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TCT US ETFs
(117018645)

Created by: SofiaEsteves SofiaEsteves
Started: 03/2018
Stocks
Last trade: Yesterday
Trading style: Equity Momentum Short-term Reversal

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 $49.00 per month.

Trading Category: Equity
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
4.0%
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.

(8.1%)
Max Drawdown
82
Num Trades
72.0%
Win Trades
1.5 : 1
Profit Factor
61.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018              (1.9%)(2.1%)+2.2%+0.5%+0.8%+2.3%(0.3%)(0.1%)+0.5%(0.3%)+1.4%
2019+1.1%+0.1%+1.5%                                                      +2.6%

Model Account Details

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

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

System developer has asked us to delay this information by 24 hours.

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 9:48 SPY SPDR S&P 500 LONG 300 277.61 3/15 9:30 280.93 0.09%
Trade id #122834639
Max drawdown($88)
Time3/8/19 10:07
Quant open100
Worst price272.42
Drawdown as % of equity-0.09%
$990
Includes Typical Broker Commissions trade costs of $6.00
2/20/19 9:30 TLT ISHARES 20+ YEAR TREASURY BOND LONG 900 121.10 3/12 13:09 120.66 1.22%
Trade id #122599847
Max drawdown($1,260)
Time3/1/19 15:50
Quant open500
Worst price118.64
Drawdown as % of equity-1.22%
($409)
Includes Typical Broker Commissions trade costs of $18.00
3/12/19 9:30 QQQ POWERSHARES QQQ LONG 100 175.17 3/12 13:05 175.96 0.04%
Trade id #122876765
Max drawdown($39)
Time3/12/19 9:48
Quant open100
Worst price174.77
Drawdown as % of equity-0.04%
$77
Includes Typical Broker Commissions trade costs of $2.00
3/5/19 9:30 QQQ POWERSHARES QQQ LONG 100 174.52 3/12 9:30 175.17 0.51%
Trade id #122787625
Max drawdown($527)
Time3/8/19 9:09
Quant open100
Worst price169.25
Drawdown as % of equity-0.51%
$63
Includes Typical Broker Commissions trade costs of $2.00
2/8/19 9:31 TLT ISHARES 20+ YEAR TREASURY BOND LONG 400 122.23 2/19 11:20 122.33 0.22%
Trade id #122429536
Max drawdown($224)
Time2/13/19 9:50
Quant open200
Worst price120.91
Drawdown as % of equity-0.22%
$32
Includes Typical Broker Commissions trade costs of $8.00
2/4/19 9:30 TLT ISHARES 20+ YEAR TREASURY BOND LONG 500 120.56 2/8 9:30 121.58 0.12%
Trade id #122340402
Max drawdown($126)
Time2/4/19 10:47
Quant open300
Worst price120.02
Drawdown as % of equity-0.12%
$502
Includes Typical Broker Commissions trade costs of $10.00
1/29/19 9:30 QQQ POWERSHARES QQQ LONG 100 163.20 2/5 9:30 169.75 0.22%
Trade id #122240843
Max drawdown($221)
Time1/29/19 10:59
Quant open100
Worst price160.99
Drawdown as % of equity-0.22%
$653
Includes Typical Broker Commissions trade costs of $2.00
1/30/19 9:30 SPY SPDR S&P 500 LONG 100 265.10 1/30 14:00 266.70 0.08%
Trade id #122265188
Max drawdown($85)
Time1/30/19 10:06
Quant open100
Worst price264.25
