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

QuanTimer VIX
(100578638)

Created by: quantimer-dot-net quantimer-dot-net
Started: 02/2016
Stocks
Last trade: 7 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 $89.00 per month.

30.4%
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.

(28.0%)
Max Drawdown
206
Num Trades
45.6%
Win Trades
1.3 : 1
Profit Factor
60.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016       (2%)+10.5%+12.5%+23.4%(11.8%)+3.7%+3.2%+3.4%(8.4%)+19.8%+8.9%+75.3%
2017+12.5%(4.8%)+5.3%+2.8%+19.2%(1.1%)(5.2%)(6.6%)+3.5%(3.1%)+3.0%+4.8%+31.2%
2018+1.6%(2.7%)(1.7%)+6.6%(1.3%)(7.1%)+2.1%(1.9%)+1.0%(4.9%)(4.7%)+0.7%(12.5%)
2019+4.7%+4.9%+3.4%                                                      +13.6%

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.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 843 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/5/19 9:30 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 5,220 32.20 3/13 11:43 31.41 6.6%
Trade id #122787475
Max drawdown($3,901)
Time3/8/19 10:17
Quant open-1,630
Worst price34.59
Drawdown as % of equity-6.60%
$4,090
Includes Typical Broker Commissions trade costs of $15.03
2/15/19 9:30 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 1,592 33.15 2/20 12:55 32.15 0.53%
Trade id #122541518
Max drawdown($318)
Time2/15/19 9:38
Quant open-1,592
Worst price33.35
Drawdown as % of equity-0.53%
$1,587
Includes Typical Broker Commissions trade costs of $5.00
2/12/19 9:30 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 1,630 33.11 2/14 9:30 33.99 2.76%
Trade id #122474432
Max drawdown($1,711)
Time2/14/19 9:06
Quant open-1,630
Worst price34.16
Drawdown as % of equity-2.76%
($1,439)
Includes Typical Broker Commissions trade costs of $5.00
2/8/19 9:30 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 1,545 35.40 2/11 11:56 34.36 0.95%
Trade id #122429321
Max drawdown($577)
Time2/8/19 11:05
Quant open-1,545
Worst price35.77
Drawdown as % of equity-0.95%
$1,594
Includes Typical Broker Commissions trade costs of $7.17
1/30/19 14:22 VXXB IPATH SER B S&P 500 VIX SHOR SHORT 1,091 37.16 2/7 9:30 34.57 0.48%
Trade id #122275971
Max drawdown($272)
Time1/30/19 14:32
Quant open-1,091
Worst price37.41
Drawdown as % of equity-0.48%
$2,821
Includes Typical Broker Commissions trade costs of $5.00
1/29/19 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 1,093 38.25 1/29 9:30 0.00 n/a ($3)
Includes Typical Broker Commissions trade costs of $2.50
1/24/19 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 1,015 40.15 1/28 9:30 38.69 0.89%
Trade id #122154446
Max drawdown($497)
Time1/24/19 9:42
Quant open-1,015
Worst price40.64
Drawdown as % of equity-0.89%
$1,477
Includes Typical Broker Commissions trade costs of $5.00
1/23/19 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 1,026 39.65 1/23 10:45 40.81 2.07%
Trade id #122128727
Max drawdown($1,186)
Time1/23/19 10:45
Quant open0
Worst price40.81
Drawdown as % of equity-2.07%
($1,191)
Includes Typical Broker Commissions trade costs of $5.00
1/17/19 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 1,058 38.66 1/22 9:30 37.49 0.09%
Trade id #122028328
Max drawdown($48)
Time1/17/19 9:33
Quant open-1,058
Worst price38.71
Drawdown as % of equity-0.09%
$1,237
Includes Typical Broker Commissions trade costs of $5.00
1/16/19 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 1,104 37.34 1/16 15:59 38.39 2.05%
Trade id #122003086
Max drawdown($1,155)
Time1/16/19 15:59
Quant open0
Worst price38.39
Drawdown as % of equity-2.05%
($1,160)
Includes Typical Broker Commissions trade costs of $5.00
1/10/19 9:42 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 644 42.04 1/14 9:30 40.41 0.3%
Trade id #121894545
Max drawdown($167)
Time1/10/19 9:56
Quant open-644
Worst price42.30
Drawdown as % of equity-0.30%
$1,045
Includes Typical Broker Commissions trade costs of $5.00
1/8/19 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 704 42.19 1/8 10:48 43.36 1.44%
Trade id #121840085
Max drawdown($823)
Time1/8/19 10:48
Quant open0
Worst price43.36
Drawdown as % of equity-1.44%
($828)
Includes Typical Broker Commissions trade costs of $5.00
12/13/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 797 38.96 12/14 9:31 40.11 2.45%
Trade id #121477973
Max drawdown($1,418)
Time12/14/18 4:43
Quant open-797
Worst price40.74
Drawdown as % of equity-2.45%
($922)
Includes Typical Broker Commissions trade costs of $5.00
12/6/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 860 39.85 12/6 11:02 40.81 1.41%
Trade id #121373636
Max drawdown($830)
Time12/6/18 11:02
Quant open0
Worst price40.81
