Collective2 Collective2
Featured Strategy Income Trades +18.1% Cumul. Return since Feb 16, 2024 Hypothetical

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This is an archived track record. This track record was archived on 6/24/20 18:44 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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Uppercase Capital
(92731003)

Created by: DavidLockardJr DavidLockardJr
Started: 02/2015
Stocks
Last trade: 1,611 days ago
Trading style: Equity Trend-following Sector: Technology

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 $50.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.
0.5%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(74.8%)
Max Drawdown
2
Num Trades
50.0%
Win Trades
1.2 : 1
Profit Factor
33.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015       (0.4%)(5.3%)+3.3%+4.1%(5.5%)+8.6%(14.5%)(5.5%)+23.9%+1.2%(4.5%)+0.8%
2016(14.8%)(4.1%)+13.9%(7%)+8.6%(5.5%)+15.0%+1.7%+4.0%(3.5%)+0.3%+1.9%+6.4%
2017+10.6%+9.0%+3.8%+5.4%+7.8%(5.6%)+8.9%+3.1%(0.9%)+9.5%+3.7%+0.8%+70.9%
2018+18.7%(3.7%)(9.3%)+0.1%+11.8%+1.6%+5.2%+12.3%(1%)(18.8%)(1.4%)(19.3%)(11%)
2019+19.3%+5.9%+8.0%+11.4%(13.6%)+10.9%+4.5%(5.2%)+1.3%+8.9%+8.4%+7.8%+86.2%
2020+5.9%(12.6%)(40.3%)(23.6%)(19%)(9.7%)  -    -    -    -    -    -  (69.1%)
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -    -    -        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 168 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/24/20 11:21 QID PROSHARES ULTRASHORT QQQ LONG 1,869 26.67 6/24 18:44 13.10 n/a ($25,367)
Includes Typical Broker Commissions trade costs of $5.00
2/25/15 9:30 QLD PROSHARES ULTRA QQQ LONG 660 37.54 3/24/20 11:18 81.29 30.01%
Trade id #92747633
Max drawdown($6,627)
Time8/24/15 0:00
Quant open660
Worst price27.50
Drawdown as % of equity-30.01%
 $28,869
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    2/24/2015
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    3554.56
  • Age
    119 months ago
  • What it trades
    Stocks
  • # Trades
    2
  • # Profitable
    1
  • % Profitable
    50.00%
  • Avg trade duration
    973.2 days
  • Max peak-to-valley drawdown
    74.77%
  • drawdown period
    Feb 19, 2020 - June 23, 2020
  • Annual Return (Compounded)
    0.5%
  • Avg win
    $28,874
  • Avg loss
    $25,362
  • Model Account Values (Raw)
  • Cash
    $28,857
  • Margin Used
    $0
  • Buying Power
    $28,857
  • Ratios
  • W:L ratio
    1.15:1
  • Sharpe Ratio
    0
  • Sortino Ratio
    0
  • Calmar Ratio
    0.036
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -41.50%
  • Correlation to SP500
    0.38060
  • Return Percent SP500 (cumu) during strategy life
    179.71%
  • Return Statistics
  • Ann Return (w trading costs)
    0.5%
  • Slump
  • Current Slump as Pcnt Equity
    304.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.49%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.005%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.5%
  • 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
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    25.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $25,362
  • Avg Win
    $28,874
  • Sum Trade PL (losers)
    $25,362.000
  • Age
  • Num Months filled monthly returns table
    118
  • Win / Loss
  • Sum Trade PL (winners)
    $28,874.000
  • # Winners
    1
  • Num Months Winners
    39
  • Dividends
  • Dividends Received in Model Acct
    346
  • Win / Loss
  • # Losers
    1
  • % Winners
    50.0%
  • Frequency
  • Avg Position Time (mins)
    1401370.00
  • Avg Position Time (hrs)
    23356.10
  • Avg Trade Length
    973.2 days
  • Last Trade Ago
    1608
  • Regression
  • Alpha
    -0.01
  • Beta
    0.51
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.31
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    1.67
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.23
  • MAE:Equity, average, winning trades
    0.31
  • MAE:Equity, average, losing trades
    -
  • Avg(MAE) / Avg(PL) - All trades
    0.230
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    -
  • Avg(MAE) / Avg(PL) - Winning trades
    0.230
  • Avg(MAE) / Avg(PL) - Losing trades
    -
  • Hold-and-Hope Ratio
    4.357
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13399
  • SD
