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SNIPER STKS OPTS FUTURES
(107858429)

Created by: WilliamDalton2 WilliamDalton2
Started: 12/2016
Stocks
Last trade: 10 days ago
Trading style: Futures Macro / Fundamental

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 $150.00 per month.

Trading Category: Futures
Macro / Fundamental
Category: Equity

Macro / Fundamental

Predicts large-scale events related to national economies, history, and international relations. The strategy typically employs forecasts and analysis of interest rate trends, international trade and payments, political changes, government policies, inter-government relations, and other broad systemic factors.
33.3%
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.

(9.6%)
Max Drawdown
1172
Num Trades
60.2%
Win Trades
1.4 : 1
Profit Factor
65.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                             +0.7%+0.7%
2017+6.9%+2.9%(1.2%)+7.0%(0.3%)+2.5%+9.7%+6.3%(1.2%)+2.5%+4.5%(1.9%)+43.9%
2018(0.5%)(0.5%)+2.8%(1.4%)+0.2%+8.5%+4.6%+4.8%+3.2%(4.4%)            +18.1%

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 1,736 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/4/18 11:04 CMI CUMMINS LONG 100 152.97 10/12 9:45 145.78 0.47%
Trade id #120183551
Max drawdown($863)
Time10/11/18 16:54
Quant open100
Worst price144.33
Drawdown as % of equity-0.47%
($721)
Includes Typical Broker Commissions trade costs of $2.00
10/8/18 15:45 HD HOME DEPOT LONG 100 198.58 10/12 9:44 191.83 0.55%
Trade id #120240463
Max drawdown($1,010)
Time10/11/18 14:47
Quant open100
Worst price188.47
Drawdown as % of equity-0.55%
($677)
Includes Typical Broker Commissions trade costs of $2.00
10/8/18 12:09 JPM JPMORGAN CHASE LONG 100 113.63 10/12 9:44 108.87 0.34%
Trade id #120236250
Max drawdown($625)
Time10/11/18 14:47
Quant open100
Worst price107.38
Drawdown as % of equity-0.34%
($479)
Includes Typical Broker Commissions trade costs of $2.00
10/9/18 12:57 WING WINGSTOP INC. COMMON STOCK LONG 150 70.40 10/12 9:40 69.44 0.29%
Trade id #120258372
Max drawdown($540)
Time10/11/18 7:37
Quant open150
Worst price66.80
Drawdown as % of equity-0.29%
($148)
Includes Typical Broker Commissions trade costs of $3.00
10/10/18 9:34 HD1812J197.5 HD Oct12'18 197.5 call SHORT 1 2.14 10/11 14:12 0.18 0%
Trade id #120272355
Max drawdown$0
Time10/10/18 9:36
Quant open-1
Worst price2.14
Drawdown as % of equity0.00%
$194
Includes Typical Broker Commissions trade costs of $2.00
10/1/18 13:50 CSX CSX LONG 300 75.09 10/10 14:07 70.65 0.71%
Trade id #120121487
Max drawdown($1,332)
Time10/10/18 14:07
Quant open0
Worst price70.65
Drawdown as % of equity-0.71%
($1,338)
Includes Typical Broker Commissions trade costs of $6.00
10/1/18 13:50 CNC CENTENE LONG 150 145.76 10/10 9:40 143.70 0.38%
Trade id #120121473
Max drawdown($706)
