Collective2 Collective2
Featured Strategy S2Prox0 +78.2% Annual Return (Compounded) since Dec 23, 2022 Hypothetical

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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more
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Testfailed 0001
(109514633)

Created by: InTheMoneyResearch InTheMoneyResearch
Started: 02/2017
Futures
Last trade: 2,468 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 $199.00 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.

38.9%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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
24
Num Trades
58.3%
Win Trades
2.3 : 1
Profit Factor
4.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017       +2.1%+4.1%+7.7%+2.6%(0.8%)(0.5%)  -    -    -    -    -  +15.9%
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

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

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/13/17 8:37 @USU7 US T-BOND LONG 3 152 15/32 7/14 8:08 152 11/32 1.49%
Trade id #112577142
Max drawdown($1,750)
Time7/13/17 13:02
Quant open3
Worst price151 28/32
Drawdown as % of equity-1.49%
 ($367)
Includes Typical Broker Commissions trade costs of $24.00
6/16/17 8:52 @USU7 US T-BOND LONG 8 156 3/32 6/28 8:17 155 28/32 3.06%
Trade id #112093850
Max drawdown($3,609)
Time6/28/17 6:14
Quant open2
Worst price154 9/32
Drawdown as % of equity-3.06%
 ($1,876)
Includes Typical Broker Commissions trade costs of $64.00
6/12/17 13:27 @USU7 US T-BOND SHORT 2 154 7/32 6/13 10:51 153 30/32 0.05%
Trade id #112017784
Max drawdown($62)
Time6/12/17 13:29
Quant open-2
Worst price154 8/32
Drawdown as % of equity-0.05%
 $547
Includes Typical Broker Commissions trade costs of $16.00
6/7/17 9:46 @USU7 US T-BOND LONG 4 154 15/32 6/12 13:27 154 13/32 1.05%
Trade id #111948513
Max drawdown($1,250)
Time6/8/17 10:13
Quant open2
Worst price153 28/32
Drawdown as % of equity-1.05%
 ($219)
Includes Typical Broker Commissions trade costs of $32.00
6/1/17 8:31 @USU7 US T-BOND LONG 2 153 11/32 6/2 8:04 153 25/32 0.37%
Trade id #111866884
Max drawdown($438)
Time6/1/17 9:11
Quant open2
Worst price153 4/32
Drawdown as % of equity-0.37%
 $858
Includes Typical Broker Commissions trade costs of $16.00
5/23/17 11:27 @USM7 US T-BOND LONG 3 153 24/32 5/30 11:14 153 31/32 1.51%
Trade id #111731126
Max drawdown($1,781)
Time5/23/17 15:06
Quant open3
Worst price153 5/32
Drawdown as % of equity-1.51%
 $601
Includes Typical Broker Commissions trade costs of $24.00
5/11/17 19:33 @USM7 US T-BOND SHORT 5 151 11/32 5/16 19:38 151 25/32 1.87%
Trade id #111560927
Max drawdown($2,219)
Time5/16/17 19:38
Quant open3
Worst price152 2/32
Drawdown as % of equity-1.87%
 ($2,259)
Includes Typical Broker Commissions trade costs of $40.00
5/10/17 8:22 @USM7 US T-BOND SHORT 2 151 5/32 5/10 13:26 150 19/32 0.26%
Trade id #111511472
Max drawdown($313)
Time5/10/17 9:05
Quant open-2
Worst price151 10/32
Drawdown as % of equity-0.26%
 $1,109
Includes Typical Broker Commissions trade costs of $16.00
5/5/17 8:40 @USM7 US T-BOND SHORT 2 152 6/32 5/8 10:04 151 14/32 0.4%
Trade id #111426797
Max drawdown($468)
Time5/8/17 6:16
Quant open-2
Worst price152 13/32
Drawdown as % of equity-0.40%
 $1,484
Includes Typical Broker Commissions trade costs of $16.00
5/2/17 9:57 @USM7 US T-BOND SHORT 2 152 22/32 5/4 9:29 151 31/32 0.94%
Trade id #111361667
Max drawdown($1,093)
Time5/3/17 8:20
Quant open-2
Worst price153 7/32
Drawdown as % of equity-0.94%
 $1,421
Includes Typical Broker Commissions trade costs of $16.00
