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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.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

8.3%
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.

(14.7%)
Max Drawdown
4897
Num Trades
68.9%
Win Trades
1.7 : 1
Profit Factor
69.6%
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%)  -  +1.3%+0.7%(10.2%)+8.1%                                    (3.4%)

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 4,217 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/2/19 9:30 ULTA ULTA BEAUTY INC LONG 8 335.47 6/14 9:30 349.34 0.13%
Trade id #123503716
Max drawdown($251)
Time5/31/19 9:34
Quant open8
Worst price304.04
Drawdown as % of equity-0.13%
$111
Includes Typical Broker Commissions trade costs of $0.16
5/7/19 9:30 PVH PVH LONG 75 109.80 6/14 9:30 89.40 1.09%
Trade id #123555775
Max drawdown($2,047)
Time5/31/19 9:33
Quant open75
Worst price82.51
Drawdown as % of equity-1.09%
($1,532)
Includes Typical Broker Commissions trade costs of $1.50
5/23/19 9:30 ALXN ALEXION PHARMACEUTICALS LONG 22 125.86 6/13 9:30 120.93 0.16%
Trade id #123793126
Max drawdown($286)
Time5/31/19 10:57
Quant open22
Worst price112.86
Drawdown as % of equity-0.16%
($108)
Includes Typical Broker Commissions trade costs of $0.44
5/9/19 9:30 WDC WESTERN DIGITAL LONG 62 45.97 6/13 9:30 36.43 0.32%
Trade id #123587919
Max drawdown($620)
Time6/12/19 14:55
Quant open62
Worst price35.97
Drawdown as % of equity-0.32%
($592)
Includes Typical Broker Commissions trade costs of $1.24
6/3/19 9:30 TWTR TWITTER INC LONG 79 36.45 6/13 9:30 36.80 0.1%
Trade id #123910756
Max drawdown($190)
Time6/3/19 15:40
Quant open79
Worst price34.04
Drawdown as % of equity-0.10%
$26
Includes Typical Broker Commissions trade costs of $1.58
6/3/19 9:31 CMCSA COMCAST LONG 70 41.03 6/13 9:30 41.46 0.01%
Trade id #123910831
Max drawdown($24)
Time6/3/19 12:26
Quant open70
Worst price40.68
Drawdown as % of equity-0.01%
$29
Includes Typical Broker Commissions trade costs of $1.40
5/10/19 9:30 STZ CONSTELLATION BRANDS LONG 29 187.93 6/10 9:30 194.00 0.26%
Trade id #123615644
Max drawdown($483)
Time5/31/19 9:43
Quant open29
Worst price171.27
Drawdown as % of equity-0.26%
$175
Includes Typical Broker Commissions trade costs of $0.58
6/4/19 9:30 WYNN WYNN RESORTS LONG 28 105.22 6/10 9:30 113.08 0.01%
Trade id #123928954
Max drawdown($9)
Time6/4/19 9:33
Quant open28
Worst price104.87
Drawdown as % of equity-0.01%
$219
Includes Typical Broker Commissions trade costs of $0.56
6/3/19 9:30 AMZN AMAZON.COM LONG 1 1760.01 6/10 9:30 1822.00 0.05%
Trade id #123910740
Max drawdown($88)
Time6/3/19 15:39
Quant open1
Worst price1672.00
Drawdown as % of equity-0.05%
$62
Includes Typical Broker Commissions trade costs of $0.02
5/2/19 9:30 BWA BORGWARNER LONG 70 40.99 6/10 9:30 40.32 0.24%
Trade id #123503693
Max drawdown($462)
Time5/23/19 9:34
Quant open70
Worst price34.39
Drawdown as % of equity-0.24%
($48)
Includes Typical Broker Commissions trade costs of $1.40
5/20/19 9:30 NTRS NORTHERN TRUST LONG 31 93.09 6/10 9:30 89.11 0.13%
Trade id #123736141
Max drawdown($248)
Time6/3/19 12:30
Quant open31
Worst price85.08
Drawdown as % of equity-0.13%
($124)
Includes Typical Broker Commissions trade costs of $0.62
5/24/19 15:59 QQQ POWERSHARES QQQ LONG 127 178.03 6/10 9:30 182.23 0.6%
Trade id #123818805
Max drawdown($1,112)
Time6/3/19 15:33
Quant open127
Worst price169.27
Drawdown as % of equity-0.60%
$530
Includes Typical Broker Commissions trade costs of $2.54
5/23/19 9:30 APC ANADARKO PETROLEUM LONG 40 72.05 6/10 9:30 70.18 0.05%
Trade id #123793052
Max drawdown($101)
Time5/31/19 7:21
Quant open40
Worst price69.52
Drawdown as % of equity-0.05%
($76)
Includes Typical Broker Commissions trade costs of $0.80
5/9/19 9:30 ADI ANALOG DEVICES LONG 26 109.14 6/10 9:30 104.29 0.19%
Trade id #123587903
Max drawdown($361)
Time5/20/19 5:21
Quant open26
Worst price95.23
Drawdown as % of equity-0.19%
($127)
Includes Typical Broker Commissions trade costs of $0.52