Drawdown as % of equity-1.41%
($835)
Includes Typical Broker Commissions trade costs of $5.00
11/29/18 10:43 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 1,288 36.37 12/4 9:30 32.79 0.88%
Trade id #121243393
Max drawdown($474)
Time11/29/18 10:53
Quant open-1,288
Worst price36.74
Drawdown as % of equity-0.88%
$4,608
Includes Typical Broker Commissions trade costs of $5.00
11/29/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 827 35.39 11/29 10:43 36.38 1.49%
Trade id #121239078
Max drawdown($817)
Time11/29/18 10:43
Quant open0
Worst price36.38
Drawdown as % of equity-1.49%
($822)
Includes Typical Broker Commissions trade costs of $5.00
11/12/18 9:50 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 907 34.26 11/12 11:00 35.28 1.65%
Trade id #120881393
Max drawdown($924)
Time11/12/18 11:00
Quant open0
Worst price35.28
Drawdown as % of equity-1.65%
($929)
Includes Typical Broker Commissions trade costs of $5.00
11/12/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 1,397 33.45 11/12 9:50 34.29 2.04%
Trade id #120880206
Max drawdown($1,170)
Time11/12/18 9:50
Quant open0
Worst price34.29
Drawdown as % of equity-2.04%
($1,175)
Includes Typical Broker Commissions trade costs of $5.00
11/8/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 1,467 32.53 11/9 10:12 33.51 2.44%
Trade id #120825075
Max drawdown($1,435)
Time11/9/18 10:12
Quant open0
Worst price33.51
Drawdown as % of equity-2.44%
($1,440)
Includes Typical Broker Commissions trade costs of $5.00
10/29/18 15:37 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 725 41.60 11/1 9:49 38.04 0.78%
Trade id #120606872
Max drawdown($435)
Time10/29/18 15:46
Quant open-725
Worst price42.20
Drawdown as % of equity-0.78%
$2,577
Includes Typical Broker Commissions trade costs of $5.00
10/25/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 805 38.37 10/26 9:30 40.36 4.07%
Trade id #120535652
Max drawdown($2,358)
Time10/26/18 5:32
Quant open-805
Worst price41.30
Drawdown as % of equity-4.07%
($1,607)
Includes Typical Broker Commissions trade costs of $5.00
10/23/18 15:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 1,334 35.45 10/24 10:02 36.20 3.1%
Trade id #120496629
Max drawdown($1,798)
Time10/23/18 17:54
Quant open-1,334
Worst price36.80
Drawdown as % of equity-3.10%
($1,033)
Includes Typical Broker Commissions trade costs of $26.68
10/16/18 12:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 2,204 32.72 10/17 10:36 33.00 1.77%
Trade id #120383702
Max drawdown($1,059)
Time10/16/18 16:31
Quant open-1,821
Worst price33.30
Drawdown as % of equity-1.77%
($657)
Includes Typical Broker Commissions trade costs of $44.08
10/9/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 785 29.14 10/10 9:30 29.53 0.51%
Trade id #120250766
Max drawdown($302)
Time10/10/18 9:30
Quant open366
Worst price29.76
Drawdown as % of equity-0.51%
($318)
Includes Typical Broker Commissions trade costs of $15.70
10/2/18 13:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 2,332 26.14 10/4 9:31 26.66 2.03%
Trade id #120139904
Max drawdown($1,211)
Time10/4/18 9:31
Quant open1,877
Worst price26.75
Drawdown as % of equity-2.03%
($1,252)
Includes Typical Broker Commissions trade costs of $41.46
9/28/18 11:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 2,307 26.25 10/1 15:35 26.55 1.14%
Trade id #120090823
Max drawdown($693)
Time10/1/18 15:35
Quant open1,910
Worst price26.62
Drawdown as % of equity-1.14%
($734)
Includes Typical Broker Commissions trade costs of $40.98
9/27/18 11:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 874 26.66 9/28 9:48 27.15 0.92%
Trade id #120067043
Max drawdown($566)
Time9/28/18 7:52
Quant open-874
Worst price27.31
Drawdown as % of equity-0.92%
($442)
Includes Typical Broker Commissions trade costs of $17.48
9/25/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 413 26.30 9/25 13:43 26.81 0.34%
Trade id #120019611
Max drawdown($210)
Time9/25/18 13:43
Quant open0
Worst price26.81
Drawdown as % of equity-0.34%
($218)
Includes Typical Broker Commissions trade costs of $8.26
9/18/18 12:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 3,147 27.01 9/24 9:33 26.71 0.51%
Trade id #119912377
Max drawdown($311)
Time9/18/18 16:02
Quant open-821
Worst price28.14
Drawdown as % of equity-0.51%
$898
Includes Typical Broker Commissions trade costs of $57.92
9/10/18 12:30 VXX IPATH S&P 500 VIX ST FUTURES E SHORT 5,048 28.52 9/17 15:40 28.13 0.66%
Trade id #119783098
Max drawdown($390)
Time9/11/18 9:36
Quant open-725
Worst price30.57
Drawdown as % of equity-0.66%
$1,877
Includes Typical Broker Commissions trade costs of $100.96

