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Bitcoin Related
(115424989)

Created by: QuantitativeModels QuantitativeModels
Started: 12/2017
Stocks
Last trade: 53 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 $149.00 per month.

200.4%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(18.4%)
Max Drawdown
96
Num Trades
53.1%
Win Trades
2.5 : 1
Profit Factor
61.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                                             +111.8%+111.8%
2018+13.6%+0.9%(0.5%)+7.4%(9.5%)+0.9%+4.7%+11.0%+12.2%(1.7%)(0.2%)(0.9%)+41.8%

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 23 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/25/18 15:45 GBTC BITCOIN INVT TR COMMON STOCK LONG 5,000 7.03 10/26 15:47 6.99 0.76%
Trade id #120547183
Max drawdown($600)
Time10/26/18 10:44
Quant open5,000
Worst price6.91
Drawdown as % of equity-0.76%
($205)
Includes Typical Broker Commissions trade costs of $5.00
10/16/18 15:07 GBTC BITCOIN INVT TR COMMON STOCK LONG 4,500 7.29 10/18 15:14 6.99 1.95%
Trade id #120386294
Max drawdown($1,530)
Time10/18/18 13:57
Quant open4,500
Worst price6.95
Drawdown as % of equity-1.95%
($1,355)
Includes Typical Broker Commissions trade costs of $5.00
10/11/18 14:09 GBTC BITCOIN INVT TR COMMON STOCK LONG 3,500 6.92 10/12 14:57 6.82 0.7%
Trade id #120306691
Max drawdown($560)
Time10/11/18 15:06
Quant open3,500
Worst price6.76
Drawdown as % of equity-0.70%
($355)
Includes Typical Broker Commissions trade costs of $5.00
10/3/18 12:45 GBTC BITCOIN INVT TR COMMON STOCK LONG 1,500 7.25 10/5 13:58 7.26 0.09%
Trade id #120164967
Max drawdown($75)
Time10/4/18 12:35
Quant open1,500
Worst price7.20
Drawdown as % of equity-0.09%
$9
Includes Typical Broker Commissions trade costs of $6.00
10/1/18 14:17 GBTC BITCOIN INVT TR COMMON STOCK SHORT 3,000 7.73 10/3 12:44 7.25 0.27%
Trade id #120122048
Max drawdown($210)
Time10/2/18 9:31
Quant open-3,000
Worst price7.80
Drawdown as % of equity-0.27%
$1,435
Includes Typical Broker Commissions trade costs of $5.00
10/1/18 14:17 @XBTV8 Bitcoin SHORT 1 6545 10/2 16:01 6520 0.06%
Trade id #120122040
Max drawdown($45)
Time10/1/18 21:51
Quant open-1
Worst price6590
Drawdown as % of equity-0.06%
$17
Includes Typical Broker Commissions trade costs of $8.00
9/27/18 14:14 GBTC BITCOIN INVT TR COMMON STOCK LONG 8,100 7.93 10/1 14:16 7.85 1.04%
Trade id #120072185
Max drawdown($823)
Time10/1/18 10:35
Quant open3,200
Worst price7.67
Drawdown as % of equity-1.04%
($649)
Includes Typical Broker Commissions trade costs of $18.00
9/26/18 15:53 @XBTV8 Bitcoin SHORT 1 6475 9/27 14:11 6505 0.05%
Trade id #120053049
Max drawdown($40)
Time9/27/18 10:54
Quant open-1
Worst price6515
Drawdown as % of equity-0.05%
($38)
Includes Typical Broker Commissions trade costs of $8.00
9/26/18 15:54 GBTC BITCOIN INVT TR COMMON STOCK SHORT 7,000 8.04 9/27 14:11 7.98 0.3%
Trade id #120053063
Max drawdown($234)
Time9/27/18 9:31
Quant open-4,000
Worst price8.10
Drawdown as % of equity-0.30%
$410
Includes Typical Broker Commissions trade costs of $10.00
9/21/18 15:03 GBTC BITCOIN INVT TR COMMON STOCK LONG 5,000 8.72 9/24 11:18 8.45 2.54%
Trade id #119983391
Max drawdown($2,050)
Time9/24/18 9:45
Quant open5,000
Worst price8.31
Drawdown as % of equity-2.54%
($1,355)
Includes Typical Broker Commissions trade costs of $5.00
9/20/18 14:06 GBTC BITCOIN INVT TR COMMON STOCK LONG 7,000 8.05 9/20 14:12 8.04 0.39%
Trade id #119956497
Max drawdown($315)
Time9/20/18 14:08
Quant open7,000
Worst price8.01
Drawdown as % of equity-0.39%
($145)
Includes Typical Broker Commissions trade costs of $5.00
