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TNA8
(100410414)

Created by: CHARLESYING CHARLESYING
Started: 02/2016
Stocks
Last trade: 162 days ago

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $240.00 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.

43.7%
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.

(27.8%)
Max Drawdown
1162
Num Trades
63.9%
Win Trades
1.0 : 1
Profit Factor
61.9%
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%+6.3%+0.4%+0.1%  -    -  (0.3%)                        +28.4%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

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Long
Short
Both
Win
Loss
Both
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Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/15/18 14:45 ABEO ABEONA THERAPEUTICS INC. COMMON STOCK LONG 2,500 7.10 3/13/19 11:52 7.44 0.19%
Trade id #120985552
Max drawdown($1,543)
Time1/30/19 9:50
Quant open1,600
Worst price6.38
Drawdown as % of equity-0.19%
$804
Includes Typical Broker Commissions trade costs of $33.50
1/24/19 14:43 ACB AURORA CANNABIS INC LONG 800 6.53 3/13 11:52 7.37 0%
Trade id #122165296
Max drawdown($24)
Time1/24/19 14:59
Quant open800
Worst price6.50
Drawdown as % of equity-0.00%
$660
Includes Typical Broker Commissions trade costs of $10.50
11/21/18 14:43 AIMT AIMMUNE THERAPEUTICS INC. COMMON STOCK LONG 370 22.63 3/13/19 11:52 24.09 0.03%
Trade id #121108774
Max drawdown($286)
Time1/29/19 15:55
Quant open300
Worst price21.68
Drawdown as % of equity-0.03%
$532
Includes Typical Broker Commissions trade costs of $7.40
11/15/18 14:40 ALDX ALDEYRA THERAPEUTICS INC. COM LONG 2,580 8.98 3/13/19 11:52 9.19 0.18%
Trade id #120985073
Max drawdown($1,529)
Time1/29/19 9:38
Quant open1,600
Worst price8.02
Drawdown as % of equity-0.18%
$507
Includes Typical Broker Commissions trade costs of $36.10
1/2/19 10:38 BLCM BELLICUM PHARMACEUTICALS INC. LONG 5,300 3.34 3/13 11:51 3.50 0.05%
Trade id #121745108
Max drawdown($424)
Time1/28/19 14:04
Quant open1,600
Worst price3.08
Drawdown as % of equity-0.05%
$823
Includes Typical Broker Commissions trade costs of $41.00
1/2/19 13:24 CBIO CATALYST BIOSCIENCES INC. COMMON STOCK LONG 2,100 8.36 3/13 11:51 8.82 0.17%
Trade id #121749166
Max drawdown($1,491)
Time2/4/19 17:52
Quant open800
Worst price6.50
Drawdown as % of equity-0.17%
$923
Includes Typical Broker Commissions trade costs of $31.00
11/26/18 11:06 CDTX CIDARA THERAPEUTICS INC. COMMON STOCK LONG 1,500 3.02 3/13/19 11:51 3.36 0.02%
Trade id #121167055
Max drawdown($145)
Time12/26/18 15:30
Quant open100
Worst price1.94
Drawdown as % of equity-0.02%
$480
Includes Typical Broker Commissions trade costs of $21.00
1/25/19 12:11 CHRS COHERUS BIOSCIENCES INC. COMM LONG 300 12.01 3/13 11:50 14.19 0%
Trade id #122185140
Max drawdown($21)
Time1/25/19 14:28
Quant open300
Worst price11.94
Drawdown as % of equity-0.00%
$648
Includes Typical Broker Commissions trade costs of $6.00
