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Yogya

Created by:
NitinJuneja
NitinJuneja
Started:   05/2014
Stocks
Last trade:   953 days ago

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Try AutoTrade for free. We'll give you $100,000 in a Simulated Broker Account to AutoTrade Yogya.

Free AutoTrade
1.3%
Annual Return (Compounded)
13.9%
Max Drawdown
188
Num Trades
46.8%
Win Trades
1.2 : 1
Profit Factor
5.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2014                            +1.4%(0.7%)(3.5%)+6.8%  -    -    -    -  +3.8%
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -                                                        0.0

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.

Open positions are hidden from non-subscribers.

Long
Short
Both
Win
Loss
Both

Trading Record

Download CSV Show More detailsShow fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/4/14 11:00 VIPS VIPSHOP HOLDINGS LONG 530 20.74 8/18 10:03 22.10 0.46%
Trade id #88905589
Max drawdown($455)
Time8/6/14 9:40
Quant open53
Worst price198.77
Drawdown as % of equity-0.46%
$712
Includes Typical Commission and AutoTrade Fees trade costs of $10.60
8/6/14 9:30 X UNITED STATES STEEL LONG 316 34.54 8/18 10:02 36.95 0.06%
Trade id #88948269
Max drawdown($63)
Time8/8/14 9:31
Quant open316
Worst price34.34
Drawdown as % of equity-0.06%
$756
Includes Typical Commission and AutoTrade Fees trade costs of $6.32
8/4/14 11:01 VRS VERSO CORP LONG 3,571 3.01 8/18 10:02 3.00 0.13%
Trade id #88905682
Max drawdown($142)
Time8/15/14 16:00
Quant open3,571
Worst price2.97
Drawdown as % of equity-0.13%
($107)
Includes Typical Commission and AutoTrade Fees trade costs of $71.42
7/25/14 9:30 TRLA TRULIA LONG 221 53.46 8/18 10:02 59.76 0.21%
Trade id #88761106
Max drawdown($221)
Time7/25/14 9:32
Quant open205
Worst price51.65
Drawdown as % of equity-0.21%
$1,386
Includes Typical Commission and AutoTrade Fees trade costs of $6.93
8/6/14 9:30 PHX PANHANDLE OIL AND GAS LONG 340 32.24 8/18 10:02 30.08 0.7%
Trade id #88948320
Max drawdown($746)
Time8/15/14 10:46
Quant open170
Worst price60.10
Drawdown as % of equity-0.70%
($745)
Includes Typical Commission and AutoTrade Fees trade costs of $6.80
8/6/14 9:30 SKX SKECHERS USA LONG 618 17.63 8/18 10:02 19.00 0.03%
Trade id #88948371
Max drawdown($30)
Time8/6/14 9:33
Quant open204
Worst price53.27
Drawdown as % of equity-0.03%
$838
Includes Typical Commission and AutoTrade Fees trade costs of $12.36
8/4/14 11:00 STV CHINA DIGITAL TV HOLDING LONG 2,455 4.60 8/18 10:02 4.73 0.11%
Trade id #88905639
Max drawdown($110)
Time8/6/14 9:35
Quant open2,455
Worst price4.55
Drawdown as % of equity-0.11%
$270
Includes Typical Commission and AutoTrade Fees trade costs of $49.10
8/6/14 9:30 HSH HILLSHIRE BRANDS LONG 175 62.80 8/18 10:01 62.79 0.02%
Trade id #88948226
Max drawdown($17)
Time8/12/14 16:00
Quant open175
Worst price62.70