9/20/18 14:03 GBTC BITCOIN INVT TR COMMON STOCK LONG 6,000 8.04 9/20 14:04 8.17 n/a $805
Includes Typical Broker Commissions trade costs of $5.00
9/20/18 13:59 GBTC BITCOIN INVT TR COMMON STOCK SHORT 5,000 8.17 9/20 14:01 8.06 n/a $558
Includes Typical Broker Commissions trade costs of $5.00
9/17/18 15:29 GBTC BITCOIN INVT TR COMMON STOCK SHORT 2,500 8.07 9/18 14:12 8.11 0.57%
Trade id #119896518
Max drawdown($450)
Time9/18/18 9:31
Quant open-2,500
Worst price8.25
Drawdown as % of equity-0.57%
($105)
Includes Typical Broker Commissions trade costs of $5.00
9/17/18 15:28 @XBTV8 Bitcoin SHORT 1 6260 9/18 14:08 6315 0.13%
Trade id #119896505
Max drawdown($100)
Time9/18/18 9:19
Quant open-1
Worst price6360
Drawdown as % of equity-0.13%
($63)
Includes Typical Broker Commissions trade costs of $8.00
9/17/18 15:25 GBTC BITCOIN INVT TR COMMON STOCK SHORT 6,000 8.07 9/17 15:26 8.04 n/a $175
Includes Typical Broker Commissions trade costs of $5.00
9/17/18 12:17 GBTC BITCOIN INVT TR COMMON STOCK LONG 6,000 8.09 9/17 12:17 8.13 n/a $235
Includes Typical Broker Commissions trade costs of $5.00
9/12/18 12:52 GBTC BITCOIN INVT TR COMMON STOCK LONG 18,000 8.41 9/17 12:16 8.40 1.52%
Trade id #119828697
Max drawdown($1,216)
Time9/17/18 11:21
Quant open3,000
Worst price8.00
Drawdown as % of equity-1.52%
($178)
Includes Typical Broker Commissions trade costs of $17.50
9/12/18 12:50 GBTC BITCOIN INVT TR COMMON STOCK LONG 5,000 8.10 9/12 12:51 8.13 n/a $145
Includes Typical Broker Commissions trade costs of $5.00
9/7/18 15:52 GBTC BITCOIN INVT TR COMMON STOCK LONG 8,000 8.38 9/7 15:55 8.59 0.05%
Trade id #119767085
Max drawdown($40)
Time9/7/18 15:54
Quant open8,000
Worst price8.37
Drawdown as % of equity-0.05%
$1,715
Includes Typical Broker Commissions trade costs of $5.00
9/7/18 15:46 GBTC BITCOIN INVT TR COMMON STOCK LONG 7,500 8.32 9/7 15:49 8.59 n/a $1,983
Includes Typical Broker Commissions trade costs of $5.00
9/7/18 15:42 GBTC BITCOIN INVT TR COMMON STOCK LONG 7,000 8.34 9/7 15:44 8.59 0.19%
Trade id #119766823
Max drawdown($140)
Time9/7/18 15:44
Quant open7,000
Worst price8.32
Drawdown as % of equity-0.19%
$1,745
Includes Typical Broker Commissions trade costs of $5.00
9/7/18 15:35 GBTC BITCOIN INVT TR COMMON STOCK LONG 4,500 8.34 9/7 15:37 8.59 n/a $1,120
Includes Typical Broker Commissions trade costs of $5.00
9/7/18 15:33 GBTC BITCOIN INVT TR COMMON STOCK LONG 5,000 8.34 9/7 15:34 8.59 n/a $1,270
Includes Typical Broker Commissions trade costs of $5.00
9/6/18 15:02 GBTC BITCOIN INVT TR COMMON STOCK LONG 1,200 8.55 9/7 15:30 8.59 0.37%
Trade id #119751230
Max drawdown($264)
Time9/7/18 15:23
Quant open1,200
Worst price8.33
Drawdown as % of equity-0.37%
$43
Includes Typical Broker Commissions trade costs of $5.00
8/24/18 15:59 GBTC BITCOIN INVT TR COMMON STOCK LONG 7,400 9.13 9/5 13:53 9.63 0.32%
Trade id #119591816
Max drawdown($223)
Time8/30/18 9:15
Quant open1,900
Worst price9.00
Drawdown as % of equity-0.32%
$3,621
Includes Typical Broker Commissions trade costs of $20.00
8/24/18 15:44 GBTC BITCOIN INVT TR COMMON STOCK LONG 13,500 8.94 8/24 15:58 9.17 n/a $3,033
Includes Typical Broker Commissions trade costs of $12.50
8/24/18 15:36 GBTC BITCOIN INVT TR COMMON STOCK LONG 5,000 8.94 8/24 15:43 9.19 n/a $1,220
Includes Typical Broker Commissions trade costs of $5.00
8/24/18 15:25 GBTC BITCOIN INVT TR COMMON STOCK LONG 5,000 8.94 8/24 15:34 9.17 n/a $1,124
Includes Typical Broker Commissions trade costs of $7.50
8/24/18 14:49 GBTC BITCOIN INVT TR COMMON STOCK LONG 18,600 8.99 8/24 15:23 9.15 n/a $3,009
Includes Typical Broker Commissions trade costs of $28.50

