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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

QT DayTrader Gold
(109675071)

Created by: quantimer-dot-net quantimer-dot-net
Started: 02/2017
Stocks
Last trade: 2,401 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 $75.00 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.

10.4%
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.

(14.6%)
Max Drawdown
268
Num Trades
43.3%
Win Trades
1.2 : 1
Profit Factor
4.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017       +14.2%(0.6%)+1.3%+2.5%(2.8%)+2.1%(9.5%)(0.7%)  -    -    -  +5.1%
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

This strategy has placed 930 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/1/17 10:00 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 496 21.77 9/1 15:50 21.06 0.78%
Trade id #113490973
Max drawdown($446)
Time9/1/17 14:17
Quant open496
Worst price20.87
Drawdown as % of equity-0.78%
($362)
Includes Typical Broker Commissions trade costs of $9.92
8/31/17 14:03 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 1,014 39.41 8/31 15:50 39.66 0.02%
Trade id #113475142
Max drawdown($9)
Time8/31/17 14:08
Quant open477
Worst price39.27
Drawdown as % of equity-0.02%
$242
Includes Typical Broker Commissions trade costs of $14.54
8/31/17 12:45 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 507 21.90 8/31 15:50 21.17 0.7%
Trade id #113473414
Max drawdown($405)
Time8/31/17 15:38
Quant open507
Worst price21.10
Drawdown as % of equity-0.70%
($375)
Includes Typical Broker Commissions trade costs of $5.00
8/31/17 10:22 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 1,025 39.03 8/31 12:38 39.03 0.81%
Trade id #113468868
Max drawdown($470)
Time8/31/17 11:12
Quant open1,025
Worst price38.57
Drawdown as % of equity-0.81%
($21)
Includes Typical Broker Commissions trade costs of $14.62
8/30/17 12:34 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 1,067 38.07 8/30 15:51 37.50 1.6%
Trade id #113449227
Max drawdown($930)
Time8/30/17 14:38
Quant open1,067
Worst price37.20
Drawdown as % of equity-1.60%
($622)
Includes Typical Broker Commissions trade costs of $10.00
8/30/17 9:47 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 1,131 22.56 8/30 14:46 22.63 0.08%
Trade id #113441919
Max drawdown($48)
Time8/30/17 12:36
Quant open490
Worst price22.35
Drawdown as % of equity-0.08%
$64
Includes Typical Broker Commissions trade costs of $14.80
8/29/17 15:18 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 1,146 22.79 8/29 15:50 22.24 1.06%
Trade id #113420469
Max drawdown($628)
Time8/29/17 15:50
Quant open495
Worst price22.24
Drawdown as % of equity-1.06%
($643)
Includes Typical Broker Commissions trade costs of $14.90
8/29/17 11:08 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 499 22.43 8/29 15:12 22.51 0.45%
Trade id #113410922
Max drawdown($264)
Time8/29/17 13:53
Quant open499
Worst price21.90
Drawdown as % of equity-0.45%
$31
Includes Typical Broker Commissions trade costs of $9.98
8/28/17 10:58 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 1,084 35.51 8/28 15:51 37.48 0.15%
Trade id #113385389
Max drawdown($88)
Time8/28/17 11:00
Quant open1,084
Worst price35.43
Drawdown as % of equity-0.15%
$2,127
Includes Typical Broker Commissions trade costs of $10.00
8/25/17 11:05 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 1,123 34.50 8/25 15:51 34.11 0.81%
Trade id #113342243
Max drawdown($462)
Time8/25/17 14:23
Quant open595
Worst price33.94
Drawdown as % of equity-0.81%
($441)
Includes Typical Broker Commissions trade costs of $10.00
8/25/17 12:31 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 1,034 25.17 8/25 15:50 25.12 0.15%
Trade id #113345327
Max drawdown($88)
Time8/25/17 13:01
Quant open445
Worst price24.92
Drawdown as % of equity-0.15%
($65)
Includes Typical Broker Commissions trade costs of $13.90
8/25/17 9:55 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 448 25.90 8/25 11:01 24.97 0.72%
Trade id #113339216
Max drawdown($416)
Time8/25/17 10:51
Quant open448
Worst price24.97
Drawdown as % of equity-0.72%
($425)
Includes Typical Broker Commissions trade costs of $8.96
8/24/17 15:00 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 1,115 25.47 8/24 15:50 25.54 0.18%
Trade id #113325672
Max drawdown($104)
Time8/24/17 15:33
Quant open1,115
Worst price25.38
Drawdown as % of equity-0.18%
$63
Includes Typical Broker Commissions trade costs of $10.00
8/24/17 12:46 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 1,149 33.79 8/24 13:16 33.83 0.19%
Trade id #113321983
Max drawdown($109)
Time8/24/17 12:50
Quant open1,149
Worst price33.69
Drawdown as % of equity-0.19%
