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Risk Parity Opportunity
(113470933)

Created by: JohnNetto2 JohnNetto2
Started: 08/2017
Futures
Last trade: 12 days ago
Trading style: Equity Sector Rotation

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. You can subscribe to this system for free.

Trading Category: Equity
Sector Rotation
Category: Equity

Sector Rotation

Uses the proceeds from the sale of securities related to a particular investment sector for the purchase of securities in another sector. This strategy is used as a method for capturing returns from market cycles and diversifying holdings over a specified holding period.
15.7%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(13.1%)
Max Drawdown
177
Num Trades
58.8%
Win Trades
1.6 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                   -    -    -    -    -  0.0
2018+0.1%+3.8%(2.7%)(5.3%)+13.2%+5.9%+8.8%(5.7%)(5%)+1.5%  -  +1.7%+15.2%
2019+5.6%+1.2%+1.9%                                                      +9.0%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/8/19 7:35 @TYM9 US T-NOTE 10 YR LONG 40 122 43/64 3/8 8:30 122 56/64 0.39%
Trade id #122832484
Max drawdown($1,250)
Time3/8/19 8:08
Quant open40
Worst price122 41/64
Drawdown as % of equity-0.39%
$7,805
Includes Typical Broker Commissions trade costs of $320.00
3/7/19 9:42 QNGJ9 Natural Gas LONG 20 2.854 3/7 10:30 2.855 0.03%
Trade id #122817926
Max drawdown($80)
Time3/7/19 9:53
Quant open4
Worst price2.848
Drawdown as % of equity-0.03%
$40
Includes Typical Broker Commissions trade costs of $160.00
3/7/19 6:41 QNGJ9 Natural Gas LONG 4 2.828 3/7 8:39 2.829 0.14%
Trade id #122815376
Max drawdown($460)
Time3/7/19 7:42
Quant open2
Worst price2.812
Drawdown as % of equity-0.14%
$8
Includes Typical Broker Commissions trade costs of $32.00
3/5/19 16:17 QCLJ9 CRUDE OIL LONG 10 56.55 3/5 16:31 56.19 1.18%
Trade id #122795542
Max drawdown($3,800)
Time3/5/19 16:31
Quant open10
Worst price56.17
Drawdown as % of equity-1.18%
($3,680)
Includes Typical Broker Commissions trade costs of $80.00
3/5/19 9:38 @JYH9 JAPANESE YEN SHORT 20 0.008946 3/5 10:01 0.008939 0.59%
Trade id #122788035
Max drawdown($1,875)
Time3/5/19 9:54
Quant open-20
Worst price0.008954
Drawdown as % of equity-0.59%
$1,715
Includes Typical Broker Commissions trade costs of $160.00
2/28/19 10:20 QNGJ9 Natural Gas SHORT 20 2.827 2/28 10:30 2.801 0.19%
Trade id #122732451
Max drawdown($600)
Time2/28/19 10:24
Quant open-20
Worst price2.830
Drawdown as % of equity-0.19%
$5,040
Includes Typical Broker Commissions trade costs of $160.00
2/27/19 8:06 @CDH9 CANADIAN DOLLAR SHORT 20 0.7612 2/27 8:31 0.7608 0.26%
Trade id #122710849
Max drawdown($800)
Time2/27/19 8:13
Quant open-20
Worst price0.7617
Drawdown as % of equity-0.26%
$740
Includes Typical Broker Commissions trade costs of $160.00
