Collective2 Collective2
Featured Strategy SILVER ETF TRADER +27.9% Annual Return (Compounded) since May 2, 2023 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Not Used
(98531369)

Created by: Henry_zhao Henry_zhao
Started: 11/2015
Stocks
Last trade: 2,427 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 $129.00 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.

-
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
325
Num Trades
47.4%
Win Trades
0.8 : 1
Profit Factor
30.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                                                      (0.2%)+2.9%+2.7%
2016+29.8%+5.8%(3.2%)(7.8%)+3.5%(6.5%)(1.1%)(3.1%)(15.5%)(5.3%)+24.6%(19%)(8.2%)
2017+10.3%+9.3%+4.3%+5.3%(6.2%)+2.7%+5.7%+16.1%(1.5%)(6.3%)(8.9%)+0.2%+31.9%
2018(6.4%)(16.7%)+5.4%(3.6%)(10.1%)(2.5%)(7.8%)(8.3%)(2.3%)+16.1%+2.1%+33.6%(9.1%)
2019(22.1%)(13%)(6.3%)(12.7%)+4.2%(0.5%)(7.8%)+4.5%(2.6%)(10.9%)(6%)(10.8%)(59.8%)
2020(5.5%)(15.7%)+35.4%(37.2%)(13%)(19%)(21.9%)(26.9%)+15.6%+2.8%(30.9%)(16.7%)(81.4%)
2021(4.3%)(1.8%)(7.2%)(28.6%)+5.0%(28.6%)(18.8%)(6.7%)+11.6%(43.3%)(11.6%)(55.2%)(91.1%)
2022+222.7%+39.5%(47.9%)+178.5%(1.2%)+39.4%(45.2%)+26.9%+47.5%(13.6%)(25.7%)+40.3%+732.1%
2023(34.5%)+2.5%(26.5%)(26.9%)(70%)(104.5%)(2511.4%)(32.6%)(179.8%)+10.9%(298.3%)(63.9%)(124.9%)
2024(27.6%)(15.2%)(6.7%)(27.7%)(35.5%)(34.9%)(7%)(1.4%)(8.9%)(1.8%)            