Drawdown as % of equity-0.08%
$158
Includes Typical Broker Commissions trade costs of $2.00
1/4/19 9:30 TLT ISHARES 20+ YEAR TREASURY BOND LONG 800 121.25 1/30 9:30 120.64 0.7%
Trade id #121781402
Max drawdown($713)
Time1/10/19 17:29
Quant open300
Worst price120.15
Drawdown as % of equity-0.70%
($505)
Includes Typical Broker Commissions trade costs of $16.00
1/18/19 9:30 QQQ POWERSHARES QQQ LONG 100 164.84 1/18 12:04 165.85 0.1%
Trade id #122051638
Max drawdown($102)
Time1/18/19 10:04
Quant open100
Worst price163.82
Drawdown as % of equity-0.10%
$99
Includes Typical Broker Commissions trade costs of $2.00
1/2/19 9:30 TLT ISHARES 20+ YEAR TREASURY BOND LONG 100 121.66 1/2 15:05 122.03 0.03%
Trade id #121742938
Max drawdown($31)
Time1/2/19 10:55
Quant open100
Worst price121.34
Drawdown as % of equity-0.03%
$35
Includes Typical Broker Commissions trade costs of $2.00
12/21/18 9:30 QQQ POWERSHARES QQQ LONG 400 150.81 1/2/19 13:33 154.85 2.74%
Trade id #121615765
Max drawdown($2,629)
Time12/26/18 8:02
Quant open300
Worst price141.99
Drawdown as % of equity-2.74%
$1,609
Includes Typical Broker Commissions trade costs of $8.00
12/20/18 9:30 TLT ISHARES 20+ YEAR TREASURY BOND LONG 100 122.02 12/31 15:06 121.37 0.21%
Trade id #121591913
Max drawdown($211)
Time12/26/18 16:29
Quant open100
Worst price119.91
Drawdown as % of equity-0.21%
($67)
Includes Typical Broker Commissions trade costs of $2.00
12/20/18 9:30 SPY SPDR S&P 500 LONG 200 249.86 12/28 9:30 249.58 3.72%
Trade id #121591942
Max drawdown($3,574)
Time12/26/18 8:02
Quant open200
Worst price231.99
Drawdown as % of equity-3.72%
($60)
Includes Typical Broker Commissions trade costs of $4.00
12/19/18 9:33 QQQ POWERSHARES QQQ LONG 100 158.65 12/19 15:01 155.10 0.35%
Trade id #121568724
Max drawdown($355)
Time12/19/18 15:01
Quant open0
Worst price155.10
Drawdown as % of equity-0.35%
($357)
Includes Typical Broker Commissions trade costs of $2.00
12/14/18 9:30 TLT ISHARES 20+ YEAR TREASURY BOND LONG 300 118.55 12/19 9:31 119.19 0.1%
Trade id #121498738
Max drawdown($99)
Time12/14/18 10:24
Quant open300
Worst price118.22
Drawdown as % of equity-0.10%
$187
Includes Typical Broker Commissions trade costs of $6.00
12/10/18 9:54 QQQ POWERSHARES QQQ LONG 200 163.41 12/19 9:30 159.65 0.74%
Trade id #121422681
Max drawdown($752)
Time12/19/18 9:30
Quant open100
Worst price158.24
Drawdown as % of equity-0.74%
($756)
Includes Typical Broker Commissions trade costs of $4.00
12/11/18 9:30 SPY SPDR S&P 500 LONG 100 267.66 12/18 9:30 257.20 1.39%
Trade id #121440413
Max drawdown($1,413)
Time12/17/18 15:50
Quant open100
Worst price253.53
Drawdown as % of equity-1.39%
($1,048)
Includes Typical Broker Commissions trade costs of $2.00
12/10/18 9:48 TLT ISHARES 20+ YEAR TREASURY BOND LONG 200 118.90 12/10 11:03 119.20 0.04%
Trade id #121422478
Max drawdown($38)
Time12/10/18 10:15
Quant open200
Worst price118.71
Drawdown as % of equity-0.04%
