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QuantAlphaMR
(68456563)

Created by: TimSimons TimSimons
Started: 11/2011
Stocks
Last trade: 11 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 $39.00 per month.

8.9%
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.

(12.2%)
Max Drawdown
4721
Num Trades
69.3%
Win Trades
1.8 : 1
Profit Factor
70.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                                                                        -  +0.9%+0.9%
2012(0.9%)+1.3%+3.3%+2.2%(5.5%)+4.7%+3.6%(0.2%)+0.1%+2.0%+3.2%+2.5%+17.1%
2013+2.5%+0.7%(0.2%)+6.0%(2.1%)+3.0%+0.5%+0.6%+2.6%+2.6%+1.0%+2.1%+20.8%
2014(0.7%)+1.2%+1.3%+2.5%+0.6%+0.8%(1.8%)+2.9%(1%)(3.2%)  -  +3.5%+5.9%
2015+2.6%+1.1%+1.9%(0.8%)+1.5%+0.6%+0.5%(0.3%)+1.5%(1.5%)+1.1%+1.5%+10.0%
2016  -  +1.4%(1.4%)+0.4%+2.1%+1.0%+0.4%(0.4%)+2.2%(1.1%)+0.6%(0.6%)+4.5%
2017+1.3%+0.6%+0.7%+0.9%+0.7%  -  +0.1%+0.6%+0.5%+0.2%+0.9%+0.9%+7.6%
2018+1.0%+1.3%(0.9%)(0.1%)+0.5%(1.2%)+2.4%+1.3%+1.2%(4.6%)+1.7%(1.3%)+1.1%
2019(2.5%)+0.3%                                                            (2.2%)

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 3,873 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/6/19 15:59 QQQ POWERSHARES QQQ SHORT 122 170.46 2/8 9:30 166.73 0.01%
Trade id #122403015
Max drawdown($19)
Time2/6/19 16:01
Quant open-122
Worst price170.62
Drawdown as % of equity-0.01%
$453
Includes Typical Broker Commissions trade costs of $2.44
2/6/19 9:30 IWM ISHARES RUSSELL 2000 INDEX SHORT 159 151.02 2/8 9:30 149.03 0.03%
Trade id #122389201
Max drawdown($55)
Time2/6/19 9:34
Quant open-159
Worst price151.37
Drawdown as % of equity-0.03%
$313
Includes Typical Broker Commissions trade costs of $3.18
1/7/19 9:30 SPY SPDR S&P 500 SHORT 834 260.62 2/8 9:30 264.20 1.97%
Trade id #121814864
Max drawdown($3,884)
Time2/5/19 15:41
Quant open-303
Worst price273.44
Drawdown as % of equity-1.97%
($3,006)
Includes Typical Broker Commissions trade costs of $16.68
1/22/19 9:30 QQQ POWERSHARES QQQ SHORT 104 164.06 2/4 13:45 169.18 0.27%
Trade id #122105211
Max drawdown($532)
Time2/4/19 13:45
Quant open0
Worst price169.18
Drawdown as % of equity-0.27%
($534)
Includes Typical Broker Commissions trade costs of $2.08
1/9/19 9:59 IWM ISHARES RUSSELL 2000 INDEX SHORT 103 142.51 2/4 11:52 150.27 0.4%
Trade id #121868745
Max drawdown($799)
Time2/4/19 11:52
Quant open0
Worst price150.27
Drawdown as % of equity-0.40%
($801)
Includes Typical Broker Commissions trade costs of $2.06
1/9/19 9:59 QQQ POWERSHARES QQQ SHORT 81 160.53 1/15 9:30 160.00 0.04%
Trade id #121868750
Max drawdown($80)
Time1/9/19 14:10
Quant open-81
Worst price161.52
Drawdown as % of equity-0.04%
$41
Includes Typical Broker Commissions trade costs of $1.62
12/26/18 9:30 PNW PINNACLE WEST CAPITAL LONG 34 85.00 1/9/19 9:30 85.37 0.04%
Trade id #121660530
Max drawdown($88)
Time1/2/19 15:41
Quant open34
Worst price82.41
Drawdown as % of equity-0.04%
$12
Includes Typical Broker Commissions trade costs of $0.68
12/26/18 9:30 O REALTY INCOME LONG 48 60.42 1/9/19 9:30 63.07 0.01%
Trade id #121660517
Max drawdown($15)
Time12/26/18 10:55
Quant open48
Worst price60.10
Drawdown as % of equity-0.01%
$126
Includes Typical Broker Commissions trade costs of $0.96
12/24/18 9:30 VTR VENTAS LONG 48 60.23 1/9/19 9:30 58.50 0.09%
Trade id #121641519
Max drawdown($178)
Time1/2/19 15:49
Quant open48
Worst price56.52
Drawdown as % of equity-0.09%
($84)
Includes Typical Broker Commissions trade costs of $0.96
12/24/18 9:30 EQR EQUITY RESIDENTIAL LONG 43 67.33 1/9/19 9:30 66.49 0.09%
Trade id #121641490
Max drawdown($178)
Time12/26/18 10:55
Quant open43
Worst price63.17
Drawdown as % of equity-0.09%
($37)
