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This is an archived track record. This track record was archived on 2/13/19 11:19 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

Algo Income
(112841576)

Created by: tony_holland tony_holland
Started: 07/2017
Stocks
Last trade: 42 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 $100.00 per month.

1.6%
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.

(8.6%)
Max Drawdown
311
Num Trades
58.2%
Win Trades
1.3 : 1
Profit Factor
55.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                            -  +0.2%(1.2%)+0.3%(0.5%)+0.8%(0.4%)
2018+0.5%(3.3%)+0.5%+0.4%+0.9%(0.9%)+2.7%(1.3%)+0.8%+2.3%(0.2%)+1.5%+3.6%
2019(0.7%)  -                                                              (0.7%)

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
1/10/19 11:17 XLU UTILITIES SELECT SECTOR SPDR SHORT 100 53.04 1/10 11:18 53.05 0%
Trade id #121899558
Max drawdown($1)
Time1/10/19 11:18
Quant open0
Worst price53.05
Drawdown as % of equity-0.00%
($3)
Includes Typical Broker Commissions trade costs of $2.00
8/1/18 10:30 UWM PROSHARES ULTRA RUSSELL2000 SHORT 100 82.24 1/10/19 11:18 59.26 n/a $2,296
Includes Typical Broker Commissions trade costs of $2.00
8/1/18 9:32 XLP SPDR CONSUMER STAPLES SELECT LONG 100 53.25 1/10/19 11:18 51.38 0.46%
Trade id #119223772
Max drawdown($492)
Time12/26/18 10:55
Quant open100
Worst price48.33
Drawdown as % of equity-0.46%
($189)
Includes Typical Broker Commissions trade costs of $2.00
7/30/18 15:28 NUGT DIREXION DAILY GOLD MINERS BUL LONG 200 20.86 1/10/19 11:17 17.62 1.15%
Trade id #119192162
Max drawdown($1,221)
Time12/19/18 16:00
Quant open200
Worst price14.75
Drawdown as % of equity-1.15%
($652)
Includes Typical Broker Commissions trade costs of $4.00
7/25/18 9:30 XLU UTILITIES SELECT SECTOR SPDR LONG 100 52.07 1/10/19 11:17 53.03 0.12%
Trade id #119112105
Max drawdown($126)
Time12/26/18 11:25
Quant open100
Worst price50.81
Drawdown as % of equity-0.12%
$94
Includes Typical Broker Commissions trade costs of $2.00
7/20/18 15:41 GOOG ALPHABET INC CLASS C SHORT 10 1185.62 9/13 13:31 1171.47 0.67%
Trade id #119045479
Max drawdown($680)
Time8/30/18 10:52
Quant open-10
Worst price1253.64
Drawdown as % of equity-0.67%
$142
Includes Typical Broker Commissions trade costs of $0.20
7/27/18 11:28 TNA DIREXION DAILY SMALL CAP BULL LONG 100 85.56 8/27 15:07 94.82 0.25%
Trade id #119160321
Max drawdown($256)
Time7/30/18 16:06
Quant open100
Worst price83.00
Drawdown as % of equity-0.25%
$924
Includes Typical Broker Commissions trade costs of $2.00
7/26/18 14:30 UWM PROSHARES ULTRA RUSSELL2000 SHORT 100 84.61 7/31 11:38 82.12 0.03%
Trade id #119142804
Max drawdown($28)
Time7/27/18 9:31
Quant open-100
Worst price84.89
Drawdown as % of equity-0.03%
$247
Includes Typical Broker Commissions trade costs of $2.00
