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GiGo2
(108711879)

Created by: 8Alert 8Alert
Started: 01/2017
Stocks
Last trade: 46 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.

38.9%
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.

(44.1%)
Max Drawdown
56
Num Trades
96.4%
Win Trades
10.5 : 1
Profit Factor
41.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017(0.3%)+2.0%+1.9%+0.1%(0.6%)+3.9%(10%)+9.6%+11.8%(14.4%)(2.5%)(18.7%)(19.8%)
2018+8.9%+121.5%(0.1%)(0.1%)  -  +0.5%  -  (0.4%)+1.1%(3.7%)(0.1%)  -  +133.7%

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

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/10/18 15:08 SQ SQUARE INC LONG 100 71.92 10/31 10:30 73.77 0.76%
Trade id #120283339
Max drawdown($742)
Time10/30/18 9:31
Quant open100
Worst price64.49
Drawdown as % of equity-0.76%
$183
Includes Typical Broker Commissions trade costs of $2.00
10/12/18 15:41 F FORD MOTOR LONG 100 8.63 10/15 11:42 8.81 0%
Trade id #120332327
Max drawdown($1)
Time10/12/18 15:43
Quant open100
Worst price8.62
Drawdown as % of equity-0.00%
$16
Includes Typical Broker Commissions trade costs of $2.00
10/12/18 15:45 FCX FREEPORT-MCMORAN INC LONG 100 12.79 10/15 11:42 12.97 0.01%
Trade id #120332441
Max drawdown($14)
Time10/15/18 5:02
Quant open100
Worst price12.65
Drawdown as % of equity-0.01%
$16
Includes Typical Broker Commissions trade costs of $2.00
10/5/18 11:27 SLV ISHARES SILVER TRUST LONG 400 13.52 10/12 15:23 13.75 0.05%
Trade id #120207163
Max drawdown($54)
Time10/10/18 10:46
Quant open400
Worst price13.38
Drawdown as % of equity-0.05%
$84
Includes Typical Broker Commissions trade costs of $8.00
10/10/18 15:07 EEM ISHARES MSCI EMERGING MARKETS LONG 100 39.75 10/12 15:21 40.19 0.1%
Trade id #120283301
Max drawdown($98)
Time10/11/18 14:47
Quant open100
Worst price38.77
Drawdown as % of equity-0.10%
$42
Includes Typical Broker Commissions trade costs of $2.00
10/10/18 15:07 JD JD.COM INC LONG 100 22.90 10/12 15:20 24.32 0.13%
Trade id #120283324
Max drawdown($134)
Time10/11/18 8:01
Quant open100
Worst price21.55
Drawdown as % of equity-0.13%
$140
Includes Typical Broker Commissions trade costs of $2.00
10/5/18 11:26 JD JD.COM INC LONG 1,100 23.57 10/8 10:33 24.13 1%
Trade id #120207125
Max drawdown($1,008)
Time10/8/18 9:32
Quant open1,100
Worst price22.65
Drawdown as % of equity-1.00%
$607
Includes Typical Broker Commissions trade costs of $13.50
9/24/18 15:49 JD JD.COM INC LONG 100 24.47 9/25 9:32 24.83 0.01%
Trade id #120011380
Max drawdown($7)
Time9/24/18 16:44
Quant open100
Worst price24.40
Drawdown as % of equity-0.01%
$34
Includes Typical Broker Commissions trade costs of $2.00
9/20/18 10:51 SPXL DIREXION DAILY S&P500 BULL 3X SHORT 200 55.26 9/24 11:59 54.57 0.14%
Trade id #119948662
Max drawdown($142)
Time9/21/18 9:29
Quant open-200
Worst price55.97
Drawdown as % of equity-0.14%
$134
Includes Typical Broker Commissions trade costs of $4.00
9/20/18 11:29 @ESZ8 E-MINI S&P 500 SHORT 1 2933.25 9/23 18:00 2929.50 0.69%
Trade id #119950046
Max drawdown($687)
Time9/21/18 9:29
Quant open-1
Worst price2947.00
Drawdown as % of equity-0.69%
$180
Includes Typical Broker Commissions trade costs of $8.00
8/28/18 14:14 GDX VANECK VECTORS GOLD MINERS ETF LONG 300 18.56 9/19 14:09 18.79 0.38%
Trade id #119631499
Max drawdown($383)
Time9/11/18 9:41
Quant open300
Worst price17.28
Drawdown as % of equity-0.38%
$64
Includes Typical Broker Commissions trade costs of $6.00
9/17/18 11:12 JD JD.COM INC LONG 100 25.54 9/17 12:22 25.93 0%
Trade id #119888299
Max drawdown($0)
Time9/17/18 11:14
Quant open100
Worst price25.53
Drawdown as % of equity-0.00%
$37