4/24/17 11:56 @USM7 US T-BOND SHORT 4 153 6/32 5/1 12:04 152 11/32 0.05%
Trade id #111231096
Max drawdown($62)
Time4/24/17 11:59
Quant open-2
Worst price153 22/32
Drawdown as % of equity-0.05%
 $3,406
Includes Typical Broker Commissions trade costs of $32.00
4/19/17 9:57 @USM7 US T-BOND LONG 2 154 9/32 4/24 11:55 153 6/32 1.94%
Trade id #111119962
Max drawdown($2,188)
Time4/24/17 11:55
Quant open1
Worst price153 20/32
Drawdown as % of equity-1.94%
 ($2,204)
Includes Typical Broker Commissions trade costs of $16.00
4/17/17 10:27 @USM7 US T-BOND LONG 2 153 21/32 4/18 9:35 154 11/32 0.6%
Trade id #111052017
Max drawdown($687)
Time4/17/17 15:15
Quant open2
Worst price153 10/32
Drawdown as % of equity-0.60%
 $1,328
Includes Typical Broker Commissions trade costs of $16.00
4/4/17 11:48 @USM7 US T-BOND LONG 7 151 12/32 4/11 10:58 152 15/32 1.74%
Trade id #110690229
Max drawdown($1,843)
Time4/5/17 9:50
Quant open3
Worst price150 27/32
Drawdown as % of equity-1.74%
 $7,414
Includes Typical Broker Commissions trade costs of $56.00
4/4/17 9:28 @USM7 US T-BOND LONG 2 151 26/32 4/4 9:33 151 26/32 0%
Trade id #110683030
Max drawdown($1)
Time4/4/17 9:33
Quant open0
Worst price151 26/32
Drawdown as % of equity-0.00%
 ($17)
Includes Typical Broker Commissions trade costs of $16.00
4/3/17 7:43 @USM7 US T-BOND SHORT 2 150 26/32 4/3 8:03 151 1/32 0.53%
Trade id #110641052
Max drawdown($563)
Time4/3/17 8:02
Quant open-2
Worst price151 3/32
Drawdown as % of equity-0.53%
 ($454)
Includes Typical Broker Commissions trade costs of $16.00
3/31/17 13:02 @USM7 US T-BOND SHORT 2 150 23/32 4/3 6:16 151 1/32 0.58%
Trade id #110588831
Max drawdown($625)
Time4/2/17 18:01
Quant open-2
Worst price151 1/32
Drawdown as % of equity-0.58%
 ($641)
Includes Typical Broker Commissions trade costs of $16.00
3/16/17 10:04 @USM7 US T-BOND LONG 9 149 14/32 3/31 12:47 150 9/32 0.12%
Trade id #110274068
Max drawdown($125)
Time3/16/17 10:11
Quant open2
Worst price147 14/32
Drawdown as % of equity-0.12%
 $7,584
Includes Typical Broker Commissions trade costs of $72.00
3/3/17 16:38 @USM7 US T-BOND SHORT 9 148 5/32 3/16 7:39 147 31/32 1.7%
Trade id #110031451
Max drawdown($1,654)
Time3/6/17 4:19
Quant open-4
Worst price149 30/32
Drawdown as % of equity-1.70%
 $1,620
Includes Typical Broker Commissions trade costs of $72.00
2/27/17 14:26 @USM7 US T-BOND LONG 4 150 29/32 3/3 16:37 149 18/32 6.81%
Trade id #109882114
Max drawdown($6,632)
Time3/3/17 13:34
Quant open3
Worst price148 22/32
Drawdown as % of equity-6.81%
 ($5,374)
Includes Typical Broker Commissions trade costs of $32.00
2/22/17 10:50 @USH7 US T-BOND LONG 2 151 4/32 2/24 12:04 152 16/32 0.74%
Trade id #109747706
Max drawdown($749)
Time2/22/17 13:32
Quant open2
Worst price150 24/32
Drawdown as % of equity-0.74%
 $2,704
Includes Typical Broker Commissions trade costs of $16.00
2/21/17 21:24 @USH7 US T-BOND LONG 1 151 5/32 2/22 5:33 151 23/32 0.34%
Trade id #109727103
Max drawdown($343)
Time2/22/17 1:18
Quant open1
Worst price150 26/32
Drawdown as % of equity-0.34%
 $555
Includes Typical Broker Commissions trade costs of $8.00
2/20/17 18:45 @USH7 US T-BOND LONG 4 150 30/32 2/21 18:20 151 12/32 1.47%
Trade id #109681630
Max drawdown($1,437)
Time2/21/17 5:05
Quant open4
Worst price150 19/32
Drawdown as % of equity-1.47%
 $1,687
Includes Typical Broker Commissions trade costs of $32.00
2/16/17 10:13 @USH7 US T-BOND SHORT 6 150 31/32 2/20 7:18 151 5/32 5.25%
Trade id #109598518
Max drawdown($5,025)
Time2/17/17 8:41
Quant open-5
Worst price151 31/32
Drawdown as % of equity-5.25%
 ($1,267)
Includes Typical Broker Commissions trade costs of $48.00
Next