7/23/18 10:15 NUGT DIREXION DAILY GOLD MINERS BUL LONG 100 21.96 7/30 15:27 20.85 0.12%
Trade id #119068795
Max drawdown($126)
Time7/30/18 14:37
Quant open100
Worst price20.70
Drawdown as % of equity-0.12%
($113)
Includes Typical Broker Commissions trade costs of $2.00
7/30/18 11:30 QQQ POWERSHARES QQQ SHORT 100 175.48 7/30 12:30 175.16 0.04%
Trade id #119185738
Max drawdown($39)
Time7/30/18 11:58
Quant open-100
Worst price175.87
Drawdown as % of equity-0.04%
$30
Includes Typical Broker Commissions trade costs of $2.00
7/26/18 15:56 AMZN AMAZON.COM SHORT 10 1806.39 7/30 11:04 1794.03 0.88%
Trade id #119145387
Max drawdown($896)
Time7/27/18 6:44
Quant open-10
Worst price1896.00
Drawdown as % of equity-0.88%
$124
Includes Typical Broker Commissions trade costs of $0.20
7/24/18 11:31 IWM ISHARES RUSSELL 2000 INDEX LONG 100 168.32 7/27 10:30 166.93 0.21%
Trade id #119094089
Max drawdown($218)
Time7/25/18 10:43
Quant open100
Worst price166.14
Drawdown as % of equity-0.21%
($141)
Includes Typical Broker Commissions trade costs of $2.00
7/24/18 11:31 XLP SPDR CONSUMER STAPLES SELECT LONG 100 52.51 7/26 9:32 53.45 0%
Trade id #119094091
Max drawdown($4)
Time7/24/18 14:11
Quant open100
Worst price52.47
Drawdown as % of equity-0.00%
$92
Includes Typical Broker Commissions trade costs of $2.00
7/24/18 9:30 QQQ POWERSHARES QQQ LONG 100 181.42 7/25 13:55 181.74 0.18%
Trade id #119088511
Max drawdown($186)
Time7/24/18 13:38
Quant open100
Worst price179.56
Drawdown as % of equity-0.18%
$30
Includes Typical Broker Commissions trade costs of $2.00
7/19/18 10:30 TNA DIREXION DAILY SMALL CAP BULL SHORT 100 89.61 7/24 15:18 87.73 0.25%
Trade id #119016215
Max drawdown($254)
Time7/24/18 9:40
Quant open-100
Worst price92.16
Drawdown as % of equity-0.25%
$186
Includes Typical Broker Commissions trade costs of $2.00
7/19/18 10:30 UWM PROSHARES ULTRA RUSSELL2000 SHORT 100 84.38 7/24 15:09 83.12 0.16%
Trade id #119016213
Max drawdown($160)
Time7/24/18 9:40
Quant open-100
Worst price85.98
Drawdown as % of equity-0.16%
$124
Includes Typical Broker Commissions trade costs of $2.00
7/11/18 9:31 XLU UTILITIES SELECT SECTOR SPDR LONG 100 52.08 7/24 14:30 51.66 0.09%
Trade id #118862930
Max drawdown($90)
Time7/24/18 10:15
Quant open100
Worst price51.18
Drawdown as % of equity-0.09%
($44)
Includes Typical Broker Commissions trade costs of $2.00
7/24/18 11:34 BIB PROSHARES ULTRA NASDAQ BIOTECH SHORT 100 66.80 7/24 14:27 65.25 0%
Trade id #119094154
Max drawdown($4)
Time7/24/18 11:38
Quant open-100
Worst price66.85
Drawdown as % of equity-0.00%
$153
Includes Typical Broker Commissions trade costs of $2.00
7/12/18 14:38 XLP SPDR CONSUMER STAPLES SELECT LONG 100 52.27 7/24 10:30 52.43 0.02%
Trade id #118901769
Max drawdown($22)
Time7/19/18 9:30
Quant open100
Worst price52.05
Drawdown as % of equity-0.02%
$14
Includes Typical Broker Commissions trade costs of $2.00