$56
Includes Typical Broker Commissions trade costs of $4.00
11/26/18 9:30 TLT ISHARES 20+ YEAR TREASURY BOND LONG 400 114.89 12/4 9:33 115.62 0.1%
Trade id #121163944
Max drawdown($98)
Time11/28/18 12:59
Quant open200
Worst price114.36
Drawdown as % of equity-0.10%
$287
Includes Typical Broker Commissions trade costs of $8.00
11/28/18 9:30 SPY SPDR S&P 500 LONG 200 271.62 12/3 10:00 276.87 0.1%
Trade id #121213717
Max drawdown($104)
Time11/28/18 10:32
Quant open100
Worst price268.53
Drawdown as % of equity-0.10%
$1,044
Includes Typical Broker Commissions trade costs of $4.00
11/30/18 9:30 QQQ POWERSHARES QQQ LONG 100 168.40 11/30 15:30 169.20 0.08%
Trade id #121270123
Max drawdown($86)
Time11/30/18 9:43
Quant open100
Worst price167.54
Drawdown as % of equity-0.08%
$78
Includes Typical Broker Commissions trade costs of $2.00
11/9/18 13:19 SPY SPDR S&P 500 LONG 400 271.42 11/27 12:32 267.75 2.6%
Trade id #120857860
Max drawdown($2,621)
Time11/23/18 8:44
Quant open300
Worst price262.68
Drawdown as % of equity-2.60%
($1,473)
Includes Typical Broker Commissions trade costs of $8.00
11/27/18 9:30 QQQ POWERSHARES QQQ LONG 100 162.00 11/27 10:14 163.36 0.08%
Trade id #121187459
Max drawdown($82)
Time11/27/18 9:42
Quant open100
Worst price161.18
Drawdown as % of equity-0.08%
$134
Includes Typical Broker Commissions trade costs of $2.00
11/19/18 14:38 QQQ POWERSHARES QQQ LONG 100 162.28 11/26 9:56 161.96 0.51%
Trade id #121055682
Max drawdown($515)
Time11/20/18 10:16
Quant open100
Worst price157.13
Drawdown as % of equity-0.51%
($34)
Includes Typical Broker Commissions trade costs of $2.00
11/15/18 9:31 TLT ISHARES 20+ YEAR TREASURY BOND LONG 300 114.48 11/15 9:33 114.54 0%
Trade id #120963898
Max drawdown($3)
Time11/15/18 9:33
Quant open300
Worst price114.47
Drawdown as % of equity-0.00%
$12
Includes Typical Broker Commissions trade costs of $6.00
11/14/18 9:31 TLT ISHARES 20+ YEAR TREASURY BOND LONG 200 113.41 11/14 13:01 114.22 0.02%
Trade id #120928907
Max drawdown($22)
Time11/14/18 10:09
Quant open200
Worst price113.30
Drawdown as % of equity-0.02%
$158
Includes Typical Broker Commissions trade costs of $4.00
10/31/18 9:31 TLT ISHARES 20+ YEAR TREASURY BOND LONG 400 113.17 11/9 13:15 113.19 0.37%
Trade id #120639495
Max drawdown($380)
Time11/2/18 16:39
Quant open200
Worst price111.88
Drawdown as % of equity-0.37%
($2)
Includes Typical Broker Commissions trade costs of $8.00
11/5/18 9:31 QQQ POWERSHARES QQQ LONG 100 168.93 11/7 10:17 173.29 0.18%
Trade id #120726329
Max drawdown($185)
Time11/5/18 10:24
Quant open100
Worst price167.08
Drawdown as % of equity-0.18%
$434
Includes Typical Broker Commissions trade costs of $2.00
10/29/18 9:31 SPY SPDR S&P 500 LONG 200 267.48 11/5 9:30 272.08 1.54%
Trade id #120593891
Max drawdown($1,526)
Time10/29/18 15:46
Quant open200
Worst price259.85
Drawdown as % of equity-1.54%
$916
Includes Typical Broker Commissions trade costs of $4.00

