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Spy Strategy
(100866727)

Created by: VixMonitor VixMonitor
Started: 02/2016
Stocks
Last trade: 21 days ago
Trading style: Equity Trend-following

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 $29.00 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.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
7.5%
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.

(4.7%)
Max Drawdown
25
Num Trades
52.0%
Win Trades
6.1 : 1
Profit Factor
48.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016       (1.3%)+6.0%+0.9%+1.8%+0.9%+3.6%+0.1%(0.9%)(2.4%)+1.4%+1.4%+11.8%
2017+2.4%+3.9%(0.9%)+0.1%  -  (0.2%)+1.1%(0.5%)+1.5%+1.5%  -    -  +9.2%
2018  -    -    -  (0.6%)(0.6%)+0.1%+1.4%+3.1%+0.1%+0.1%  -    -  +3.5%
2019  -    -  (0.1%)+3.7%(2.3%)  -  +0.6%  -                          +1.8%

Model Account Details

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

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

Trading Record

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/2/19 9:30 SPY SPDR S&P 500 LONG 414 295.61 8/1 9:30 297.60 1.42%
Trade id #124305968
Max drawdown($1,821)
Time7/2/19 9:30
Quant open414
Worst price291.21
Drawdown as % of equity-1.42%
$816
Includes Typical Broker Commissions trade costs of $8.28
5/22/19 9:30 SPY SPDR S&P 500 LONG 430 285.45 5/24 9:30 283.74 1.63%
Trade id #123766778
Max drawdown($2,098)
Time5/23/19 15:04
Quant open430
Worst price280.57
Drawdown as % of equity-1.63%
($744)
Includes Typical Broker Commissions trade costs of $8.60
5/17/19 9:30 SPY SPDR S&P 500 LONG 430 285.14 5/20 9:30 284.06 0.54%
Trade id #123708732
Max drawdown($700)
Time5/20/19 8:55
Quant open430
Worst price283.51
Drawdown as % of equity-0.54%
($473)
Includes Typical Broker Commissions trade costs of $8.60
4/1/19 9:30 SPY SPDR S&P 500 LONG 450 284.70 5/7 9:30 290.15 0.11%
Trade id #123150398
Max drawdown($135)
Time4/1/19 9:30
Quant open450
Worst price284.40
Drawdown as % of equity-0.11%
$2,444
Includes Typical Broker Commissions trade costs of $9.00
3/12/19 9:30 SPY SPDR S&P 500 LONG 458 279.06 3/25 9:30 278.87 0.45%
Trade id #122876712
Max drawdown($577)
Time3/25/19 8:02
Quant open458
Worst price277.80
Drawdown as % of equity-0.45%
($96)
Includes Typical Broker Commissions trade costs of $9.16
8/17/18 9:30 SPY SPDR S&P 500 LONG 437 283.83 10/5 9:30 289.69 4.07%
Trade id #119485294
Max drawdown($5,230)
Time10/3/18 16:01
Quant open437
Worst price271.86
Drawdown as % of equity-4.07%
$2,552
Includes Typical Broker Commissions trade costs of $8.74
8/15/18 9:31 SPY SPDR S&P 500 LONG 440 282.38 8/16 9:30 283.40 0.79%
Trade id #119447523
Max drawdown($976)
Time8/15/18 10:57
Quant open440
Worst price280.16
Drawdown as % of equity-0.79%
$440
Includes Typical Broker Commissions trade costs of $8.80
8/1/18 10:15 SPY SPDR S&P 500 LONG 440 281.56 8/14 9:30 282.92 0.98%
Trade id #119225698
Max drawdown($1,210)
Time8/2/18 6:53
Quant open440
Worst price278.81
Drawdown as % of equity-0.98%
$589
Includes Typical Broker Commissions trade costs of $8.80
7/13/18 9:30 SPY SPDR S&P 500 LONG 440 279.17 7/31 9:30 280.81 0.3%
Trade id #118912589
Max drawdown($360)
Time7/17/18 9:12
Quant open440
Worst price278.35
Drawdown as % of equity-0.30%
$713
Includes Typical Broker Commissions trade costs of $8.80
7/9/18 13:13 SPY SPDR S&P 500 LONG 440 277.22 7/12 9:30 278.28 0.44%
Trade id #118828625
Max drawdown($536)
Time7/10/18 21:16
Quant open440
Worst price276.00
Drawdown as % of equity-0.44%
$457
Includes Typical Broker Commissions trade costs of $8.80
6/6/18 9:30 SPY SPDR S&P 500 LONG 440 275.79 6/20 9:30 276.27 1.08%
Trade id #118287025
Max drawdown($1,315)
Time6/19/18 4:36