7/20/18 15:41 AMZN AMAZON.COM SHORT 10 1813.49 7/23 10:14 1798.74 0.19%
Trade id #119045477
Max drawdown($197)
Time7/20/18 16:09
Quant open-10
Worst price1833.22
Drawdown as % of equity-0.19%
$148
Includes Typical Broker Commissions trade costs of $0.20
7/12/18 14:58 TQQQ PROSHARES ULTRAPRO QQQ SHORT 100 64.81 7/20 14:38 64.40 0.16%
Trade id #118902153
Max drawdown($159)
Time7/17/18 15:45
Quant open-100
Worst price66.40
Drawdown as % of equity-0.16%
$39
Includes Typical Broker Commissions trade costs of $2.00
7/17/18 10:30 BA BOEING SHORT 50 355.92 7/20 10:32 355.46 0.29%
Trade id #118973398
Max drawdown($297)
Time7/18/18 13:31
Quant open-50
Worst price361.86
Drawdown as % of equity-0.29%
$22
Includes Typical Broker Commissions trade costs of $1.00
7/19/18 13:18 GLD SPDR GOLD SHARES LONG 100 116.05 7/20 10:31 116.46 0.07%
Trade id #119020972
Max drawdown($75)
Time7/19/18 21:53
Quant open100
Worst price115.30
Drawdown as % of equity-0.07%
$39
Includes Typical Broker Commissions trade costs of $2.00
7/18/18 11:46 AMZN AMAZON.COM SHORT 10 1845.72 7/19 14:29 1823.69 0.01%
Trade id #118997631
Max drawdown($14)
Time7/18/18 11:49
Quant open-10
Worst price1847.12
Drawdown as % of equity-0.01%
$220
Includes Typical Broker Commissions trade costs of $0.20
7/18/18 14:28 UWM PROSHARES ULTRA RUSSELL2000 SHORT 100 83.91 7/19 9:30 84.09 0.04%
Trade id #119002062
Max drawdown($42)
Time7/18/18 15:56
Quant open-100
Worst price84.33
Drawdown as % of equity-0.04%
($20)
Includes Typical Broker Commissions trade costs of $2.00
7/9/18 12:01 GLD SPDR GOLD SHARES LONG 100 119.38 7/18 13:30 116.31 0.36%
Trade id #118826989
Max drawdown($364)
Time7/18/18 4:50
Quant open100
Worst price115.74
Drawdown as % of equity-0.36%
($309)
Includes Typical Broker Commissions trade costs of $2.00
7/13/18 10:49 UWM PROSHARES ULTRA RUSSELL2000 SHORT 100 84.56 7/17 9:36 83.53 0.05%
Trade id #118916405
Max drawdown($48)
Time7/13/18 11:25
Quant open-100
Worst price85.04
Drawdown as % of equity-0.05%
$101
Includes Typical Broker Commissions trade costs of $2.00
7/12/18 14:26 NFLX NETFLIX SHORT 50 412.53 7/13 12:10 401.34 0.09%
Trade id #118901262
Max drawdown($93)
Time7/13/18 8:03
Quant open-50
Worst price414.40
Drawdown as % of equity-0.09%
$559
Includes Typical Broker Commissions trade costs of $1.00
7/13/18 9:48 XLF FINANCIAL SELECT SECTOR SPDR LONG 100 26.79 7/13 10:30 26.87 0.01%
Trade id #118913444
Max drawdown($9)
Time7/13/18 9:56
Quant open100
Worst price26.70
Drawdown as % of equity-0.01%
$6
Includes Typical Broker Commissions trade costs of $2.00
7/10/18 11:31 IWM ISHARES RUSSELL 2000 INDEX LONG 100 168.67 7/13 10:30 168.02 0.2%
Trade id #118844810
Max drawdown($203)
Time7/12/18 9:48
Quant open100
Worst price166.64
Drawdown as % of equity-0.20%
($67)
Includes Typical Broker Commissions trade costs of $2.00

