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

TECL
(100590387)

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.

43.2%
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.

(23.1%)
Max Drawdown
375
Num Trades
64.3%
Win Trades
0.5 : 1
Profit Factor
60.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016       +19.7%+30.9%(16.3%)+15.1%(5%)+24.2%+3.8%+5.6%(5.4%)+2.6%+6.2%+101.4%
2017+11.5%+14.8%+6.2%(4.6%)(1.7%)+3.5%(0.1%)+3.6%+0.2%(1.9%)+0.5%+2.4%+38.0%
2018+1.2%+0.7%(1.6%)(0.1%)+1.6%+2.6%(0.1%)(1.5%)(1.3%)(6.4%)            (5%)

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
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Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/17/18 13:18 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 5,000 37.28 10/17 15:57 36.93 0.41%
Trade id #120406685
Max drawdown($2,793)
Time10/17/18 15:10
Quant open5,000
Worst price36.72
Drawdown as % of equity-0.41%
($1,759)
Includes Typical Broker Commissions trade costs of $15.00
10/4/18 9:30 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 200 26.15 10/8 15:55 29.82 0%
Trade id #120180170
Max drawdown$0
Time10/4/18 9:32
Quant open200
Worst price26.15
Drawdown as % of equity0.00%
$730
Includes Typical Broker Commissions trade costs of $4.00
9/24/18 9:44 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 3,200 27.18 10/3 9:30 25.41 0.82%
Trade id #120000633
Max drawdown($5,862)
Time10/1/18 10:33
Quant open2,400
Worst price24.74
Drawdown as % of equity-0.82%
($5,683)
Includes Typical Broker Commissions trade costs of $26.00
10/1/18 12:04 SYN SYNTHETIC BIOLOGICS LONG 9,600 2.97 10/2 9:30 2.65 0.63%
Trade id #120119390
Max drawdown($4,571)
Time10/1/18 15:38
Quant open9,600
Worst price2.49
Drawdown as % of equity-0.63%
($3,068)
Includes Typical Broker Commissions trade costs of $32.50
9/19/18 14:00 FB FACEBOOK LONG 500 162.14 9/25 11:01 163.51 0.14%
Trade id #119935082
Max drawdown($1,034)
Time9/25/18 6:45
Quant open500
Worst price160.07
Drawdown as % of equity-0.14%
$676
Includes Typical Broker Commissions trade costs of $10.00
9/14/18 14:47 NAIL MARKET VECTORS HOMEBUILDR & SPS BULL 3X LONG 400 52.88 9/25 10:56 47.35 0.33%
Trade id #119871728
Max drawdown($2,360)
Time9/24/18 13:22
Quant open400
Worst price46.98
Drawdown as % of equity-0.33%
($2,220)
Includes Typical Broker Commissions trade costs of $8.00
8/24/18 14:36 TECS DIREXION DAILY TECHNOLOGY BEAR 3X LONG 17,000 19.33 9/20 10:01 18.70 3.14%
Trade id #119590106
Max drawdown($22,645)
Time8/30/18 13:21
Quant open17,000
Worst price18.00
Drawdown as % of equity-3.14%
($10,775)
Includes Typical Broker Commissions trade costs of $30.00
9/18/18 9:59 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 2,400 28.39 9/18 15:07 28.91 0.1%
Trade id #119907473
Max drawdown($696)
Time9/18/18 11:10
Quant open2,400
Worst price28.10
Drawdown as % of equity-0.10%
$1,237
Includes Typical Broker Commissions trade costs of $11.50
9/17/18 15:38 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 2,400 29.43 9/18 9:32 28.41 0.34%
Trade id #119896875
Max drawdown($2,448)
Time9/18/18 9:32
Quant open0
Worst price28.41
Drawdown as % of equity-0.34%
($2,456)
Includes Typical Broker Commissions trade costs of $7.50
9/6/18 11:41 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 9,200 34.53 9/11 15:56 33.70 1.07%
Trade id #119747400
Max drawdown($7,628)
Time9/11/18 15:56
Quant open6,800
Worst price31.35
Drawdown as % of equity-1.07%
($7,668)
Includes Typical Broker Commissions trade costs of $40.00
9/5/18 11:54 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 4,800 32.63 9/5 15:59 32.31 0.32%
Trade id #119733890
Max drawdown($2,283)
Time9/5/18 12:39