Includes Typical Broker Commissions trade costs of $0.86
12/20/18 9:30 MKC MCCORMICK LONG 20 141.39 1/9/19 9:30 140.07 0.08%
Trade id #121591807
Max drawdown($147)
Time12/26/18 10:55
Quant open20
Worst price134.02
Drawdown as % of equity-0.08%
($26)
Includes Typical Broker Commissions trade costs of $0.40
12/31/18 15:59 IWM ISHARES RUSSELL 2000 INDEX SHORT 58 133.66 1/8/19 13:55 141.59 0.23%
Trade id #121727320
Max drawdown($460)
Time1/8/19 13:55
Quant open0
Worst price141.59
Drawdown as % of equity-0.23%
($461)
Includes Typical Broker Commissions trade costs of $1.16
12/18/18 9:30 CAG CONAGRA BRANDS INC LONG 99 29.04 1/7/19 9:30 21.79 0.44%
Trade id #121548739
Max drawdown($873)
Time12/26/18 10:55
Quant open99
Worst price20.22
Drawdown as % of equity-0.44%
($720)
Includes Typical Broker Commissions trade costs of $1.98
12/18/18 9:30 TRIP TRIPADVISOR LONG 80 58.36 1/7/19 9:30 53.74 0.29%
Trade id #121548692
Max drawdown($588)
Time1/3/19 14:27
Quant open80
Worst price51.01
Drawdown as % of equity-0.29%
($372)
Includes Typical Broker Commissions trade costs of $1.60
12/17/18 9:30 WBA WALGREEN BOOTS ALLIANCE INC. LONG 36 77.92 1/7/19 9:30 69.15 0.25%
Trade id #121525290
Max drawdown($482)
Time12/26/18 10:55
Quant open36
Worst price64.51
Drawdown as % of equity-0.25%
($317)
Includes Typical Broker Commissions trade costs of $0.72
1/3/19 9:59 SPY SPDR S&P 500 SHORT 61 247.11 1/4 9:30 247.80 0.03%
Trade id #121763336
Max drawdown($65)
Time1/3/19 11:45
Quant open-61
Worst price248.18
Drawdown as % of equity-0.03%
($43)
Includes Typical Broker Commissions trade costs of $1.22
1/3/19 9:59 QQQ POWERSHARES QQQ SHORT 79 151.85 1/4 9:30 152.34 0.04%
Trade id #121763334
Max drawdown($75)
Time1/4/19 6:25
Quant open-79
Worst price152.81
Drawdown as % of equity-0.04%
($40)
Includes Typical Broker Commissions trade costs of $1.58
12/26/18 9:31 UTX UNITED TECHNOLOGIES LONG 28 102.94 1/3/19 9:30 107.58 0.04%
Trade id #121660559
Max drawdown($68)
Time12/26/18 10:55
Quant open28
Worst price100.48
Drawdown as % of equity-0.04%
$129
Includes Typical Broker Commissions trade costs of $0.56
12/17/18 9:30 SLB SCHLUMBERGER LONG 74 39.00 1/3/19 9:30 37.35 0.15%
Trade id #121525322
Max drawdown($296)
Time12/26/18 10:15
Quant open74
Worst price34.99
Drawdown as % of equity-0.15%
($123)
Includes Typical Broker Commissions trade costs of $1.48
12/24/18 9:30 COTY COTY INC LONG 470 6.15 1/3/19 9:30 6.90 0.06%
Trade id #121641462
Max drawdown($112)
Time12/26/18 10:55
Quant open470
Worst price5.91
Drawdown as % of equity-0.06%
$344
Includes Typical Broker Commissions trade costs of $9.40
12/12/18 9:31 AON AON LONG 18 157.81 1/2/19 9:31 142.97 0.21%
Trade id #121461062
Max drawdown($405)
Time12/26/18 11:04
Quant open18
Worst price135.30
Drawdown as % of equity-0.21%
($267)
Includes Typical Broker Commissions trade costs of $0.36
12/18/18 9:30 BLL BALL CORP LONG 125 46.36 1/2/19 9:31 45.20 0.26%
Trade id #121548700
Max drawdown($515)
Time12/26/18 10:21
Quant open125
Worst price42.24
Drawdown as % of equity-0.26%
($148)
Includes Typical Broker Commissions trade costs of $2.50
12/20/18 9:30 HRL HORMEL FOODS LONG 67 42.81 1/2/19 9:30 42.25 0.06%
Trade id #121591935
Max drawdown($127)
Time12/24/18 13:00
Quant open67
Worst price40.91
Drawdown as % of equity-0.06%
($39)
Includes Typical Broker Commissions trade costs of $1.34
12/20/18 9:30 CLX CLOROX LONG 18 154.03 1/2/19 9:30 152.99 0.08%
Trade id #121591902
Max drawdown($164)
Time12/26/18 10:55
Quant open18
Worst price144.88
Drawdown as % of equity-0.08%
($19)
Includes Typical Broker Commissions trade costs of $0.36
12/19/18 9:30 RSG REPUBLIC SERVICES LONG 39 73.61 1/2/19 9:30 71.37 0.09%
Trade id #121568620
