Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

These are hypothetical performance results that have certain inherent limitations. Learn more

SOXL8
(100410338)

Created by: CHARLESYING CHARLESYING
Started: 02/2016
Stocks
Last trade: 3 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 $240.00 per month.

66.7%
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.

(27.5%)
Max Drawdown
369
Num Trades
46.9%
Win Trades
0.5 : 1
Profit Factor
54.5%
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%)(7.7%)            (10.9%)

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
10/19/18 15:13 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 9,000 43.01 10/19 15:52 40.80 1.92%
Trade id #120448851
Max drawdown($19,882)
Time10/19/18 15:52
Quant open0
Worst price40.80
Drawdown as % of equity-1.92%
($19,907)
Includes Typical Broker Commissions trade costs of $25.00
10/18/18 15:17 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 8,000 42.14 10/18 15:58 42.44 0.62%
Trade id #120426004
Max drawdown($6,540)
Time10/18/18 15:42
Quant open8,000
Worst price41.32
Drawdown as % of equity-0.62%
$2,398
Includes Typical Broker Commissions trade costs of $22.50
10/18/18 15:12 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 2,000 43.27 10/18 15:15 42.84 0.08%
Trade id #120425870
Max drawdown($850)
Time10/18/18 15:15
Quant open0
Worst price42.84
Drawdown as % of equity-0.08%
($858)
Includes Typical Broker Commissions trade costs of $7.50
10/18/18 14:42 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 15,000 42.57 10/18 15:08 42.98 1.62%
Trade id #120425368
Max drawdown($16,789)
Time10/18/18 14:54
Quant open15,000
Worst price41.45
Drawdown as % of equity-1.62%
$6,134
Includes Typical Broker Commissions trade costs of $27.50
10/18/18 13:34 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 6,000 43.08 10/18 13:40 43.25 0.21%
Trade id #120423978
Max drawdown($2,220)
Time10/18/18 13:36
Quant open6,000
Worst price42.71
Drawdown as % of equity-0.21%
$1,015
Includes Typical Broker Commissions trade costs of $5.00
10/18/18 13:22 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 6,000 42.91 10/18 13:31 42.62 0.16%
Trade id #120423659
Max drawdown($1,710)
Time10/18/18 13:31
Quant open0
Worst price42.62
Drawdown as % of equity-0.16%
($1,728)
Includes Typical Broker Commissions trade costs of $17.50
10/18/18 12:40 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 16,000 40.92 10/18 13:20 42.35 0.05%
Trade id #120422694
Max drawdown($540)
Time10/18/18 12:42
Quant open3,000
Worst price40.47
Drawdown as % of equity-0.05%
$22,901
Includes Typical Broker Commissions trade costs of $42.50
10/18/18 11:02 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 4,000 38.86 10/18 11:09 39.24 0.03%
Trade id #120420216
Max drawdown($310)
Time10/18/18 11:07
Quant open4,000
Worst price38.78
Drawdown as % of equity-0.03%
$1,518
Includes Typical Broker Commissions trade costs of $12.50
10/17/18 11:53 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 18,000 38.51 10/17 15:56 37.30 3.1%
Trade id #120404746
Max drawdown($32,220)
Time10/17/18 13:13
Quant open18,000
Worst price36.72
Drawdown as % of equity-3.10%
($21,748)
Includes Typical Broker Commissions trade costs of $7.50
10/17/18 11:14 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 18,000 39.63 10/17 11:42 38.28 2.31%
Trade id #120403187
Max drawdown($24,244)
Time10/17/18 11:42
Quant open0
Worst price38.28
Drawdown as % of equity-2.31%
($24,292)
Includes Typical Broker Commissions trade costs of $47.50
9/19/18 14:42 JDST DIREXION DAILY JR GOLD BEAR LONG 300 71.63 10/17 11:35 59.84 0.44%
Trade id #119936067
Max drawdown($4,746)
Time10/15/18 10:13
Quant open300
Worst price55.81
Drawdown as % of equity-0.44%
($3,543)
Includes Typical Broker Commissions trade costs of $6.00
10/16/18 9:30 TGODF GREEN ORGANIC DUTCHMAN HLGDS COMMON STOCK LONG 14,000 4.43 10/16 15:38 4.20 0.44%
Trade id #120377338
Max drawdown($4,667)
Time10/16/18 14:13
Quant open14,000
Worst price4.10
Drawdown as % of equity-0.44%
($3,305)
Includes Typical Broker Commissions trade costs of $37.50
10/11/18 9:36 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 1,000 41.73 10/11 9:49 40.18 0.14%
Trade id #120297008
Max drawdown($1,546)
Time10/11/18 9:49
Quant open0
Worst price40.18
Drawdown as % of equity-0.14%
($1,551)
Includes Typical Broker Commissions trade costs of $5.00
10/10/18 10:22 IGC INDIA GLOBALIZATION LONG 10,000 5.31 10/11 9:30 4.62 0.67%
Trade id #120274866
Max drawdown($7,415)
Time10/11/18 9:09
Quant open10,000
Worst price4.57
Drawdown as % of equity-0.67%