Quant open4,800
Worst price32.15
Drawdown as % of equity-0.32%
($1,549)
Includes Typical Broker Commissions trade costs of $17.50
7/27/18 13:07 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 32,700 35.19 9/5 10:02 35.56 1.41%
Trade id #119164817
Max drawdown($10,178)
Time7/27/18 14:02
Quant open5,800
Worst price37.06
Drawdown as % of equity-1.41%
$11,619
Includes Typical Broker Commissions trade costs of $307.50
8/24/18 14:23 JDST DIREXION DAILY JR GOLD BEAR LONG 400 72.47 8/27 12:11 71.06 0.15%
Trade id #119589701
Max drawdown($1,091)
Time8/27/18 10:42
Quant open400
Worst price69.74
Drawdown as % of equity-0.15%
($571)
Includes Typical Broker Commissions trade costs of $8.00
5/23/18 11:31 NUGT DIREXION DAILY GOLD MINERS BUL LONG 1,800 25.07 8/16 15:01 13.01 3.02%
Trade id #118071398
Max drawdown($21,705)
Time8/16/18 15:00
Quant open1,800
Worst price13.01
Drawdown as % of equity-3.02%
($21,726)
Includes Typical Broker Commissions trade costs of $20.50
10/31/17 14:21 HMNY HELIOS AND MATHESON ANALYTICS LONG 25 2870.43 8/16/18 14:52 2945.40 0.82%
Trade id #114616355
Max drawdown($5,800)
Time12/27/17 12:45
Quant open2
Worst price5.31
Drawdown as % of equity-0.82%
$1,874
Includes Typical Broker Commissions trade costs of $0.50
7/19/18 10:11 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 1,000 37.46 7/19 15:20 37.73 0.11%
Trade id #119015634
Max drawdown($830)
Time7/19/18 11:44
Quant open1,000
Worst price36.63
Drawdown as % of equity-0.11%
$260
Includes Typical Broker Commissions trade costs of $12.50
7/11/18 9:30 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 6,000 10.26 7/11 13:11 10.49 0.13%
Trade id #118862878
Max drawdown($971)
Time7/11/18 10:31
Quant open4,600
Worst price10.07
Drawdown as % of equity-0.13%
$1,253
Includes Typical Broker Commissions trade costs of $120.00
6/29/18 13:40 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 8,000 12.87 6/29 15:55 12.77 0.14%
Trade id #118716858
Max drawdown($1,054)
Time6/29/18 15:46
Quant open8,000
Worst price12.74
Drawdown as % of equity-0.14%
($838)
Includes Typical Broker Commissions trade costs of $22.50
4/25/18 12:39 SGH SMART GLOBAL HOLDINGS INC. ORDINARY SHARES LONG 100 39.65 6/21 15:51 44.34 0.02%
Trade id #117660899
Max drawdown($142)
Time4/30/18 10:01
Quant open100
Worst price38.23
Drawdown as % of equity-0.02%
$467
Includes Typical Broker Commissions trade costs of $2.00
12/11/17 14:03 XNET XUNLEI LTD ADR LONG 300 13.26 6/21/18 15:51 17.76 0.04%
Trade id #115295095
Max drawdown($262)
Time12/22/17 9:24
Quant open200
Worst price12.29
Drawdown as % of equity-0.04%
$1,345
Includes Typical Broker Commissions trade costs of $6.00
5/23/18 15:54 TECS DIREXION DAILY TECHNOLOGY BEAR 3X LONG 18,020 23.72 6/12 14:17 22.88 2.07%
Trade id #118077204
Max drawdown($15,204)
Time6/12/18 14:17
Quant open12,000
Worst price21.60
Drawdown as % of equity-2.07%
($15,217)
Includes Typical Broker Commissions trade costs of $12.50
5/30/18 12:17 GREK GLOBAL X MSCI GREECE 20 ETF LONG 300 9.00 6/7 13:36 9.32 0%
Trade id #118171791
Max drawdown($21)
Time5/31/18 11:25
Quant open300
Worst price8.93
Drawdown as % of equity-0.00%
$90
Includes Typical Broker Commissions trade costs of $6.00
5/17/18 11:32 LBJ DIREXION DAILY LATIN AMERICA B LONG 1,600 27.92 6/7 13:32 18.15 2.12%
Trade id #117979709
Max drawdown($15,631)
Time6/7/18 13:32
Quant open0
Worst price18.15
Drawdown as % of equity-2.12%
($15,646)
Includes Typical Broker Commissions trade costs of $15.00
5/8/18 13:12 TECS DIREXION DAILY TECHNOLOGY BEAR 3X LONG 16,020 24.79 5/23 14:20 24.07 3.68%
Trade id #117843363
Max drawdown($26,728)
Time5/18/18 8:01
Quant open6,020
Worst price21.35
Drawdown as % of equity-3.68%
