Collective2 Collective2
Featured Strategy S2Prox0 +61.3% Annual Return (Compounded) since Dec 23, 2022 Hypothetical

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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more
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System stocks
(93866307)

Created by: GGimenez GGimenez
Started: 04/2015
Stocks
Last trade: 2,936 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 $19.00 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.

-6.5%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

-
Max Drawdown
96
Num Trades
37.5%
Win Trades
0.9 : 1
Profit Factor
3.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                     (2.8%)  -  (2.5%)+13.2%(0.9%)+2.5%(6.2%)+1.2%(2.4%)+0.8%
2016(7.2%)(1.1%)+1.4%(1.8%)  -    -    -    -    -    -    -    -  (8.6%)
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
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.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/22/16 9:35 GRP.U GRANITE REIT LONG 54 28.30 4/5 9:31 28.58 0.25%
Trade id #100754800
Max drawdown($60)
Time3/8/16 15:25
Quant open54
Worst price27.18
Drawdown as % of equity-0.25%
 $14
Includes Typical Broker Commissions trade costs of $1.08
3/21/16 9:31 HPQ HEWLETT-PACKARD LONG 131 12.14 4/5 9:31 12.10 0.23%
Trade id #101375117
Max drawdown($55)
Time3/24/16 10:15
Quant open131
Worst price11.71
Drawdown as % of equity-0.23%
 ($8)
Includes Typical Broker Commissions trade costs of $2.62
3/21/16 9:30 LAZ LAZARD LONG 39 40.03 4/5 9:31 37.82 0.44%
Trade id #101375036
Max drawdown($105)
Time3/24/16 9:32
Quant open39
Worst price37.33
Drawdown as % of equity-0.44%
 ($87)
Includes Typical Broker Commissions trade costs of $0.78
3/21/16 9:31 CALM CAL-MAINE FOODS LONG 30 52.75 4/5 9:31 51.54 0.42%
Trade id #101375085
Max drawdown($100)
Time3/24/16 14:42
Quant open30
Worst price49.40
Drawdown as % of equity-0.42%
 ($37)
Includes Typical Broker Commissions trade costs of $0.60
3/21/16 9:30 AGO ASSURED GUARANTY LONG 61 26.08 4/5 9:31 24.65 0.37%
Trade id #101374945
Max drawdown($88)
Time4/5/16 9:31
Quant open61
Worst price24.63
Drawdown as % of equity-0.37%
 ($88)
Includes Typical Broker Commissions trade costs of $1.22
3/21/16 9:31 R RYDER SYSTEM LONG 24 65.05 4/5 9:31 62.72 0.26%
Trade id #101375049
Max drawdown($61)
Time4/5/16 5:51
Quant open24
Worst price62.49
Drawdown as % of equity-0.26%
 ($56)
Includes Typical Broker Commissions trade costs of $0.48
3/21/16 9:31 LYB LYONDELLBASELL INDUSTRIES LONG 18 87.62 4/5 9:31 84.87 0.32%
Trade id #101375066
Max drawdown($77)
Time3/24/16 9:33
Quant open18
Worst price83.29
Drawdown as % of equity-0.32%
 ($50)
Includes Typical Broker Commissions trade costs of $0.36
3/21/16 9:30 EMCI EMC INSURANCE GROUP LONG 63 24.83 4/5 9:30 25.44 0%
Trade id #101374896
Max drawdown$0
Time3/21/16 10:29
Quant open63
Worst price24.83
Drawdown as % of equity0.00%
 $37
Includes Typical Broker Commissions trade costs of $1.26
3/21/16 9:30 UNM UNUM LONG 49 32.43 4/5 9:30 30.80 0.43%
Trade id #101375029
Max drawdown($103)
Time4/1/16 9:43
Quant open49
Worst price30.31
Drawdown as % of equity-0.43%
 ($81)
Includes Typical Broker Commissions trade costs of $0.98
3/21/16 9:30 GBDC GOLUB CAPITAL BDC LONG 92 17.24 4/5 9:30 17.24 0.12%
Trade id #101375023
Max drawdown($29)
Time3/24/16 9:41
Quant open92
Worst price16.92
Drawdown as % of equity-0.12%
 ($2)
Includes Typical Broker Commissions trade costs of $1.84
3/21/16 9:30 HIG HARTFORD FINANCIAL LONG 34 45.65 4/5 9:30 45.73 0.09%
Trade id #101374951
Max drawdown($21)
Time3/22/16 9:32
Quant open34
Worst price45.03
Drawdown as % of equity-0.09%
 $2
Includes Typical Broker Commissions trade costs of $0.68
3/21/16 9:31 WU WESTERN UNION LONG 83 19.07 4/5 9:30 19.15 0.16%
Trade id #101375043
Max drawdown($38)
Time3/24/16 9:54
Quant open83
Worst price18.61
Drawdown as % of equity-0.16%
 $5
Includes Typical Broker Commissions trade costs of $1.66
3/21/16 9:30 MOS MOSAIC LONG 53 29.58 4/5 9:30 25.60 0.91%
Trade id #101375016
Max drawdown($218)
Time4/5/16 8:38
Quant open53
Worst price25.45
Drawdown as % of equity-0.91%
 ($212)
Includes Typical Broker Commissions trade costs of $1.06
3/21/16 9:31 DOW DOW INC LONG 31 51.51 4/5 9:30 50.69 0.19%
