Collective2 Collective2
Featured Strategy MT3 Algotrading +78.7% Annual Return (Compounded) since Mar 31, 2023 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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TBS Absolute Return
(76994029)

Created by: TTJ TTJ
Started: 10/2012
Options
Last trade: 3,256 days ago
Subscriptions not currently available.

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 $49.00 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.

20.7%
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.

(29.7%)
Max Drawdown
104
Num Trades
61.5%
Win Trades
6.5 : 1
Profit Factor
67.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2012                                                               (0.7%)+12.0%+10.0%+22.4%
2013+10.5%+6.4%+9.4%(13.8%)+5.0%+7.4%+12.1%+2.0%+5.6%+9.9%(0.2%)+1.3%+67.9%
2014+2.8%+8.9%(2.5%)+1.4%(0.7%)+6.2%(10.4%)+0.6%(2.4%)(1.5%)(3%)+1.9%(0.1%)
2015(1.3%)+7.1%+2.8%+2.8%+3.3%(1.2%)+2.3%(9.4%)+4.7%(4.1%)(5.2%)+5.2%+5.9%
2016(7.5%)+4.6%+6.6%+0.7%(0.9%)+3.7%+6.6%+0.2%(0.8%)(2.2%)+5.8%+4.8%+22.6%
2017+1.9%+5.7%(0.4%)+2.3%+2.0%(0.1%)+3.3%+0.3%+2.7%+3.0%+2.4%+3.4%+29.8%
2018+8.6%(3.3%)(4.8%)+0.9%+3.8%(0.6%)+4.2%+5.7%+0.4%(11.4%)+6.1%(19.3%)(12.8%)
2019+20.7%+5.1%+1.8%+6.0%(2.6%)+1.2%+3.7%(2.3%)+2.4%+3.9%+3.2%+3.4%+55.2%
2020+0.2%(9%)(18.1%)+19.9%+5.2%+1.2%+8.1%+3.7%(2.8%)+6.7%+6.0%+2.7%+20.6%
2021(0.2%)+3.2%+4.9%+6.3%+0.7%+2.8%+2.2%+3.6%(4.3%)+7.1%(1.1%)+5.5%+34.6%
2022(8.9%)(0.1%)+4.6%(9.3%)(0.2%)(9.2%)+9.6%(2.5%)(10.6%)+7.2%+4.6%(5.5%)(20.7%)
2023+5.6%(0.9%)+1.4%+4.4%+1.1%+6.0%+2.7%(3%)(3.4%)(0.5%)+9.0%+2.7%+27.2%
2024+4.1%+4.6%+3.0%(2.5%)+4.3%+3.4%+0.9%+2.1%+2.5%+1.2%(1.2%)      +24.5%

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 43 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3278 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/1/15 10:37 SPY1524L205 SPY Dec24'15 205 call SHORT 8 5.75 12/24 11:59 0.00 1.57%
Trade id #98584636
Max drawdown($701)
Time12/2/15 10:00
Quant open-8
Worst price6.63
Drawdown as % of equity-1.57%
 $4,597
Includes Typical Broker Commissions trade costs of $5.60
12/1/15 10:37 SPY1524L215 SPY Dec24'15 215 call LONG 8 0.35 12/24 11:59 0.00 0.59%
Trade id #98584634
Max drawdown($279)
Time12/24/15 11:59
Quant open0
Worst price0.00
Drawdown as % of equity-0.59%
 ($285)
Includes Typical Broker Commissions trade costs of $5.60
11/30/15 10:23 SPY1511L204 SPY Dec11'15 204 call SHORT 6 5.95 12/1 10:38 6.33 1%
Trade id #98565625
Max drawdown($454)
Time12/1/15 9:51
Quant open-6
Worst price6.71
Drawdown as % of equity-1.00%
 ($235)
Includes Typical Broker Commissions trade costs of $8.70
11/30/15 10:23 SPY1511L213 SPY Dec11'15 213 call LONG 6 0.40 12/1 10:38 0.49 0.07%
Trade id #98565618
Max drawdown($32)
Time11/30/15 15:57
Quant open6
Worst price0.35
Drawdown as % of equity-0.07%
 $43
Includes Typical Broker Commissions trade costs of $8.70
11/27/15 12:45 SPY1511L209 SPY Dec11'15 209 call SHORT 3 2.45 11/30 10:19 2.10 0.03%
Trade id #98552669
Max drawdown($12)
Time11/30/15 9:34
Quant open-3
Worst price2.49
Drawdown as % of equity-0.03%
 $101
Includes Typical Broker Commissions trade costs of $4.20
11/27/15 12:45 SPY1511X210 SPY Dec11'15 210 put SHORT 3 2.22 11/30 10:19 2.45 0.15%
Trade id #98552671
Max drawdown($69)
Time11/30/15 10:04
Quant open-3
Worst price2.45
Drawdown as % of equity-0.15%
 ($73)
Includes Typical Broker Commissions trade costs of $4.20
11/20/15 14:04 SPY1527K212 SPY Nov27'15 212 call LONG 84 0.18 11/30 9:30 0.01 3.16%
Trade id #98473055
Max drawdown($1,428)
Time11/25/15 13:30
Quant open84
Worst price0.01
Drawdown as % of equity-3.16%
 ($1,546)
Includes Typical Broker Commissions trade costs of $117.60
11/20/15 14:04 SPY1527K205 SPY Nov27'15 205 call SHORT 5 4.61 11/27 12:46 4.60 0.71%
Trade id #98473053
Max drawdown($330)
Time11/20/15 16:03
Quant open-5
Worst price5.27
Drawdown as % of equity-0.71%
 ($2)
Includes Typical Broker Commissions trade costs of $7.00