($11,513)
Includes Typical Broker Commissions trade costs of $10.00
2/12/18 14:39 EDIT EDITAS MEDICINE INC. COMMON STOCK LONG 200 33.59 5/11 13:40 34.57 0.04%
Trade id #116466920
Max drawdown($296)
Time4/30/18 15:00
Quant open120
Worst price31.12
Drawdown as % of equity-0.04%
$192
Includes Typical Broker Commissions trade costs of $4.00
9/11/17 12:54 CLVS CLOVIS ONCOLOGY LONG 180 64.45 5/11/18 13:40 66.99 0.11%
Trade id #113627515
Max drawdown($789)
Time2/9/18 12:47
Quant open40
Worst price46.78
Drawdown as % of equity-0.11%
$453
Includes Typical Broker Commissions trade costs of $3.60
5/2/18 13:57 TECS DIREXION DAILY TECHNOLOGY BEAR 3X LONG 24,020 27.06 5/8 11:22 26.60 1.99%
Trade id #117760183
Max drawdown($14,384)
Time5/7/18 14:35
Quant open8,020
Worst price25.27
Drawdown as % of equity-1.99%
($11,253)
Includes Typical Broker Commissions trade costs of $15.00
4/30/18 15:38 TECS DIREXION DAILY TECHNOLOGY BEAR 3X LONG 32,000 28.35 5/2 12:48 28.06 1.46%
Trade id #117724234
Max drawdown($10,412)
Time5/1/18 16:31
Quant open8,020
Worst price27.21
Drawdown as % of equity-1.46%
($9,124)
Includes Typical Broker Commissions trade costs of $22.50
4/25/18 15:54 TECS DIREXION DAILY TECHNOLOGY BEAR 3X LONG 8,000 30.02 4/30 9:40 27.89 3.04%
Trade id #117664848
Max drawdown($21,680)
Time4/27/18 9:31
Quant open8,000
Worst price27.31
Drawdown as % of equity-3.04%
($17,045)
Includes Typical Broker Commissions trade costs of $5.00
3/19/18 9:36 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 2,000 15.35 4/24 11:59 15.71 0.01%
Trade id #117113729
Max drawdown($54)
Time3/19/18 9:40
Quant open600
Worst price14.87
Drawdown as % of equity-0.01%
$686
Includes Typical Broker Commissions trade costs of $36.70

Statistics

  • Strategy began
    2/11/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    983.46
  • Age
    33 months ago
  • What it trades
    Stocks
  • # Trades
    375
  • # Profitable
    241
  • % Profitable
    64.30%
  • Avg trade duration
    41.5 days
  • Max peak-to-valley drawdown
    23.12%
  • drawdown period
    April 01, 2016 - June 27, 2016
  • Annual Return (Compounded)
    43.2%
  • Avg win
    $326.98
  • Avg loss
    $1,874
  • Model Account Values (Raw)
  • Cash
    $514,961
  • Margin Used
    $0
  • Buying Power
    $1,093,729
  • Ratios
  • W:L ratio
    0.45:1
  • Sharpe Ratio
    1.818
  • Sortino Ratio
    2.817
  • Calmar Ratio
    2.288
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.38400
  • Return Statistics
  • Ann Return (w trading costs)
    43.2%
  • Ann Return (Compnd, No Fees)
    44.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    28.00%
  • Chance of 20% account loss
    4.50%
  • Chance of 30% account loss
    1.00%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    782
  • C2 Score
    72.0
  • 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
    $1,874
  • Avg Win
    $2,726
  • # Winners
    241
  • # Losers
    134
  • % Winners
    64.3%
  • Frequency
  • Avg Position Time (mins)
    59685.50
  • Avg Position Time (hrs)
    994.76
  • Avg Trade Length
    41.4 days
  • Last Trade Ago
    3
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42895
  • SD
    0.30858
  • Sharpe ratio (Glass type estimate)
    1.39008
  • Sharpe ratio (Hedges UMVUE)
    1.35499
  • df
    30.00000
  • t
    2.23424
  • p
    0.01653
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.11071
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.64815
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.08827
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.62170
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.29575
  • Upside Potential Ratio