Quant open440
Worst price272.80
Drawdown as % of equity-1.08%
$202
Includes Typical Broker Commissions trade costs of $8.80
5/24/18 9:36 SPY SPDR S&P 500 LONG 445 273.12 5/25 9:30 272.15 0.85%
Trade id #118089980
Max drawdown($1,041)
Time5/24/18 11:02
Quant open445
Worst price270.78
Drawdown as % of equity-0.85%
($441)
Includes Typical Broker Commissions trade costs of $8.90
5/11/18 9:31 SPY SPDR S&P 500 LONG 448 272.16 5/16 9:46 271.57 0.78%
Trade id #117893047
Max drawdown($954)
Time5/15/18 15:28
Quant open448
Worst price270.03
Drawdown as % of equity-0.78%
($273)
Includes Typical Broker Commissions trade costs of $8.96
4/18/18 9:30 SPY SPDR S&P 500 LONG 455 270.69 4/19 9:58 269.20 0.7%
Trade id #117558259
Max drawdown($855)
Time4/19/18 9:52
Quant open455
Worst price268.81
Drawdown as % of equity-0.70%
($687)
Includes Typical Broker Commissions trade costs of $9.10
8/28/17 9:30 SPY SPDR S&P 500 LONG 482 245.17 10/6 12:27 253.92 1.12%
Trade id #113382170
Max drawdown($1,320)
Time8/28/17 9:30
Quant open482
Worst price242.43
Drawdown as % of equity-1.12%
$4,208
Includes Typical Broker Commissions trade costs of $9.64
8/15/17 9:30 SPY SPDR S&P 500 LONG 480 246.98 8/17 9:30 246.24 0.35%
Trade id #113149626
Max drawdown($417)
Time8/17/17 8:24
Quant open480
Worst price246.11
Drawdown as % of equity-0.35%
($365)
Includes Typical Broker Commissions trade costs of $9.60
7/13/17 9:30 SPY SPDR S&P 500 LONG 487 244.02 8/11 9:30 244.02 0.35%
Trade id #112578271
Max drawdown($418)
Time8/11/17 7:51
Quant open487
Worst price243.16
Drawdown as % of equity-0.35%
($10)
Includes Typical Broker Commissions trade costs of $9.74
6/29/17 9:30 SPY SPDR S&P 500 LONG 487 243.66 6/30 9:30 242.28 1.53%
Trade id #112279389
Max drawdown($1,804)
Time6/29/17 13:30
Quant open487
Worst price239.96
Drawdown as % of equity-1.53%
($682)
Includes Typical Broker Commissions trade costs of $9.74
5/22/17 9:31 SPY SPDR S&P 500 LONG 491 238.90 6/28 9:30 242.50 0.03%
Trade id #111708189
Max drawdown($39)
Time5/22/17 9:31
Quant open491
Worst price238.82
Drawdown as % of equity-0.03%
$1,758
Includes Typical Broker Commissions trade costs of $9.82
4/27/17 9:30 SPY SPDR S&P 500 LONG 496 238.77 5/18 9:31 235.73 1.7%
Trade id #111291383
Max drawdown($1,993)
Time5/18/17 5:58
Quant open496
Worst price234.75
Drawdown as % of equity-1.70%
($1,518)
Includes Typical Broker Commissions trade costs of $9.92
11/10/16 9:32 SPY SPDR S&P 500 LONG 504 217.30 3/24/17 9:31 234.38 0.96%
Trade id #107083664
Max drawdown($1,048)
Time11/10/16 9:32
Quant open504
Worst price215.22
Drawdown as % of equity-0.96%
$8,603
Includes Typical Broker Commissions trade costs of $5.00
10/19/16 9:30 SPY SPDR S&P 500 LONG 512 214.02 10/28 9:30 213.14 0.92%
Trade id #106535135
Max drawdown($1,003)
Time10/28/16 4:36
Quant open512
Worst price212.06
Drawdown as % of equity-0.92%
($456)
Includes Typical Broker Commissions trade costs of $5.00
9/19/16 9:31 SPY SPDR S&P 500 LONG 515 214.13 10/13 9:30 212.16 1.11%
Trade id #105943042
Max drawdown($1,225)
Time10/13/16 4:01
Quant open515
Worst price211.75
Drawdown as % of equity-1.11%
($1,020)
Includes Typical Broker Commissions trade costs of $5.00
6/29/16 15:46 SPY SPDR S&P 500 LONG 515 206.66 9/14 9:31 213.29 0.51%
Trade id #104383497
Max drawdown($542)
Time6/29/16 15:46
Quant open515
Worst price205.61
Drawdown as % of equity-0.51%
$3,409
Includes Typical Broker Commissions trade costs of $5.00
2/26/16 9:48 SPY SPDR S&P 500 LONG 500 196.17 6/13 9:31 209.36 1.58%
Trade id #100868748
Max drawdown($1,557)
Time3/1/16 8:05
Quant open500
Worst price193.06
Drawdown as % of equity-1.58%
$6,585
Includes Typical Broker Commissions trade costs of $10.00

