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TNA8
(100410414)

Created by: CHARLESYING CHARLESYING
Started: 02/2016
Stocks
Last trade: Today

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 $240.00 per month.

51.0%
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.

(27.8%)
Max Drawdown
1155
Num Trades
63.9%
Win Trades
1.0 : 1
Profit Factor
62.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016       +26.5%+28.7%+4.6%+9.5%(4.2%)+20.3%+5.6%+2.4%(18.6%)+45.6%+8.8%+199.4%
2017  -  +7.1%  -  (0.6%)(1.7%)+3.9%+0.1%+3.3%+0.3%(1.4%)+0.9%(0.1%)+12.0%
2018+1.2%(1%)+0.3%+2.2%(0.1%)+0.7%+1.3%(2%)(0.1%)+6.0%(1.4%)(21.7%)(16.2%)
2019+20.5%+3.8%                                                            +25.1%

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/21/19 15:30 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 1,600 32.31 2/21 15:59 31.63 n/a ($1,093)
Includes Typical Broker Commissions trade costs of $5.00
2/21/19 15:23 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 1,600 32.07 2/21 15:30 32.16 n/a $137
Includes Typical Broker Commissions trade costs of $7.50
2/21/19 9:51 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 7,100 31.94 2/21 15:20 32.00 n/a $371
Includes Typical Broker Commissions trade costs of $25.00
12/17/18 11:56 ASML ASML HOLDING LONG 20 164.07 2/21/19 14:58 180.64 n/a $331
Includes Typical Broker Commissions trade costs of $0.40
12/3/18 13:53 TOPS TOP SHIPS INC. COMMON STOCK LONG 2,400 1.02 2/21/19 14:54 0.89 n/a ($317)
Includes Typical Broker Commissions trade costs of $10.00
12/12/18 10:20 QRVO QORVO INC. COMMON STOCK LONG 290 61.97 2/21/19 14:53 64.19 n/a $637
Includes Typical Broker Commissions trade costs of $5.80
1/25/19 15:30 PTCT PTC THERAPEUTICS INC. COMMON LONG 100 29.70 2/21 14:51 30.69 n/a $98
Includes Typical Broker Commissions trade costs of $1.40
1/16/19 11:21 NTGN NEON THERAPEUTICS INC. COMMON STOCK LONG 800 4.87 2/21 14:50 4.92 n/a $23
Includes Typical Broker Commissions trade costs of $11.50
11/26/18 10:59 LITE LUMENTUM HOLDINGS INC LONG 210 45.30 2/21/19 14:42 46.91 n/a $334
Includes Typical Broker Commissions trade costs of $4.20
1/30/19 15:40 IRDM IRIDIUM COMMUNICATIONS LONG 100 19.14 2/21 14:39 20.98 n/a $182
Includes Typical Broker Commissions trade costs of $2.00
11/15/18 14:17 IMMU IMMUNOMEDICS LONG 600 15.41 2/21/19 14:39 15.85 n/a $251
Includes Typical Broker Commissions trade costs of $12.00
1/30/19 15:53 FTR FRONTIER COMMUNICATIONS LONG 300 1.96 2/21 14:37 2.17 n/a $58
Includes Typical Broker Commissions trade costs of $6.00
1/30/19 15:55 EROS EROS INTL PLC LONG 300 9.41 2/21 14:30 9.97 n/a $163
Includes Typical Broker Commissions trade costs of $6.00
11/15/18 14:34 CLDC CHINA LENDING CORPORATION ORDINARY SHARES LONG 5,600 1.10 2/20/19 15:54 1.08 0.02%
Trade id #120984737
Max drawdown($224)
Time12/6/18 9:41
Quant open2,400
Worst price0.92
Drawdown as % of equity-0.02%
($175)
Includes Typical Broker Commissions trade costs of $22.50
1/7/19 15:15 BLIN BRIDGELINE DIGITAL LONG 4,800 0.27 2/20 15:54 0.25 0.03%
Trade id #121829740
Max drawdown($255)
Time2/8/19 15:30
Quant open4,800
Worst price0.22
Drawdown as % of equity-0.03%
($153)
Includes Typical Broker Commissions trade costs of $17.50
1/16/19 11:04 BIOC BIOCEPT INC. COMMON STOCK LONG 800 2.27 2/20 15:54 1.93 0.05%
Trade id #122007957
Max drawdown($408)
Time1/23/19 12:40
Quant open600
Worst price1.71
Drawdown as % of equity-0.05%
($289)
Includes Typical Broker Commissions trade costs of $11.50
1/31/19 10:54 AWX AVALON HOLDINGS LONG 800 2.90 2/20 15:53 2.78 0.01%
Trade id #122292089
Max drawdown($94)
Time2/20/19 15:53
Quant open700