($6,904)
Includes Typical Broker Commissions trade costs of $27.50
10/10/18 15:51 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 1,000 39.57 10/10 15:54 39.98 0.03%
Trade id #120284587
Max drawdown($330)
Time10/10/18 15:53
Quant open1,000
Worst price39.24
Drawdown as % of equity-0.03%
$405
Includes Typical Broker Commissions trade costs of $5.00
10/10/18 15:30 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 2,000 39.09 10/10 15:45 40.01 0.03%
Trade id #120283878
Max drawdown($290)
Time10/10/18 15:33
Quant open1,000
Worst price37.93
Drawdown as % of equity-0.03%
$1,823
Includes Typical Broker Commissions trade costs of $7.50
10/10/18 15:10 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 2,000 38.75 10/10 15:20 38.79 0.12%
Trade id #120283407
Max drawdown($1,379)
Time10/10/18 15:17
Quant open2,000
Worst price38.06
Drawdown as % of equity-0.12%
$73
Includes Typical Broker Commissions trade costs of $7.50
10/10/18 14:52 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 2,000 37.77 10/10 15:00 37.82 0.07%
Trade id #120282922
Max drawdown($770)
Time10/10/18 15:00
Quant open2,000
Worst price37.39
Drawdown as % of equity-0.07%
$83
Includes Typical Broker Commissions trade costs of $7.50
10/10/18 14:32 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 2,000 36.76 10/10 14:49 37.85 0.01%
Trade id #120282402
Max drawdown($115)
Time10/10/18 14:34
Quant open2,000
Worst price36.70
Drawdown as % of equity-0.01%
$2,170
Includes Typical Broker Commissions trade costs of $10.00
10/10/18 12:21 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 8,400 35.41 10/10 14:29 36.28 0.46%
Trade id #120279317
Max drawdown($5,012)
Time10/10/18 13:25
Quant open6,400
Worst price34.25
Drawdown as % of equity-0.46%
$7,261
Includes Typical Broker Commissions trade costs of $81.50
10/10/18 11:21 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 4,000 36.33 10/10 11:28 35.70 0.23%
Trade id #120276894
Max drawdown($2,520)
Time10/10/18 11:28
Quant open0
Worst price35.70
Drawdown as % of equity-0.23%
($2,525)
Includes Typical Broker Commissions trade costs of $5.00
10/10/18 11:05 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 4,000 35.53 10/10 11:19 35.53 0.04%
Trade id #120276355
Max drawdown($470)
Time10/10/18 11:07
Quant open3,000
Worst price35.29
Drawdown as % of equity-0.04%
($33)
Includes Typical Broker Commissions trade costs of $12.50
10/10/18 9:58 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 2,800 34.33 10/10 10:40 34.52 0.22%
Trade id #120273484
Max drawdown($2,435)
Time10/10/18 10:28
Quant open2,800
Worst price33.46
Drawdown as % of equity-0.22%
$501
Includes Typical Broker Commissions trade costs of $30.50
10/10/18 9:30 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 200 32.02 10/10 9:49 33.34 n/a $261
Includes Typical Broker Commissions trade costs of $4.00
10/9/18 9:30 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 6,800 31.40 10/9 15:50 30.88 1.09%
Trade id #120250762
Max drawdown($11,831)
Time10/9/18 12:02
Quant open5,400
Worst price29.37
Drawdown as % of equity-1.09%
($3,624)
Includes Typical Broker Commissions trade costs of $75.50
10/8/18 9:34 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 19,300 32.35 10/8 15:49 30.65 3.19%
Trade id #120230027
Max drawdown($35,288)
Time10/8/18 15:46
Quant open13,300
Worst price29.70
Drawdown as % of equity-3.19%
($32,934)
Includes Typical Broker Commissions trade costs of $98.00
10/8/18 10:24 IGC INDIA GLOBALIZATION LONG 6,000 5.45 10/8 11:07 5.15 0.16%
Trade id #120232290
Max drawdown($1,820)
Time10/8/18 11:07
Quant open0
Worst price5.15
Drawdown as % of equity-0.16%
($1,883)
Includes Typical Broker Commissions trade costs of $62.50
10/4/18 9:31 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 65,800 28.83 10/5 15:58 28.83 0.05%
Trade id #120180348
Max drawdown($611)
Time10/4/18 9:56
Quant open4,000
Worst price26.16
Drawdown as % of equity-0.05%
$53
Includes Typical Broker Commissions trade costs of $434.80
10/5/18 9:30 VTVT VTV THERAPEUTICS INC. CLASS A COMMON STOCK LONG 34,000 3.69 10/5 15:07 3.45 2.14%
Trade id #120203652
Max drawdown($24,379)
Time10/5/18 13:41
Quant open34,000
Worst price2.97
Drawdown as % of equity-2.14%
($8,249)
Includes Typical Broker Commissions trade costs of $115.00
10/3/18 9:54 VTVT VTV THERAPEUTICS INC. CLASS A COMMON STOCK LONG 12,000 4.44 10/3 15:58 3.35 1.3%
Trade id #120159323
Max drawdown($14,937)
Time10/3/18 15:58
Quant open12,000
Worst price3.20
Drawdown as % of equity-1.30%
($13,171)
Includes Typical Broker Commissions trade costs of $32.50