11/13/15 15:02 SPY1520W198 SPY Nov20'15 198 put LONG 1 0.87 11/23 9:31 0.01 0.19%
Trade id #98373219
Max drawdown($86)
Time11/18/15 15:57
Quant open1
Worst price0.01
Drawdown as % of equity-0.19%
 ($88)
Includes Typical Broker Commissions trade costs of $2.00
11/13/15 15:01 SPY1520K208 SPY Nov20'15 208 call LONG 4 0.26 11/20 15:11 1.10 0.11%
Trade id #98373192
Max drawdown($53)
Time11/16/15 9:31
Quant open4
Worst price0.13
Drawdown as % of equity-0.11%
 $329
Includes Typical Broker Commissions trade costs of $5.60
11/13/15 15:01 SPY1520K200 SPY Nov20'15 200 call SHORT 4 4.02 11/20 15:11 9.10 5.2%
Trade id #98373194
Max drawdown($2,407)
Time11/20/15 10:21
Quant open-4
Worst price10.04
Drawdown as % of equity-5.20%
 ($2,037)
Includes Typical Broker Commissions trade costs of $5.60
11/9/15 9:31 SPY1513K213 SPY Nov13'15 213 call LONG 7 0.10 11/16 9:32 0.01 0.13%
Trade id #98245240
Max drawdown($63)
Time11/11/15 12:01
Quant open7
Worst price0.01
Drawdown as % of equity-0.13%
 ($73)
Includes Typical Broker Commissions trade costs of $9.80
11/9/15 9:31 SPY1513K215 SPY Nov13'15 215 call LONG 6 0.02 11/16 9:32 0.01 0.01%
Trade id #98245238
Max drawdown($6)
Time11/9/15 11:16
Quant open6
Worst price0.01
Drawdown as % of equity-0.01%
 ($14)
Includes Typical Broker Commissions trade costs of $8.40
11/9/15 9:33 SPY1513K209 SPY Nov13'15 209 call SHORT 2 1.37 11/16 9:30 0.01 0.07%
Trade id #98245383
Max drawdown($32)
Time11/9/15 9:41
Quant open-2
Worst price1.53
Drawdown as % of equity-0.07%
 $269
Includes Typical Broker Commissions trade costs of $2.80
11/9/15 9:35 SPY1513K207 SPY Nov13'15 207 call SHORT 2 2.70 11/16 9:30 0.01 0.12%
Trade id #98245475
Max drawdown($56)
Time11/9/15 9:41
Quant open-2
Worst price2.98
Drawdown as % of equity-0.12%
 $535
Includes Typical Broker Commissions trade costs of $2.80
11/9/15 9:33 SPY1513W207 SPY Nov13'15 207 put LONG 1 0.60 11/13 15:02 4.15 0.07%
Trade id #98245385
Max drawdown($34)
Time11/11/15 12:36
Quant open1
Worst price0.26
Drawdown as % of equity-0.07%
 $353
Includes Typical Broker Commissions trade costs of $2.00
11/6/15 11:53 SPY1520K207 SPY Nov20'15 207 call SHORT 3 3.76 11/9 9:35 3.46 0.2%
Trade id #98226494
Max drawdown($93)
Time11/6/15 14:08
Quant open-3
Worst price4.07
Drawdown as % of equity-0.20%
 $86
Includes Typical Broker Commissions trade costs of $4.20
11/6/15 11:55 SPY1520K215 SPY Nov20'15 215 call LONG 9 0.20 11/9 9:31 0.12 0.15%
Trade id #98226526
Max drawdown($72)
Time11/9/15 9:31
Quant open9
Worst price0.12
Drawdown as % of equity-0.15%
 ($85)
Includes Typical Broker Commissions trade costs of $12.60
10/30/15 15:13 SPY1506K213 SPY Nov6'15 213 call LONG 13 0.10 11/7 9:00 0.00 0.28%
Trade id #98117694
Max drawdown($130)
Time11/7/15 9:00
Quant open0
Worst price0.00
Drawdown as % of equity-0.28%
 ($139)
Includes Typical Broker Commissions trade costs of $9.10
10/30/15 15:12 SPY1506K206 SPY Nov6'15 206 call SHORT 3 3.12 11/6 14:26 3.50 1.64%
Trade id #98117684
Max drawdown($774)
Time11/3/15 14:34
Quant open-3
Worst price5.70
Drawdown as % of equity-1.64%
 ($118)
Includes Typical Broker Commissions trade costs of $4.20
10/30/15 15:14 SPY1506W209 SPY Nov6'15 209 put LONG 1 1.75 11/6 11:56 0.36 0.33%
Trade id #98117740
Max drawdown($156)
Time11/6/15 9:37
Quant open1
Worst price0.19
Drawdown as % of equity-0.33%
 ($141)
Includes Typical Broker Commissions trade costs of $2.00
10/23/15 15:41 SPY1530V200 SPY Oct30'15 200 put LONG 2 0.15 10/31 9:00 0.00 0.06%
Trade id #97985851
Max drawdown($30)
Time10/31/15 9:00
Quant open0
Worst price0.00
Drawdown as % of equity-0.06%
 ($31)
Includes Typical Broker Commissions trade costs of $1.40
10/23/15 15:38 SPY1530J211 SPY Oct30'15 211 call LONG 14 0.10 10/31 9:00 0.00 0.29%
Trade id #97985728
Max drawdown($137)
Time10/31/15 9:00
Quant open0
Worst price0.00
Drawdown as % of equity-0.29%
 ($147)
Includes Typical Broker Commissions trade costs of $9.80