Worst price2.66
Drawdown as % of equity-0.01%
($100)
Includes Typical Broker Commissions trade costs of $6.00
11/12/18 9:30 AVEO AVEO PHARMACEUTICALS LONG 4,100 1.63 2/20/19 15:53 1.19 0.24%
Trade id #120880267
Max drawdown($2,096)
Time2/1/19 17:51
Quant open1,600
Worst price0.56
Drawdown as % of equity-0.24%
($1,810)
Includes Typical Broker Commissions trade costs of $30.50
1/2/19 11:33 CCCL CHINA CERAMICS CO. LONG 3,600 1.92 2/20 15:53 1.80 0.09%
Trade id #121746436
Max drawdown($725)
Time1/23/19 10:35
Quant open2,400
Worst price1.62
Drawdown as % of equity-0.09%
($473)
Includes Typical Broker Commissions trade costs of $21.00
1/30/19 12:06 AVCO AVALON GLOBOCARE CORP. COMMON STOCK LONG 600 5.49 2/20 15:52 3.97 0.1%
Trade id #122271575
Max drawdown($930)
Time2/20/19 9:39
Quant open600
Worst price3.94
Drawdown as % of equity-0.10%
($921)
Includes Typical Broker Commissions trade costs of $8.50
11/21/18 12:32 ARDX ARDELYX INC. COMMON STOCK LONG 2,400 2.26 2/20/19 15:52 2.15 0.13%
Trade id #121105117
Max drawdown($942)
Time12/24/18 12:54
Quant open800
Worst price1.60
Drawdown as % of equity-0.13%
($301)
Includes Typical Broker Commissions trade costs of $19.00
11/26/18 11:30 APOP CELLECT BIOTECHNOLOGY LTD. AMERICAN DEPOSITARY SHA LONG 500 3.34 2/20/19 15:52 1.42 0.11%
Trade id #121167774
Max drawdown($959)
Time2/20/19 15:52
Quant open400
Worst price1.09
Drawdown as % of equity-0.11%
($969)
Includes Typical Broker Commissions trade costs of $10.00
1/2/19 11:39 ANY SPHERE 3D CORP. COMMON SHARES LONG 3,500 2.97 2/20 15:52 2.90 0.06%
Trade id #121746533
Max drawdown($551)
Time1/28/19 12:52
Quant open800
Worst price2.50
Drawdown as % of equity-0.06%
($281)
Includes Typical Broker Commissions trade costs of $21.00
1/23/19 9:30 ALT ALTIMMUNE INC. COMMON STOCK LONG 2,400 3.33 2/20 15:51 3.20 0.05%
Trade id #122128865
Max drawdown($435)
Time1/28/19 9:33
Quant open800
Worst price2.85
Drawdown as % of equity-0.05%
($333)
Includes Typical Broker Commissions trade costs of $19.00
1/24/19 12:16 ADIL ADIAL PHARMACEUTICALS INC COMMON STOCK LONG 1,600 6.17 2/20 15:51 6.02 0.04%
Trade id #122161028
Max drawdown($357)
Time1/29/19 15:56
Quant open300
Worst price4.66
Drawdown as % of equity-0.04%
($250)
Includes Typical Broker Commissions trade costs of $14.00
11/15/18 14:41 AKAO ACHAOGEN INC. COMMON STOCK LONG 6,400 1.60 2/20/19 15:51 1.36 0.17%
Trade id #120985166
Max drawdown($1,503)
Time2/20/19 15:51
Quant open6,300
Worst price0.86
Drawdown as % of equity-0.17%
($1,529)
Includes Typical Broker Commissions trade costs of $25.50
1/16/19 10:47 ABUS ARBUTUS BIOPHARMA CORPORATION COMMON STOCK LONG 2,400 3.83 2/20 15:49 3.61 0.06%
Trade id #122006878
Max drawdown($523)
Time2/20/19 15:49
Quant open2,300
Worst price3.65
Drawdown as % of equity-0.06%
($540)
Includes Typical Broker Commissions trade costs of $16.50
1/25/19 14:56 ACST ACASTI PHARMA INC. CLASS A CO LONG 800 1.09 2/20 15:49 1.03 0.01%
Trade id #122191458
Max drawdown($79)
Time2/4/19 8:45
Quant open800
Worst price0.99
Drawdown as % of equity-0.01%
($55)
Includes Typical Broker Commissions trade costs of $6.00
1/2/19 11:50 ABIL ABILITY INC ORDINARY SHARES LONG 1,600 2.09 2/20 15:48 2.09 0.02%
Trade id #121747153
Max drawdown($152)
Time1/11/19 9:07
Quant open800
Worst price1.80
Drawdown as % of equity-0.02%
($6)
Includes Typical Broker Commissions trade costs of $16.50
1/30/19 12:04 AST ASTERIAS BIOTHERAPEUTICS INC LONG 1,600 0.97 2/20 15:48 0.93 0.03%
Trade id #122271535
Max drawdown($272)
Time2/8/19 10:59
Quant open1,600
Worst price0.80
Drawdown as % of equity-0.03%
($72)
Includes Typical Broker Commissions trade costs of $7.50

