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QuantAlphaMR
(68456563)

Created by: TimSimons TimSimons
Started: 11/2011
Stocks
Last trade: 14 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.

9.6%
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
4692
Num Trades
69.4%
Win Trades
1.8 : 1
Profit Factor
70.9%
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%(0.4%)+2.1%

Model Account Details

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

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

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 3,796 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/16/18 9:30 WMT WALMART INC LONG 29 98.79 12/4 9:30 98.25 0.08%
Trade id #121001226
Max drawdown($158)
Time11/21/18 10:49
Quant open29
Worst price93.31
Drawdown as % of equity-0.08%
($17)
Includes Typical Broker Commissions trade costs of $0.58
11/20/18 9:30 DISCA DISCOVERY COMMUNICATIONS LONG 95 30.08 12/3 9:31 30.59 0.04%
Trade id #121070995
Max drawdown($91)
Time11/20/18 10:16
Quant open95
Worst price29.12
Drawdown as % of equity-0.04%
$46
Includes Typical Broker Commissions trade costs of $1.90
11/15/18 9:30 ROST ROSS STORES LONG 29 96.92 12/3 9:30 88.33 0.24%
Trade id #120963795
Max drawdown($496)
Time11/23/18 12:01
Quant open29
Worst price79.80
Drawdown as % of equity-0.24%
($250)
Includes Typical Broker Commissions trade costs of $0.58
11/21/18 9:30 ESRX EXPRESS SCRIPTS LONG 30 95.05 11/27 9:30 99.09 0.03%
Trade id #121094124
Max drawdown($63)
Time11/23/18 9:31
Quant open30
Worst price92.95
Drawdown as % of equity-0.03%
$120
Includes Typical Broker Commissions trade costs of $0.60
11/21/18 9:30 CI CIGNA LONG 13 207.24 11/27 9:30 215.85 0%
Trade id #121094132
Max drawdown($0)
Time11/23/18 9:34
Quant open13
Worst price207.19
Drawdown as % of equity-0.00%
$112
Includes Typical Broker Commissions trade costs of $0.26
10/12/18 9:30 PFE PFIZER LONG 67 42.77 11/20 9:30 44.13 0.43%
Trade id #120320315
Max drawdown($868)
Time10/31/18 13:29
Quant open67
Worst price29.81
Drawdown as % of equity-0.43%
$90
Includes Typical Broker Commissions trade costs of $1.34
11/5/18 9:30 QQQ POWERSHARES QQQ SHORT 83 169.60 11/13 9:30 167.11 0.25%
Trade id #120726122
Max drawdown($513)
Time11/7/18 16:13
Quant open-83
Worst price175.79
Drawdown as % of equity-0.25%
$205
Includes Typical Broker Commissions trade costs of $1.66
10/8/18 9:31 TGT TARGET LONG 34 84.40 11/13 9:30 85.62 0.06%
Trade id #120229761
Max drawdown($127)
Time10/18/18 10:08
Quant open34
Worst price80.65
Drawdown as % of equity-0.06%
$40
Includes Typical Broker Commissions trade costs of $0.68
10/3/18 9:30 HD HOME DEPOT LONG 28 202.46 11/13 9:30 177.00 0.46%
Trade id #120157819
Max drawdown($883)
Time10/26/18 11:18