Statistics

  • Strategy began
    12/19/2017
  • Suggested Minimum Cap
    $80,000
  • Strategy Age (days)
    364.47
  • Age
    12 months ago
  • What it trades
    Stocks
  • # Trades
    96
  • # Profitable
    51
  • % Profitable
    53.10%
  • Avg trade duration
    4.4 days
  • Max peak-to-valley drawdown
    18.44%
  • drawdown period
    Dec 19, 2017 - Dec 19, 2017
  • Cumul. Return
    200.4%
  • Avg win
    $1,707
  • Avg loss
    $765.44
  • Model Account Values (Raw)
  • Cash
    $78,113
  • Margin Used
    $40,000
  • Buying Power
    $37,623
  • Ratios
  • W:L ratio
    2.53:1
  • Sharpe Ratio
    2.323
  • Sortino Ratio
    10.987
  • Calmar Ratio
    19.502
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.00100
  • Return Statistics
  • Ann Return (w trading costs)
    198.0%
  • Ann Return (Compnd, No Fees)
    210.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    26.50%
  • Chance of 20% account loss
    5.00%
  • Chance of 30% account loss
    1.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    663
  • Popularity (Last 6 weeks)
    924
  • C2 Score
    86.4
  • 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
    $766
  • Avg Win
    $1,707
  • # Winners
    51
  • # Losers
    45
  • % Winners
    53.1%
  • Frequency
  • Avg Position Time (mins)
    6337.18
  • Avg Position Time (hrs)
    105.62
  • Avg Trade Length
    4.4 days
  • Last Trade Ago
    5
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.78187
  • SD
    1.24146
  • Sharpe ratio (Glass type estimate)
    1.43531
  • Sharpe ratio (Hedges UMVUE)
    1.32442
  • df
    10.00000
  • t
    1.37420
  • p
    0.09970
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.73620
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.54214
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80339
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.45224
  • Statistics related to Sortino ratio
  • Sortino ratio
    24.26950
  • Upside Potential Ratio
    25.54820
  • Upside part of mean
    1.87576
  • Downside part of mean
    -0.09388
  • Upside SD
    1.28853
  • Downside SD
    0.07342
  • N nonnegative terms
    7.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.01260
  • Mean of criterion
    1.78187
  • SD of predictor
    0.13924
  • SD of criterion
    1.24146
  • Covariance
    0.07388
  • r
    0.42740
  • b (slope, estimate of beta)
    3.81077
  • a (intercept, estimate of alpha)
    1.73385
  • Mean Square Error
    1.39965
  • DF error
    9.00000
  • t(b)
    1.41827
  • p(b)
    0.09490
  • t(a)
    1.40264
  • p(a)
    0.09713
  • Lowerbound of 95% confidence interval for beta
    -2.26748
  • Upperbound of 95% confidence interval for beta
    9.88902
  • Lowerbound of 95% confidence interval for alpha
    -1.06249
  • Upperbound of 95% confidence interval for alpha
    4.53019
  • Treynor index (mean / b)
    0.46759
  • Jensen alpha (a)
    1.73385
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.29216
  • SD
    0.81741
  • Sharpe ratio (Glass type estimate)
    1.58080
  • Sharpe ratio (Hedges UMVUE)
    1.45868
  • df
    10.00000
  • t
    1.51351
  • p
    0.08055
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.61243
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.70407
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68593
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.60329
  • Statistics related to Sortino ratio
  • Sortino ratio
    17.04330
  • Upside Potential Ratio
    18.31580
  • Upside part of mean
    1.38864
  • Downside part of mean
    -0.09648
  • Upside SD
    0.86070
  • Downside SD
    0.07582
  • N nonnegative terms
    7.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.00365
  • Mean of criterion
    1.29216
  • SD of predictor
    0.14076
  • SD of criterion
    0.81741
  • Covariance
    0.04703
  • r
    0.40872
  • b (slope, estimate of beta)
    2.37355
  • a (intercept, estimate of alpha)
    1.28351
  • Mean Square Error
    0.61838
  • DF error
    9.00000
  • t(b)
    1.34352
  • p(b)
    0.10600
  • t(a)
    1.56266
  • p(a)
    0.07628
  • Lowerbound of 95% confidence interval for beta
