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SOXL8
(100410338)

Created by: CHARLESYING CHARLESYING
Started: 02/2016
Stocks
Last trade: Today

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 $240.00 per month.

51.9%
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.

(29.0%)
Max Drawdown
515
Num Trades
48.3%
Win Trades
0.6 : 1
Profit Factor
51.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016       +31.5%+28.4%(14.5%)+29.8%(7.1%)+35.5%+14.8%+12.0%(7.6%)+25.6%+2.6%+260.7%
2017+12.4%+7.5%+5.8%(6.1%)(1.1%)(0.5%)+1.5%+2.1%+0.3%(0.5%)(0.4%)+2.2%+24.4%
2018(0.7%)(1.6%)+3.6%(3.4%)+0.7%+1.0%(0.7%)(1.8%)(0.4%)(13.8%)(6.7%)(4.6%)(26%)

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
12/6/18 9:30 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 300 51.98 12/6 9:34 51.52 0.02%
Trade id #121373735
Max drawdown($139)
Time12/6/18 9:34
Quant open0
Worst price51.52
Drawdown as % of equity-0.02%
($145)
Includes Typical Broker Commissions trade costs of $6.00
12/4/18 15:33 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 2,400 44.05 12/4 15:40 44.10 0.21%
Trade id #121343834
Max drawdown($1,895)
Time12/4/18 15:37
Quant open2,400
Worst price43.26
Drawdown as % of equity-0.21%
$115
Includes Typical Broker Commissions trade costs of $5.00
12/4/18 15:22 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 2,400 43.06 12/4 15:30 43.82 n/a $1,819
Includes Typical Broker Commissions trade costs of $5.00
12/4/18 15:13 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 2,400 43.41 12/4 15:15 42.85 0.15%
Trade id #121343249
Max drawdown($1,344)
Time12/4/18 15:15
Quant open0
Worst price42.85
Drawdown as % of equity-0.15%
($1,349)
Includes Typical Broker Commissions trade costs of $5.00
12/4/18 14:54 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 2,400 42.51 12/4 15:10 43.30 0.03%
Trade id #121342556
Max drawdown($277)
Time12/4/18 14:57
Quant open800
Worst price41.55
Drawdown as % of equity-0.03%
$1,884
Includes Typical Broker Commissions trade costs of $15.50
12/4/18 9:52 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 2,400 35.99 12/4 10:00 35.94 0.06%
Trade id #121330928
Max drawdown($576)
Time12/4/18 9:59
Quant open2,400
Worst price35.75
Drawdown as % of equity-0.06%
($125)
Includes Typical Broker Commissions trade costs of $5.00
12/4/18 9:33 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 2,400 35.58 12/4 9:50 35.69 0.21%
Trade id #121330084
Max drawdown($1,930)
Time12/4/18 9:41
Quant open2,400
Worst price34.78
Drawdown as % of equity-0.21%
$249
Includes Typical Broker Commissions trade costs of $10.00
9/10/18 15:15 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 164,468 12.51 12/3 9:30 12.35 3.21%
Trade id #119786474
Max drawdown($28,825)
Time12/3/18 9:29
Quant open14,088
Worst price10.46
Drawdown as % of equity-3.21%
($25,996)
Includes Typical Broker Commissions trade costs of $74.30
11/30/18 9:31 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 800 42.80 11/30 10:31 40.72 0.19%
Trade id #121270215
Max drawdown($1,666)
Time11/30/18 10:31
Quant open0
Worst price40.72
Drawdown as % of equity-0.19%
($1,677)
Includes Typical Broker Commissions trade costs of $10.50
11/29/18 9:59 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 800 42.95 11/29 13:30 43.07 0%
Trade id #121241304
Max drawdown($23)
Time11/29/18 10:01
Quant open200
Worst price42.32
Drawdown as % of equity-0.00%
$87
Includes Typical Broker Commissions trade costs of $10.50
11/29/18 9:41 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 200 42.02 11/29 9:50 42.42 0.01%
Trade id #121240010
Max drawdown($64)
Time11/29/18 9:44
Quant open200
Worst price41.70
Drawdown as % of equity-0.01%
$76
Includes Typical Broker Commissions trade costs of $4.00
11/16/18 15:05 YANG DIREXION DAILY FTSE CHINA BEAR 3X LONG 3,800 60.23 11/28 10:46 59.99 0.51%
Trade id #121020135
Max drawdown($4,510)
Time11/28/18 5:23
Quant open2,020
Worst price58.00
Drawdown as % of equity-0.51%
($937)
Includes Typical Broker Commissions trade costs of $12.20
11/27/18 12:52 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 400 44.62 11/27 13:00 44.41 0.01%
Trade id #121196586
Max drawdown($111)
Time11/27/18 12:57
Quant open400
Worst price44.34
Drawdown as % of equity-0.01%
($92)
Includes Typical Broker Commissions trade costs of $8.00
11/27/18 10:20 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 3,300 45.03 11/27 10:55 44.64 0.15%
Trade id #121190412
Max drawdown($1,287)
Time11/27/18 10:55
Quant open0