Statistics

  • Strategy began
    2/8/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    986.44
  • Age
    33 months ago
  • What it trades
    Stocks
  • # Trades
    369
  • # Profitable
    173
  • % Profitable
    46.90%
  • Avg trade duration
    25.2 days
  • Max peak-to-valley drawdown
    27.52%
  • drawdown period
    June 23, 2016 - June 27, 2016
  • Annual Return (Compounded)
    66.7%
  • Avg win
    $1,200
  • Avg loss
    $3,110
  • Model Account Values (Raw)
  • Cash
    $713,932
  • Margin Used
    $0
  • Buying Power
    $1,831,162
  • Ratios
  • W:L ratio
    0.54:1
  • Sharpe Ratio
    1.866
  • Sortino Ratio
    2.889
  • Calmar Ratio
    3.125
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.32300
  • Return Statistics
  • Ann Return (w trading costs)
    66.7%
  • Ann Return (Compnd, No Fees)
    68.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    41.00%
  • Chance of 20% account loss
    10.50%
  • Chance of 30% account loss
    3.50%
  • Chance of 40% account loss
    1.50%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    822
  • C2 Score
    72.9
  • 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
    $3,111
  • Avg Win
    $7,651
  • # Winners
    173
  • # Losers
    196
  • % Winners
    46.9%
  • Frequency
  • Avg Position Time (mins)
    36301.90
  • Avg Position Time (hrs)
    605.03
  • Avg Trade Length
    25.2 days
  • Last Trade Ago
    2
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.62477
  • SD
    0.41893
  • Sharpe ratio (Glass type estimate)
    1.49135
  • Sharpe ratio (Hedges UMVUE)
    1.45370
  • df
    30.00000
  • t
    2.39701
  • p
    0.01148
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.20401
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.75607
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.18000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.72740
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.18400
  • Upside Potential Ratio
    7.36113
  • Upside part of mean
    0.74369
  • Downside part of mean
    -0.11893
  • Upside SD
    0.43836
  • Downside SD
    0.10103
  • N nonnegative terms
    18.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.15239
  • Mean of criterion
    0.62477
  • SD of predictor
    0.08994
  • SD of criterion
    0.41893
  • Covariance
    0.01247
  • r
    0.33103
  • b (slope, estimate of beta)
    1.54190
  • a (intercept, estimate of alpha)
    0.38980
  • Mean Square Error
    0.16166
  • DF error
    29.00000
  • t(b)
    1.88914
  • p(b)
    0.03445
  • t(a)
    1.39528
  • p(a)
    0.08676
  • Lowerbound of 95% confidence interval for beta
    -0.12740
  • Upperbound of 95% confidence interval for beta
    3.21119
  • Lowerbound of 95% confidence interval for alpha
    -0.18158
  • Upperbound of 95% confidence interval for alpha
    0.96117
  • Treynor index (mean / b)
    0.40520
  • Jensen alpha (a)
    0.38980
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.53825
  • SD
    0.37020
  • Sharpe ratio (Glass type estimate)
    1.45393
  • Sharpe ratio (Hedges UMVUE)
    1.41723
  • df
    30.00000
  • t
    2.33687
  • p
    0.01316
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16961
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.71614
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.14616
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.68829
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.99857
  • Upside Potential Ratio
    6.15194
  • Upside part of mean
    0.66244
  • Downside part of mean
    -0.12419
  • Upside SD
    0.38102
  • Downside SD
    0.10768
  • N nonnegative terms
    18.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.14725
  • Mean of criterion
    0.53825
  • SD of predictor
    0.08922
  • SD of criterion
    0.37020
  • Covariance
    0.01035
  • r
    0.31325
  • b (slope, estimate of beta)
    1.29980
  • a (intercept, estimate of alpha)
    0.34685
  • Mean Square Error
    0.12786
  • DF error
    29.00000
  • t(b)
    1.77628
  • p(b)
    0.04309
  • t(a)
    1.40316
