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GPFromChina ED
(102207348)

Created by: ZhengzhengGan ZhengzhengGan
Started: 05/2016
Futures, Forex
Last trade: 17 days ago
Trading style: Futures Trend-following Macro / Fundamental

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 $20.00 per month.

Trading Category: Futures
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Macro / Fundamental
Category: Equity

Macro / Fundamental

Predicts large-scale events related to national economies, history, and international relations. The strategy typically employs forecasts and analysis of interest rate trends, international trade and payments, political changes, government policies, inter-government relations, and other broad systemic factors.
28.6%
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.

(20.5%)
Max Drawdown
131
Num Trades
45.8%
Win Trades
1.5 : 1
Profit Factor
52.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                            +17.9%(12.8%)+8.8%(2.7%)(3%)+1.1%+15.0%+4.2%+27.8%
2017(6.9%)(9.5%)+9.1%(0.5%)+3.5%+2.5%+6.0%(2.7%)+2.1%+2.2%(3%)  -  +1.3%
2018+23.0%(2.8%)+12.4%+15.0%+1.6%+10.1%(9.3%)(7.6%)  -  (2.7%)+0.2%+14.4%+61.6%
2019(0.2%)(2.9%)                                                            (3.1%)

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.

System developer has asked us to delay this information by 150 hours.