Trade id #101375126
Max drawdown($45)
Time4/1/16 9:44
Quant open31
Worst price50.04
Drawdown as % of equity-0.19%
 ($26)
Includes Typical Broker Commissions trade costs of $0.62
3/21/16 9:30 NE NOBLE CORP LONG 142 11.17 4/5 9:30 9.51 1.01%
Trade id #101375021
Max drawdown($243)
Time4/1/16 12:40
Quant open142
Worst price9.45
Drawdown as % of equity-1.01%
 ($239)
Includes Typical Broker Commissions trade costs of $2.84
2/22/16 9:30 THG HANOVER INSURANCE GROUP LONG 18 84.06 3/21 9:31 86.24 0.16%
Trade id #100754453
Max drawdown($38)
Time2/24/16 10:33
Quant open18
Worst price81.94
Drawdown as % of equity-0.16%
 $39
Includes Typical Broker Commissions trade costs of $0.36
2/22/16 9:30 GBL GAMCO INVESTORS LONG 47 32.71 3/21 9:31 37.37 n/a $218
Includes Typical Broker Commissions trade costs of $0.94
2/22/16 9:31 UFCS UNITED FIRE GROUP LONG 38 40.32 3/21 9:31 42.70 0.08%
Trade id #100754527
Max drawdown($19)
Time2/22/16 10:15
Quant open38
Worst price39.80
Drawdown as % of equity-0.08%
 $89
Includes Typical Broker Commissions trade costs of $0.76
2/22/16 9:30 BAP CREDICORP LONG 13 115.98 3/21 9:30 134.00 0.17%
Trade id #100754493
Max drawdown($39)
Time2/24/16 9:39
Quant open13
Worst price112.94
Drawdown as % of equity-0.17%
 $234
Includes Typical Broker Commissions trade costs of $0.26
2/22/16 9:30 PCAR PACCAR LONG 30 51.55 3/21 9:30 55.13 0.27%
Trade id #100754421
Max drawdown($64)
Time2/24/16 10:02
Quant open30
Worst price49.40
Drawdown as % of equity-0.27%
 $106
Includes Typical Broker Commissions trade costs of $0.60
2/22/16 9:30 BANC BANC OF CALIFORNIA INC. COMMO LONG 101 15.31 3/21 9:30 16.22 0.42%
Trade id #100754473
Max drawdown($102)
Time3/3/16 8:27
Quant open101
Worst price14.30
Drawdown as % of equity-0.42%
 $90
Includes Typical Broker Commissions trade costs of $2.02
6/22/15 9:31 VLO VALERO ENERGY LONG 68 60.65 2/22/16 9:31 59.30 0.82%
Trade id #95328226
Max drawdown($202)
Time2/8/16 11:13
Quant open25
Worst price52.55
Drawdown as % of equity-0.82%
 ($93)
Includes Typical Broker Commissions trade costs of $1.36
11/30/15 10:23 SPY SPDR S&P 500 SHORT 120 209.21 2/22/16 9:30 193.87 0.87%
Trade id #98565591
Max drawdown($228)
Time12/2/15 5:08
Quant open-120
Worst price211.11
Drawdown as % of equity-0.87%
 $1,839
Includes Typical Broker Commissions trade costs of $2.40
1/26/16 9:30 MAC MACERICH LONG 20 77.85 2/22 9:30 77.95 0.39%
Trade id #100195908
Max drawdown($97)
Time2/11/16 9:52
Quant open20
Worst price72.99
Drawdown as % of equity-0.39%
 $2
Includes Typical Broker Commissions trade costs of $0.40
8/17/15 9:30 TSO TESORO LONG 15 101.28 1/26/16 9:30 86.69 1.08%
Trade id #96671768
Max drawdown($269)
Time1/20/16 12:28
Quant open15
Worst price83.30
Drawdown as % of equity-1.08%
 ($219)
Includes Typical Broker Commissions trade costs of $0.30
11/30/15 9:30 PRU PRUDENTIAL FINANCIAL LONG 20 86.55 1/26/16 9:30 68.20 1.71%
Trade id #98563938
Max drawdown($429)
Time1/20/16 12:29
Quant open20
Worst price65.07
Drawdown as % of equity-1.71%
 ($367)
Includes Typical Broker Commissions trade costs of $0.40
11/30/15 9:30 FLR FLUOR LONG 36 48.22 1/26/16 9:30 42.94 1.26%
Trade id #98563820
Max drawdown($314)
Time1/20/16 12:46
Quant open36
Worst price39.48
Drawdown as % of equity-1.26%
 ($191)
Includes Typical Broker Commissions trade costs of $0.72
11/2/15 9:44 EMCI EMC INSURANCE GROUP LONG 69 24.87 1/26/16 9:30 22.58 0.89%
Trade id #98140441
Max drawdown($224)
Time1/15/16 9:31
Quant open69
Worst price21.62
Drawdown as % of equity-0.89%
 ($159)
Includes Typical Broker Commissions trade costs of $1.38
11/2/15 9:31 AGO ASSURED GUARANTY LONG 62 27.49 1/26/16 9:30 22.50 1.3%
Trade id #98139685
Max drawdown($323)
Time1/25/16 15:00
Quant open62
Worst price22.28
Drawdown as % of equity-1.30%
 ($310)
Includes Typical Broker Commissions trade costs of $1.24
12/28/15 9:31 BLX BANCO LATINOAMERICANO LONG 65 26.13 1/26/16 9:30 21.43 1.31%
Trade id #98935162
Max drawdown($328)
Time1/20/16 12:47
Quant open65
Worst price21.08
Drawdown as % of equity-1.31%
 ($307)
Includes Typical Broker Commissions trade costs of $1.30
Next

Statistics

  • Strategy began
    4/15/2015
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    3285.22
  • Age
    110 months ago
  • What it trades
    Stocks