Statistics

  • Strategy began
    2/11/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1133.43
  • Age
    38 months ago
  • What it trades
    Stocks
  • # Trades
    206
  • # Profitable
    94
  • % Profitable
    45.60%
  • Avg trade duration
    2.9 days
  • Max peak-to-valley drawdown
    27.97%
  • drawdown period
    May 14, 2018 - Nov 29, 2018
  • Annual Return (Compounded)
    30.4%
  • Avg win
    $1,711
  • Avg loss
    $1,087
  • Model Account Values (Raw)
  • Cash
    $123,129
  • Margin Used
    $87,697
  • Buying Power
    $34,906
  • Ratios
  • W:L ratio
    1.32:1
  • Sharpe Ratio
    1.402
  • Sortino Ratio
    2.427
  • Calmar Ratio
    1.702
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.28800
  • Return Statistics
  • Ann Return (w trading costs)
    30.4%
  • Ann Return (Compnd, No Fees)
    35.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    25.00%
  • Chance of 20% account loss
    5.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    361
  • Popularity (Last 6 weeks)
    840
  • C2 Score
    86.9
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $1,097
  • Avg Win
    $1,712
  • # Winners
    94
  • # Losers
    111
  • % Winners
    45.9%
  • Frequency
  • Avg Position Time (mins)
    4221.10
  • Avg Position Time (hrs)
    70.35
  • Avg Trade Length
    2.9 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
    0.32024
  • SD
    0.30244
  • Sharpe ratio (Glass type estimate)
    1.05885
  • Sharpe ratio (Hedges UMVUE)
    1.03597
  • df
    35.00000
  • t
    1.83398
  • p
    0.03759
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.10658
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.20994
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.12135
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.19328
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.10575
  • Upside Potential Ratio
    3.85588
  • Upside part of mean
    0.58639
  • Downside part of mean
    -0.26615
  • Upside SD
    0.27267
  • Downside SD
    0.15208
  • N nonnegative terms
    23.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    36.00000
  • Mean of predictor
    0.12077
  • Mean of criterion
    0.32024
  • SD of predictor
    0.12240
  • SD of criterion
    0.30244
  • Covariance
    0.00663
  • r
    0.17915
  • b (slope, estimate of beta)
    0.44265
  • a (intercept, estimate of alpha)
    0.26678
  • Mean Square Error
    0.09114
  • DF error
    34.00000
  • t(b)
    1.06178
  • p(b)
    0.14791
  • t(a)
    1.47048
  • p(a)
    0.07531
  • Lowerbound of 95% confidence interval for beta
    -0.40459
  • Upperbound of 95% confidence interval for beta
    1.28989
  • Lowerbound of 95% confidence interval for alpha
    -0.10192
  • Upperbound of 95% confidence interval for alpha
    0.63547
  • Treynor index (mean / b)
    0.72345
  • Jensen alpha (a)
    0.26678
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27348
  • SD
    0.29320
  • Sharpe ratio (Glass type estimate)
    0.93275
  • Sharpe ratio (Hedges UMVUE)
    0.91259
  • df
    35.00000
  • t
    1.61556
  • p
    0.05758
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22596
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.07868
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.23901
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.06419
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.71200
  • Upside Potential Ratio
    3.45141
  • Upside part of mean
    0.55135
  • Downside part of mean
    -0.27786
  • Upside SD
    0.25356
  • Downside SD
    0.15974
  • N nonnegative terms
    23.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    36.00000
  • Mean of predictor
    0.11279
  • Mean of criterion
    0.27348
  • SD of predictor
    0.12076
  • SD of criterion
    0.29320
  • Covariance
    0.00671
  • r
    0.18949
  • b (slope, estimate of beta)
    0.46007
  • a (intercept, estimate of alpha)
    0.22159
  • Mean Square Error
    0.08532
  • DF error
    34.00000
  • t(b)
    1.12532
  • p(b)
    0.13417
  • t(a)
    1.26745
  • p(a)
    0.10680
  • Lowerbound of 95% confidence interval for beta
    -0.37078
  • Upperbound of 95% confidence interval for beta
    1.29091
  • Lowerbound of 95% confidence interval for alpha
    -0.13371
  • Upperbound of 95% confidence interval for alpha