Time10/8/18 12:56
Quant open150
Worst price141.05
Drawdown as % of equity-0.38%
($311)
Includes Typical Broker Commissions trade costs of $3.00
9/28/18 15:08 ABC AMERISOURCEBERGEN LONG 200 92.22 10/10 9:40 91.67 0.25%
Trade id #120098522
Max drawdown($462)
Time10/5/18 13:23
Quant open200
Worst price89.91
Drawdown as % of equity-0.25%
($114)
Includes Typical Broker Commissions trade costs of $4.00
10/4/18 10:11 WSM WILLIAMS-SONOMA LONG 200 62.46 10/9 10:33 63.51 0.13%
Trade id #120182219
Max drawdown($236)
Time10/5/18 13:22
Quant open200
Worst price61.28
Drawdown as % of equity-0.13%
$206
Includes Typical Broker Commissions trade costs of $4.00
10/8/18 15:43 LULU LULULEMON ATHLETICA LONG 150 150.93 10/9 10:32 153.03 0.15%
Trade id #120240405
Max drawdown($288)
Time10/9/18 9:31
Quant open150
Worst price149.00
Drawdown as % of equity-0.15%
$312
Includes Typical Broker Commissions trade costs of $3.00
10/8/18 11:55 @ESZ8 E-MINI S&P 500 LONG 2 2871.50 10/8 12:25 2875.00 0.07%
Trade id #120235833
Max drawdown($137)
Time10/8/18 11:59
Quant open1
Worst price2868.00
Drawdown as % of equity-0.07%
$334
Includes Typical Broker Commissions trade costs of $16.00
10/4/18 11:02 TRN TRINITY INDUSTRIES LONG 500 38.28 10/5 15:17 39.05 0.23%
Trade id #120183531
Max drawdown($433)
Time10/4/18 14:22
Quant open500
Worst price37.41
Drawdown as % of equity-0.23%
$377
Includes Typical Broker Commissions trade costs of $10.00
10/5/18 11:12 TQQQ PROSHARES ULTRAPRO QQQ LONG 300 64.79 10/5 15:08 65.35 0.32%
Trade id #120206824
Max drawdown($590)
Time10/5/18 13:30
Quant open300
Worst price62.82
Drawdown as % of equity-0.32%
$163
Includes Typical Broker Commissions trade costs of $6.00
9/28/18 15:15 FTNT FORTINET LONG 250 92.00 10/5 9:32 87.13 0.65%
Trade id #120098595
Max drawdown($1,218)
Time10/5/18 9:32
Quant open0
Worst price87.13
Drawdown as % of equity-0.65%
($1,223)
Includes Typical Broker Commissions trade costs of $5.00
10/1/18 15:01 ABC1812J93 ABC Oct12'18 93 call SHORT 2 1.45 10/4 15:47 0.85 n/a $117
Includes Typical Broker Commissions trade costs of $2.80
10/1/18 13:49 ADBE ADOBE INC LONG 125 274.09 10/4 12:22 262.57 0.76%
Trade id #120121438
Max drawdown($1,440)
Time10/4/18 12:22
Quant open0
Worst price262.57
Drawdown as % of equity-0.76%
($1,443)
Includes Typical Broker Commissions trade costs of $2.50
10/1/18 13:50 CRM SALESFORCE.COM LONG 150 159.78 10/4 12:22 154.79 0.4%
Trade id #120121483
Max drawdown($748)
Time10/4/18 12:22
Quant open0
Worst price154.79
Drawdown as % of equity-0.40%
($751)
Includes Typical Broker Commissions trade costs of $3.00
10/4/18 10:17 @ESZ8 E-MINI S&P 500 LONG 2 2910.75 10/4 11:04 2912.75 0.19%
Trade id #120182461
Max drawdown($362)
Time10/4/18 10:26
Quant open1
Worst price2905.50
Drawdown as % of equity-0.19%
$184
Includes Typical Broker Commissions trade costs of $16.00