Drawdown as % of equity-0.02%
($6)
Includes Typical Commission and AutoTrade Fees trade costs of $3.50
8/4/14 11:00 REX REX AMERICAN RESOURCES LONG 128 87.70 8/18 10:01 95.88 0.16%
Trade id #88905632
Max drawdown($163)
Time8/7/14 12:40
Quant open117
Worst price86.30
Drawdown as % of equity-0.16%
$1,043
Includes Typical Commission and AutoTrade Fees trade costs of $3.45
8/4/14 11:00 PBYI PUMA BIOTECHNOLOGY LONG 48 231.53 8/18 10:01 255.00 0.22%
Trade id #88905665
Max drawdown($216)
Time8/6/14 14:54
Quant open48
Worst price227.01
Drawdown as % of equity-0.22%
$1,125
Includes Typical Commission and AutoTrade Fees trade costs of $2.00
8/4/14 11:00 EDN EMPRESA DISTRIBUIDORA LONG 737 14.98 8/18 10:01 12.22 2.07%
Trade id #88905672
Max drawdown($2,188)
Time8/14/14 11:38
Quant open737
Worst price12.01
Drawdown as % of equity-2.07%
($2,049)
Includes Typical Commission and AutoTrade Fees trade costs of $14.74
8/6/14 9:30 PIKE PIKE CORPORATION LONG 930 11.83 8/18 10:01 11.87 0%
Trade id #88948374
Max drawdown$0
Time8/6/14 11:11
Quant open930
Worst price11.83
Drawdown as % of equity0.00%
$18
Includes Typical Commission and AutoTrade Fees trade costs of $18.60
8/6/14 9:30 GFIG GFI GROUP LONG 2,418 4.50 8/18 10:00 4.54 0.07%
Trade id #88948362
Max drawdown($72)
Time8/15/14 11:53
Quant open2,418
Worst price4.47
Drawdown as % of equity-0.07%
$49
Includes Typical Commission and AutoTrade Fees trade costs of $48.36
8/4/14 11:00 EMES EMERGE ENERGY SERVICES LP LONG 103 106.33 8/18 10:00 118.77 0.02%
Trade id #88905623
Max drawdown($20)
Time8/4/14 11:02
Quant open103
Worst price106.13
Drawdown as % of equity-0.02%
$1,279
Includes Typical Commission and AutoTrade Fees trade costs of $2.06
8/4/14 11:00 BITA BITAUTO HOLDINGS LONG 194 59.60 8/18 9:59 80.38 0.31%
Trade id #88905605
Max drawdown($310)
Time8/5/14 9:34
Quant open194
Worst price58.00
Drawdown as % of equity-0.31%
$4,027
Includes Typical Commission and AutoTrade Fees trade costs of $3.88
7/30/14 9:31 BFR BBVA BANCO FRANCES LONG 887 13.34 8/4 11:01 12.89 1.5%
Trade id #88829862
Max drawdown($1,552)
Time7/31/14 9:33
Quant open887
Worst price11.59
Drawdown as % of equity-1.50%
($417)
Includes Typical Commission and AutoTrade Fees trade costs of $17.74
7/30/14 9:33 CCM CONCORD MEDICAL SERVICES LONG 1,351 8.32 8/4 11:01 8.08 0.56%
Trade id #88829918
Max drawdown($567)
Time8/4/14 10:10
Quant open1,351
Worst price7.90
Drawdown as % of equity-0.56%
($351)
Includes Typical Commission and AutoTrade Fees trade costs of $27.02
7/30/14 9:30 SEM SELECT MEDICAL HOLDINGS LONG 685 16.12 8/4 11:00 15.46 0.54%
Trade id #88829775
Max drawdown($527)
Time8/1/14 15:31
Quant open685
Worst price15.35
Drawdown as % of equity-0.54%
($466)
Includes Typical Commission and AutoTrade Fees trade costs of $13.70
7/30/14 9:30 SLCA US SILICA HOLDINGS LONG 182 61.17 8/4 11:00 57.46 1.12%
Trade id #88829744
Max drawdown($1,115)
Time8/1/14 13:07
Quant open182
Worst price55.04