  • p(a)
    0.08559
  • Lowerbound of 95% confidence interval for beta
    -0.19680
  • Upperbound of 95% confidence interval for beta
    2.79640
  • Lowerbound of 95% confidence interval for alpha
    -0.15871
  • Upperbound of 95% confidence interval for alpha
    0.85242
  • Treynor index (mean / b)
    0.41410
  • Jensen alpha (a)
    0.34685
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12272
  • Expected Shortfall on VaR
    0.16038
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01960
  • Expected Shortfall on VaR
    0.04458
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    31.00000
  • Minimum
    0.85860
  • Quartile 1
    0.99519
  • Median
    1.00718
  • Quartile 3
    1.05394
  • Maximum
    1.42428
  • Mean of quarter 1
    0.96601
  • Mean of quarter 2
    1.00142
  • Mean of quarter 3
    1.02413
  • Mean of quarter 4
    1.22223
  • Inter Quartile Range
    0.05875
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03226
  • Mean of outliers low
    0.85860
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.16129
  • Mean of outliers high
    1.29474
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.12942
  • VaR(95%) (moments method)
    0.03222
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.87833
  • VaR(95%) (regression method)
    0.03689
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.06844
  • Quartile 1
    0.08668
  • Median
    0.10492
  • Quartile 3
    0.12316
  • Maximum
    0.14140
  • Mean of quarter 1
    0.06844
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.14140
  • Inter Quartile Range
    0.03648
  • 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)
    1.28400
  • Compounded annual return (geometric extrapolation)
    0.76148
  • Calmar ratio (compounded annual return / max draw down)
    5.38516
  • Compounded annual return / average of 25% largest draw downs
    5.38516
  • Compounded annual return / Expected Shortfall lognormal
    4.74787
  • 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
    0.54461
  • SD
    0.29160
  • Sharpe ratio (Glass type estimate)
    1.86765
  • Sharpe ratio (Hedges UMVUE)
    1.86563
  • df
    693.00000
  • t
    3.03966
  • p
    0.00123
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.65875
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.07528
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.65738
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.07388
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.88923
  • Upside Potential Ratio
    8.29476
  • Upside part of mean
    1.56352
  • Downside part of mean
    -1.01892
  • Upside SD
    0.22474
  • Downside SD
    0.18849
  • N nonnegative terms
    357.00000
  • N negative terms
    337.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    694.00000
  • Mean of predictor
    0.12985
  • Mean of criterion
    0.54461
  • SD of predictor
    0.11234
  • SD of criterion
    0.29160
  • Covariance
    0.01036
  • r
    0.31634
  • b (slope, estimate of beta)
    0.82112
  • a (intercept, estimate of alpha)
    0.43800
  • Mean Square Error
    0.07663
  • DF error
    692.00000
  • t(b)
    8.77205
  • p(b)
    0.00000
  • t(a)
    2.56850
  • p(a)
    0.00521
  • Lowerbound of 95% confidence interval for beta
    0.63733
  • Upperbound of 95% confidence interval for beta
    1.00490
  • Lowerbound of 95% confidence interval for alpha
    0.10318
  • Upperbound of 95% confidence interval for alpha
    0.77279
  • Treynor index (mean / b)
    0.66325
  • Jensen alpha (a)
    0.43799
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.50129
  • SD
    0.29327
  • Sharpe ratio (Glass type estimate)
    1.70929
  • Sharpe ratio (Hedges UMVUE)
    1.70744
  • df
    693.00000
  • t
    2.78192
  • p
    0.00278
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.50108
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.91631
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.49983
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.91505
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.55120