Max drawdown($182)
Time12/26/18 10:17
Quant open39
Worst price68.94
Drawdown as % of equity-0.09%
($88)
Includes Typical Broker Commissions trade costs of $0.78
12/12/18 9:30 MOS MOSAIC LONG 87 32.07 1/2/19 9:30 28.66 0.26%
Trade id #121460978
Max drawdown($529)
Time12/24/18 9:14
Quant open87
Worst price25.98
Drawdown as % of equity-0.26%
($299)
Includes Typical Broker Commissions trade costs of $1.74
12/21/18 9:30 CBOE CBOE GLOBAL MARKETS INC LONG 29 96.41 1/2/19 9:30 95.94 0.13%
Trade id #121615718
Max drawdown($247)
Time12/26/18 10:18
Quant open29
Worst price87.87
Drawdown as % of equity-0.13%
($15)
Includes Typical Broker Commissions trade costs of $0.58
12/18/18 9:30 VZ VERIZON COMMUNICATIONS LONG 103 55.83 12/31 9:30 55.55 0.18%
Trade id #121548704
Max drawdown($353)
Time12/26/18 10:55
Quant open103
Worst price52.40
Drawdown as % of equity-0.18%
($31)
Includes Typical Broker Commissions trade costs of $2.06
12/18/18 9:30 ICE INTERCONTINENTALEXCHANGE LONG 37 76.84 12/31 9:30 74.72 0.13%
Trade id #121548706
Max drawdown($264)
Time12/26/18 10:55
Quant open37
Worst price69.69
Drawdown as % of equity-0.13%
($79)
Includes Typical Broker Commissions trade costs of $0.74
12/24/18 9:30 SBUX STARBUCKS LONG 94 61.41 12/31 9:30 63.77 0.06%
Trade id #121641469
Max drawdown($123)
Time12/24/18 14:17
Quant open94
Worst price60.10
Drawdown as % of equity-0.06%
$220
Includes Typical Broker Commissions trade costs of $1.88

Statistics

  • Strategy began
    11/30/2011
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2637.39
  • Age
    88 months ago
  • What it trades
    Stocks
  • # Trades
    4721
  • # Profitable
    3270
  • % Profitable
    69.30%
  • Avg trade duration
    9.6 days
  • Max peak-to-valley drawdown
    12.25%
  • drawdown period
    Sept 19, 2014 - Oct 15, 2014
  • Annual Return (Compounded)
    8.9%
  • Avg win
    $71.43
  • Avg loss
    $97.40
  • Model Account Values (Raw)
  • Cash
    $236,940
  • Margin Used
    $56,937
  • Buying Power
    $179,683
  • Ratios
  • W:L ratio
    1.75:1
  • Sharpe Ratio
    0.941
  • Sortino Ratio
    1.445
  • Calmar Ratio
    1.004
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.40700
  • Return Statistics
  • Ann Return (w trading costs)
    8.9%
  • Ann Return (Compnd, No Fees)
    10.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    6.50%
  • 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)
    49
  • Popularity (Last 6 weeks)
    802
  • 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
    $97
  • Avg Win
    $71
  • # Winners
    3270
  • # Losers
    1451
  • % Winners
    69.3%
  • Frequency
  • Avg Position Time (mins)
    13781.00
  • Avg Position Time (hrs)
    229.68
  • Avg Trade Length
    9.6 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
    0.07235
  • SD
    0.07211
  • Sharpe ratio (Glass type estimate)
    1.00344
  • Sharpe ratio (Hedges UMVUE)
    0.99445
  • df
    84.00000
  • t
    2.67061
  • p
    0.00454
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24874
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.75243
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24283
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.74608
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.70402
  • Upside Potential Ratio
    2.99799
  • Upside part of mean
    0.12730
  • Downside part of mean
    -0.05494
  • Upside SD
    0.06141
  • Downside SD
    0.04246
  • N nonnegative terms
    55.00000
  • N negative terms
    30.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    85.00000
  • Mean of predictor
    0.08756
  • Mean of criterion
    0.07235
  • SD of predictor
    0.11807
  • SD of criterion