Statistics

  • Strategy began
    2/8/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1109.18
  • Age
    37 months ago
  • What it trades
    Stocks
  • # Trades
    1155
  • # Profitable
    738
  • % Profitable
    63.90%
  • Avg trade duration
    37.7 days
  • Max peak-to-valley drawdown
    27.82%
  • drawdown period
    Oct 18, 2018 - Dec 24, 2018
  • Annual Return (Compounded)
    51.0%
  • Avg win
    $649.56
  • Avg loss
    $1,318
  • Model Account Values (Raw)
  • Cash
    $287,136
  • Margin Used
    $0
  • Buying Power
    $988,501
  • Ratios
  • W:L ratio
    0.99:1
  • Sharpe Ratio
    1.655
  • Sortino Ratio
    2.698
  • Calmar Ratio
    1.977
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.35400
  • Return Statistics
  • Ann Return (w trading costs)
    51.0%
  • Ann Return (Compnd, No Fees)
    52.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    36.00%
  • Chance of 20% account loss
    14.50%
  • Chance of 30% account loss
    2.00%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    852
  • C2 Score
    89.1
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    8
  • Win / Loss
  • Avg Loss
    $1,360
  • Avg Win
    $1,615
  • # Winners
    739
  • # Losers
    416
  • % Winners
    64.0%
  • Frequency
  • Avg Position Time (mins)
    54255.90
  • Avg Position Time (hrs)
    904.27
  • Avg Trade Length
    37.7 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.44594
  • SD
    0.35136
  • Sharpe ratio (Glass type estimate)
    1.26918
  • Sharpe ratio (Hedges UMVUE)
    1.24094
  • df
    34.00000
  • t
    2.16754
  • p
    0.01864
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.07417
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.44681
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05601
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.42588
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.30889
  • Upside Potential Ratio
    4.40727
  • Upside part of mean
    0.59397
  • Downside part of mean
    -0.14803
  • Upside SD
    0.34400
  • Downside SD
    0.13477
  • N nonnegative terms
    19.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    35.00000
  • Mean of predictor
    0.10105
  • Mean of criterion
    0.44594
  • SD of predictor
    0.11615
  • SD of criterion
    0.35136
  • Covariance
    0.02322
  • r
    0.56909
  • b (slope, estimate of beta)
    1.72151
  • a (intercept, estimate of alpha)
    0.27198
  • Mean Square Error
    0.08600
  • DF error
    33.00000
  • t(b)
    3.97575
  • p(b)
    0.00018
  • t(a)
    1.53487
  • p(a)
    0.06717
  • Lowerbound of 95% confidence interval for beta
    0.84056
  • Upperbound of 95% confidence interval for beta
    2.60246
  • Lowerbound of 95% confidence interval for alpha
    -0.08854
  • Upperbound of 95% confidence interval for alpha
    0.63250
  • Treynor index (mean / b)
    0.25904
  • Jensen alpha (a)
    0.27198
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38459
  • SD
    0.32421
  • Sharpe ratio (Glass type estimate)
    1.18621
  • Sharpe ratio (Hedges UMVUE)
    1.15982
  • df
    34.00000
  • t
    2.02585
  • p
    0.02534
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.00351
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.35952
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.02046
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.34010
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.56152
  • Upside Potential Ratio
    3.61488
  • Upside part of mean
    0.54274
  • Downside part of mean
    -0.15815
  • Upside SD
    0.30314
  • Downside SD
    0.15014
  • N nonnegative terms
    19.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    35.00000
  • Mean of predictor
    0.09387
  • Mean of criterion
    0.38459
  • SD of predictor
    0.11635
  • SD of criterion
    0.32421
  • Covariance
    0.02194
  • r
    0.58173
  • b (slope, estimate of beta)
    1.62103
  • a (intercept, estimate of alpha)
    0.23242
  • Mean Square Error
    0.07165
  • DF error
    33.00000
  • t(b)
    4.10851
  • p(b)
    0.00012
  • t(a)
    1.44311
  • p(a)
    0.07921
  • Lowerbound of 95% confidence interval for beta
