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QuantAlphaMR
(68456563)

Created by: TimSimons TimSimons
Started: 11/2011
Stocks
Last trade: 10 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.

9.7%
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
4641
Num Trades
69.5%
Win Trades
1.8 : 1
Profit Factor
71.4%
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%(4.2%)            +1.2%

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 3,679 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/9/18 9:30 QQQ POWERSHARES QQQ LONG 163 179.18 10/12 9:31 174.17 0.95%
Trade id #120250927
Max drawdown($1,853)
Time10/11/18 14:47
Quant open163
Worst price167.81
Drawdown as % of equity-0.95%
($820)
Includes Typical Broker Commissions trade costs of $3.26
9/27/18 9:31 EQR EQUITY RESIDENTIAL LONG 44 65.04 10/10 9:30 65.41 0.02%
Trade id #120062678
Max drawdown($33)
Time10/4/18 10:08
Quant open44
Worst price64.27
Drawdown as % of equity-0.02%
$15
Includes Typical Broker Commissions trade costs of $0.88
9/24/18 9:30 DLR DIGITAL REALTY TRUST LONG 46 119.51 10/10 9:30 111.47 0.27%
Trade id #119999651
Max drawdown($564)
Time10/4/18 10:10
Quant open46
Worst price107.23
Drawdown as % of equity-0.27%
($371)
Includes Typical Broker Commissions trade costs of $0.92
9/27/18 9:30 FRT FEDERAL REALTY INVESTMENT LONG 23 124.67 10/9 9:31 124.89 0.04%
Trade id #120062524
Max drawdown($81)
Time10/4/18 10:07
Quant open23
Worst price121.12
Drawdown as % of equity-0.04%
$5
Includes Typical Broker Commissions trade costs of $0.46
9/20/18 9:30 VTR VENTAS LONG 100 56.88 10/9 9:31 53.95 0.24%
Trade id #119944771
Max drawdown($508)
Time10/4/18 10:08
Quant open100
Worst price51.80
Drawdown as % of equity-0.24%
($295)
Includes Typical Broker Commissions trade costs of $2.00
9/27/18 9:31 SPG SIMON PROPERTY GROUP LONG 32 175.95 10/9 9:31 174.91 0.12%
Trade id #120062669
Max drawdown($241)
Time10/4/18 14:30
Quant open32
Worst price168.41
Drawdown as % of equity-0.12%
($34)
Includes Typical Broker Commissions trade costs of $0.64
9/27/18 9:30 MAA MID-AMERICA LONG 58 99.44 10/9 9:30 99.86 0.07%
Trade id #120062617
Max drawdown($143)
Time10/4/18 10:08
Quant open58
Worst price96.97
Drawdown as % of equity-0.07%
$23
Includes Typical Broker Commissions trade costs of $1.16
9/27/18 9:30 RSG REPUBLIC SERVICES LONG 39 73.09 10/9 9:30 72.76 0.04%
Trade id #120062537
Max drawdown($76)
Time10/4/18 11:03
Quant open39
Worst price71.12
Drawdown as % of equity-0.04%
($14)
Includes Typical Broker Commissions trade costs of $0.78
9/27/18 9:30 WELL WELLTOWER INC LONG 46 63.21 10/9 9:30 63.17 0.04%
Trade id #120062627
Max drawdown($92)
Time10/4/18 10:07
Quant open46
Worst price61.19
Drawdown as % of equity-0.04%
($3)
Includes Typical Broker Commissions trade costs of $0.92
9/26/18 9:31 JWN NORDSTROM LONG 48 59.84 10/8 9:31 59.99 0.03%
Trade id #120040740
Max drawdown($73)
Time10/3/18 9:40
Quant open48
Worst price58.31
Drawdown as % of equity-0.03%
$6
Includes Typical Broker Commissions trade costs of $0.96
9/27/18 9:32 WM WASTE MANAGEMENT LONG 32 89.89 10/8 9:30 89.90 0.02%
Trade id #120062774
Max drawdown($45)
Time10/4/18 13:35
Quant open32
Worst price88.47
Drawdown as % of equity-0.02%
($1)
Includes Typical Broker Commissions trade costs of $0.64
9/27/18 9:30 PBCT PEOPLE'S UNITED FINANCIAL LONG 168 17.19 10/5 9:30 17.30 0.04%
Trade id #120062559
Max drawdown($80)
Time10/3/18 9:31
Quant open168
Worst price16.71
Drawdown as % of equity-0.04%
$15
Includes Typical Broker Commissions trade costs of $3.36
9/24/18 9:30 JCI JOHNSON CONTROLS LONG 78 36.79 10/5 9:30 36.43 0.07%
Trade id #119999756
Max drawdown($140)
Time9/28/18 16:00
Quant open78
Worst price34.99
Drawdown as % of equity-0.07%
($30)
Includes Typical Broker Commissions trade costs of $1.56
10/1/18 9:31 ICE INTERCONTINENTALEXCHANGE LONG 38 75.02 10/5 9:30 75.91 0.01%
Trade id #120114709
Max drawdown($21)
Time10/2/18 10:41
Quant open38
Worst price74.46
Drawdown as % of equity-0.01%
$33
Includes Typical Broker Commissions trade costs of $0.76
9/25/18 9:30 UPS UNITED PARCEL SERVICE LONG 24 117.24 10/4 9:30 117.31 0.02%