    0.57689
  • Treynor index (mean / b)
    0.59444
  • Jensen alpha (a)
    0.22159
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10991
  • Expected Shortfall on VaR
    0.14042
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04146
  • Expected Shortfall on VaR
    0.08394
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    36.00000
  • Minimum
    0.87067
  • Quartile 1
    0.97323
  • Median
    1.02112
  • Quartile 3
    1.09318
  • Maximum
    1.21305
  • Mean of quarter 1
    0.91879
  • Mean of quarter 2
    1.00033
  • Mean of quarter 3
    1.05148
  • Mean of quarter 4
    1.14546
  • Inter Quartile Range
    0.11996
  • 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)
    -0.13223
  • VaR(95%) (moments method)
    0.08774
  • Expected Shortfall (moments method)
    0.10600
  • Extreme Value Index (regression method)
    -0.06002
  • VaR(95%) (regression method)
    0.08928
  • Expected Shortfall (regression method)
    0.10953
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.01504
  • Quartile 1
    0.08552
  • Median
    0.10773
  • Quartile 3
    0.13555
  • Maximum
    0.19286
  • Mean of quarter 1
    0.05018
  • Mean of quarter 2
    0.08613
  • Mean of quarter 3
    0.12933
  • Mean of quarter 4
    0.16524
  • Inter Quartile Range
    0.05004
  • 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)
    0.48996
  • Compounded annual return (geometric extrapolation)
    0.35174
  • Calmar ratio (compounded annual return / max draw down)
    1.82381
  • Compounded annual return / average of 25% largest draw downs
    2.12860
  • Compounded annual return / Expected Shortfall lognormal
    2.50489
  • 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
    0.30696
  • SD
    0.21869
  • Sharpe ratio (Glass type estimate)
    1.40363
  • Sharpe ratio (Hedges UMVUE)
    1.40230
  • df
    796.00000
  • t
    2.44811
  • p
    0.00729
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.27733
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.52905
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.27644
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.52816
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.42726
  • Upside Potential Ratio
    10.31840
  • Upside part of mean
    1.30490
  • Downside part of mean
    -0.99794
  • Upside SD
    0.17925
  • Downside SD
    0.12646
  • N nonnegative terms
    331.00000
  • N negative terms
    466.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    797.00000
  • Mean of predictor
    0.12281
  • Mean of criterion
    0.30696
  • SD of predictor
    0.12543
  • SD of criterion
    0.21869
  • Covariance
    0.00803
  • r
    0.29267
  • b (slope, estimate of beta)
    0.51025
  • a (intercept, estimate of alpha)
    0.24400
  • Mean Square Error
    0.04378
  • DF error
    795.00000
  • t(b)
    8.62979
  • p(b)
    -0.00000
  • t(a)
    2.03254
  • p(a)
    0.02122
  • Lowerbound of 95% confidence interval for beta
    0.39419
  • Upperbound of 95% confidence interval for beta
    0.62631
  • Lowerbound of 95% confidence interval for alpha
    0.00836
  • Upperbound of 95% confidence interval for alpha
    0.48022
  • Treynor index (mean / b)
    0.60159
  • Jensen alpha (a)
    0.24429
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28314
  • SD
    0.21693
  • Sharpe ratio (Glass type estimate)
    1.30520
  • Sharpe ratio (Hedges UMVUE)
    1.30397
  • df
    796.00000
  • t
    2.27643
  • p
    0.01154
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.17922
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.43038
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.17839
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.42954
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.21430
  • Upside Potential Ratio
    10.08130
  • Upside part of mean
    1.28909
  • Downside part of mean
    -1.00595
  • Upside SD
    0.17594
  • Downside SD
    0.12787
  • N nonnegative terms
    331.00000
  • N negative terms
    466.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    797.00000
  • Mean of predictor
    0.11490
  • Mean of criterion
    0.28314
  • SD of predictor
    0.12564
  • SD of criterion
    0.21693
  • Covariance
    0.00798
  • r
    0.29272
  • b (slope, estimate of beta)
    0.50542