Includes Typical Broker Commissions trade costs of $2.00
8/28/18 14:21 XLV HEALTH CARE SELECT SECTOR SPDR SHORT 100 92.23 9/6 12:01 91.97 0.09%
Trade id #119631631
Max drawdown($88)
Time8/30/18 10:36
Quant open-100
Worst price93.11
Drawdown as % of equity-0.09%
$24
Includes Typical Broker Commissions trade costs of $2.00
8/29/18 12:07 TNA DIREXION DAILY SMALL CAP BULL SHORT 100 95.52 9/4 9:40 94.61 0.16%
Trade id #119648670
Max drawdown($159)
Time8/31/18 15:51
Quant open-100
Worst price97.12
Drawdown as % of equity-0.16%
$89
Includes Typical Broker Commissions trade costs of $2.00
8/28/18 14:21 TQQQ PROSHARES ULTRAPRO QQQ SHORT 200 71.18 9/4 9:40 70.48 0.44%
Trade id #119631647
Max drawdown($435)
Time8/30/18 13:21
Quant open-200
Worst price73.36
Drawdown as % of equity-0.44%
$136
Includes Typical Broker Commissions trade costs of $4.00
8/28/18 14:06 SPXL DIREXION DAILY S&P500 BULL 3X SHORT 200 54.03 8/30 15:14 53.58 0.12%
Trade id #119631297
Max drawdown($115)
Time8/29/18 15:40
Quant open-200
Worst price54.61
Drawdown as % of equity-0.12%
$86
Includes Typical Broker Commissions trade costs of $4.00
8/28/18 14:13 SSO PROSHARES ULTRA S&P500 SHORT 100 126.96 8/30 15:09 126.14 0.09%
Trade id #119631434
Max drawdown($87)
Time8/29/18 15:40
Quant open-100
Worst price127.83
Drawdown as % of equity-0.09%
$80
Includes Typical Broker Commissions trade costs of $2.00
7/6/18 10:18 TNA DIREXION DAILY SMALL CAP BULL SHORT 100 90.84 7/10 13:37 89.61 0.17%
Trade id #118802370
Max drawdown($172)
Time7/10/18 9:32
Quant open-100
Worst price92.57
Drawdown as % of equity-0.17%
$122
Includes Typical Broker Commissions trade costs of $2.00
6/5/18 13:32 TNA DIREXION DAILY SMALL CAP BULL SHORT 100 88.72 6/25 11:17 84.47 0.41%
Trade id #118276686
Max drawdown($404)
Time6/21/18 8:28
Quant open-100
Worst price92.76
Drawdown as % of equity-0.41%
$423
Includes Typical Broker Commissions trade costs of $2.00
6/20/18 12:24 TQQQ PROSHARES ULTRAPRO QQQ SHORT 75 63.85 6/21 13:01 61.74 0.02%
Trade id #118541569
Max drawdown($21)
Time6/20/18 14:19
Quant open-75
Worst price64.13
Drawdown as % of equity-0.02%
$157
Includes Typical Broker Commissions trade costs of $1.50
5/2/18 9:30 AAPL APPLE LONG 50 173.85 5/2 9:56 175.90 0%
Trade id #117753071
Max drawdown($2)
Time5/2/18 9:39
Quant open50
Worst price173.80
Drawdown as % of equity-0.00%
$102
Includes Typical Broker Commissions trade costs of $1.00
9/26/17 14:00 XIV VELOCITYSHARES DAILY INVERSE V SHORT 550 95.01 2/6/18 13:37 31.01 78.31%
Trade id #113871694
Max drawdown($28,361)
Time1/16/18 5:07
Quant open-550
Worst price146.58
Drawdown as % of equity-78.31%
$35,189
Includes Typical Broker Commissions trade costs of $11.00
9/28/17 12:54 TNA DIREXION DAILY SMALL CAP BULL SHORT 400 65.31 11/15 9:39 60.62 2%
Trade id #113915294
Max drawdown($1,043)
Time11/1/17 8:29
Quant open-400
Worst price67.92
Drawdown as % of equity-2.00%
$1,869
Includes Typical Broker Commissions trade costs of $8.00
9/28/17 12:56 SPXL DIREXION DAILY S&P500 BULL 3X SHORT 200 37.91 10/5 12:50 39.77 0.67%
Trade id #113915330
Max drawdown($383)
Time10/5/17 12:27
Quant open-200
Worst price39.82
Drawdown as % of equity-0.67%
($377)
Includes Typical Broker Commissions trade costs of $4.00
9/27/17 9:34 TNA DIREXION DAILY SMALL CAP BULL SHORT 100 61.89 9/27 10:52 61.22 0.04%
Trade id #113887940
Max drawdown($22)
Time9/27/17 9:39
Quant open-100
Worst price62.11
Drawdown as % of equity-0.04%
$65
Includes Typical Broker Commissions trade costs of $2.00
9/26/17 11:16 TNA DIREXION DAILY SMALL CAP BULL SHORT 300 60.84 9/26 15:59 60.48 0.13%
Trade id #113866053
Max drawdown($81)
Time9/26/17 14:01