Trade id #120019753
Max drawdown($36)
Time9/28/18 9:37
Quant open24
Worst price115.73
Drawdown as % of equity-0.02%
$2
Includes Typical Broker Commissions trade costs of $0.48
9/11/18 9:30 AVY AVERY DENNISON LONG 26 105.80 10/4 9:30 107.23 0.02%
Trade id #119796487
Max drawdown($45)
Time9/11/18 9:52
Quant open26
Worst price104.07
Drawdown as % of equity-0.02%
$36
Includes Typical Broker Commissions trade costs of $0.52
9/27/18 9:30 HRL HORMEL FOODS LONG 73 39.05 10/4 9:30 39.66 0.01%
Trade id #120062426
Max drawdown($18)
Time9/28/18 9:34
Quant open73
Worst price38.79
Drawdown as % of equity-0.01%
$44
Includes Typical Broker Commissions trade costs of $1.46
9/28/18 9:30 INFO IHS MARKIT LTD. COMMON SHARES LONG 54 53.40 10/4 9:30 54.31 0.01%
Trade id #120084575
Max drawdown($17)
Time9/28/18 9:33
Quant open54
Worst price53.08
Drawdown as % of equity-0.01%
$48
Includes Typical Broker Commissions trade costs of $1.08
9/27/18 9:30 CMS CMS ENERGY LONG 60 47.82 10/3 9:30 49.29 0.02%
Trade id #120062631
Max drawdown($42)
Time10/2/18 9:10
Quant open60
Worst price47.11
Drawdown as % of equity-0.02%
$87
Includes Typical Broker Commissions trade costs of $1.20
9/27/18 9:30 EFX EQUIFAX LONG 22 130.84 10/3 9:30 132.61 0.01%
Trade id #120062534
Max drawdown($30)
Time9/28/18 9:39
Quant open22
Worst price129.45
Drawdown as % of equity-0.01%
$39
Includes Typical Broker Commissions trade costs of $0.44
9/27/18 9:31 D DOMINION RESOURCES LONG 42 68.84 10/3 9:30 70.85 0.01%
Trade id #120062672
Max drawdown($11)
Time9/27/18 9:34
Quant open42
Worst price68.56
Drawdown as % of equity-0.01%
$83
Includes Typical Broker Commissions trade costs of $0.84
9/27/18 9:30 AEE AMEREN LONG 46 62.35 10/3 9:30 64.29 0%
Trade id #120062556
Max drawdown($9)
Time9/27/18 9:36
Quant open46
Worst price62.14
Drawdown as % of equity-0.00%
$88
Includes Typical Broker Commissions trade costs of $0.92
9/11/18 9:30 AAPL APPLE LONG 13 217.91 10/3 9:30 230.05 0.02%
Trade id #119796483
Max drawdown($33)
Time9/19/18 10:20
Quant open13
Worst price215.30
Drawdown as % of equity-0.02%
$158
Includes Typical Broker Commissions trade costs of $0.26
9/13/18 9:31 WMB WILLIAMS COMPANIES LONG 102 28.33 10/2 9:30 27.70 0.06%
Trade id #119839476
Max drawdown($135)
Time9/26/18 18:17
Quant open102
Worst price27.00
Drawdown as % of equity-0.06%
($66)
Includes Typical Broker Commissions trade costs of $2.04
9/26/18 9:30 PPL PPL LONG 100 28.78 10/2 9:30 29.60 0.02%
Trade id #120040562
Max drawdown($49)
Time9/26/18 18:53
Quant open100
Worst price28.29
Drawdown as % of equity-0.02%
$80
Includes Typical Broker Commissions trade costs of $2.00
9/26/18 15:59 SPY SPDR S&P 500 LONG 130 289.75 10/2 9:30 291.57 0.02%
Trade id #120053196
Max drawdown($41)
Time9/26/18 16:03
Quant open130
Worst price289.43
Drawdown as % of equity-0.02%
$234
Includes Typical Broker Commissions trade costs of $2.60
9/27/18 9:30 WEC WEC ENERGY GROUP LONG 44 65.15 10/2 9:30 66.82 0%
Trade id #120062586
Max drawdown($5)
Time9/27/18 9:35
Quant open44
Worst price65.02
Drawdown as % of equity-0.00%
$72
Includes Typical Broker Commissions trade costs of $0.88
9/28/18 9:30 SYY SYSCO LONG 39 72.91 10/1 9:31 73.50 0%
Trade id #120084660
Max drawdown($3)
Time9/28/18 9:32
Quant open39
Worst price72.81
Drawdown as % of equity-0.00%
$22
Includes Typical Broker Commissions trade costs of $0.78
9/27/18 9:31 XEL XCEL ENERGY LONG 124 46.09 10/1 9:31 46.97 0%
Trade id #120062675
Max drawdown$0
Time9/27/18 9:34
Quant open124
Worst price46.09
Drawdown as % of equity0.00%
$107
Includes Typical Broker Commissions trade costs of $2.48
9/27/18 9:30 AWK AMERICAN WATER WORKS LONG 33 86.11 10/1 9:31 87.88 0%
Trade id #120062572
Max drawdown($6)
Time9/27/18 9:32
Quant open33
Worst price85.90
Drawdown as % of equity-0.00%
$57
Includes Typical Broker Commissions trade costs of $0.66

Statistics

  • Strategy began
    11/30/2011
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    2517.7
  • Age
    84 months ago
  • What it trades
    Stocks
  • # Trades
    4641
  • # Profitable
    3226
  • % Profitable
    69.50%
  • Avg trade duration
    9.4 days