    0.07211
  • Covariance
    0.00352
  • r
    0.41393
  • b (slope, estimate of beta)
    0.25278
  • a (intercept, estimate of alpha)
    0.05022
  • Mean Square Error
    0.00436
  • DF error
    83.00000
  • t(b)
    4.14264
  • p(b)
    0.00004
  • t(a)
    1.97880
  • p(a)
    0.02558
  • Lowerbound of 95% confidence interval for beta
    0.13141
  • Upperbound of 95% confidence interval for beta
    0.37414
  • Lowerbound of 95% confidence interval for alpha
    -0.00026
  • Upperbound of 95% confidence interval for alpha
    0.10070
  • Treynor index (mean / b)
    0.28623
  • Jensen alpha (a)
    0.05022
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06943
  • SD
    0.07182
  • Sharpe ratio (Glass type estimate)
    0.96676
  • Sharpe ratio (Hedges UMVUE)
    0.95810
  • df
    84.00000
  • t
    2.57299
  • p
    0.00592
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.21325
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.71476
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.20756
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.70865
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.59899
  • Upside Potential Ratio
    2.88278
  • Upside part of mean
    0.12517
  • Downside part of mean
    -0.05574
  • Upside SD
    0.06011
  • Downside SD
    0.04342
  • N nonnegative terms
    55.00000
  • N negative terms
    30.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    85.00000
  • Mean of predictor
    0.08016
  • Mean of criterion
    0.06943
  • SD of predictor
    0.11849
  • SD of criterion
    0.07182
  • Covariance
    0.00362
  • r
    0.42543
  • b (slope, estimate of beta)
    0.25785
  • a (intercept, estimate of alpha)
    0.04876
  • Mean Square Error
    0.00427
  • DF error
    83.00000
  • t(b)
    4.28273
  • p(b)
    0.00002
  • t(a)
    1.94751
  • p(a)
    0.02743
  • Lowerbound of 95% confidence interval for beta
    0.13810
  • Upperbound of 95% confidence interval for beta
    0.37760
  • Lowerbound of 95% confidence interval for alpha
    -0.00104
  • Upperbound of 95% confidence interval for alpha
    0.09855
  • Treynor index (mean / b)
    0.26926
  • Jensen alpha (a)
    0.04876
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02792
  • Expected Shortfall on VaR
    0.03627
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00805
  • Expected Shortfall on VaR
    0.01843
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    85.00000
  • Minimum
    0.93499
  • Quartile 1
    1.00022
  • Median
    1.00687
  • Quartile 3
    1.01778
  • Maximum
    1.06396
  • Mean of quarter 1
    0.98505
  • Mean of quarter 2
    1.00384
  • Mean of quarter 3
    1.01129
  • Mean of quarter 4
    1.03437
  • Inter Quartile Range
    0.01755
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.03529
  • Mean of outliers low
    0.94726
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.05882
  • Mean of outliers high
    1.05285
  • 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)
    0.31541
  • VaR(95%) (regression method)
    0.01616
  • Expected Shortfall (regression method)
    0.03492
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00183
  • Quartile 1
    0.00380
  • Median
    0.00822
  • Quartile 3
    0.02817
  • Maximum
    0.06501
  • Mean of quarter 1
    0.00260
  • Mean of quarter 2
    0.00507
  • Mean of quarter 3
    0.01722
  • Mean of quarter 4
    0.04902
  • Inter Quartile Range
    0.02437
  • 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
    0.06250
  • Mean of outliers high
    0.06501
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.50803
  • VaR(95%) (moments method)
    0.05508
