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QuantAlphaMR
(68456563)

Created by: TimSimons TimSimons
Started: 11/2011
Stocks
Last trade: 9 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.

8.9%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(14.7%)
Max Drawdown
5279
Num Trades
69.0%
Win Trades
1.7 : 1
Profit Factor
70.0%
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%)+8.7%+1.4%+2.1%+0.9%+0.7%(0.4%)+1.5%+3.3%
2020(4.2%)+7.9%                                                            +3.3%

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 4,964 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/10/20 9:30 GRMN GARMIN LONG 30 96.02 2/14 9:30 98.14 0%
Trade id #127435680
Max drawdown($5)
Time2/10/20 9:33
Quant open30
Worst price95.85
Drawdown as % of equity-0.00%
$63
Includes Typical Broker Commissions trade costs of $0.60
1/21/20 9:30 FANG DIAMONDBACK ENERGY INC LONG 32 89.42 2/14 9:30 75.00 0.28%
Trade id #127113640
Max drawdown($566)
Time2/10/20 0:00
Quant open32
Worst price71.72
Drawdown as % of equity-0.28%
($462)
Includes Typical Broker Commissions trade costs of $0.64
1/6/20 9:30 BWA BORGWARNER LONG 68 42.00 2/13 9:30 34.46 0.3%
Trade id #126879798
Max drawdown($601)
Time2/10/20 0:00
Quant open68
Worst price33.15
Drawdown as % of equity-0.30%
($514)
Includes Typical Broker Commissions trade costs of $1.36
2/4/20 9:30 PSX PHILLIPS 66 LONG 32 90.57 2/13 9:30 91.00 0.04%
Trade id #127353010
Max drawdown($73)
Time2/4/20 15:47
Quant open32
Worst price88.28
Drawdown as % of equity-0.04%
$13
Includes Typical Broker Commissions trade costs of $0.64
1/15/20 9:30 PVH PVH LONG 58 97.95 2/13 9:30 88.61 0.37%
Trade id #127007850
Max drawdown($745)
Time2/10/20 0:00
Quant open58
Worst price85.10
Drawdown as % of equity-0.37%
($543)
Includes Typical Broker Commissions trade costs of $1.16
1/22/20 9:30 COP CONOCOPHILLIPS LONG 45 63.76 2/13 9:30 59.09 0.18%
Trade id #127140801
Max drawdown($329)
Time2/4/20 0:00
Quant open45
Worst price56.43
Drawdown as % of equity-0.18%
($211)
Includes Typical Broker Commissions trade costs of $0.90
1/29/20 9:30 RCL ROYAL CARIBBEAN CRUISES LONG 24 121.48 2/13 9:30 115.37 0.14%
Trade id #127265704
Max drawdown($287)
Time2/10/20 0:00
Quant open24
Worst price109.52
Drawdown as % of equity-0.14%
($147)
Includes Typical Broker Commissions trade costs of $0.48
1/29/20 9:30 GWW W.W. GRAINGER LONG 8 325.15 2/13 9:30 308.95 0.12%
Trade id #127265707
Max drawdown($246)
Time2/10/20 0:00
Quant open8
Worst price294.34
Drawdown as % of equity-0.12%
($130)
Includes Typical Broker Commissions trade costs of $0.16
2/4/20 9:30 PKI PERKINELMER LONG 31 93.86 2/12 9:30 96.47 0.02%
Trade id #127352985
Max drawdown($48)
Time2/10/20 0:00
Quant open31
Worst price92.29
Drawdown as % of equity-0.02%
$80
Includes Typical Broker Commissions trade costs of $0.62
2/3/20 9:30 A AGILENT TECHNOLOGIES LONG 35 83.29 2/12 9:30 85.40 0.02%
Trade id #127333786
Max drawdown($41)
Time2/3/20 15:58
Quant open35
Worst price82.11
Drawdown as % of equity-0.02%
$73
Includes Typical Broker Commissions trade costs of $0.70
1/28/20 9:30 MTD METTLER-TOLEDO INTL LONG 9 773.91 2/10 9:30 785.24 0.08%
Trade id #127248111
Max drawdown($155)
Time2/4/20 0:00
Quant open6
Worst price756.61
Drawdown as % of equity-0.08%
$102
Includes Typical Broker Commissions trade costs of $0.18
2/3/20 9:30 KR KROGER LONG 107 27.01 2/6 9:31 28.23 0.01%
Trade id #127333800
Max drawdown($14)
Time2/3/20 15:00
Quant open107
Worst price26.87
Drawdown as % of equity-0.01%
$129
Includes Typical Broker Commissions trade costs of $2.14
1/28/20 9:30 HUM HUMANA LONG 24 340.78 2/6 9:30 366.75 0.07%
Trade id #127248093
Max drawdown($126)
Time2/3/20 0:00
Quant open8
Worst price332.26
Drawdown as % of equity-0.07%
$623
Includes Typical Broker Commissions trade costs of $0.48
2/4/20 9:30 CI CIGNA LONG 15 194.16 2/6 9:30 211.75 0%
Trade id #127353034
Max drawdown($3)
Time2/4/20 9:32
Quant open15
Worst price193.90
Drawdown as % of equity-0.00%
$264