Trading Record

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Long
Short
Both
Win
Loss
Both
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Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/30/19 20:14 @QOJ9 miNY Gold LONG 7 1323.75 2/4 4:29 1314.75 2.97%
Trade id #122281673
Max drawdown($3,150)
Time2/4/19 4:29
Quant open0
Worst price1314.75
Drawdown as % of equity-2.97%
($3,206)
Includes Typical Broker Commissions trade costs of $56.00
11/28/18 12:45 @QOG9 miNY Gold LONG 10 1226.25 12/11 5:58 1253.25 2.21%
Trade id #121222270
Max drawdown($2,125)
Time11/30/18 9:49
Quant open10
Worst price1222.00
Drawdown as % of equity-2.21%
$13,420
Includes Typical Broker Commissions trade costs of $80.00
10/24/18 12:43 USD/CAD USD/CAD SHORT 42 1.29927 10/25 9:13 1.30700 2.58%
Trade id #120514930
Max drawdown($2,483)
Time10/25/18 9:13
Quant open0
Worst price1.30700
Drawdown as % of equity-2.58%
($2,483)
8/7/18 8:20 EBX8 Brent Crude Oil LONG 4 75.22 8/8 8:37 74.40 3.32%
Trade id #119314378
Max drawdown($3,280)
Time8/8/18 8:37
Quant open0
Worst price74.40
Drawdown as % of equity-3.32%
($3,312)
Includes Typical Broker Commissions trade costs of $32.00
8/6/18 12:00 @QMV8 MINY CRUDE OIL LONG 6 68.625 8/6 14:13 67.875 2.21%
Trade id #119300866
Max drawdown($2,250)
Time8/6/18 14:13
Quant open0
Worst price67.875
Drawdown as % of equity-2.21%
($2,298)
Includes Typical Broker Commissions trade costs of $48.00
7/30/18 11:47 @NQU8 E-MINI NASDAQ 100 STK IDX SHORT 2 7214.50 8/2 11:30 7320.00 3.93%
Trade id #119186531
Max drawdown($4,220)
Time8/2/18 11:30
Quant open0
Worst price7320.00
Drawdown as % of equity-3.93%
($4,236)
Includes Typical Broker Commissions trade costs of $16.00
7/31/18 1:17 @TYU8 US T-NOTE 10 YR LONG 14 119 38/64 7/31 10:35 119 24/64 2.86%
Trade id #119196597
Max drawdown($3,066)
Time7/31/18 10:35
Quant open0
Worst price119 24/64
Drawdown as % of equity-2.86%
($3,178)
Includes Typical Broker Commissions trade costs of $112.00
7/27/18 9:21 USD/JPY USD/JPY SHORT 53 110.964 7/30 11:37 110.973 0.87%
Trade id #119155179
Max drawdown($959)
Time7/30/18 0:24
Quant open-53
Worst price111.165
Drawdown as % of equity-0.87%
($43)
7/25/18 8:19 USD/JPY USD/JPY SHORT 53 111.038 7/27 4:59 111.197 0.91%
Trade id #119110550
Max drawdown($1,010)
Time7/26/18 16:00
Quant open-53
Worst price111.250
Drawdown as % of equity-0.91%
($758)
7/24/18 3:38 BBU8 10-Yr MINI Japn Gov Bond SHORT 20 150.62 7/25 4:36 150.77 2.56%
Trade id #119084746
Max drawdown($2,884)
Time7/24/18 23:32
Quant open-20
Worst price150.78
Drawdown as % of equity-2.56%
($2,857)
Includes Typical Broker Commissions trade costs of $160.00
7/23/18 9:41 JGU8 10-Yr Japan Gov Bond SHORT 2 150.60 7/24 3:35 150.60 n/a ($16)
Includes Typical Broker Commissions trade costs of $16.00
7/20/18 10:36 JGU8 10-Yr Japan Gov Bond SHORT 2 150.96 7/22 22:05 150.96 n/a ($16)
Includes Typical Broker Commissions trade costs of $16.00
7/9/18 12:03 LLU8 3 MONTH SHORT STERLING SHORT 78 99.195 7/10 12:20 99.175 1.17%
Trade id #118827036
Max drawdown($1,290)
Time7/9/18 12:07
Quant open-78
Worst price99.205
Drawdown as % of equity-1.17%
$1,962
Includes Typical Broker Commissions trade costs of $624.00
7/4/18 10:22 USD/TRY USD/TRY LONG 33 4.67675 7/5 6:20 4.63062 2.92%
Trade id #118772952
Max drawdown($3,284)
Time7/5/18 6:20
Quant open0
Worst price4.63062
Drawdown as % of equity-2.92%
($3,284)
6/26/18 11:54 @QMQ8 MINY CRUDE OIL LONG 5 70.075 6/28 11:42 73.225 0.23%
Trade id #118655197
Max drawdown($250)
Time6/26/18 11:57
Quant open5
Worst price69.975
Drawdown as % of equity-0.23%
$7,835