  • Expected Shortfall (moments method)
    0.06113
  • Extreme Value Index (regression method)
    0.23351
  • VaR(95%) (regression method)
    0.05876
  • Expected Shortfall (regression method)
    0.07972
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.14014
  • Compounded annual return (geometric extrapolation)
    0.10223
  • Calmar ratio (compounded annual return / max draw down)
    1.57251
  • Compounded annual return / average of 25% largest draw downs
    2.08527
  • Compounded annual return / Expected Shortfall lognormal
    2.81833
  • 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
    0.07118
  • SD
    0.07562
  • Sharpe ratio (Glass type estimate)
    0.94125
  • Sharpe ratio (Hedges UMVUE)
    0.94088
  • df
    1868.00000
  • t
    2.51397
  • p
    0.47097
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.20670
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.67560
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.20643
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.67532
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.44502
  • Upside Potential Ratio
    6.77048
  • Upside part of mean
    0.33350
  • Downside part of mean
    -0.26232
  • Upside SD
    0.05752
  • Downside SD
    0.04926
  • N nonnegative terms
    889.00000
  • N negative terms
    980.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1869.00000
  • Mean of predictor
    0.09283
  • Mean of criterion
    0.07118
  • SD of predictor
    0.13065
  • SD of criterion
    0.07562
  • Covariance
    0.00405
  • r
    0.41027
  • b (slope, estimate of beta)
    0.23747
  • a (intercept, estimate of alpha)
    0.04900
  • Mean Square Error
    0.00476
  • DF error
    1867.00000
  • t(b)
    19.43870
  • p(b)
    0.24634
  • t(a)
    1.90062
  • p(a)
    0.47203
  • Lowerbound of 95% confidence interval for beta
    0.21351
  • Upperbound of 95% confidence interval for beta
    0.26143
  • Lowerbound of 95% confidence interval for alpha
    -0.00157
  • Upperbound of 95% confidence interval for alpha
    0.09984
  • Treynor index (mean / b)
    0.29974
  • Jensen alpha (a)
    0.04914
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06831
  • SD
    0.07561
  • Sharpe ratio (Glass type estimate)
    0.90339
  • Sharpe ratio (Hedges UMVUE)
    0.90302
  • df
    1868.00000
  • t
    2.41284
  • p
    0.47213
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16889
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.63769
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.16863
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.63742
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.37193
  • Upside Potential Ratio
    6.66487
  • Upside part of mean
    0.33183
  • Downside part of mean
    -0.26353
  • Upside SD
    0.05703
  • Downside SD
    0.04979
  • N nonnegative terms
    889.00000
  • N negative terms
    980.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1869.00000
  • Mean of predictor
    0.08426
  • Mean of criterion
    0.06831
  • SD of predictor
    0.13078
  • SD of criterion
    0.07561
  • Covariance
    0.00407
  • r
    0.41113
  • b (slope, estimate of beta)
    0.23769
  • a (intercept, estimate of alpha)
    0.04828
  • Mean Square Error
    0.00475
  • DF error
    1867.00000
  • t(b)
    19.48750
  • p(b)
    0.24584
  • t(a)
    1.86880
  • p(a)
    0.47250
  • Lowerbound of 95% confidence interval for beta
    0.21377
  • Upperbound of 95% confidence interval for beta
    0.26161
  • Lowerbound of 95% confidence interval for alpha
    -0.00239
  • Upperbound of 95% confidence interval for alpha
    0.09894
  • Treynor index (mean / b)
    0.28737
