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Nehemiah Fund
(94420978)

Created by: JeremyPickens2 JeremyPickens2
Started: 05/2015
Futures
Last trade: 1,357 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 $100.00 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.

8.1%
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.

(100.0%)
Max Drawdown
31
Num Trades
64.5%
Win Trades
3.5 : 1
Profit Factor
16.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                            (0.5%)(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(0.4%)(2.9%)
2016(0.4%)+5.5%+3.1%(0.3%)(0.3%)(0.3%)(1.4%)+13.3%(0.3%)(2.5%)+8.8%(0.3%)+26.4%
2017(133.7%)  -    -    -    -    -    -    -    -    -    -    -  (133.7%)
2018  -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -  (457.7%)(1.5%)  -  (2.2%)(1.7%)(0.4%)(3.8%)+4.8%(448.4%)
2020(4%)(5.1%)(12.8%)+2.0%+10.4%(4.1%)+4.6%+1.6%                        (8.9%)

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

This strategy has placed 56 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/11/16 16:22 QCLZ6 CRUDE OIL SHORT 1 43.21 11/21 8:06 46.69 0.01%
Trade id #107146532
Max drawdown$4
Time11/14/16 11:46
Quant open
Worst price46.53
Drawdown as % of equity0.01%
($3,488)
Includes Typical Broker Commissions trade costs of $8.00
11/11/16 16:12 QCLZ6 CRUDE OIL SHORT 2 43.22 11/11 16:20 43.22 0%
Trade id #107146373
Max drawdown$0
Time11/11/16 16:12
Quant open
Worst price43.22
Drawdown as % of equity0.00%
($6)
Includes Typical Broker Commissions trade costs of $16.00
11/11/16 14:27 QCLZ6 CRUDE OIL SHORT 1 43.43 11/11 16:11 43.23 0%
Trade id #107143203
Max drawdown$0
Time11/11/16 14:28
Quant open
Worst price43.42
Drawdown as % of equity0.00%
$192
Includes Typical Broker Commissions trade costs of $8.00
11/11/16 14:13 QCLZ6 CRUDE OIL SHORT 1 43.44 11/11 14:26 43.58 0%
Trade id #107142851
Max drawdown$0
Time11/11/16 14:14
Quant open
Worst price43.54
Drawdown as % of equity0.00%
($148)
Includes Typical Broker Commissions trade costs of $8.00
11/10/16 16:22 QCLZ6 CRUDE OIL SHORT 7 44.31 11/11 14:11 43.46 0.01%
Trade id #107106270
Max drawdown$2
Time11/11/16 11:33
Quant open
Worst price43.57
Drawdown as % of equity0.01%
$5,914
Includes Typical Broker Commissions trade costs of $56.00
11/10/16 16:14 QCLZ6 CRUDE OIL SHORT 3 44.40 11/10 16:21 44.37 0%
Trade id #107106143
Max drawdown$0
Time11/10/16 16:14
Quant open
Worst price44.39
Drawdown as % of equity0.00%
$66
Includes Typical Broker Commissions trade costs of $24.00
11/10/16 14:27 QCLZ6 CRUDE OIL SHORT 2 44.64 11/10 16:13 44.36 0%
Trade id #107102464
Max drawdown$0
Time11/10/16 14:29
Quant open
Worst price44.61
Drawdown as % of equity0.00%
$554
Includes Typical Broker Commissions trade costs of $16.00
11/10/16 14:11 QCLZ6 CRUDE OIL SHORT 1 44.85 11/10 14:27 44.71 0%
Trade id #107101959
Max drawdown$0
Time11/10/16 14:18
Quant open
Worst price44.75
Drawdown as % of equity0.00%
$132
Includes Typical Broker Commissions trade costs of $8.00
11/9/16 16:23 QCLZ6 CRUDE OIL SHORT 1 45.37 11/10 14:11 44.87 0%
Trade id #107055972
Max drawdown$0
Time11/10/16 9:24
Quant open
Worst price45.07
Drawdown as % of equity0.00%
$492
Includes Typical Broker Commissions trade costs of $8.00
11/9/16 16:21 QCLZ6 CRUDE OIL SHORT 1 45.38 11/9 16:21 45.40 n/a ($28)
Includes Typical Broker Commissions trade costs of $8.00
11/9/16 16:11 QCLZ6 CRUDE OIL SHORT 1 45.39 11/9 16:19 45.39 0%
Trade id #107055766
Max drawdown$0
Time11/9/16 16:11
Quant open
Worst price45.40
Drawdown as % of equity0.00%
($8)
Includes Typical Broker Commissions trade costs of $8.00
11/9/16 14:26 QCLZ6 CRUDE OIL SHORT 2 45.33 11/9 16:09 45.40 0%
Trade id #107050219
Max drawdown$0
Time11/9/16 14:47
Quant open
Worst price45.42
Drawdown as % of equity0.00%
($156)
Includes Typical Broker Commissions trade costs of $16.00
11/9/16 14:10 QCLZ6 CRUDE OIL SHORT 1 45.33 11/9 14:24 45.28 0%
Trade id #107049375
Max drawdown$0
Time11/9/16 14:15
Quant open
Worst price45.28
Drawdown as % of equity0.00%
$42
Includes Typical Broker Commissions trade costs of $8.00
