Anna's Pride
(100291771)
Subscription terms. Subscriptions to this system cost $39.00 per month.
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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2016  +5.7%  (1.9%)  (5.3%)  (1.8%)  
2017  +1.5%  +2.1%  +6.3%  (4.9%)  +6.3%  +2.0%  +2.6%  (0.3%)  +0.6%  +0.7%  (1%)  +2.5%  +19.3% 
2018  +2.2%  (27.4%)  (5.2%)  (2.3%)  +1.2%  (2.5%)  +4.9%  (28.8%) 
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.
Started  $16,000  
Buy Power  $9,858  
Cash  $1  
Equity  $1  
Cumulative $  ($1,175)  
Includes dividends and cashsettled expirations:  $94  Itemized 
Total System Equity  $14,824  
Margined  $1  
Open P/L  ($2,140)  
Data has been delayed by 4 hours for nonsubscribers 
System developer has asked us to delay this information by 4 hours.
Trading Record
Statistics

Strategy began10/17/2016

Suggested Minimum Cap$25,000

Strategy Age (days)638.3

Age21 months ago

What it tradesStocks

# Trades104

# Profitable70

% Profitable67.30%

Avg trade duration18.3 days

Max peaktovalley drawdown40.33%

drawdown periodJan 23, 2018  Feb 09, 2018

Annual Return (Compounded)9.8%

Avg win$135.91

Avg loss$302.18
 Model Account Values (Raw)

Cash$11,938

Margin Used$0

Buying Power$9,858
 Ratios

W:L ratio0.94:1

Sharpe Ratio0.216

Sortino Ratio0.262

Calmar Ratio0.139
 CORRELATION STATISTICS

Correlation to SP5000.39100
 Return Statistics

Ann Return (w trading costs)9.8%

Ann Return (Compnd, No Fees)4.3%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss94.00%

Chance of 20% account loss66.00%

Chance of 30% account loss22.50%

Chance of 40% account loss4.50%

Chance of 50% account lossn/a
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)579

C2 Score23.4
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days20
 Win / Loss

Avg Loss$317

Avg Win$136

# Winners70

# Losers34

% Winners67.3%
 Frequency

Avg Position Time (mins)26311.20

Avg Position Time (hrs)438.52

Avg Trade Length18.3 days

Last Trade Ago7
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.05713

SD0.21647

Sharpe ratio (Glass type estimate)0.26393

Sharpe ratio (Hedges UMVUE)0.25334

df19.00000

t0.34073

p0.54956

Lowerbound of 95% confidence interval for Sharpe Ratio1.78099

Upperbound of 95% confidence interval for Sharpe Ratio1.25996

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.77366

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.26697
 Statistics related to Sortino ratio

Sortino ratio0.28834

Upside Potential Ratio0.87719

Upside part of mean0.17381

Downside part of mean0.23094

Upside SD0.07436

Downside SD0.19814

N nonnegative terms14.00000

N negative terms6.00000
 Statistics related to linear regression on benchmark

N of observations20.00000

Mean of predictor0.13180

Mean of criterion0.05713

SD of predictor0.08470

SD of criterion0.21647

Covariance0.01138

r0.62096

b (slope, estimate of beta)1.58707

a (intercept, estimate of alpha)0.26631

Mean Square Error0.03039

DF error18.00000

t(b)3.36102

p(b)0.18952

t(a)1.79107

p(a)0.69446

Lowerbound of 95% confidence interval for beta0.59502

Upperbound of 95% confidence interval for beta2.57913

Lowerbound of 95% confidence interval for alpha0.57869

Upperbound of 95% confidence interval for alpha0.04607

Treynor index (mean / b)0.03600

Jensen alpha (a)0.26631
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.08284