Statistics

  • Strategy began
    7/27/2017
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    571.38
  • Age
    19 months ago
  • What it trades
    Stocks
  • # Trades
    311
  • # Profitable
    181
  • % Profitable
    58.20%
  • Avg trade duration
    6.9 days
  • Max peak-to-valley drawdown
    8.63%
  • drawdown period
    Sept 11, 2017 - Feb 09, 2018
  • Annual Return (Compounded)
    1.6%
  • Avg win
    $150.50
  • Avg loss
    $170.41
  • Model Account Values (Raw)
  • Cash
    $105,567
  • Margin Used
    $0
  • Buying Power
    $105,567
  • Ratios
  • W:L ratio
    1.28:1
  • Sharpe Ratio
    0.281
  • Sortino Ratio
    0.371
  • Calmar Ratio
    0.683
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.09100
  • Return Statistics
  • Ann Return (w trading costs)
    1.6%
  • Ann Return (Compnd, No Fees)
    3.5%
  • 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)
    726
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    7
  • Win / Loss
  • Avg Loss
    $170
  • Avg Win
    $150
  • # Winners
    181
  • # Losers
    130
  • % Winners
    58.2%
  • Frequency
  • Avg Position Time (mins)
    9974.65
  • Avg Position Time (hrs)
    166.24
  • Avg Trade Length
    6.9 days
  • Last Trade Ago
    40
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01686
  • SD
    0.05434
  • Sharpe ratio (Glass type estimate)
    0.31028
  • Sharpe ratio (Hedges UMVUE)
    0.29330
  • df
    14.00000
  • t
    0.34690
  • p
    0.45384
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.45190
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06161
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.46310
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.04971
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.45964
  • Upside Potential Ratio
    2.25973
  • Upside part of mean
    0.08289
  • Downside part of mean
    -0.06603
  • Upside SD
    0.03787
  • Downside SD
    0.03668
  • N nonnegative terms
    8.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.01695
  • Mean of criterion
    0.01686
  • SD of predictor
    0.14962
  • SD of criterion
    0.05434
  • Covariance
    0.00016
  • r
    0.01998
  • b (slope, estimate of beta)
    0.00726
  • a (intercept, estimate of alpha)
    0.01674
  • Mean Square Error
    0.00318
  • DF error
    13.00000
  • t(b)
    0.07206
  • p(b)
    0.48728
  • t(a)
    0.33172
  • p(a)
    0.44176
  • Lowerbound of 95% confidence interval for beta
    -0.21030
  • Upperbound of 95% confidence interval for beta
    0.22481
  • Lowerbound of 95% confidence interval for alpha
    -0.09226
  • Upperbound of 95% confidence interval for alpha
    0.12574
  • Treynor index (mean / b)
    2.32346
  • Jensen alpha (a)
    0.01674
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01543
  • SD
    0.05436
  • Sharpe ratio (Glass type estimate)
    0.28389
  • Sharpe ratio (Hedges UMVUE)
    0.26836
  • df
    14.00000
  • t
    0.31740
  • p
    0.45774
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.47722
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.03506
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.48750
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02422
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.41551
  • Upside Potential Ratio
    2.20741
  • Upside part of mean
    0.08199
  • Downside part of mean
    -0.06656
  • Upside SD
    0.03740
  • Downside SD
    0.03714
  • N nonnegative terms
    8.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.00601
  • Mean of criterion
    0.01543
  • SD of predictor
    0.15467
  • SD of criterion
    0.05436
  • Covariance
    0.00009
  • r
    0.01109
  • b (slope, estimate of beta)
    0.00390
  • a (intercept, estimate of alpha)
    0.01541
  • Mean Square Error
    0.00318
  • DF error
    13.00000
  • t(b)
    0.03999
  • p(b)
    0.49294
  • t(a)
    0.30539
  • p(a)
    0.44633
  • Lowerbound of 95% confidence interval for beta
    -0.20669
  • Upperbound of 95% confidence interval for beta
    0.21448
  • Lowerbound of 95% confidence interval for alpha
    -0.09360
  • Upperbound of 95% confidence interval for alpha
    0.12442
  • Treynor index (mean / b)
    3.95900
  • Jensen alpha (a)
    0.01541
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02423
  • Expected Shortfall on VaR
    0.03059
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01222
  • Expected Shortfall on VaR
    0.02334
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.96664
  • Quartile 1
    0.99429
  • Median
    1.00736
  • Quartile 3
    1.01169
  • Maximum
    1.02819
  • Mean of quarter 1
    0.98610
  • Mean of quarter 2
    0.99918
  • Mean of quarter 3
    1.00957
  • Mean of quarter 4
    1.02154
  • Inter Quartile Range
    0.01740
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.06667
  • Mean of outliers low
    0.96664
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.69137
  • VaR(95%) (moments method)
    0.01649
  • Expected Shortfall (moments method)
    0.05477
  • Extreme Value Index (regression method)
    3.56588
  • VaR(95%) (regression method)
    0.02712
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01022
  • Quartile 1
    0.01065
  • Median
    0.01109
  • Quartile 3
    0.02515
  • Maximum
    0.03922
  • Mean of quarter 1
    0.01022
  • Mean of quarter 2
    0.01109
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.03922
  • Inter Quartile Range
    0.01450