5/10/19 9:30 MU MICRON TECHNOLOGY LONG 73 39.01 6/10 9:30 34.60 0.27%
Trade id #123615634
Max drawdown($500)
Time5/31/19 6:02
Quant open73
Worst price32.15
Drawdown as % of equity-0.27%
($323)
Includes Typical Broker Commissions trade costs of $1.46
5/3/19 9:30 AAP ADVANCE AUTO PARTS LONG 14 167.05 6/10 9:30 156.36 0.11%
Trade id #123519171
Max drawdown($216)
Time5/29/19 10:24
Quant open14
Worst price151.57
Drawdown as % of equity-0.11%
($150)
Includes Typical Broker Commissions trade costs of $0.28
5/2/19 9:30 HP HELMERICH & PAYNE LONG 51 55.77 6/10 9:30 51.94 0.2%
Trade id #123503741
Max drawdown($388)
Time5/29/19 8:46
Quant open51
Worst price48.16
Drawdown as % of equity-0.20%
($196)
Includes Typical Broker Commissions trade costs of $1.02
5/31/19 9:30 DXC DXC TECHNOLOGY CO LONG 58 48.55 6/10 9:30 49.55 0.07%
Trade id #123887139
Max drawdown($121)
Time6/3/19 15:33
Quant open58
Worst price46.46
Drawdown as % of equity-0.07%
$57
Includes Typical Broker Commissions trade costs of $1.16
5/13/19 9:30 CBRE CBRE GROUP LONG 59 47.79 6/10 9:30 49.51 0.08%
Trade id #123641679
Max drawdown($155)
Time5/31/19 9:52
Quant open59
Worst price45.16
Drawdown as % of equity-0.08%
$100
Includes Typical Broker Commissions trade costs of $1.18
5/10/19 9:31 NVDA NVIDIA LONG 17 168.95 6/10 9:30 148.04 0.34%
Trade id #123615694
Max drawdown($617)
Time6/3/19 15:33
Quant open17
Worst price132.60
Drawdown as % of equity-0.34%
($355)
Includes Typical Broker Commissions trade costs of $0.34
6/4/19 9:30 FLT FLEETCOR TECHNOLOGIES LONG 11 252.71 6/10 9:30 260.28 0.09%
Trade id #123928877
Max drawdown($171)
Time6/6/19 10:09
Quant open11
Worst price237.09
Drawdown as % of equity-0.09%
$83
Includes Typical Broker Commissions trade costs of $0.22
4/17/19 9:30 WAT WATERS LONG 12 241.42 6/6 9:31 206.58 0.28%
Trade id #123340684
Max drawdown($507)
Time6/3/19 15:54
Quant open12
Worst price199.11
Drawdown as % of equity-0.28%
($418)
Includes Typical Broker Commissions trade costs of $0.24
5/24/19 9:31 CMG CHIPOTLE MEXICAN GRILL LONG 4 670.00 6/6 9:31 683.15 0.07%
Trade id #123810071
Max drawdown($133)
Time6/3/19 15:33
Quant open4
Worst price636.73
Drawdown as % of equity-0.07%
$53
Includes Typical Broker Commissions trade costs of $0.08
6/3/19 9:30 AME AMETEK LONG 35 81.88 6/6 9:30 84.44 0%
Trade id #123910705
Max drawdown($9)
Time6/3/19 15:13
Quant open35
Worst price81.62
Drawdown as % of equity-0.00%
$89
Includes Typical Broker Commissions trade costs of $0.70
5/31/19 9:30 ALGN ALIGN TECHNOLOGY LONG 9 277.88 6/6 9:30 302.03 0.01%
Trade id #123887077
Max drawdown($16)
Time6/3/19 10:07
Quant open9
Worst price276.05
Drawdown as % of equity-0.01%
$217
Includes Typical Broker Commissions trade costs of $0.18
5/30/19 9:30 TSN TYSON FOODS LONG 38 76.08 6/6 9:30 80.88 0.03%
Trade id #123872421
Max drawdown($47)
Time5/31/19 9:34
Quant open38
Worst price74.83
Drawdown as % of equity-0.03%
$181
Includes Typical Broker Commissions trade costs of $0.76
5/23/19 9:30 CDNS CADENCE DESIGN SYSTEMS LONG 91 63.36 6/6 9:30 64.70 0.07%
Trade id #123793103
Max drawdown($127)
Time6/3/19 15:19
Quant open44
Worst price61.32
Drawdown as % of equity-0.07%
$120
Includes Typical Broker Commissions trade costs of $1.82
5/20/19 9:30 FFIV F5 NETWORKS LONG 20 138.91 6/6 9:30 137.86 0.08%
Trade id #123736162
Max drawdown($147)
Time5/31/19 15:42
Quant open20
Worst price131.53
Drawdown as % of equity-0.08%
($21)
Includes Typical Broker Commissions trade costs of $0.40
5/9/19 9:30 CSCO CISCO SYSTEMS LONG 163 52.49 6/6 9:30 54.89 0.09%
Trade id #123587780
Max drawdown($178)
Time5/13/19 14:39
Quant open108
Worst price51.06
Drawdown as % of equity-0.09%
$389
Includes Typical Broker Commissions trade costs of $3.26
5/23/19 9:30 UPS UNITED PARCEL SERVICE LONG 29 96.92 6/5 9:33 98.33 0.07%
Trade id #123793149
Max drawdown($124)
Time6/3/19 7:01
Quant open29
Worst price92.61
Drawdown as % of equity-0.07%
$40
Includes Typical Broker Commissions trade costs of $0.58

Statistics

  • Strategy began
    11/30/2011
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    2763.42
  • Age