11/15/18 14:32 CLDX CELLDEX THERAPEUTICS LONG 351 6.06 3/13/19 11:50 7.42 0.08%
Trade id #120984665
Max drawdown($632)
Time1/7/19 9:32
Quant open159
Worst price0.23
Drawdown as % of equity-0.08%
$469
Includes Typical Broker Commissions trade costs of $7.02
1/24/19 13:30 FBIO FORTRESS BIOTECH INC. COMMON STOCK LONG 800 1.07 3/13 11:49 2.20 0%
Trade id #122163273
Max drawdown($32)
Time1/25/19 16:00
Quant open800
Worst price1.03
Drawdown as % of equity-0.00%
$890
Includes Typical Broker Commissions trade costs of $10.50
2/11/19 13:39 GASL DIREXION DAILY NAT GAS RLTD BU LONG 5,600 6.89 3/13 11:49 7.01 0.01%
Trade id #122461091
Max drawdown($99)
Time2/11/19 14:49
Quant open800
Worst price6.26
Drawdown as % of equity-0.01%
$671
Includes Typical Broker Commissions trade costs of $25.70
11/15/18 14:20 GLMD GALMED PHARMACEUTICALS LTD. OR LONG 1,600 7.96 3/13/19 11:49 8.29 0.14%
Trade id #120983957
Max drawdown($958)
Time12/24/18 10:07
Quant open300
Worst price5.58
Drawdown as % of equity-0.14%
$502
Includes Typical Broker Commissions trade costs of $26.50
11/15/18 14:19 GTXI GTX LONG 2,400 1.22 3/13/19 11:48 1.61 0.14%
Trade id #120983873
Max drawdown($986)
Time12/24/18 10:29
Quant open1,600
Worst price0.74
Drawdown as % of equity-0.14%
$910
Includes Typical Broker Commissions trade costs of $15.00
1/4/19 10:57 INGN INOGEN INC COMMON STOCK LONG 50 135.46 3/13 11:48 139.81 0.05%
Trade id #121786378
Max drawdown($435)
Time3/11/19 9:31
Quant open10
Worst price91.90
Drawdown as % of equity-0.05%
$217
Includes Typical Broker Commissions trade costs of $1.00
1/30/19 15:40 ITCI INTRA-CELLULAR THERAPIES INC. LONG 300 11.67 3/13 11:48 13.30 0%
Trade id #122278673
Max drawdown($9)
Time1/30/19 15:44
Quant open300
Worst price11.64
Drawdown as % of equity-0.00%
$484
Includes Typical Broker Commissions trade costs of $6.00
11/21/18 14:13 JD JD.COM INC LONG 370 22.68 3/13/19 11:48 24.20 0.02%
Trade id #121108029
Max drawdown($171)
Time12/24/18 9:55
Quant open100
Worst price19.26
Drawdown as % of equity-0.02%
$557
Includes Typical Broker Commissions trade costs of $7.40
12/11/18 10:29 LULU LULULEMON ATHLETICA LONG 63 120.88 3/13/19 11:47 131.95 0.08%
Trade id #121442633
Max drawdown($542)
Time12/24/18 9:39
Quant open60
Worst price110.71
Drawdown as % of equity-0.08%
$697
Includes Typical Broker Commissions trade costs of $1.26
2/12/19 15:11 MJ ETFMG ALTERNATIVE HARVEST ETF LONG 300 34.28 3/13 11:47 36.21 0%
Trade id #122486589
Max drawdown($15)
Time2/12/19 16:01
Quant open300
Worst price34.23
Drawdown as % of equity-0.00%
$572
Includes Typical Broker Commissions trade costs of $6.00
1/30/19 15:32 MRNA MODERNA INC. COMMON STOCK LONG 300 15.31 3/13 11:47 17.94 0.01%
Trade id #122278388
Max drawdown($63)
Time1/30/19 15:56
Quant open300
Worst price15.10
Drawdown as % of equity-0.01%
$783
Includes Typical Broker Commissions trade costs of $6.00
11/15/18 14:11 MRVL MARVELL TECHNOLOGY LONG 570 16.95 3/13/19 11:46 17.86 0.07%