  • 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)
    0.04454
  • Compounded annual return (geometric extrapolation)
    0.04429
  • Calmar ratio (compounded annual return / max draw down)
    1.12927
  • Compounded annual return / average of 25% largest draw downs
    1.12927
  • Compounded annual return / Expected Shortfall lognormal
    1.44795
  • 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
    0.01544
  • SD
    0.05438
  • Sharpe ratio (Glass type estimate)
    0.28397
  • Sharpe ratio (Hedges UMVUE)
    0.28334
  • df
    338.00000
  • t
    0.32301
  • p
    0.37344
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.43940
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.00697
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.43985
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.00652
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.37372
  • Upside Potential Ratio
    6.46195
  • Upside part of mean
    0.26703
  • Downside part of mean
    -0.25158
  • Upside SD
    0.03524
  • Downside SD
    0.04132
  • N nonnegative terms
    170.00000
  • N negative terms
    169.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    339.00000
  • Mean of predictor
    0.06385
  • Mean of criterion
    0.01544
  • SD of predictor
    0.18362
  • SD of criterion
    0.05438
  • Covariance
    -0.00016
  • r
    -0.01596
  • b (slope, estimate of beta)
    -0.00473
  • a (intercept, estimate of alpha)
    0.01600
  • Mean Square Error
    0.00297
  • DF error
    337.00000
  • t(b)
    -0.29304
  • p(b)
    0.61516
  • t(a)
    0.32881
  • p(a)
    0.37125
  • Lowerbound of 95% confidence interval for beta
    -0.03646
  • Upperbound of 95% confidence interval for beta
    0.02700
  • Lowerbound of 95% confidence interval for alpha
    -0.07845
  • Upperbound of 95% confidence interval for alpha
    0.10994
  • Treynor index (mean / b)
    -3.26693
  • Jensen alpha (a)
    0.01574
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01396
  • SD
    0.05448
  • Sharpe ratio (Glass type estimate)
    0.25631
  • Sharpe ratio (Hedges UMVUE)
    0.25573
  • df
    338.00000
  • t
    0.29154
  • p
    0.38541
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.46704
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97928
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.46743
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.97890
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.33594
  • Upside Potential Ratio
    6.40885
  • Upside part of mean
    0.26638
  • Downside part of mean
    -0.25242
  • Upside SD
    0.03511
  • Downside SD
    0.04156
  • N nonnegative terms
    170.00000
  • N negative terms
    169.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    339.00000
  • Mean of predictor
    0.04630
  • Mean of criterion
    0.01396
  • SD of predictor
    0.18966
  • SD of criterion
    0.05448
  • Covariance
    -0.00023
  • r
    -0.02263
  • b (slope, estimate of beta)
    -0.00650
  • a (intercept, estimate of alpha)
    0.01426
  • Mean Square Error
    0.00298
  • DF error
    337.00000
  • t(b)
    -0.41559
  • p(b)
    0.66101
  • t(a)
    0.29743
  • p(a)
    0.38316
  • Lowerbound of 95% confidence interval for beta
    -0.03727
  • Upperbound of 95% confidence interval for beta
    0.02427
  • Lowerbound of 95% confidence interval for alpha
    -0.08007
  • Upperbound of 95% confidence interval for alpha
    0.10860
  • Treynor index (mean / b)
    -2.14775
  • Jensen alpha (a)
    0.01426
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00547
  • Expected Shortfall on VaR
    0.00686
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00216
  • Expected Shortfall on VaR
    0.00467
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    339.00000
  • Minimum
    0.98166
  • Quartile 1
    0.99930
  • Median
    1.00011
  • Quartile 3
    1.00141
  • Maximum
    1.01644
  • Mean of quarter 1
    0.99657
  • Mean of quarter 2
    0.99981
  • Mean of quarter 3
    1.00067
  • Mean of quarter 4
    1.00361
  • Inter Quartile Range
    0.00211
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.06195
  • Mean of outliers low
    0.99166
  • Number of outliers high
    19.00000
  • Percentage of outliers high
    0.05605
  • Mean of outliers high
    1.00734
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.56089
  • VaR(95%) (moments method)
    0.00332
  • Expected Shortfall (moments method)
    0.00864
  • Extreme Value Index (regression method)
    0.27975
  • VaR(95%) (regression method)
    0.00311
  • Expected Shortfall (regression method)
    0.00555
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00097
  • Median
    0.00578
  • Quartile 3
    0.00765
  • Maximum
    0.06239
  • Mean of quarter 1
    0.00011
  • Mean of quarter 2
    0.00392
  • Mean of quarter 3
    0.00650
  • Mean of quarter 4
    0.02834
  • Inter Quartile Range
    0.00668
  • 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
    0.08333
  • Mean of outliers high
    0.06239
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.71365
  • VaR(95%) (moments method)
    0.02971
  • Expected Shortfall (moments method)
    0.11449
  • Extreme Value Index (regression method)
    3.35798
  • VaR(95%) (regression method)
    0.07281
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.04303
  • Compounded annual return (geometric extrapolation)
    0.04276
  • Calmar ratio (compounded annual return / max draw down)