  • Max peak-to-valley drawdown
    12.25%
  • drawdown period
    Sept 19, 2014 - Oct 15, 2014
  • Annual Return (Compounded)
    9.7%
  • Avg win
    $70.17
  • Avg loss
    $91.67
  • Model Account Values (Raw)
  • Cash
    $126,801
  • Margin Used
    $0
  • Buying Power
    $118,716
  • Ratios
  • W:L ratio
    1.85:1
  • Sharpe Ratio
    1.041
  • Sortino Ratio
    1.606
  • Calmar Ratio
    1.084
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.43400
  • Return Statistics
  • Ann Return (w trading costs)
    9.7%
  • Ann Return (Compnd, No Fees)
    10.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    4.00%
  • Chance of 20% account loss
    0.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    754
  • Popularity (Last 6 weeks)
    978
  • C2 Score
    99.1
  • 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
    $92
  • Avg Win
    $70
  • # Winners
    3226
  • # Losers
    1415
  • % Winners
    69.5%
  • Frequency
  • Avg Position Time (mins)
    13607.30
  • Avg Position Time (hrs)
    226.79
  • Avg Trade Length
    9.4 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08421
  • SD
    0.06555
  • Sharpe ratio (Glass type estimate)
    1.28463
  • Sharpe ratio (Hedges UMVUE)
    1.27254
  • df
    80.00000
  • t
    3.33756
  • p
    0.00064
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.50074
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06101
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.49281
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.05228
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.48701
  • Upside Potential Ratio
    3.75859
  • Upside part of mean
    0.12727
  • Downside part of mean
    -0.04306
  • Upside SD
    0.06074
  • Downside SD
    0.03386
  • N nonnegative terms
    54.00000
  • N negative terms
    27.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    81.00000
  • Mean of predictor
    0.10377
  • Mean of criterion
    0.08421
  • SD of predictor
    0.10737
  • SD of criterion
    0.06555
  • Covariance
    0.00265
  • r
    0.37667
  • b (slope, estimate of beta)
    0.22999
  • a (intercept, estimate of alpha)
    0.06035
  • Mean Square Error
    0.00373
  • DF error
    79.00000
  • t(b)
    3.61416
  • p(b)
    0.00026
  • t(a)
    2.47019
  • p(a)
    0.00783
  • Lowerbound of 95% confidence interval for beta
    0.10333
  • Upperbound of 95% confidence interval for beta
    0.35665
  • Lowerbound of 95% confidence interval for alpha
    0.01172
  • Upperbound of 95% confidence interval for alpha
    0.10898
  • Treynor index (mean / b)
    0.36617
  • Jensen alpha (a)
    0.06035
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08164
  • SD
    0.06495
  • Sharpe ratio (Glass type estimate)
    1.25692
  • Sharpe ratio (Hedges UMVUE)
    1.24510
  • df
    80.00000
  • t
    3.26557
  • p
    0.00080
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.47419
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.03229
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.46643
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02377
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.36921
  • Upside Potential Ratio
    3.63281
  • Upside part of mean
    0.12518
  • Downside part of mean
    -0.04354
  • Upside SD
    0.05946
  • Downside SD
    0.03446
  • N nonnegative terms
    54.00000
  • N negative terms
    27.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    81.00000
  • Mean of predictor
    0.09744
  • Mean of criterion
    0.08164
  • SD of predictor
    0.10736
  • SD of criterion
    0.06495
  • Covariance
    0.00267
  • r
    0.38278
  • b (slope, estimate of beta)
    0.23159
  • a (intercept, estimate of alpha)
    0.05908
  • Mean Square Error
    0.00365
  • DF error
    79.00000
  • t(b)
    3.68273
  • p(b)
    0.00021
  • t(a)
    2.45779
  • p(a)
    0.00808
  • Lowerbound of 95% confidence interval for beta
    0.10642
  • Upperbound of 95% confidence interval for beta
    0.35676
  • Lowerbound of 95% confidence interval for alpha
    0.01123
  • Upperbound of 95% confidence interval for alpha