2/22/19 8:19 @CDH9 CANADIAN DOLLAR SHORT 15 0.7565 2/22 8:32 0.7574 1.17%
Trade id #122638638
Max drawdown($3,675)
Time2/22/19 8:31
Quant open-15
Worst price0.7590
Drawdown as % of equity-1.17%
($1,395)
Includes Typical Broker Commissions trade costs of $120.00
2/21/19 10:04 QCLJ9 CRUDE OIL SHORT 20 56.82 2/21 11:01 56.91 0.56%
Trade id #122619730
Max drawdown($1,770)
Time2/21/19 11:01
Quant open0
Worst price56.91
Drawdown as % of equity-0.56%
($1,930)
Includes Typical Broker Commissions trade costs of $160.00
2/7/19 9:35 QNGH9 Natural Gas SHORT 10 2.619 2/7 10:31 2.597 0.01%
Trade id #122413272
Max drawdown($40)
Time2/7/19 9:37
Quant open-2
Worst price2.628
Drawdown as % of equity-0.01%
$2,130
Includes Typical Broker Commissions trade costs of $80.00
2/5/19 9:30 @TYH9 US T-NOTE 10 YR SHORT 10 121 50/64 2/5 10:00 121 53/64 0.24%
Trade id #122362887
Max drawdown($765)
Time2/5/19 9:57
Quant open-10
Worst price121 55/64
Drawdown as % of equity-0.24%
($533)
Includes Typical Broker Commissions trade costs of $80.00
2/5/19 9:29 @ESH9 E-MINI S&P 500 LONG 10 2730.70 2/5 9:53 2731.00 0.02%
Trade id #122362785
Max drawdown($62)
Time2/5/19 9:31
Quant open1
Worst price2726.75
Drawdown as % of equity-0.02%
$70
Includes Typical Broker Commissions trade costs of $80.00
2/1/19 7:28 QGCJ9 Gold 100 oz LONG 10 1326.0 2/1 8:43 1325.6 1.32%
Trade id #122310533
Max drawdown($4,150)
Time2/1/19 8:31
Quant open10
Worst price1321.8
Drawdown as % of equity-1.32%
($430)
Includes Typical Broker Commissions trade costs of $80.00
1/31/19 9:56 QNGH9 Natural Gas SHORT 13 2.858 1/31 10:31 2.827 0.41%
Trade id #122290279
Max drawdown($1,280)
Time1/31/19 10:22
Quant open-13
Worst price2.868
Drawdown as % of equity-0.41%
$3,926
Includes Typical Broker Commissions trade costs of $104.00
1/30/19 11:45 @ESH9 E-MINI S&P 500 SHORT 4 2663.00 1/30 13:47 2658.25 0.22%
Trade id #122270657
Max drawdown($675)
Time1/30/19 12:21
Quant open-2
Worst price2667.00
Drawdown as % of equity-0.22%
$918
Includes Typical Broker Commissions trade costs of $32.00
1/30/19 9:25 QCLH9 CRUDE OIL LONG 10 53.98 1/30 10:30 54.18 0.71%
Trade id #122264906
Max drawdown($2,170)
Time1/30/19 10:26
Quant open10
Worst price53.76
Drawdown as % of equity-0.71%
$1,950
Includes Typical Broker Commissions trade costs of $80.00
1/29/19 16:25 QCLH9 CRUDE OIL LONG 6 53.15 1/29 16:34 53.28 n/a $732
Includes Typical Broker Commissions trade costs of $48.00
1/28/19 8:36 @ESH9 E-MINI S&P 500 SHORT 1 2646.50 1/28 9:38 2636.25 0.03%
Trade id #122211334
Max drawdown($100)
Time1/28/19 8:59
Quant open-1
Worst price2648.50
Drawdown as % of equity-0.03%
$505
Includes Typical Broker Commissions trade costs of $8.00
1/28/19 8:37 QCLH9 CRUDE OIL SHORT 1 52.48 1/28 9:38 51.99 0.07%
Trade id #122211354
Max drawdown($220)
Time1/28/19 8:45
Quant open-1
Worst price52.70