Statistics

  • Strategy began
    3/13/2018
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    372.44
  • Age
    12 months ago
  • What it trades
    Stocks
  • # Trades
    82
  • # Profitable
    59
  • % Profitable
    72.00%
  • Avg trade duration
    6.4 days
  • Max peak-to-valley drawdown
    8.08%
  • drawdown period
    Dec 12, 2018 - Dec 24, 2018
  • Annual Return (Compounded)
    4.0%
  • Avg win
    $297.22
  • Avg loss
    $598.91
  • Model Account Values (Raw)
  • Cash
    $105,221
  • Margin Used
    $0
  • Buying Power
    $105,221
  • Ratios
  • W:L ratio
    1.49:1
  • Sharpe Ratio
    0.335
  • Sortino Ratio
    0.467
  • Calmar Ratio
    0.811
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.45100
  • Return Statistics
  • Ann Return (w trading costs)
    4.0%
  • Ann Return (Compnd, No Fees)
    5.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    0.50%
  • 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)
    666
  • Popularity (Last 6 weeks)
    910
  • C2 Score
    94.0
  • 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
    $599
  • Avg Win
    $297
  • # Winners
    59
  • # Losers
    23
  • % Winners
    72.0%
  • Frequency
  • Avg Position Time (mins)
    9222.42
  • Avg Position Time (hrs)
    153.71
  • Avg Trade Length
    6.4 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
    0.02381
  • SD
    0.06378
  • Sharpe ratio (Glass type estimate)
    0.37332
  • Sharpe ratio (Hedges UMVUE)
    0.34717
  • df
    11.00000
  • t
    0.37332
  • p
    0.35800
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.60097
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.33107
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.61815
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.31250
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.55432
  • Upside Potential Ratio
    2.21653
  • Upside part of mean
    0.09521
  • Downside part of mean
    -0.07140
  • Upside SD
    0.04394
  • Downside SD
    0.04296
  • N nonnegative terms
    8.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.00101
  • Mean of criterion
    0.02381
  • SD of predictor
    0.10198
  • SD of criterion
    0.06378
  • Covariance
    0.00351
  • r
    0.54003
  • b (slope, estimate of beta)
    0.33775
  • a (intercept, estimate of alpha)
    0.02347
  • Mean Square Error
    0.00317
  • DF error
    10.00000
  • t(b)
    2.02902
  • p(b)
    0.03496
  • t(a)
    0.41686
  • p(a)
    0.34279
  • Lowerbound of 95% confidence interval for beta
    -0.03314
  • Upperbound of 95% confidence interval for beta
    0.70865
  • Lowerbound of 95% confidence interval for alpha
    -0.10198
  • Upperbound of 95% confidence interval for alpha
    0.14892
  • Treynor index (mean / b)
    0.07050
  • Jensen alpha (a)
    0.02347
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02188
  • SD
    0.06368
  • Sharpe ratio (Glass type estimate)
    0.34354
  • Sharpe ratio (Hedges UMVUE)
    0.31948
  • df
    11.00000
  • t
    0.34354
  • p
    0.36883
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.62916
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.30098
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.64502
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.28398
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.50323
  • Upside Potential Ratio
    2.16336
  • Upside part of mean
    0.09405
  • Downside part of mean
    -0.07217
  • Upside SD
    0.04321
  • Downside SD
    0.04347
  • N nonnegative terms
    8.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    -0.00374
  • Mean of criterion
    0.02188
  • SD of predictor
    0.10186
  • SD of criterion
    0.06368
  • Covariance
    0.00358
  • r
    0.55117
  • b (slope, estimate of beta)
    0.34457
  • a (intercept, estimate of alpha)
    0.02317
  • Mean Square Error
    0.00311
  • DF error
    10.00000
  • t(b)
    2.08889
  • p(b)
    0.03162
  • t(a)
    0.41569
  • p(a)
    0.34321
  • Lowerbound of 95% confidence interval for beta
    -0.02297
  • Upperbound of 95% confidence interval for beta
    0.71210
  • Lowerbound of 95% confidence interval for alpha
    -0.10101
  • Upperbound of 95% confidence interval for alpha
    0.14735
  • Treynor index (mean / b)
    0.06349
  • Jensen alpha (a)
    0.02317