Worst price44.64
Drawdown as % of equity-0.15%
($1,292)
Includes Typical Broker Commissions trade costs of $5.00
11/27/18 9:30 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 3,300 45.99 11/27 10:13 44.60 0.52%
Trade id #121187421
Max drawdown($4,594)
Time11/27/18 10:13
Quant open0
Worst price44.60
Drawdown as % of equity-0.52%
($4,613)
Includes Typical Broker Commissions trade costs of $19.00
11/16/18 10:28 UGAZ VELOCITYSHARES 3X LONG NATURAL LONG 1,810 141.55 11/27 9:45 139.61 1.23%
Trade id #121004187
Max drawdown($11,145)
Time11/16/18 11:46
Quant open1,010
Worst price130.51
Drawdown as % of equity-1.23%
($3,520)
Includes Typical Broker Commissions trade costs of $17.70
11/26/18 15:57 UBOT DIREXION DAILY ROBOTICS AI AUTO BULL 3X LONG 800 10.92 11/27 9:44 10.54 0.03%
Trade id #121173922
Max drawdown($304)
Time11/27/18 9:44
Quant open0
Worst price10.54
Drawdown as % of equity-0.03%
($309)
Includes Typical Broker Commissions trade costs of $5.00
11/26/18 15:53 RETL DIREXION DAILY RETAIL BULL 3X LONG 300 33.12 11/27 9:44 32.44 0.02%
Trade id #121173797
Max drawdown($204)
Time11/27/18 9:43
Quant open300
Worst price32.44
Drawdown as % of equity-0.02%
($210)
Includes Typical Broker Commissions trade costs of $6.00
11/26/18 10:57 ERX DIREXION DAILY ENERGY BULL 3X LONG 100 22.71 11/27 9:44 22.12 0.01%
Trade id #121166720
Max drawdown($95)
Time11/27/18 8:15
Quant open100
Worst price21.76
Drawdown as % of equity-0.01%
($61)
Includes Typical Broker Commissions trade costs of $2.00
11/26/18 15:58 FAS DIREXION DAILY FINANCIAL BULL LONG 200 59.17 11/27 9:30 58.77 0.02%
Trade id #121173948
Max drawdown($146)
Time11/27/18 9:25
Quant open200
Worst price58.44
Drawdown as % of equity-0.02%
($84)
Includes Typical Broker Commissions trade costs of $4.00
11/26/18 9:52 GUSH DIREXION DAILY S&P OIL GAS EXPL PROD BUL LONG 300 16.42 11/27 9:30 16.13 0.02%
Trade id #121164923
Max drawdown($207)
Time11/26/18 12:37
Quant open300
Worst price15.73
Drawdown as % of equity-0.02%
($93)
Includes Typical Broker Commissions trade costs of $6.00
11/26/18 9:51 GASL DIREXION DAILY NAT GAS RLTD BU LONG 300 10.45 11/27 9:30 10.17 0.01%
Trade id #121164887
Max drawdown($126)
Time11/26/18 12:37
Quant open300
Worst price10.03
Drawdown as % of equity-0.01%
($90)
Includes Typical Broker Commissions trade costs of $6.00
11/26/18 15:53 TECL DIREXION DAILY TECHNOLOGY BULL LONG 100 103.13 11/27 9:30 100.90 0.04%
Trade id #121173782
Max drawdown($397)
Time11/27/18 8:05
Quant open100
Worst price99.16
Drawdown as % of equity-0.04%
($225)
Includes Typical Broker Commissions trade costs of $2.00
11/26/18 15:51 TQQQ PROSHARES ULTRAPRO QQQ LONG 300 45.31 11/27 9:30 44.62 0.04%
Trade id #121173748
Max drawdown($359)
Time11/27/18 8:28
Quant open300
Worst price44.11
Drawdown as % of equity-0.04%
($213)
Includes Typical Broker Commissions trade costs of $6.00
11/26/18 9:55 TNA DIREXION DAILY SMALL CAP BULL LONG 100 60.62 11/26 15:22 60.00 0.02%
Trade id #121165007
Max drawdown($139)
Time11/26/18 12:37
Quant open100
Worst price59.23
Drawdown as % of equity-0.02%
($64)
Includes Typical Broker Commissions trade costs of $2.00
11/26/18 9:53 RETL DIREXION DAILY RETAIL BULL 3X LONG 100 32.59 11/26 14:47 32.93 0%
Trade id #121164960
Max drawdown($44)
Time11/26/18 12:40
Quant open100
Worst price32.15
Drawdown as % of equity-0.00%
$32
Includes Typical Broker Commissions trade costs of $2.00
11/26/18 9:49 FAS DIREXION DAILY FINANCIAL BULL LONG 100 58.52 11/26 14:46 58.97 0%
Trade id #121164791
Max drawdown($30)
Time11/26/18 12:49
Quant open100
Worst price58.22
Drawdown as % of equity-0.00%
$43
Includes Typical Broker Commissions trade costs of $2.00
11/26/18 9:47 TECL DIREXION DAILY TECHNOLOGY BULL LONG 100 100.71 11/26 14:45 102.32 0.02%
Trade id #121164719
Max drawdown($152)
Time11/26/18 12:37
Quant open100
Worst price99.18
Drawdown as % of equity-0.02%
$159
Includes Typical Broker Commissions trade costs of $2.00
11/26/18 9:46 TQQQ PROSHARES ULTRAPRO QQQ LONG 200 44.39 11/26 14:44 44.91 0.02%
Trade id #121164697
Max drawdown($154)
Time11/26/18 12:37
Quant open200
Worst price43.62
Drawdown as % of equity-0.02%
$100
Includes Typical Broker Commissions trade costs of $4.00
11/23/18 9:44 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 200 51.70 11/23 9:46 51.47 0.01%
Trade id #121134510
Max drawdown($47)
Time11/23/18 9:46
Quant open0
Worst price51.47
Drawdown as % of equity-0.01%
($51)
Includes Typical Broker Commissions trade costs of $4.00