  • Upside Potential Ratio
    7.83171
  • Upside part of mean
    1.53887
  • Downside part of mean
    -1.03758
  • Upside SD
    0.21963
  • Downside SD
    0.19649
  • N nonnegative terms
    357.00000
  • N negative terms
    337.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    694.00000
  • Mean of predictor
    0.12348
  • Mean of criterion
    0.50129
  • SD of predictor
    0.11265
  • SD of criterion
    0.29327
  • Covariance
    0.01042
  • r
    0.31530
  • b (slope, estimate of beta)
    0.82085
  • a (intercept, estimate of alpha)
    0.39993
  • Mean Square Error
    0.07757
  • DF error
    692.00000
  • t(b)
    8.74019
  • p(b)
    0.00000
  • t(a)
    2.33170
  • p(a)
    0.01000
  • Lowerbound of 95% confidence interval for beta
    0.63645
  • Upperbound of 95% confidence interval for beta
    1.00524
  • Lowerbound of 95% confidence interval for alpha
    0.06317
  • Upperbound of 95% confidence interval for alpha
    0.73669
  • Treynor index (mean / b)
    0.61070
  • Jensen alpha (a)
    0.39993
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02750
  • Expected Shortfall on VaR
    0.03482
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00852
  • Expected Shortfall on VaR
    0.01903
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    694.00000
  • Minimum
    0.84598
  • Quartile 1
    0.99738
  • Median
    1.00022
  • Quartile 3
    1.00561
  • Maximum
    1.08673
  • Mean of quarter 1
    0.98557
  • Mean of quarter 2
    0.99913
  • Mean of quarter 3
    1.00206
  • Mean of quarter 4
    1.02196
  • Inter Quartile Range
    0.00823
  • Number outliers low
    47.00000
  • Percentage of outliers low
    0.06772
  • Mean of outliers low
    0.96567
  • Number of outliers high
    73.00000
  • Percentage of outliers high
    0.10519
  • Mean of outliers high
    1.03760
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.60785
  • VaR(95%) (moments method)
    0.01188
  • Expected Shortfall (moments method)
    0.03489
  • Extreme Value Index (regression method)
    0.34516
  • VaR(95%) (regression method)
    0.01165
  • Expected Shortfall (regression method)
    0.02281
  • 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
    0.22319
  • Mean of quarter 1
    0.00748
  • Mean of quarter 2
    0.02126
  • Mean of quarter 3
    0.05743
  • Mean of quarter 4
    0.14903
  • 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
    1.00000
  • Percentage of outliers high
    0.03448
  • Mean of outliers high
    0.22319
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.30639
  • VaR(95%) (moments method)
    0.15795
  • Expected Shortfall (moments method)
    0.18343
  • Extreme Value Index (regression method)
    -0.25765
  • VaR(95%) (regression method)
    0.16646
  • Expected Shortfall (regression method)
    0.19528
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.15611
  • Compounded annual return (geometric extrapolation)
    0.69757
  • Calmar ratio (compounded annual return / max draw down)
    3.12542
  • Compounded annual return / average of 25% largest draw downs
    4.68061
  • Compounded annual return / Expected Shortfall lognormal
    20.03540
  • 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
    -0.25544
  • SD
    0.12246
  • Sharpe ratio (Glass type estimate)
    -2.08589
  • Sharpe ratio (Hedges UMVUE)
    -2.07383
  • df
    130.00000
  • t
    -1.47495
  • p
    0.56415
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.86527
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.70137
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.85708
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.70941
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.76371
  • Upside Potential Ratio
    6.06826
  • Upside part of mean
    0.56087
  • Downside part of mean
    -0.81631
  • Upside SD
    0.08117
  • Downside SD
    0.09243
  • 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
    0.04972
  • Mean of criterion
    -0.25544
  • SD of predictor
    0.10785
  • SD of criterion
    0.12246