10/23/15 15:40 SPY1530J206 SPY Oct30'15 206 call SHORT 10 2.28 10/30 15:11 2.54 2.34%
Trade id #97985809
Max drawdown($1,090)
Time10/30/15 13:52
Quant open-10
Worst price3.37
Drawdown as % of equity-2.34%
 ($274)
Includes Typical Broker Commissions trade costs of $14.00
10/16/15 13:19 SPY1523J200 SPY Oct23'15 200 call SHORT 7 3.11 10/23 15:43 7.50 7.15%
Trade id #97848388
Max drawdown($3,381)
Time10/23/15 14:51
Quant open-7
Worst price7.94
Drawdown as % of equity-7.15%
 ($3,083)
Includes Typical Broker Commissions trade costs of $9.80
10/16/15 13:47 SPY1523J206 SPY Oct23'15 206 call LONG 10 0.12 10/23 15:42 1.50 0.21%
Trade id #97849208
Max drawdown($100)
Time10/21/15 14:27
Quant open10
Worst price0.02
Drawdown as % of equity-0.21%
 $1,366
Includes Typical Broker Commissions trade costs of $14.00
10/12/15 12:55 SPY1516J198 SPY Oct16'15 198 call SHORT 5 3.70 10/16 14:43 4.83 1.28%
Trade id #97744354
Max drawdown($620)
Time10/16/15 9:32
Quant open-5
Worst price4.94
Drawdown as % of equity-1.28%
 ($572)
Includes Typical Broker Commissions trade costs of $7.00
10/12/15 13:05 SPY1516J203 SPY Oct16'15 203 call LONG 7 0.44 10/16 14:07 0.05 0.57%
Trade id #97744616
Max drawdown($280)
Time10/14/15 15:51
Quant open7
Worst price0.04
Drawdown as % of equity-0.57%
 ($283)
Includes Typical Broker Commissions trade costs of $9.80
10/2/15 13:36 SPY1509V194 SPY Oct9'15 194 put SHORT 2 2.74 10/10 9:02 0.00 0.08%
Trade id #97582567
Max drawdown($38)
Time10/2/15 13:42
Quant open-2
Worst price2.93
Drawdown as % of equity-0.08%
 $547
Includes Typical Broker Commissions trade costs of $1.40
10/2/15 13:41 SPY1509V188 SPY Oct9'15 188 put LONG 4 0.82 10/10 9:02 0.00 0.67%
Trade id #97582803
Max drawdown($328)
Time10/10/15 9:02
Quant open0
Worst price0.00
Drawdown as % of equity-0.67%
 ($331)
Includes Typical Broker Commissions trade costs of $2.80
Next

Statistics

  • Strategy began
    10/7/2012
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    4422.79
  • Age
    148 months ago
  • What it trades
    Options
  • # Trades
    104
  • # Profitable
    64
  • % Profitable
    61.50%
  • Avg trade duration
    79.3 days
  • Max peak-to-valley drawdown
    29.66%
  • drawdown period
    Feb 15, 2020 - March 29, 2020
  • Annual Return (Compounded)
    20.7%
  • Avg win
    $2,977
  • Avg loss
    $817.38
  • Model Account Values (Raw)
  • Cash
    $30,968
  • Margin Used
    $0
  • Buying Power
    $164,956
  • Ratios
  • W:L ratio
    6.52:1
  • Sharpe Ratio
    0.8
  • Sortino Ratio
    1.2
  • Calmar Ratio
    2.242
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    580.58%
  • Correlation to SP500
    0.71630
  • Return Percent SP500 (cumu) during strategy life
    307.19%
  • Return Statistics
  • Ann Return (w trading costs)
    20.7%
  • Slump
  • Current Slump as Pcnt Equity
    1.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.207%
  • Instruments
  • Percent Trades Options
    0.80%
  • Percent Trades Stocks
    0.20%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    20.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% 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
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $817
  • Avg Win
    $2,977
  • Sum Trade PL (losers)
    $32,695.000
  • Age
  • Num Months filled monthly returns table
    146
  • Win / Loss
  • Sum Trade PL (winners)
    $190,555.000
  • # Winners
    64
  • Num Months Winners
    99
  • Dividends
  • Dividends Received in Model Acct
    22607
  • Win / Loss
  • # Losers
    40
  • % Winners
    61.5%
  • Frequency
  • Avg Position Time (mins)
    114179.00
  • Avg Position Time (hrs)
    1902.98
  • Avg Trade Length
    79.3 days
  • Last Trade Ago
    3196
  • Regression
  • Alpha
    0.02
  • Beta
    0.92
  • Treynor Index
    0.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    54.84
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    16.91