$42
Includes Typical Broker Commissions trade costs of $10.00
8/23/17 15:04 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 1,164 33.16 8/23 15:51 33.31 0.17%
Trade id #113303010
Max drawdown($98)
Time8/23/17 15:28
Quant open1,164
Worst price33.08
Drawdown as % of equity-0.17%
$154
Includes Typical Broker Commissions trade costs of $10.00
8/23/17 10:25 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 1,100 26.25 8/23 15:50 25.76 0.95%
Trade id #113295470
Max drawdown($548)
Time8/23/17 15:47
Quant open1,100
Worst price25.75
Drawdown as % of equity-0.95%
($548)
Includes Typical Broker Commissions trade costs of $10.00
8/22/17 9:58 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 1,607 26.24 8/22 15:50 26.16 0.58%
Trade id #113274575
Max drawdown($338)
Time8/22/17 11:13
Quant open1,105
Worst price25.90
Drawdown as % of equity-0.58%
($154)
Includes Typical Broker Commissions trade costs of $15.00
8/21/17 12:29 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 487 26.17 8/21 15:50 25.75 0.38%
Trade id #113259153
Max drawdown($223)
Time8/21/17 15:47
Quant open487
Worst price25.71
Drawdown as % of equity-0.38%
($214)
Includes Typical Broker Commissions trade costs of $9.74
8/18/17 11:35 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 2,105 26.46 8/18 15:50 26.75 0.32%
Trade id #113224862
Max drawdown($186)
Time8/18/17 11:49
Quant open705
Worst price26.02
Drawdown as % of equity-0.32%
$595
Includes Typical Broker Commissions trade costs of $15.00
8/17/17 11:00 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 1,393 26.77 8/17 15:50 26.48 0.7%
Trade id #113199055
Max drawdown($406)
Time8/17/17 15:50
Quant open698
Worst price26.48
Drawdown as % of equity-0.70%
($416)
Includes Typical Broker Commissions trade costs of $10.00
8/16/17 13:03 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 1,218 31.70 8/16 15:51 32.67 0.07%
Trade id #113178720
Max drawdown($41)
Time8/16/17 13:05
Quant open611
Worst price31.54
Drawdown as % of equity-0.07%
$1,166
Includes Typical Broker Commissions trade costs of $10.00
8/16/17 12:31 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 1,389 27.90 8/16 14:01 26.79 2.66%
Trade id #113177851
Max drawdown($1,544)
Time8/16/17 14:01
Quant open695
Worst price26.72
Drawdown as % of equity-2.66%
($1,554)
Includes Typical Broker Commissions trade costs of $10.00
8/16/17 10:02 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 618 31.22 8/16 12:16 31.26 0.18%
Trade id #113172863
Max drawdown($105)
Time8/16/17 10:19
Quant open618
Worst price31.05
Drawdown as % of equity-0.18%
$20
Includes Typical Broker Commissions trade costs of $5.00
8/15/17 13:19 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 1,256 30.98 8/15 15:51 30.73 0.88%
Trade id #113157769
Max drawdown($517)
Time8/15/17 14:26
Quant open1,256
Worst price30.57
Drawdown as % of equity-0.88%
($322)
Includes Typical Broker Commissions trade costs of $10.00
8/15/17 10:01 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 1,367 28.69 8/15 15:50 28.31 1.43%
Trade id #113151336
Max drawdown($846)
Time8/15/17 13:20
Quant open1,367
Worst price28.07
Drawdown as % of equity-1.43%
($528)
Includes Typical Broker Commissions trade costs of $10.00
8/14/17 10:18 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 1,430 27.44 8/14 15:50 27.37 1.07%
Trade id #113129598
Max drawdown($633)
Time8/14/17 12:45
Quant open1,430
Worst price27.00
Drawdown as % of equity-1.07%
($115)
Includes Typical Broker Commissions trade costs of $10.00
8/11/17 14:23 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 1,177 33.05 8/11 15:51 33.06 0.37%
Trade id #113110742
Max drawdown($222)
Time8/11/17 14:29
Quant open1,177
Worst price32.86
Drawdown as % of equity-0.37%
$7
Includes Typical Broker Commissions trade costs of $10.00
8/11/17 11:05 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 1,486 26.88 8/11 15:50 26.38 1.74%
Trade id #113107687
Max drawdown($1,038)
Time8/11/17 15:09
Quant open1,486
Worst price26.18
Drawdown as % of equity-1.74%
($752)
Includes Typical Broker Commissions trade costs of $10.00
8/10/17 15:44 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 1,182 32.87 8/10 15:51 32.86 0.18%
Trade id #113091998
Max drawdown($110)
Time8/10/17 15:49
Quant open1,182
Worst price32.77
Drawdown as % of equity-0.18%
($24)
Includes Typical Broker Commissions trade costs of $10.00
8/10/17 12:04 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 1,501 27.01 8/10 15:50 26.62 1%
Trade id #113085488
Max drawdown($606)
Time8/10/17 15:46
Quant open1,501
Worst price26.61
Drawdown as % of equity-1.00%
($594)
Includes Typical Broker Commissions trade costs of $10.00