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 123 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2620 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/9/18 15:53 QLD PROSHARES ULTRA QQQ LONG 2,160 89.75 3/12 15:58 90.36 0.03%
Trade id #116971862
Max drawdown($32)
Time3/9/18 15:55
Quant open1,080
Worst price89.09
Drawdown as % of equity-0.03%
 $1,321
Includes Typical Broker Commissions trade costs of $7.50
3/1/18 15:58 QID PROSHARES ULTRASHORT QQQ LONG 9,030 11.78 3/9 15:53 10.65 9.87%
Trade id #116812765
Max drawdown($10,294)
Time3/9/18 15:53
Quant open9,030
Worst price10.64
Drawdown as % of equity-9.87%
 ($10,209)
Includes Typical Broker Commissions trade costs of $5.00
3/1/18 9:47 QLD PROSHARES ULTRA QQQ LONG 1,315 82.70 3/1 15:58 80.80 3.86%
Trade id #116798414
Max drawdown($4,510)
Time3/1/18 14:15
Quant open1,315
Worst price79.27
Drawdown as % of equity-3.86%
 ($2,504)
Includes Typical Broker Commissions trade costs of $5.00
2/27/18 15:57 QID PROSHARES ULTRASHORT QQQ LONG 9,465 11.23 3/1 9:46 11.50 1.47%
Trade id #116759577
Max drawdown($1,675)
Time2/28/18 14:02
Quant open9,465
Worst price11.05
Drawdown as % of equity-1.47%
 $2,551
Includes Typical Broker Commissions trade costs of $5.00
2/23/18 15:55 QLD PROSHARES ULTRA QQQ LONG 1,255 84.18 2/27 15:57 84.78 0.03%
Trade id #116704812
Max drawdown($37)
Time2/23/18 17:12
Quant open1,255
Worst price84.15
Drawdown as % of equity-0.03%
 $748
Includes Typical Broker Commissions trade costs of $5.00
2/21/18 11:28 QID PROSHARES ULTRASHORT QQQ LONG 9,260 11.47 2/23 15:54 11.32 1.36%
Trade id #116641899
Max drawdown($1,563)
Time2/23/18 15:32
Quant open9,260
Worst price11.30
Drawdown as % of equity-1.36%
 ($1,394)
Includes Typical Broker Commissions trade costs of $5.00
2/20/18 15:59 QLD PROSHARES ULTRA QQQ LONG 1,275 81.70 2/21 11:27 83.24 0.11%
Trade id #116624464
Max drawdown($127)
Time2/20/18 16:01
Quant open1,275
Worst price81.60
Drawdown as % of equity-0.11%
 $1,959
Includes Typical Broker Commissions trade costs of $5.00
2/16/18 12:51 QID PROSHARES ULTRASHORT QQQ LONG 8,910 11.55 2/20 15:59 11.68 0.48%
Trade id #116563296
Max drawdown($534)
Time2/20/18 12:03
Quant open8,910
Worst price11.49
Drawdown as % of equity-0.48%
 $1,153
Includes Typical Broker Commissions trade costs of $5.00
2/15/18 15:58 QLD PROSHARES ULTRA QQQ LONG 2,480 82.37 2/16 12:50 82.84 0.37%
Trade id #116543309
Max drawdown($409)
Time2/16/18 9:29
Quant open1,240
Worst price81.48
Drawdown as % of equity-0.37%
 $1,159
Includes Typical Broker Commissions trade costs of $7.50
2/14/18 10:41 QID PROSHARES ULTRASHORT QQQ LONG 8,680 12.29 2/15 15:58 11.67 4.95%
Trade id #116504508
Max drawdown($5,468)
Time2/15/18 15:24
Quant open8,680
Worst price11.66
Drawdown as % of equity-4.95%
 ($5,387)
Includes Typical Broker Commissions trade costs of $5.00
2/13/18 9:37 QLD PROSHARES ULTRA QQQ LONG 1,375 75.16 2/14 10:38 77.59 1.22%
Trade id #116478758
Max drawdown($1,388)
Time2/14/18 8:33
Quant open1,375
Worst price74.15
Drawdown as % of equity-1.22%
 $3,336
Includes Typical Broker Commissions trade costs of $5.00
2/9/18 15:47 QID PROSHARES ULTRASHORT QQQ LONG 8,060 13.07 2/13 9:36 12.79 4.15%
Trade id #116427979
Max drawdown($4,634)
Time2/12/18 15:24
Quant open8,060
Worst price12.49
Drawdown as % of equity-4.15%
 ($2,262)
Includes Typical Broker Commissions trade costs of $5.00
2/9/18 10:18 QLD PROSHARES ULTRA QQQ LONG 1,445 72.19 2/9 15:47 73.30 6.27%
Trade id #116416562
Max drawdown($6,805)
Time2/9/18 13:39
Quant open1,445
Worst price67.48
Drawdown as % of equity-6.27%
 $1,599
Includes Typical Broker Commissions trade costs of $5.00
2/8/18 15:53 QID PROSHARES ULTRASHORT QQQ LONG 7,855 13.43 2/9 10:18 13.28 2.37%
Trade id #116401376
Max drawdown($2,749)
Time2/9/18 9:58
Quant open7,855
Worst price13.08
Drawdown as % of equity-2.37%
 ($1,183)
Includes Typical Broker Commissions trade costs of $5.00
2/7/18 15:59 QLD PROSHARES ULTRA QQQ LONG 1,480 77.31 2/8 15:53 71.60 7.34%
Trade id #116377764
Max drawdown($8,569)
Time2/8/18 15:53
Quant open1,480
Worst price71.52
Drawdown as % of equity-7.34%
 ($8,456)