    0.41812
  • Sharpe ratio (Glass type estimate)
    0.32045
  • Sharpe ratio (Hedges UMVUE)
    0.31636
  • df
    59.00000
  • t
    0.71655
  • p
    0.23824
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.55931
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.19752
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56202
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.19474
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.42437
  • Upside Potential Ratio
    1.87549
  • Upside part of mean
    0.59215
  • Downside part of mean
    -0.45817
  • Upside SD
    0.27151
  • Downside SD
    0.31573
  • N nonnegative terms
    38.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    60.00000
  • Mean of predictor
    0.04497
  • Mean of criterion
    0.13399
  • SD of predictor
    0.15494
  • SD of criterion
    0.41812
  • Covariance
    0.04521
  • r
    0.69784
  • b (slope, estimate of beta)
    1.88311
  • a (intercept, estimate of alpha)
    0.04930
  • Mean Square Error
    0.09123
  • DF error
    58.00000
  • t(b)
    7.42001
  • p(b)
    0.00000
  • t(a)
    0.36367
  • p(a)
    0.35871
  • Lowerbound of 95% confidence interval for beta
    1.37510
  • Upperbound of 95% confidence interval for beta
    2.39113
  • Lowerbound of 95% confidence interval for alpha
    -0.22206
  • Upperbound of 95% confidence interval for alpha
    0.32066
  • Treynor index (mean / b)
    0.07115
  • Jensen alpha (a)
    0.04930
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03489
  • SD
    0.46781
  • Sharpe ratio (Glass type estimate)
    0.07457
  • Sharpe ratio (Hedges UMVUE)
    0.07362
  • df
    59.00000
  • t
    0.16675
  • p
    0.43407
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.80236
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.95089
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80300
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.95024
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.08939
  • Upside Potential Ratio
    1.42896
  • Upside part of mean
    0.55765
  • Downside part of mean
    -0.52276
  • Upside SD
    0.25102
  • Downside SD
    0.39025
  • N nonnegative terms
    38.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    60.00000
  • Mean of predictor
    0.03266
  • Mean of criterion
    0.03489
  • SD of predictor
    0.15868
  • SD of criterion
    0.46781
  • Covariance
    0.04596
  • r
    0.61921
  • b (slope, estimate of beta)
    1.82557
  • a (intercept, estimate of alpha)
    -0.02474
  • Mean Square Error
    0.13726
  • DF error
    58.00000
  • t(b)
    6.00554
  • p(b)
    0.00000
  • t(a)
    -0.14903
  • p(a)
    0.55898
  • Lowerbound of 95% confidence interval for beta
    1.21709
  • Upperbound of 95% confidence interval for beta
    2.43406
  • Lowerbound of 95% confidence interval for alpha
    -0.35700
  • Upperbound of 95% confidence interval for alpha
    0.30752
  • Treynor index (mean / b)
    0.01911
  • Jensen alpha (a)
    -0.02474
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19686
  • Expected Shortfall on VaR
    0.23999
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07004
  • Expected Shortfall on VaR
    0.15368
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    60.00000
  • Minimum
    0.51692
  • Quartile 1
    0.96594
  • Median
    1.02737
  • Quartile 3
    1.08727
  • Maximum
    1.29332
  • Mean of quarter 1
    0.85970
  • Mean of quarter 2
    1.00061
  • Mean of quarter 3
    1.05570
  • Mean of quarter 4
    1.13797
  • Inter Quartile Range
    0.12132
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.03333
  • Mean of outliers low
    0.61681
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01667
  • Mean of outliers high
    1.29332
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.11870
  • VaR(95%) (moments method)
    0.10632
  • Expected Shortfall (moments method)
    0.16379
  • Extreme Value Index (regression method)
    0.38884
  • VaR(95%) (regression method)
    0.12519
  • Expected Shortfall (regression method)
    0.24945
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.01401
  • Quartile 1
    0.03783
  • Median
    0.06558
  • Quartile 3
    0.22364
  • Maximum
    0.62953
  • Mean of quarter 1
    0.02245
  • Mean of quarter 2
    0.04977
