe ratio (Glass type estimate)
    1.15376
  • Sharpe ratio (Hedges UMVUE)
    1.15287
  • df
    972.00000
  • t
    2.22342
  • p
    0.01321
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.13513
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17181
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.13453
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.17121
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.77402
  • Upside Potential Ratio
    8.27327
  • Upside part of mean
    0.59485
  • Downside part of mean
    -0.46730
  • Upside SD
    0.08427
  • Downside SD
    0.07190
  • N nonnegative terms
    447.00000
  • N negative terms
    526.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    973.00000
  • Mean of predictor
    0.09342
  • Mean of criterion
    0.12755
  • SD of predictor
    0.12836
  • SD of criterion
    0.11055
  • Covariance
    0.00286
  • r
    0.20126
  • b (slope, estimate of beta)
    0.17334
  • a (intercept, estimate of alpha)
    0.11100
  • Mean Square Error
    0.01174
  • DF error
    971.00000
  • t(b)
    6.40234
  • p(b)
    0.00000
  • t(a)
    1.97867
  • p(a)
    0.02407
  • Lowerbound of 95% confidence interval for beta
    0.12021
  • Upperbound of 95% confidence interval for beta
    0.22647
  • Lowerbound of 95% confidence interval for alpha
    0.00092
  • Upperbound of 95% confidence interval for alpha
    0.22180
  • Treynor index (mean / b)
    0.73586
  • Jensen alpha (a)
    0.11136
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12142
  • SD
    0.11033
  • Sharpe ratio (Glass type estimate)
    1.10050
  • Sharpe ratio (Hedges UMVUE)
    1.09965
  • df
    972.00000
  • t
    2.12078
  • p
    0.01710
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.08202
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11847
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.08143
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11788
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.67378
  • Upside Potential Ratio
    8.15073
  • Upside part of mean
    0.59128
  • Downside part of mean
    -0.46986
  • Upside SD
    0.08339
  • Downside SD
    0.07254
  • N nonnegative terms
    447.00000
  • N negative terms
    526.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    973.00000
  • Mean of predictor
    0.08514
  • Mean of criterion
    0.12142
  • SD of predictor
    0.12868
  • SD of criterion
    0.11033
  • Covariance
    0.00288
  • r
    0.20289
  • b (slope, estimate of beta)
    0.17396
  • a (intercept, estimate of alpha)
    0.10661
  • Mean Square Error
    0.01168
  • DF error
    971.00000
  • t(b)
    6.45665
  • p(b)
    0.00000
  • t(a)
    1.89908
  • p(a)
    0.02893
  • Lowerbound of 95% confidence interval for beta
    0.12109
  • Upperbound of 95% confidence interval for beta
    0.22683
  • Lowerbound of 95% confidence interval for alpha
    -0.00356
  • Upperbound of 95% confidence interval for alpha
    0.21678
  • Treynor index (mean / b)
    0.69799
  • Jensen alpha (a)
    0.10661
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01069
  • Expected Shortfall on VaR
    0.01350
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00425
  • Expected Shortfall on VaR
    0.00892
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    973.00000
  • Minimum
    0.96698
  • Quartile 1
    0.99841
  • Median
    1.00000
  • Quartile 3
    1.00262
  • Maximum
    1.05298
  • Mean of quarter 1
    0.99352
  • Mean of quarter 2
    0.99959
  • Mean of quarter 3
    1.00109
  • Mean of quarter 4
    1.00820
  • Inter Quartile Range
    0.00421
  • Number outliers low
    64.00000
  • Percentage of outliers low
    0.06578
  • Mean of outliers low
    0.98567
  • Number of outliers high
    73.00000
  • Percentage of outliers high
    0.07503
  • Mean of outliers high
    1.01557
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50333
  • VaR(95%) (moments method)
    0.00593
  • Expected Shortfall (moments method)
    0.01386
  • Extreme Value Index (regression method)
    0.21121
  • VaR(95%) (regression method)
    0.00559
  • Expected Shortfall (regression method)
    0.00930
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    37.00000
  • Minimum
    0.00009
  • Quartile 1
    0.00319
  • Median
    0.01281
  • Quartile 3
    0.02986
  • Maximum
    0.14471
  • Mean of quarter 1
    0.00145
  • Mean of quarter 2
    0.00822
  • Mean of quarter 3
    0.01871
  • Mean of quarter 4
    0.06441
  • Inter Quartile Range
    0.02667
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.08108
  • Mean of outliers high
    0.10629
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.15592
  • VaR(95%) (moments method)
    0.06478
  • Expected Shortfall (moments method)
    0.09429
  • Extreme Value Index (regression method)
    0.36461
  • VaR(95%) (regression method)
    0.07608
  • Expected Shortfall (regression method)
    0.13447
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.19958
  • Compounded annual return (geometric extrapolation)
    0.16106
  • Calmar ratio (compounded annual return / max draw down)
    1.11296
  • Compounded annual return / average of 25% largest draw downs
    2.50037
  • Compounded annual return / Expected Shortfall lognormal
    11.92850
  • 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
    -0.02635
  • SD
    0.04252
  • Sharpe ratio (Glass type estimate)
    -0.61981
  • Sharpe ratio (Hedges UMVUE)
    -0.61623
  • df
    130.00000
  • t
    -0.43827
  • p
    0.51921
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.39156
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15411
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.38905
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15659
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.97620
  • Upside Potential Ratio
    6.86628
  • Upside part of mean
    0.18536
  • Downside part of mean
    -0.21171
  • Upside SD
    0.03268
  • Downside SD
    0.02700
  • N nonnegative terms
    36.00000
  • N negative terms
    95.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15048
  • Mean of criterion
    -0.02635
  • SD of predictor
    0.11640
  • SD of criterion
    0.04252
  • Covariance
    -0.00026
  • r
    -0.05154
  • b (slope, estimate of beta)
    -0.01883
  • a (intercept, estimate of alpha)
    -0.02352
  • Mean Square Error
    0.00182
  • DF error
    129.00000
  • t(b)
    -0.58615
  • p(b)
    0.53280
  • t(a)
    -0.38892
  • p(a)
    0.52178
  • Lowerbound of 95% confidence interval for beta
    -0.08237
  • Upperbound of 95% confidence interval for beta
    0.04472
  • Lowerbound of 95% confidence interval for alpha
    -0.14317
  • Upperbound of 95% confidence interval for alpha
    0.09613
  • Treynor index (mean / b)
    1.39983
  • Jensen alpha (a)
    -0.02352
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02725
  • SD
    0.04245
  • Sharpe ratio (Glass type estimate)
    -0.64191
  • Sharpe ratio (Hedges UMVUE)
    -0.63820
  • df
    130.00000
  • t
    -0.45390
  • p
    0.51989
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.41361
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.13220
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.41109
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13469
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.00685
  • Upside Potential Ratio
    6.82936
  • Upside part of mean
    0.18481
  • Downside part of mean
    -0.21205
  • Upside SD
    0.03253
  • Downside SD
    0.02706
  • N nonnegative terms
    36.00000
  • N negative terms
    95.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14362
  • Mean of criterion
    -0.02725
  • SD of predictor
    0.11747
  • SD of criterion
    0.04245
  • Covariance
    -0.00026
  • r
    -0.05121
  • b (slope, estimate of beta)
    -0.01850
  • a (intercept, estimate of alpha)
    -0.02459
  • Mean Square Error
    0.00181
  • DF error
    129.00000
  • t(b)
    -0.58236
  • p(b)
    0.53258
  • t(a)
    -0.40742
  • p(a)
    0.52282
  • Lowerbound of 95% confidence interval for beta
    -0.08136
  • Upperbound of 95% confidence interval for beta
    0.04436
  • Lowerbound of 95% confidence interval for alpha
    -0.14400
  • Upperbound of 95% confidence interval for alpha
    0.09482
  • Treynor index (mean / b)
    1.47255
  • Jensen alpha (a)
    -0.02459
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00441
  • Expected Shortfall on VaR
    0.00550
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00233
  • Expected Shortfall on VaR
    0.00437
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99178
  • Quartile 1
    0.99912
  • Median
    1.00000
  • Quartile 3
    1.00036
  • Maximum
    1.01304
  • Mean of quarter 1
    0.99732
  • Mean of quarter 2
    0.99978
  • Mean of quarter 3
    1.00002
  • Mean of quarter 4
    1.00290
  • Inter Quartile Range
    0.00124
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.99517
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.11450
  • Mean of outliers high
    1.00511
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.03373
  • VaR(95%) (moments method)
    0.00239
  • Expected Shortfall (moments method)
    0.00336
  • Extreme Value Index (regression method)
    0.22402
  • VaR(95%) (regression method)
    0.00286
  • Expected Shortfall (regression method)
    0.00470
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00016
  • Quartile 1
    0.00302
  • Median
    0.00758
  • Quartile 3
    0.01299
  • Maximum
    0.02986
  • Mean of quarter 1
    0.00032
  • Mean of quarter 2
    0.00657
  • Mean of quarter 3
    0.00916
  • Mean of quarter 4
    0.02334
  • Inter Quartile Range
    0.00997
  • 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
    0.14286
  • Mean of outliers high
    0.02986
  • 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)
    0.00066
  • Compounded annual return (geometric extrapolation)
    0.00066
  • Calmar ratio (compounded annual return / max draw down)
    0.02214
  • Compounded annual return / average of 25% largest draw downs
    0.02832
  • Compounded annual return / Expected Shortfall lognormal
    0.12026