Statistics

  • Strategy began
    2/26/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1273.48
  • Age
    42 months ago
  • What it trades
    Stocks
  • # Trades
    25
  • # Profitable
    13
  • % Profitable
    52.00%
  • Avg trade duration
    26.8 days
  • Max peak-to-valley drawdown
    4.72%
  • drawdown period
    Aug 23, 2016 - Nov 11, 2016
  • Annual Return (Compounded)
    7.5%
  • Avg win
    $2,529
  • Avg loss
    $555.08
  • Model Account Values (Raw)
  • Cash
    $130,227
  • Margin Used
    $0
  • Buying Power
    $130,227
  • Ratios
  • W:L ratio
    6.14:1
  • Sharpe Ratio
    1.04
  • Sortino Ratio
    1.61
  • Calmar Ratio
    2.104
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.36860
  • Return Statistics
  • Ann Return (w trading costs)
    7.5%
  • Ann Return (Compnd, No Fees)
    7.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • 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)
    881
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $555
  • Avg Win
    $2,530
  • # Winners
    13
  • # Losers
    12
  • % Winners
    52.0%
  • Frequency
  • Avg Position Time (mins)
    38569.30
  • Avg Position Time (hrs)
    642.82
  • Avg Trade Length
    26.8 days
  • Last Trade Ago
    22
  • Leverage
  • Daily leverage (average)
    1.00
  • Daily leverage (max)
    1.01
  • Regression
  • Alpha
    0.01
  • Beta
    0.13
  • Treynor Index
    0.12
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    1.097
  • Avg(MAE) / Avg(PL) - Winning trades
    0.489
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.902
  • Hold-and-Hope Ratio
    0.899
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06332
  • SD
    0.05413
  • Sharpe ratio (Glass type estimate)
    1.16972
  • Sharpe ratio (Hedges UMVUE)
    1.14445
  • df
    35.00000
  • t
    2.02602
  • p
    0.02522
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.00220
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.32594
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.01846
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.30736
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.64013
  • Upside Potential Ratio
    4.41734
  • Upside part of mean
    0.10594
  • Downside part of mean
    -0.04262
  • Upside SD
    0.05106
  • Downside SD
    0.02398
  • N nonnegative terms
    21.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    36.00000
  • Mean of predictor
    0.12061
  • Mean of criterion
    0.06332
  • SD of predictor
    0.11421
  • SD of criterion
    0.05413
  • Covariance
    0.00298
  • r
    0.48154
  • b (slope, estimate of beta)
    0.22823
  • a (intercept, estimate of alpha)
    0.03579
  • Mean Square Error
    0.00232
  • DF error
    34.00000
  • t(b)
    3.20374
  • p(b)
    0.00147
  • t(a)
    1.23047
  • p(a)
    0.11348
  • Lowerbound of 95% confidence interval for beta
    0.08345
  • Upperbound of 95% confidence interval for beta
    0.37300
  • Lowerbound of 95% confidence interval for alpha
    -0.02332
  • Upperbound of 95% confidence interval for alpha
    0.09490
  • Treynor index (mean / b)
    0.27743
  • Jensen alpha (a)
    0.03579
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06161
  • SD
    0.05350
  • Sharpe ratio (Glass type estimate)
    1.15147
  • Sharpe ratio (Hedges UMVUE)
    1.12658
  • df
    35.00000
  • t
    1.99440
  • p
    0.02697
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.01936
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.30679
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.03537
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.28854
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.55356
  • Upside Potential Ratio
    4.32804
  • Upside part of mean
    0.10442
  • Downside part of mean
    -0.04281
  • Upside SD
    0.05017
  • Downside SD
    0.02413
  • N nonnegative terms
    21.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    36.00000
  • Mean of predictor
    0.11341
  • Mean of criterion
    0.06161
  • SD of predictor
    0.11460
  • SD of criterion
    0.05350
  • Covariance
    0.00295
  • r
    0.48117
  • b (slope, estimate of beta)
    0.22464
  • a (intercept, estimate of alpha)
    0.03613
  • Mean Square Error