    -1.62293
  • Upperbound of 95% confidence interval for beta
    6.37002
  • Lowerbound of 95% confidence interval for alpha
    -0.57454
  • Upperbound of 95% confidence interval for alpha
    3.14156
  • Treynor index (mean / b)
    0.54440
  • Jensen alpha (a)
    1.28351
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.24455
  • Expected Shortfall on VaR
    0.31296
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01405
  • Expected Shortfall on VaR
    0.03209
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.93331
  • Quartile 1
    1.00032
  • Median
    1.05463
  • Quartile 3
    1.11317
  • Maximum
    2.21125
  • Mean of quarter 1
    0.97420
  • Mean of quarter 2
    1.02078
  • Mean of quarter 3
    1.08224
  • Mean of quarter 4
    1.50319
  • Inter Quartile Range
    0.11285
  • 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
    0.09091
  • Mean of outliers high
    2.21125
  • 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)
    1.38834
  • VaR(95%) (regression method)
    0.07319
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01070
  • Quartile 1
    0.02469
  • Median
    0.03869
  • Quartile 3
    0.05269
  • Maximum
    0.06669
  • Mean of quarter 1
    0.01070
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.06669
  • Inter Quartile Range
    0.02800
  • 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)
    2.56768
  • Compounded annual return (geometric extrapolation)
    2.74369
  • Calmar ratio (compounded annual return / max draw down)
    41.14120
  • Compounded annual return / average of 25% largest draw downs
    41.14120
  • Compounded annual return / Expected Shortfall lognormal
    8.76688
  • 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
    1.37937
  • SD
    0.59205
  • Sharpe ratio (Glass type estimate)
    2.32984
  • Sharpe ratio (Hedges UMVUE)
    2.32287
  • df
    251.00000
  • t
    2.28494
  • p
    0.01158
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.31873
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.33641
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.31409
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.33164
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.98670
  • Upside Potential Ratio
    16.82860
  • Upside part of mean
    2.11280
  • Downside part of mean
    -0.73343
  • Upside SD
    0.58363
  • Downside SD
    0.12555
  • N nonnegative terms
    77.00000
  • N negative terms
    175.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    252.00000
  • Mean of predictor
    -0.06883
  • Mean of criterion
    1.37937
  • SD of predictor
    0.16048
  • SD of criterion
    0.59205
  • Covariance
    0.00049
  • r
    0.00518
  • b (slope, estimate of beta)
    0.01909
  • a (intercept, estimate of alpha)
    1.38100
  • Mean Square Error
    0.35191
  • DF error
    250.00000
  • t(b)
    0.08184
  • p(b)
    0.46742
  • t(a)
    2.28178
  • p(a)
    0.01167
  • Lowerbound of 95% confidence interval for beta
    -0.44044
  • Upperbound of 95% confidence interval for beta
    0.47862
  • Lowerbound of 95% confidence interval for alpha
    0.18896
  • Upperbound of 95% confidence interval for alpha
    2.57241
  • Treynor index (mean / b)
    72.24040
  • Jensen alpha (a)
    1.38068
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.22593
  • SD
    0.52943
  • Sharpe ratio (Glass type estimate)
    2.31554
  • Sharpe ratio (Hedges UMVUE)
    2.30862
  • df
    251.00000
  • t
    2.27092
  • p
    0.01200
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.30456
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.32199
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.29997
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.31727
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.61124
  • Upside Potential Ratio
    15.42380
  • Upside part of mean
    1.96733
  • Downside part of mean
    -0.74140
  • Upside SD
    0.51832
  • Downside SD
    0.12755
  • N nonnegative terms
    77.00000
  • N negative terms
    175.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    252.00000
  • Mean of predictor
    -0.08174