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02801
  • Expected Shortfall on VaR
    0.03543
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01041
  • Expected Shortfall on VaR
    0.02198
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.97057
  • Quartile 1
    0.99816
  • Median
    1.00884
  • Quartile 3
    1.01040
  • Maximum
    1.03938
  • Mean of quarter 1
    0.97913
  • Mean of quarter 2
    1.00526
  • Mean of quarter 3
    1.00976
  • Mean of quarter 4
    1.02311
  • Inter Quartile Range
    0.01223
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.16667
  • Mean of outliers low
    0.97316
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.08333
  • Mean of outliers high
    1.03938
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -62.25330
  • VaR(95%) (moments method)
    0.01888
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.56222
  • VaR(95%) (regression method)
    0.04204
  • Expected Shortfall (regression method)
    0.04252
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00894
  • Quartile 1
    0.01659
  • Median
    0.02425
  • Quartile 3
    0.02684
  • Maximum
    0.02943
  • Mean of quarter 1
    0.00894
  • Mean of quarter 2
    0.02425
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.02943
  • Inter Quartile Range
    0.01025
  • 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)
    0.05104
  • Compounded annual return (geometric extrapolation)
    0.05104
  • Calmar ratio (compounded annual return / max draw down)
    1.73434
  • Compounded annual return / average of 25% largest draw downs
    1.73434
  • Compounded annual return / Expected Shortfall lognormal
    1.44071
  • 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
    0.02476
  • SD
    0.07368
  • Sharpe ratio (Glass type estimate)
    0.33603
  • Sharpe ratio (Hedges UMVUE)
    0.33507
  • df
    263.00000
  • t
    0.33731
  • p
    0.36808
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.61701
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.28847
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.61766
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.28781
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.46656
  • Upside Potential Ratio
    6.71923
  • Upside part of mean
    0.35658
  • Downside part of mean
    -0.33182
  • Upside SD
    0.05094
  • Downside SD
    0.05307
  • N nonnegative terms
    148.00000
  • N negative terms
    116.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    264.00000
  • Mean of predictor
    0.00595
  • Mean of criterion
    0.02476
  • SD of predictor
    0.16112
  • SD of criterion
    0.07368
  • Covariance
    0.00552
  • r
    0.46464
  • b (slope, estimate of beta)
    0.21249
  • a (intercept, estimate of alpha)
    0.02300
  • Mean Square Error
    0.00427
  • DF error
    262.00000
  • t(b)
    8.49340
  • p(b)
    0.00000
  • t(a)
    0.36078
  • p(a)
    0.35928
  • Lowerbound of 95% confidence interval for beta
    0.16323
  • Upperbound of 95% confidence interval for beta
    0.26176
  • Lowerbound of 95% confidence interval for alpha
    -0.10473
  • Upperbound of 95% confidence interval for alpha
    0.15172
  • Treynor index (mean / b)
    0.11652
  • Jensen alpha (a)
    0.02349
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02205
  • SD
    0.07370
  • Sharpe ratio (Glass type estimate)
    0.29918
  • Sharpe ratio (Hedges UMVUE)
    0.29833
  • df
    263.00000
  • t
    0.30032
  • p
    0.38209
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.65375
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.25164
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.65436
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.25102
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.41261
  • Upside Potential Ratio
    6.64749
  • Upside part of mean
    0.35526
  • Downside part of mean
    -0.33321
  • Upside SD
    0.05057
  • Downside SD
    0.05344
  • N nonnegative terms
    148.00000
  • N negative terms
    116.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    264.00000
  • Mean of predictor
    -0.00698
  • Mean of criterion
    0.02205
  • SD of predictor
    0.16118
  • SD of criterion
    0.07370
  • Covariance
    0.00553
  • r
    0.46578
  • b (slope, estimate of beta)
    0.21299