    0.00226
  • DF error
    34.00000
  • t(b)
    3.20054
  • p(b)
    0.00148
  • t(a)
    1.26312
  • p(a)
    0.10757
  • Lowerbound of 95% confidence interval for beta
    0.08200
  • Upperbound of 95% confidence interval for beta
    0.36728
  • Lowerbound of 95% confidence interval for alpha
    -0.02200
  • Upperbound of 95% confidence interval for alpha
    0.09426
  • Treynor index (mean / b)
    0.27425
  • Jensen alpha (a)
    0.03613
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02007
  • Expected Shortfall on VaR
    0.02636
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00732
  • Expected Shortfall on VaR
    0.01435
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    36.00000
  • Minimum
    0.97990
  • Quartile 1
    0.99869
  • Median
    1.00501
  • Quartile 3
    1.01687
  • Maximum
    1.04660
  • Mean of quarter 1
    0.98975
  • Mean of quarter 2
    1.00126
  • Mean of quarter 3
    1.01052
  • Mean of quarter 4
    1.02889
  • Inter Quartile Range
    0.01818
  • 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
    0.02778
  • Mean of outliers high
    1.04660
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.84503
  • VaR(95%) (moments method)
    0.00885
  • Expected Shortfall (moments method)
    0.00987
  • Extreme Value Index (regression method)
    -0.45866
  • VaR(95%) (regression method)
    0.01419
  • Expected Shortfall (regression method)
    0.01743
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00068
  • Quartile 1
    0.00605
  • Median
    0.01191
  • Quartile 3
    0.01560
  • Maximum
    0.03001
  • Mean of quarter 1
    0.00257
  • Mean of quarter 2
    0.01084
  • Mean of quarter 3
    0.01298
  • Mean of quarter 4
    0.02324
  • Inter Quartile Range
    0.00955
  • 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
    0.16667
  • Mean of outliers high
    0.03001
  • 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)
    0.10269
  • Compounded annual return (geometric extrapolation)
    0.09364
  • Calmar ratio (compounded annual return / max draw down)
    3.12070
  • Compounded annual return / average of 25% largest draw downs
    4.02883
  • Compounded annual return / Expected Shortfall lognormal
    3.55313
  • 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
    0.06016
  • SD
    0.04611
  • Sharpe ratio (Glass type estimate)
    1.30452
  • Sharpe ratio (Hedges UMVUE)
    1.30330
  • df
    804.00000
  • t
    2.28663
  • p
    0.01124
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.18415
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.42409
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.18333
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.42326
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.99338
  • Upside Potential Ratio
    8.62296
  • Upside part of mean
    0.26023
  • Downside part of mean
    -0.20007
  • Upside SD
    0.03503
  • Downside SD
    0.03018
  • N nonnegative terms
    294.00000
  • N negative terms
    511.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    805.00000
  • Mean of predictor
    0.11313
  • Mean of criterion
    0.06016
  • SD of predictor
    0.13364
  • SD of criterion
    0.04611
  • Covariance
    0.00224
  • r
    0.36343
  • b (slope, estimate of beta)
    0.12540
  • a (intercept, estimate of alpha)
    0.04600
  • Mean Square Error
    0.00185
  • DF error
    803.00000
  • t(b)
    11.05450
  • p(b)
    -0.00000
  • t(a)
    1.87192
  • p(a)
    0.03079
  • Lowerbound of 95% confidence interval for beta
    0.10314
  • Upperbound of 95% confidence interval for beta
    0.14767
  • Lowerbound of 95% confidence interval for alpha
    -0.00223
  • Upperbound of 95% confidence interval for alpha
    0.09418
  • Treynor index (mean / b)
    0.47971
  • Jensen alpha (a)
    0.04597
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05908
  • SD
    0.04611
  • Sharpe ratio (Glass type estimate)
    1.28148
  • Sharpe ratio (Hedges UMVUE)
    1.28028
  • df
    804.00000
  • t
    2.24625
  • p
    0.01248
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16118
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.40099
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.16038