Includes Typical Broker Commissions trade costs of $5.00
2/6/18 13:04 QID PROSHARES ULTRASHORT QQQ LONG 9,140 12.75 2/7 15:59 12.49 5.42%
Trade id #116349151
Max drawdown($6,489)
Time2/7/18 11:16
Quant open9,140
Worst price12.04
Drawdown as % of equity-5.42%
 ($2,381)
Includes Typical Broker Commissions trade costs of $5.00
2/2/18 12:02 QLD PROSHARES ULTRA QQQ LONG 1,535 83.10 2/6 13:02 75.96 13.79%
Trade id #116252319
Max drawdown($17,115)
Time2/6/18 7:03
Quant open1,535
Worst price71.95
Drawdown as % of equity-13.79%
 ($10,965)
Includes Typical Broker Commissions trade costs of $5.00
2/1/18 15:58 QID PROSHARES ULTRASHORT QQQ LONG 10,870 11.49 2/2 12:01 11.75 1.3%
Trade id #116234109
Max drawdown($1,739)
Time2/1/18 18:11
Quant open10,870
Worst price11.33
Drawdown as % of equity-1.30%
 $2,821
Includes Typical Broker Commissions trade costs of $5.00
1/31/18 15:59 QLD PROSHARES ULTRA QQQ LONG 1,470 86.30 2/1 15:58 85.08 2.06%
Trade id #116208410
Max drawdown($2,748)
Time2/1/18 15:41
Quant open1,470
Worst price84.43
Drawdown as % of equity-2.06%
 ($1,798)
Includes Typical Broker Commissions trade costs of $5.00
1/30/18 9:34 QID PROSHARES ULTRASHORT QQQ LONG 11,195 11.41 1/31 15:59 11.33 1.47%
Trade id #116172703
Max drawdown($2,003)
Time1/31/18 9:45
Quant open11,195
Worst price11.23
Drawdown as % of equity-1.47%
 ($889)
Includes Typical Broker Commissions trade costs of $5.00
1/26/18 15:58 QLD PROSHARES ULTRA QQQ LONG 1,465 87.86 1/30 9:34 85.77 2.93%
Trade id #116131940
Max drawdown($4,043)
Time1/30/18 9:31
Quant open1,465
Worst price85.10
Drawdown as % of equity-2.93%
 ($3,067)
Includes Typical Broker Commissions trade costs of $5.00
1/24/18 15:33 QID PROSHARES ULTRASHORT QQQ LONG 11,580 11.45 1/26 15:58 11.13 2.72%
Trade id #116079815
Max drawdown($3,821)
Time1/26/18 15:55
Quant open11,580
Worst price11.12
Drawdown as % of equity-2.72%
 ($3,711)
Includes Typical Broker Commissions trade costs of $5.00
1/23/18 15:59 QLD PROSHARES ULTRA QQQ LONG 1,550 86.73 1/24 15:32 85.58 2.36%
Trade id #116056242
Max drawdown($3,379)
Time1/24/18 13:22
Quant open1,550
Worst price84.55
Drawdown as % of equity-2.36%
 ($1,788)
Includes Typical Broker Commissions trade costs of $5.00
1/22/18 12:14 QID PROSHARES ULTRASHORT QQQ LONG 11,890 11.57 1/23 15:58 11.29 2.42%
Trade id #116027888
Max drawdown($3,507)
Time1/23/18 15:50
Quant open11,890
Worst price11.28
Drawdown as % of equity-2.42%
 ($3,334)
Includes Typical Broker Commissions trade costs of $5.00
1/18/18 15:58 QID PROSHARES ULTRASHORT QQQ LONG 11,700 11.82 1/19 15:58 11.75 0.94%
Trade id #115967817
Max drawdown($1,404)
Time1/19/18 9:40
Quant open11,700
Worst price11.70
Drawdown as % of equity-0.94%
 ($824)
Includes Typical Broker Commissions trade costs of $5.00
1/16/18 15:58 QLD PROSHARES ULTRA QQQ LONG 1,665 81.25 1/18 15:58 82.93 0.16%
Trade id #115915137
Max drawdown($233)
Time1/16/18 16:00
Quant open1,665
Worst price81.11
Drawdown as % of equity-0.16%
 $2,792
Includes Typical Broker Commissions trade costs of $5.00
1/11/18 15:59 QID PROSHARES ULTRASHORT QQQ LONG 11,230 12.19 1/16 15:58 12.05 3.63%
Trade id #115842610
Max drawdown($5,278)
Time1/16/18 9:49
Quant open11,230
Worst price11.72
Drawdown as % of equity-3.63%
 ($1,577)
Includes Typical Broker Commissions trade costs of $5.00
1/10/18 15:59 QLD PROSHARES ULTRA QQQ LONG 1,700 79.43 1/11 15:58 80.43 0.05%
Trade id #115814235
Max drawdown($68)
Time1/10/18 16:01
Quant open1,700
Worst price79.39
Drawdown as % of equity-0.05%
 $1,695
Includes Typical Broker Commissions trade costs of $5.00
1/3/18 11:58 QID PROSHARES ULTRASHORT QQQ LONG 10,920 12.73 1/10 15:59 12.34 3.89%
Trade id #115671352
Max drawdown($5,642)
Time1/9/18 13:25
Quant open10,920
Worst price12.21
Drawdown as % of equity-3.89%
 ($4,264)
Includes Typical Broker Commissions trade costs of $5.00
12/29/17 15:59 QLD PROSHARES ULTRA QQQ LONG 3,610 75.22 1/3/18 11:57 77.07 0.71%
Trade id #115606281
Max drawdown($1,010)
Time12/29/17 18:18
Quant open1,805
Worst price72.81
Drawdown as % of equity-0.71%
 $6,650
Includes Typical Broker Commissions trade costs of $10.00
Next