Trade id #120983265
Max drawdown($466)
Time12/26/18 8:01
Quant open200
Worst price14.00
Drawdown as % of equity-0.07%
$507
Includes Typical Broker Commissions trade costs of $11.40
1/31/19 10:14 MSFT MICROSOFT LONG 100 103.93 3/13 11:46 108.20 0%
Trade id #122290865
Max drawdown($36)
Time2/1/19 14:53
Quant open30
Worst price102.35
Drawdown as % of equity-0.00%
$425
Includes Typical Broker Commissions trade costs of $2.00
1/2/19 14:27 NVLN NOVELION THERAPEUTICS INC. COMMON SHARES LONG 3,700 0.96 3/13 11:46 1.22 0.01%
Trade id #121750566
Max drawdown($50)
Time1/30/19 16:20
Quant open800
Worst price0.89
Drawdown as % of equity-0.01%
$943
Includes Typical Broker Commissions trade costs of $23.50
12/11/18 10:11 PDD PINDUODUO INC. AMERICAN DEPOSITARY SHARES LONG 370 23.16 3/13/19 11:46 25.55 0.02%
Trade id #121442076
Max drawdown($178)
Time12/21/18 15:31
Quant open200
Worst price20.50
Drawdown as % of equity-0.02%
$877
Includes Typical Broker Commissions trade costs of $7.40
12/3/18 14:08 PTGX PROTAGONIST THERAPEUTICS INC. COMMON STOCK LONG 1,300 6.74 3/13/19 11:45 7.19 0.02%
Trade id #121316576
Max drawdown($162)
Time12/4/18 11:03
Quant open600
Worst price6.18
Drawdown as % of equity-0.02%
$561
Includes Typical Broker Commissions trade costs of $22.50
11/15/18 13:59 PTX PERNIX THERAPEUTICS HOLDINGS LONG 6,400 0.48 3/13/19 11:45 0.60 0.07%
Trade id #120982280
Max drawdown($608)
Time12/10/18 15:57
Quant open3,200
Worst price0.27
Drawdown as % of equity-0.07%
$714
Includes Typical Broker Commissions trade costs of $38.00
11/21/18 14:34 RDFN REDFIN CORPORATION COMMON STOCK LONG 660 16.11 3/13/19 11:44 17.32 0.03%
Trade id #121108555
Max drawdown($257)
Time12/21/18 12:33
Quant open100
Worst price13.56
Drawdown as % of equity-0.03%
$787
Includes Typical Broker Commissions trade costs of $13.20
11/21/18 13:16 REPH RECRO PHARMA INC. COMMON STOC LONG 1,200 7.60 3/13/19 11:43 8.15 0%
Trade id #121106287
Max drawdown($10)
Time12/20/18 11:42
Quant open100
Worst price6.69
Drawdown as % of equity-0.00%
$633
Includes Typical Broker Commissions trade costs of $24.00
11/15/18 13:55 RIOT RIOT BLOCKCHAIN INC. COMMON STOCK LONG 6,400 1.79 3/13/19 11:43 1.88 0.15%
Trade id #120982034
Max drawdown($1,030)
Time12/26/18 10:42
Quant open2,400
Worst price1.29
Drawdown as % of equity-0.15%
$528
Includes Typical Broker Commissions trade costs of $44.50
11/26/18 11:37 VIPS VIPSHOP HOLDINGS LONG 1,040 6.03 3/13/19 11:41 6.52 0.04%
Trade id #121167910
Max drawdown($326)
Time12/21/18 12:31
Quant open600
Worst price5.04
Drawdown as % of equity-0.04%
$486
Includes Typical Broker Commissions trade costs of $20.80
1/18/19 11:11 XLRN ACCELERON PHARMA INC. COMMON S LONG 300 41.58 3/13 10:24 42.49 0.08%
Trade id #122056597
Max drawdown($645)
Time1/29/19 10:53
Quant open200
Worst price38.42
Drawdown as % of equity-0.08%
$268
Includes Typical Broker Commissions trade costs of $6.00