Statistics

  • Strategy began
    2/8/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1044.24
  • Age
    35 months ago
  • What it trades
    Stocks
  • # Trades
    515
  • # Profitable
    249
  • % Profitable
    48.30%
  • Avg trade duration
    19.4 days
  • Max peak-to-valley drawdown
    29.03%
  • drawdown period
    April 17, 2018 - Dec 18, 2018
  • Annual Return (Compounded)
    51.9%
  • Avg win
    $1,631
  • Avg loss
    $3,134
  • Model Account Values (Raw)
  • Cash
    $119,686
  • Margin Used
    $0
  • Buying Power
    $1,122,466
  • Ratios
  • W:L ratio
    0.63:1
  • Sharpe Ratio
    1.577
  • Sortino Ratio
    2.421
  • Calmar Ratio
    2.056
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.32100
  • Return Statistics
  • Ann Return (w trading costs)
    51.9%
  • Ann Return (Compnd, No Fees)
    53.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    49.50%
  • Chance of 20% account loss
    20.00%
  • Chance of 30% account loss
    5.50%
  • Chance of 40% account loss
    1.00%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    799
  • C2 Score
    66.4
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    8
  • Win / Loss
  • Avg Loss
    $3,135
  • Avg Win
    $5,548
  • # Winners
    249
  • # Losers
    266
  • % Winners
    48.4%
  • Frequency
  • Avg Position Time (mins)
    27998.90
  • Avg Position Time (hrs)
    466.65
  • Avg Trade Length
    19.4 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.51607
  • SD
    0.42492
  • Sharpe ratio (Glass type estimate)
    1.21452
  • Sharpe ratio (Hedges UMVUE)
    1.18579
  • df
    32.00000
  • t
    2.01405
  • p
    0.02624
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.01288
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.42410
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.03129
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.40287
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.98580
  • Upside Potential Ratio
    5.39568
  • Upside part of mean
    0.69862
  • Downside part of mean
    -0.18255
  • Upside SD
    0.42487
  • Downside SD
    0.12948
  • N nonnegative terms
    18.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.12154
  • Mean of criterion
    0.51607
  • SD of predictor
    0.11018
  • SD of criterion
    0.42492
  • Covariance
    0.01713
  • r
    0.36589
  • b (slope, estimate of beta)
    1.41114
  • a (intercept, estimate of alpha)
    0.34456
  • Mean Square Error
    0.16143
  • DF error
    31.00000
  • t(b)
    2.18899
  • p(b)
    0.01813
  • t(a)
    1.35315
  • p(a)
    0.09290
  • Lowerbound of 95% confidence interval for beta
    0.09636
  • Upperbound of 95% confidence interval for beta
    2.72591
  • Lowerbound of 95% confidence interval for alpha
    -0.17478
  • Upperbound of 95% confidence interval for alpha
    0.86390
  • Treynor index (mean / b)
    0.36571
  • Jensen alpha (a)
    0.34456
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43112
  • SD
    0.37963
  • Sharpe ratio (Glass type estimate)
    1.13562
  • Sharpe ratio (Hedges UMVUE)
    1.10876
  • df
    32.00000
  • t
    1.88321
  • p
    0.03439
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.08670
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.34119
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10396
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.32147
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.13882
  • Upside Potential Ratio
    4.53073
  • Upside part of mean
    0.62229
  • Downside part of mean
    -0.19118
  • Upside SD
    0.36929
  • Downside SD
    0.13735
  • N nonnegative terms
    18.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.11474
  • Mean of criterion
    0.43112
  • SD of predictor
    0.11116
  • SD of criterion
    0.37963
  • Covariance
    0.01544
  • r
    0.36593
  • b (slope, estimate of beta)
    1.24976
  • a (intercept, estimate of alpha)
    0.28771
  • Mean Square Error
    0.12885
  • DF error
    31.00000
  • t(b)
    2.18925
  • p(b)
    0.01812
  • t(a)
    1.27221
  • p(a)
    0.10638
  • Lowerbound of 95% confidence interval for beta
    0.08548