    0.68537
  • Compounded annual return / average of 25% largest draw downs
    1.50900
  • Compounded annual return / Expected Shortfall lognormal
    6.22874
  • 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
    0.07327
  • SD
    0.04315
  • Sharpe ratio (Glass type estimate)
    1.69798
  • Sharpe ratio (Hedges UMVUE)
    1.68817
  • df
    130.00000
  • t
    1.20066
  • p
    0.44764
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.08464
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.47432
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.09122
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.46756
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.05515
  • Upside Potential Ratio
    10.10890
  • Upside part of mean
    0.24243
  • Downside part of mean
    -0.16916
  • Upside SD
    0.03596
  • Downside SD
    0.02398
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.00684
  • Mean of criterion
    0.07327
  • SD of predictor
    0.24372
  • SD of criterion
    0.04315
  • Covariance
    -0.00597
  • r
    -0.56756
  • b (slope, estimate of beta)
    -0.10049
  • a (intercept, estimate of alpha)
    0.07396
  • Mean Square Error
    0.00127
  • DF error
    129.00000
  • t(b)
    -7.82948
  • p(b)
    0.84086
  • t(a)
    1.46630
  • p(a)
    0.41871
  • Lowerbound of 95% confidence interval for beta
    -0.12588
  • Upperbound of 95% confidence interval for beta
    -0.07509
  • Lowerbound of 95% confidence interval for alpha
    -0.02584
  • Upperbound of 95% confidence interval for alpha
    0.17375
  • Treynor index (mean / b)
    -0.72914
  • Jensen alpha (a)
    0.07396
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07233
  • SD
    0.04303
  • Sharpe ratio (Glass type estimate)
    1.68079
  • Sharpe ratio (Hedges UMVUE)
    1.67107
  • df
    130.00000
  • t
    1.18850
  • p
    0.44816
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.10168
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.45697
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.10816
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.45031
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.00946
  • Upside Potential Ratio
    10.05910
  • Upside part of mean
    0.24177
  • Downside part of mean
    -0.16943
  • Upside SD
    0.03578
  • Downside SD
    0.02403
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02442
  • Mean of criterion
    0.07233
  • SD of predictor
    0.25487
  • SD of criterion
    0.04303
  • Covariance
    -0.00626
  • r
    -0.57054
  • b (slope, estimate of beta)
    -0.09633
  • a (intercept, estimate of alpha)
    0.06998
  • Mean Square Error
    0.00126
  • DF error
    129.00000
  • t(b)
    -7.89032
  • p(b)
    0.84242
  • t(a)
    1.39465
  • p(a)
    0.42260
  • Lowerbound of 95% confidence interval for beta
    -0.12049
  • Upperbound of 95% confidence interval for beta
    -0.07218
  • Lowerbound of 95% confidence interval for alpha
    -0.02930
  • Upperbound of 95% confidence interval for alpha
    0.16925
  • Treynor index (mean / b)
    -0.75084
  • Jensen alpha (a)
    0.06998
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00409
  • Expected Shortfall on VaR
    0.00519
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00155
  • Expected Shortfall on VaR
    0.00316
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99380
  • Quartile 1
    0.99967
  • Median
    1.00000
  • Quartile 3
    1.00128
  • Maximum
    1.01644
  • Mean of quarter 1
    0.99774
  • Mean of quarter 2
    0.99992
  • Mean of quarter 3
    1.00053
  • Mean of quarter 4
    1.00336
  • Inter Quartile Range
    0.00161
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.99575
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.00719
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.39383
  • VaR(95%) (moments method)
    0.00216
  • Expected Shortfall (moments method)
    0.00274
  • Extreme Value Index (regression method)
    -0.48348
  • VaR(95%) (regression method)
    0.00263
  • Expected Shortfall (regression method)
    0.00330
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00038
  • Median
    0.00176
  • Quartile 3
    0.00634
  • Maximum
    0.01253
  • Mean of quarter 1
    0.00017
  • Mean of quarter 2
    0.00110
  • Mean of quarter 3
    0.00544
  • Mean of quarter 4
    0.00895
  • Inter Quartile Range
    0.00596
  • 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)
    -0.28486
  • VaR(95%) (moments method)
    0.01012
  • Expected Shortfall (moments method)
    0.01178
  • Extreme Value Index (regression method)
    0.56309
  • VaR(95%) (regression method)
    0.01080
  • Expected Shortfall (regression method)
    0.02017
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.10279
  • Compounded annual return (geometric extrapolation)
    0.10543
  • Calmar ratio (compounded annual return / max draw down)
    8.41743
  • Compounded annual return / average of 25% largest draw downs
    11.77530
  • Compounded annual return / Expected Shortfall lognormal
    20.29950

Strategy Description

Summary Statistics

Strategy began
2017-07-27
Suggested Minimum Capital
$35,000
# Trades
311
# Profitable
181
% Profitable
58.2%
Net Dividends
Correlation S&P500
0.091
Sharpe Ratio
0.281

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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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.