Includes Typical Broker Commissions trade costs of $40.00
6/24/18 19:52 USD/TRY USD/TRY SHORT 19 4.60376 6/25 5:57 4.68010 2.86%
Trade id #118611022
Max drawdown($3,107)
Time6/25/18 5:57
Quant open0
Worst price4.68010
Drawdown as % of equity-2.86%
($3,107)
6/22/18 9:21 @QMQ8 MINY CRUDE OIL LONG 4 67.750 6/24 21:21 68.325 1.15%
Trade id #118588726
Max drawdown($1,250)
Time6/22/18 10:01
Quant open4
Worst price67.125
Drawdown as % of equity-1.15%
$1,118
Includes Typical Broker Commissions trade costs of $32.00
6/22/18 8:04 USD/CAD USD/CAD SHORT 36 1.32771 6/22 8:36 1.33528 2.55%
Trade id #118586092
Max drawdown($2,832)
Time6/22/18 8:31
Quant open-36
Worst price1.33821
Drawdown as % of equity-2.55%
($2,042)
6/14/18 15:27 @MMEU8 Mini MSCI Emerging Markets Index SHORT 6 1111.00 6/19 21:34 1078.00 0.81%
Trade id #118441876
Max drawdown($810)
Time6/14/18 20:41
Quant open-6
Worst price1113.70
Drawdown as % of equity-0.81%
$9,852
Includes Typical Broker Commissions trade costs of $48.00
6/14/18 2:50 @ESU8 E-MINI S&P 500 SHORT 4 2773.25 6/14 8:39 2789.00 3.06%
Trade id #118429377
Max drawdown($3,150)
Time6/14/18 8:39
Quant open0
Worst price2789.00
Drawdown as % of equity-3.06%
($3,182)
Includes Typical Broker Commissions trade costs of $32.00
6/6/18 5:02 BDU8 EUREX BUND SHORT 5 160.80 6/13 10:46 160.05 1.87%
Trade id #118284741
Max drawdown($1,913)
Time6/8/18 4:21
Quant open-5
Worst price161.13
Drawdown as % of equity-1.87%
$4,374
Includes Typical Broker Commissions trade costs of $40.00
6/8/18 8:17 USD/CAD USD/CAD SHORT 38 1.29875 6/8 8:37 1.29939 1.46%
Trade id #118329455
Max drawdown($1,494)
Time6/8/18 8:31
Quant open-38
Worst price1.30386
Drawdown as % of equity-1.46%
($187)
6/6/18 12:41 @QMQ8 MINY CRUDE OIL SHORT 7 64.550 6/7 6:59 65.250 2.27%
Trade id #118292988
Max drawdown($2,450)
Time6/7/18 6:59
Quant open0
Worst price65.250
Drawdown as % of equity-2.27%
($2,506)
Includes Typical Broker Commissions trade costs of $56.00
6/5/18 7:00 EBQ8 Brent Crude Oil SHORT 3 74.34 6/5 23:54 75.70 3.95%
Trade id #118267010
Max drawdown($4,080)
Time6/5/18 23:54
Quant open0
Worst price75.70
Drawdown as % of equity-3.95%
($4,104)
Includes Typical Broker Commissions trade costs of $24.00
5/31/18 12:05 EUR/JPY EUR/JPY LONG 45 126.903 6/5 11:57 127.957 0.76%
Trade id #118194079
Max drawdown($775)
Time5/31/18 12:20
Quant open45
Worst price126.714
Drawdown as % of equity-0.76%
$4,326
5/30/18 10:06 USD/CAD USD/CAD SHORT 50 1.29128 5/31 11:31 1.29885 2.86%
Trade id #118167198
Max drawdown($2,953)
Time5/31/18 11:31
Quant open-50
Worst price1.29894
Drawdown as % of equity-2.86%
($2,918)
5/25/18 5:01 EBQ8 Brent Crude Oil SHORT 3 78.03 5/30 11:01 77.17 0.12%
Trade id #118109540
Max drawdown($120)
Time5/25/18 5:12
Quant open-3
Worst price78.07
Drawdown as % of equity-0.12%
$2,556
Includes Typical Broker Commissions trade costs of $24.00
5/14/18 12:01 EBN8 Brent Crude Oil LONG 3 78.13 5/21 8:45 78.27 1.53%
Trade id #117921408
Max drawdown($1,560)
Time5/16/18 5:08
Quant open3
Worst price77.61
Drawdown as % of equity-1.53%
$396
Includes Typical Broker Commissions trade costs of $24.00
5/9/18 6:13 @QMN8 MINY CRUDE OIL LONG 5 70.875 5/14 10:45 71.150 1.56%
Trade id #117853097
Max drawdown($1,562)
Time5/14/18 3:09
Quant open5
Worst price70.250
Drawdown as % of equity-1.56%
$648
Includes Typical Broker Commissions trade costs of $40.00
4/24/18 4:17 LLM8 3 MONTH SHORT STERLING LONG 28 99.185 5/8 10:23 99.270 1.19%
Trade id #117632713
Max drawdown($1,184)
Time4/24/18 9:43
Quant open28
Worst price99.160
Drawdown as % of equity-1.19%
$3,790
Includes Typical Broker Commissions trade costs of $224.00