Drawdown as % of equity-1.12%
($679)
Includes Typical Commission and AutoTrade Fees trade costs of $3.64
7/30/14 9:30 ACH ALUMINUM CORPORATION LONG 900 12.00 8/4 11:00 11.42 0.75%
Trade id #88829762
Max drawdown($746)
Time8/1/14 12:00
Quant open900
Worst price11.17
Drawdown as % of equity-0.75%
($540)
Includes Typical Commission and AutoTrade Fees trade costs of $18.00
7/30/14 9:30 BMA MACRO BANK LONG 277 43.05 8/4 11:00 41.82 1.33%
Trade id #88829805
Max drawdown($1,321)
Time8/1/14 11:52
Quant open277
Worst price38.28
Drawdown as % of equity-1.33%
($347)
Includes Typical Commission and AutoTrade Fees trade costs of $5.54
7/29/14 9:30 AER AERCAP HOLDINGS NV LONG 249 44.22 8/4 11:00 43.76 0.41%
Trade id #88806930
Max drawdown($405)
Time8/1/14 12:00
Quant open249
Worst price42.59
Drawdown as % of equity-0.41%
($120)
Includes Typical Commission and AutoTrade Fees trade costs of $4.98
7/28/14 10:15 WLK WESTLAKE CHEMICAL LONG 121 91.63 8/4 11:00 87.53 0.58%
Trade id #88787240
Max drawdown($574)
Time8/1/14 12:10
Quant open121
Worst price86.88
Drawdown as % of equity-0.58%
($498)
Includes Typical Commission and AutoTrade Fees trade costs of $2.42
7/29/14 9:30 PES PIONEER ENERGY SERVICES LONG 644 17.03 7/30 9:31 17.02 0.09%
Trade id #88806857
Max drawdown($90)
Time7/29/14 16:00
Quant open644
Worst price16.89
Drawdown as % of equity-0.09%
($19)
Includes Typical Commission and AutoTrade Fees trade costs of $12.88
7/29/14 9:30 WUBA 58.COM INC LONG 204 54.17 7/30 9:30 53.63 0.23%
Trade id #88806990
Max drawdown($238)
Time7/29/14 15:55
Quant open204
Worst price53.00
Drawdown as % of equity-0.23%
($114)
Includes Typical Commission and AutoTrade Fees trade costs of $4.08
7/25/14 9:30 NSH NUSTAR GP HOLDINGS LONG 288 41.73 7/30 9:30 43.53 0.04%
Trade id #88761246
Max drawdown($36)
Time7/25/14 9:35
Quant open266
Worst price41.33
Drawdown as % of equity-0.04%
$512
Includes Typical Commission and AutoTrade Fees trade costs of $7.31
7/29/14 9:30 PSXP PHILLIPS 66 PARTNERS LP LONG 166 66.59 7/30 9:30 64.70 0.39%
Trade id #88806835
Max drawdown($408)
Time7/29/14 14:25
Quant open166
Worst price64.13
Drawdown as % of equity-0.39%
($317)
Includes Typical Commission and AutoTrade Fees trade costs of $3.32
7/29/14 9:30 ENZ ENZO BIOCHEM LONG 2,321 4.76 7/30 9:30 4.91 n/a $302
Includes Typical Commission and AutoTrade Fees trade costs of $46.42
7/29/14 9:32 REX REX AMERICAN RESOURCES LONG 124 89.54 7/30 9:30 88.08 0.3%
Trade id #88807071
Max drawdown($313)
Time7/29/14 13:25
Quant open124
Worst price87.01
Drawdown as % of equity-0.30%
($183)
Includes Typical Commission and AutoTrade Fees trade costs of $2.48
7/28/14 10:15 DANG E-COMMERCE CHINA DANGDANG LONG 781 13.93 7/29 9:31 13.77 0.27%
Trade id #88787230
Max drawdown($273)
Time7/28/14 11:55
Quant open781
Worst price13.58
Drawdown as % of equity-0.27%
($141)
Includes Typical Commission and AutoTrade Fees trade costs of $15.62