Strategy Description

Past performance are published on our website www.mirrortrading.com .
We track records on the Italian market since 12/22/2009 , and since 02/06/12 on the U.S. market .
We only do trading following the dominant trend in the market . We use our proprietary algorithm to calculate levels of support and resistance. We also use the classical rules of technical analysis.Our order are given only when the market is closed, at the weekend, after analysis of previous week 19s data . Only in very rare cases we carry out modifications to the active orders during the week , when volatility increases wide.
Our analyzes are to 70% automatic , while 30% are analyzed by at least 3 traders to eliminate emotionality and errors by the choices of trading.
We believe that a fully automated trading system can be very dangerous when the market changes , while human intelligence knows when it's time to break the rules.
Our trading system is not based on past data, this way there is no 18overfitting 19 , instead the system is based on our own trading theory (such as Fibonacci or Elliott) that we call Mirror Trading because it uses levels of trading of our invention. For this reason, we expect that in the future we will continue to achieve good results.
We had some good results in the past performances with low draw down .
We're here to get involved in Collective2 100% , a website that we believe ingenious and well built.

To maintain the highest quality of the signals we will accept a maximum of 50 followers.

Summary Statistics

Strategy began
2014-02-06
Suggested Minimum Capital
$35,000
# Trades
163
# Profitable
78
% Profitable
47.9%
Net Dividends
Correlation S&P500
0.168
Sharpe Ratio
1.153

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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