    5.57383
  • Upside part of mean
    0.55658
  • Downside part of mean
    -0.12762
  • Upside SD
    0.31227
  • Downside SD
    0.09986
  • N nonnegative terms
    21.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.15863
  • Mean of criterion
    0.42895
  • SD of predictor
    0.10222
  • SD of criterion
    0.30858
  • Covariance
    0.01928
  • r
    0.61112
  • b (slope, estimate of beta)
    1.84489
  • a (intercept, estimate of alpha)
    0.13631
  • Mean Square Error
    0.06172
  • DF error
    29.00000
  • t(b)
    4.15770
  • p(b)
    0.00013
  • t(a)
    0.80257
  • p(a)
    0.21438
  • Lowerbound of 95% confidence interval for beta
    0.93736
  • Upperbound of 95% confidence interval for beta
    2.75241
  • Lowerbound of 95% confidence interval for alpha
    -0.21105
  • Upperbound of 95% confidence interval for alpha
    0.48367
  • Treynor index (mean / b)
    0.23251
  • Jensen alpha (a)
    0.13631
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38127
  • SD
    0.27925
  • Sharpe ratio (Glass type estimate)
    1.36533
  • Sharpe ratio (Hedges UMVUE)
    1.33086
  • df
    30.00000
  • t
    2.19446
  • p
    0.01804
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.08781
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.62187
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06579
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.59594
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.59481
  • Upside Potential Ratio
    4.84615
  • Upside part of mean
    0.51399
  • Downside part of mean
    -0.13272
  • Upside SD
    0.27628
  • Downside SD
    0.10606
  • N nonnegative terms
    21.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    31.00000
  • Mean of predictor
    0.15237
  • Mean of criterion
    0.38127
  • SD of predictor
    0.09997
  • SD of criterion
    0.27925
  • Covariance
    0.01643
  • r
    0.58854
  • b (slope, estimate of beta)
    1.64398
  • a (intercept, estimate of alpha)
    0.13079
  • Mean Square Error
    0.05273
  • DF error
    29.00000
  • t(b)
    3.92021
  • p(b)
    0.00025
  • t(a)
    0.83566
  • p(a)
    0.20509
  • Lowerbound of 95% confidence interval for beta
    0.78629
  • Upperbound of 95% confidence interval for beta
    2.50167
  • Lowerbound of 95% confidence interval for alpha
    -0.18930
  • Upperbound of 95% confidence interval for alpha
    0.45087
  • Treynor index (mean / b)
    0.23192
  • Jensen alpha (a)
    0.13079
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09591
  • Expected Shortfall on VaR
    0.12547
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01743
  • Expected Shortfall on VaR
    0.04076
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    31.00000
  • Minimum
    0.86162
  • Quartile 1
    0.99411
  • Median
    1.01941
  • Quartile 3
    1.05724
  • Maximum
    1.38880
  • Mean of quarter 1
    0.96304
  • Mean of quarter 2
    1.00770
  • Mean of quarter 3
    1.03467
  • Mean of quarter 4
    1.14646
  • Inter Quartile Range
    0.06314
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03226
  • Mean of outliers low
    0.86162
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.06452
  • Mean of outliers high
    1.28346
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.27278
  • VaR(95%) (moments method)
    0.02309
  • Expected Shortfall (moments method)
    0.04222
  • Extreme Value Index (regression method)
    0.76793
  • VaR(95%) (regression method)
    0.04638
  • Expected Shortfall (regression method)
    0.23522
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01255
  • Quartile 1
    0.02341
  • Median
    0.02707
  • Quartile 3
    0.05593