Quant open28
Worst price170.91
Drawdown as % of equity-0.46%
($714)
Includes Typical Broker Commissions trade costs of $0.56
11/5/18 9:30 SPY SPDR S&P 500 SHORT 76 272.48 11/13 9:30 273.06 0.33%
Trade id #120726236
Max drawdown($672)
Time11/7/18 16:13
Quant open-76
Worst price281.33
Drawdown as % of equity-0.33%
($46)
Includes Typical Broker Commissions trade costs of $1.52
11/5/18 9:30 IWM ISHARES RUSSELL 2000 INDEX SHORT 114 154.04 11/12 9:30 154.03 0.22%
Trade id #120726238
Max drawdown($440)
Time11/8/18 12:21
Quant open-114
Worst price157.90
Drawdown as % of equity-0.22%
($1)
Includes Typical Broker Commissions trade costs of $2.28
10/2/18 9:30 MHK MOHAWK INDUSTRIES LONG 16 173.20 11/9 9:30 127.16 0.49%
Trade id #120133302
Max drawdown($956)
Time10/26/18 15:30
Quant open16
Worst price113.45
Drawdown as % of equity-0.49%
($737)
Includes Typical Broker Commissions trade costs of $0.32
10/25/18 9:31 IQV IQVIA HOLDINGS INC LONG 25 116.28 11/8 9:30 125.91 0.01%
Trade id #120535850
Max drawdown($10)
Time10/25/18 9:33
Quant open25
Worst price115.87
Drawdown as % of equity-0.01%
$241
Includes Typical Broker Commissions trade costs of $0.50
10/25/18 9:30 PGR PROGRESSIVE LONG 42 68.12 11/6 9:30 69.62 0.01%
Trade id #120535698
Max drawdown($26)
Time10/26/18 11:00
Quant open42
Worst price67.48
Drawdown as % of equity-0.01%
$62
Includes Typical Broker Commissions trade costs of $0.84
10/19/18 9:30 HP HELMERICH & PAYNE LONG 43 66.70 11/6 9:30 63.92 0.15%
Trade id #120437919
Max drawdown($291)
Time10/30/18 9:17
Quant open43
Worst price59.92
Drawdown as % of equity-0.15%
($121)
Includes Typical Broker Commissions trade costs of $0.86
10/11/18 9:30 HON HONEYWELL INTERNATIONAL LONG 18 156.40 11/5 9:31 145.59 0.16%
Trade id #120296554
Max drawdown($307)
Time10/29/18 15:45
Quant open18
Worst price139.30
Drawdown as % of equity-0.16%
($195)
Includes Typical Broker Commissions trade costs of $0.36
10/3/18 9:30 FTV FORTIVE CORP LONG 34 84.35 11/5 9:30 74.98 0.26%
Trade id #120157748
Max drawdown($516)
Time10/26/18 9:34
Quant open34
Worst price69.16
Drawdown as % of equity-0.26%
($320)
Includes Typical Broker Commissions trade costs of $0.68
10/22/18 9:30 DWDP DOWDUPONT LONG 50 57.78 11/2 9:31 58.68 0.17%
Trade id #120466117
Max drawdown($333)
Time10/30/18 8:07
Quant open50
Worst price51.11
Drawdown as % of equity-0.17%
$44
Includes Typical Broker Commissions trade costs of $1.00
9/27/18 9:30 LEG LEGGETT & PLATT LONG 140 41.21 11/2 9:31 38.24 0.52%
Trade id #120062554
Max drawdown($999)
Time10/29/18 15:46
Quant open140
Worst price34.07
Drawdown as % of equity-0.52%
($418)
Includes Typical Broker Commissions trade costs of $2.80
10/9/18 9:30 AME AMETEK LONG 37 77.80 11/2 9:30 72.53 0.25%