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.20
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    0.465
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.165
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.273
  • Hold-and-Hope Ratio
    2.420
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43294
  • SD
    0.23384
  • Sharpe ratio (Glass type estimate)
    1.85146
  • Sharpe ratio (Hedges UMVUE)
    1.82699
  • df
    57.00000
  • t
    4.07041
  • p
    0.00007
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.89053
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.79819
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.87449
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.77950
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.87589
  • Upside Potential Ratio
    5.22837
  • Upside part of mean
    0.58402
  • Downside part of mean
    -0.15107
  • Upside SD
    0.23850
  • Downside SD
    0.11170
  • N nonnegative terms
    45.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    58.00000
  • Mean of predictor
    0.23394
  • Mean of criterion
    0.43294
  • SD of predictor
    0.17783
  • SD of criterion
    0.23384
  • Covariance
    0.03418
  • r
    0.82202
  • b (slope, estimate of beta)
    1.08093
  • a (intercept, estimate of alpha)
    0.18006
  • Mean Square Error
    0.01805
  • DF error
    56.00000
  • t(b)
    10.80210
  • p(b)
    0.00000
  • t(a)
    2.75162
  • p(a)
    0.00399
  • Lowerbound of 95% confidence interval for beta
    0.88048
  • Upperbound of 95% confidence interval for beta
    1.28139
  • Lowerbound of 95% confidence interval for alpha
    0.04897
  • Upperbound of 95% confidence interval for alpha
    0.31115
  • Treynor index (mean / b)
    0.40053
  • Jensen alpha (a)
    0.18006
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39901
  • SD
    0.22809
  • Sharpe ratio (Glass type estimate)
    1.74940
  • Sharpe ratio (Hedges UMVUE)
    1.72628
  • df
    57.00000
  • t
    3.84603
  • p
    0.00015
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.79525
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.68994
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.78013
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.67243
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.40922
  • Upside Potential Ratio
    4.75366
  • Upside part of mean
    0.55637
  • Downside part of mean
    -0.15735
  • Upside SD
    0.22516
  • Downside SD
    0.11704
  • N nonnegative terms
    45.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    58.00000
  • Mean of predictor
    0.21629
  • Mean of criterion
    0.39901
  • SD of predictor
    0.17407
  • SD of criterion
    0.22809
  • Covariance
    0.03243
  • r
    0.81672
  • b (slope, estimate of beta)
    1.07014
  • a (intercept, estimate of alpha)
    0.16756
  • Mean Square Error
    0.01763
  • DF error
    56.00000
  • t(b)
    10.59160
  • p(b)
    0.00000
  • t(a)
    2.60872
  • p(a)
    0.00582
  • Lowerbound of 95% confidence interval for beta
    0.86774
  • Upperbound of 95% confidence interval for beta
    1.27255
  • Lowerbound of 95% confidence interval for alpha
    0.03889
  • Upperbound of 95% confidence interval for alpha
    0.29623
  • Treynor index (mean / b)
    0.37286
  • Jensen alpha (a)
    0.16756
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07230
  • Expected Shortfall on VaR
    0.09721
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01540
  • Expected Shortfall on VaR
    0.03869
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    58.00000
  • Minimum
    0.88044
  • Quartile 1
    1.00277
  • Median
    1.04046
  • Quartile 3
    1.08258
  • Maximum
    1.18237
  • Mean of quarter 1
    0.95367
  • Mean of quarter 2
    1.01900
  • Mean of quarter 3
    1.06268
  • Mean of quarter 4
    1.11860
  • Inter Quartile Range
    0.07981
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01724