Statistics

  • Strategy began
    2/14/2017
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    2609.77
  • Age
    87 months ago
  • What it trades
    Futures
  • # Trades
    24
  • # Profitable
    14
  • % Profitable
    58.30%
  • Avg trade duration
    4.1 days
  • Max peak-to-valley drawdown
    8.61%
  • drawdown period
    March 13, 2017 - March 15, 2017
  • Cumul. Return
    16.1%
  • Avg win
    $2,337
  • Avg loss
    $1,437
  • Model Account Values (Raw)
  • Cash
    $118,352
  • Margin Used
    $0
  • Buying Power
    $118,352
  • Ratios
  • W:L ratio
    2.28:1
  • Sharpe Ratio
    0.05
  • Sortino Ratio
    0.07
  • Calmar Ratio
    2.237
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    10.13%
  • Correlation to SP500
    -0.01880
  • Return Percent SP500 (cumu) during strategy life
    116.54%
  • Return Statistics
  • Ann Return (w trading costs)
    38.9%
  • Slump
  • Current Slump as Pcnt Equity
    5.30%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.95%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.161%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    5.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    718
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    411
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,437
  • Avg Win
    $2,338
  • Sum Trade PL (losers)
    $14,374.000
  • Age
  • Num Months filled monthly returns table
    87
  • Win / Loss
  • Sum Trade PL (winners)
    $32,726.000
  • # Winners
    14
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    10
  • % Winners
    58.3%
  • Frequency
  • Avg Position Time (mins)
    5941.20
  • Avg Position Time (hrs)
    99.02
  • Avg Trade Length
    4.1 days
  • Last Trade Ago
    2460
  • Regression
  • Alpha
    0.00
  • Beta
    -0.00
  • Treynor Index
    -0.17
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    11.69
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    36.20
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.67
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    1.903
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.338
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.660
  • Hold-and-Hope Ratio
    0.525
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40128
  • SD
    0.21966
  • Sharpe ratio (Glass type estimate)
    1.82681
  • Sharpe ratio (Hedges UMVUE)
    1.45759
  • df
    4.00000
  • t
    1.17920
  • p
    0.15183
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.53901
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.00700
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.74236
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.65754
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.55650
  • Upside Potential Ratio
    14.38450
  • Upside part of mean
    0.45970
  • Downside part of mean
    -0.05842
  • Upside SD
    0.22583
  • Downside SD
    0.03196
  • N nonnegative terms
    3.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.09573
  • Mean of criterion
    0.40128
  • SD of predictor
    0.05901
  • SD of criterion
    0.21966
  • Covariance
    -0.01010
  • r
    -0.77887
  • b (slope, estimate of beta)
    -2.89908
  • a (intercept, estimate of alpha)
    0.67881
  • Mean Square Error
    0.02531
  • DF error
    3.00000
  • t(b)
    -2.15093
  • p(b)
    0.93970
  • t(a)
    2.44016
  • p(a)
    0.04624
  • Lowerbound of 95% confidence interval for beta
    -7.18847
  • Upperbound of 95% confidence interval for beta
    1.39032
  • Lowerbound of 95% confidence interval for alpha
    -0.20649
  • Upperbound of 95% confidence interval for alpha
    1.56411
  • Treynor index (mean / b)
    -0.13842
  • Jensen alpha (a)
    0.67881
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37648
  • SD
    0.20630
  • Sharpe ratio (Glass type estimate)
    1.82489
  • Sharpe ratio (Hedges UMVUE)
    1.45605
  • df
    4.00000
  • t
    1.17796
  • p
    0.15205