10/1/18 15:05 FTNT1819J90 FTNT Oct19'18 90 call SHORT 2 4.09 10/4 10:28 2.45 n/a $325
Includes Typical Broker Commissions trade costs of $2.80
9/28/18 15:29 LEG LEGGETT & PLATT SHORT 300 43.79 10/4 10:28 42.94 0.07%
Trade id #120098848
Max drawdown($126)
Time10/1/18 10:08
Quant open-300
Worst price44.22
Drawdown as % of equity-0.07%
$250
Includes Typical Broker Commissions trade costs of $6.00
9/28/18 15:23 DLTR DOLLAR TREE STORES SHORT 150 81.32 10/4 10:27 81.07 0.13%
Trade id #120098723
Max drawdown($247)
Time10/2/18 9:42
Quant open-150
Worst price82.97
Drawdown as % of equity-0.13%
$34
Includes Typical Broker Commissions trade costs of $3.00
10/1/18 15:03 CRM1812J160 CRM Oct12'18 160 call SHORT 1 2.26 10/4 10:26 1.05 0%
Trade id #120122798
Max drawdown($2)
Time10/1/18 15:22
Quant open-1
Worst price2.28
Drawdown as % of equity-0.00%
$119
Includes Typical Broker Commissions trade costs of $2.00
10/1/18 14:59 ADBE1812J275 ADBE Oct12'18 275 call SHORT 1 4.37 10/4 10:23 0.96 0.05%
Trade id #120122693
Max drawdown($103)
Time10/2/18 11:36
Quant open-1
Worst price5.40
Drawdown as % of equity-0.05%
$339
Includes Typical Broker Commissions trade costs of $2.00
9/28/18 15:11 GILD GILEAD SCIENCES LONG 300 76.84 10/1 10:40 78.15 n/a $386
Includes Typical Broker Commissions trade costs of $6.00
9/28/18 15:30 SPLK SPLUNK INC LONG 150 120.25 10/1 10:40 118.49 0.14%
Trade id #120098883
Max drawdown($265)
Time10/1/18 10:40
Quant open0
Worst price118.49
Drawdown as % of equity-0.14%
($268)
Includes Typical Broker Commissions trade costs of $3.00
9/28/18 15:09 ZTS ZOETIS INC LONG 200 91.56 10/1 9:45 91.58 0.01%
Trade id #120098535
Max drawdown($25)
Time10/1/18 9:40
Quant open200
Worst price91.43
Drawdown as % of equity-0.01%
$0
Includes Typical Broker Commissions trade costs of $4.00
9/28/18 15:18 ATVI ACTIVISION BLIZZARD LONG 250 83.17 10/1 9:45 83.18 0.02%
Trade id #120098631
Max drawdown($44)
Time9/28/18 16:29
Quant open250
Worst price82.99
Drawdown as % of equity-0.02%
($1)
Includes Typical Broker Commissions trade costs of $5.00
9/26/18 15:01 TQQQ1819V71 TQQQ Oct19'18 71 put LONG 3 3.00 9/26 15:49 3.70 0.02%
Trade id #120051305
Max drawdown($30)
Time9/26/18 15:20
Quant open3
Worst price2.90
Drawdown as % of equity-0.02%
$206
Includes Typical Broker Commissions trade costs of $4.20
9/18/18 9:47 AAPL1828I225 AAPL Sep28'18 225 call SHORT 1 2.06 9/26 15:43 0.35 0.01%
Trade id #119907001
Max drawdown($16)
Time9/18/18 9:49
Quant open-1
Worst price2.22
Drawdown as % of equity-0.01%
$169
Includes Typical Broker Commissions trade costs of $2.00
9/14/18 15:14 EW1821I148 EW Sep21'18 148 call SHORT 2 1.85 9/22 9:36 0.00 0.42%
Trade id #119872402
Max drawdown($790)
Time9/21/18 12:49
Quant open-2
Worst price5.80
Drawdown as % of equity-0.42%
$369
Includes Typical Broker Commissions trade costs of $1.40