Drawdown as % of equity-0.07%
$482
Includes Typical Broker Commissions trade costs of $8.00
1/24/19 10:15 QNGH9 Natural Gas LONG 8 3.011 1/24 10:30 2.997 0.37%
Trade id #122156699
Max drawdown($1,120)
Time1/24/19 10:30
Quant open0
Worst price2.997
Drawdown as % of equity-0.37%
($1,184)
Includes Typical Broker Commissions trade costs of $64.00
1/24/19 0:20 QNGH9 Natural Gas LONG 2 2.935 1/24 8:23 2.991 0.05%
Trade id #122147220
Max drawdown($140)
Time1/24/19 1:09
Quant open2
Worst price2.928
Drawdown as % of equity-0.05%
$1,104
Includes Typical Broker Commissions trade costs of $16.00
1/23/19 8:29 @CDH9 CANADIAN DOLLAR SHORT 4 0.7520 1/23 8:31 0.7514 0%
Trade id #122127495
Max drawdown$0
Time1/23/19 8:31
Quant open-4
Worst price0.7520
Drawdown as % of equity0.00%
$208
Includes Typical Broker Commissions trade costs of $32.00
1/17/19 9:54 QNGG9 Natural Gas LONG 20 3.526 1/17 10:30 3.531 0.92%
Trade id #122029558
Max drawdown($2,800)
Time1/17/19 10:16
Quant open5
Worst price3.502
Drawdown as % of equity-0.92%
$890
Includes Typical Broker Commissions trade costs of $160.00
1/17/19 8:06 QNGG9 Natural Gas LONG 3 3.546 1/17 9:34 3.558 0.15%
Trade id #122025910
Max drawdown($460)
Time1/17/19 9:07
Quant open1
Worst price3.517
Drawdown as % of equity-0.15%
$326
Includes Typical Broker Commissions trade costs of $24.00
1/17/19 8:02 QNGH9 Natural Gas LONG 1 3.296 1/17 9:14 3.258 0.15%
Trade id #122025853
Max drawdown($450)
Time1/17/19 9:07
Quant open1
Worst price3.251
Drawdown as % of equity-0.15%
($388)
Includes Typical Broker Commissions trade costs of $8.00
1/16/19 16:33 QNGH9 Natural Gas LONG 2 3.164 1/17 4:10 3.259 0.05%
Trade id #122019025
Max drawdown($140)
Time1/16/19 18:11
Quant open2
Worst price3.157
Drawdown as % of equity-0.05%
$1,884
Includes Typical Broker Commissions trade costs of $16.00
1/11/19 8:06 @TYH9 US T-NOTE 10 YR SHORT 10 121 57/64 1/11 8:35 121 61/64 0.21%
Trade id #121914530
Max drawdown($625)
Time1/11/19 8:30
Quant open-10
Worst price121 61/64
Drawdown as % of equity-0.21%
($705)
Includes Typical Broker Commissions trade costs of $80.00
1/11/19 8:05 @ESH9 E-MINI S&P 500 SHORT 3 2585.50 1/11 8:35 2587.50 0.15%
Trade id #121914499
Max drawdown($450)
Time1/11/19 8:31
Quant open-3
Worst price2588.50
Drawdown as % of equity-0.15%
($324)
Includes Typical Broker Commissions trade costs of $24.00
1/10/19 9:21 QNGG9 Natural Gas LONG 3 3.046 1/10 10:31 3.051 0.36%
Trade id #121893486
Max drawdown($1,080)
Time1/10/19 9:57
Quant open3
Worst price3.010
Drawdown as % of equity-0.36%
$126
Includes Typical Broker Commissions trade costs of $24.00
1/10/19 10:26 QNGH9 Natural Gas LONG 15 2.875 1/10 10:31 2.893 0.1%
Trade id #121897167
Max drawdown($300)
Time1/10/19 10:28
Quant open15
Worst price2.873
Drawdown as % of equity-0.10%
$2,580
Includes Typical Broker Commissions trade costs of $120.00