Quant open-300
Worst price61.11
Drawdown as % of equity-0.13%
$102
Includes Typical Broker Commissions trade costs of $6.00
9/26/17 9:36 XIV VELOCITYSHARES DAILY INVERSE V SHORT 100 93.92 9/26 10:31 93.09 0%
Trade id #113862030
Max drawdown($0)
Time9/26/17 9:38
Quant open-100
Worst price93.92
Drawdown as % of equity-0.00%
$81
Includes Typical Broker Commissions trade costs of $2.00
8/22/17 15:47 TEVA TEVA PHARMACEUTICAL LONG 2,200 16.67 9/12 14:18 19.27 11.8%
Trade id #113282391
Max drawdown($6,282)
Time8/31/17 7:31
Quant open2,200
Worst price13.81
Drawdown as % of equity-11.80%
$5,706
Includes Typical Broker Commissions trade costs of $26.50
8/22/17 13:30 XIV VELOCITYSHARES DAILY INVERSE V SHORT 200 82.27 8/22 15:59 82.15 0.16%
Trade id #113280364
Max drawdown($88)
Time8/22/17 15:44
Quant open-200
Worst price82.71
Drawdown as % of equity-0.16%
$20
Includes Typical Broker Commissions trade costs of $4.00
8/21/17 10:44 TEVA TEVA PHARMACEUTICAL LONG 2,000 16.86 8/22 11:03 17.03 0.48%
Trade id #113256511
Max drawdown($266)
Time8/22/17 9:57
Quant open1,800
Worst price16.73
Drawdown as % of equity-0.48%
$290
Includes Typical Broker Commissions trade costs of $40.00

Statistics

  • Strategy began
    1/18/2017
  • Suggested Minimum Cap
    $90,000
  • Strategy Age (days)
    693.97
  • Age
    23 months ago
  • What it trades
    Stocks
  • # Trades
    56
  • # Profitable
    54
  • % Profitable
    96.40%
  • Avg trade duration
    9.8 days
  • Max peak-to-valley drawdown
    44.13%
  • drawdown period
    Sept 27, 2017 - Jan 12, 2018
  • Annual Return (Compounded)
    38.9%
  • Avg win
    $959.13
  • Avg loss
    $2,479
  • Model Account Values (Raw)
  • Cash
    $93,136
  • Margin Used
    $0
  • Buying Power
    $88,550
  • Ratios
  • W:L ratio
    10.52:1
  • Sharpe Ratio
    0.856
  • Sortino Ratio
    3.091
  • Calmar Ratio
    1.085
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.01300
  • Return Statistics
  • Ann Return (w trading costs)
    38.9%
  • Ann Return (Compnd, No Fees)
    41.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    53.50%
  • Chance of 20% account loss
    26.00%
  • Chance of 30% account loss
    9.00%
  • Chance of 40% account loss
    0.50%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    532
  • C2 Score
    49.4
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $2,480
  • Avg Win
    $959
  • # Winners
    54
  • # Losers
    2
  • % Winners
    96.4%
  • Frequency
  • Avg Position Time (mins)
    14010.40
  • Avg Position Time (hrs)
    233.51
  • Avg Trade Length
    9.7 days
  • Last Trade Ago
    43
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.76728
  • SD
    1.26931
  • Sharpe ratio (Glass type estimate)
    0.60448
  • Sharpe ratio (Hedges UMVUE)
    0.58148
  • df
    20.00000
  • t
    0.79966
  • p
    0.41199
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89613
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.09036
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.91103
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.07399
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.25060
  • Upside Potential Ratio
    4.68745
  • Upside part of mean
    1.10643
  • Downside part of mean
    -0.33916
  • Upside SD
    1.23603
  • Downside SD
    0.23604
  • N nonnegative terms
    11.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.07506
  • Mean of criterion
    0.76728
  • SD of predictor
    0.12656
  • SD of criterion
    1.26931
  • Covariance
    -0.06202
  • r
    -0.38611
  • b (slope, estimate of beta)
    -3.87255
  • a (intercept, estimate of alpha)
    1.05796