  • Upperbound of 95% confidence interval for beta
    2.41404
  • Lowerbound of 95% confidence interval for alpha
    -0.17353
  • Upperbound of 95% confidence interval for alpha
    0.74895
  • Treynor index (mean / b)
    0.34496
  • Jensen alpha (a)
    0.28771
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13440
  • Expected Shortfall on VaR
    0.17247
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03235
  • Expected Shortfall on VaR
    0.06919
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    33.00000
  • Minimum
    0.85860
  • Quartile 1
    0.99372
  • Median
    1.00493
  • Quartile 3
    1.04544
  • Maximum
    1.42428
  • Mean of quarter 1
    0.94921
  • Mean of quarter 2
    0.99990
  • Mean of quarter 3
    1.02201
  • Mean of quarter 4
    1.22223
  • Inter Quartile Range
    0.05172
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.06061
  • Mean of outliers low
    0.87200
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.18182
  • Mean of outliers high
    1.26910
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.07644
  • VaR(95%) (moments method)
    0.04998
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.00261
  • VaR(95%) (regression method)
    0.05370
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.14140
  • Quartile 1
    0.16376
  • Median
    0.18612
  • Quartile 3
    0.20848
  • Maximum
    0.23084
  • Mean of quarter 1
    0.14140
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.23084
  • Inter Quartile Range
    0.04472
  • 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)
    0.92130
  • Compounded annual return (geometric extrapolation)
    0.58253
  • Calmar ratio (compounded annual return / max draw down)
    2.52349
  • Compounded annual return / average of 25% largest draw downs
    2.52349
  • Compounded annual return / Expected Shortfall lognormal
    3.37749
  • 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
    0.45217
  • SD
    0.28645
  • Sharpe ratio (Glass type estimate)
    1.57856
  • Sharpe ratio (Hedges UMVUE)
    1.57695
  • df
    734.00000
  • t
    2.64396
  • p
    0.00418
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.40508
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.75102
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.40399
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.74991
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.42059
  • Upside Potential Ratio
    8.00883
  • Upside part of mean
    1.49607
  • Downside part of mean
    -1.04390
  • Upside SD
    0.21869
  • Downside SD
    0.18680
  • N nonnegative terms
    372.00000
  • N negative terms
    363.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    735.00000
  • Mean of predictor
    0.09263
  • Mean of criterion
    0.45217
  • SD of predictor
    0.12084
  • SD of criterion
    0.28645
  • Covariance
    0.01097
  • r
    0.31705
  • b (slope, estimate of beta)
    0.75155
  • a (intercept, estimate of alpha)
    0.38300
  • Mean Square Error
    0.07390
  • DF error
    733.00000
  • t(b)
    9.05089
  • p(b)
    -0.00000
  • t(a)
    2.35433
  • p(a)
    0.00941
  • Lowerbound of 95% confidence interval for beta
    0.58853
  • Upperbound of 95% confidence interval for beta
    0.91456
  • Lowerbound of 95% confidence interval for alpha
    0.06355
  • Upperbound of 95% confidence interval for alpha
    0.70156
  • Treynor index (mean / b)
    0.60166
  • Jensen alpha (a)
    0.38256
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41053
  • SD
    0.28806
  • Sharpe ratio (Glass type estimate)
    1.42516
  • Sharpe ratio (Hedges UMVUE)
    1.42370
  • df
    734.00000
  • t
    2.38702
  • p
    0.00862
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.25223
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.59714
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25125
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.59615
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.11064
  • Upside Potential Ratio
    7.57164
  • Upside part of mean
    1.47272
  • Downside part of mean
    -1.06219
  • Upside SD
    0.21372
  • Downside SD
    0.19451