SD0.24100

Sharpe ratio (Glass type estimate)0.34373

Sharpe ratio (Hedges UMVUE)0.32995

df19.00000

t0.44376

p0.56437

Lowerbound of 95% confidence interval for Sharpe Ratio1.86135

Upperbound of 95% confidence interval for Sharpe Ratio1.18279

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.85175

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.19185
 Statistics related to Sortino ratio

Sortino ratio0.36881

Upside Potential Ratio0.76006

Upside part of mean0.17072

Downside part of mean0.25356

Upside SD0.07278

Downside SD0.22461

N nonnegative terms14.00000

N negative terms6.00000
 Statistics related to linear regression on benchmark

N of observations20.00000

Mean of predictor0.12743

Mean of criterion0.08284

SD of predictor0.08413

SD of criterion0.24100

Covariance0.01267

r0.62473

b (slope, estimate of beta)1.78970

a (intercept, estimate of alpha)0.31090

Mean Square Error0.03738

DF error18.00000

t(b)3.39441

p(b)0.18764

t(a)1.89412

p(a)0.70383

Lowerbound of 95% confidence interval for beta0.68199

Upperbound of 95% confidence interval for beta2.89741

Lowerbound of 95% confidence interval for alpha0.65575

Upperbound of 95% confidence interval for alpha0.03395

Treynor index (mean / b)0.04629

Jensen alpha (a)0.31090
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.11426

Expected Shortfall on VaR0.13936
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.02947

Expected Shortfall on VaR0.07152
 ORDER STATISTICS
 Quartiles of return rates

Number of observations20.00000

Minimum0.75796

Quartile 10.99204

Median1.01362

Quartile 31.02382

Maximum1.05306

Mean of quarter 10.92725

Mean of quarter 21.00518

Mean of quarter 31.01714

Mean of quarter 41.04071

Inter Quartile Range0.03178

Number outliers low2.00000

Percentage of outliers low0.10000

Mean of outliers low0.84890

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.50416

VaR(95%) (moments method)0.04521

Expected Shortfall (moments method)0.11572

Extreme Value Index (regression method)1.57482

VaR(95%) (regression method)0.08938

Expected Shortfall (regression method)0.00000
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations4.00000

Minimum0.00717

Quartile 10.00954

Median0.01761

Quartile 30.09526

Maximum0.30640

Mean of quarter 10.00717

Mean of quarter 20.01033

Mean of quarter 30.02488

Mean of quarter 40.30640

Inter Quartile Range0.08572

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.25000

Mean of outliers high0.30640
 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)0.05249

Compounded annual return (geometric extrapolation)0.05345

Calmar ratio (compounded annual return / max draw down)0.17444

Compounded annual return / average of 25% largest draw downs0.17444

Compounded annual return / Expected Shortfall lognormal0.38355

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.04938

SD0.22850

Sharpe ratio (Glass type estimate)0.21611

Sharpe ratio (Hedges UMVUE)0.21575

df453.00000

t0.28448

p0.61191

Lowerbound of 95% confidence interval for Sharpe Ratio1.70502

Upperbound of 95% confidence interval for Sharpe Ratio1.27294

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.70474

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.27323
 Statistics related to Sortino ratio

Sortino ratio0.26221

Upside Potential Ratio4.99426

Upside part of mean0.94053

Downside part of mean0.98991

Upside SD0.12900

Downside SD0.18832

N nonnegative terms227.00000

N negative terms227.00000
 Statistics related to linear regression on benchmark

N of observations454.00000

Mean of predictor0.13725

Mean of criterion0.04938

SD of predictor0.10660

SD of criterion0.22850

Covariance0.00989

r0.40607

b (slope, estimate of beta)0.87038

a (intercept, estimate of alpha)0.16900

Mean Square Error0.04370

DF error452.00000

t(b)9.44709

p(b)0.00000

t(a)1.05988

p(a)0.85512

Lowerbound of 95% confidence interval for beta0.68932

Upperbound of 95% confidence interval for beta1.05144

Lowerbound of 95% confidence interval for alpha0.48191

Upperbound of 95% confidence interval for alpha0.14423

Treynor index (mean / b)0.05673

Jensen alpha (a)0.16884
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.07653