  • Mean Square Error
    1.44311
  • DF error
    19.00000
  • t(b)
    -1.82449
  • p(b)
    0.73955
  • t(a)
    1.14750
  • p(a)
    0.33970
  • Lowerbound of 95% confidence interval for beta
    -8.31509
  • Upperbound of 95% confidence interval for beta
    0.56998
  • Lowerbound of 95% confidence interval for alpha
    -0.87174
  • Upperbound of 95% confidence interval for alpha
    2.98765
  • Treynor index (mean / b)
    -0.19813
  • Jensen alpha (a)
    1.05796
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35069
  • SD
    0.79505
  • Sharpe ratio (Glass type estimate)
    0.44110
  • Sharpe ratio (Hedges UMVUE)
    0.42431
  • df
    20.00000
  • t
    0.58352
  • p
    0.43531
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.05213
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.92348
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.06310
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.91173
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.33388
  • Upside Potential Ratio
    2.74299
  • Upside part of mean
    0.72117
  • Downside part of mean
    -0.37047
  • Upside SD
    0.73698
  • Downside SD
    0.26291
  • N nonnegative terms
    11.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.06696
  • Mean of criterion
    0.35069
  • SD of predictor
    0.12791
  • SD of criterion
    0.79505
  • Covariance
    -0.04069
  • r
    -0.40008
  • b (slope, estimate of beta)
    -2.48669
  • a (intercept, estimate of alpha)
    0.51721
  • Mean Square Error
    0.55887
  • DF error
    19.00000
  • t(b)
    -1.90282
  • p(b)
    0.74773
  • t(a)
    0.90446
  • p(a)
    0.37155
  • Lowerbound of 95% confidence interval for beta
    -5.22193
  • Upperbound of 95% confidence interval for beta
    0.24856
  • Lowerbound of 95% confidence interval for alpha
    -0.67968
  • Upperbound of 95% confidence interval for alpha
    1.71412
  • Treynor index (mean / b)
    -0.14103
  • Jensen alpha (a)
    0.51721
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.29411
  • Expected Shortfall on VaR
    0.35641
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06213
  • Expected Shortfall on VaR
    0.13114
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    21.00000
  • Minimum
    0.76436
  • Quartile 1
    0.99192
  • Median
    1.00590
  • Quartile 3
    1.02133
  • Maximum
    2.63102
  • Mean of quarter 1
    0.90456
  • Mean of quarter 2
    1.00166
  • Mean of quarter 3
    1.01249
  • Mean of quarter 4
    1.37871
  • Inter Quartile Range
    0.02941
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.14286
  • Mean of outliers low
    0.83441
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    1.60590
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.21849
  • VaR(95%) (moments method)
    0.03731
  • Expected Shortfall (moments method)
    0.04013
  • Extreme Value Index (regression method)
    -0.02477
  • VaR(95%) (regression method)
    0.17186
  • Expected Shortfall (regression method)
    0.26410
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.03477
  • Quartile 1
    0.03784
  • Median
    0.04090
  • Quartile 3
    0.21677
  • Maximum
    0.39264
  • Mean of quarter 1
    0.03477
  • Mean of quarter 2
    0.04090
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.39264
  • Inter Quartile Range
    0.17893
  • 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)
    0.53699
  • Compounded annual return (geometric extrapolation)
    0.46024
  • Calmar ratio (compounded annual return / max draw down)
    1.17218
  • Compounded annual return / average of 25% largest draw downs
    1.17218