  • N nonnegative terms
    372.00000
  • N negative terms
    363.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    735.00000
  • Mean of predictor
    0.08529
  • Mean of criterion
    0.41053
  • SD of predictor
    0.12123
  • SD of criterion
    0.28806
  • Covariance
    0.01104
  • r
    0.31601
  • b (slope, estimate of beta)
    0.75088
  • a (intercept, estimate of alpha)
    0.34649
  • Mean Square Error
    0.07479
  • DF error
    733.00000
  • t(b)
    9.01787
  • p(b)
    -0.00000
  • t(a)
    2.12003
  • p(a)
    0.01717
  • Lowerbound of 95% confidence interval for beta
    0.58741
  • Upperbound of 95% confidence interval for beta
    0.91435
  • Lowerbound of 95% confidence interval for alpha
    0.02563
  • Upperbound of 95% confidence interval for alpha
    0.66735
  • Treynor index (mean / b)
    0.54673
  • Jensen alpha (a)
    0.34649
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02733
  • Expected Shortfall on VaR
    0.03451
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00885
  • Expected Shortfall on VaR
    0.01957
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    735.00000
  • Minimum
    0.84598
  • Quartile 1
    0.99700
  • Median
    1.00017
  • Quartile 3
    1.00491
  • Maximum
    1.08673
  • Mean of quarter 1
    0.98532
  • Mean of quarter 2
    0.99897
  • Mean of quarter 3
    1.00191
  • Mean of quarter 4
    1.02112
  • Inter Quartile Range
    0.00791
  • Number outliers low
    55.00000
  • Percentage of outliers low
    0.07483
  • Mean of outliers low
    0.96775
  • Number of outliers high
    78.00000
  • Percentage of outliers high
    0.10612
  • Mean of outliers high
    1.03631
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.57989
  • VaR(95%) (moments method)
    0.01266
  • Expected Shortfall (moments method)
    0.03464
  • Extreme Value Index (regression method)
    0.32666
  • VaR(95%) (regression method)
    0.01183
  • Expected Shortfall (regression method)
    0.02229
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    29.00000
  • Minimum
    0.00097
  • Quartile 1
    0.01217
  • Median
    0.03513
  • Quartile 3
    0.09059
  • Maximum
    0.26760
  • Mean of quarter 1
    0.00748
  • Mean of quarter 2
    0.02126
  • Mean of quarter 3
    0.05743
  • Mean of quarter 4
    0.16864
  • Inter Quartile Range
    0.07842
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.06897
  • Mean of outliers high
    0.24539
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.17207
  • VaR(95%) (moments method)
    0.17237
  • Expected Shortfall (moments method)
    0.21096
  • Extreme Value Index (regression method)
    -0.09169
  • VaR(95%) (regression method)
    0.19148
  • Expected Shortfall (regression method)
    0.24256
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.86304
  • Compounded annual return (geometric extrapolation)
    0.55028
  • Calmar ratio (compounded annual return / max draw down)
    2.05639
  • Compounded annual return / average of 25% largest draw downs
    3.26297
  • Compounded annual return / Expected Shortfall lognormal
    15.94530
  • 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
    -0.49970
  • SD
    0.13981
  • Sharpe ratio (Glass type estimate)
    -3.57423
  • Sharpe ratio (Hedges UMVUE)
    -3.55357
  • df
    130.00000
  • t
    -2.52736
  • p
    0.60821
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.37316
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.76198
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.35883
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.74831
  • Statistics related to Sortino ratio
  • Sortino ratio
    -4.22564
  • Upside Potential Ratio
    4.37064
  • Upside part of mean
    0.51685
  • Downside part of mean
    -1.01655
  • Upside SD
    0.07979
  • Downside SD
    0.11825
  • N nonnegative terms
    55.00000
  • N negative terms
    76.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.18747
  • Mean of criterion
    -0.49970
  • SD of predictor
    0.15311
  • SD of criterion
    0.13981
  • Covariance
    0.00529
  • r
    0.24699
  • b (slope, estimate of beta)
    0.22553