    92 months ago
  • What it trades
    Stocks
  • # Trades
    4897
  • # Profitable
    3373
  • % Profitable
    68.90%
  • Avg trade duration
    9.7 days
  • Max peak-to-valley drawdown
    14.69%
  • drawdown period
    Oct 01, 2018 - May 31, 2019
  • Annual Return (Compounded)
    8.3%
  • Avg win
    $73.19
  • Avg loss
    $102.92
  • Model Account Values (Raw)
  • Cash
    $189,664
  • Margin Used
    $0
  • Buying Power
    $189,529
  • Ratios
  • W:L ratio
    1.67:1
  • Sharpe Ratio
    0.64
  • Sortino Ratio
    0.97
  • Calmar Ratio
    0.739
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.41840
  • Return Statistics
  • Ann Return (w trading costs)
    8.3%
  • Ann Return (Compnd, No Fees)
    9.3%
  • 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)
    708
  • 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
    $103
  • Avg Win
    $73
  • # Winners
    3373
  • # Losers
    1524
  • % Winners
    68.9%
  • Frequency
  • Avg Position Time (mins)
    14001.80
  • Avg Position Time (hrs)
    233.36
  • Avg Trade Length
    9.7 days
  • Last Trade Ago
    1
  • Unknown
  • Alpha
    0.01
  • Beta
    0.27
  • Treynor Index
    0.06
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06065
  • SD
    0.07573
  • Sharpe ratio (Glass type estimate)
    0.80085
  • Sharpe ratio (Hedges UMVUE)
    0.79401
  • df
    88.00000
  • t
    2.18101
  • p
    0.01593
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.06933
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.52797
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06482
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.52319
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.25055
  • Upside Potential Ratio
    2.54446
  • Upside part of mean
    0.12340
  • Downside part of mean
    -0.06275
  • Upside SD
    0.06021
  • Downside SD
    0.04850
  • N nonnegative terms
    57.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    89.00000
  • Mean of predictor
    0.08869
  • Mean of criterion
    0.06065
  • SD of predictor
    0.11779
  • SD of criterion
    0.07573
  • Covariance
    0.00381
  • r
    0.42721
  • b (slope, estimate of beta)
    0.27467
  • a (intercept, estimate of alpha)
    0.03629
  • Mean Square Error
    0.00474
  • DF error
    87.00000
  • t(b)
    4.40721
  • p(b)
    0.00001
  • t(a)
    1.40199
  • p(a)
    0.08224
  • Lowerbound of 95% confidence interval for beta
    0.15080
  • Upperbound of 95% confidence interval for beta
    0.39854
  • Lowerbound of 95% confidence interval for alpha
    -0.01516
  • Upperbound of 95% confidence interval for alpha
    0.08774
  • Treynor index (mean / b)
    0.22081
  • Jensen alpha (a)
    0.03629
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05754
  • SD
    0.07573
  • Sharpe ratio (Glass type estimate)
    0.75976
  • Sharpe ratio (Hedges UMVUE)
    0.75327
  • df
    88.00000
  • t
    2.06910
  • p
    0.02073
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.02930
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.48603
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.02503
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.48151
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.15708
  • Upside Potential Ratio
    2.44056
  • Upside part of mean
    0.12136
  • Downside part of mean
    -0.06382
  • Upside SD
    0.05894
  • Downside SD
    0.04973
  • N nonnegative terms
    57.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    89.00000
  • Mean of predictor
    0.08132
  • Mean of criterion
    0.05754
  • SD of predictor
    0.11820
  • SD of criterion
    0.07573
  • Covariance
    0.00392
  • r
    0.43812
  • b (slope, estimate of beta)
    0.28071
  • a (intercept, estimate of alpha)
    0.03471
  • Mean Square Error
    0.00469
  • DF error
    87.00000
  • t(b)
    4.54608
  • p(b)
    0.00001
  • t(a)
    1.35394
  • p(a)
    0.08963
  • Lowerbound of 95% confidence interval for beta
    0.15798
  • Upperbound of 95% confidence interval for beta