Statistics

  • Strategy began
    11/25/2015
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    3253.68
  • Age
    109 months ago
  • What it trades
    Stocks
  • # Trades
    325
  • # Profitable
    154
  • % Profitable
    47.40%
  • Avg trade duration
    9.8 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Aug 17, 2023 - July 08, 2024
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $2,532
  • Avg loss
    $2,797
  • Model Account Values (Raw)
  • Cash
    $60,352
  • Margin Used
    $0
  • Buying Power
    ($32,993)
  • Ratios
  • W:L ratio
    0.82:1
  • Sharpe Ratio
    -0.41
  • Sortino Ratio
    -0.41
  • Calmar Ratio
    -0.465
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -283.62%
  • Correlation to SP500
    -0.50290
  • Return Percent SP500 (cumu) during strategy life
    174.25%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.80%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -18.7%
  • 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 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)
    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
    $2,797
  • Avg Win
    $2,533
  • Sum Trade PL (losers)
    $478,309.000
  • Age
  • Num Months filled monthly returns table
    92
  • Win / Loss
  • Sum Trade PL (winners)
    $390,055.000
  • # Winners
    154
  • Num Months Winners
    32
  • Dividends
  • Dividends Received in Model Acct
    3980
  • Win / Loss
  • # Losers
    171
  • % Winners
    47.4%
  • Frequency
  • Avg Position Time (mins)
    14156.60
  • Avg Position Time (hrs)
    235.94
  • Avg Trade Length
    9.8 days
  • Last Trade Ago
    2416
  • Regression
  • Alpha
    0.00
  • Beta
    -3.78
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    22.31
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    45.03
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.04
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -7.495
  • 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
    0.06
  • Avg(MAE) / Avg(PL) - Winning trades
    0.418
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.374
  • Hold-and-Hope Ratio
    -0.021
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.40483
  • SD
    0.50046
  • Sharpe ratio (Glass type estimate)
    -0.80891
  • Sharpe ratio (Hedges UMVUE)
    -0.79324
  • df
    39.00000
  • t
    -1.47686
  • p
    0.92613
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.89223
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.28444
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.88109
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.29462
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.94193
  • Upside Potential Ratio
    0.97562
  • Upside part of mean
    0.41930
  • Downside part of mean
    -0.82413
  • Upside SD
    0.27045
  • Downside SD
    0.42978
  • N nonnegative terms
    17.00000
  • N negative terms
    23.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    40.00000
  • Mean of predictor
    0.26094
  • Mean of criterion
    -0.40483
  • SD of predictor
    0.24042
  • SD of criterion
    0.50046
  • Covariance
    -0.07299
  • r
    -0.60662
  • b (slope, estimate of beta)
    -1.26275
  • a (intercept, estimate of alpha)
    -0.07532
  • Mean Square Error
    0.16246
  • DF error
    38.00000
  • t(b)
    -4.70375
  • p(b)
    0.99998
  • t(a)
    -0.32520
  • p(a)
    0.62659
  • Lowerbound of 95% confidence interval for beta
    -1.80621
  • Upperbound of 95% confidence interval for beta
    -0.71929
  • Lowerbound of 95% confidence interval for alpha
    -0.54420
  • Upperbound of 95% confidence interval for alpha
    0.39356
  • Treynor index (mean / b)
    0.32059
  • Jensen alpha (a)
    -0.07532
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.55364
  • SD
    0.55758
  • Sharpe ratio (Glass type estimate)
    -0.99294
  • Sharpe ratio (Hedges UMVUE)
    -0.97370
  • df
    39.00000
  • t
    -1.81285
  • p
    0.96122
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.08262
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.10887
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.06875
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.12135
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.06258