    0.81830
  • Upperbound of 95% confidence interval for beta
    2.42376
  • Lowerbound of 95% confidence interval for alpha
    -0.09525
  • Upperbound of 95% confidence interval for alpha
    0.56008
  • Treynor index (mean / b)
    0.23725
  • Jensen alpha (a)
    0.23242
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11476
  • Expected Shortfall on VaR
    0.14821
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02582
  • Expected Shortfall on VaR
    0.05878
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    35.00000
  • Minimum
    0.78435
  • Quartile 1
    0.99452
  • Median
    1.00501
  • Quartile 3
    1.08271
  • Maximum
    1.41367
  • Mean of quarter 1
    0.95760
  • Mean of quarter 2
    0.99947
  • Mean of quarter 3
    1.03614
  • Mean of quarter 4
    1.16438
  • Inter Quartile Range
    0.08819
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02857
  • Mean of outliers low
    0.78435
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.05714
  • Mean of outliers high
    1.33568
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.78348
  • VaR(95%) (moments method)
    0.03305
  • Expected Shortfall (moments method)
    0.17182
  • Extreme Value Index (regression method)
    0.61784
  • VaR(95%) (regression method)
    0.03681
  • Expected Shortfall (regression method)
    0.11495
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00435
  • Quartile 1
    0.01419
  • Median
    0.02296
  • Quartile 3
    0.03207
  • Maximum
    0.24342
  • Mean of quarter 1
    0.00907
  • Mean of quarter 2
    0.01746
  • Mean of quarter 3
    0.02790
  • Mean of quarter 4
    0.14013
  • Inter Quartile Range
    0.01788
  • 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
    0.12500
  • Mean of outliers high
    0.24342
  • 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)
    0.79901
  • Compounded annual return (geometric extrapolation)
    0.51058
  • Calmar ratio (compounded annual return / max draw down)
    2.09751
  • Compounded annual return / average of 25% largest draw downs
    3.64373
  • Compounded annual return / Expected Shortfall lognormal
    3.44507
  • 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
    0.43193
  • SD
    0.26074
  • Sharpe ratio (Glass type estimate)
    1.65658
  • Sharpe ratio (Hedges UMVUE)
    1.65498
  • df
    781.00000
  • t
    2.86196
  • p
    0.00216
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.51860
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.79350
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.51754
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.79243
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.69795
  • Upside Potential Ratio
    8.79198
  • Upside part of mean
    1.40756
  • Downside part of mean
    -0.97562
  • Upside SD
    0.20731
  • Downside SD
    0.16009
  • N nonnegative terms
    402.00000
  • N negative terms
    380.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    782.00000
  • Mean of predictor
    0.11548
  • Mean of criterion
    0.43193
  • SD of predictor
    0.12759
  • SD of criterion
    0.26074
  • Covariance
    0.01209
  • r
    0.36342
  • b (slope, estimate of beta)
    0.74263
  • a (intercept, estimate of alpha)
    0.34600
  • Mean Square Error
    0.05908
  • DF error
    780.00000
  • t(b)
    10.89450
  • p(b)
    0.00000
  • t(a)
    2.45662
  • p(a)
    0.00712
  • Lowerbound of 95% confidence interval for beta
    0.60882
  • Upperbound of 95% confidence interval for beta
    0.87644
  • Lowerbound of 95% confidence interval for alpha
    0.06956
  • Upperbound of 95% confidence interval for alpha
    0.62278
  • Treynor index (mean / b)
    0.58162
  • Jensen alpha (a)
    0.34617
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39770
  • SD
    0.26033
  • Sharpe ratio (Glass type estimate)
    1.52770
  • Sharpe ratio (Hedges UMVUE)
    1.52624
  • df
    781.00000
  • t
    2.63932
  • p
    0.00424
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.39021
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.66422
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.38924
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.66323