Statistics

  • Strategy began
    5/5/2016
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1022.31
  • Age
    34 months ago
  • What it trades
    Futures, Forex
  • # Trades
    131
  • # Profitable
    60
  • % Profitable
    45.80%
  • Avg trade duration
    2.8 days
  • Max peak-to-valley drawdown
    20.48%
  • drawdown period
    June 16, 2016 - Sept 02, 2016
  • Annual Return (Compounded)
    28.6%
  • Avg win
    $2,748
  • Avg loss
    $1,536
  • Model Account Values (Raw)
  • Cash
    $105,782
  • Margin Used
    $0
  • Buying Power
    $105,782
  • Ratios
  • W:L ratio
    1.51:1
  • Sharpe Ratio
    1.414
  • Sortino Ratio
    2.5
  • Calmar Ratio
    2.172
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.04800
  • Return Statistics
  • Ann Return (w trading costs)
    28.6%
  • Ann Return (Compnd, No Fees)
    30.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    39.50%
  • Chance of 20% account loss
    11.00%
  • Chance of 30% account loss
    1.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    366
  • Popularity (Last 6 weeks)
    845
  • C2 Score
    75.4
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $1,537
  • Avg Win
    $2,748
  • # Winners
    60
  • # Losers
    71
  • % Winners
    45.8%
  • Frequency
  • Avg Position Time (mins)
    4014.15
  • Avg Position Time (hrs)
    66.90
  • Avg Trade Length
    2.8 days
  • Last Trade Ago
    18
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34303
  • SD
    0.26714
  • Sharpe ratio (Glass type estimate)
    1.28411
  • Sharpe ratio (Hedges UMVUE)
    1.24805
  • df
    27.00000
  • t
    1.96151
  • p
    0.03010
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05454
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.60069
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.07753
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.57362
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.99905
  • Upside Potential Ratio
    4.50217
  • Upside part of mean
    0.51495
  • Downside part of mean
    -0.17192
  • Upside SD
    0.25600
  • Downside SD
    0.11438
  • N nonnegative terms
    18.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    28.00000
  • Mean of predictor
    0.08097
  • Mean of criterion
    0.34303
  • SD of predictor
    0.10195
  • SD of criterion
    0.26714
  • Covariance
    0.00354
  • r
    0.12984
  • b (slope, estimate of beta)
    0.34024
  • a (intercept, estimate of alpha)
    0.31548
  • Mean Square Error
    0.07286
  • DF error
    26.00000
  • t(b)
    0.66774
  • p(b)
    0.25509
  • t(a)
    1.73862
  • p(a)
    0.04697
  • Lowerbound of 95% confidence interval for beta
    -0.70713
  • Upperbound of 95% confidence interval for beta
    1.38760
  • Lowerbound of 95% confidence interval for alpha
    -0.05750
  • Upperbound of 95% confidence interval for alpha
    0.68847
  • Treynor index (mean / b)
    1.00821
  • Jensen alpha (a)
    0.31548
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30584
  • SD
    0.25469
  • Sharpe ratio (Glass type estimate)
    1.20085
  • Sharpe ratio (Hedges UMVUE)
    1.16713
  • df
    27.00000
  • t
    1.83433
  • p
    0.03882
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.13164
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.51255
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.15319
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.48745
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.53955
  • Upside Potential Ratio
    4.02189
  • Upside part of mean
    0.48436
  • Downside part of mean
    -0.17852
  • Upside SD
    0.23630
  • Downside SD
    0.12043
  • N nonnegative terms
    18.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    28.00000
  • Mean of predictor
    0.07552
  • Mean of criterion
    0.30584
  • SD of predictor
    0.10214
  • SD of criterion
    0.25469
  • Covariance
    0.00250
  • r
    0.09620
  • b (slope, estimate of beta)
    0.23988
  • a (intercept, estimate of alpha)
    0.28773
  • Mean Square Error
    0.06674
  • DF error
    26.00000
  • t(b)
    0.49280
  • p(b)
    0.31314
  • t(a)
    1.66251
  • p(a)
    0.05421
  • Lowerbound of 95% confidence interval for beta
    -0.76067