  • Upside Potential Ratio
    0.74348
  • Upside part of mean
    0.38738
  • Downside part of mean
    -0.94102
  • Upside SD
    0.23913
  • Downside SD
    0.52104
  • N nonnegative terms
    17.00000
  • N negative terms
    23.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    40.00000
  • Mean of predictor
    0.23197
  • Mean of criterion
    -0.55364
  • SD of predictor
    0.22677
  • SD of criterion
    0.55758
  • Covariance
    -0.07560
  • r
    -0.59790
  • b (slope, estimate of beta)
    -1.47010
  • a (intercept, estimate of alpha)
    -0.21263
  • Mean Square Error
    0.20501
  • DF error
    38.00000
  • t(b)
    -4.59808
  • p(b)
    0.99998
  • t(a)
    -0.82143
  • p(a)
    0.79174
  • Lowerbound of 95% confidence interval for beta
    -2.11734
  • Upperbound of 95% confidence interval for beta
    -0.82286
  • Lowerbound of 95% confidence interval for alpha
    -0.73664
  • Upperbound of 95% confidence interval for alpha
    0.31139
  • Treynor index (mean / b)
    0.37660
  • Jensen alpha (a)
    -0.21263
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.26721
  • Expected Shortfall on VaR
    0.31368
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.17334
  • Expected Shortfall on VaR
    0.30913
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    40.00000
  • Minimum
    0.56178
  • Quartile 1
    0.89738
  • Median
    0.98355
  • Quartile 3
    1.05268
  • Maximum
    1.37835
  • Mean of quarter 1
    0.78941
  • Mean of quarter 2
    0.94206
  • Mean of quarter 3
    1.02312
  • Mean of quarter 4
    1.11979
  • Inter Quartile Range
    0.15530
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.05000
  • Mean of outliers low
    0.58370
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.02500
  • Mean of outliers high
    1.37835
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.28497
  • VaR(95%) (moments method)
    0.23239
  • Expected Shortfall (moments method)
    0.36962
  • Extreme Value Index (regression method)
    0.28893
  • VaR(95%) (regression method)
    0.21900
  • Expected Shortfall (regression method)
    0.33697
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.06915
  • Quartile 1
    0.13897
  • Median
    0.20879
  • Quartile 3
    0.55297
  • Maximum
    0.89714
  • Mean of quarter 1
    0.06915
  • Mean of quarter 2
    0.20879
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.89714
  • Inter Quartile Range
    0.41399
  • 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)
    -0.24799
  • Compounded annual return (geometric extrapolation)
    -0.40888
  • Calmar ratio (compounded annual return / max draw down)
    -0.45576
  • Compounded annual return / average of 25% largest draw downs
    -0.45576
  • Compounded annual return / Expected Shortfall lognormal
    -1.30349
  • 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
    -0.49347
  • SD
    0.40347
  • Sharpe ratio (Glass type estimate)
    -1.22309
  • Sharpe ratio (Hedges UMVUE)
    -1.22205
  • df
    883.00000
  • t
    -2.24664
  • p
    0.98755
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.29131
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.15422
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.29059
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.15351
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.63504
  • Upside Potential Ratio
    6.03967
  • Upside part of mean
    1.82285
  • Downside part of mean
    -2.31632
  • Upside SD
    0.26915
  • Downside SD
    0.30181
  • N nonnegative terms
    396.00000
  • N negative terms
    488.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    884.00000
  • Mean of predictor
    0.30602
  • Mean of criterion
    -0.49347
  • SD of predictor
    0.24555
  • SD of criterion
    0.40347
  • Covariance
    -0.06495
  • r
    -0.65561
  • b (slope, estimate of beta)
    -1.07724
  • a (intercept, estimate of alpha)
    -0.16400
  • Mean Square Error
    0.09292
  • DF error
    882.00000
  • t(b)
    -25.78580
  • p(b)
    1.00000
  • t(a)
    -0.98423
  • p(a)
    0.83737
  • Lowerbound of 95% confidence interval for beta
    -1.15923
  • Upperbound of 95% confidence interval for beta
    -0.99525
  • Lowerbound of 95% confidence interval for alpha