    0.40344
  • Lowerbound of 95% confidence interval for alpha
    -0.01624
  • Upperbound of 95% confidence interval for alpha
    0.08567
  • Treynor index (mean / b)
    0.20497
  • Jensen alpha (a)
    0.03471
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03068
  • Expected Shortfall on VaR
    0.03947
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00932
  • Expected Shortfall on VaR
    0.02127
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    89.00000
  • Minimum
    0.93447
  • Quartile 1
    0.99817
  • Median
    1.00662
  • Quartile 3
    1.01639
  • Maximum
    1.06396
  • Mean of quarter 1
    0.98257
  • Mean of quarter 2
    1.00348
  • Mean of quarter 3
    1.01098
  • Mean of quarter 4
    1.03361
  • Inter Quartile Range
    0.01822
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.04494
  • Mean of outliers low
    0.94406
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.05618
  • Mean of outliers high
    1.05285
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.68184
  • VaR(95%) (moments method)
    0.01130
  • Expected Shortfall (moments method)
    0.04189
  • Extreme Value Index (regression method)
    0.05817
  • VaR(95%) (regression method)
    0.01599
  • Expected Shortfall (regression method)
    0.02564
  • 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
    0.10035
  • Mean of quarter 1
    0.00260
  • Mean of quarter 2
    0.00507
  • Mean of quarter 3
    0.01722
  • Mean of quarter 4
    0.05786
  • 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
    0.10035
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.23413
  • VaR(95%) (moments method)
    0.06472
  • Expected Shortfall (moments method)
    0.09556
  • Extreme Value Index (regression method)
    1.53875
  • VaR(95%) (regression method)
    0.07794
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11927
  • Compounded annual return (geometric extrapolation)
    0.08920
  • Calmar ratio (compounded annual return / max draw down)
    0.88891
  • Compounded annual return / average of 25% largest draw downs
    1.54168
  • Compounded annual return / Expected Shortfall lognormal
    2.26017
  • 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
    0.06568
  • SD
    0.07793
  • Sharpe ratio (Glass type estimate)
    0.84278
  • Sharpe ratio (Hedges UMVUE)
    0.84246
  • df
    1957.00000
  • t
    2.30394
  • p
    0.46690
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.12524
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.56013
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.12502
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.55990
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.27830
  • Upside Potential Ratio
    6.57858
  • Upside part of mean
    0.33800
  • Downside part of mean
    -0.27232
  • Upside SD
    0.05871
  • Downside SD
    0.05138
  • N nonnegative terms
    927.00000
  • N negative terms
    1031.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1958.00000
  • Mean of predictor
    0.09557
  • Mean of criterion
    0.06568
  • SD of predictor
    0.12985
  • SD of criterion
    0.07793
  • Covariance
    0.00426
  • r
    0.42108
  • b (slope, estimate of beta)
    0.25271
  • a (intercept, estimate of alpha)
    0.04200
  • Mean Square Error
    0.00500
  • DF error
    1956.00000
  • t(b)
    20.53200
  • p(b)
    0.28946
  • t(a)
    1.60400
  • p(a)
    0.48188
  • Lowerbound of 95% confidence interval for beta
    0.22857
  • Upperbound of 95% confidence interval for beta
    0.27685
  • Lowerbound of 95% confidence interval for alpha
    -0.00925
  • Upperbound of 95% confidence interval for alpha
    0.09230
  • Treynor index (mean / b)
    0.25989
  • Jensen alpha (a)
    0.04153
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06263
  • SD
    0.07792
  • Sharpe ratio (Glass type estimate)
    0.80376
  • Sharpe ratio (Hedges UMVUE)
    0.80345
  • df
    1957.00000
  • t
    2.19726
  • p
    0.46843
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.08627