  • # Trades
    96
  • # Profitable
    36
  • % Profitable
    37.50%
  • Avg trade duration
    46.3 days
  • Max peak-to-valley drawdown
    %
  • drawdown period
    Dec , - Dec ,
  • Cumul. Return
    -6.4%
  • Avg win
    $259.50
  • Avg loss
    $180.17
  • Model Account Values (Raw)
  • Cash
    $23,854
  • Margin Used
    $0
  • Buying Power
    $23,854
  • Ratios
  • W:L ratio
    0.89:1
  • Sharpe Ratio
    -0.54
  • Sortino Ratio
    -0.86
  • Calmar Ratio
    -0.138
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -3.49%
  • Correlation to SP500
    -0.03720
  • Return Percent SP500 (cumu) during strategy life
    137.87%
  • Return Statistics
  • Ann Return (w trading costs)
    -6.5%
  • Slump
  • Current Slump as Pcnt Equity
    19.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.95%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.064%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -0.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    54.00%
  • Chance of 20% account loss
    1.50%
  • Chance of 30% account loss
    n/a
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    367
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $180
  • Avg Win
    $260
  • Sum Trade PL (losers)
    $10,810.000
  • Age
  • Num Months filled monthly returns table
    109
  • Win / Loss
  • Sum Trade PL (winners)
    $9,342.000
  • # Winners
    36
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    320
  • Win / Loss
  • # Losers
    60
  • % Winners
    37.5%
  • Frequency
  • Avg Position Time (mins)
    66737.40
  • Avg Position Time (hrs)
    1112.29
  • Avg Trade Length
    46.3 days
  • Last Trade Ago
    2930
  • Regression
  • Alpha
    -0.01
  • Beta
    -0.01
  • Treynor Index
    0.78
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    44.81
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    25.34
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.40
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -4.162
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.267
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.478
  • Hold-and-Hope Ratio
    -0.240
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03305
  • SD
    0.13153
  • Sharpe ratio (Glass type estimate)
    -0.25123
  • Sharpe ratio (Hedges UMVUE)
    -0.23364
  • df
    11.00000
  • t
    -0.25123
  • p
    0.59687
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.20836
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.71705
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.19603
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.72876
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.41004
  • Upside Potential Ratio
    1.30479
  • Upside part of mean
    0.10515
  • Downside part of mean
    -0.13820
  • Upside SD
    0.09724
  • Downside SD
    0.08059
  • N nonnegative terms
    5.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    -0.01693
  • Mean of criterion
    -0.03305
  • SD of predictor
    0.14249
  • SD of criterion
    0.13153
  • Covariance
    -0.00278
  • r
    -0.14832
  • b (slope, estimate of beta)
    -0.13692
  • a (intercept, estimate of alpha)
    -0.03536
  • Mean Square Error
    0.01861
  • DF error
    10.00000
  • t(b)
    -0.47427
  • p(b)
    0.67725
  • t(a)
    -0.25904
  • p(a)
    0.59957
  • Lowerbound of 95% confidence interval for beta
    -0.78016
  • Upperbound of 95% confidence interval for beta
    0.50632
  • Lowerbound of 95% confidence interval for alpha
    -0.33954
  • Upperbound of 95% confidence interval for alpha
    0.26881
  • Treynor index (mean / b)
    0.24135
  • Jensen alpha (a)
    -0.03536
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04082
  • SD
    0.12931
  • Sharpe ratio (Glass type estimate)
    -0.31570
  • Sharpe ratio (Hedges UMVUE)
    -0.29358
  • df
    11.00000
  • t
    -0.31570
  • p
    0.62093
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.27296
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.65563
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.25738
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.67021
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.49269
  • Upside Potential Ratio
    1.21456