  • Mean of quarter 3
    0.15190
  • Mean of quarter 4
    0.42285
  • Inter Quartile Range
    0.18580
  • 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
    0.08333
  • Mean of outliers high
    0.62953
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.35667
  • VaR(95%) (moments method)
    0.47499
  • Expected Shortfall (moments method)
    0.56582
  • Extreme Value Index (regression method)
    1.23124
  • VaR(95%) (regression method)
    0.61760
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.07377
  • Compounded annual return (geometric extrapolation)
    0.06481
  • Calmar ratio (compounded annual return / max draw down)
    0.10294
  • Compounded annual return / average of 25% largest draw downs
    0.15326
  • Compounded annual return / Expected Shortfall lognormal
    0.27004
  • 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
    0.03998
  • SD
    0.29187
  • Sharpe ratio (Glass type estimate)
    0.13697
  • Sharpe ratio (Hedges UMVUE)
    0.13689
  • df
    1328.00000
  • t
    0.30849
  • p
    0.49577
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.73328
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.00722
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.73336
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.00714
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.17205
  • Upside Potential Ratio
    6.74639
  • Upside part of mean
    1.56754
  • Downside part of mean
    -1.52756
  • Upside SD
    0.17647
  • Downside SD
    0.23235
  • N nonnegative terms
    776.00000
  • N negative terms
    553.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1329.00000
  • Mean of predictor
    0.05994
  • Mean of criterion
    0.03998
  • SD of predictor
    0.17747
  • SD of criterion
    0.29187
  • Covariance
    0.02768
  • r
    0.53439
  • b (slope, estimate of beta)
    0.87886
  • a (intercept, estimate of alpha)
    -0.05400
  • Mean Square Error
    0.06091
  • DF error
    1327.00000
  • t(b)
    23.03110
  • p(b)
    0.17677
  • t(a)
    -0.11589
  • p(a)
    0.50203
  • Lowerbound of 95% confidence interval for beta
    0.80400
  • Upperbound of 95% confidence interval for beta
    0.95372
  • Lowerbound of 95% confidence interval for alpha
    -0.22771
  • Upperbound of 95% confidence interval for alpha
    0.20231
  • Treynor index (mean / b)
    0.04549
  • Jensen alpha (a)
    -0.01270
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00359
  • SD
    0.29715
  • Sharpe ratio (Glass type estimate)
    -0.01209
  • Sharpe ratio (Hedges UMVUE)
    -0.01208
  • df
    1328.00000
  • t
    -0.02723
  • p
    0.50037
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.88233
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.85815
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.88232
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.85815
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.01491
  • Upside Potential Ratio
    6.44082
  • Upside part of mean
    1.55213
  • Downside part of mean
    -1.55572
  • Upside SD
    0.17366
  • Downside SD
    0.24098
  • N nonnegative terms
    776.00000
  • N negative terms
    553.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1329.00000
  • Mean of predictor
    0.04404
  • Mean of criterion
    -0.00359
  • SD of predictor
    0.17879
  • SD of criterion
    0.29715
  • Covariance
    0.02848
  • r
    0.53612
  • b (slope, estimate of beta)
    0.89103
  • a (intercept, estimate of alpha)
    -0.04283
  • Mean Square Error
    0.06297
  • DF error
    1327.00000
  • t(b)
    23.13590
  • p(b)
    0.17583
  • t(a)
    -0.38442
  • p(a)
    0.50672
  • Lowerbound of 95% confidence interval for beta
    0.81547
  • Upperbound of 95% confidence interval for beta
    0.96658
  • Lowerbound of 95% confidence interval for alpha
    -0.26143
  • Upperbound of 95% confidence interval for alpha
    0.17576
  • Treynor index (mean / b)
    -0.00403
  • Jensen alpha (a)
    -0.04283
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02976
  • Expected Shortfall on VaR
    0.03715
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01166
  • Expected Shortfall on VaR
    0.02530
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1329.00000
  • Minimum
    0.81386
  • Quartile 1