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.54032
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.00467
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.74356
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.65566
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.69210
  • Upside Potential Ratio
    13.51820
  • Upside part of mean
    0.43528
  • Downside part of mean
    -0.05880
  • Upside SD
    0.21171
  • Downside SD
    0.03220
  • N nonnegative terms
    3.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.09376
  • Mean of criterion
    0.37648
  • SD of predictor
    0.05850
  • SD of criterion
    0.20630
  • Covariance
    -0.00940
  • r
    -0.77861
  • b (slope, estimate of beta)
    -2.74567
  • a (intercept, estimate of alpha)
    0.63392
  • Mean Square Error
    0.02235
  • DF error
    3.00000
  • t(b)
    -2.14912
  • p(b)
    0.93960
  • t(a)
    2.43136
  • p(a)
    0.04661
  • Lowerbound of 95% confidence interval for beta
    -6.81150
  • Upperbound of 95% confidence interval for beta
    1.32016
  • Lowerbound of 95% confidence interval for alpha
    -0.19583
  • Upperbound of 95% confidence interval for alpha
    1.46366
  • Treynor index (mean / b)
    -0.13712
  • Jensen alpha (a)
    0.63392
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06442
  • Expected Shortfall on VaR
    0.08719
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00982
  • Expected Shortfall on VaR
    0.01904
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.98212
  • Quartile 1
    0.99820
  • Median
    1.01581
  • Quartile 3
    1.04030
  • Maximum
    1.14242
  • Mean of quarter 1
    0.99016
  • Mean of quarter 2
    1.01581
  • Mean of quarter 3
    1.04030
  • Mean of quarter 4
    1.14242
  • Inter Quartile Range
    0.04210
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    1.14242
  • Risk estimates for a one-period unit investment (based on Ex
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00180
  • Quartile 1
    0.00582
  • Median
    0.00984
  • Quartile 3
    0.01386
  • Maximum
    0.01788
  • Mean of quarter 1
    0.00180
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.01788
  • Inter Quartile Range
    0.00804
  • 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)
    0.44045
  • Compounded annual return (geometric extrapolation)
    0.49838
  • Calmar ratio (compounded annual return / max draw down)
    27.86920
  • Compounded annual return / average of 25% largest draw downs
    27.86920
  • Compounded annual return / Expected Shortfall lognormal
    5.71601
  • 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
    0.36407
  • SD
    0.14949
  • Sharpe ratio (Glass type estimate)
    2.43547
  • Sharpe ratio (Hedges UMVUE)
    2.41955
  • df
    115.00000
  • t
    1.62054
  • p
    0.40523
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.53202
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.39260
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.54257
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.38167
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.36347
  • Upside Potential Ratio
    8.95297
  • Upside part of mean
    0.96910
  • Downside part of mean
    -0.60503
  • Upside SD
    0.10461
  • Downside SD
    0.10824
  • N nonnegative terms
    63.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    116.00000
  • Mean of predictor
    0.10555
  • Mean of criterion
    0.36407
  • SD of predictor
    0.07109
  • SD of criterion
    0.14949
  • Covariance
    -0.00286
  • r
    -0.26952
  • b (slope, estimate of beta)
    -0.56677
  • a (intercept, estimate of alpha)
    0.10100
  • Mean Square Error
    0.02091
  • DF error
    114.00000
  • t(b)
    -2.98826
  • p(b)
    0.63476
  • t(a)
    1.94256
  • p(a)
    0.41050
  • Lowerbound of 95% confidence interval for beta
    -0.94250
  • Upperbound of 95% confidence interval for beta
    -0.19104
  • Lowerbound of 95% confidence interval for alpha