Statistics

  • Strategy began
    12/10/2016
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    680.49
  • Age
    23 months ago
  • What it trades
    Stocks
  • # Trades
    1172
  • # Profitable
    706
  • % Profitable
    60.20%
  • Avg trade duration
    5.8 days
  • Max peak-to-valley drawdown
    9.65%
  • drawdown period
    Nov 29, 2017 - Feb 09, 2018
  • Annual Return (Compounded)
    33.3%
  • Avg win
    $408.20
  • Avg loss
    $445.42
  • Model Account Values (Raw)
  • Cash
    $118,035
  • Margin Used
    $0
  • Buying Power
    $116,769
  • Ratios
  • W:L ratio
    1.42:1
  • Sharpe Ratio
    2.442
  • Sortino Ratio
    4.053
  • Calmar Ratio
    5.347
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.29500
  • Return Statistics
  • Ann Return (w trading costs)
    33.3%
  • Ann Return (Compnd, No Fees)
    37.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    5.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    966
  • Popularity (Last 6 weeks)
    983
  • C2 Score
    99.8
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    7
  • Win / Loss
  • Avg Loss
    $445
  • Avg Win
    $408
  • # Winners
    706
  • # Losers
    466
  • % Winners
    60.2%
  • Frequency
  • Avg Position Time (mins)
    8319.55
  • Avg Position Time (hrs)
    138.66
  • Avg Trade Length
    5.8 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
    0.31711
  • SD
    0.14987
  • Sharpe ratio (Glass type estimate)
    2.11596
  • Sharpe ratio (Hedges UMVUE)
    2.03932
  • df
    21.00000
  • t
    2.86502
  • p
    0.17907
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.51382
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.67601
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.46588
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.61276
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.68243
  • Upside Potential Ratio
    8.26794
  • Upside part of mean
    0.39235
  • Downside part of mean
    -0.07524
  • Upside SD
    0.16603
  • Downside SD
    0.04745
  • N nonnegative terms
    14.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.08597
  • Mean of criterion
    0.31711
  • SD of predictor
    0.06302
  • SD of criterion
    0.14987
  • Covariance
    0.00185
  • r
    0.19600
  • b (slope, estimate of beta)
    0.46607
  • a (intercept, estimate of alpha)
    0.27704
  • Mean Square Error
    0.02268
  • DF error
    20.00000
  • t(b)
    0.89386
  • p(b)
    0.40200
  • t(a)
    2.31039
  • p(a)
    0.27051
  • Lowerbound of 95% confidence interval for beta
    -0.62158
  • Upperbound of 95% confidence interval for beta
    1.55373
  • Lowerbound of 95% confidence interval for alpha
    0.02691
  • Upperbound of 95% confidence interval for alpha
    0.52717
  • Treynor index (mean / b)
    0.68039
  • Jensen alpha (a)
    0.27704
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30220
  • SD
    0.14513
  • Sharpe ratio (Glass type estimate)
    2.08227
  • Sharpe ratio (Hedges UMVUE)
    2.00685
  • df
    21.00000
  • t
    2.81940
  • p
    0.18237
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.48440
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.63850
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.43723
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.57647
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.26082
  • Upside Potential Ratio
    7.83979
  • Upside part of mean
    0.37841
  • Downside part of mean
    -0.07621
  • Upside SD
    0.15933
  • Downside SD
    0.04827
  • N nonnegative terms
    14.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.08358
  • Mean of criterion
    0.30220
  • SD of predictor
    0.06316
  • SD of criterion
    0.14513
  • Covariance
    0.00185
  • r
    0.20196
  • b (slope, estimate of beta)
    0.46410
  • a (intercept, estimate of alpha)
    0.26341
  • Mean Square Error
    0.02121
  • DF error
    20.00000
  • t(b)
    0.92221
  • p(b)
    0.39902
  • t(a)
    2.28062
  • p(a)
    0.27285
  • Lowerbound of 95% confidence interval for beta
    -0.58565
  • Upperbound of 95% confidence interval for beta
    1.51385
  • Lowerbound of 95% confidence interval for alpha
    0.02248
  • Upperbound of 95% confidence interval for alpha