  • Maximum
    0.13838
  • Mean of quarter 1
    0.01798
  • Mean of quarter 2
    0.02707
  • Mean of quarter 3
    0.05593
  • Mean of quarter 4
    0.13838
  • Inter Quartile Range
    0.03253
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.13838
  • 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)
    0.72691
  • Compounded annual return (geometric extrapolation)
    0.50558
  • Calmar ratio (compounded annual return / max draw down)
    3.65362
  • Compounded annual return / average of 25% largest draw downs
    3.65362
  • Compounded annual return / Expected Shortfall lognormal
    4.02955
  • 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
    0.36887
  • SD
    0.20265
  • Sharpe ratio (Glass type estimate)
    1.82023
  • Sharpe ratio (Hedges UMVUE)
    1.81826
  • df
    692.00000
  • t
    2.96034
  • p
    0.00159
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.61065
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.02852
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.60933
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.02718
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.81716
  • Upside Potential Ratio
    8.80145
  • Upside part of mean
    1.15243
  • Downside part of mean
    -0.78356
  • Upside SD
    0.15615
  • Downside SD
    0.13094
  • N nonnegative terms
    360.00000
  • N negative terms
    333.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    693.00000
  • Mean of predictor
    0.13504
  • Mean of criterion
    0.36887
  • SD of predictor
    0.11206
  • SD of criterion
    0.20265
  • Covariance
    0.00887
  • r
    0.39041
  • b (slope, estimate of beta)
    0.70601
  • a (intercept, estimate of alpha)
    0.27400
  • Mean Square Error
    0.03486
  • DF error
    691.00000
  • t(b)
    11.14740
  • p(b)
    -0.00000
  • t(a)
    2.37612
  • p(a)
    0.00888
  • Lowerbound of 95% confidence interval for beta
    0.58166
  • Upperbound of 95% confidence interval for beta
    0.83036
  • Lowerbound of 95% confidence interval for alpha
    0.04751
  • Upperbound of 95% confidence interval for alpha
    0.49955
  • Treynor index (mean / b)
    0.52247
  • Jensen alpha (a)
    0.27353
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34803
  • SD
    0.20315
  • Sharpe ratio (Glass type estimate)
    1.71314
  • Sharpe ratio (Hedges UMVUE)
    1.71128
  • df
    692.00000
  • t
    2.78618
  • p
    0.00274
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.50404
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.92104
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.50279
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.91977
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.58628
  • Upside Potential Ratio
    8.47458
  • Upside part of mean
    1.14039
  • Downside part of mean
    -0.79237
  • Upside SD
    0.15351
  • Downside SD
    0.13457
  • N nonnegative terms
    360.00000
  • N negative terms
    333.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    693.00000
  • Mean of predictor
    0.12870
  • Mean of criterion
    0.34803
  • SD of predictor
    0.11238
  • SD of criterion
    0.20315
  • Covariance
    0.00886
  • r
    0.38808
  • b (slope, estimate of beta)
    0.70157
  • a (intercept, estimate of alpha)
    0.25773
  • Mean Square Error
    0.03511
  • DF error
    691.00000
  • t(b)
    11.06900
  • p(b)
    -0.00000
  • t(a)
    2.23158
  • p(a)
    0.01298
  • Lowerbound of 95% confidence interval for beta
    0.57713
  • Upperbound of 95% confidence interval for beta
    0.82602
  • Lowerbound of 95% confidence interval for alpha
    0.03097