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.41181
  • Upside Potential Ratio
    8.40852
  • Upside part of mean
    1.38655
  • Downside part of mean
    -0.98885
  • Upside SD
    0.20272
  • Downside SD
    0.16490
  • N nonnegative terms
    402.00000
  • N negative terms
    380.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    782.00000
  • Mean of predictor
    0.10730
  • Mean of criterion
    0.39770
  • SD of predictor
    0.12780
  • SD of criterion
    0.26033
  • Covariance
    0.01210
  • r
    0.36376
  • b (slope, estimate of beta)
    0.74096
  • a (intercept, estimate of alpha)
    0.31820
  • Mean Square Error
    0.05888
  • DF error
    780.00000
  • t(b)
    10.90630
  • p(b)
    0.00000
  • t(a)
    2.26249
  • p(a)
    0.01197
  • Lowerbound of 95% confidence interval for beta
    0.60759
  • Upperbound of 95% confidence interval for beta
    0.87432
  • Lowerbound of 95% confidence interval for alpha
    0.04212
  • Upperbound of 95% confidence interval for alpha
    0.59428
  • Treynor index (mean / b)
    0.53674
  • Jensen alpha (a)
    0.31820
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02463
  • Expected Shortfall on VaR
    0.03114
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00823
  • Expected Shortfall on VaR
    0.01785
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    782.00000
  • Minimum
    0.86547
  • Quartile 1
    0.99728
  • Median
    1.00029
  • Quartile 3
    1.00474
  • Maximum
    1.08890
  • Mean of quarter 1
    0.98651
  • Mean of quarter 2
    0.99885
  • Mean of quarter 3
    1.00208
  • Mean of quarter 4
    1.01957
  • Inter Quartile Range
    0.00747
  • Number outliers low
    63.00000
  • Percentage of outliers low
    0.08056
  • Mean of outliers low
    0.97145
  • Number of outliers high
    84.00000
  • Percentage of outliers high
    0.10742
  • Mean of outliers high
    1.03436
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.60015
  • VaR(95%) (moments method)
    0.01184
  • Expected Shortfall (moments method)
    0.03396
  • Extreme Value Index (regression method)
    0.17371
  • VaR(95%) (regression method)
    0.01178
  • Expected Shortfall (regression method)
    0.01959
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    32.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00634
  • Median
    0.03301
  • Quartile 3
    0.06013
  • Maximum
    0.26840
  • Mean of quarter 1
    0.00206
  • Mean of quarter 2
    0.01913
  • Mean of quarter 3
    0.04326
  • Mean of quarter 4
    0.15065
  • Inter Quartile Range
    0.05379
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.22697
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.34023
  • VaR(95%) (moments method)
    0.16231
  • Expected Shortfall (moments method)
    0.28702
  • Extreme Value Index (regression method)
    0.13121
  • VaR(95%) (regression method)
    0.11272
  • Expected Shortfall (regression method)
    0.14976
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.85838
  • Compounded annual return (geometric extrapolation)
    0.53053
  • Calmar ratio (compounded annual return / max draw down)
    1.97662
  • Compounded annual return / average of 25% largest draw downs
    3.52159
  • Compounded annual return / Expected Shortfall lognormal
    17.03470
  • 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
    0.07613
  • SD
    0.20430
  • Sharpe ratio (Glass type estimate)
    0.37266
  • Sharpe ratio (Hedges UMVUE)
    0.37050
  • df
    130.00000
  • t
    0.26351
  • p
    0.48845
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.40013
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.14423
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.40167
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.14267
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.53859
  • Upside Potential Ratio
    7.21740
  • Upside part of mean
    1.02022
  • Downside part of mean
    -0.94409
  • Upside SD
    0.14649
  • Downside SD
    0.14136
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.06819
  • Mean of criterion
    0.07613
  • SD of predictor
    0.19090
  • SD of criterion