Includes Typical Broker Commissions trade costs of $0.30
2/3/20 9:30 SWKS SKYWORKS SOLUTIONS LONG 25 113.12 2/6 9:30 119.66 0.01%
Trade id #127333751
Max drawdown($10)
Time2/3/20 9:51
Quant open25
Worst price112.70
Drawdown as % of equity-0.01%
$164
Includes Typical Broker Commissions trade costs of $0.50
1/22/20 9:30 MRO MARATHON OIL LONG 225 12.78 2/6 9:30 12.22 0.18%
Trade id #127140839
Max drawdown($344)
Time2/3/20 0:00
Quant open225
Worst price11.25
Drawdown as % of equity-0.18%
($131)
Includes Typical Broker Commissions trade costs of $4.50
1/24/20 9:30 BKNG BOOKING HOLDINGS INC. COMMON STOCK LONG 1 1998.00 2/6 9:30 1958.90 0.09%
Trade id #127199499
Max drawdown($177)
Time1/31/20 0:00
Quant open1
Worst price1820.44
Drawdown as % of equity-0.09%
($39)
Includes Typical Broker Commissions trade costs of $0.02
1/22/20 9:30 SLB SCHLUMBERGER LONG 157 36.51 2/6 9:30 35.22 0.29%
Trade id #127140719
Max drawdown($550)
Time1/30/20 0:00
Quant open157
Worst price33.00
Drawdown as % of equity-0.29%
($205)
Includes Typical Broker Commissions trade costs of $3.14
2/3/20 9:30 QRVO QORVO INC. COMMON STOCK LONG 27 106.16 2/6 9:30 111.40 0%
Trade id #127333784
Max drawdown($6)
Time2/3/20 9:31
Quant open27
Worst price105.93
Drawdown as % of equity-0.00%
$140
Includes Typical Broker Commissions trade costs of $0.54
1/30/20 9:30 ETFC E*TRADE FINANCIAL CORP LONG 66 43.42 2/6 9:30 45.04 0.04%
Trade id #127285715
Max drawdown($78)
Time2/3/20 0:00
Quant open66
Worst price42.23
Drawdown as % of equity-0.04%
$106
Includes Typical Broker Commissions trade costs of $1.32
1/28/20 9:30 AMGN AMGEN LONG 13 223.57 2/6 9:30 233.72 0.09%
Trade id #127248090
Max drawdown($176)
Time1/31/20 0:00
Quant open13
Worst price210.01
Drawdown as % of equity-0.09%
$132
Includes Typical Broker Commissions trade costs of $0.26
1/28/20 9:30 EOG EOG RESOURCES LONG 74 77.57 2/6 9:30 77.40 0.25%
Trade id #127248103
Max drawdown($466)
Time2/3/20 0:00
Quant open74
Worst price71.27
Drawdown as % of equity-0.25%
($14)
Includes Typical Broker Commissions trade costs of $1.48
1/23/20 9:30 NOV NATIONAL OILWELL VARCO LONG 126 22.51 2/6 9:30 22.42 0.15%
Trade id #127171863
Max drawdown($278)
Time1/30/20 0:00
Quant open126
Worst price20.30
Drawdown as % of equity-0.15%
($14)
Includes Typical Broker Commissions trade costs of $2.52
2/4/20 9:31 IEX IDEX LONG 17 167.69 2/6 9:30 170.98 0%
Trade id #127353171
Max drawdown($1)
Time2/4/20 9:32
Quant open17
Worst price167.59
Drawdown as % of equity-0.00%
$56
Includes Typical Broker Commissions trade costs of $0.34
2/3/20 9:30 BBY BEST BUY LONG 68 85.39 2/6 9:30 90.03 0.02%
Trade id #127333782
Max drawdown($32)
Time2/3/20 9:33
Quant open68
Worst price84.91
Drawdown as % of equity-0.02%
$315
Includes Typical Broker Commissions trade costs of $1.36
1/30/20 9:30 EMR EMERSON ELECTRIC LONG 79 72.54 2/6 9:30 76.63 0.04%
Trade id #127285714
Max drawdown($70)
Time1/31/20 0:00
Quant open39
Worst price71.20
Drawdown as % of equity-0.04%
$321
Includes Typical Broker Commissions trade costs of $1.58
1/28/20 9:30 SCHW CHARLES SCHWAB LONG 63 46.14 2/6 9:30 48.64 0.02%
Trade id #127248091
Max drawdown($47)
Time1/30/20 0:00
Quant open63
Worst price45.39
Drawdown as % of equity-0.02%
$157
Includes Typical Broker Commissions trade costs of $1.26
1/24/20 9:30 PXD PIONEER NATURAL RESOURCES LONG 40 140.10 2/6 9:30 142.82 0.17%
Trade id #127199454
Max drawdown($312)
Time2/3/20 0:00
Quant open40
Worst price132.29
Drawdown as % of equity-0.17%
$108
Includes Typical Broker Commissions trade costs of $0.80
2/3/20 9:30 PNR PENTAIR LONG 67 43.38 2/6 9:30 44.78 0.01%
Trade id #127333834
Max drawdown($21)
Time2/3/20 9:34
Quant open67
Worst price43.06
Drawdown as % of equity-0.01%
$93
Includes Typical Broker Commissions trade costs of $1.34
1/28/20 9:30 DISCA DISCOVERY COMMUNICATIONS LONG 96 30.35 2/6 9:30 30.81 0.06%
Trade id #127248028
Max drawdown($122)
Time1/31/20 0:00
Quant open96
Worst price29.07
Drawdown as % of equity-0.06%
$42
Includes Typical Broker Commissions trade costs of $1.92