  • Upperbound of 95% confidence interval for beta
    1.24043
  • Lowerbound of 95% confidence interval for alpha
    -0.06802
  • Upperbound of 95% confidence interval for alpha
    0.64348
  • Treynor index (mean / b)
    1.27499
  • Jensen alpha (a)
    0.28773
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09103
  • Expected Shortfall on VaR
    0.11821
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02591
  • Expected Shortfall on VaR
    0.05640
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    28.00000
  • Minimum
    0.87427
  • Quartile 1
    0.98370
  • Median
    1.02251
  • Quartile 3
    1.05450
  • Maximum
    1.22547
  • Mean of quarter 1
    0.94867
  • Mean of quarter 2
    1.00622
  • Mean of quarter 3
    1.03681
  • Mean of quarter 4
    1.13196
  • Inter Quartile Range
    0.07079
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03571
  • Mean of outliers low
    0.87427
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.07143
  • Mean of outliers high
    1.21279
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.42578
  • VaR(95%) (moments method)
    0.05387
  • Expected Shortfall (moments method)
    0.10761
  • Extreme Value Index (regression method)
    1.14330
  • VaR(95%) (regression method)
    0.04324
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.01493
  • Quartile 1
    0.02893
  • Median
    0.05482
  • Quartile 3
    0.09224
  • Maximum
    0.12573
  • Mean of quarter 1
    0.02190
  • Mean of quarter 2
    0.02913
  • Mean of quarter 3
    0.08051
  • Mean of quarter 4
    0.11094
  • Inter Quartile Range
    0.06331
  • 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)
    0.50517
  • Compounded annual return (geometric extrapolation)
    0.39619
  • Calmar ratio (compounded annual return / max draw down)
    3.15114
  • Compounded annual return / average of 25% largest draw downs
    3.57113
  • Compounded annual return / Expected Shortfall lognormal
    3.35165
  • 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
    0.30944
  • SD
    0.21856
  • Sharpe ratio (Glass type estimate)
    1.41581
  • Sharpe ratio (Hedges UMVUE)
    1.41411
  • df
    625.00000
  • t
    2.18847
  • p
    0.01450
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.14485
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.68566
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.14371
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.68451
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.50005
  • Upside Potential Ratio
    9.15166
  • Upside part of mean
    1.13273
  • Downside part of mean
    -0.82329
  • Upside SD
    0.18094
  • Downside SD
    0.12377
  • N nonnegative terms
    185.00000
  • N negative terms
    441.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    626.00000
  • Mean of predictor
    0.10836
  • Mean of criterion
    0.30944
  • SD of predictor
    0.13876
  • SD of criterion
    0.21856
  • Covariance
    -0.00150
  • r
    -0.04959
  • b (slope, estimate of beta)
    -0.07811
  • a (intercept, estimate of alpha)
    0.31800
  • Mean Square Error
    0.04773
  • DF error
    624.00000
  • t(b)
    -1.24040
  • p(b)
    0.89235
  • t(a)
    2.24669
  • p(a)
    0.01250
  • Lowerbound of 95% confidence interval for beta
    -0.20178
  • Upperbound of 95% confidence interval for beta
    0.04555
  • Lowerbound of 95% confidence interval for alpha
    0.04003
  • Upperbound of 95% confidence interval for alpha
    0.59577
  • Treynor index (mean / b)
    -3.96135
  • Jensen alpha (a)
    0.31790
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28574
  • SD
    0.21621
  • Sharpe ratio (Glass type estimate)
    1.32160
  • Sharpe ratio (Hedges UMVUE)
    1.32001
  • df
    625.00000
  • t
    2.04285
  • p
    0.02074
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05100
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.59118
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.04992
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.59010
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.27903
  • Upside Potential Ratio
    8.90691
  • Upside part of mean
    1.11673
  • Downside part of mean
    -0.83099
  • Upside SD