Statistics

  • Strategy began
    2/8/2016
  • Suggested Minimum Cap
    $250,000
  • Strategy Age (days)
    1289.47
  • Age
    43 months ago
  • What it trades
    Stocks
  • # Trades
    1162
  • # Profitable
    742
  • % Profitable
    63.90%
  • Avg trade duration
    42.8 days
  • Max peak-to-valley drawdown
    27.82%
  • drawdown period
    Oct 18, 2018 - Dec 24, 2018
  • Annual Return (Compounded)
    43.7%
  • Avg win
    $728.36
  • Avg loss
    $1,384
  • Model Account Values (Raw)
  • Cash
    $728,534
  • Margin Used
    $0
  • Buying Power
    $1,468,864
  • Ratios
  • W:L ratio
    1.02:1
  • Sharpe Ratio
    1.31
  • Sortino Ratio
    2.18
  • Calmar Ratio
    1.887
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.34950
  • Return Statistics
  • Ann Return (w trading costs)
    43.7%
  • Ann Return (Compnd, No Fees)
    44.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    40.50%
  • Chance of 20% account loss
    10.50%
  • 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)
    536
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,385
  • Avg Win
    $1,661
  • # Winners
    742
  • # Losers
    420
  • % Winners
    63.9%
  • Frequency
  • Avg Position Time (mins)
    64468.20
  • Avg Position Time (hrs)
    1074.47
  • Avg Trade Length
    44.8 days
  • Last Trade Ago
    160
  • Regression
  • Alpha
    0.08
  • Beta
    0.69
  • Treynor Index
    0.15
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    -13.775
  • Avg(MAE) / Avg(PL) - Winning trades
    0.669
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.562
  • Hold-and-Hope Ratio
    0.407
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.44112
  • SD
    0.33976
  • Sharpe ratio (Glass type estimate)
    1.29834
  • Sharpe ratio (Hedges UMVUE)
    1.27181
  • df
    37.00000
  • t
    2.31041
  • p
    0.01327
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.15002
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.43034
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.13293
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.41070
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.41045
  • Upside Potential Ratio
    4.46833
  • Upside part of mean
    0.57795
  • Downside part of mean
    -0.13683
  • Upside SD
    0.33449
  • Downside SD
    0.12934
  • N nonnegative terms
    21.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.12670
  • Mean of criterion
    0.44112
  • SD of predictor
    0.11549
  • SD of criterion
    0.33976
  • Covariance
    0.02177
  • r
    0.55480
  • b (slope, estimate of beta)
    1.63214
  • a (intercept, estimate of alpha)
    0.23432
  • Mean Square Error
    0.08212
  • DF error
    36.00000
  • t(b)
    4.00103
  • p(b)
    0.00015
  • t(a)
    1.38545
  • p(a)
    0.08722
  • Lowerbound of 95% confidence interval for beta
    0.80482
  • Upperbound of 95% confidence interval for beta
    2.45945
  • Lowerbound of 95% confidence interval for alpha
    -0.10869
  • Upperbound of 95% confidence interval for alpha
    0.57733
  • Treynor index (mean / b)
    0.27027
  • Jensen alpha (a)
    0.23432
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38319
  • SD
    0.31366
  • Sharpe ratio (Glass type estimate)
    1.22168
  • Sharpe ratio (Hedges UMVUE)
    1.19671
  • df
    37.00000
  • t
    2.17399
  • p
    0.01809
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.07816
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.34972
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06206
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.33137
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.65928
  • Upside Potential Ratio
    3.67356
  • Upside part of mean
    0.52934
  • Downside part of mean
    -0.14615
  • Upside SD
    0.29541
  • Downside SD
    0.14410
  • N nonnegative terms
    21.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.11931
  • Mean of criterion
    0.38319
  • SD of predictor
    0.11554
  • SD of criterion
    0.31366
  • Covariance
    0.02063
  • r
    0.56935
  • b (slope, estimate of beta)
    1.54555
  • a (intercept, estimate of alpha)
    0.19879
  • Mean Square Error
    0.06834
  • DF error
    36.00000
  • t(b)
    4.15535
  • p(b)
    0.00010
  • t(a)
    1.29542
  • p(a)
    0.10171
  • Lowerbound of 95% confidence interval for beta
    0.79122
  • Upperbound of 95% confidence interval for beta
    2.29989
  • Lowerbound of 95% confidence interval for alpha
    -0.11243
  • Upperbound of 95% confidence interval for alpha
    0.51002
  • Treynor index (mean / b)
    0.24793
  • Jensen alpha (a)
    0.19879
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11042
  • Expected Shortfall on VaR
    0.14297
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02344
  • Expected Shortfall on VaR
    0.05391
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    38.00000
  • Minimum
    0.78435
  • Quartile 1
    0.99545
  • Median
    1.00473
  • Quartile 3
    1.08388
  • Maximum
    1.41367
  • Mean of quarter 1
    0.96138
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.03268
  • Mean of quarter 4
    1.15774
  • Inter Quartile Range
    0.08842
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02632