Statistics

  • Strategy began
    8/31/2017
  • Suggested Minimum Cap
    $140,000
  • Strategy Age (days)
    566.31
  • Age
    19 months ago
  • What it trades
    Futures
  • # Trades
    177
  • # Profitable
    104
  • % Profitable
    58.80%
  • Avg trade duration
    13.4 hours
  • Max peak-to-valley drawdown
    13.11%
  • drawdown period
    Aug 06, 2018 - Sept 19, 2018
  • Annual Return (Compounded)
    15.7%
  • Avg win
    $2,047
  • Avg loss
    $1,880
  • Model Account Values (Raw)
  • Cash
    $325,650
  • Margin Used
    $0
  • Buying Power
    $325,650
  • Ratios
  • W:L ratio
    1.55:1
  • Sharpe Ratio
    1.512
  • Sortino Ratio
    2.296
  • Calmar Ratio
    1.682
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.01500
  • Return Statistics
  • Ann Return (w trading costs)
    15.7%
  • Ann Return (Compnd, No Fees)
    18.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    4.00%
  • 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)
    638
  • Popularity (Last 6 weeks)
    857
  • C2 Score
    90.2
  • 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
    $1,880
  • Avg Win
    $2,047
  • # Winners
    104
  • # Losers
    73
  • % Winners
    58.8%
  • Frequency
  • Avg Position Time (mins)
    803.47
  • Avg Position Time (hrs)
    13.39
  • Avg Trade Length
    0.6 days
  • Last Trade Ago
    12
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14697
  • SD
    0.17491
  • Sharpe ratio (Glass type estimate)
    0.84026
  • Sharpe ratio (Hedges UMVUE)
    0.80014
  • df
    16.00000
  • t
    1.00011
  • p
    0.37872
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84420
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.49946
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.86973
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.47001
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.39504
  • Upside Potential Ratio
    2.64163
  • Upside part of mean
    0.27829
  • Downside part of mean
    -0.13133
  • Upside SD
    0.13962
  • Downside SD
    0.10535
  • N nonnegative terms
    11.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.06994
  • Mean of criterion
    0.14697
  • SD of predictor
    0.15242
  • SD of criterion
    0.17491
  • Covariance
    0.00846
  • r
    0.31734
  • b (slope, estimate of beta)
    0.36416
  • a (intercept, estimate of alpha)
    0.12150
  • Mean Square Error
    0.02935
  • DF error
    15.00000
  • t(b)
    1.29604
  • p(b)
    0.30142
  • t(a)
    0.83641
  • p(a)
    0.36662
  • Lowerbound of 95% confidence interval for beta
    -0.23474
  • Upperbound of 95% confidence interval for beta
    0.96306
  • Lowerbound of 95% confidence interval for alpha
    -0.18812
  • Upperbound of 95% confidence interval for alpha
    0.43111
  • Treynor index (mean / b)
    0.40357
  • Jensen alpha (a)
    0.12150
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13164
  • SD
    0.17349
  • Sharpe ratio (Glass type estimate)
    0.75882
  • Sharpe ratio (Hedges UMVUE)
    0.72258
  • df
    16.00000
  • t
    0.90317
  • p
    0.38988
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.91987
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.41458
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94304
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.38821
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.19587
  • Upside Potential Ratio
    2.43947
  • Upside part of mean
    0.26854
  • Downside part of mean
    -0.13690
  • Upside SD
    0.13286
  • Downside SD
    0.11008
  • N nonnegative terms
    11.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.05829
  • Mean of criterion
    0.13164
  • SD of predictor
    0.15678
  • SD of criterion
    0.17349
  • Covariance
    0.00828
  • r
    0.30453
  • b (slope, estimate of beta)
    0.33699
  • a (intercept, estimate of alpha)
    0.11200
  • Mean Square Error
    0.02913
  • DF error
    15.00000
  • t(b)
    1.23826
  • p(b)
    0.30917
  • t(a)
    0.77637
  • p(a)
    0.37568
  • Lowerbound of 95% confidence interval for beta
    -0.24308
  • Upperbound of 95% confidence interval for beta
    0.91705
  • Lowerbound of 95% confidence interval for alpha
    -0.19549
  • Upperbound of 95% confidence interval for alpha
    0.41949
  • Treynor index (mean / b)
    0.39065
  • Jensen alpha (a)
    0.11200
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06892
  • Expected Shortfall on VaR
    0.08804
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01916
  • Expected Shortfall on VaR
    0.04430
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.90749
  • Quartile 1
    1.00000
  • Median
    1.01361
  • Quartile 3
    1.03287
  • Maximum
    1.13155
  • Mean of quarter 1
    0.96559
  • Mean of quarter 2
    1.00855
  • Mean of quarter 3
    1.02426
  • Mean of quarter 4
    1.07216
  • Inter Quartile Range
    0.03287
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.11765
  • Mean of outliers low
    0.91396
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.05882
  • Mean of outliers high
    1.13155
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.62021
  • VaR(95%) (regression method)
    0.18833
  • Expected Shortfall (regression method)
    0.19025
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.07957
  • Quartile 1
    0.08280
  • Median
    0.08604
  • Quartile 3
    0.08927
  • Maximum
    0.09251
  • Mean of quarter 1
    0.07957
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09251
  • Inter Quartile Range
    0.00647
  • 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)
    0.17902