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.40018
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.95079
  • Upside Potential Ratio
    8.57117
  • Upside part of mean
    0.25959
  • Downside part of mean
    -0.20051
  • Upside SD
    0.03492
  • Downside SD
    0.03029
  • N nonnegative terms
    294.00000
  • N negative terms
    511.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    805.00000
  • Mean of predictor
    0.10416
  • Mean of criterion
    0.05908
  • SD of predictor
    0.13385
  • SD of criterion
    0.04611
  • Covariance
    0.00224
  • r
    0.36355
  • b (slope, estimate of beta)
    0.12523
  • a (intercept, estimate of alpha)
    0.04604
  • Mean Square Error
    0.00185
  • DF error
    803.00000
  • t(b)
    11.05880
  • p(b)
    -0.00000
  • t(a)
    1.87561
  • p(a)
    0.03054
  • Lowerbound of 95% confidence interval for beta
    0.10300
  • Upperbound of 95% confidence interval for beta
    0.14745
  • Lowerbound of 95% confidence interval for alpha
    -0.00214
  • Upperbound of 95% confidence interval for alpha
    0.09422
  • Treynor index (mean / b)
    0.47181
  • Jensen alpha (a)
    0.04604
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00445
  • Expected Shortfall on VaR
    0.00563
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00202
  • Expected Shortfall on VaR
    0.00413
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    805.00000
  • Minimum
    0.98297
  • Quartile 1
    0.99969
  • Median
    1.00000
  • Quartile 3
    1.00132
  • Maximum
    1.01188
  • Mean of quarter 1
    0.99723
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00030
  • Mean of quarter 4
    1.00384
  • Inter Quartile Range
    0.00163
  • Number outliers low
    77.00000
  • Percentage of outliers low
    0.09565
  • Mean of outliers low
    0.99500
  • Number of outliers high
    88.00000
  • Percentage of outliers high
    0.10932
  • Mean of outliers high
    1.00571
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09143
  • VaR(95%) (moments method)
    0.00247
  • Expected Shortfall (moments method)
    0.00374
  • Extreme Value Index (regression method)
    0.13708
  • VaR(95%) (regression method)
    0.00275
  • Expected Shortfall (regression method)
    0.00436
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    37.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00114
  • Median
    0.00519
  • Quartile 3
    0.01191
  • Maximum
    0.04320
  • Mean of quarter 1
    0.00061
  • Mean of quarter 2
    0.00276
  • Mean of quarter 3
    0.00947
  • Mean of quarter 4
    0.02088
  • Inter Quartile Range
    0.01076
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.05405
  • Mean of outliers high
    0.03566
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.24696
  • VaR(95%) (moments method)
    0.02292
  • Expected Shortfall (moments method)
    0.03408
  • Extreme Value Index (regression method)
    0.83542
  • VaR(95%) (regression method)
    0.02233
  • Expected Shortfall (regression method)
    0.09287
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.09972
  • Compounded annual return (geometric extrapolation)
    0.09089
  • Calmar ratio (compounded annual return / max draw down)
    2.10362
  • Compounded annual return / average of 25% largest draw downs
    4.35278
  • Compounded annual return / Expected Shortfall lognormal
    16.13330
  • 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
    0.01266
  • SD
    0.04341
  • Sharpe ratio (Glass type estimate)
    0.29166
  • Sharpe ratio (Hedges UMVUE)
    0.28998
  • df
    130.00000
  • t
    0.20624
  • p
    0.49096
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.48085
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.06322
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.48205
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.06201
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.39496
  • Upside Potential Ratio
    6.41673
  • Upside part of mean
    0.20568
  • Downside part of mean
    -0.19302
  • Upside SD
    0.02903
  • Downside SD
    0.03205
  • N nonnegative terms
    41.00000
  • N negative terms
    90.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.42085
  • Mean of criterion
    0.01266