  • Upperbound of 95% confidence interval for alpha
    0.48449
  • Treynor index (mean / b)
    0.49606
  • Jensen alpha (a)
    0.25773
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01913
  • Expected Shortfall on VaR
    0.02425
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00655
  • Expected Shortfall on VaR
    0.01430
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    693.00000
  • Minimum
    0.89232
  • Quartile 1
    0.99723
  • Median
    1.00035
  • Quartile 3
    1.00537
  • Maximum
    1.07300
  • Mean of quarter 1
    0.98937
  • Mean of quarter 2
    0.99894
  • Mean of quarter 3
    1.00244
  • Mean of quarter 4
    1.01538
  • Inter Quartile Range
    0.00814
  • Number outliers low
    36.00000
  • Percentage of outliers low
    0.05195
  • Mean of outliers low
    0.97330
  • Number of outliers high
    48.00000
  • Percentage of outliers high
    0.06926
  • Mean of outliers high
    1.02996
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.54139
  • VaR(95%) (moments method)
    0.01007
  • Expected Shortfall (moments method)
    0.02490
  • Extreme Value Index (regression method)
    0.36642
  • VaR(95%) (regression method)
    0.00878
  • Expected Shortfall (regression method)
    0.01657
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    37.00000
  • Minimum
    0.00008
  • Quartile 1
    0.00445
  • Median
    0.01043
  • Quartile 3
    0.03452
  • Maximum
    0.19942
  • Mean of quarter 1
    0.00180
  • Mean of quarter 2
    0.00825
  • Mean of quarter 3
    0.02207
  • Mean of quarter 4
    0.08602
  • Inter Quartile Range
    0.03006
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.10811
  • Mean of outliers high
    0.12589
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.18325
  • VaR(95%) (moments method)
    0.08356
  • Expected Shortfall (moments method)
    0.12729
  • Extreme Value Index (regression method)
    0.42157
  • VaR(95%) (regression method)
    0.09076
  • Expected Shortfall (regression method)
    0.17218
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.64384
  • Compounded annual return (geometric extrapolation)
    0.45635
  • Calmar ratio (compounded annual return / max draw down)
    2.28840
  • Compounded annual return / average of 25% largest draw downs
    5.30500
  • Compounded annual return / Expected Shortfall lognormal
    18.81820
  • 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
    -0.15720
  • SD
    0.08612
  • Sharpe ratio (Glass type estimate)
    -1.82550
  • Sharpe ratio (Hedges UMVUE)
    -1.81495
  • df
    130.00000
  • t
    -1.29082
  • p
    0.55625
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.60278
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.95857
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.59552
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.96563
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.34112
  • Upside Potential Ratio
    5.72551
  • Upside part of mean
    0.38446
  • Downside part of mean
    -0.54167
  • Upside SD
    0.05426
  • Downside SD
    0.06715
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04972
  • Mean of criterion
    -0.15720
  • SD of predictor
    0.10785
  • SD of criterion
    0.08612
  • Covariance
    0.00319
  • r
    0.34367
  • b (slope, estimate of beta)
    0.27441
  • a (intercept, estimate of alpha)
    -0.17085
  • Mean Square Error
    0.00659
  • DF error
    129.00000
  • t(b)
    4.15648
  • p(b)
    0.28560
  • t(a)
    -1.48749
  • p(a)
    0.58244
  • Lowerbound of 95% confidence interval for beta
    0.14379
  • Upperbound of 95% confidence interval for beta
    0.40504
  • Lowerbound of 95% confidence interval for alpha