11/8/16 16:22 QCLZ6 CRUDE OIL SHORT 1 44.71 11/9 14:09 45.34 0.01%
Trade id #107006659
Max drawdown$2
Time11/8/16 22:30
Quant open
Worst price45.87
Drawdown as % of equity0.01%
($638)
Includes Typical Broker Commissions trade costs of $8.00
11/8/16 16:12 QCLZ6 CRUDE OIL SHORT 3 44.67 11/8 16:20 44.68 0%
Trade id #107006491
Max drawdown$0
Time11/8/16 16:17
Quant open
Worst price44.66
Drawdown as % of equity0.00%
($54)
Includes Typical Broker Commissions trade costs of $24.00
11/8/16 14:25 QCLZ6 CRUDE OIL SHORT 3 44.99 11/8 16:11 44.71 0%
Trade id #107003256
Max drawdown$0
Time11/8/16 14:29
Quant open
Worst price44.91
Drawdown as % of equity0.00%
$816
Includes Typical Broker Commissions trade costs of $24.00
11/8/16 14:09 QCLZ6 CRUDE OIL SHORT 3 45.01 11/8 14:24 44.95 0%
Trade id #107002800
Max drawdown$0
Time11/8/16 14:21
Quant open
Worst price44.95
Drawdown as % of equity0.00%
$166
Includes Typical Broker Commissions trade costs of $24.00
11/7/16 16:21 QCLZ6 CRUDE OIL SHORT 3 44.94 11/8 14:09 45.05 0.01%
Trade id #106976475
Max drawdown$2
Time11/8/16 9:45
Quant open
Worst price45.27
Drawdown as % of equity0.01%
($364)
Includes Typical Broker Commissions trade costs of $24.00
11/7/16 16:11 QCLZ6 CRUDE OIL SHORT 1 44.97 11/7 16:20 44.94 0%
Trade id #106976324
Max drawdown$0
Time11/7/16 16:11
Quant open
Worst price44.96
Drawdown as % of equity0.00%
$22
Includes Typical Broker Commissions trade costs of $8.00
10/9/16 18:00 QCLX6 CRUDE OIL SHORT 1 49.60 11/7 16:10 50.31 0.01%
Trade id #106317113
Max drawdown$2
Time10/9/16 19:19
Quant open
Worst price51.84
Drawdown as % of equity0.01%
($718)
Includes Typical Broker Commissions trade costs of $8.00
11/7/16 14:26 QCLZ6 CRUDE OIL SHORT 1 44.66 11/7 16:10 44.97 0%
Trade id #106972641
Max drawdown$0
Time11/7/16 14:26
Quant open
Worst price44.98
Drawdown as % of equity0.00%
($318)
Includes Typical Broker Commissions trade costs of $8.00
7/14/16 10:36 QCLQ6 CRUDE OIL SHORT 1 45.21 7/14 15:46 45.50 0%
Trade id #104638431
Max drawdown$0
Time7/14/16 10:37
Quant open
Worst price45.75
Drawdown as % of equity0.00%
($298)
Includes Typical Broker Commissions trade costs of $8.00
3/11/16 10:04 QCLJ6 CRUDE OIL SHORT 2 38.90 3/13 19:17 38.39 0%
Trade id #101178784
Max drawdown$1
Time3/11/16 10:58
Quant open
Worst price38.72
Drawdown as % of equity0.00%
$1,004
Includes Typical Broker Commissions trade costs of $16.00
2/11/16 9:25 QCLH6 CRUDE OIL SHORT 1 26.79 2/11 10:54 26.38 0%
Trade id #100578798
Max drawdown$0
Time2/11/16 9:40
Quant open
Worst price27.33
Drawdown as % of equity0.00%
$402
Includes Typical Broker Commissions trade costs of $8.00
2/9/16 11:54 QCLH6 CRUDE OIL SHORT 1 29.18 2/9 12:42 28.75 0%
Trade id #100431327
Max drawdown$0
Time2/9/16 11:55
Quant open
Worst price29.16
Drawdown as % of equity0.00%
$422
Includes Typical Broker Commissions trade costs of $8.00
2/8/16 9:11 QCLH6 CRUDE OIL SHORT 1 30.32 2/8 10:00 29.91 0%
Trade id #100398374
Max drawdown$0
Time2/8/16 9:17
Quant open
Worst price30.52
Drawdown as % of equity0.00%
$402
Includes Typical Broker Commissions trade costs of $8.00
2/5/16 10:27 QCLH6 CRUDE OIL SHORT 1 31.47 2/5 14:02 31.44 0%
Trade id #100375545
Max drawdown$0
Time2/5/16 10:33
Quant open
Worst price32.00
Drawdown as % of equity0.00%
$22
Includes Typical Broker Commissions trade costs of $8.00
2/3/16 12:10 QCLH6 CRUDE OIL SHORT 1 31.76 2/3 12:37 31.35 0%
Trade id #100332167
Max drawdown$0
Time2/3/16 12:27
Quant open
Worst price31.62
Drawdown as % of equity0.00%
$402
Includes Typical Broker Commissions trade costs of $8.00
5/14/15 9:40 QCLM5 CRUDE OIL SHORT 5 60.50 5/14 10:35 60.00 0%
Trade id #94422833
Max drawdown$0
Time5/14/15 9:43
Quant open
Worst price60.72
Drawdown as % of equity0.00%
$2,460
Includes Typical Broker Commissions trade costs of $40.00
5/14/15 8:59 QCLM5 CRUDE OIL LONG 5 60.28 5/14 9:03 60.50 0%
Trade id #94421256
Max drawdown$0
Time5/14/15 9:01
Quant open
Worst price60.31
Drawdown as % of equity0.00%
$1,060
Includes Typical Broker Commissions trade costs of $40.00