Statistics

  • Strategy began
    2/20/2017
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    2586.18
  • Age
    86 months ago
  • What it trades
    Stocks
  • # Trades
    268
  • # Profitable
    116
  • % Profitable
    43.30%
  • Avg trade duration
    2.9 hours
  • Max peak-to-valley drawdown
    14.61%
  • drawdown period
    June 16, 2017 - Aug 28, 2017
  • Cumul. Return
    5.5%
  • Avg win
    $487.30
  • Avg loss
    $321.63
  • Model Account Values (Raw)
  • Cash
    $57,646
  • Margin Used
    $0
  • Buying Power
    $57,646
  • Ratios
  • W:L ratio
    1.16:1
  • Sharpe Ratio
    -0.18
  • Sortino Ratio
    -0.31
  • Calmar Ratio
    0.854
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    0.20%
  • Correlation to SP500
    0.00260
  • Return Percent SP500 (cumu) during strategy life
    123.48%
  • Return Statistics
  • Ann Return (w trading costs)
    10.3%
  • Slump
  • Current Slump as Pcnt Equity
    16.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • 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)
    0.055%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    8.00%
  • 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
    99.47%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    683
  • Popularity (Last 6 weeks)
    853
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    722
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $322
  • Avg Win
    $487
  • Sum Trade PL (losers)
    $48,888.000
  • Age
  • Num Months filled monthly returns table
    86
  • Win / Loss
  • Sum Trade PL (winners)
    $56,527.000
  • # Winners
    116
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    152
  • % Winners
    43.3%
  • Frequency
  • Avg Position Time (mins)
    175.92
  • Avg Position Time (hrs)
    2.93
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    2393
  • Regression
  • Alpha
    -0.00
  • Beta
    0.00
  • Treynor Index
    -3.70
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    43.44
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    65.06
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.40
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    3884.820
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.390
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.437
  • Hold-and-Hope Ratio
    0.000
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30782
  • SD
    0.24495
  • Sharpe ratio (Glass type estimate)
    1.25665
  • Sharpe ratio (Hedges UMVUE)
    1.05653
  • df
    5.00000
  • t
    0.88859
  • p
    0.20746
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.67316
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.07373
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.79158
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.90464
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.24950
  • Upside Potential Ratio
    5.22732
  • Upside part of mean
    0.49517
  • Downside part of mean
    -0.18736
  • Upside SD
    0.22119
  • Downside SD
    0.09473
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.05744
  • Mean of criterion
    0.30782
  • SD of predictor
    0.04045
  • SD of criterion
    0.24495
  • Covariance
    -0.00019
  • r
    -0.01931
  • b (slope, estimate of beta)
    -0.11690
  • a (intercept, estimate of alpha)
    0.31453
  • Mean Square Error
    0.07497
  • DF error
    4.00000
  • t(b)
    -0.03862
  • p(b)
    0.51448
  • t(a)
    0.74099
  • p(a)
    0.24992
  • Lowerbound of 95% confidence interval for beta
    -8.52285
  • Upperbound of 95% confidence interval for beta
    8.28904
  • Lowerbound of 95% confidence interval for alpha
    -0.86423
  • Upperbound of 95% confidence interval for alpha
    1.49330
  • Treynor index (mean / b)
    -2.63314
  • Jensen alpha (a)
    0.31453
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27997
  • SD
    0.23538
  • Sharpe ratio (Glass type estimate)
    1.18945
  • Sharpe ratio (Hedges UMVUE)
    1.00002
  • df
    5.00000
  • t
    0.84106
  • p
    0.21934
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.72729
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.99876