    -0.49049
  • Upperbound of 95% confidence interval for alpha
    0.16285
  • Treynor index (mean / b)
    0.45809
  • Jensen alpha (a)
    -0.16382
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.57581
  • SD
    0.40559
  • Sharpe ratio (Glass type estimate)
    -1.41967
  • Sharpe ratio (Hedges UMVUE)
    -1.41846
  • df
    883.00000
  • t
    -2.60773
  • p
    0.99537
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.48835
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.35020
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.48753
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.34940
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.84205
  • Upside Potential Ratio
    5.71987
  • Upside part of mean
    1.78798
  • Downside part of mean
    -2.36379
  • Upside SD
    0.26052
  • Downside SD
    0.31259
  • N nonnegative terms
    396.00000
  • N negative terms
    488.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    884.00000
  • Mean of predictor
    0.27553
  • Mean of criterion
    -0.57581
  • SD of predictor
    0.24676
  • SD of criterion
    0.40559
  • Covariance
    -0.06521
  • r
    -0.65158
  • b (slope, estimate of beta)
    -1.07101
  • a (intercept, estimate of alpha)
    -0.28071
  • Mean Square Error
    0.09477
  • DF error
    882.00000
  • t(b)
    -25.50980
  • p(b)
    1.00000
  • t(a)
    -1.67096
  • p(a)
    0.95246
  • Lowerbound of 95% confidence interval for beta
    -1.15341
  • Upperbound of 95% confidence interval for beta
    -0.98861
  • Lowerbound of 95% confidence interval for alpha
    -0.61042
  • Upperbound of 95% confidence interval for alpha
    0.04900
  • Treynor index (mean / b)
    0.53763
  • Jensen alpha (a)
    -0.28071
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04249
  • Expected Shortfall on VaR
    0.05242
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02162
  • Expected Shortfall on VaR
    0.04235
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    884.00000
  • Minimum
    0.86308
  • Quartile 1
    0.98879
  • Median
    0.99950
  • Quartile 3
    1.00782
  • Maximum
    1.13714
  • Mean of quarter 1
    0.97043
  • Mean of quarter 2
    0.99447
  • Mean of quarter 3
    1.00291
  • Mean of quarter 4
    1.02508
  • Inter Quartile Range
    0.01902
  • Number outliers low
    42.00000
  • Percentage of outliers low
    0.04751
  • Mean of outliers low
    0.93488
  • Number of outliers high
    40.00000
  • Percentage of outliers high
    0.04525
  • Mean of outliers high
    1.06248
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.29686
  • VaR(95%) (moments method)
    0.02948
  • Expected Shortfall (moments method)
    0.04981
  • Extreme Value Index (regression method)
    0.12849
  • VaR(95%) (regression method)
    0.02645
  • Expected Shortfall (regression method)
    0.03848
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00465
  • Quartile 1
    0.02804
  • Median
    0.04269
  • Quartile 3
    0.06765
  • Maximum
    0.90723
  • Mean of quarter 1
    0.00585
  • Mean of quarter 2
    0.03692
  • Mean of quarter 3
    0.05356
  • Mean of quarter 4
    0.44208
  • Inter Quartile Range
    0.03961
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.61323
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.02094
  • VaR(95%) (moments method)
    0.31771
  • Expected Shortfall (moments method)
    0.32214
  • Extreme Value Index (regression method)
    0.42192
  • VaR(95%) (regression method)
    0.89451
  • Expected Shortfall (regression method)
    2.11440
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.24971
  • Compounded annual return (geometric extrapolation)
    -0.42184
  • Calmar ratio (compounded annual return / max draw down)
    -0.46497
  • Compounded annual return / average of 25% largest draw downs
    -0.95420
  • Compounded annual return / Expected Shortfall lognormal
    -8.04766
  • 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
    -1.03953
  • SD
    0.53381
  • Sharpe ratio (Glass type estimate)
    -1.94737
  • Sharpe ratio (Hedges UMVUE)
    -1.93611
  • df
    130.00000
  • t
    -1.37700
  • p
    0.55995
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.72563