Trade id #120250943
Max drawdown($476)
Time10/29/18 15:45
Quant open37
Worst price64.91
Drawdown as % of equity-0.25%
($196)
Includes Typical Broker Commissions trade costs of $0.74
10/25/18 9:30 EMN EASTMAN CHEMICAL LONG 38 76.35 11/2 9:30 82.44 0.06%
Trade id #120535633
Max drawdown($112)
Time10/26/18 9:26
Quant open38
Worst price73.39
Drawdown as % of equity-0.06%
$230
Includes Typical Broker Commissions trade costs of $0.76
10/9/18 9:30 XYL XYLEM LONG 37 77.54 11/2 9:30 69.44 0.26%
Trade id #120250834
Max drawdown($511)
Time10/30/18 14:12
Quant open37
Worst price63.71
Drawdown as % of equity-0.26%
($301)
Includes Typical Broker Commissions trade costs of $0.74
10/23/18 9:32 AMG AFFILIATED MANAGERS GROUP LONG 24 117.59 11/2 9:30 119.37 0.09%
Trade id #120485438
Max drawdown($175)
Time10/29/18 15:45
Quant open24
Worst price110.27
Drawdown as % of equity-0.09%
$43
Includes Typical Broker Commissions trade costs of $0.48
10/23/18 9:30 NWL NEWELL BRANDS INC LONG 177 16.15 11/2 9:30 18.06 0.09%
Trade id #120485253
Max drawdown($183)
Time10/29/18 15:46
Quant open177
Worst price15.12
Drawdown as % of equity-0.09%
$334
Includes Typical Broker Commissions trade costs of $3.54
10/25/18 9:30 MYL MYLAN N.V. ORDINARY SHARES LONG 94 30.54 11/2 9:30 32.56 0.01%
Trade id #120535669
Max drawdown($21)
Time10/26/18 8:40
Quant open94
Worst price30.31
Drawdown as % of equity-0.01%
$188
Includes Typical Broker Commissions trade costs of $1.88
10/9/18 9:30 AMD ADVANCED MICRO DEVICES INC. C LONG 225 25.43 11/2 9:30 24.62 0.52%
Trade id #120250858
Max drawdown($1,009)
Time10/30/18 9:31
Quant open109
Worst price16.17
Drawdown as % of equity-0.52%
($188)
Includes Typical Broker Commissions trade costs of $4.50
10/4/18 9:30 LOW LOWE'S COMPANIES LONG 51 110.61 11/2 9:30 98.42 0.73%
Trade id #120180265
Max drawdown($1,493)
Time11/1/18 11:48
Quant open51
Worst price81.33
Drawdown as % of equity-0.73%
($623)
Includes Typical Broker Commissions trade costs of $1.02
10/19/18 9:30 FBHS FORTUNE BRANDS HOME LONG 62 46.73 11/2 9:30 47.27 0.19%
Trade id #120437891
Max drawdown($362)
Time10/29/18 15:45
Quant open62
Worst price40.89
Drawdown as % of equity-0.19%
$32
Includes Typical Broker Commissions trade costs of $1.24
10/11/18 9:31 FLS FLOWSERVE LONG 114 50.38 11/2 9:30 46.98 0.4%
Trade id #120296646
Max drawdown($771)
Time10/29/18 15:45
Quant open114
Worst price43.61
Drawdown as % of equity-0.40%
($389)
Includes Typical Broker Commissions trade costs of $2.28
10/10/18 9:30 RCL ROYAL CARIBBEAN CRUISES LONG 23 122.74 11/2 9:30 108.95 0.3%
Trade id #120272056
Max drawdown($580)
Time10/29/18 15:46
Quant open23
Worst price97.48
Drawdown as % of equity-0.30%
($317)
Includes Typical Broker Commissions trade costs of $0.46