  • a (intercept, estimate of alpha)
    0.22507
  • Mean Square Error
    0.04308
  • DF error
    795.00000
  • t(b)
    8.63164
  • p(b)
    -0.00000
  • t(a)
    1.88822
  • p(a)
    0.02968
  • Lowerbound of 95% confidence interval for beta
    0.39048
  • Upperbound of 95% confidence interval for beta
    0.62036
  • Lowerbound of 95% confidence interval for alpha
    -0.00891
  • Upperbound of 95% confidence interval for alpha
    0.45904
  • Treynor index (mean / b)
    0.56021
  • Jensen alpha (a)
    0.22507
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02075
  • Expected Shortfall on VaR
    0.02620
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00966
  • Expected Shortfall on VaR
    0.01854
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    797.00000
  • Minimum
    0.95445
  • Quartile 1
    0.99527
  • Median
    1.00000
  • Quartile 3
    1.00605
  • Maximum
    1.09403
  • Mean of quarter 1
    0.98658
  • Mean of quarter 2
    0.99848
  • Mean of quarter 3
    1.00180
  • Mean of quarter 4
    1.01833
  • Inter Quartile Range
    0.01078
  • Number outliers low
    24.00000
  • Percentage of outliers low
    0.03011
  • Mean of outliers low
    0.97086
  • Number of outliers high
    51.00000
  • Percentage of outliers high
    0.06399
  • Mean of outliers high
    1.03475
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.22403
  • VaR(95%) (moments method)
    0.01188
  • Expected Shortfall (moments method)
    0.01489
  • Extreme Value Index (regression method)
    -0.04584
  • VaR(95%) (regression method)
    0.01285
  • Expected Shortfall (regression method)
    0.01749
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    30.00000
  • Minimum
    0.00056
  • Quartile 1
    0.00925
  • Median
    0.03025
  • Quartile 3
    0.04661
  • Maximum
    0.21435
  • Mean of quarter 1
    0.00357
  • Mean of quarter 2
    0.01715
  • Mean of quarter 3
    0.03731
  • Mean of quarter 4
    0.12002
  • Inter Quartile Range
    0.03736
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.15626
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.95891
  • VaR(95%) (moments method)
    0.11641
  • Expected Shortfall (moments method)
    0.12644
  • Extreme Value Index (regression method)
    -0.19614
  • VaR(95%) (regression method)
    0.13825
  • Expected Shortfall (regression method)
    0.17758
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.51805
  • Compounded annual return (geometric extrapolation)
    0.36485
  • Calmar ratio (compounded annual return / max draw down)
    1.70214
  • Compounded annual return / average of 25% largest draw downs
    3.04002
  • Compounded annual return / Expected Shortfall lognormal
    13.92450
  • 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
    0.16408
  • SD
    0.19683
  • Sharpe ratio (Glass type estimate)
    0.83362
  • Sharpe ratio (Hedges UMVUE)
    0.82881
  • df
    130.00000
  • t
    0.58946
  • p
    0.47419
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.94161
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.60571
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.94483
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.60244
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.57706
  • Upside Potential Ratio
    9.76616
  • Upside part of mean
    1.01608
  • Downside part of mean
    -0.85200
  • Upside SD
    0.16650
  • Downside SD
    0.10404
  • N nonnegative terms
    36.00000
  • N negative terms
    95.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.04838
  • Mean of criterion
    0.16408
  • SD of predictor
    0.18661
  • SD of criterion
    0.19683
  • Covariance
    0.01147
  • r
    0.31216
  • b (slope, estimate of beta)
    0.32924
  • a (intercept, estimate of alpha)
    0.18001
  • Mean Square Error
    0.03524
  • DF error
    129.00000
  • t(b)
    3.73190
  • p(b)
    0.30455
  • t(a)
    0.67799
  • p(a)
    0.46209
  • Lowerbound of 95% confidence interval for beta
    0.15469
  • Upperbound of 95% confidence interval for beta
    0.50379
  • Lowerbound of 95% confidence interval for alpha
    -0.34529
  • Upperbound of 95% confidence interval for alpha
    0.70531
  • Treynor index (mean / b)
    0.49835
  • Jensen alpha (a)
    0.18001
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14508
  • SD