  • Mean of outliers low
    0.78435
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.05263
  • Mean of outliers high
    1.33568
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.82037
  • VaR(95%) (moments method)
    0.02781
  • Expected Shortfall (moments method)
    0.17478
  • Extreme Value Index (regression method)
    0.55191
  • VaR(95%) (regression method)
    0.03489
  • Expected Shortfall (regression method)
    0.09765
  • 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)
    0.84502
  • Compounded annual return (geometric extrapolation)
    0.50847
  • Calmar ratio (compounded annual return / max draw down)
    2.08883
  • Compounded annual return / average of 25% largest draw downs
    3.62866
  • Compounded annual return / Expected Shortfall lognormal
    3.55653
  • 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
    0.41417
  • SD
    0.25335
  • Sharpe ratio (Glass type estimate)
    1.63474
  • Sharpe ratio (Hedges UMVUE)
    1.63326
  • df
    830.00000
  • t
    2.91138
  • p
    0.00185
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.53095
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.73761
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.52994
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.73658
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.66655
  • Upside Potential Ratio
    8.60421
  • Upside part of mean
    1.33640
  • Downside part of mean
    -0.92223
  • Upside SD
    0.20160
  • Downside SD
    0.15532
  • N nonnegative terms
    419.00000
  • N negative terms
    412.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    831.00000
  • Mean of predictor
    0.12716
  • Mean of criterion
    0.41417
  • SD of predictor
    0.12685
  • SD of criterion
    0.25335
  • Covariance
    0.01144
  • r
    0.35589
  • b (slope, estimate of beta)
    0.71081
  • a (intercept, estimate of alpha)
    0.32400
  • Mean Square Error
    0.05613
  • DF error
    829.00000
  • t(b)
    10.96490
  • p(b)
    -0.00000
  • t(a)
    2.42932
  • p(a)
    0.00767
  • Lowerbound of 95% confidence interval for beta
    0.58357
  • Upperbound of 95% confidence interval for beta
    0.83805
  • Lowerbound of 95% confidence interval for alpha
    0.06217
  • Upperbound of 95% confidence interval for alpha
    0.58539
  • Treynor index (mean / b)
    0.58267
  • Jensen alpha (a)
    0.32378
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38186
  • SD
    0.25294
  • Sharpe ratio (Glass type estimate)
    1.50967
  • Sharpe ratio (Hedges UMVUE)
    1.50831
  • df
    830.00000
  • t
    2.68864
  • p
    0.00366
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.40634
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.61217
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.40540
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.61122
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.38694
  • Upside Potential Ratio
    8.22947
  • Upside part of mean
    1.31654
  • Downside part of mean
    -0.93468
  • Upside SD
    0.19714
  • Downside SD
    0.15998
  • N nonnegative terms
    419.00000
  • N negative terms
    412.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    831.00000
  • Mean of predictor
    0.11907
  • Mean of criterion
    0.38186
  • SD of predictor
    0.12704
  • SD of criterion
    0.25294
  • Covariance
    0.01145
  • r
    0.35633
  • b (slope, estimate of beta)
    0.70947
  • a (intercept, estimate of alpha)
    0.29738
  • Mean Square Error
    0.05592
  • DF error
    829.00000
  • t(b)
    10.98020
  • p(b)
    -0.00000
  • t(a)
    2.23583
  • p(a)
    0.01281
  • Lowerbound of 95% confidence interval for beta
    0.58265
  • Upperbound of 95% confidence interval for beta
    0.83630
  • Lowerbound of 95% confidence interval for alpha
    0.03631
  • Upperbound of 95% confidence interval for alpha
    0.55845
  • Treynor index (mean / b)
    0.53823
  • Jensen alpha (a)
    0.29738
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02395
  • Expected Shortfall on VaR
    0.03029
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00787
  • Expected Shortfall on VaR
    0.01715
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    831.00000
  • Minimum
    0.86547
  • Quartile 1
    0.99743
  • Median
    1.00013
  • Quartile 3
    1.00437
  • Maximum
    1.08890
  • Mean of quarter 1
    0.98713
  • Mean of quarter 2
    0.99902
  • Mean of quarter 3
    1.00180
  • Mean of quarter 4
    1.01880
  • Inter Quartile Range
    0.00694
  • Number outliers low
    63.00000
  • Percentage of outliers low
    0.07581
  • Mean of outliers low
    0.97145
  • Number of outliers high
    91.00000
  • Percentage of outliers high
    0.10951
  • Mean of outliers high
    1.03300
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.68844
  • VaR(95%) (moments method)
    0.01179
  • Expected Shortfall (moments method)
    0.04226
  • Extreme Value Index (regression method)
    0.23782
  • VaR(95%) (regression method)
    0.01090
  • Expected Shortfall (regression method)
    0.01908
  • 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)
    0.84121
  • Compounded annual return (geometric extrapolation)
    0.50647