  • Compounded annual return (geometric extrapolation)
    0.17298
  • Calmar ratio (compounded annual return / max draw down)
    1.86990
  • Compounded annual return / average of 25% largest draw downs
    1.86990
  • Compounded annual return / Expected Shortfall lognormal
    1.96479
  • 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
    0.15545
  • SD
    0.10260
  • Sharpe ratio (Glass type estimate)
    1.51518
  • Sharpe ratio (Hedges UMVUE)
    1.51225
  • df
    388.00000
  • t
    1.84624
  • p
    0.03281
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.09780
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.12628
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.09978
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.12427
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.29581
  • Upside Potential Ratio
    6.55985
  • Upside part of mean
    0.44418
  • Downside part of mean
    -0.28873
  • Upside SD
    0.07750
  • Downside SD
    0.06771
  • N nonnegative terms
    92.00000
  • N negative terms
    297.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    389.00000
  • Mean of predictor
    0.07289
  • Mean of criterion
    0.15545
  • SD of predictor
    0.14810
  • SD of criterion
    0.10260
  • Covariance
    -0.00025
  • r
    -0.01650
  • b (slope, estimate of beta)
    -0.01143
  • a (intercept, estimate of alpha)
    0.15600
  • Mean Square Error
    0.01055
  • DF error
    387.00000
  • t(b)
    -0.32456
  • p(b)
    0.62715
  • t(a)
    1.85313
  • p(a)
    0.03231
  • Lowerbound of 95% confidence interval for beta
    -0.08065
  • Upperbound of 95% confidence interval for beta
    0.05780
  • Lowerbound of 95% confidence interval for alpha
    -0.00953
  • Upperbound of 95% confidence interval for alpha
    0.32210
  • Treynor index (mean / b)
    -13.60360
  • Jensen alpha (a)
    0.15629
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15014
  • SD
    0.10261
  • Sharpe ratio (Glass type estimate)
    1.46327
  • Sharpe ratio (Hedges UMVUE)
    1.46044
  • df
    388.00000
  • t
    1.78299
  • p
    0.03768
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.14943
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.07418
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.15135
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.07223
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.19100
  • Upside Potential Ratio
    6.43785
  • Upside part of mean
    0.44117
  • Downside part of mean
    -0.29102
  • Upside SD
    0.07676
  • Downside SD
    0.06853
  • N nonnegative terms
    92.00000
  • N negative terms
    297.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    389.00000
  • Mean of predictor
    0.06191
  • Mean of criterion
    0.15014
  • SD of predictor
    0.14845
  • SD of criterion
    0.10261
  • Covariance
    -0.00027
  • r
    -0.01754
  • b (slope, estimate of beta)
    -0.01212
  • a (intercept, estimate of alpha)
    0.15089
  • Mean Square Error
    0.01055
  • DF error
    387.00000
  • t(b)
    -0.34512
  • p(b)
    0.63491
  • t(a)
    1.78927
  • p(a)
    0.03718
  • Lowerbound of 95% confidence interval for beta
    -0.08120
  • Upperbound of 95% confidence interval for beta
    0.05695
  • Lowerbound of 95% confidence interval for alpha
    -0.01491
  • Upperbound of 95% confidence interval for alpha
    0.31670
  • Treynor index (mean / b)
    -12.38350
  • Jensen alpha (a)
    0.15089
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00981
  • Expected Shortfall on VaR
    0.01242
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00324
  • Expected Shortfall on VaR
    0.00713
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    389.00000
  • Minimum
    0.96753
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.03607
  • Mean of quarter 1
    0.99595
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00690
  • Inter Quartile Range
    0.00000
  • Number outliers low
    59.00000
  • Percentage of outliers low
    0.15167
  • Mean of outliers low
    0.99327
  • Number of outliers high
    92.00000
  • Percentage of outliers high
    0.23650
  • Mean of outliers high
    1.00727
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.52194
  • VaR(95%) (moments method)
    0.00275
  • Expected Shortfall (moments method)
    0.00802
  • Extreme Value Index (regression method)
    0.10527
  • VaR(95%) (regression method)
    0.00450
  • Expected Shortfall (regression method)
    0.00898
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00066
  • Quartile 1
    0.00939
  • Median
    0.02727
  • Quartile 3
    0.07392
  • Maximum
    0.11587
  • Mean of quarter 1
    0.00339
  • Mean of quarter 2
    0.01919
  • Mean of quarter 3
    0.03535
  • Mean of quarter 4
    0.10133
  • Inter Quartile Range
    0.06454
  • 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)
    0.20380
  • Compounded annual return (geometric extrapolation)
    0.19489
  • Calmar ratio (compounded annual return / max draw down)
    1.68189
  • Compounded annual return / average of 25% largest draw downs
    1.92333
  • Compounded annual return / Expected Shortfall lognormal
    15.68850
  • 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
    0.13576
  • SD
    0.08457
  • Sharpe ratio (Glass type estimate)
    1.60525
  • Sharpe ratio (Hedges UMVUE)
    1.59597
  • df
    130.00000
  • t
    1.13508
  • p
    0.45047
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.17644
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.38089
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.18262