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.83816
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.71789
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.84567
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.63141
  • Upside Potential Ratio
    6.62966
  • Upside part of mean
    2.61901
  • Downside part of mean
    -3.65854
  • Upside SD
    0.36172
  • Downside SD
    0.39504
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.89142
  • Mean of criterion
    -1.03953
  • SD of predictor
    0.42265
  • SD of criterion
    0.53381
  • Covariance
    -0.19901
  • r
    -0.88207
  • b (slope, estimate of beta)
    -1.11406
  • a (intercept, estimate of alpha)
    -0.04643
  • Mean Square Error
    0.06374
  • DF error
    129.00000
  • t(b)
    -21.26530
  • p(b)
    0.97613
  • t(a)
    -0.12895
  • p(a)
    0.50723
  • Lowerbound of 95% confidence interval for beta
    -1.21771
  • Upperbound of 95% confidence interval for beta
    -1.01041
  • Lowerbound of 95% confidence interval for alpha
    -0.75884
  • Upperbound of 95% confidence interval for alpha
    0.66598
  • Treynor index (mean / b)
    0.93310
  • Jensen alpha (a)
    -0.04643
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.18319
  • SD
    0.53383
  • Sharpe ratio (Glass type estimate)
    -2.21643
  • Sharpe ratio (Hedges UMVUE)
    -2.20362
  • df
    130.00000
  • t
    -1.56725
  • p
    0.56809
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.99705
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.57256
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.98833
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.58110
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.90655
  • Upside Potential Ratio
    6.27927
  • Upside part of mean
    2.55616
  • Downside part of mean
    -3.73935
  • Upside SD
    0.34990
  • Downside SD
    0.40708
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.80103
  • Mean of criterion
    -1.18319
  • SD of predictor
    0.42398
  • SD of criterion
    0.53383
  • Covariance
    -0.19918
  • r
    -0.88002
  • b (slope, estimate of beta)
    -1.10802
  • a (intercept, estimate of alpha)
    -0.29564
  • Mean Square Error
    0.06478
  • DF error
    129.00000
  • t(b)
    -21.04530
  • p(b)
    0.97551
  • t(a)
    -0.81577
  • p(a)
    0.54557
  • VAR (95 Confidence Intrvl)
    0.04200
  • Lowerbound of 95% confidence interval for beta
    -1.21219
  • Upperbound of 95% confidence interval for beta
    -1.00385
  • Lowerbound of 95% confidence interval for alpha
    -1.01266
  • Upperbound of 95% confidence interval for alpha
    0.42138
  • Treynor index (mean / b)
    1.06784
  • Jensen alpha (a)
    -0.29564
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05707
  • Expected Shortfall on VaR
    0.06991
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03668
  • Expected Shortfall on VaR
    0.06331
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.90674
  • Quartile 1
    0.97594
  • Median
    0.99428
  • Quartile 3
    1.01039
  • Maximum
    1.10854
  • Mean of quarter 1
    0.95761
  • Mean of quarter 2
    0.98769
  • Mean of quarter 3
    1.00281
  • Mean of quarter 4
    1.03665
  • Inter Quartile Range
    0.03445
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.91418
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.08460
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25091
  • VaR(95%) (moments method)
    0.04723
  • Expected Shortfall (moments method)
    0.07046
  • Extreme Value Index (regression method)
    0.06075
  • VaR(95%) (regression method)
    0.04272
  • Expected Shortfall (regression method)
    0.05540
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.44017
  • Quartile 1
    0.44017
  • Median
    0.44017
  • Quartile 3
    0.44017
  • Maximum
    0.44017
  • 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
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -384532000
  • Max Equity Drawdown (num days)
    326
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.87756
  • Compounded annual return (geometric extrapolation)
    -0.68503
  • Calmar ratio (compounded annual return / max draw down)
    -1.55629
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -9.79931