  • Upside part of mean
    0.10063
  • Downside part of mean
    -0.14145
  • Upside SD
    0.09274
  • Downside SD
    0.08285
  • N nonnegative terms
    5.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    -0.02622
  • Mean of criterion
    -0.04082
  • SD of predictor
    0.14236
  • SD of criterion
    0.12931
  • Covariance
    -0.00256
  • r
    -0.13912
  • b (slope, estimate of beta)
    -0.12636
  • a (intercept, estimate of alpha)
    -0.04414
  • Mean Square Error
    0.01804
  • DF error
    10.00000
  • t(b)
    -0.44425
  • p(b)
    0.66684
  • t(a)
    -0.32812
  • p(a)
    0.62521
  • Lowerbound of 95% confidence interval for beta
    -0.76015
  • Upperbound of 95% confidence interval for beta
    0.50743
  • Lowerbound of 95% confidence interval for alpha
    -0.34384
  • Upperbound of 95% confidence interval for alpha
    0.25557
  • Treynor index (mean / b)
    0.32305
  • Jensen alpha (a)
    -0.04414
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06275
  • Expected Shortfall on VaR
    0.07716
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02919
  • Expected Shortfall on VaR
    0.05560
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.93763
  • Quartile 1
    0.99037
  • Median
    1.00021
  • Quartile 3
    1.00191
  • Maximum
    1.09792
  • Mean of quarter 1
    0.96010
  • Mean of quarter 2
    0.99563
  • Mean of quarter 3
    1.00122
  • Mean of quarter 4
    1.03536
  • Inter Quartile Range
    0.01154
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.16667
  • Mean of outliers low
    0.94556
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.08333
  • Mean of outliers high
    1.09792
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -57.68900
  • VaR(95%) (moments method)
    0.02848
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.16911
  • VaR(95%) (regression method)
    0.08724
  • Expected Shortfall (regression method)
    0.08920
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01308
  • Quartile 1
    0.03840
  • Median
    0.06372
  • Quartile 3
    0.08904
  • Maximum
    0.11435
  • Mean of quarter 1
    0.01308
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.11435
  • Inter Quartile Range
    0.05064
  • 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)
    -0.03040
  • Compounded annual return (geometric extrapolation)
    -0.03040
  • Calmar ratio (compounded annual return / max draw down)
    -0.26584
  • Compounded annual return / average of 25% largest draw downs
    -0.26584
  • Compounded annual return / Expected Shortfall lognormal
    -0.39397
  • 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
    -0.04348
  • SD
    0.15193
  • Sharpe ratio (Glass type estimate)
    -0.28616
  • Sharpe ratio (Hedges UMVUE)
    -0.28554
  • df
    347.00000
  • t
    -0.28782
  • p
    0.61317
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.23474
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.66278
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.23432
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66324
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.57050
  • Upside Potential Ratio
    7.42888
  • Upside part of mean
    0.56613
  • Downside part of mean
    -0.60961
  • Upside SD
    0.13120
  • Downside SD
    0.07621
  • N nonnegative terms
    140.00000
  • N negative terms
    208.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    348.00000
  • Mean of predictor
    -0.02583
  • Mean of criterion
    -0.04348
  • SD of predictor
    0.16528
  • SD of criterion
    0.15193
  • Covariance
    -0.00219
  • r
    -0.08731
  • b (slope, estimate of beta)
    -0.08026
  • a (intercept, estimate of alpha)
    -0.03800
  • Mean Square Error
    0.02297
  • DF error
    346.00000
  • t(b)
    -1.63033
  • p(b)
    0.94803
  • t(a)
    -0.30225
  • p(a)
    0.61868
  • Lowerbound of 95% confidence interval for beta
    -0.17708
  • Upperbound of 95% confidence interval for beta
    0.01657
  • Lowerbound of 95% confidence interval for alpha
    -0.34195
  • Upperbound of 95% confidence interval for alpha
    0.25085
  • Treynor index (mean / b)
    0.54170
  • Jensen alpha (a)
    -0.04555
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.05447