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.84023
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.84028
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.88946
  • Upside Potential Ratio
    4.86624
  • Upside part of mean
    0.47151
  • Downside part of mean
    -0.19154
  • Upside SD
    0.20812
  • Downside SD
    0.09689
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.05650
  • Mean of criterion
    0.27997
  • SD of predictor
    0.04019
  • SD of criterion
    0.23538
  • Covariance
    -0.00005
  • r
    -0.00555
  • b (slope, estimate of beta)
    -0.03253
  • a (intercept, estimate of alpha)
    0.28181
  • Mean Square Error
    0.06925
  • DF error
    4.00000
  • t(b)
    -0.01111
  • p(b)
    0.50417
  • t(a)
    0.69192
  • p(a)
    0.26353
  • Lowerbound of 95% confidence interval for beta
    -8.16518
  • Upperbound of 95% confidence interval for beta
    8.10011
  • Lowerbound of 95% confidence interval for alpha
    -0.84922
  • Upperbound of 95% confidence interval for alpha
    1.41284
  • Treynor index (mean / b)
    -8.60538
  • Jensen alpha (a)
    0.28181
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08464
  • Expected Shortfall on VaR
    0.10998
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02835
  • Expected Shortfall on VaR
    0.05383
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.94846
  • Quartile 1
    0.97633
  • Median
    1.03118
  • Quartile 3
    1.04889
  • Maximum
    1.14422
  • Mean of quarter 1
    0.95549
  • Mean of quarter 2
    1.01775
  • Mean of quarter 3
    1.04460
  • Mean of quarter 4
    1.09727
  • Inter Quartile Range
    0.07256
  • 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 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
    1.00000
  • Minimum
    0.08709
  • Quartile 1
    0.08709
  • Median
    0.08709
  • Quartile 3
    0.08709
  • Maximum
    0.08709
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    0.33284
  • Compounded annual return (geometric extrapolation)
    0.36054
  • Calmar ratio (compounded annual return / max draw down)
    4.13982
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    3.27817
  • 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
    0.25440
  • SD
    0.17974
  • Sharpe ratio (Glass type estimate)
    1.41532
  • Sharpe ratio (Hedges UMVUE)
    1.40767
  • df
    139.00000
  • t
    1.03459
  • p
    0.44442
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.27355
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.09923
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.27866
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.09401
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.71938
  • Upside Potential Ratio
    12.12100
  • Upside part of mean
    1.13392
  • Downside part of mean
    -0.87952
  • Upside SD
    0.15354
  • Downside SD
    0.09355
  • N nonnegative terms
    66.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    140.00000
  • Mean of predictor
    0.07212
  • Mean of criterion
    0.25440
  • SD of predictor
    0.07469
  • SD of criterion
    0.17974
  • Covariance
    0.00013
  • r
    0.00969
  • b (slope, estimate of beta)
    0.02332
  • a (intercept, estimate of alpha)
    0.07200
  • Mean Square Error
    0.03254
  • DF error
    138.00000
  • t(b)
    0.11383
  • p(b)
    0.49516
  • t(a)
    1.02227
  • p(a)
    0.45665
  • Lowerbound of 95% confidence interval for beta
    -0.38171
  • Upperbound of 95% confidence interval for beta
    0.42835
  • Lowerbound of 95% confidence interval for alpha
    -0.23609
  • Upperbound of 95% confidence interval for alpha
    0.74153
  • Treynor index (mean / b)
    10.91040
  • Jensen alpha (a)
    0.25272
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23843
  • SD
    0.17802
  • Sharpe ratio (Glass type estimate)
    1.33935
  • Sharpe ratio (Hedges UMVUE)
    1.33211
  • df
    139.00000
  • t
    0.97906
  • p
    0.44738
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.34888
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.02283
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.35369
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.01791