  • Mean of criterion
    1.22593
  • SD of predictor
    0.16126
  • SD of criterion
    0.52943
  • Covariance
    0.00049
  • r
    0.00575
  • b (slope, estimate of beta)
    0.01889
  • a (intercept, estimate of alpha)
    1.22747
  • Mean Square Error
    0.28141
  • DF error
    250.00000
  • t(b)
    0.09097
  • p(b)
    0.46379
  • t(a)
    2.26817
  • p(a)
    0.01209
  • Lowerbound of 95% confidence interval for beta
    -0.39004
  • Upperbound of 95% confidence interval for beta
    0.42782
  • Lowerbound of 95% confidence interval for alpha
    0.16163
  • Upperbound of 95% confidence interval for alpha
    2.29332
  • Treynor index (mean / b)
    64.90090
  • Jensen alpha (a)
    1.22747
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04793
  • Expected Shortfall on VaR
    0.06079
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00780
  • Expected Shortfall on VaR
    0.01637
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    252.00000
  • Minimum
    0.95409
  • Quartile 1
    0.99863
  • Median
    1.00000
  • Quartile 3
    1.00104
  • Maximum
    1.36385
  • Mean of quarter 1
    0.98946
  • Mean of quarter 2
    0.99964
  • Mean of quarter 3
    1.00013
  • Mean of quarter 4
    1.03226
  • Inter Quartile Range
    0.00241
  • Number outliers low
    34.00000
  • Percentage of outliers low
    0.13492
  • Mean of outliers low
    0.98269
  • Number of outliers high
    44.00000
  • Percentage of outliers high
    0.17460
  • Mean of outliers high
    1.04518
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.91197
  • VaR(95%) (moments method)
    0.00903
  • Expected Shortfall (moments method)
    0.11225
  • Extreme Value Index (regression method)
    0.34120
  • VaR(95%) (regression method)
    0.00833
  • Expected Shortfall (regression method)
    0.01685
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00216
  • Quartile 1
    0.01242
  • Median
    0.02472
  • Quartile 3
    0.05166
  • Maximum
    0.12838
  • Mean of quarter 1
    0.00240
  • Mean of quarter 2
    0.01639
  • Mean of quarter 3
    0.03364
  • Mean of quarter 4
    0.11508
  • Inter Quartile Range
    0.03924
  • 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
    0.12838
  • 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)
    2.43289
  • Compounded annual return (geometric extrapolation)
    2.50376
  • Calmar ratio (compounded annual return / max draw down)
    19.50220
  • Compounded annual return / average of 25% largest draw downs
    21.75600
  • Compounded annual return / Expected Shortfall lognormal
    41.18720
  • 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
    0.52772
  • SD
    0.24577
  • Sharpe ratio (Glass type estimate)
    2.14721
  • Sharpe ratio (Hedges UMVUE)
    2.13480
  • df
    130.00000
  • t
    1.51831
  • p
    0.43400
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.64086
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.92728
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.64913
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.91872
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.54972
  • Upside Potential Ratio
    11.22080
  • Upside part of mean
    1.06697
  • Downside part of mean
    -0.53925
  • Upside SD
    0.22795
  • Downside SD
    0.09509
  • N nonnegative terms
    35.00000
  • N negative terms
    96.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.18747
  • Mean of criterion
    0.52772
  • SD of predictor
    0.15311
  • SD of criterion
    0.24577
  • Covariance
    0.00395
  • r
    0.10498
  • b (slope, estimate of beta)
    0.16852
  • a (intercept, estimate of alpha)
    0.55931
  • Mean Square Error
    0.06020
  • DF error
    129.00000
  • t(b)
    1.19903
  • p(b)
    0.43329
  • t(a)
    1.60728
  • p(a)
    0.41109
  • Lowerbound of 95% confidence interval for beta
    -0.10956
  • Upperbound of 95% confidence interval for beta
    0.44660
  • Lowerbound of 95% confidence interval for alpha
    -0.12919
  • Upperbound of 95% confidence interval for alpha
    1.24781
  • Treynor index (mean / b)
    3.13147
  • Jensen alpha (a)
    0.55931