  • SD of predictor
    0.16209
  • SD of criterion
    0.04341
  • Covariance
    0.00200
  • r
    0.28423
  • b (slope, estimate of beta)
    0.07611
  • a (intercept, estimate of alpha)
    -0.01937
  • Mean Square Error
    0.00175
  • DF error
    129.00000
  • t(b)
    3.36710
  • p(b)
    0.32152
  • t(a)
    -0.32373
  • p(a)
    0.51814
  • Lowerbound of 95% confidence interval for beta
    0.03139
  • Upperbound of 95% confidence interval for beta
    0.12084
  • Lowerbound of 95% confidence interval for alpha
    -0.13777
  • Upperbound of 95% confidence interval for alpha
    0.09903
  • Treynor index (mean / b)
    0.16633
  • Jensen alpha (a)
    -0.01937
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01172
  • SD
    0.04345
  • Sharpe ratio (Glass type estimate)
    0.26979
  • Sharpe ratio (Hedges UMVUE)
    0.26823
  • df
    130.00000
  • t
    0.19077
  • p
    0.49163
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.50269
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.04131
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.50377
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.04023
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.36430
  • Upside Potential Ratio
    6.37830
  • Upside part of mean
    0.20524
  • Downside part of mean
    -0.19351
  • Upside SD
    0.02896
  • Downside SD
    0.03218
  • N nonnegative terms
    41.00000
  • N negative terms
    90.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.40751
  • Mean of criterion
    0.01172
  • SD of predictor
    0.16150
  • SD of criterion
    0.04345
  • Covariance
    0.00201
  • r
    0.28648
  • b (slope, estimate of beta)
    0.07707
  • a (intercept, estimate of alpha)
    -0.01969
  • Mean Square Error
    0.00175
  • DF error
    129.00000
  • t(b)
    3.39613
  • p(b)
    0.32015
  • t(a)
    -0.32910
  • p(a)
    0.51844
  • Lowerbound of 95% confidence interval for beta
    0.03217
  • Upperbound of 95% confidence interval for beta
    0.12198
  • Lowerbound of 95% confidence interval for alpha
    -0.13804
  • Upperbound of 95% confidence interval for alpha
    0.09867
  • Treynor index (mean / b)
    0.15209
  • Jensen alpha (a)
    -0.01969
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00436
  • Expected Shortfall on VaR
    0.00548
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00204
  • Expected Shortfall on VaR
    0.00425
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98738
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00071
  • Maximum
    1.00724
  • Mean of quarter 1
    0.99736
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00011
  • Mean of quarter 4
    1.00315
  • Inter Quartile Range
    0.00071
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.16031
  • Mean of outliers low
    0.99607
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.16031
  • Mean of outliers high
    1.00429
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.46951
  • VaR(95%) (moments method)
    0.00270
  • Expected Shortfall (moments method)
    0.00621
  • Extreme Value Index (regression method)
    0.34925
  • VaR(95%) (regression method)
    0.00290
  • Expected Shortfall (regression method)
    0.00580
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00105
  • Quartile 1
    0.00117
  • Median
    0.00137
  • Quartile 3
    0.01385
  • Maximum
    0.02151
  • Mean of quarter 1
    0.00110
  • Mean of quarter 2
    0.00125
  • Mean of quarter 3
    0.00150
  • Mean of quarter 4
    0.01974
  • Inter Quartile Range
    0.01268
  • 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)
    0.04002
  • Compounded annual return (geometric extrapolation)
    0.04042
  • Calmar ratio (compounded annual return / max draw down)
    1.87947
  • Compounded annual return / average of 25% largest draw downs
    2.04829
  • Compounded annual return / Expected Shortfall lognormal
    7.38126

Strategy Description

Summary Statistics

Strategy began
2016-02-26
Suggested Minimum Capital
$15,000
# Trades
25
# Profitable
13
% Profitable
52.0%
Net Dividends
Correlation S&P500
0.369
Sharpe Ratio
1.04
Sortino Ratio
1.61
Beta
0.13
Alpha
0.01
Leverage
1.00 Average
1.01 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.