    0.99403
  • Median
    1.00242
  • Quartile 3
    1.00906
  • Maximum
    1.08687
  • Mean of quarter 1
    0.97872
  • Mean of quarter 2
    0.99858
  • Mean of quarter 3
    1.00537
  • Mean of quarter 4
    1.01843
  • Inter Quartile Range
    0.01503
  • Number outliers low
    71.00000
  • Percentage of outliers low
    0.05342
  • Mean of outliers low
    0.95122
  • Number of outliers high
    29.00000
  • Percentage of outliers high
    0.02182
  • Mean of outliers high
    1.04463
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.36257
  • VaR(95%) (moments method)
    0.01927
  • Expected Shortfall (moments method)
    0.03640
  • Extreme Value Index (regression method)
    0.22774
  • VaR(95%) (regression method)
    0.01989
  • Expected Shortfall (regression method)
    0.03325
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    69.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00379
  • Median
    0.01522
  • Quartile 3
    0.04500
  • Maximum
    0.71749
  • Mean of quarter 1
    0.00188
  • Mean of quarter 2
    0.00848
  • Mean of quarter 3
    0.02864
  • Mean of quarter 4
    0.16733
  • Inter Quartile Range
    0.04121
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.10145
  • Mean of outliers high
    0.30914
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.71259
  • VaR(95%) (moments method)
    0.17307
  • Expected Shortfall (moments method)
    0.64067
  • Extreme Value Index (regression method)
    0.88429
  • VaR(95%) (regression method)
    0.17141
  • Expected Shortfall (regression method)
    1.43428
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.02588
  • Compounded annual return (geometric extrapolation)
    0.02461
  • Calmar ratio (compounded annual return / max draw down)
    0.03430
  • Compounded annual return / average of 25% largest draw downs
    0.14709
  • Compounded annual return / Expected Shortfall lognormal
    0.66252
  • 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
    -1.68154
  • SD
    0.49745
  • Sharpe ratio (Glass type estimate)
    -3.38033
  • Sharpe ratio (Hedges UMVUE)
    -3.36079
  • df
    130.00000
  • t
    -2.39025
  • p
    0.60259
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.17608
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.57201
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.16253
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.55904
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.65077
  • Upside Potential Ratio
    3.39387
  • Upside part of mean
    1.56321
  • Downside part of mean
    -3.24475
  • Upside SD
    0.21026
  • Downside SD
    0.46060
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04644
  • Mean of criterion
    -1.68154
  • SD of predictor
    0.38286
  • SD of criterion
    0.49745
  • Covariance
    0.05756
  • r
    0.30220
  • b (slope, estimate of beta)
    0.39265
  • a (intercept, estimate of alpha)
    -1.69978
  • Mean Square Error
    0.22660
  • DF error
    129.00000
  • t(b)
    3.60071
  • p(b)
    0.31058
  • t(a)
    -2.52485
  • p(a)
    0.63706
  • Lowerbound of 95% confidence interval for beta
    0.17690
  • Upperbound of 95% confidence interval for beta
    0.60840
  • Lowerbound of 95% confidence interval for alpha
    -3.03176
  • Upperbound of 95% confidence interval for alpha
    -0.36779
  • Treynor index (mean / b)
    -4.28255
  • Jensen alpha (a)
    -1.69978
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.81717
  • SD
    0.51904
  • Sharpe ratio (Glass type estimate)
    -3.50100
  • Sharpe ratio (Hedges UMVUE)
    -3.48076
  • df
    130.00000
  • t
    -2.47558
  • p
    0.60609
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.29869
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.69024
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.28467
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.67685
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.72496
  • Upside Potential Ratio
    3.16029
  • Upside part of mean
    1.54170
  • Downside part of mean
    -3.35886
  • Upside SD
    0.20486
  • Downside SD
    0.48784
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02759
  • Mean of criterion
    -1.81717
  • SD of predictor
    0.38814
  • SD of criterion
    0.51904
  • Covariance
    0.06287