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.37456
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.21994
  • Upside Potential Ratio
    6.15630
  • Upside part of mean
    0.37649
  • Downside part of mean
    -0.24073
  • Upside SD
    0.05855
  • Downside SD
    0.06116
  • 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
    -0.06472
  • Mean of criterion
    0.13576
  • SD of predictor
    0.18608
  • SD of criterion
    0.08457
  • Covariance
    0.00038
  • r
    0.02388
  • b (slope, estimate of beta)
    0.01085
  • a (intercept, estimate of alpha)
    0.13646
  • Mean Square Error
    0.00720
  • DF error
    129.00000
  • t(b)
    0.27130
  • p(b)
    0.48480
  • t(a)
    1.13662
  • p(a)
    0.43671
  • Lowerbound of 95% confidence interval for beta
    -0.06830
  • Upperbound of 95% confidence interval for beta
    0.09000
  • Lowerbound of 95% confidence interval for alpha
    -0.10108
  • Upperbound of 95% confidence interval for alpha
    0.37401
  • Treynor index (mean / b)
    12.50860
  • Jensen alpha (a)
    0.13646
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13215
  • SD
    0.08490
  • Sharpe ratio (Glass type estimate)
    1.55654
  • Sharpe ratio (Hedges UMVUE)
    1.54755
  • df
    130.00000
  • t
    1.10064
  • p
    0.45196
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.22462
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.33190
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.23063
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.32573
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.13541
  • Upside Potential Ratio
    6.05574
  • Upside part of mean
    0.37475
  • Downside part of mean
    -0.24260
  • Upside SD
    0.05822
  • Downside SD
    0.06188
  • 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
    -0.08190
  • Mean of criterion
    0.13215
  • SD of predictor
    0.18614
  • SD of criterion
    0.08490
  • Covariance
    0.00036
  • r
    0.02277
  • b (slope, estimate of beta)
    0.01039
  • a (intercept, estimate of alpha)
    0.13300
  • Mean Square Error
    0.00726
  • DF error
    129.00000
  • t(b)
    0.25869
  • p(b)
    0.48551
  • t(a)
    1.10333
  • p(a)
    0.43854
  • Lowerbound of 95% confidence interval for beta
    -0.06905
  • Upperbound of 95% confidence interval for beta
    0.08982
  • Lowerbound of 95% confidence interval for alpha
    -0.10550
  • Upperbound of 95% confidence interval for alpha
    0.37149
  • Treynor index (mean / b)
    12.72410
  • Jensen alpha (a)
    0.13300
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00809
  • Expected Shortfall on VaR
    0.01026
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00261
  • Expected Shortfall on VaR
    0.00582
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97129
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00067
  • Maximum
    1.01579
  • Mean of quarter 1
    0.99666
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00005
  • Mean of quarter 4
    1.00577
  • Inter Quartile Range
    0.00067
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.10687
  • Mean of outliers low
    0.99228
  • Number of outliers high
    25.00000
  • Percentage of outliers high
    0.19084
  • Mean of outliers high
    1.00729
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.67219
  • VaR(95%) (moments method)
    0.00238
  • Expected Shortfall (moments method)
    0.00997
  • Extreme Value Index (regression method)
    0.35022
  • VaR(95%) (regression method)
    0.00438
  • Expected Shortfall (regression method)
    0.01188
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00017
  • Quartile 1
    0.00175
  • Median
    0.00419
  • Quartile 3
    0.00808
  • Maximum
    0.06605
  • Mean of quarter 1
    0.00079
  • Mean of quarter 2
    0.00206
  • Mean of quarter 3
    0.00684
  • Mean of quarter 4
    0.03784
  • Inter Quartile Range
    0.00633
  • 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
    0.12500
  • Mean of outliers high
    0.06605
  • 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)
    0.16663
  • Compounded annual return (geometric extrapolation)
    0.17357
  • Calmar ratio (compounded annual return / max draw down)
    2.62811
  • Compounded annual return / average of 25% largest draw downs
    4.58688
  • Compounded annual return / Expected Shortfall lognormal
    16.91810

Strategy Description

The Risk Parity Opportunity ("RPO") Strategy seeks to take advantage of the environment in the asset management world driving substantial capital into risk parity strategies. Risk Parity invests based on "risk factors" rather than asset classes. This migration of capital has created opportunities that John Netto, has created a strategy to trade. John Netto has developed his own risk parity models to replicate these strategies as well as other proprietary tools to identify when he believes risk parity may thrive and when it may struggle. There are times when the strategy will have similar exposure to these risk parity strategies and other times when the strategy will likely be negatively correlated and on the opposite side. There are many potential uses for this strategy from investors who currently have some exposure to risk parity to traders looking for a non-correlated strategy to add to their portfolio.

Summary Statistics

Strategy began
2017-08-31
Suggested Minimum Capital
$140,000
# Trades
177
# Profitable
104
% Profitable
58.8%
Correlation S&P500
-0.015
Sharpe Ratio
1.512

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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