  • Compounded annual return / Expected Shortfall lognormal
    1.29131
  • 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
    0.46274
  • SD
    0.53975
  • Sharpe ratio (Glass type estimate)
    0.85733
  • Sharpe ratio (Hedges UMVUE)
    0.85594
  • df
    462.00000
  • t
    1.13969
  • p
    0.12750
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.61849
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.33233
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.61947
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.33134
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.09112
  • Upside Potential Ratio
    8.97797
  • Upside part of mean
    1.34400
  • Downside part of mean
    -0.88126
  • Upside SD
    0.51875
  • Downside SD
    0.14970
  • N nonnegative terms
    128.00000
  • N negative terms
    335.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    463.00000
  • Mean of predictor
    0.06397
  • Mean of criterion
    0.46274
  • SD of predictor
    0.12904
  • SD of criterion
    0.53975
  • Covariance
    -0.00179
  • r
    -0.02569
  • b (slope, estimate of beta)
    -0.10745
  • a (intercept, estimate of alpha)
    0.47000
  • Mean Square Error
    0.29176
  • DF error
    461.00000
  • t(b)
    -0.55177
  • p(b)
    0.70931
  • t(a)
    1.15521
  • p(a)
    0.12430
  • Lowerbound of 95% confidence interval for beta
    -0.49016
  • Upperbound of 95% confidence interval for beta
    0.27525
  • Lowerbound of 95% confidence interval for alpha
    -0.32925
  • Upperbound of 95% confidence interval for alpha
    1.26847
  • Treynor index (mean / b)
    -4.30635
  • Jensen alpha (a)
    0.46961
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34718
  • SD
    0.45513
  • Sharpe ratio (Glass type estimate)
    0.76282
  • Sharpe ratio (Hedges UMVUE)
    0.76158
  • df
    462.00000
  • t
    1.01406
  • p
    0.15554
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.71279
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.23761
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.71361
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.23677
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.27839
  • Upside Potential Ratio
    8.13640
  • Upside part of mean
    1.23981
  • Downside part of mean
    -0.89264
  • Upside SD
    0.42887
  • Downside SD
    0.15238
  • N nonnegative terms
    128.00000
  • N negative terms
    335.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    463.00000
  • Mean of predictor
    0.05558
  • Mean of criterion
    0.34718
  • SD of predictor
    0.12980
  • SD of criterion
    0.45513
  • Covariance
    -0.00298
  • r
    -0.05044
  • b (slope, estimate of beta)
    -0.17687
  • a (intercept, estimate of alpha)
    0.35701
  • Mean Square Error
    0.20706
  • DF error
    461.00000
  • t(b)
    -1.08440
  • p(b)
    0.86062
  • t(a)
    1.04260
  • p(a)
    0.14884
  • Lowerbound of 95% confidence interval for beta
    -0.49739
  • Upperbound of 95% confidence interval for beta
    0.14365
  • Lowerbound of 95% confidence interval for alpha
    -0.31589
  • Upperbound of 95% confidence interval for alpha
    1.02991
  • Treynor index (mean / b)
    -1.96292
  • Jensen alpha (a)
    0.35701
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04393
  • Expected Shortfall on VaR
    0.05505
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00962
  • Expected Shortfall on VaR
    0.02006
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    463.00000
  • Minimum
    0.93826
  • Quartile 1
    0.99886
  • Median
    1.00000
  • Quartile 3
    1.00047
  • Maximum