    0.50434
  • Treynor index (mean / b)
    0.65115
  • Jensen alpha (a)
    0.26341
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04279
  • Expected Shortfall on VaR
    0.05928
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01158
  • Expected Shortfall on VaR
    0.02458
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.95313
  • Quartile 1
    0.99687
  • Median
    1.02457
  • Quartile 3
    1.06250
  • Maximum
    1.10350
  • Mean of quarter 1
    0.98030
  • Mean of quarter 2
    1.00908
  • Mean of quarter 3
    1.03738
  • Mean of quarter 4
    1.08642
  • Inter Quartile Range
    0.06563
  • 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)
    -0.33003
  • VaR(95%) (moments method)
    0.01367
  • Expected Shortfall (moments method)
    0.01738
  • Extreme Value Index (regression method)
    -0.19889
  • VaR(95%) (regression method)
    0.01716
  • Expected Shortfall (regression method)
    0.02278
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00055
  • Quartile 1
    0.00462
  • Median
    0.01893
  • Quartile 3
    0.02157
  • Maximum
    0.04743
  • Mean of quarter 1
    0.00227
  • Mean of quarter 2
    0.01209
  • Mean of quarter 3
    0.02145
  • Mean of quarter 4
    0.03456
  • Inter Quartile Range
    0.01695
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.04743
  • 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)
    0.45360
  • Compounded annual return (geometric extrapolation)
    0.39112
  • Calmar ratio (compounded annual return / max draw down)
    8.24690
  • Compounded annual return / average of 25% largest draw downs
    11.31780
  • Compounded annual return / Expected Shortfall lognormal
    6.59725
  • 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
    0.30949
  • SD
    0.12656
  • Sharpe ratio (Glass type estimate)
    2.44541
  • Sharpe ratio (Hedges UMVUE)
    2.44159
  • df
    480.00000
  • t
    3.31340
  • p
    0.00050
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.98938
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.89893
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.98684
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.89633
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.05294
  • Upside Potential Ratio
    11.64140
  • Upside part of mean
    0.88896
  • Downside part of mean
    -0.57947
  • Upside SD
    0.10256
  • Downside SD
    0.07636
  • N nonnegative terms
    254.00000
  • N negative terms
    227.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    481.00000
  • Mean of predictor
    0.08924
  • Mean of criterion
    0.30949
  • SD of predictor
    0.10932
  • SD of criterion
    0.12656
  • Covariance
    0.00408
  • r
    0.29508
  • b (slope, estimate of beta)
    0.34162
  • a (intercept, estimate of alpha)
    0.27900
  • Mean Square Error
    0.01465
  • DF error
    479.00000
  • t(b)
    6.75907
  • p(b)
    -0.00000
  • t(a)
    3.11897
  • p(a)
    0.00096
  • Lowerbound of 95% confidence interval for beta
    0.24231
  • Upperbound of 95% confidence interval for beta
    0.44094
  • Lowerbound of 95% confidence interval for alpha
    0.10323
  • Upperbound of 95% confidence interval for alpha
    0.45477
  • Treynor index (mean / b)
    0.90594
  • Jensen alpha (a)
    0.27900
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30131
  • SD
    0.12635
  • Sharpe ratio (Glass type estimate)
    2.38464
  • Sharpe ratio (Hedges UMVUE)
    2.38091
  • df
    480.00000
  • t
    3.23106
  • p
    0.00066
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.92908
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.83782
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.92657
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.83526
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.91351
  • Upside Potential Ratio
    11.47740
  • Upside part of mean
    0.88366
  • Downside part of mean
    -0.58235
  • Upside SD
    0.10174
  • Downside SD
    0.07699
  • N nonnegative terms
    254.00000
  • N negative terms
    227.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    481.00000
  • Mean of predictor
    0.08323
  • Mean of criterion
    0.30131
  • SD of predictor
    0.10976