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.52106
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.08606
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.52085
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.20603
  • Upside Potential Ratio
    6.47534
  • Upside part of mean
    0.33626
  • Downside part of mean
    -0.27363
  • Upside SD
    0.05820
  • Downside SD
    0.05193
  • N nonnegative terms
    927.00000
  • N negative terms
    1031.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1958.00000
  • Mean of predictor
    0.08711
  • Mean of criterion
    0.06263
  • SD of predictor
    0.12998
  • SD of criterion
    0.07792
  • Covariance
    0.00427
  • r
    0.42194
  • b (slope, estimate of beta)
    0.25294
  • a (intercept, estimate of alpha)
    0.04060
  • Mean Square Error
    0.00499
  • DF error
    1956.00000
  • t(b)
    20.58300
  • p(b)
    0.28903
  • t(a)
    1.56922
  • p(a)
    0.48227
  • Lowerbound of 95% confidence interval for beta
    0.22884
  • Upperbound of 95% confidence interval for beta
    0.27704
  • Lowerbound of 95% confidence interval for alpha
    -0.01014
  • Upperbound of 95% confidence interval for alpha
    0.09133
  • Treynor index (mean / b)
    0.24760
  • Jensen alpha (a)
    0.04060
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00765
  • Expected Shortfall on VaR
    0.00964
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00240
  • Expected Shortfall on VaR
    0.00533
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1958.00000
  • Minimum
    0.95130
  • Quartile 1
    0.99938
  • Median
    1.00006
  • Quartile 3
    1.00099
  • Maximum
    1.03451
  • Mean of quarter 1
    0.99626
  • Mean of quarter 2
    0.99980
  • Mean of quarter 3
    1.00041
  • Mean of quarter 4
    1.00496
  • Inter Quartile Range
    0.00161
  • Number outliers low
    165.00000
  • Percentage of outliers low
    0.08427
  • Mean of outliers low
    0.99177
  • Number of outliers high
    216.00000
  • Percentage of outliers high
    0.11032
  • Mean of outliers high
    1.00887
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.70516
  • VaR(95%) (moments method)
    0.00357
  • Expected Shortfall (moments method)
    0.01347
  • Extreme Value Index (regression method)
    0.36376
  • VaR(95%) (regression method)
    0.00301
  • Expected Shortfall (regression method)
    0.00594
  • 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
    0.12818
  • Mean of quarter 1
    0.00024
  • Mean of quarter 2
    0.00146
  • Mean of quarter 3
    0.00447
  • Mean of quarter 4
    0.02632
  • 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
    0.04437
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.63220
  • VaR(95%) (moments method)
    0.02751
  • Expected Shortfall (moments method)
    0.08048
  • Extreme Value Index (regression method)
    0.61162
  • VaR(95%) (regression method)
    0.02631
  • Expected Shortfall (regression method)
    0.07237
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12942
  • Compounded annual return (geometric extrapolation)
    0.09476
  • Calmar ratio (compounded annual return / max draw down)
    0.73931
  • Compounded annual return / average of 25% largest draw downs
    3.60010
  • Compounded annual return / Expected Shortfall lognormal
    9.82763
  • 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
    -0.10055
  • SD
    0.10488
  • Sharpe ratio (Glass type estimate)
    -0.95868
  • Sharpe ratio (Hedges UMVUE)
    -0.95313
  • df
    130.00000
  • t
    -0.67789
  • p
    0.52968
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.73112
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.81739
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.72736
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.82109
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.29519
  • Upside Potential Ratio
    5.02080
  • Upside part of mean
    0.38977
  • Downside part of mean
    -0.49032
  • Upside SD
    0.07020
  • Downside SD
    0.07763