  • SD
    0.14686
  • Sharpe ratio (Glass type estimate)
    -0.37092
  • Sharpe ratio (Hedges UMVUE)
    -0.37012
  • df
    347.00000
  • t
    -0.37307
  • p
    0.64534
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.31957
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.57815
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.31898
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.57874
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.70769
  • Upside Potential Ratio
    7.25023
  • Upside part of mean
    0.55806
  • Downside part of mean
    -0.61253
  • Upside SD
    0.12485
  • Downside SD
    0.07697
  • N nonnegative terms
    140.00000
  • N negative terms
    208.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    348.00000
  • Mean of predictor
    -0.03947
  • Mean of criterion
    -0.05447
  • SD of predictor
    0.16551
  • SD of criterion
    0.14686
  • Covariance
    -0.00215
  • r
    -0.08863
  • b (slope, estimate of beta)
    -0.07864
  • a (intercept, estimate of alpha)
    -0.05758
  • Mean Square Error
    0.02146
  • DF error
    346.00000
  • t(b)
    -1.65517
  • p(b)
    0.95060
  • t(a)
    -0.39528
  • p(a)
    0.65356
  • Lowerbound of 95% confidence interval for beta
    -0.17209
  • Upperbound of 95% confidence interval for beta
    0.01481
  • Lowerbound of 95% confidence interval for alpha
    -0.34406
  • Upperbound of 95% confidence interval for alpha
    0.22891
  • Treynor index (mean / b)
    0.69266
  • Jensen alpha (a)
    -0.05758
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01310
  • Expected Shortfall on VaR
    0.01635
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00453
  • Expected Shortfall on VaR
    0.00914
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    348.00000
  • Minimum
    0.95824
  • Quartile 1
    0.99793
  • Median
    1.00000
  • Quartile 3
    1.00186
  • Maximum
    1.12177
  • Mean of quarter 1
    0.99372
  • Mean of quarter 2
    0.99926
  • Mean of quarter 3
    1.00050
  • Mean of quarter 4
    1.00612
  • Inter Quartile Range
    0.00393
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.04885
  • Mean of outliers low
    0.98637
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.03161
  • Mean of outliers high
    1.02039
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09435
  • VaR(95%) (moments method)
    0.00543
  • Expected Shortfall (moments method)
    0.00790
  • Extreme Value Index (regression method)
    0.18574
  • VaR(95%) (regression method)
    0.00582
  • Expected Shortfall (regression method)
    0.00910
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00152
  • Quartile 1
    0.01411
  • Median
    0.02162
  • Quartile 3
    0.04267
  • Maximum
    0.14994
  • Mean of quarter 1
    0.00751
  • Mean of quarter 2
    0.01597
  • Mean of quarter 3
    0.02726
  • Mean of quarter 4
    0.09887
  • Inter Quartile Range
    0.02855
  • 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
    0.14994
  • 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)
    -0.04353
  • Compounded annual return (geometric extrapolation)
    -0.04355
  • Calmar ratio (compounded annual return / max draw down)
    -0.29042
  • Compounded annual return / average of 25% largest draw downs
    -0.44043
  • Compounded annual return / Expected Shortfall lognormal
    -2.66308
  • 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
    -0.23491
  • SD
    0.09230
  • Sharpe ratio (Glass type estimate)
    -2.54508
  • Sharpe ratio (Hedges UMVUE)
    -2.53390
  • df
    171.00000
  • t
    -1.79964
  • p
    0.58652
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.32628
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.24342
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.31869
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25088
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.10547
  • Upside Potential Ratio
    6.17962
  • Upside part of mean
    0.46745
  • Downside part of mean
    -0.70236
  • Upside SD
    0.05393
  • Downside SD
    0.07564
  • N nonnegative terms
    64.00000
  • N negative terms
    108.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.03515
  • Mean of criterion