  • Jensen alpha (a)
    0.04828
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00740
  • Expected Shortfall on VaR
    0.00933
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00231
  • Expected Shortfall on VaR
    0.00512
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1869.00000
  • Minimum
    0.95130
  • Quartile 1
    0.99939
  • Median
    1.00007
  • Quartile 3
    1.00099
  • Maximum
    1.03451
  • Mean of quarter 1
    0.99642
  • Mean of quarter 2
    0.99980
  • Mean of quarter 3
    1.00041
  • Mean of quarter 4
    1.00490
  • Inter Quartile Range
    0.00160
  • Number outliers low
    154.00000
  • Percentage of outliers low
    0.08240
  • Mean of outliers low
    0.99207
  • Number of outliers high
    205.00000
  • Percentage of outliers high
    0.10968
  • Mean of outliers high
    1.00877
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.67830
  • VaR(95%) (moments method)
    0.00345
  • Expected Shortfall (moments method)
    0.01198
  • Extreme Value Index (regression method)
    0.33714
  • VaR(95%) (regression method)
    0.00296
  • Expected Shortfall (regression method)
    0.00566
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    152.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00059
  • Median
    0.00257
  • Quartile 3
    0.00792
  • Maximum
    0.10060
  • Mean of quarter 1
    0.00024
  • Mean of quarter 2
    0.00146
  • Mean of quarter 3
    0.00447
  • Mean of quarter 4
    0.02480
  • Inter Quartile Range
    0.00733
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.11184
  • Mean of outliers high
    0.04097
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.56376
  • VaR(95%) (moments method)
    0.02600
  • Expected Shortfall (moments method)
    0.06535
  • Extreme Value Index (regression method)
    0.49200
  • VaR(95%) (regression method)
    0.02559
  • Expected Shortfall (regression method)
    0.05675
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13828
  • Compounded annual return (geometric extrapolation)
    0.10099
  • Calmar ratio (compounded annual return / max draw down)
    1.00385
  • Compounded annual return / average of 25% largest draw downs
    4.07164
  • Compounded annual return / Expected Shortfall lognormal
    10.82520
  • 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
    -0.10423
  • SD
    0.09610
  • Sharpe ratio (Glass type estimate)
    -1.08458
  • Sharpe ratio (Hedges UMVUE)
    -1.07831
  • df
    130.00000
  • t
    -0.76692
  • p
    0.53356
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.85747
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.69241
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.85322
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.69659
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.41014
  • Upside Potential Ratio
    4.55875
  • Upside part of mean
    0.33695
  • Downside part of mean
    -0.44117
  • Upside SD
    0.06118
  • Downside SD
    0.07391
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.04035
  • Mean of criterion
    -0.10423
  • SD of predictor
    0.19124
  • SD of criterion
    0.09610
  • Covariance
    0.00608
  • r
    0.33070
  • b (slope, estimate of beta)
    0.16618
  • a (intercept, estimate of alpha)
    -0.09752
  • Mean Square Error
    0.00829
  • DF error
    129.00000
  • t(b)
    3.97994
  • p(b)
    0.29337
  • t(a)
    -0.75737
  • p(a)
    0.54233
  • Lowerbound of 95% confidence interval for beta
    0.08357
  • Upperbound of 95% confidence interval for beta
    0.24879
  • Lowerbound of 95% confidence interval for alpha
    -0.35229
  • Upperbound of 95% confidence interval for alpha
    0.15724