  • a (intercept, estimate of alpha)
    0.02354
  • Mean Square Error
    0.00427
  • DF error
    262.00000
  • t(b)
    8.52005
  • p(b)
    0.00000
  • t(a)
    0.36159
  • p(a)
    0.35898
  • Lowerbound of 95% confidence interval for beta
    0.16377
  • Upperbound of 95% confidence interval for beta
    0.26222
  • Lowerbound of 95% confidence interval for alpha
    -0.10464
  • Upperbound of 95% confidence interval for alpha
    0.15172
  • Treynor index (mean / b)
    0.10353
  • Jensen alpha (a)
    0.02354
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00738
  • Expected Shortfall on VaR
    0.00926
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00262
  • Expected Shortfall on VaR
    0.00572
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    264.00000
  • Minimum
    0.97643
  • Quartile 1
    0.99888
  • Median
    1.00035
  • Quartile 3
    1.00163
  • Maximum
    1.02575
  • Mean of quarter 1
    0.99541
  • Mean of quarter 2
    0.99977
  • Mean of quarter 3
    1.00094
  • Mean of quarter 4
    1.00468
  • Inter Quartile Range
    0.00275
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.06061
  • Mean of outliers low
    0.98897
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.04924
  • Mean of outliers high
    1.01119
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.54123
  • VaR(95%) (moments method)
    0.00428
  • Expected Shortfall (moments method)
    0.01066
  • Extreme Value Index (regression method)
    0.38375
  • VaR(95%) (regression method)
    0.00386
  • Expected Shortfall (regression method)
    0.00751
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00162
  • Quartile 1
    0.00500
  • Median
    0.01144
  • Quartile 3
    0.03358
  • Maximum
    0.06316
  • Mean of quarter 1
    0.00266
  • Mean of quarter 2
    0.00849
  • Mean of quarter 3
    0.01929
  • Mean of quarter 4
    0.04968
  • Inter Quartile Range
    0.02858
  • 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)
    -0.44407
  • VaR(95%) (moments method)
    0.05626
  • Expected Shortfall (moments method)
    0.06235
  • Extreme Value Index (regression method)
    1.17026
  • VaR(95%) (regression method)
    0.06490
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05124
  • Compounded annual return (geometric extrapolation)
    0.05123
  • Calmar ratio (compounded annual return / max draw down)
    0.81101
  • Compounded annual return / average of 25% largest draw downs
    1.03110
  • Compounded annual return / Expected Shortfall lognormal
    5.52985
  • 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
    0.03152
  • SD
    0.08940
  • Sharpe ratio (Glass type estimate)
    0.35255
  • Sharpe ratio (Hedges UMVUE)
    0.35052
  • df
    130.00000
  • t
    0.24929
  • p
    0.48907
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.42019
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.12409
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.42162
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.12265
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.50524
  • Upside Potential Ratio
    6.58910
  • Upside part of mean
    0.41104
  • Downside part of mean
    -0.37952
  • Upside SD
    0.06359
  • Downside SD
    0.06238
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.06589
  • Mean of criterion
    0.03152
  • SD of predictor
    0.19257
  • SD of criterion
    0.08940
  • Covariance
    0.00889
  • r
    0.51613
  • b (slope, estimate of beta)
    0.23960
  • a (intercept, estimate of alpha)
    0.04730
  • Mean Square Error
    0.00591
  • DF error
    129.00000
  • t(b)
    6.84415
  • p(b)
    0.18666
  • t(a)
    0.43506
  • p(a)
    0.47564
  • Lowerbound of 95% confidence interval for beta
    0.17034
  • Upperbound of 95% confidence interval for beta
    0.30887
  • Lowerbound of 95% confidence interval for alpha
    -0.16782
  • Upperbound of 95% confidence interval for alpha
    0.26243
  • Treynor index (mean / b)
    0.13154
  • Jensen alpha (a)
    0.04730
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02755
  • SD
    0.08938
  • Sharpe ratio (Glass type estimate)
    0.30823
  • Sharpe ratio (Hedges UMVUE)
    0.30645
  • df
    130.00000
  • t
    0.21796
  • p
    0.49044
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.46431