Statistics

  • Strategy began
    5/14/2015
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    1909.12
  • Age
    64 months ago
  • What it trades
    Futures
  • # Trades
    31
  • # Profitable
    20
  • % Profitable
    64.50%
  • Avg trade duration
    48.4 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Feb 02, 2016 - Jan 22, 2017
  • Annual Return (Compounded)
    8.1%
  • Avg win
    $1,071
  • Avg loss
    $553.64
  • Model Account Values (Raw)
  • Cash
    $33,810
  • Margin Used
    $6,750
  • Buying Power
    $33,590
  • Ratios
  • W:L ratio
    3.52:1
  • Sharpe Ratio
    -0.58
  • Sortino Ratio
    -0.58
  • Calmar Ratio
    0.184
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -5.53%
  • Correlation to SP500
    0.00240
  • Return Percent SP500 (cumu) during strategy life
    58.00%
  • Return Statistics
  • Ann Return (w trading costs)
    8.1%
  • Slump
  • Current Slump as Pcnt Equity
    15.60%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.19%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.081%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    9.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    1667.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 50% account loss
    100.00%
  • 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
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $554
  • Avg Win
    $1,072
  • Sum Trade PL (losers)
    $6,090.000
  • Age
  • Num Months filled monthly returns table
    21
  • Win / Loss
  • Sum Trade PL (winners)
    $21,430.000
  • # Winners
    20
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    11
  • % Winners
    64.5%
  • Frequency
  • Avg Position Time (mins)
    69745.40
  • Avg Position Time (hrs)
    1162.42
  • Avg Trade Length
    48.4 days
  • Last Trade Ago
    1290
  • Regression
  • Alpha
    0.00
  • Beta
    0.03
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.22
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    -
  • Avg(MAE) / Avg(PL) - All trades
    0.393
  • 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
    0.393
  • Avg(MAE) / Avg(PL) - Losing trades
    -
  • Hold-and-Hope Ratio
    0.000
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    21374.10000
  • SD
    30228.10000
  • Sharpe ratio (Glass type estimate)
    0.70709
  • Sharpe ratio (Hedges UMVUE)
    0.68374
  • df
    23.00000
  • t
    0.99998
  • p
    0.16386
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.70110
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.10036
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.71618
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.08366
  • Statistics related to Sortino ratio
  • Sortino ratio
    30087.50000
  • Upside Potential Ratio
    30088.30000
  • Upside part of mean
    21374.70000
  • Downside part of mean
    -0.57812
  • Upside SD
    30228.10000
  • Downside SD
    0.71040
  • N nonnegative terms
    6.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.18212
  • Mean of criterion
    21374.10000
  • SD of predictor
    0.18335
  • SD of criterion
    30228.10000
  • Covariance
    4096.62000
  • r
    0.73917
  • b (slope, estimate of beta)
    121867.00000
  • a (intercept, estimate of alpha)
    -819.91100
  • Mean Square Error
    433338000.00000
  • DF error
    22.00000
  • t(b)
    5.14762
  • p(b)
    0.00002
  • t(a)
    -0.05346
  • p(a)
    0.52107
  • Lowerbound of 95% confidence interval for beta
    72769.20000
  • Upperbound of 95% confidence interval for beta
    170965.00000
  • Lowerbound of 95% confidence interval for alpha
    -32629.20000
  • Upperbound of 95% confidence interval for alpha
    30989.40000
  • Treynor index (mean / b)
    0.17539
  • Jensen alpha (a)
    -819.91100
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15010
  • SD
    10.83080
  • Sharpe ratio (Glass type estimate)
    0.01386
  • Sharpe ratio (Hedges UMVUE)
    0.01340
  • df
    23.00000
  • t
    0.01960
  • p
    0.49227
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.37219
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.39963
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.37251
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.39931
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.02013
  • Upside Potential Ratio