  • N nonnegative terms
    54.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.27531
  • Mean of criterion
    -0.10055
  • SD of predictor
    0.15440
  • SD of criterion
    0.10488
  • Covariance
    0.00644
  • r
    0.39755
  • b (slope, estimate of beta)
    0.27005
  • a (intercept, estimate of alpha)
    -0.17489
  • Mean Square Error
    0.00933
  • DF error
    129.00000
  • t(b)
    4.92088
  • p(b)
    0.25375
  • t(a)
    -1.27232
  • p(a)
    0.57073
  • Lowerbound of 95% confidence interval for beta
    0.16147
  • Upperbound of 95% confidence interval for beta
    0.37862
  • Lowerbound of 95% confidence interval for alpha
    -0.44686
  • Upperbound of 95% confidence interval for alpha
    0.09707
  • Treynor index (mean / b)
    -0.37233
  • Jensen alpha (a)
    -0.17489
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.10602
  • SD
    0.10490
  • Sharpe ratio (Glass type estimate)
    -1.01066
  • Sharpe ratio (Hedges UMVUE)
    -1.00481
  • df
    130.00000
  • t
    -0.71464
  • p
    0.53128
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.78325
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76580
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.77931
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.76968
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.35296
  • Upside Potential Ratio
    4.94271
  • Upside part of mean
    0.38730
  • Downside part of mean
    -0.49332
  • Upside SD
    0.06944
  • Downside SD
    0.07836
  • N nonnegative terms
    54.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.26338
  • Mean of criterion
    -0.10602
  • SD of predictor
    0.15379
  • SD of criterion
    0.10490
  • Covariance
    0.00648
  • r
    0.40156
  • b (slope, estimate of beta)
    0.27389
  • a (intercept, estimate of alpha)
    -0.17815
  • Mean Square Error
    0.00930
  • DF error
    129.00000
  • t(b)
    4.97996
  • p(b)
    0.25141
  • t(a)
    -1.29891
  • p(a)
    0.57218
  • Lowerbound of 95% confidence interval for beta
    0.16508
  • Upperbound of 95% confidence interval for beta
    0.38271
  • Lowerbound of 95% confidence interval for alpha
    -0.44952
  • Upperbound of 95% confidence interval for alpha
    0.09321
  • Treynor index (mean / b)
    -0.38707
  • Jensen alpha (a)
    -0.17815
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01100
  • Expected Shortfall on VaR
    0.01367
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00470
  • Expected Shortfall on VaR
    0.00985
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97005
  • Quartile 1
    0.99887
  • Median
    1.00000
  • Quartile 3
    1.00112
  • Maximum
    1.03077
  • Mean of quarter 1
    0.99325
  • Mean of quarter 2
    0.99957
  • Mean of quarter 3
    1.00035
  • Mean of quarter 4
    1.00574
  • Inter Quartile Range
    0.00225
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.12214
  • Mean of outliers low
    0.98838
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.01050
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.77987
  • VaR(95%) (moments method)
    0.00616
  • Expected Shortfall (moments method)
    0.03102
  • Extreme Value Index (regression method)
    0.59770
  • VaR(95%) (regression method)
    0.00512
  • Expected Shortfall (regression method)
    0.01461
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.10203
  • Quartile 1
    0.10203
  • Median
    0.10203
  • Quartile 3
    0.10203
  • Maximum
    0.10203
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    -0.07660
  • Compounded annual return (geometric extrapolation)
    -0.07514
  • Calmar ratio (compounded annual return / max draw down)
    -0.73643
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -5.49441

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
4897
# Profitable
3373
% Profitable
68.9%
Net Dividends
Correlation S&P500
0.418
Sharpe Ratio
0.64
Sortino Ratio
0.97
Beta
0.27
Alpha
0.01

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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