Statistics

  • Strategy began
    5/27/2014
  • Starting Unit Size
    $60,000
  • Strategy Age (days)
    1034.78
  • Age
    35 months ago
  • What it trades
    Stocks
  • # Trades
    188
  • # Profitable
    88
  • % Profitable
    46.80%
  • Avg trade duration
    4.3 days
  • Max peak-to-valley drawdown
    13.95%
  • drawdown period
    July 02, 2014 - July 18, 2014
  • Annual Return (Compounded)
    1.3%
  • Avg win
    $556.82
  • Avg loss
    $419.43
  • Model Account Values (Raw)
  • Cash
    $107,161
  • Margin Used
    $0
  • Buying Power
    $107,161
  • Ratios
  • W:L ratio
    1.17:1
  • Sharpe Ratio
    0.488
  • Sortino Ratio
    0.772
  • Calmar Ratio
    0.594
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.06800
  • Return Statistics
  • Ann Return (w trading costs)
    1.3%
  • Ann Return (Compnd, No Fees)
    2.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    7
  • Win / Loss
  • Avg Loss
    $419
  • Avg Win
    $557
  • # Winners
    88
  • # Losers
    100
  • % Winners
    46.8%
  • Frequency
  • Avg Position Time (mins)
    6234.88
  • Avg Position Time (hrs)
    103.92
  • Avg Trade Length
    4.3 days
  • Last Trade Ago
    951
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05031
  • SD
    0.04292
  • Sharpe ratio (Glass type estimate)
    1.17218
  • Sharpe ratio (Hedges UMVUE)
    1.10300
  • df
    13.00000
  • t
    1.26609
  • p
    0.29300
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.71742
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.01975
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.76045
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.96644
  • Statistics related to Sortino ratio
  • Sortino ratio
    20.02990
  • Upside Potential Ratio
    23.09620
  • Upside part of mean
    0.05801
  • Downside part of mean
    -0.00770
  • Upside SD
    0.04376
  • Downside SD
    0.00251
  • N nonnegative terms
    3.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.15411
  • Mean of criterion
    0.05031
  • SD of predictor
    0.12623
  • SD of criterion
    0.04292
  • Covariance
    -0.00033
  • r
    -0.06029
  • b (slope, estimate of beta)
    -0.02050
  • a (intercept, estimate of alpha)
    0.05347
  • Mean Square Error
    0.00199
  • DF error
    12.00000
  • t(b)
    -0.20923
  • p(b)
    0.53014
  • t(a)
    1.21636
  • p(a)
    0.33435
  • Lowerbound of 95% confidence interval for beta
    -0.23396
  • Upperbound of 95% confidence interval for beta
    0.19296
  • Lowerbound of 95% confidence interval for alpha
    -0.04231
  • Upperbound of 95% confidence interval for alpha
    0.14924
  • Treynor index (mean / b)
    -2.45423
  • Jensen alpha (a)
    0.05347
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04933
  • SD
    0.04204
  • Sharpe ratio (Glass type estimate)
    1.17336
  • Sharpe ratio (Hedges UMVUE)
    1.10411
  • df
    13.00000
  • t
    1.26738
  • p
    0.29282
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.71634
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.02105
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.75943
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.96766
  • Statistics related to Sortino ratio
  • Sortino ratio
    19.64960
  • Upside Potential Ratio
    22.71590
  • Upside part of mean
    0.05703
  • Downside part of mean
    -0.00770
  • Upside SD
    0.04287
  • Downside SD
    0.00251
  • N nonnegative terms
    3.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.14580
  • Mean of criterion
    0.04933
  • SD of predictor
    0.12454
  • SD of criterion
    0.04204
  • Covariance
    -0.00028
  • r
    -0.05312
  • b (slope, estimate of beta)
    -0.01793
  • a (intercept, estimate of alpha)
    0.05195
  • Mean Square Error
    0.00191
  • DF error
    12.00000
  • t(b)
    -0.18428
  • p(b)
    0.52656
  • t(a)
    1.21165
  • p(a)
    0.33492
  • Lowerbound of 95% confidence interval for beta
    -0.22996
  • Upperbound of 95% confidence interval for beta
    0.19409
  • Lowerbound of 95% confidence interval for alpha
    -0.04146
  • Upperbound of 95% confidence interval for alpha
    0.14536
  • Treynor index (mean / b)
    -2.75095
  • Jensen alpha (a)
    0.05195
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01573
  • Expected Shortfall on VaR
    0.02070
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00110
  • Expected Shortfall on VaR
    0.00112
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.99999
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00011
  • Maximum
    1.04508
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01758
  • Inter Quartile Range
    0.00011
  • 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
    0.21429
  • Mean of outliers high
    1.02339