  • SD of criterion
    0.12635
  • Covariance
    0.00408
  • r
    0.29454
  • b (slope, estimate of beta)
    0.33907
  • a (intercept, estimate of alpha)
    0.27309
  • Mean Square Error
    0.01461
  • DF error
    479.00000
  • t(b)
    6.74558
  • p(b)
    -0.00000
  • t(a)
    3.05783
  • p(a)
    0.00118
  • Lowerbound of 95% confidence interval for beta
    0.24030
  • Upperbound of 95% confidence interval for beta
    0.43784
  • Lowerbound of 95% confidence interval for alpha
    0.09760
  • Upperbound of 95% confidence interval for alpha
    0.44857
  • Treynor index (mean / b)
    0.88862
  • Jensen alpha (a)
    0.27309
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01162
  • Expected Shortfall on VaR
    0.01484
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00489
  • Expected Shortfall on VaR
    0.00984
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    481.00000
  • Minimum
    0.96283
  • Quartile 1
    0.99728
  • Median
    1.00049
  • Quartile 3
    1.00519
  • Maximum
    1.03340
  • Mean of quarter 1
    0.99245
  • Mean of quarter 2
    0.99899
  • Mean of quarter 3
    1.00257
  • Mean of quarter 4
    1.01122
  • Inter Quartile Range
    0.00791
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.02703
  • Mean of outliers low
    0.98043
  • Number of outliers high
    19.00000
  • Percentage of outliers high
    0.03950
  • Mean of outliers high
    1.02121
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.18411
  • VaR(95%) (moments method)
    0.00707
  • Expected Shortfall (moments method)
    0.01090
  • Extreme Value Index (regression method)
    0.09127
  • VaR(95%) (regression method)
    0.00719
  • Expected Shortfall (regression method)
    0.01047
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    39.00000
  • Minimum
    0.00011
  • Quartile 1
    0.00265
  • Median
    0.00820
  • Quartile 3
    0.01578
  • Maximum
    0.07291
  • Mean of quarter 1
    0.00117
  • Mean of quarter 2
    0.00480
  • Mean of quarter 3
    0.01253
  • Mean of quarter 4
    0.04283
  • Inter Quartile Range
    0.01312
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    0.05693
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.52513
  • VaR(95%) (moments method)
    0.04041
  • Expected Shortfall (moments method)
    0.04720
  • Extreme Value Index (regression method)
    -0.93481
  • VaR(95%) (regression method)
    0.05688
  • Expected Shortfall (regression method)
    0.06251
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.45218
  • Compounded annual return (geometric extrapolation)
    0.38987
  • Calmar ratio (compounded annual return / max draw down)
    5.34704
  • Compounded annual return / average of 25% largest draw downs
    9.10246
  • Compounded annual return / Expected Shortfall lognormal
    26.27830
  • 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
    0.25461
  • SD
    0.12508
  • Sharpe ratio (Glass type estimate)
    2.03563
  • Sharpe ratio (Hedges UMVUE)
    2.02386
  • df
    130.00000
  • t
    1.43941
  • p
    0.43738
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.75096
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.81458
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.75884
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.80657
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.17206
  • Upside Potential Ratio
    10.26010
  • Upside part of mean
    0.82355
  • Downside part of mean
    -0.56894
  • Upside SD
    0.09659
  • Downside SD
    0.08027
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.02121
  • Mean of criterion
    0.25461
  • SD of predictor
    0.10895
  • SD of criterion
    0.12508
  • Covariance
    0.00631
  • r
    0.46268
  • b (slope, estimate of beta)
    0.53114
  • a (intercept, estimate of alpha)
    0.24335
  • Mean Square Error
    0.01239
  • DF error
    129.00000
  • t(b)
    5.92761
  • p(b)
    0.21633
  • t(a)
    1.54573
  • p(a)
    0.41441
  • Lowerbound of 95% confidence interval for beta
    0.35386
  • Upperbound of 95% confidence interval for beta
    0.70843
  • Lowerbound of 95% confidence interval for alpha
    -0.06814
  • Upperbound of 95% confidence interval for alpha
    0.55484