    0.10692
  • Treynor index (mean / b)
    0.35253
  • Jensen alpha (a)
    0.05908
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02375
  • Expected Shortfall on VaR
    0.03135
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00603
  • Expected Shortfall on VaR
    0.01402
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    81.00000
  • Minimum
    0.94737
  • Quartile 1
    1.00038
  • Median
    1.00694
  • Quartile 3
    1.01778
  • Maximum
    1.06396
  • Mean of quarter 1
    0.98872
  • Mean of quarter 2
    1.00435
  • Mean of quarter 3
    1.01151
  • Mean of quarter 4
    1.03384
  • Inter Quartile Range
    0.01740
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02469
  • Mean of outliers low
    0.95339
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.04938
  • 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)
    0.27187
  • VaR(95%) (regression method)
    0.01187
  • Expected Shortfall (regression method)
    0.02511
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00183
  • Quartile 1
    0.00360
  • Median
    0.00601
  • Quartile 3
    0.02128
  • Maximum
    0.05263
  • Mean of quarter 1
    0.00260
  • Mean of quarter 2
    0.00507
  • Mean of quarter 3
    0.01465
  • Mean of quarter 4
    0.03901
  • Inter Quartile Range
    0.01768
  • 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
    0.06667
  • Mean of outliers high
    0.05263
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -6.49882
  • VaR(95%) (moments method)
    0.04078
  • Expected Shortfall (moments method)
    0.04078
  • Extreme Value Index (regression method)
    -0.82747
  • VaR(95%) (regression method)
    0.04827
  • Expected Shortfall (regression method)
    0.05206
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.16219
  • Compounded annual return (geometric extrapolation)
    0.11578
  • Calmar ratio (compounded annual return / max draw down)
    2.19993
  • Compounded annual return / average of 25% largest draw downs
    2.96796
  • Compounded annual return / Expected Shortfall lognormal
    3.69325
  • 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
    0.07845
  • SD
    0.07532
  • Sharpe ratio (Glass type estimate)
    1.04154
  • Sharpe ratio (Hedges UMVUE)
    1.04111
  • df
    1785.00000
  • t
    2.71936
  • p
    0.45914
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.28994
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.79286
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28964
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.79257
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.60581
  • Upside Potential Ratio
    6.83854
  • Upside part of mean
    0.33410
  • Downside part of mean
    -0.25565
  • Upside SD
    0.05751
  • Downside SD
    0.04886
  • N nonnegative terms
    858.00000
  • N negative terms
    928.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1786.00000
  • Mean of predictor
    0.09691
  • Mean of criterion
    0.07845
  • SD of predictor
    0.12505
  • SD of criterion
    0.07532
  • Covariance
    0.00410
  • r
    0.43554
  • b (slope, estimate of beta)
    0.26235
  • a (intercept, estimate of alpha)
    0.05300
  • Mean Square Error
    0.00460
  • DF error
    1784.00000
  • t(b)
    20.43630
  • p(b)
    0.28223
  • t(a)
    2.03901
  • p(a)
    0.47589
  • Lowerbound of 95% confidence interval for beta
    0.23717
  • Upperbound of 95% confidence interval for beta
    0.28753
  • Lowerbound of 95% confidence interval for alpha
    0.00202
  • Upperbound of 95% confidence interval for alpha
    0.10403
  • Treynor index (mean / b)
    0.29904
  • Jensen alpha (a)
    0.05303
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07560
  • SD
    0.07532
  • Sharpe ratio (Glass type estimate)
    1.00373
  • Sharpe ratio (Hedges UMVUE)
    1.00331
  • df
    1785.00000
  • t
    2.62064
  • p
    0.46061
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.25218
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.75501
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25190