  • r
    0.31205
  • b (slope, estimate of beta)
    0.41730
  • a (intercept, estimate of alpha)
    -1.80565
  • Mean Square Error
    0.24506
  • DF error
    129.00000
  • t(b)
    3.73053
  • p(b)
    0.30461
  • t(a)
    -2.57919
  • p(a)
    0.63982
  • VAR (95 Confidence Intrvl)
    0.02800
  • Lowerbound of 95% confidence interval for beta
    0.19598
  • Upperbound of 95% confidence interval for beta
    0.63861
  • Lowerbound of 95% confidence interval for alpha
    -3.19079
  • Upperbound of 95% confidence interval for alpha
    -0.42052
  • Treynor index (mean / b)
    -4.35463
  • Jensen alpha (a)
    -1.80565
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05793
  • Expected Shortfall on VaR
    0.07041
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02694
  • Expected Shortfall on VaR
    0.05606
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.81386
  • Quartile 1
    0.98770
  • Median
    1.00111
  • Quartile 3
    1.00837
  • Maximum
    1.08687
  • Mean of quarter 1
    0.95599
  • Mean of quarter 2
    0.99513
  • Mean of quarter 3
    1.00459
  • Mean of quarter 4
    1.01937
  • Inter Quartile Range
    0.02066
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.10687
  • Mean of outliers low
    0.92582
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.06472
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.28164
  • VaR(95%) (moments method)
    0.03884
  • Expected Shortfall (moments method)
    0.06738
  • Extreme Value Index (regression method)
    0.40505
  • VaR(95%) (regression method)
    0.03206
  • Expected Shortfall (regression method)
    0.05971
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00037
  • Quartile 1
    0.00353
  • Median
    0.00939
  • Quartile 3
    0.03240
  • Maximum
    0.71749
  • Mean of quarter 1
    0.00234
  • Mean of quarter 2
    0.00404
  • Mean of quarter 3
    0.01477
  • Mean of quarter 4
    0.26463
  • Inter Quartile Range
    0.02887
  • 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
    0.10000
  • Mean of outliers high
    0.71749
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.46674
  • VaR(95%) (moments method)
    0.29171
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    11.24330
  • VaR(95%) (regression method)
    50.19200
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -288026000
  • Max Equity Drawdown (num days)
    125
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.18248
  • Compounded annual return (geometric extrapolation)
    -0.83292
  • Calmar ratio (compounded annual return / max draw down)
    -1.16087
  • Compounded annual return / average of 25% largest draw downs
    -3.14749
  • Compounded annual return / Expected Shortfall lognormal
    -11.82990

Strategy Description

Performance calculations are usually provided as if they were the final and single result of a stock’s or portfolio’s gain over an arbitrary time period. However, there are many variables that may not be obvious, but should be carefully considered for a more accurate accounting.

Tax considerations are usually important to most investors but are rarely notes in ”total return performance” percentages. One portfolio gains 20% a year but ”turns over” 100% each year generating short-term gains taxed at high rates of 39% or more. Another portfolio holds shares for several years, so most of its returns are long term capital gains taxed at 20%.

Year after year, the long-term portfolio’s gains are taxed less frequently and at lower rates so there is more after-tax capital gains remaining to reinvest, resulting in a significantly higher after-tax return, even though each portfolio showed 20% appreciation each year.

Purchases are made for multi-year investing. The system is designed to follow large trends. We use a combination of economic and technical analysis to assist us in our buy and sell orders.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2015-02-24
Suggested Minimum Capital
$15,000
# Trades
2
# Profitable
1
% Profitable
50.0%
Net Dividends
$345
Correlation S&P500
0.381
Sharpe Ratio
0.00
Sortino Ratio
0.00
Beta
0.51
Alpha
-0.01

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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This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.