  • Calmar ratio (compounded annual return / max draw down)
    1.88697
  • Compounded annual return / average of 25% largest draw downs
    3.36188
  • Compounded annual return / Expected Shortfall lognormal
    16.72000
  • 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
    -0.02590
  • SD
    0.18132
  • Sharpe ratio (Glass type estimate)
    -0.14282
  • Sharpe ratio (Hedges UMVUE)
    -0.14199
  • df
    130.00000
  • t
    -0.10099
  • p
    0.50443
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.91444
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.62929
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.91385
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.62987
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.19094
  • Upside Potential Ratio
    5.24736
  • Upside part of mean
    0.71166
  • Downside part of mean
    -0.73755
  • Upside SD
    0.11932
  • Downside SD
    0.13562
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19884
  • Mean of criterion
    -0.02590
  • SD of predictor
    0.17919
  • SD of criterion
    0.18132
  • Covariance
    0.01598
  • r
    0.49198
  • b (slope, estimate of beta)
    0.49783
  • a (intercept, estimate of alpha)
    -0.12489
  • Mean Square Error
    0.02511
  • DF error
    129.00000
  • t(b)
    6.41828
  • p(b)
    0.19994
  • t(a)
    -0.55594
  • p(a)
    0.53111
  • Lowerbound of 95% confidence interval for beta
    0.34437
  • Upperbound of 95% confidence interval for beta
    0.65129
  • Lowerbound of 95% confidence interval for alpha
    -0.56935
  • Upperbound of 95% confidence interval for alpha
    0.31957
  • Treynor index (mean / b)
    -0.05202
  • Jensen alpha (a)
    -0.12489
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04230
  • SD
    0.18210
  • Sharpe ratio (Glass type estimate)
    -0.23228
  • Sharpe ratio (Hedges UMVUE)
    -0.23094
  • df
    130.00000
  • t
    -0.16425
  • p
    0.50720
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.00387
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.54003
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.00289
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.54101
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.30611
  • Upside Potential Ratio
    5.09907
  • Upside part of mean
    0.70460
  • Downside part of mean
    -0.74690
  • Upside SD
    0.11756
  • Downside SD
    0.13818
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.18287
  • Mean of criterion
    -0.04230
  • SD of predictor
    0.17884
  • SD of criterion
    0.18210
  • Covariance
    0.01605
  • r
    0.49296
  • b (slope, estimate of beta)
    0.50195
  • a (intercept, estimate of alpha)
    -0.13409
  • Mean Square Error
    0.02530
  • DF error
    129.00000
  • t(b)
    6.43512
  • p(b)
    0.19939
  • t(a)
    -0.59494
  • p(a)
    0.53329
  • Lowerbound of 95% confidence interval for beta
    0.34762
  • Upperbound of 95% confidence interval for beta
    0.65628
  • Lowerbound of 95% confidence interval for alpha
    -0.58002
  • Upperbound of 95% confidence interval for alpha
    0.31184
  • Treynor index (mean / b)
    -0.08427
  • Jensen alpha (a)
    -0.13409
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01849
  • Expected Shortfall on VaR
    0.02309
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00639
  • Expected Shortfall on VaR
    0.01416
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94929
  • Quartile 1
    0.99877
  • Median
    1.00010
  • Quartile 3
    1.00182
  • Maximum
    1.04675
  • Mean of quarter 1
    0.98926
  • Mean of quarter 2
    0.99977
  • Mean of quarter 3
    1.00062
  • Mean of quarter 4
    1.01039
  • Inter Quartile Range
    0.00305
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.13740
  • Mean of outliers low
    0.98221
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.11450
  • Mean of outliers high
    1.01882
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.94517
  • VaR(95%) (moments method)
    0.00914
  • Expected Shortfall (moments method)
    0.18107
  • Extreme Value Index (regression method)
    0.92537
  • VaR(95%) (regression method)
    0.00801
  • Expected Shortfall (regression method)
    0.11397
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00914
  • Quartile 1
    0.06899
  • Median
    0.12883
  • Quartile 3
    0.18868
  • Maximum
    0.24852
  • Mean of quarter 1
    0.00914
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.24852
  • Inter Quartile Range
    0.11969
  • 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)
    -0.01434
  • Compounded annual return (geometric extrapolation)
    -0.01429
  • Calmar ratio (compounded annual return / max draw down)
    -0.05750
  • Compounded annual return / average of 25% largest draw downs
    -0.05750
  • Compounded annual return / Expected Shortfall lognormal
    -0.61890

Strategy Description

Summary Statistics

Strategy began
2016-02-08
Suggested Minimum Capital
$135,000
# Trades
1162
# Profitable
742
% Profitable
63.9%
Net Dividends
Correlation S&P500
0.349
Sharpe Ratio
1.31
Sortino Ratio
2.18
Beta
0.69
Alpha
0.08

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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