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.75471
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.53046
  • Upside Potential Ratio
    6.72989
  • Upside part of mean
    0.33243
  • Downside part of mean
    -0.25683
  • Upside SD
    0.05702
  • Downside SD
    0.04940
  • N nonnegative terms
    858.00000
  • N negative terms
    928.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1786.00000
  • Mean of predictor
    0.08906
  • Mean of criterion
    0.07560
  • SD of predictor
    0.12521
  • SD of criterion
    0.07532
  • Covariance
    0.00411
  • r
    0.43612
  • b (slope, estimate of beta)
    0.26234
  • a (intercept, estimate of alpha)
    0.05223
  • Mean Square Error
    0.00460
  • DF error
    1784.00000
  • t(b)
    20.46970
  • p(b)
    0.28194
  • t(a)
    2.00965
  • p(a)
    0.47624
  • Lowerbound of 95% confidence interval for beta
    0.23720
  • Upperbound of 95% confidence interval for beta
    0.28748
  • Lowerbound of 95% confidence interval for alpha
    0.00126
  • Upperbound of 95% confidence interval for alpha
    0.10321
  • Treynor index (mean / b)
    0.28817
  • Jensen alpha (a)
    0.05223
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00734
  • Expected Shortfall on VaR
    0.00926
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00224
  • Expected Shortfall on VaR
    0.00498
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1786.00000
  • Minimum
    0.95130
  • Quartile 1
    0.99941
  • Median
    1.00007
  • Quartile 3
    1.00099
  • Maximum
    1.03451
  • Mean of quarter 1
    0.99650
  • Mean of quarter 2
    0.99981
  • Mean of quarter 3
    1.00042
  • Mean of quarter 4
    1.00489
  • Inter Quartile Range
    0.00159
  • Number outliers low
    144.00000
  • Percentage of outliers low
    0.08063
  • Mean of outliers low
    0.99214
  • Number of outliers high
    198.00000
  • Percentage of outliers high
    0.11086
  • Mean of outliers high
    1.00870
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.66839
  • VaR(95%) (moments method)
    0.00335
  • Expected Shortfall (moments method)
    0.01137
  • Extreme Value Index (regression method)
    0.30047
  • VaR(95%) (regression method)
    0.00294
  • Expected Shortfall (regression method)
    0.00544
  • 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
    0.02470
  • 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
    0.04073
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.55799
  • VaR(95%) (moments method)
    0.02587
  • Expected Shortfall (moments method)
    0.06428
  • Extreme Value Index (regression method)
    0.47662
  • VaR(95%) (regression method)
    0.02544
  • Expected Shortfall (regression method)
    0.05512
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15036
  • Compounded annual return (geometric extrapolation)
    0.10905
  • Calmar ratio (compounded annual return / max draw down)
    1.08396
  • Compounded annual return / average of 25% largest draw downs
    4.41592
  • Compounded annual return / Expected Shortfall lognormal
    11.77050
  • 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
    -0.01319
  • SD
    0.07999
  • Sharpe ratio (Glass type estimate)
    -0.16495
  • Sharpe ratio (Hedges UMVUE)
    -0.16400
  • df
    130.00000
  • t
    -0.11664
  • p
    0.50511
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.93659
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.60717
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.93588
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.60788
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.20852
  • Upside Potential Ratio
    4.33376
  • Upside part of mean
    0.27422
  • Downside part of mean
    -0.28741
  • Upside SD
    0.04844
  • Downside SD
    0.06328
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04972
  • Mean of criterion
    -0.01319
  • SD of predictor
    0.10785
  • SD of criterion
    0.07999
  • Covariance
    0.00484
  • r
    0.56134
  • b (slope, estimate of beta)
    0.41633
  • a (intercept, estimate of alpha)
    -0.03390
  • Mean Square Error
    0.00442
  • DF error