    0.20430
  • Covariance
    0.01583
  • r
    0.40584
  • b (slope, estimate of beta)
    0.43432
  • a (intercept, estimate of alpha)
    0.10575
  • Mean Square Error
    0.03513
  • DF error
    129.00000
  • t(b)
    5.04344
  • p(b)
    0.24891
  • t(a)
    0.39883
  • p(a)
    0.47766
  • Lowerbound of 95% confidence interval for beta
    0.26394
  • Upperbound of 95% confidence interval for beta
    0.60470
  • Lowerbound of 95% confidence interval for alpha
    -0.41885
  • Upperbound of 95% confidence interval for alpha
    0.63034
  • Treynor index (mean / b)
    0.17529
  • Jensen alpha (a)
    0.10575
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05539
  • SD
    0.20447
  • Sharpe ratio (Glass type estimate)
    0.27088
  • Sharpe ratio (Hedges UMVUE)
    0.26931
  • df
    130.00000
  • t
    0.19154
  • p
    0.49160
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.50161
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.04240
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.50269
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.04131
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.38500
  • Upside Potential Ratio
    7.01772
  • Upside part of mean
    1.00960
  • Downside part of mean
    -0.95421
  • Upside SD
    0.14424
  • Downside SD
    0.14386
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.08627
  • Mean of criterion
    0.05539
  • SD of predictor
    0.19088
  • SD of criterion
    0.20447
  • Covariance
    0.01592
  • r
    0.40789
  • b (slope, estimate of beta)
    0.43693
  • a (intercept, estimate of alpha)
    0.09308
  • Mean Square Error
    0.03512
  • DF error
    129.00000
  • t(b)
    5.07405
  • p(b)
    0.24772
  • t(a)
    0.35106
  • p(a)
    0.48034
  • Lowerbound of 95% confidence interval for beta
    0.26656
  • Upperbound of 95% confidence interval for beta
    0.60730
  • Lowerbound of 95% confidence interval for alpha
    -0.43152
  • Upperbound of 95% confidence interval for alpha
    0.61768
  • Treynor index (mean / b)
    0.12677
  • Jensen alpha (a)
    0.09308
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02036
  • Expected Shortfall on VaR
    0.02550
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00797
  • Expected Shortfall on VaR
    0.01683
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94929
  • Quartile 1
    0.99708
  • Median
    1.00033
  • Quartile 3
    1.00385
  • Maximum
    1.04675
  • Mean of quarter 1
    0.98739
  • Mean of quarter 2
    0.99853
  • Mean of quarter 3
    1.00161
  • Mean of quarter 4
    1.01409
  • Inter Quartile Range
    0.00678
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.97030
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.02577
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.42093
  • VaR(95%) (moments method)
    0.01104
  • Expected Shortfall (moments method)
    0.02285
  • Extreme Value Index (regression method)
    0.40061
  • VaR(95%) (regression method)
    0.01273
  • Expected Shortfall (regression method)
    0.02623
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00605
  • Quartile 1
    0.00739
  • Median
    0.01687
  • Quartile 3
    0.04068
  • Maximum
    0.26840
  • Mean of quarter 1
    0.00672
  • Mean of quarter 2
    0.01687
  • Mean of quarter 3
    0.04068
  • Mean of quarter 4
    0.26840
  • Inter Quartile Range
    0.03329
  • 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
    0.20000
  • Mean of outliers high
    0.26840
  • 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)
    0.08505
  • Compounded annual return (geometric extrapolation)
    0.08686
  • Calmar ratio (compounded annual return / max draw down)
    0.32363
  • Compounded annual return / average of 25% largest draw downs
    0.32363
  • Compounded annual return / Expected Shortfall lognormal
    3.40584

Strategy Description

Summary Statistics

Strategy began
2016-02-08
Suggested Minimum Capital
$35,000
# Trades
1155
# Profitable
738
% Profitable
63.9%
Net Dividends
Correlation S&P500
0.354
Sharpe Ratio
1.655

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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