SD0.23586

Sharpe ratio (Glass type estimate)0.32448

Sharpe ratio (Hedges UMVUE)0.32394

df453.00000

t0.42714

p0.66526

Lowerbound of 95% confidence interval for Sharpe Ratio1.81341

Upperbound of 95% confidence interval for Sharpe Ratio1.16473

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.81301

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.16512
 Statistics related to Sortino ratio

Sortino ratio0.38574

Upside Potential Ratio4.69874

Upside part of mean0.93227

Downside part of mean1.00880

Upside SD0.12714

Downside SD0.19841

N nonnegative terms227.00000

N negative terms227.00000
 Statistics related to linear regression on benchmark

N of observations454.00000

Mean of predictor0.13151

Mean of criterion0.07653

SD of predictor0.10696

SD of criterion0.23586

Covariance0.00991

r0.39289

b (slope, estimate of beta)0.86642

a (intercept, estimate of alpha)0.19048

Mean Square Error0.04715

DF error452.00000

t(b)9.08353

p(b)0.00000

t(a)1.15143

p(a)0.87492

Lowerbound of 95% confidence interval for beta0.67897

Upperbound of 95% confidence interval for beta1.05387

Lowerbound of 95% confidence interval for alpha0.51558

Upperbound of 95% confidence interval for alpha0.13462

Treynor index (mean / b)0.08833

Jensen alpha (a)0.19048
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02397

Expected Shortfall on VaR0.02988
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00843

Expected Shortfall on VaR0.01886
 ORDER STATISTICS
 Quartiles of return rates

Number of observations454.00000

Minimum0.83328

Quartile 10.99687

Median1.00009

Quartile 31.00455

Maximum1.06105

Mean of quarter 10.98607

Mean of quarter 20.99909

Mean of quarter 31.00181

Mean of quarter 41.01271

Inter Quartile Range0.00768

Number outliers low30.00000

Percentage of outliers low0.06608

Mean of outliers low0.96806

Number of outliers high26.00000

Percentage of outliers high0.05727

Mean of outliers high1.02646
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.56168

VaR(95%) (moments method)0.01235

Expected Shortfall (moments method)0.03224

Extreme Value Index (regression method)0.36609

VaR(95%) (regression method)0.01215

Expected Shortfall (regression method)0.02383
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations25.00000

Minimum0.00010

Quartile 10.00141

Median0.00478

Quartile 30.03350

Maximum0.34049

Mean of quarter 10.00055

Mean of quarter 20.00343

Mean of quarter 30.01963

Mean of quarter 40.10781

Inter Quartile Range0.03209

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.04000

Mean of outliers high0.34049
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.60366

VaR(95%) (moments method)0.10878

Expected Shortfall (moments method)0.29611

Extreme Value Index (regression method)0.72878

VaR(95%) (regression method)0.11522

Expected Shortfall (regression method)0.42592
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.04663

Compounded annual return (geometric extrapolation)0.04746

Calmar ratio (compounded annual return / max draw down)0.13940

Compounded annual return / average of 25% largest draw downs0.44023

Compounded annual return / Expected Shortfall lognormal1.58849

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

Mean0.58759

SD0.37274

Sharpe ratio (Glass type estimate)1.57640

Sharpe ratio (Hedges UMVUE)1.56729

df130.00000

t1.11468

p0.54865

Lowerbound of 95% confidence interval for Sharpe Ratio4.35180

Upperbound of 95% confidence interval for Sharpe Ratio1.20492

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation4.34563

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.21106
 Statistics related to Sortino ratio