    -0.39810
  • Upperbound of 95% confidence interval for alpha
    0.05640
  • Treynor index (mean / b)
    -0.57288
  • Jensen alpha (a)
    -0.17085
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.16093
  • SD
    0.08632
  • Sharpe ratio (Glass type estimate)
    -1.86441
  • Sharpe ratio (Hedges UMVUE)
    -1.85363
  • df
    130.00000
  • t
    -1.31833
  • p
    0.55743
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.64195
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.92016
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.63458
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.92732
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.37754
  • Upside Potential Ratio
    5.65787
  • Upside part of mean
    0.38296
  • Downside part of mean
    -0.54389
  • Upside SD
    0.05395
  • Downside SD
    0.06769
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04392
  • Mean of criterion
    -0.16093
  • SD of predictor
    0.10816
  • SD of criterion
    0.08632
  • Covariance
    0.00320
  • r
    0.34325
  • b (slope, estimate of beta)
    0.27391
  • a (intercept, estimate of alpha)
    -0.17296
  • Mean Square Error
    0.00662
  • DF error
    129.00000
  • t(b)
    4.15071
  • p(b)
    0.28585
  • t(a)
    -1.50225
  • p(a)
    0.58324
  • Lowerbound of 95% confidence interval for beta
    0.14335
  • Upperbound of 95% confidence interval for beta
    0.40448
  • Lowerbound of 95% confidence interval for alpha
    -0.40075
  • Upperbound of 95% confidence interval for alpha
    0.05483
  • Treynor index (mean / b)
    -0.58752
  • Jensen alpha (a)
    -0.17296
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00934
  • Expected Shortfall on VaR
    0.01154
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00531
  • Expected Shortfall on VaR
    0.01004
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97323
  • Quartile 1
    0.99753
  • Median
    0.99922
  • Quartile 3
    1.00177
  • Maximum
    1.01909
  • Mean of quarter 1
    0.99376
  • Mean of quarter 2
    0.99845
  • Mean of quarter 3
    1.00033
  • Mean of quarter 4
    1.00550
  • Inter Quartile Range
    0.00424
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.98264
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.01220
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23339
  • VaR(95%) (moments method)
    0.00612
  • Expected Shortfall (moments method)
    0.00969
  • Extreme Value Index (regression method)
    0.35721
  • VaR(95%) (regression method)
    0.00658
  • Expected Shortfall (regression method)
    0.01178
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00138
  • Quartile 1
    0.00707
  • Median
    0.01787
  • Quartile 3
    0.02094
  • Maximum
    0.09386
  • Mean of quarter 1
    0.00265
  • Mean of quarter 2
    0.01653
  • Mean of quarter 3
    0.01922
  • Mean of quarter 4
    0.05769
  • Inter Quartile Range
    0.01387
  • 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
    0.16667
  • Mean of outliers high
    0.09386
  • 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)
    -0.12869
  • Compounded annual return (geometric extrapolation)
    -0.12455
  • Calmar ratio (compounded annual return / max draw down)
    -1.32701
  • Compounded annual return / average of 25% largest draw downs
    -2.15903
  • Compounded annual return / Expected Shortfall lognormal
    -10.78870

Strategy Description

Summary Statistics

Strategy began
2016-02-11
Suggested Minimum Capital
$35,000
# Trades
375
# Profitable
241
% Profitable
64.3%
Net Dividends
Correlation S&P500
0.384
Sharpe Ratio
1.818

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.