  • 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)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00001
  • Median
    0.00001
  • Quartile 3
    0.00001
  • Maximum
    0.00001
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.06138
  • Compounded annual return (geometric extrapolation)
    0.06107
  • Calmar ratio (compounded annual return / max draw down)
    6544.84000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    2.95098
  • 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
    0.05226
  • SD
    0.09794
  • Sharpe ratio (Glass type estimate)
    0.53354
  • Sharpe ratio (Hedges UMVUE)
    0.53257
  • df
    413.00000
  • t
    0.58531
  • p
    0.27933
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.25370
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.32024
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.25440
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.31953
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.85830
  • Upside Potential Ratio
    4.60439
  • Upside part of mean
    0.28033
  • Downside part of mean
    -0.22807
  • Upside SD
    0.07662
  • Downside SD
    0.06088
  • N nonnegative terms
    42.00000
  • N negative terms
    372.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    414.00000
  • Mean of predictor
    0.17781
  • Mean of criterion
    0.05226
  • SD of predictor
    0.19194
  • SD of criterion
    0.09794
  • Covariance
    0.00130
  • r
    0.06915
  • b (slope, estimate of beta)
    0.03529
  • a (intercept, estimate of alpha)
    0.04600
  • Mean Square Error
    0.00957
  • DF error
    412.00000
  • t(b)
    1.40703
  • p(b)
    0.08009
  • t(a)
    0.51499
  • p(a)
    0.30342
  • Lowerbound of 95% confidence interval for beta
    -0.01401
  • Upperbound of 95% confidence interval for beta
    0.08459
  • Lowerbound of 95% confidence interval for alpha
    -0.12953
  • Upperbound of 95% confidence interval for alpha
    0.22149
  • Treynor index (mean / b)
    1.48085
  • Jensen alpha (a)
    0.04598
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04752
  • SD
    0.09717
  • Sharpe ratio (Glass type estimate)
    0.48904
  • Sharpe ratio (Hedges UMVUE)
    0.48815
  • df
    413.00000
  • t
    0.53649
  • p
    0.29595
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.29813
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.27569
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.29876
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.27506
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.77187
  • Upside Potential Ratio
    4.50713
  • Upside part of mean
    0.27747
  • Downside part of mean
    -0.22995
  • Upside SD
    0.07507
  • Downside SD
    0.06156
  • N nonnegative terms
    42.00000
  • N negative terms
    372.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    414.00000
  • Mean of predictor
    0.15932
  • Mean of criterion
    0.04752
  • SD of predictor
    0.19256
  • SD of criterion
    0.09717
  • Covariance
    0.00130
  • r
    0.06971
  • b (slope, estimate of beta)
    0.03517
  • a (intercept, estimate of alpha)
    0.04191
  • Mean Square Error
    0.00942
  • DF error
    412.00000
  • t(b)
    1.41841
  • p(b)
    0.07841
  • t(a)
    0.47333
  • p(a)
    0.31811
  • Lowerbound of 95% confidence interval for beta
    -0.01357
  • Upperbound of 95% confidence interval for beta
    0.08392
  • Lowerbound of 95% confidence interval for alpha
    -0.13215
  • Upperbound of 95% confidence interval for alpha
    0.21598
  • Treynor index (mean / b)
    1.35091
  • Jensen alpha (a)
    0.04191
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00844
  • Expected Shortfall on VaR
    0.01061
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00216
  • Expected Shortfall on VaR
    0.00480
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    414.00000
  • Minimum
    0.96828
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.06354
  • Mean of quarter 1
    0.99746
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00326
  • Inter Quartile Range
    0.00000
  • Number outliers low
    31.00000
  • Percentage of outliers low
    0.07488
  • Mean of outliers low
    0.99149
  • Number of outliers high
    42.00000
  • Percentage of outliers high
    0.10145
  • Mean of outliers high
    1.00806
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.03690
  • VaR(95%) (moments method)
    0.00137
  • Expected Shortfall (moments method)
    0.00322
  • Extreme Value Index (regression method)
    0.26935
  • VaR(95%) (regression method)
    0.00194
  • Expected Shortfall (regression method)
    0.00737
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00073
  • Quartile 1
    0.00587
  • Median
    0.01413
  • Quartile 3
    0.05884