    -0.23491
  • SD of predictor
    0.16504
  • SD of criterion
    0.09230
  • Covariance
    -0.00108
  • r
    -0.07083
  • b (slope, estimate of beta)
    -0.03961
  • a (intercept, estimate of alpha)
    -0.23352
  • Mean Square Error
    0.00853
  • DF error
    170.00000
  • t(b)
    -0.92581
  • p(b)
    0.53541
  • t(a)
    -1.78811
  • p(a)
    0.56793
  • Lowerbound of 95% confidence interval for beta
    -0.12407
  • Upperbound of 95% confidence interval for beta
    0.04485
  • Lowerbound of 95% confidence interval for alpha
    -0.49131
  • Upperbound of 95% confidence interval for alpha
    0.02428
  • Treynor index (mean / b)
    5.93048
  • Jensen alpha (a)
    -0.23352
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.23923
  • SD
    0.09247
  • Sharpe ratio (Glass type estimate)
    -2.58706
  • Sharpe ratio (Hedges UMVUE)
    -2.57569
  • df
    171.00000
  • t
    -1.82933
  • p
    0.58792
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.36869
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.20198
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.36091
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.20952
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.14562
  • Upside Potential Ratio
    6.12726
  • Upside part of mean
    0.46599
  • Downside part of mean
    -0.70522
  • Upside SD
    0.05370
  • Downside SD
    0.07605
  • N nonnegative terms
    64.00000
  • N negative terms
    108.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.02159
  • Mean of criterion
    -0.23923
  • SD of predictor
    0.16517
  • SD of criterion
    0.09247
  • Covariance
    -0.00105
  • r
    -0.06859
  • b (slope, estimate of beta)
    -0.03840
  • a (intercept, estimate of alpha)
    -0.23840
  • Mean Square Error
    0.00856
  • DF error
    170.00000
  • t(b)
    -0.89644
  • p(b)
    0.53430
  • t(a)
    -1.82189
  • p(a)
    0.56919
  • VAR (95 Confidence Intrvl)
    0.01000
  • Lowerbound of 95% confidence interval for beta
    -0.12296
  • Upperbound of 95% confidence interval for beta
    0.04616
  • Lowerbound of 95% confidence interval for alpha
    -0.49671
  • Upperbound of 95% confidence interval for alpha
    0.01991
  • Treynor index (mean / b)
    6.22976
  • Jensen alpha (a)
    -0.23840
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00886
  • Expected Shortfall on VaR
    0.01092
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00541
  • Expected Shortfall on VaR
    0.01015
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.98301
  • Quartile 1
    0.99758
  • Median
    1.00000
  • Quartile 3
    1.00175
  • Maximum
    1.01577
  • Mean of quarter 1
    0.99288
  • Mean of quarter 2
    0.99903
  • Mean of quarter 3
    1.00041
  • Mean of quarter 4
    1.00507
  • Inter Quartile Range
    0.00416
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.06977
  • Mean of outliers low
    0.98785
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.02907
  • Mean of outliers high
    1.01090
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.21546
  • VaR(95%) (moments method)
    0.00645
  • Expected Shortfall (moments method)
    0.00811
  • Extreme Value Index (regression method)
    -0.31075
  • VaR(95%) (regression method)
    0.00750
  • Expected Shortfall (regression method)
    0.00928
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.11432
  • Quartile 1
    0.11432
  • Median
    0.11432
  • Quartile 3
    0.11432
  • Maximum
    0.11432
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    149
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.21663
  • Compounded annual return (geometric extrapolation)
    -0.20489
  • Calmar ratio (compounded annual return / max draw down)
    -1.79229
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -18.76690

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2015-04-15
Suggested Minimum Capital
$25,000
# Trades
96
# Profitable
36
% Profitable
37.5%
Net Dividends
$319
Correlation S&P500
-0.037
Sharpe Ratio
-0.54
Sortino Ratio
-0.86
Beta
-0.01
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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Suggested Minimum Capital

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