Sortino ratio1.78278

Upside Potential Ratio4.67727

Upside part of mean1.54158

Downside part of mean2.12917

Upside SD0.17482

Downside SD0.32959

N nonnegative terms69.00000

N negative terms62.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.00234

Mean of criterion0.58759

SD of predictor0.16443

SD of criterion0.37274

Covariance0.02794

r0.45587

b (slope, estimate of beta)1.03339

a (intercept, estimate of alpha)0.58517

Mean Square Error0.11091

DF error129.00000

t(b)5.81726

p(b)0.22018

t(a)1.24242

p(a)0.56909

Lowerbound of 95% confidence interval for beta0.68192

Upperbound of 95% confidence interval for beta1.38485

Lowerbound of 95% confidence interval for alpha1.51703

Upperbound of 95% confidence interval for alpha0.34670

Treynor index (mean / b)0.56860

Jensen alpha (a)0.58517
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.66114

SD0.38872

Sharpe ratio (Glass type estimate)1.70082

Sharpe ratio (Hedges UMVUE)1.69099

df130.00000

t1.20266

p0.55245

Lowerbound of 95% confidence interval for Sharpe Ratio4.47718

Upperbound of 95% confidence interval for Sharpe Ratio1.08183

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation4.47041

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.08842
 Statistics related to Sortino ratio

Sortino ratio1.89363

Upside Potential Ratio4.37197

Upside part of mean1.52642

Downside part of mean2.18756

Upside SD0.17239

Downside SD0.34914

N nonnegative terms69.00000

N negative terms62.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.01585

Mean of criterion0.66114

SD of predictor0.16526

SD of criterion0.38872

Covariance0.02802

r0.43623

b (slope, estimate of beta)1.02608

a (intercept, estimate of alpha)0.64488

Mean Square Error0.12329

DF error129.00000

t(b)5.50621

p(b)0.23136

t(a)1.29862

p(a)0.57216

Lowerbound of 95% confidence interval for beta0.65738

Upperbound of 95% confidence interval for beta1.39478

Lowerbound of 95% confidence interval for alpha1.62738

Upperbound of 95% confidence interval for alpha0.33763

Treynor index (mean / b)0.64433

Jensen alpha (a)0.64488
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.04115

Expected Shortfall on VaR0.05069
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01773

Expected Shortfall on VaR0.03794
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.83328

Quartile 10.99005

Median1.00118

Quartile 31.00936

Maximum1.05135

Mean of quarter 10.97176

Mean of quarter 20.99628

Mean of quarter 31.00485

Mean of quarter 41.01878

Inter Quartile Range0.01931

Number outliers low6.00000

Percentage of outliers low0.04580

Mean of outliers low0.92749

Number of outliers high2.00000

Percentage of outliers high0.01527

Mean of outliers high1.04692
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.52662

VaR(95%) (moments method)0.02975

Expected Shortfall (moments method)0.06864

Extreme Value Index (regression method)0.35522

VaR(95%) (regression method)0.02742

Expected Shortfall (regression method)0.04951
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.00515

Quartile 10.08899

Median0.17282

Quartile 30.25665

Maximum0.34049

Mean of quarter 10.00515

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.34049

Inter Quartile Range0.16767

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)0.54278

Compounded annual return (geometric extrapolation)0.46913

Calmar ratio (compounded annual return / max draw down)1.37780

Compounded annual return / average of 25% largest draw downs1.37780

Compounded annual return / Expected Shortfall lognormal9.25482
Strategy Description
The system trades in ETF's and futures. Depending on the volatility of the markets.
FAQ:
Does this system need to be autotraded?
Yes
Do you short trades?
Mostly the system generates long trades. When it is appropriate (bear markets) the system generates short trades.
Do you use stops?
No. With stop losses the system performs less than without.
However by diversification the system tries to minimalize the drawdowns.
How has the system performed during backtesting?
Anna's Pride trades a combination of 7 systems. They are used manually.
What will happen during bear markets?
During bear markets the system turns short. So also then the Systen can make profits.
Summary Statistics
Latest Activity
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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.