  • Mean of outliers low
    0.88044
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.11685
  • VaR(95%) (regression method)
    0.03781
  • Expected Shortfall (regression method)
    0.05886
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.02405
  • Quartile 1
    0.03882
  • Median
    0.10965
  • Quartile 3
    0.15351
  • Maximum
    0.17572
  • Mean of quarter 1
    0.02621
  • Mean of quarter 2
    0.07021
  • Mean of quarter 3
    0.14910
  • Mean of quarter 4
    0.16535
  • Inter Quartile Range
    0.11468
  • 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)
    1.42202
  • Compounded annual return (geometric extrapolation)
    0.53253
  • Calmar ratio (compounded annual return / max draw down)
    3.03049
  • Compounded annual return / average of 25% largest draw downs
    3.22065
  • Compounded annual return / Expected Shortfall lognormal
    5.47802
  • 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
    0.47811
  • SD
    0.29533
  • Sharpe ratio (Glass type estimate)
    1.61889
  • Sharpe ratio (Hedges UMVUE)
    1.61795
  • df
    1286.00000
  • t
    3.58803
  • p
    0.45022
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.73206
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.50513
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.73142
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.50447
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.53648
  • Upside Potential Ratio
    9.01442
  • Upside part of mean
    1.69917
  • Downside part of mean
    -1.22105
  • Upside SD
    0.22912
  • Downside SD
    0.18849
  • N nonnegative terms
    722.00000
  • N negative terms
    565.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1287.00000
  • Mean of predictor
    0.27746
  • Mean of criterion
    0.47811
  • SD of predictor
    0.23216
  • SD of criterion
    0.29533
  • Covariance
    0.04998
  • r
    0.72897
  • b (slope, estimate of beta)
    0.92735
  • a (intercept, estimate of alpha)
    0.22100
  • Mean Square Error
    0.04090
  • DF error
    1285.00000
  • t(b)
    38.17370
  • p(b)
    0.08116
  • t(a)
    2.41323
  • p(a)
    0.45727
  • Lowerbound of 95% confidence interval for beta
    0.87970
  • Upperbound of 95% confidence interval for beta
    0.97501
  • Lowerbound of 95% confidence interval for alpha
    0.04131
  • Upperbound of 95% confidence interval for alpha
    0.40032
  • Treynor index (mean / b)
    0.51557
  • Jensen alpha (a)
    0.22081
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43441
  • SD
    0.29387
  • Sharpe ratio (Glass type estimate)
    1.47824
  • Sharpe ratio (Hedges UMVUE)
    1.47738
  • df
    1286.00000
  • t
    3.27629
  • p
    0.45451
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.59180
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.36413
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.59122
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.36354
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.24248
  • Upside Potential Ratio
    8.64011
  • Upside part of mean
    1.67376
  • Downside part of mean
    -1.23934
  • Upside SD
    0.22246
  • Downside SD
    0.19372
  • N nonnegative terms
    722.00000
  • N negative terms
    565.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1287.00000
  • Mean of predictor
    0.25039
  • Mean of criterion
    0.43441
  • SD of predictor
    0.23207
  • SD of criterion
    0.29387
  • Covariance
    0.04972
  • r
    0.72905
  • b (slope, estimate of beta)
    0.92320
  • a (intercept, estimate of alpha)
    0.20325
  • Mean Square Error
    0.04049
  • DF error
    1285.00000
  • t(b)
    38.18220
  • p(b)
    0.08112
  • t(a)
    2.23370
  • p(a)
    0.46043
  • Lowerbound of 95% confidence interval for beta
    0.87577
  • Upperbound of 95% confidence interval for beta
    0.97064
  • Lowerbound of 95% confidence interval for alpha