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.07981
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.46560
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.07851
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.43807
  • Upside Potential Ratio
    6.50371
  • Upside part of mean
    0.40900
  • Downside part of mean
    -0.38145
  • Upside SD
    0.06305
  • Downside SD
    0.06289
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.08429
  • Mean of criterion
    0.02755
  • SD of predictor
    0.19255
  • SD of criterion
    0.08938
  • Covariance
    0.00891
  • r
    0.51772
  • b (slope, estimate of beta)
    0.24031
  • a (intercept, estimate of alpha)
    0.04780
  • Mean Square Error
    0.00589
  • DF error
    129.00000
  • t(b)
    6.87288
  • p(b)
    0.18579
  • t(a)
    0.44020
  • p(a)
    0.47535
  • Lowerbound of 95% confidence interval for beta
    0.17113
  • Upperbound of 95% confidence interval for beta
    0.30949
  • Lowerbound of 95% confidence interval for alpha
    -0.16706
  • Upperbound of 95% confidence interval for alpha
    0.26267
  • Treynor index (mean / b)
    0.11464
  • Jensen alpha (a)
    0.04780
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00894
  • Expected Shortfall on VaR
    0.01122
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00314
  • Expected Shortfall on VaR
    0.00685
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97643
  • Quartile 1
    0.99901
  • Median
    1.00024
  • Quartile 3
    1.00135
  • Maximum
    1.02575
  • Mean of quarter 1
    0.99478
  • Mean of quarter 2
    0.99969
  • Mean of quarter 3
    1.00082
  • Mean of quarter 4
    1.00563
  • Inter Quartile Range
    0.00234
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.98882
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.01185
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.66850
  • VaR(95%) (moments method)
    0.00463
  • Expected Shortfall (moments method)
    0.01579
  • Extreme Value Index (regression method)
    0.47404
  • VaR(95%) (regression method)
    0.00467
  • Expected Shortfall (regression method)
    0.01083
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00162
  • Quartile 1
    0.00348
  • Median
    0.00873
  • Quartile 3
    0.03358
  • Maximum
    0.06316
  • Mean of quarter 1
    0.00164
  • Mean of quarter 2
    0.00702
  • Mean of quarter 3
    0.02624
  • Mean of quarter 4
    0.05204
  • Inter Quartile Range
    0.03010
  • 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)
    0.05623
  • Compounded annual return (geometric extrapolation)
    0.05702
  • Calmar ratio (compounded annual return / max draw down)
    0.90277
  • Compounded annual return / average of 25% largest draw downs
    1.09572
  • Compounded annual return / Expected Shortfall lognormal
    5.08265

Strategy Description

This system consists of several algorithms trading different US ETFs long only. The algorithms are uncorrelated with each other and the underlying markets. They are developed and backtested to withstand rigorous statistical tests both individually as well as a portfolio. The aim during development is the highest possible Profit Factor while keeping the performance curve as linear as possible.

MONEY & RISK MANAGEMENT:
All trades have stop losses. Not only the system as a whole but also each single algorithm is monitored weekly. Should the performance of any single algorithm start to break below the expected parameters (based on the backtests and statistical analyses) it will be removed from the system and replaced. Subscribers will always be informed of changes to the system.

Please note:
The single trades are always traded in lots of 100 (one hundred), no averaging down or pyramiding is done. Since C2 denotes all single trades that overlap in time as one and the same trade, it sometimes shows trades with rather large quantities. Thus, a trade shown by C2 to have been traded with 500 contracts, is actually 5 different trades, with different entry and exit parameters.

Please contact me for backtest and statistical data.

Summary Statistics

Strategy began
2018-03-13
Suggested Minimum Capital
$15,000
# Trades
82
# Profitable
59
% Profitable
72.0%
Net Dividends
Correlation S&P500
0.451
Sharpe Ratio
0.335

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.