    0.19467
  • Sharpe ratio (Glass type estimate)
    0.74524
  • Sharpe ratio (Hedges UMVUE)
    0.74093
  • df
    130.00000
  • t
    0.52696
  • p
    0.47692
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.02938
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.51720
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.03234
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.51420
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.38285
  • Upside Potential Ratio
    9.55522
  • Upside part of mean
    1.00246
  • Downside part of mean
    -0.85738
  • Upside SD
    0.16335
  • Downside SD
    0.10491
  • N nonnegative terms
    36.00000
  • N negative terms
    95.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.06566
  • Mean of criterion
    0.14508
  • SD of predictor
    0.18661
  • SD of criterion
    0.19467
  • Covariance
    0.01140
  • r
    0.31378
  • b (slope, estimate of beta)
    0.32733
  • a (intercept, estimate of alpha)
    0.16657
  • Mean Square Error
    0.03443
  • DF error
    129.00000
  • t(b)
    3.75345
  • p(b)
    0.30357
  • t(a)
    0.63461
  • p(a)
    0.46450
  • Lowerbound of 95% confidence interval for beta
    0.15479
  • Upperbound of 95% confidence interval for beta
    0.49988
  • Lowerbound of 95% confidence interval for alpha
    -0.35275
  • Upperbound of 95% confidence interval for alpha
    0.68589
  • Treynor index (mean / b)
    0.44321
  • Jensen alpha (a)
    0.16657
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01905
  • Expected Shortfall on VaR
    0.02395
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00936
  • Expected Shortfall on VaR
    0.01717
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97550
  • Quartile 1
    0.99621
  • Median
    1.00000
  • Quartile 3
    1.00098
  • Maximum
    1.06598
  • Mean of quarter 1
    0.98900
  • Mean of quarter 2
    0.99839
  • Mean of quarter 3
    1.00005
  • Mean of quarter 4
    1.01546
  • Inter Quartile Range
    0.00477
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.98222
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.13740
  • Mean of outliers high
    1.02419
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.14422
  • VaR(95%) (moments method)
    0.00965
  • Expected Shortfall (moments method)
    0.01250
  • Extreme Value Index (regression method)
    -0.17410
  • VaR(95%) (regression method)
    0.01054
  • Expected Shortfall (regression method)
    0.01362
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00008
  • Quartile 1
    0.01140
  • Median
    0.02218
  • Quartile 3
    0.05164
  • Maximum
    0.11898
  • Mean of quarter 1
    0.00008
  • Mean of quarter 2
    0.01518
  • Mean of quarter 3
    0.02919
  • Mean of quarter 4
    0.11898
  • Inter Quartile Range
    0.04023
  • 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
    0.11898
  • 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)
    0.18069
  • Compounded annual return (geometric extrapolation)
    0.18885
  • Calmar ratio (compounded annual return / max draw down)
    1.58722
  • Compounded annual return / average of 25% largest draw downs
    1.58722
  • Compounded annual return / Expected Shortfall lognormal
    7.88415

Strategy Description

For more system related information please visit our website.

We sincerely appreciate your interest in QuanTimer. We care about your financial well-being and would like to make sure that you do not have any unpleasant experience, when you start trading QuanTimer systems. While we are very confident about the long-term profitability of our strategies, it is difficult to predict when exactly we could experience some drawdown.

We strongly recommend that you invest only one-third of your intended capital in the first month, add another one-third after a month, and add the last one-third after two months to get fully invested. This would be a prudent approach, since it will lessen the impact of drawdown in your portfolio.

Summary Statistics

Strategy began
2016-02-11
Suggested Minimum Capital
$35,000
# Trades
206
# Profitable
94
% Profitable
45.6%
Correlation S&P500
0.288
Sharpe Ratio
1.402

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.

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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.