    0.17682
  • Downside SD
    0.12538
  • N nonnegative terms
    185.00000
  • N negative terms
    441.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    626.00000
  • Mean of predictor
    0.09868
  • Mean of criterion
    0.28574
  • SD of predictor
    0.13913
  • SD of criterion
    0.21621
  • Covariance
    -0.00147
  • r
    -0.04878
  • b (slope, estimate of beta)
    -0.07581
  • a (intercept, estimate of alpha)
    0.29322
  • Mean Square Error
    0.04671
  • DF error
    624.00000
  • t(b)
    -1.22008
  • p(b)
    0.88855
  • t(a)
    2.09514
  • p(a)
    0.01828
  • Lowerbound of 95% confidence interval for beta
    -0.19784
  • Upperbound of 95% confidence interval for beta
    0.04621
  • Lowerbound of 95% confidence interval for alpha
    0.01838
  • Upperbound of 95% confidence interval for alpha
    0.56806
  • Treynor index (mean / b)
    -3.76907
  • Jensen alpha (a)
    0.29322
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02066
  • Expected Shortfall on VaR
    0.02610
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00887
  • Expected Shortfall on VaR
    0.01788
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    626.00000
  • Minimum
    0.95206
  • Quartile 1
    0.99825
  • Median
    1.00000
  • Quartile 3
    1.00245
  • Maximum
    1.10468
  • Mean of quarter 1
    0.98788
  • Mean of quarter 2
    0.99989
  • Mean of quarter 3
    1.00025
  • Mean of quarter 4
    1.01712
  • Inter Quartile Range
    0.00420
  • Number outliers low
    93.00000
  • Percentage of outliers low
    0.14856
  • Mean of outliers low
    0.98268
  • Number of outliers high
    110.00000
  • Percentage of outliers high
    0.17572
  • Mean of outliers high
    1.02218
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.09895
  • VaR(95%) (moments method)
    0.00649
  • Expected Shortfall (moments method)
    0.00897
  • Extreme Value Index (regression method)
    -0.17404
  • VaR(95%) (regression method)
    0.01131
  • Expected Shortfall (regression method)
    0.01569
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    22.00000
  • Minimum
    0.00015
  • Quartile 1
    0.01504
  • Median
    0.02613
  • Quartile 3
    0.03977
  • Maximum
    0.16962
  • Mean of quarter 1
    0.00621
  • Mean of quarter 2
    0.02104
  • Mean of quarter 3
    0.03199
  • Mean of quarter 4
    0.11069
  • Inter Quartile Range
    0.02474
  • 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
    0.18182
  • Mean of outliers high
    0.13736
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -3.23789
  • VaR(95%) (moments method)
    0.09598
  • Expected Shortfall (moments method)
    0.09630
  • Extreme Value Index (regression method)
    -1.34213
  • VaR(95%) (regression method)
    0.13714
  • Expected Shortfall (regression method)
    0.14396
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.46697
  • Compounded annual return (geometric extrapolation)
    0.36841
  • Calmar ratio (compounded annual return / max draw down)
    2.17194
  • Compounded annual return / average of 25% largest draw downs
    3.32820
  • Compounded annual return / Expected Shortfall lognormal
    14.11370
  • 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
    0.05059
  • SD
    0.23038
  • Sharpe ratio (Glass type estimate)
    0.21958
  • Sharpe ratio (Hedges UMVUE)
    0.21831
  • df
    130.00000
  • t
    0.15527
  • p
    0.49319
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.55272
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.99116
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.55362
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.99025
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.36451
  • Upside Potential Ratio
    7.95536
  • Upside part of mean
    1.10409
  • Downside part of mean
    -1.05350
  • Upside SD
    0.18281
  • Downside SD
    0.13879
  • N nonnegative terms
    27.00000
  • N negative terms
    104.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03916
  • Mean of criterion
    0.05059
  • SD of predictor
    0.20459
  • SD of criterion
    0.23038
  • Covariance
    -0.00436
  • r
    -0.09250
  • b (slope, estimate of beta)
    -0.10416