    0.02474
  • Upperbound of 95% confidence interval for alpha
    0.38176
  • Treynor index (mean / b)
    0.47055
  • Jensen alpha (a)
    0.20325
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02781
  • Expected Shortfall on VaR
    0.03514
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00966
  • Expected Shortfall on VaR
    0.02089
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1287.00000
  • Minimum
    0.87385
  • Quartile 1
    0.99519
  • Median
    1.00105
  • Quartile 3
    1.00845
  • Maximum
    1.17115
  • Mean of quarter 1
    0.98307
  • Mean of quarter 2
    0.99864
  • Mean of quarter 3
    1.00403
  • Mean of quarter 4
    1.02199
  • Inter Quartile Range
    0.01326
  • Number outliers low
    58.00000
  • Percentage of outliers low
    0.04507
  • Mean of outliers low
    0.95621
  • Number of outliers high
    67.00000
  • Percentage of outliers high
    0.05206
  • Mean of outliers high
    1.04701
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.44145
  • VaR(95%) (moments method)
    0.01595
  • Expected Shortfall (moments method)
    0.03326
  • Extreme Value Index (regression method)
    0.23631
  • VaR(95%) (regression method)
    0.01544
  • Expected Shortfall (regression method)
    0.02583
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    84.00000
  • Minimum
    0.00049
  • Quartile 1
    0.00664
  • Median
    0.01791
  • Quartile 3
    0.03712
  • Maximum
    0.26221
  • Mean of quarter 1
    0.00338
  • Mean of quarter 2
    0.01186
  • Mean of quarter 3
    0.02566
  • Mean of quarter 4
    0.10561
  • Inter Quartile Range
    0.03049
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.10714
  • Mean of outliers high
    0.17791
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.55687
  • VaR(95%) (moments method)
    0.11624
  • Expected Shortfall (moments method)
    0.28529
  • Extreme Value Index (regression method)
    0.06196
  • VaR(95%) (regression method)
    0.09777
  • Expected Shortfall (regression method)
    0.13957
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.76890
  • Compounded annual return (geometric extrapolation)
    0.58775
  • Calmar ratio (compounded annual return / max draw down)
    2.24155
  • Compounded annual return / average of 25% largest draw downs
    5.56535
  • Compounded annual return / Expected Shortfall lognormal
    16.72760
  • 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
    0.83859
  • SD
    0.44625
  • Sharpe ratio (Glass type estimate)
    1.87920
  • Sharpe ratio (Hedges UMVUE)
    1.86834
  • df
    130.00000
  • t
    1.32880
  • p
    0.44212
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.90551
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.65689
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.91275
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.64943
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.00360
  • Upside Potential Ratio
    10.62970
  • Upside part of mean
    2.96774
  • Downside part of mean
    -2.12915
  • Upside SD
    0.34979
  • Downside SD
    0.27919
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.68796
  • Mean of criterion
    0.83859
  • SD of predictor
    0.41173
  • SD of criterion
    0.44625
  • Covariance
    0.16916
  • r
    0.92069
  • b (slope, estimate of beta)
    0.99787
  • a (intercept, estimate of alpha)
    0.15210
  • Mean Square Error
    0.03057
  • DF error
    129.00000
  • t(b)
    26.79280
  • p(b)
    0.01324
  • t(a)
    0.61184
  • p(a)
    0.46577
  • Lowerbound of 95% confidence interval for beta
    0.92418
  • Upperbound of 95% confidence interval for beta
    1.07156
  • Lowerbound of 95% confidence interval for alpha
    -0.33974
  • Upperbound of 95% confidence interval for alpha
    0.64393
  • Treynor index (mean / b)
    0.84038
  • Jensen alpha (a)
    0.15210
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.73919