Statistics

  • Strategy began
    11/30/2011
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2575.31
  • Age
    86 months ago
  • What it trades
    Stocks
  • # Trades
    4692
  • # Profitable
    3257
  • % Profitable
    69.40%
  • Avg trade duration
    9.5 days
  • Max peak-to-valley drawdown
    12.25%
  • drawdown period
    Sept 19, 2014 - Oct 15, 2014
  • Annual Return (Compounded)
    9.6%
  • Avg win
    $71.01
  • Avg loss
    $92.75
  • Model Account Values (Raw)
  • Cash
    $183,655
  • Margin Used
    $0
  • Buying Power
    $181,887
  • Ratios
  • W:L ratio
    1.84:1
  • Sharpe Ratio
    1.025
  • Sortino Ratio
    1.584
  • Calmar Ratio
    1.074
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.42400
  • Return Statistics
  • Ann Return (w trading costs)
    9.6%
  • Ann Return (Compnd, No Fees)
    10.7%
  • 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)
    0
  • Popularity (Last 6 weeks)
    932
  • 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
    $93
  • Avg Win
    $71
  • # Winners
    3257
  • # Losers
    1435
  • % Winners
    69.4%
  • Frequency
  • Avg Position Time (mins)
    13716.40
  • Avg Position Time (hrs)
    228.61
  • Avg Trade Length
    9.5 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07861
  • SD
    0.07200
  • Sharpe ratio (Glass type estimate)
    1.09173
  • Sharpe ratio (Hedges UMVUE)
    1.08172
  • df
    82.00000
  • t
    2.87121
  • p
    0.00260
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.32487
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.85226
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.31830
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.84513
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.86603
  • Upside Potential Ratio
    3.09464
  • Upside part of mean
    0.13036
  • Downside part of mean
    -0.05176
  • Upside SD
    0.06215
  • Downside SD
    0.04213
  • N nonnegative terms
    55.00000
  • N negative terms
    28.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    83.00000
  • Mean of predictor
    0.08957
  • Mean of criterion
    0.07861
  • SD of predictor
    0.11216
  • SD of criterion
    0.07200
  • Covariance
    0.00361
  • r
    0.44751
  • b (slope, estimate of beta)
    0.28727
  • a (intercept, estimate of alpha)
    0.05288
  • Mean Square Error
    0.00420
  • DF error
    81.00000
  • t(b)
    4.50367
  • p(b)
    0.00001
  • t(a)
    2.09094
  • p(a)
    0.01983
  • Lowerbound of 95% confidence interval for beta
    0.16036
  • Upperbound of 95% confidence interval for beta
    0.41419
  • Lowerbound of 95% confidence interval for alpha
    0.00256
  • Upperbound of 95% confidence interval for alpha
    0.10319
  • Treynor index (mean / b)
    0.27363
  • Jensen alpha (a)
    0.05288
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07564
  • SD
    0.07172
  • Sharpe ratio (Glass type estimate)
    1.05464
  • Sharpe ratio (Hedges UMVUE)
    1.04497
  • df
    82.00000
  • t
    2.77366
  • p
    0.00343
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.28911
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.81406
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28275
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.80718
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.75469
  • Upside Potential Ratio
    2.97376
  • Upside part of mean
    0.12819
  • Downside part of mean
    -0.05255
  • Upside SD
    0.06083
  • Downside SD
    0.04311
  • N nonnegative terms
    55.00000
  • N negative terms
    28.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    83.00000
  • Mean of predictor
    0.08283
  • Mean of criterion
    0.07564
  • SD of predictor
    0.11257
  • SD of criterion
    0.07172
  • Covariance
    0.00370
  • r
    0.45814
  • b (slope, estimate of beta)
    0.29188
  • a (intercept, estimate of alpha)
    0.05146
  • Mean Square Error
    0.00411
  • DF error
    81.00000
  • t(b)
    4.63871
  • p(b)
    0.00001
  • t(a)
    2.06345
  • p(a)
    0.02114
  • Lowerbound of 95% confidence interval for beta
    0.16668
  • Upperbound of 95% confidence interval for beta
    0.41707
  • Lowerbound of 95% confidence interval for alpha
    0.00184
  • Upperbound of 95% confidence interval for alpha
    0.10108
  • Treynor index (mean / b)
    0.25914
  • Jensen alpha (a)
    0.05146
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02737
  • Expected Shortfall on VaR
    0.03572
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00728
  • Expected Shortfall on VaR
    0.01705
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    83.00000
  • Minimum
    0.93499
  • Quartile 1
    1.00032
  • Median
    1.00694
  • Quartile 3
    1.01895
  • Maximum
    1.06396
  • Mean of quarter 1
    0.98561
  • Mean of quarter 2
    1.00416
  • Mean of quarter 3
    1.01151
  • Mean of quarter 4
    1.03437
  • Inter Quartile Range
    0.01864
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.03614
  • Mean of outliers low
    0.94726
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.04819
  • Mean of outliers high
    1.05483
  • 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)