    1.60174
  • Mean of quarter 1
    0.98703
  • Mean of quarter 2
    0.99985
  • Mean of quarter 3
    1.00003
  • Mean of quarter 4
    1.02056
  • Inter Quartile Range
    0.00161
  • Number outliers low
    76.00000
  • Percentage of outliers low
    0.16415
  • Mean of outliers low
    0.98144
  • Number of outliers high
    70.00000
  • Percentage of outliers high
    0.15119
  • Mean of outliers high
    1.03312
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.85778
  • VaR(95%) (moments method)
    0.00865
  • Expected Shortfall (moments method)
    0.06924
  • Extreme Value Index (regression method)
    0.18170
  • VaR(95%) (regression method)
    0.01055
  • Expected Shortfall (regression method)
    0.01877
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    22.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00102
  • Median
    0.00385
  • Quartile 3
    0.03916
  • Maximum
    0.41946
  • Mean of quarter 1
    0.00040
  • Mean of quarter 2
    0.00300
  • Mean of quarter 3
    0.01044
  • Mean of quarter 4
    0.12683
  • Inter Quartile Range
    0.03814
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.13636
  • Mean of outliers high
    0.20672
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.79142
  • VaR(95%) (moments method)
    0.14925
  • Expected Shortfall (moments method)
    0.71647
  • Extreme Value Index (regression method)
    1.90012
  • VaR(95%) (regression method)
    0.12999
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.53209
  • Compounded annual return (geometric extrapolation)
    0.45512
  • Calmar ratio (compounded annual return / max draw down)
    1.08502
  • Compounded annual return / average of 25% largest draw downs
    3.58830
  • Compounded annual return / Expected Shortfall lognormal
    8.26787
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06525
  • SD
    0.03579
  • Sharpe ratio (Glass type estimate)
    -1.82303
  • Sharpe ratio (Hedges UMVUE)
    -1.81249
  • df
    130.00000
  • t
    -1.28908
  • p
    0.55617
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.60029
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.96101
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.59304
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.96806
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.05170
  • Upside Potential Ratio
    2.73157
  • Upside part of mean
    0.08687
  • Downside part of mean
    -0.15212
  • Upside SD
    0.01662
  • Downside SD
    0.03180
  • N nonnegative terms
    31.00000
  • N negative terms
    100.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.06395
  • Mean of criterion
    -0.06525
  • SD of predictor
    0.15821
  • SD of criterion
    0.03579
  • Covariance
    -0.00016
  • r
    -0.02799
  • b (slope, estimate of beta)
    -0.00633
  • a (intercept, estimate of alpha)
    -0.06565
  • Mean Square Error
    0.00129
  • DF error
    129.00000
  • t(b)
    -0.31800
  • p(b)
    0.51782
  • t(a)
    -1.29218
  • p(a)
    0.57181
  • Lowerbound of 95% confidence interval for beta
    -0.04572
  • Upperbound of 95% confidence interval for beta
    0.03306
  • Lowerbound of 95% confidence interval for alpha
    -0.16618
  • Upperbound of 95% confidence interval for alpha
    0.03487
  • Treynor index (mean / b)
    10.30570
  • Jensen alpha (a)
    -0.06565
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06589
  • SD
    0.03593
  • Sharpe ratio (Glass type estimate)
    -1.83361
  • Sharpe ratio (Hedges UMVUE)
    -1.82301
  • df
    130.00000
  • t
    -1.29656
  • p
    0.55649
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.61085