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49827
  • SD
    0.23921
  • Sharpe ratio (Glass type estimate)
    2.08302
  • Sharpe ratio (Hedges UMVUE)
    2.07098
  • df
    130.00000
  • t
    1.47292
  • p
    0.43594
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.70421
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.86249
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.71224
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.85419
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.17193
  • Upside Potential Ratio
    10.81640
  • Upside part of mean
    1.04207
  • Downside part of mean
    -0.54380
  • Upside SD
    0.22011
  • Downside SD
    0.09634
  • N nonnegative terms
    35.00000
  • N negative terms
    96.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.19922
  • Mean of criterion
    0.49827
  • SD of predictor
    0.15382
  • SD of criterion
    0.23921
  • Covariance
    0.00383
  • r
    0.10404
  • b (slope, estimate of beta)
    0.16180
  • a (intercept, estimate of alpha)
    0.53050
  • Mean Square Error
    0.05704
  • DF error
    129.00000
  • t(b)
    1.18813
  • p(b)
    0.43389
  • t(a)
    1.56564
  • p(a)
    0.41334
  • Lowerbound of 95% confidence interval for beta
    -0.10763
  • Upperbound of 95% confidence interval for beta
    0.43123
  • Lowerbound of 95% confidence interval for alpha
    -0.13990
  • Upperbound of 95% confidence interval for alpha
    1.20091
  • Treynor index (mean / b)
    3.07960
  • Jensen alpha (a)
    0.53050
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02216
  • Expected Shortfall on VaR
    0.02816
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00593
  • Expected Shortfall on VaR
    0.01246
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96408
  • Quartile 1
    0.99925
  • Median
    1.00000
  • Quartile 3
    1.00048
  • Maximum
    1.10749
  • Mean of quarter 1
    0.99226
  • Mean of quarter 2
    0.99988
  • Mean of quarter 3
    1.00002
  • Mean of quarter 4
    1.01626
  • Inter Quartile Range
    0.00124
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.15267
  • Mean of outliers low
    0.98828
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.17557
  • Mean of outliers high
    1.02277
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.71642
  • VaR(95%) (moments method)
    0.00547
  • Expected Shortfall (moments method)
    0.02249
  • Extreme Value Index (regression method)
    0.24348
  • VaR(95%) (regression method)
    0.00751
  • Expected Shortfall (regression method)
    0.01414
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00058
  • Quartile 1
    0.00207
  • Median
    0.01377
  • Quartile 3
    0.02091
  • Maximum
    0.12646
  • Mean of quarter 1
    0.00120
  • Mean of quarter 2
    0.00701
  • Mean of quarter 3
    0.01639
  • Mean of quarter 4
    0.07940
  • Inter Quartile Range
    0.01884
  • 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
    0.12646
  • 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)
    0.60189
  • Compounded annual return (geometric extrapolation)
    0.69245
  • Calmar ratio (compounded annual return / max draw down)
    5.47559
  • Compounded annual return / average of 25% largest draw downs
    8.72132
  • Compounded annual return / Expected Shortfall lognormal
    24.58790

Strategy Description

Compared to BITCOIN RELATED TRADER, this strategy (BITCOIN RELATED) is sometimes more aggressive in taking positions on the direction of the blockchain and crypto-currency market.

When this strategy takes a bullish position on Bitcoin, it will usually buy GBTC. or XBT Bitcoin futures. But when the strategy takes a bearish position on Bitcoin, GBTC is usually unavailable at most brokerage houses to allow shorting. In that event, a bearish position in Bitcoin will often be implemented by selling XBT Bitcoin futures contracts.

Warning: Bitcoin and blockchain trading is highly volatile.

Summary Statistics

Strategy began
2017-12-19
Suggested Minimum Capital
$80,000
# Trades
96
# Profitable
51
% Profitable
53.1%
Correlation S&P500
-0.001
Sharpe Ratio
2.323

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.