  • Treynor index (mean / b)
    -0.62721
  • Jensen alpha (a)
    -0.09752
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.10884
  • SD
    0.09636
  • Sharpe ratio (Glass type estimate)
    -1.12948
  • Sharpe ratio (Hedges UMVUE)
    -1.12295
  • df
    130.00000
  • t
    -0.79866
  • p
    0.53494
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.90263
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.64778
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.89811
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.65222
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.45670
  • Upside Potential Ratio
    4.48458
  • Upside part of mean
    0.33506
  • Downside part of mean
    -0.44390
  • Upside SD
    0.06064
  • Downside SD
    0.07471
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.05849
  • Mean of criterion
    -0.10884
  • SD of predictor
    0.19123
  • SD of criterion
    0.09636
  • Covariance
    0.00615
  • r
    0.33379
  • b (slope, estimate of beta)
    0.16819
  • a (intercept, estimate of alpha)
    -0.09900
  • Mean Square Error
    0.00831
  • DF error
    129.00000
  • t(b)
    4.02177
  • p(b)
    0.29152
  • t(a)
    -0.76756
  • p(a)
    0.54289
  • Lowerbound of 95% confidence interval for beta
    0.08545
  • Upperbound of 95% confidence interval for beta
    0.25094
  • Lowerbound of 95% confidence interval for alpha
    -0.35419
  • Upperbound of 95% confidence interval for alpha
    0.15619
  • Treynor index (mean / b)
    -0.64709
  • Jensen alpha (a)
    -0.09900
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01016
  • Expected Shortfall on VaR
    0.01261
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00415
  • Expected Shortfall on VaR
    0.00885
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96637
  • Quartile 1
    0.99887
  • Median
    1.00000
  • Quartile 3
    1.00096
  • Maximum
    1.02430
  • Mean of quarter 1
    0.99400
  • Mean of quarter 2
    0.99954
  • Mean of quarter 3
    1.00033
  • Mean of quarter 4
    1.00498
  • Inter Quartile Range
    0.00210
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.10687
  • Mean of outliers low
    0.98868
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.01175
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.80112
  • VaR(95%) (moments method)
    0.00575
  • Expected Shortfall (moments method)
    0.03138
  • Extreme Value Index (regression method)
    0.67829
  • VaR(95%) (regression method)
    0.00605
  • Expected Shortfall (regression method)
    0.02152
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00007
  • Median
    0.00017
  • Quartile 3
    0.00388
  • Maximum
    0.07050
  • Mean of quarter 1
    0.00007
  • Mean of quarter 2
    0.00017
  • Mean of quarter 3
    0.00388
  • Mean of quarter 4
    0.07050
  • Inter Quartile Range
    0.00381
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.07050
  • 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)
    -0.07931
  • Compounded annual return (geometric extrapolation)
    -0.07774
  • Calmar ratio (compounded annual return / max draw down)
    -1.10274
  • Compounded annual return / average of 25% largest draw downs
    -1.10274
  • Compounded annual return / Expected Shortfall lognormal
    -6.16388

Strategy Description

https://docs.google.com/file/d/0Byt-k9n1svqgaGNoeV9XZ3ZFVnM/edit?usp=sharing

Summary Statistics

Strategy began
2011-11-30
Suggested Minimum Capital
$35,000
# Trades
4721
# Profitable
3270
% Profitable
69.3%
Net Dividends
Correlation S&P500
0.407
Sharpe Ratio
0.941

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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