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.53124
  • Upside Potential Ratio
    11.91450
  • Upside part of mean
    1.12227
  • Downside part of mean
    -0.88384
  • Upside SD
    0.15102
  • Downside SD
    0.09419
  • N nonnegative terms
    66.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    140.00000
  • Mean of predictor
    0.06933
  • Mean of criterion
    0.23843
  • SD of predictor
    0.07478
  • SD of criterion
    0.17802
  • Covariance
    0.00015
  • r
    0.01096
  • b (slope, estimate of beta)
    0.02609
  • a (intercept, estimate of alpha)
    0.23662
  • Mean Square Error
    0.03192
  • DF error
    138.00000
  • t(b)
    0.12876
  • p(b)
    0.49452
  • t(a)
    0.96659
  • p(a)
    0.45900
  • Lowerbound of 95% confidence interval for beta
    -0.37456
  • Upperbound of 95% confidence interval for beta
    0.42674
  • Lowerbound of 95% confidence interval for alpha
    -0.24742
  • Upperbound of 95% confidence interval for alpha
    0.72065
  • Treynor index (mean / b)
    9.13838
  • Jensen alpha (a)
    0.23662
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01703
  • Expected Shortfall on VaR
    0.02153
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00809
  • Expected Shortfall on VaR
    0.01408
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    140.00000
  • Minimum
    0.97265
  • Quartile 1
    0.99435
  • Median
    0.99974
  • Quartile 3
    1.00471
  • Maximum
    1.06110
  • Mean of quarter 1
    0.99015
  • Mean of quarter 2
    0.99665
  • Mean of quarter 3
    1.00181
  • Mean of quarter 4
    1.01569
  • Inter Quartile Range
    0.01036
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01429
  • Mean of outliers low
    0.97557
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03571
  • Mean of outliers high
    1.03537
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.10640
  • VaR(95%) (moments method)
    0.01021
  • Expected Shortfall (moments method)
    0.01260
  • Extreme Value Index (regression method)
    0.15787
  • VaR(95%) (regression method)
    0.00964
  • Expected Shortfall (regression method)
    0.01299
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00144
  • Quartile 1
    0.00657
  • Median
    0.02008
  • Quartile 3
    0.03739
  • Maximum
    0.11530
  • Mean of quarter 1
    0.00244
  • Mean of quarter 2
    0.01490
  • Mean of quarter 3
    0.02205
  • Mean of quarter 4
    0.08402
  • Inter Quartile Range
    0.03082
  • 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
    0.14286
  • Mean of outliers high
    0.11530
  • 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)
    0.28622
  • Compounded annual return (geometric extrapolation)
    0.30517
  • Calmar ratio (compounded annual return / max draw down)
    2.64673
  • Compounded annual return / average of 25% largest draw downs
    3.63220
  • Compounded annual return / Expected Shortfall lognormal
    14.17290
  • 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
    -0.04391
  • SD
    0.14858
  • Sharpe ratio (Glass type estimate)
    -0.29549
  • Sharpe ratio (Hedges UMVUE)
    -0.29379
  • df
    130.00000
  • t
    -0.20895
  • p
    0.50916
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.06705
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.47703
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.06582
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.47825
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.45472
  • Upside Potential Ratio
    9.17472
  • Upside part of mean
    0.88587
  • Downside part of mean
    -0.92978
  • Upside SD
    0.11222
  • Downside SD
    0.09656
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.05172
  • Mean of criterion
    -0.04391
  • SD of predictor
    0.07375
  • SD of criterion
    0.14858
  • Covariance
    0.00067
  • r
    0.06126
  • b (slope, estimate of beta)
    0.12341
  • a (intercept, estimate of alpha)
    -0.05029
  • Mean Square Error
    0.02217
  • DF error
    129.00000
  • t(b)
    0.69707
  • p(b)
    0.46103
  • t(a)
    -0.23862
  • p(a)
    0.51337
  • Lowerbound of 95% confidence interval for beta
    -0.22688