    0.73769
  • Upside part of mean
    5.49942
  • Downside part of mean
    -5.34933
  • Upside SD
    7.53944
  • Downside SD
    7.45495
  • N nonnegative terms
    6.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.16550
  • Mean of criterion
    0.15010
  • SD of predictor
    0.17394
  • SD of criterion
    10.83080
  • Covariance
    0.68960
  • r
    0.36605
  • b (slope, estimate of beta)
    22.79290
  • a (intercept, estimate of alpha)
    -3.62217
  • Mean Square Error
    106.20500
  • DF error
    22.00000
  • t(b)
    1.84497
  • p(b)
    0.03927
  • t(a)
    -0.47858
  • p(a)
    0.68152
  • Lowerbound of 95% confidence interval for beta
    -2.82787
  • Upperbound of 95% confidence interval for beta
    48.41370
  • Lowerbound of 95% confidence interval for alpha
    -19.31840
  • Upperbound of 95% confidence interval for alpha
    12.07400
  • Treynor index (mean / b)
    0.00659
  • Jensen alpha (a)
    -3.62217
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.99408
  • Expected Shortfall on VaR
    0.99754
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.13963
  • Expected Shortfall on VaR
    0.31203
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    24.00000
  • Minimum
    0.00003
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00311
  • Maximum
    42750.00000
  • Mean of quarter 1
    0.81428
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    7125.89000
  • Inter Quartile Range
    0.00311
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.20833
  • Mean of outliers low
    0.77713
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    7125.89000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.54016
  • VaR(95%) (regression method)
    0.12009
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00926
  • Quartile 1
    0.01774
  • Median
    0.03274
  • Quartile 3
    0.28368
  • Maximum
    0.99997
  • Mean of quarter 1
    0.00926
  • Mean of quarter 2
    0.02056
  • Mean of quarter 3
    0.04491
  • Mean of quarter 4
    0.99997
  • Inter Quartile Range
    0.26594
  • 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
    0.25000
  • Mean of outliers high
    0.99997
  • 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)
    0.21381
  • Compounded annual return (geometric extrapolation)
    0.19483
  • Calmar ratio (compounded annual return / max draw down)
    0.19484
  • Compounded annual return / average of 25% largest draw downs
    0.19484
  • Compounded annual return / Expected Shortfall lognormal
    0.19531
  • 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
    21927.50000
  • SD
    31275.90000
  • Sharpe ratio (Glass type estimate)
    0.70110
  • Sharpe ratio (Hedges UMVUE)
    0.70011
  • df
    532.00000
  • t
    0.99998
  • p
    0.15889
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.67400
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.07560
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.67469
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.07491
  • Statistics related to Sortino ratio
  • Sortino ratio
    30273.10000
  • Upside Potential Ratio
    30274.40000
  • Upside part of mean
    21928.40000
  • Downside part of mean
    -0.94316
  • Upside SD
    31275.90000
  • Downside SD
    0.72432
  • N nonnegative terms
    48.00000
  • N negative terms
    485.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    533.00000
  • Mean of predictor
    0.23742
  • Mean of criterion
    21927.50000
  • SD of predictor
    0.29504
  • SD of criterion
    31275.90000
  • Covariance
    374.83900
  • r
    0.04062
  • b (slope, estimate of beta)
    4306.16000
  • a (intercept, estimate of alpha)
    20905.10000
  • Mean Square Error
    978406000.00000
  • DF error
    531.00000
  • t(b)
    0.93684
  • p(b)
    0.17463
  • t(a)
    0.95207
  • p(a)
    0.17075
  • Lowerbound of 95% confidence interval for beta
    -4723.38000
  • Upperbound of 95% confidence interval for beta
    13335.70000
  • Lowerbound of 95% confidence interval for alpha
    -22229.20000
  • Upperbound of 95% confidence interval for alpha
    64039.40000
  • Treynor index (mean / b)
    5.09212
  • Jensen alpha (a)
    20905.10000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14116
  • SD
    10.54620
  • Sharpe ratio (Glass type estimate)