  • Covariance
    0.00069
  • r
    0.05253
  • b (slope, estimate of beta)
    0.05965
  • a (intercept, estimate of alpha)
    -0.25841
  • Mean Square Error
    0.01507
  • DF error
    129.00000
  • t(b)
    0.59744
  • p(b)
    0.46657
  • t(a)
    -1.48777
  • p(a)
    0.58245
  • Lowerbound of 95% confidence interval for beta
    -0.13788
  • Upperbound of 95% confidence interval for beta
    0.25717
  • Lowerbound of 95% confidence interval for alpha
    -0.60205
  • Upperbound of 95% confidence interval for alpha
    0.08524
  • Treynor index (mean / b)
    -4.28259
  • Jensen alpha (a)
    -0.25841
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.26299
  • SD
    0.12249
  • Sharpe ratio (Glass type estimate)
    -2.14706
  • Sharpe ratio (Hedges UMVUE)
    -2.13465
  • df
    130.00000
  • t
    -1.51820
  • p
    0.56600
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.92713
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.64101
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.91857
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.64927
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.82290
  • Upside Potential Ratio
    5.98482
  • Upside part of mean
    0.55756
  • Downside part of mean
    -0.82054
  • Upside SD
    0.08046
  • Downside SD
    0.09316
  • 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
    0.04392
  • Mean of criterion
    -0.26299
  • SD of predictor
    0.10816
  • SD of criterion
    0.12249
  • Covariance
    0.00070
  • r
    0.05291
  • b (slope, estimate of beta)
    0.05991
  • a (intercept, estimate of alpha)
    -0.26562
  • Mean Square Error
    0.01508
  • DF error
    129.00000
  • t(b)
    0.60175
  • p(b)
    0.46633
  • t(a)
    -1.52914
  • p(a)
    0.58469
  • Lowerbound of 95% confidence interval for beta
    -0.13708
  • Upperbound of 95% confidence interval for beta
    0.25690
  • Lowerbound of 95% confidence interval for alpha
    -0.60929
  • Upperbound of 95% confidence interval for alpha
    0.07806
  • Treynor index (mean / b)
    -4.38954
  • Jensen alpha (a)
    -0.26562
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01336
  • Expected Shortfall on VaR
    0.01647
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00766
  • Expected Shortfall on VaR
    0.01388
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96899
  • Quartile 1
    0.99537
  • Median
    0.99928
  • Quartile 3
    1.00247
  • Maximum
    1.02730
  • Mean of quarter 1
    0.99051
  • Mean of quarter 2
    0.99742
  • Mean of quarter 3
    1.00080
  • Mean of quarter 4
    1.00785
  • Inter Quartile Range
    0.00709
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.97855
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.02112
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22756
  • VaR(95%) (moments method)
    0.01008
  • Expected Shortfall (moments method)
    0.01537
  • Extreme Value Index (regression method)
    0.10671
  • VaR(95%) (regression method)
    0.00927
  • Expected Shortfall (regression method)
    0.01277
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.05911
  • Quartile 1
    0.07228
  • Median
    0.08545
  • Quartile 3
    0.09862
  • Maximum
    0.11180
  • Mean of quarter 1
    0.05911
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.11180
  • Inter Quartile Range
    0.02635
  • 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)
    -0.22179
  • Compounded annual return (geometric extrapolation)
    -0.20949
  • Calmar ratio (compounded annual return / max draw down)
    -1.87389
  • Compounded annual return / average of 25% largest draw downs
    -1.87389
  • Compounded annual return / Expected Shortfall lognormal
    -12.71830

Strategy Description

Summary Statistics

Strategy began
2016-02-08
Suggested Minimum Capital
$35,000
# Trades
369
# Profitable
173
% Profitable
46.9%
Net Dividends
Correlation S&P500
0.323
Sharpe Ratio
1.866

Latest Activity

#PERSONNAME#
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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.