  • SD
    0.44422
  • Sharpe ratio (Glass type estimate)
    1.66402
  • Sharpe ratio (Hedges UMVUE)
    1.65440
  • df
    130.00000
  • t
    1.17664
  • p
    0.44867
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.11830
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.44005
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.12469
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.43349
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.57908
  • Upside Potential Ratio
    10.14780
  • Upside part of mean
    2.90847
  • Downside part of mean
    -2.16928
  • Upside SD
    0.34024
  • Downside SD
    0.28661
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.60334
  • Mean of criterion
    0.73919
  • SD of predictor
    0.41060
  • SD of criterion
    0.44422
  • Covariance
    0.16783
  • r
    0.92012
  • b (slope, estimate of beta)
    0.99544
  • a (intercept, estimate of alpha)
    0.13859
  • Mean Square Error
    0.03050
  • DF error
    129.00000
  • t(b)
    26.68390
  • p(b)
    0.01339
  • t(a)
    0.55882
  • p(a)
    0.46873
  • VAR (95 Confidence Intrvl)
    0.02800
  • Lowerbound of 95% confidence interval for beta
    0.92163
  • Upperbound of 95% confidence interval for beta
    1.06925
  • Lowerbound of 95% confidence interval for alpha
    -0.35211
  • Upperbound of 95% confidence interval for alpha
    0.62929
  • Treynor index (mean / b)
    0.74257
  • Jensen alpha (a)
    0.13859
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04144
  • Expected Shortfall on VaR
    0.05232
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01802
  • Expected Shortfall on VaR
    0.03616
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92699
  • Quartile 1
    0.99124
  • Median
    1.00092
  • Quartile 3
    1.01784
  • Maximum
    1.09513
  • Mean of quarter 1
    0.97196
  • Mean of quarter 2
    0.99607
  • Mean of quarter 3
    1.00831
  • Mean of quarter 4
    1.03704
  • Inter Quartile Range
    0.02660
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.93941
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.07261
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24566
  • VaR(95%) (moments method)
    0.02546
  • Expected Shortfall (moments method)
    0.04231
  • Extreme Value Index (regression method)
    0.15988
  • VaR(95%) (regression method)
    0.02633
  • Expected Shortfall (regression method)
    0.04106
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00474
  • Quartile 1
    0.00769
  • Median
    0.01142
  • Quartile 3
    0.03798
  • Maximum
    0.26221
  • Mean of quarter 1
    0.00539
  • Mean of quarter 2
    0.01003
  • Mean of quarter 3
    0.02819
  • Mean of quarter 4
    0.12390
  • Inter Quartile Range
    0.03029
  • 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
    0.09091
  • Mean of outliers high
    0.26221
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.36809
  • VaR(95%) (moments method)
    0.12348
  • Expected Shortfall (moments method)
    0.24556
  • Extreme Value Index (regression method)
    2.22627
  • VaR(95%) (regression method)
    0.31240
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -359084000
  • Max Equity Drawdown (num days)
    43
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.93497
  • Compounded annual return (geometric extrapolation)
    1.15350
  • Calmar ratio (compounded annual return / max draw down)
    4.39918
  • Compounded annual return / average of 25% largest draw downs
    9.31013
  • Compounded annual return / Expected Shortfall lognormal
    22.04810

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2012-10-07
Suggested Minimum Capital
$25,000
# Trades
104
# Profitable
64
% Profitable
61.5%
Net Dividends
$22,607
Correlation S&P500
0.716
Sharpe Ratio
0.80
Sortino Ratio
1.20
Beta
0.92
Alpha
0.02

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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