    129.00000
  • t(b)
    7.70392
  • p(b)
    0.16241
  • t(a)
    -0.36053
  • p(a)
    0.52019
  • Lowerbound of 95% confidence interval for beta
    0.30940
  • Upperbound of 95% confidence interval for beta
    0.52325
  • Lowerbound of 95% confidence interval for alpha
    -0.21991
  • Upperbound of 95% confidence interval for alpha
    0.15212
  • Treynor index (mean / b)
    -0.03169
  • Jensen alpha (a)
    -0.03390
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01639
  • SD
    0.08039
  • Sharpe ratio (Glass type estimate)
    -0.20387
  • Sharpe ratio (Hedges UMVUE)
    -0.20269
  • df
    130.00000
  • t
    -0.14416
  • p
    0.50632
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.97543
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.56841
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.97461
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.56922
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.25583
  • Upside Potential Ratio
    4.26208
  • Upside part of mean
    0.27303
  • Downside part of mean
    -0.28942
  • Upside SD
    0.04806
  • Downside SD
    0.06406
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04392
  • Mean of criterion
    -0.01639
  • SD of predictor
    0.10816
  • SD of criterion
    0.08039
  • Covariance
    0.00490
  • r
    0.56309
  • b (slope, estimate of beta)
    0.41849
  • a (intercept, estimate of alpha)
    -0.03477
  • Mean Square Error
    0.00445
  • DF error
    129.00000
  • t(b)
    7.73898
  • p(b)
    0.16149
  • t(a)
    -0.36855
  • p(a)
    0.52064
  • Lowerbound of 95% confidence interval for beta
    0.31150
  • Upperbound of 95% confidence interval for beta
    0.52548
  • Lowerbound of 95% confidence interval for alpha
    -0.22143
  • Upperbound of 95% confidence interval for alpha
    0.15189
  • Treynor index (mean / b)
    -0.03916
  • Jensen alpha (a)
    -0.03477
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00820
  • Expected Shortfall on VaR
    0.01025
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00247
  • Expected Shortfall on VaR
    0.00564
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96637
  • Quartile 1
    0.99979
  • Median
    1.00009
  • Quartile 3
    1.00106
  • Maximum
    1.02243
  • Mean of quarter 1
    0.99589
  • Mean of quarter 2
    0.99996
  • Mean of quarter 3
    1.00044
  • Mean of quarter 4
    1.00394
  • Inter Quartile Range
    0.00127
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.99049
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.00782
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.91088
  • VaR(95%) (moments method)
    0.00376
  • Expected Shortfall (moments method)
    0.04599
  • Extreme Value Index (regression method)
    1.08548
  • VaR(95%) (regression method)
    0.00291
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00019
  • Median
    0.00061
  • Quartile 3
    0.00175
  • Maximum
    0.06636
  • Mean of quarter 1
    0.00010
  • Mean of quarter 2
    0.00042
  • Mean of quarter 3
    0.00088
  • Mean of quarter 4
    0.01918
  • Inter Quartile Range
    0.00155
  • 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
    0.10526
  • Mean of outliers high
    0.04372
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.38045
  • VaR(95%) (moments method)
    0.01812
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    3.95607
  • VaR(95%) (regression method)
    0.03263
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.01155
  • Compounded annual return (geometric extrapolation)
    0.01158
  • Calmar ratio (compounded annual return / max draw down)
    0.17457
  • Compounded annual return / average of 25% largest draw downs
    0.60412
  • Compounded annual return / Expected Shortfall lognormal
    1.12998

Strategy Description

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

Summary Statistics

Strategy began
2011-11-30
Suggested Minimum Capital
$15,000
# Trades
4641
# Profitable
3226
% Profitable
69.5%
Net Dividends
Correlation S&P500
0.434
Sharpe Ratio
1.041

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.