  • Upperbound of 95% confidence interval for beta
    0.47371
  • Lowerbound of 95% confidence interval for alpha
    -0.46725
  • Upperbound of 95% confidence interval for alpha
    0.36668
  • Treynor index (mean / b)
    -0.35576
  • Jensen alpha (a)
    -0.05029
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.05483
  • SD
    0.14824
  • Sharpe ratio (Glass type estimate)
    -0.36984
  • Sharpe ratio (Hedges UMVUE)
    -0.36770
  • df
    130.00000
  • t
    -0.26152
  • p
    0.51146
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.14141
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.40294
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.13987
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.40446
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.56393
  • Upside Potential Ratio
    9.04692
  • Upside part of mean
    0.87955
  • Downside part of mean
    -0.93438
  • Upside SD
    0.11121
  • Downside SD
    0.09722
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04900
  • Mean of criterion
    -0.05483
  • SD of predictor
    0.07388
  • SD of criterion
    0.14824
  • Covariance
    0.00067
  • r
    0.06151
  • b (slope, estimate of beta)
    0.12342
  • a (intercept, estimate of alpha)
    -0.06087
  • Mean Square Error
    0.02206
  • DF error
    129.00000
  • t(b)
    0.69993
  • p(b)
    0.46087
  • t(a)
    -0.28955
  • p(a)
    0.51622
  • VAR (95 Confidence Intrvl)
    0.01000
  • Lowerbound of 95% confidence interval for beta
    -0.22546
  • Upperbound of 95% confidence interval for beta
    0.47231
  • Lowerbound of 95% confidence interval for alpha
    -0.47683
  • Upperbound of 95% confidence interval for alpha
    0.35508
  • Treynor index (mean / b)
    -0.44421
  • Jensen alpha (a)
    -0.06087
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01516
  • Expected Shortfall on VaR
    0.01891
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00874
  • Expected Shortfall on VaR
    0.01484
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97265
  • Quartile 1
    0.99379
  • Median
    0.99922
  • Quartile 3
    1.00360
  • Maximum
    1.02936
  • Mean of quarter 1
    0.98990
  • Mean of quarter 2
    0.99627
  • Mean of quarter 3
    1.00134
  • Mean of quarter 4
    1.01229
  • Inter Quartile Range
    0.00981
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.97557
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.02239
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.20916
  • VaR(95%) (moments method)
    0.01122
  • Expected Shortfall (moments method)
    0.01563
  • Extreme Value Index (regression method)
    0.30779
  • VaR(95%) (regression method)
    0.01009
  • Expected Shortfall (regression method)
    0.01416
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00971
  • Quartile 1
    0.02008
  • Median
    0.02205
  • Quartile 3
    0.05273
  • Maximum
    0.11530
  • Mean of quarter 1
    0.01490
  • Mean of quarter 2
    0.02205
  • Mean of quarter 3
    0.05273
  • Mean of quarter 4
    0.11530
  • Inter Quartile Range
    0.03265
  • 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
    0.11530
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    73
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.02674
  • Compounded annual return (geometric extrapolation)
    -0.02656
  • Calmar ratio (compounded annual return / max draw down)
    -0.23035
  • Compounded annual return / average of 25% largest draw downs
    -0.23035
  • Compounded annual return / Expected Shortfall lognormal
    -1.40428

Strategy Description

This is a long-only day trading system with max allocation set at 100%. All positions are closed at the end of the day with no overnight market risks.

In order to preserve the effectiveness of the strategy the number of subscribers will be limited to 10.

Summary Statistics

Strategy began
2017-02-20
Suggested Minimum Capital
$25,000
# Trades
268
# Profitable
116
% Profitable
43.3%
Correlation S&P500
0.003
Sharpe Ratio
-0.18
Sortino Ratio
-0.31
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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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.