    0.01338
  • Sharpe ratio (Hedges UMVUE)
    0.01337
  • df
    532.00000
  • t
    0.01909
  • p
    0.49239
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.36077
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.38754
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.36079
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.38752
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.01909
  • Upside Potential Ratio
    0.78354
  • Upside part of mean
    5.79250
  • Downside part of mean
    -5.65134
  • Upside SD
    7.50741
  • Downside SD
    7.39269
  • N nonnegative terms
    48.00000
  • N negative terms
    485.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    533.00000
  • Mean of predictor
    0.18951
  • Mean of criterion
    0.14116
  • SD of predictor
    0.31794
  • SD of criterion
    10.54620
  • Covariance
    0.08570
  • r
    0.02556
  • b (slope, estimate of beta)
    0.84780
  • a (intercept, estimate of alpha)
    -0.01950
  • Mean Square Error
    111.35800
  • DF error
    531.00000
  • t(b)
    0.58915
  • p(b)
    0.27801
  • t(a)
    -0.00263
  • p(a)
    0.50105
  • Lowerbound of 95% confidence interval for beta
    -1.97906
  • Upperbound of 95% confidence interval for beta
    3.67466
  • Lowerbound of 95% confidence interval for alpha
    -14.56350
  • Upperbound of 95% confidence interval for alpha
    14.52440
  • Treynor index (mean / b)
    0.16650
  • Jensen alpha (a)
    -0.01950
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.65739
  • Expected Shortfall on VaR
    0.73212
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01176
  • Expected Shortfall on VaR
    0.02698
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    533.00000
  • Minimum
    0.00003
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    44610.00000
  • Mean of quarter 1
    0.98607
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    336.41400
  • Inter Quartile Range
    0.00000
  • Number outliers low
    32.00000
  • Percentage of outliers low
    0.06004
  • Mean of outliers low
    0.94165
  • Number of outliers high
    48.00000
  • Percentage of outliers high
    0.09006
  • Mean of outliers high
    930.37700
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.31490
  • VaR(95%) (moments method)
    0.00112
  • Expected Shortfall (moments method)
    0.00333
  • Extreme Value Index (regression method)
    0.42233
  • VaR(95%) (regression method)
    0.00264
  • Expected Shortfall (regression method)
    0.02214
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00067
  • Quartile 1
    0.04836
  • Median
    0.07349
  • Quartile 3
    0.21304
  • Maximum
    0.99997
  • Mean of quarter 1
    0.02417
  • Mean of quarter 2
    0.05046
  • Mean of quarter 3
    0.09652
  • Mean of quarter 4
    0.62592
  • Inter Quartile Range
    0.16467
  • 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
    0.99997
  • 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)
    0.20178
  • Compounded annual return (geometric extrapolation)
    0.18420
  • Calmar ratio (compounded annual return / max draw down)
    0.18420
  • Compounded annual return / average of 25% largest draw downs
    0.29428
  • Compounded annual return / Expected Shortfall lognormal
    0.25159
  • 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
    89215.90000
  • SD
    63086.70000
  • Sharpe ratio (Glass type estimate)
    1.41418
  • Sharpe ratio (Hedges UMVUE)
    1.40600
  • df
    130.00000
  • t
    0.99998
  • p
    0.45632
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.36561
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.18865
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.37106
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.18307
  • Statistics related to Sortino ratio
  • Sortino ratio
    61381.40000
  • Upside Potential Ratio
    61383.50000
  • Upside part of mean
    89219.00000
  • Downside part of mean
    -3.14268
  • Upside SD
    63086.70000
  • Downside SD
    1.45347
  • N nonnegative terms
    25.00000
  • N negative terms
    106.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.94510
  • Mean of criterion
    89215.90000
  • SD of predictor
    0.53302
  • SD of criterion
    63086.70000
  • Covariance
    1291.12000
  • r
    0.03840