    0.37978
  • VaR(95%) (regression method)
    0.01438
  • Expected Shortfall (regression method)
    0.03438
  • 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)
    0.15132
  • Compounded annual return (geometric extrapolation)
    0.10909
  • Calmar ratio (compounded annual return / max draw down)
    1.67811
  • Compounded annual return / average of 25% largest draw downs
    2.22530
  • Compounded annual return / Expected Shortfall lognormal
    3.05426
  • 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
    0.07757
  • SD
    0.07562
  • Sharpe ratio (Glass type estimate)
    1.02585
  • Sharpe ratio (Hedges UMVUE)
    1.02543
  • df
    1826.00000
  • t
    2.70897
  • p
    0.46837
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.28276
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76868
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28247
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.76839
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.58435
  • Upside Potential Ratio
    6.82780
  • Upside part of mean
    0.33429
  • Downside part of mean
    -0.25672
  • Upside SD
    0.05780
  • Downside SD
    0.04896
  • N nonnegative terms
    873.00000
  • N negative terms
    954.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1827.00000
  • Mean of predictor
    0.08268
  • Mean of criterion
    0.07757
  • SD of predictor
    0.12792
  • SD of criterion
    0.07562
  • Covariance
    0.00412
  • r
    0.42561
  • b (slope, estimate of beta)
    0.25157
  • a (intercept, estimate of alpha)
    0.05700
  • Mean Square Error
    0.00468
  • DF error
    1825.00000
  • t(b)
    20.09250
  • p(b)
    0.23747
  • t(a)
    2.18856
  • p(a)
    0.46744
  • Lowerbound of 95% confidence interval for beta
    0.22702
  • Upperbound of 95% confidence interval for beta
    0.27613
  • Lowerbound of 95% confidence interval for alpha
    0.00590
  • Upperbound of 95% confidence interval for alpha
    0.10764
  • Treynor index (mean / b)
    0.30834
  • Jensen alpha (a)
    0.05677
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07469
  • SD
    0.07560
  • Sharpe ratio (Glass type estimate)
    0.98801
  • Sharpe ratio (Hedges UMVUE)
    0.98760
  • df
    1826.00000
  • t
    2.60904
  • p
    0.46953
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24498
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.73080
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24470
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.73051
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.50908
  • Upside Potential Ratio
    6.71970
  • Upside part of mean
    0.33260
  • Downside part of mean
    -0.25791
  • Upside SD
    0.05730
  • Downside SD
    0.04950
  • N nonnegative terms
    873.00000
  • N negative terms
    954.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1827.00000
  • Mean of predictor
    0.07447
  • Mean of criterion
    0.07469
  • SD of predictor
    0.12812
  • SD of criterion
    0.07560
  • Covariance
    0.00413
  • r
    0.42611
  • b (slope, estimate of beta)
    0.25144
  • a (intercept, estimate of alpha)
    0.05597
  • Mean Square Error
    0.00468
  • DF error
    1825.00000
  • t(b)
    20.12170
  • p(b)
    0.23718
  • t(a)
    2.15904
  • p(a)
    0.46788
  • Lowerbound of 95% confidence interval for beta
    0.22694
  • Upperbound of 95% confidence interval for beta
    0.27595
  • Lowerbound of 95% confidence interval for alpha
    0.00513
  • Upperbound of 95% confidence interval for alpha
    0.10681
  • Treynor index (mean / b)
    0.29706
  • Jensen alpha (a)
    0.05597
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00737
  • Expected Shortfall on VaR
    0.00930
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00225
  • Expected Shortfall on VaR
    0.00501
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1827.00000
  • Minimum
    0.95130
  • Quartile 1
    0.99941
  • Median
    1.00007
  • Quartile 3
    1.00099
  • Maximum
    1.03451
  • Mean of quarter 1
    0.99649
  • Mean of quarter 2
    0.99981
  • Mean of quarter 3
    1.00041
  • Mean of quarter 4
    1.00490
  • Inter Quartile Range
    0.00158
  • Number outliers low
    146.00000
  • Percentage of outliers low
    0.07991
  • Mean of outliers low
    0.99205
  • Number of outliers high
    202.00000
  • Percentage of outliers high
    0.11056
  • Mean of outliers high
    1.00875
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.67127
  • VaR(95%) (moments method)
    0.00337
  • Expected Shortfall (moments method)
    0.01150
  • Extreme Value Index (regression method)
    0.31521
  • VaR(95%) (regression method)
    0.00290
  • Expected Shortfall (regression method)
    0.00542
  • 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)
    0.14988
  • Compounded annual return (geometric extrapolation)
    0.10805
  • Calmar ratio (compounded annual return / max draw down)
    1.07400
  • Compounded annual return / average of 25% largest draw downs
    4.35615
  • Compounded annual return / Expected Shortfall lognormal
    11.61320
  • 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
    -0.01824
  • SD
    0.09354