Strategy Description

Golden Stone Quant is a system to generate trading signal for Nasdaq-100 Index based product such as 1x ETF QQQ, 2x ETF QLD and mini-Future.

The system follows trends of QLD, uses QLD/QID position to achieve profit in bear market, while still beats the market in bull market.

The trading action takes place at around 1-2 minutes before market close if position change is needed. Same as the issuing of trading signals.

QLD/QID is used to in my own trading account. For subscribers could use 1xETF or 3xETF subject to leverage preference.

For subscribers prefer low leverage, 1 x ETF could be used.

New update (2017-03-27)
=========================
The system has been upgraded since Jan 2017 to handle volatility better. The result since Jan 2017 looks very positive, with over 27% YTD return

website: https://goldenstonefund.wixsite.com/index
Wechat ID: goldenstonefund

金石量化系统是一个产生纳指-100 (Nasdaq-100) 交易买卖信号 的量化交易信号系统。

交易策略: 确保在熊市里取得正回报，同时在在牛市仍取得高于市场基准（纳斯达克）的回报。

系统核心: 系统性的结合多个不同的技术分析策略，包括趋势追随(Trend following) 和市场时机选择(Market timing)，连同广泛的统计技术，从而达到稳定的收益，同时保持较低水平的风险。

系统根据QLD当天的价格变动，于收市前1到2分钟进行仓位调整, 同时向订阅者发布交易信号。

系统目前系统采用纳斯达-100 2xETF QLD 作为回报计算基准。喜好低风险的客户,可选择使用 1xETF。同样，喜好高回报/高风险的客户,可选择使用 3xETF, 或指数期货。

2017年3月27日更新
================================

系统于2017年初进行过一次调整，以降低波动率。2017年到目前的累计回报为27%

官网: https://goldenstonefund.wixsite.com/index
电邮: [email protected]
微信订阅号: goldenstonefund
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2015-11-25
Suggested Minimum Capital
$15,000
# Trades
325
# Profitable
154
% Profitable
47.4%
Net Dividends
$3,980
Correlation S&P500
-0.503
Sharpe Ratio
-0.41
Sortino Ratio
-0.41
Beta
-3.78
Alpha
0.00

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

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.