  • a (intercept, estimate of alpha)
    -0.45742
  • Mean Square Error
    0.01850
  • DF error
    129.00000
  • t(b)
    2.89492
  • p(b)
    0.34438
  • t(a)
    -2.37146
  • p(a)
    0.62921
  • Lowerbound of 95% confidence interval for beta
    0.07139
  • Upperbound of 95% confidence interval for beta
    0.37967
  • Lowerbound of 95% confidence interval for alpha
    -0.83905
  • Upperbound of 95% confidence interval for alpha
    -0.07579
  • Treynor index (mean / b)
    -2.21569
  • Jensen alpha (a)
    -0.45742
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.50988
  • SD
    0.14028
  • Sharpe ratio (Glass type estimate)
    -3.63476
  • Sharpe ratio (Hedges UMVUE)
    -3.61375
  • df
    130.00000
  • t
    -2.57016
  • p
    0.60995
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.43471
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.82124
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.42014
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80735
  • Statistics related to Sortino ratio
  • Sortino ratio
    -4.26849
  • Upside Potential Ratio
    4.30005
  • Upside part of mean
    0.51365
  • Downside part of mean
    -1.02353
  • Upside SD
    0.07907
  • Downside SD
    0.11945
  • N nonnegative terms
    55.00000
  • N negative terms
    76.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.19922
  • Mean of criterion
    -0.50988
  • SD of predictor
    0.15382
  • SD of criterion
    0.14028
  • Covariance
    0.00535
  • r
    0.24803
  • b (slope, estimate of beta)
    0.22620
  • a (intercept, estimate of alpha)
    -0.46482
  • Mean Square Error
    0.01861
  • DF error
    129.00000
  • t(b)
    2.90791
  • p(b)
    0.34374
  • t(a)
    -2.40153
  • p(a)
    0.63075
  • Lowerbound of 95% confidence interval for beta
    0.07229
  • Upperbound of 95% confidence interval for beta
    0.38010
  • Lowerbound of 95% confidence interval for alpha
    -0.84776
  • Upperbound of 95% confidence interval for alpha
    -0.08187
  • Treynor index (mean / b)
    -2.25415
  • Jensen alpha (a)
    -0.46482
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01607
  • Expected Shortfall on VaR
    0.01962
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00983
  • Expected Shortfall on VaR
    0.01800
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96798
  • Quartile 1
    0.99524
  • Median
    0.99886
  • Quartile 3
    1.00156
  • Maximum
    1.02730
  • Mean of quarter 1
    0.98780
  • Mean of quarter 2
    0.99723
  • Mean of quarter 3
    1.00040
  • Mean of quarter 4
    1.00744
  • Inter Quartile Range
    0.00632
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.97956
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.01833
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.08331
  • VaR(95%) (moments method)
    0.01138
  • Expected Shortfall (moments method)
    0.01622
  • Extreme Value Index (regression method)
    -0.12775
  • VaR(95%) (regression method)
    0.01147
  • Expected Shortfall (regression method)
    0.01480
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00488
  • Quartile 1
    0.00590
  • Median
    0.02540
  • Quartile 3
    0.09643
  • Maximum
    0.25200
  • Mean of quarter 1
    0.00488
  • Mean of quarter 2
    0.00624
  • Mean of quarter 3
    0.04457
  • Mean of quarter 4
    0.25200
  • Inter Quartile Range
    0.09053
  • 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
    0.25000
  • Mean of outliers high
    0.25200
  • 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)
    -0.42829
  • Compounded annual return (geometric extrapolation)
    -0.38244
  • Calmar ratio (compounded annual return / max draw down)
    -1.51761
  • Compounded annual return / average of 25% largest draw downs
    -1.51761
  • Compounded annual return / Expected Shortfall lognormal
    -19.48990

Strategy Description

Summary Statistics

Strategy began
2016-02-08
Suggested Minimum Capital
$35,000
# Trades
515
# Profitable
249
% Profitable
48.3%
Net Dividends
Correlation S&P500
0.321
Sharpe Ratio
1.577

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

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