  • b (slope, estimate of beta)
    4544.49000
  • a (intercept, estimate of alpha)
    84920.90000
  • Mean Square Error
    4004870000.00000
  • DF error
    129.00000
  • t(b)
    0.43642
  • p(b)
    0.47556
  • t(a)
    0.94318
  • p(a)
    0.44738
  • Lowerbound of 95% confidence interval for beta
    -16058.10000
  • Upperbound of 95% confidence interval for beta
    25147.10000
  • Lowerbound of 95% confidence interval for alpha
    -93218.70000
  • Upperbound of 95% confidence interval for alpha
    263060.00000
  • Treynor index (mean / b)
    19.63160
  • Jensen alpha (a)
    84920.90000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10163
  • SD
    21.33220
  • Sharpe ratio (Glass type estimate)
    0.00476
  • Sharpe ratio (Hedges UMVUE)
    0.00474
  • df
    130.00000
  • t
    0.00337
  • p
    0.49985
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.76704
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.77657
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.76707
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.77654
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00682
  • Upside Potential Ratio
    1.50152
  • Upside part of mean
    22.38920
  • Downside part of mean
    -22.28760
  • Upside SD
    15.14100
  • Downside SD
    14.91100
  • N nonnegative terms
    25.00000
  • N negative terms
    106.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.78472
  • Mean of criterion
    0.10163
  • SD of predictor
    0.58489
  • SD of criterion
    21.33220
  • Covariance
    0.35031
  • r
    0.02808
  • b (slope, estimate of beta)
    1.02399
  • a (intercept, estimate of alpha)
    -0.70191
  • Mean Square Error
    458.22900
  • DF error
    129.00000
  • t(b)
    0.31901
  • p(b)
    0.48213
  • t(a)
    -0.02311
  • p(a)
    0.50130
  • VAR (95 Confidence Intrvl)
    0.65700
  • Lowerbound of 95% confidence interval for beta
    -5.32689
  • Upperbound of 95% confidence interval for beta
    7.37486
  • Lowerbound of 95% confidence interval for alpha
    -60.80480
  • Upperbound of 95% confidence interval for alpha
    59.40100
  • Treynor index (mean / b)
    0.09925
  • Jensen alpha (a)
    -0.70191
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.88552
  • Expected Shortfall on VaR
    0.92731
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03635
  • Expected Shortfall on VaR
    0.08340
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00003
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    44610.00000
  • Mean of quarter 1
    0.95273
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1352.80000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.14504
  • Mean of outliers low
    0.91789
  • Number of outliers high
    25.00000
  • Percentage of outliers high
    0.19084
  • Mean of outliers high
    1785.38000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.18579
  • VaR(95%) (moments method)
    0.00338
  • Expected Shortfall (moments method)
    0.00698
  • Extreme Value Index (regression method)
    0.85459
  • VaR(95%) (regression method)
    0.01982
  • Expected Shortfall (regression method)
    0.20899
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00067
  • Quartile 1
    0.03591
  • Median
    0.14977
  • Quartile 3
    0.43890
  • Maximum
    0.99997
  • Mean of quarter 1
    0.00067
  • Mean of quarter 2
    0.04766
  • Mean of quarter 3
    0.25187
  • Mean of quarter 4
    0.99997
  • Inter Quartile Range
    0.40298
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -269038000
  • Max Equity Drawdown (num days)
    355
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13383
  • Compounded annual return (geometric extrapolation)
    0.13830
  • Calmar ratio (compounded annual return / max draw down)
    0.13831
  • Compounded annual return / average of 25% largest draw downs
    0.13831
  • Compounded annual return / Expected Shortfall lognormal
    0.14915

Strategy Description

Summary Statistics

Strategy began
2015-05-14
Suggested Minimum Capital
$25,000
# Trades
31
# Profitable
20
% Profitable
64.5%
Correlation S&P500
0.002
Sharpe Ratio
-0.58
Sortino Ratio
-0.58
Beta
0.03
Alpha
0.00

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

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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