    -0.00839
  • Upperbound of 95% confidence interval for alpha
    0.85618
  • Treynor index (mean / b)
    -0.64236
  • Jensen alpha (a)
    0.42390
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35265
  • SD
    0.15011
  • Sharpe ratio (Glass type estimate)
    2.34928
  • Sharpe ratio (Hedges UMVUE)
    2.33393
  • df
    115.00000
  • t
    1.56320
  • p
    0.40849
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.61683
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.30540
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.62704
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.29490
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.21568
  • Upside Potential Ratio
    8.78637
  • Upside part of mean
    0.96358
  • Downside part of mean
    -0.61092
  • Upside SD
    0.10386
  • Downside SD
    0.10967
  • N nonnegative terms
    63.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    116.00000
  • Mean of predictor
    0.10301
  • Mean of criterion
    0.35265
  • SD of predictor
    0.07112
  • SD of criterion
    0.15011
  • Covariance
    -0.00287
  • r
    -0.26865
  • b (slope, estimate of beta)
    -0.56700
  • a (intercept, estimate of alpha)
    0.41106
  • Mean Square Error
    0.02109
  • DF error
    114.00000
  • t(b)
    -2.97785
  • p(b)
    0.63432
  • t(a)
    1.87584
  • p(a)
    0.41348
  • Lowerbound of 95% confidence interval for beta
    -0.94419
  • Upperbound of 95% confidence interval for beta
    -0.18981
  • Lowerbound of 95% confidence interval for alpha
    -0.02304
  • Upperbound of 95% confidence interval for alpha
    0.84517
  • Treynor index (mean / b)
    -0.62197
  • Jensen alpha (a)
    0.41106
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01381
  • Expected Shortfall on VaR
    0.01762
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00486
  • Expected Shortfall on VaR
    0.01087
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    116.00000
  • Minimum
    0.96441
  • Quartile 1
    0.99983
  • Median
    1.00076
  • Quartile 3
    1.00555
  • Maximum
    1.02233
  • Mean of quarter 1
    0.99096
  • Mean of quarter 2
    1.00007
  • Mean of quarter 3
    1.00327
  • Mean of quarter 4
    1.01169
  • Inter Quartile Range
    0.00572
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.08621
  • Mean of outliers low
    0.97991
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.07759
  • Mean of outliers high
    1.01741
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.72671
  • VaR(95%) (moments method)
    0.00568
  • Expected Shortfall (moments method)
    0.02486
  • Extreme Value Index (regression method)
    0.13058
  • VaR(95%) (regression method)
    0.00700
  • Expected Shortfall (regression method)
    0.01212
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00139
  • Quartile 1
    0.02186
  • Median
    0.02581
  • Quartile 3
    0.04433
  • Maximum
    0.05782
  • Mean of quarter 1
    0.01097
  • Mean of quarter 2
    0.02364
  • Mean of quarter 3
    0.03514
  • Mean of quarter 4
    0.05212
  • Inter Quartile Range
    0.02247
  • 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)
    0.41450
  • Compounded annual return (geometric extrapolation)
    0.46311
  • Calmar ratio (compounded annual return / max draw down)
    8.01007
  • Compounded annual return / average of 25% largest draw downs
    8.88534
  • Compounded annual return / Expected Shortfall lognormal
    26.28240
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.00800
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Max Equity Drawdown (num days)
    2

Strategy Description

Summary Statistics

Strategy began
2017-02-14
Suggested Minimum Capital
$45,000
# Trades
24
# Profitable
14
% Profitable
58.3%
Correlation S&P500
-0.019
Sharpe Ratio
0.05
Sortino Ratio
0.07
Beta
-0.00
Alpha
0.00

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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