  • a (intercept, estimate of alpha)
    0.05467
  • Mean Square Error
    0.05303
  • DF error
    129.00000
  • t(b)
    -1.05509
  • p(b)
    0.55880
  • t(a)
    0.16785
  • p(a)
    0.49059
  • Lowerbound of 95% confidence interval for beta
    -0.29949
  • Upperbound of 95% confidence interval for beta
    0.09116
  • Lowerbound of 95% confidence interval for alpha
    -0.58972
  • Upperbound of 95% confidence interval for alpha
    0.69906
  • Treynor index (mean / b)
    -0.48567
  • Jensen alpha (a)
    0.05467
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02448
  • SD
    0.22886
  • Sharpe ratio (Glass type estimate)
    0.10697
  • Sharpe ratio (Hedges UMVUE)
    0.10635
  • df
    130.00000
  • t
    0.07564
  • p
    0.49668
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.66499
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.87869
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.66549
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.87819
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.17444
  • Upside Potential Ratio
    7.75022
  • Upside part of mean
    1.08765
  • Downside part of mean
    -1.06317
  • Upside SD
    0.17968
  • Downside SD
    0.14034
  • N nonnegative terms
    27.00000
  • N negative terms
    104.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.01834
  • Mean of criterion
    0.02448
  • SD of predictor
    0.20498
  • SD of criterion
    0.22886
  • Covariance
    -0.00434
  • r
    -0.09252
  • b (slope, estimate of beta)
    -0.10329
  • a (intercept, estimate of alpha)
    0.02638
  • Mean Square Error
    0.05233
  • DF error
    129.00000
  • t(b)
    -1.05530
  • p(b)
    0.55881
  • t(a)
    0.08153
  • p(a)
    0.49543
  • Lowerbound of 95% confidence interval for beta
    -0.29695
  • Upperbound of 95% confidence interval for beta
    0.09037
  • Lowerbound of 95% confidence interval for alpha
    -0.61372
  • Upperbound of 95% confidence interval for alpha
    0.66647
  • Treynor index (mean / b)
    -0.23701
  • Jensen alpha (a)
    0.02638
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02290
  • Expected Shortfall on VaR
    0.02864
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01219
  • Expected Shortfall on VaR
    0.02304
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96833
  • Quartile 1
    0.99581
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.04463
  • Mean of quarter 1
    0.98493
  • Mean of quarter 2
    0.99945
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01682
  • Inter Quartile Range
    0.00420
  • Number outliers low
    22.00000
  • Percentage of outliers low
    0.16794
  • Mean of outliers low
    0.98103
  • Number of outliers high
    24.00000
  • Percentage of outliers high
    0.18321
  • Mean of outliers high
    1.02293
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.84781
  • VaR(95%) (moments method)
    0.01220
  • Expected Shortfall (moments method)
    0.01349
  • Extreme Value Index (regression method)
    -0.67749
  • VaR(95%) (regression method)
    0.01970
  • Expected Shortfall (regression method)
    0.02286
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.03504
  • Quartile 1
    0.03845
  • Median
    0.05723
  • Quartile 3
    0.09856
  • Maximum
    0.16962
  • Mean of quarter 1
    0.03504
  • Mean of quarter 2
    0.03959
  • Mean of quarter 3
    0.07488
  • Mean of quarter 4
    0.16962
  • Inter Quartile Range
    0.06011
  • 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)
    0.05308
  • Compounded annual return (geometric extrapolation)
    0.05378
  • Calmar ratio (compounded annual return / max draw down)
    0.31708
  • Compounded annual return / average of 25% largest draw downs
    0.31708
  • Compounded annual return / Expected Shortfall lognormal
    1.87799

Strategy Description

Discretionary trading based on the news-driven macro environment。
基于宏观环境和消息预期的主观交易
中文的爱好者,可以关注我的微信公众号:寻找交易高手

Summary Statistics

Strategy began
2016-05-05
Suggested Minimum Capital
$100,000
# Trades
131
# Profitable
60
% Profitable
45.8%
Correlation S&P500
-0.048
Sharpe Ratio
1.414

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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