  • Treynor index (mean / b)
    0.47937
  • Jensen alpha (a)
    0.24335
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24672
  • SD
    0.12494
  • Sharpe ratio (Glass type estimate)
    1.97475
  • Sharpe ratio (Hedges UMVUE)
    1.96333
  • df
    130.00000
  • t
    1.39636
  • p
    0.43922
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.81107
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.75317
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.81873
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.74539
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.04770
  • Upside Potential Ratio
    10.11530
  • Upside part of mean
    0.81885
  • Downside part of mean
    -0.57214
  • Upside SD
    0.09575
  • Downside SD
    0.08095
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.01529
  • Mean of criterion
    0.24672
  • SD of predictor
    0.10927
  • SD of criterion
    0.12494
  • Covariance
    0.00631
  • r
    0.46196
  • b (slope, estimate of beta)
    0.52820
  • a (intercept, estimate of alpha)
    0.23864
  • Mean Square Error
    0.01237
  • DF error
    129.00000
  • t(b)
    5.91589
  • p(b)
    0.21673
  • t(a)
    1.51695
  • p(a)
    0.41597
  • Lowerbound of 95% confidence interval for beta
    0.35154
  • Upperbound of 95% confidence interval for beta
    0.70485
  • Lowerbound of 95% confidence interval for alpha
    -0.07261
  • Upperbound of 95% confidence interval for alpha
    0.54989
  • Treynor index (mean / b)
    0.46709
  • Jensen alpha (a)
    0.23864
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01169
  • Expected Shortfall on VaR
    0.01486
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00457
  • Expected Shortfall on VaR
    0.00956
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97233
  • Quartile 1
    0.99744
  • Median
    1.00050
  • Quartile 3
    1.00534
  • Maximum
    1.03340
  • Mean of quarter 1
    0.99230
  • Mean of quarter 2
    0.99934
  • Mean of quarter 3
    1.00250
  • Mean of quarter 4
    1.01022
  • Inter Quartile Range
    0.00791
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.98012
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.02489
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.43778
  • VaR(95%) (moments method)
    0.00792
  • Expected Shortfall (moments method)
    0.01609
  • Extreme Value Index (regression method)
    0.19427
  • VaR(95%) (regression method)
    0.00724
  • Expected Shortfall (regression method)
    0.01134
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00011
  • Quartile 1
    0.00331
  • Median
    0.00760
  • Quartile 3
    0.01511
  • Maximum
    0.05870
  • Mean of quarter 1
    0.00136
  • Mean of quarter 2
    0.00588
  • Mean of quarter 3
    0.00998
  • Mean of quarter 4
    0.03383
  • Inter Quartile Range
    0.01180
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.04779
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.19537
  • VaR(95%) (moments method)
    0.03647
  • Expected Shortfall (moments method)
    0.03883
  • Extreme Value Index (regression method)
    -0.05884
  • VaR(95%) (regression method)
    0.05543
  • Expected Shortfall (regression method)
    0.07655
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.29437
  • Compounded annual return (geometric extrapolation)
    0.31604
  • Calmar ratio (compounded annual return / max draw down)
    5.38396
  • Compounded annual return / average of 25% largest draw downs
    9.34189
  • Compounded annual return / Expected Shortfall lognormal
    21.26200

Strategy Description

Stocks will be chosen on the basis of strong earnings, revenues, and superior chart analysis. We will use trailing stop loss limits to keep losses to a minimum and let profits run in an attempt to minimize draw-downs and maximize returns. We may also use Options or Index Futures to enhance our returns.
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Summary Statistics

Strategy began
2016-12-10
Suggested Minimum Capital
$100,000
# Trades
1172
# Profitable
706
% Profitable
60.2%
Net Dividends
Correlation S&P500
0.295
Sharpe Ratio
2.442

Latest Activity

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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.