  • Sharpe ratio (Glass type estimate)
    -0.19500
  • Sharpe ratio (Hedges UMVUE)
    -0.19387
  • df
    130.00000
  • t
    -0.13789
  • p
    0.50605
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.96655
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.57727
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.96578
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.57803
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.26099
  • Upside Potential Ratio
    5.02117
  • Upside part of mean
    0.35093
  • Downside part of mean
    -0.36917
  • Upside SD
    0.06164
  • Downside SD
    0.06989
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.18747
  • Mean of criterion
    -0.01824
  • SD of predictor
    0.15311
  • SD of criterion
    0.09354
  • Covariance
    0.00613
  • r
    0.42806
  • b (slope, estimate of beta)
    0.26152
  • a (intercept, estimate of alpha)
    0.03079
  • Mean Square Error
    0.00720
  • DF error
    129.00000
  • t(b)
    5.37956
  • p(b)
    0.23606
  • t(a)
    0.25577
  • p(a)
    0.48567
  • Lowerbound of 95% confidence interval for beta
    0.16534
  • Upperbound of 95% confidence interval for beta
    0.35771
  • Lowerbound of 95% confidence interval for alpha
    -0.20736
  • Upperbound of 95% confidence interval for alpha
    0.26893
  • Treynor index (mean / b)
    -0.06975
  • Jensen alpha (a)
    0.03079
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02260
  • SD
    0.09379
  • Sharpe ratio (Glass type estimate)
    -0.24093
  • Sharpe ratio (Hedges UMVUE)
    -0.23953
  • df
    130.00000
  • t
    -0.17036
  • p
    0.50747
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.01253
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.53140
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.01149
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.53242
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.31964
  • Upside Potential Ratio
    4.93714
  • Upside part of mean
    0.34902
  • Downside part of mean
    -0.37161
  • Upside SD
    0.06110
  • Downside SD
    0.07069
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.19922
  • Mean of criterion
    -0.02260
  • SD of predictor
    0.15382
  • SD of criterion
    0.09379
  • Covariance
    0.00619
  • r
    0.42876
  • b (slope, estimate of beta)
    0.26143
  • a (intercept, estimate of alpha)
    0.02949
  • Mean Square Error
    0.00723
  • DF error
    129.00000
  • t(b)
    5.39040
  • p(b)
    0.23565
  • t(a)
    0.24434
  • p(a)
    0.48631
  • Lowerbound of 95% confidence interval for beta
    0.16547
  • Upperbound of 95% confidence interval for beta
    0.35739
  • Lowerbound of 95% confidence interval for alpha
    -0.20928
  • Upperbound of 95% confidence interval for alpha
    0.26825
  • Treynor index (mean / b)
    -0.08643
  • Jensen alpha (a)
    0.02949
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00957
  • Expected Shortfall on VaR
    0.01196
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00336
  • Expected Shortfall on VaR
    0.00741
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96637
  • Quartile 1
    0.99949
  • Median
    1.00007
  • Quartile 3
    1.00110
  • Maximum
    1.02430
  • Mean of quarter 1
    0.99479
  • Mean of quarter 2
    0.99984
  • Mean of quarter 3
    1.00044
  • Mean of quarter 4
    1.00510
  • Inter Quartile Range
    0.00161
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.98855
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09924
  • Mean of outliers high
    1.00989
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.85659
  • VaR(95%) (moments method)
    0.00480
  • Expected Shortfall (moments method)
    0.03635
  • Extreme Value Index (regression method)
    0.87474
  • VaR(95%) (regression method)
    0.00376
  • Expected Shortfall (regression method)
    0.02997
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00020
  • Median
    0.00057
  • Quartile 3
    0.00309
  • Maximum
    0.07050
  • Mean of quarter 1
    0.00011
  • Mean of quarter 2
    0.00042
  • Mean of quarter 3
    0.00228
  • Mean of quarter 4
    0.03182
  • Inter Quartile Range
    0.00289
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.18182
  • Mean of outliers high
    0.04579
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -4.43021
  • VaR(95%) (moments method)
    0.01478
  • Expected Shortfall (moments method)
    0.01481
  • Extreme Value Index (regression method)
    0.52333
  • VaR(95%) (regression method)
    0.07412
  • Expected Shortfall (regression method)
    0.20957
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00532
  • Compounded annual return (geometric extrapolation)
    0.00532
  • Calmar ratio (compounded annual return / max draw down)
    0.07553
  • Compounded annual return / average of 25% largest draw downs
    0.16734
  • Compounded annual return / Expected Shortfall lognormal
    0.44508

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
4692
# Profitable
3257
% Profitable
69.4%
Net Dividends
Correlation S&P500
0.424
Sharpe Ratio
1.025

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

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