  • Maximum
    0.09953
  • Mean of quarter 1
    0.00330
  • Mean of quarter 2
    0.01413
  • Mean of quarter 3
    0.05884
  • Mean of quarter 4
    0.09953
  • Inter Quartile Range
    0.05297
  • 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)
    0.05950
  • Compounded annual return (geometric extrapolation)
    0.05915
  • Calmar ratio (compounded annual return / max draw down)
    0.59433
  • Compounded annual return / average of 25% largest draw downs
    0.59433
  • Compounded annual return / Expected Shortfall lognormal
    5.57535
  • 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
    -0.00997
  • SD
    0.00001
  • Sharpe ratio (Glass type estimate)
    -755.41100
  • Sharpe ratio (Hedges UMVUE)
    -752.09300
  • df
    171.00000
  • t
    -534.15600
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -831.85000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -672.33600
  • Statistics related to Sortino ratio
  • Sortino ratio
    -18.54170
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.00997
  • Upside SD
    0.00000
  • Downside SD
    0.00054
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.24715
  • Mean of criterion
    -0.00997
  • SD of predictor
    0.24297
  • SD of criterion
    0.00001
  • Covariance
    -0.00000
  • r
    -0.02166
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.00997
  • Mean Square Error
    0.00000
  • DF error
    170.00000
  • t(b)
    -0.28244
  • p(b)
    0.51083
  • t(a)
    -531.89800
  • p(a)
    0.99985
  • Lowerbound of 95% confidence interval for beta
    -0.00001
  • Upperbound of 95% confidence interval for beta
    0.00001
  • Lowerbound of 95% confidence interval for alpha
    -0.01001
  • Upperbound of 95% confidence interval for alpha
    -0.00993
  • Treynor index (mean / b)
    8475.01000
  • Jensen alpha (a)
    -0.00997
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00997
  • SD
    0.00001
  • Sharpe ratio (Glass type estimate)
    -755.39700
  • Sharpe ratio (Hedges UMVUE)
    -752.07900
  • df
    171.00000
  • t
    -534.14600
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -831.83400
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -672.32300
  • Statistics related to Sortino ratio
  • Sortino ratio
    -18.54170
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.00997
  • Upside SD
    0.00000
  • Downside SD
    0.00054
  • N nonnegative terms
    0.00000
  • N negative terms
    172.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    172.00000
  • Mean of predictor
    0.21753
  • Mean of criterion
    -0.00997
  • SD of predictor
    0.24422
  • SD of criterion
    0.00001
  • Covariance
    -0.00000
  • r
    -0.02199
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.00997
  • Mean Square Error
    0.00000
  • DF error
    170.00000
  • t(b)
    -0.28679
  • p(b)
    0.51099
  • t(a)
    -532.08000
  • p(a)
    0.99985
  • Lowerbound of 95% confidence interval for beta
    -0.00001
  • Upperbound of 95% confidence interval for beta
    0.00001
  • Lowerbound of 95% confidence interval for alpha
    -0.01001
  • Upperbound of 95% confidence interval for alpha
    -0.00993
  • Treynor index (mean / b)
    8389.37000
  • Jensen alpha (a)
    -0.00997
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00003
  • Expected Shortfall on VaR
    0.00003
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00003
  • Expected Shortfall on VaR
    0.00003
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    172.00000
  • Minimum
    0.99999
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00581
  • Mean of outliers low
    0.99999
  • 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)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00001
  • Median
    0.00001
  • Quartile 3
    0.00001
  • Maximum
    0.00001
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.00002
  • Compounded annual return (geometric extrapolation)
    -0.00002
  • Calmar ratio (compounded annual return / max draw down)
    -1.99999
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.61298

Strategy Description

'Yogya' is a adjective in hindi for 'capable', 'worthy'.

This is a active stock trading system that is adaptive and automated. Typically, 3-10 Buy/Sell signals are generated everyday after hours. These signals are long-only buy-sell market orders that should fill within seconds of market open.

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Statistics

Strategy began
2014-05-27
Minimum Capital Required
$60,000
# Trades
188
# Profitable
88
% Profitable
46.8%
Net Dividends
Correlation S&P500
0.068
Sharpe Ratio
0.488

Latest

#PERSONNAME#
subscribed on #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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