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.95054
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.60366
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.95764
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.05987
  • Upside Potential Ratio
    2.71121
  • Upside part of mean
    0.08672
  • Downside part of mean
    -0.15261
  • Upside SD
    0.01658
  • Downside SD
    0.03199
  • N nonnegative terms
    31.00000
  • N negative terms
    100.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.07646
  • Mean of criterion
    -0.06589
  • SD of predictor
    0.15908
  • SD of criterion
    0.03593
  • Covariance
    -0.00016
  • r
    -0.02770
  • b (slope, estimate of beta)
    -0.00626
  • a (intercept, estimate of alpha)
    -0.06637
  • Mean Square Error
    0.00130
  • DF error
    129.00000
  • t(b)
    -0.31478
  • p(b)
    0.51763
  • t(a)
    -1.30086
  • p(a)
    0.57229
  • Lowerbound of 95% confidence interval for beta
    -0.04559
  • Upperbound of 95% confidence interval for beta
    0.03308
  • Lowerbound of 95% confidence interval for alpha
    -0.16731
  • Upperbound of 95% confidence interval for alpha
    0.03457
  • Treynor index (mean / b)
    10.52870
  • Jensen alpha (a)
    -0.06637
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00390
  • Expected Shortfall on VaR
    0.00482
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00171
  • Expected Shortfall on VaR
    0.00370
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98418
  • Quartile 1
    0.99991
  • Median
    1.00000
  • Quartile 3
    1.00001
  • Maximum
    1.00685
  • Mean of quarter 1
    0.99803
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00142
  • Inter Quartile Range
    0.00011
  • Number outliers low
    25.00000
  • Percentage of outliers low
    0.19084
  • Mean of outliers low
    0.99745
  • Number of outliers high
    27.00000
  • Percentage of outliers high
    0.20611
  • Mean of outliers high
    1.00171
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.62901
  • VaR(95%) (moments method)
    0.00190
  • Expected Shortfall (moments method)
    0.00644
  • Extreme Value Index (regression method)
    0.42731
  • VaR(95%) (regression method)
    0.00220
  • Expected Shortfall (regression method)
    0.00553
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00012
  • Quartile 1
    0.00069
  • Median
    0.00332
  • Quartile 3
    0.00348
  • Maximum
    0.04486
  • Mean of quarter 1
    0.00037
  • Mean of quarter 2
    0.00215
  • Mean of quarter 3
    0.00345
  • Mean of quarter 4
    0.02426
  • Inter Quartile Range
    0.00279
  • 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
    0.11111
  • Mean of outliers high
    0.04486
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.26254
  • VaR(95%) (moments method)
    0.02351
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    6.88556
  • VaR(95%) (regression method)
    0.71106
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.03762
  • Compounded annual return (geometric extrapolation)
    -0.03727
  • Calmar ratio (compounded annual return / max draw down)
    -0.83074
  • Compounded annual return / average of 25% largest draw downs
    -1.53623
  • Compounded annual return / Expected Shortfall lognormal
    -7.73429

Strategy Description

Summary Statistics

Strategy began
2017-01-18
Suggested Minimum Capital
$90,000
# Trades
56
# Profitable
54
% Profitable
96.4%
Net Dividends
Correlation S&P500
-0.013
Sharpe Ratio
0.856

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

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