Statistics

  • Strategy began
    11/30/2011
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    3007.21
  • Age
    100 months ago
  • What it trades
    Stocks
  • # Trades
    5279
  • # Profitable
    3643
  • % Profitable
    69.00%
  • Avg trade duration
    9.4 days
  • Max peak-to-valley drawdown
    14.69%
  • drawdown period
    Oct 01, 2018 - May 31, 2019
  • Annual Return (Compounded)
    8.9%
  • Avg win
    $76.92
  • Avg loss
    $104.37
  • Model Account Values (Raw)
  • Cash
    $209,704
  • Margin Used
    $0
  • Buying Power
    $209,720
  • Ratios
  • W:L ratio
    1.73:1
  • Sharpe Ratio
    0.69
  • Sortino Ratio
    1.06
  • Calmar Ratio
    0.779
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -65.78%
  • Correlation to SP500
    0.43150
  • Return Percent SP500 (cumu) during strategy life
    167.67%
  • Return Statistics
  • Ann Return (w trading costs)
    8.9%
  • Slump
  • Current Slump as Pcnt Equity
    0.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.089%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    9.8%
  • 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 100% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    408
  • Popularity (Last 6 weeks)
    745
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    564
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $104
  • Avg Win
    $77
  • Sum Trade PL (losers)
    $170,748.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    100
  • Win / Loss
  • Sum Trade PL (winners)
    $280,230.000
  • # Winners
    3643
  • Num Months Winners
    71
  • Dividends
  • Dividends Received in Model Acct
    7218
  • AUM
  • AUM (AutoTrader live capital)
    205864
  • Win / Loss
  • # Losers
    1636
  • % Winners
    69.0%
  • Frequency
  • Avg Position Time (mins)
    13957.10
  • Avg Position Time (hrs)
    232.62
  • Avg Trade Length
    9.7 days
  • Last Trade Ago
    3
  • Regression
  • Alpha
    0.01
  • Beta
    0.28
  • Treynor Index
    0.07
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    53.17
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    73.48
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.20
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    6.006
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.834
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.050
  • Hold-and-Hope Ratio
    0.166
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07125
  • SD
    0.07806
  • Sharpe ratio (Glass type estimate)
    0.91278
  • Sharpe ratio (Hedges UMVUE)
    0.90563
  • df
    96.00000
  • t
    2.59515
  • p
    0.00547
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.20917
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.61183
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.20446
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.60680
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.49971
  • Upside Potential Ratio
    2.81796
  • Upside part of mean
    0.13387
  • Downside part of mean
    -0.06263
  • Upside SD
    0.06478
  • Downside SD
    0.04751
  • N nonnegative terms
    62.00000
  • N negative terms
    35.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    97.00000
  • Mean of predictor
    0.10184
  • Mean of criterion
    0.07125
  • SD of predictor
    0.11906
  • SD of criterion
    0.07806
  • Covariance
    0.00445
  • r
    0.47939
  • b (slope, estimate of beta)
    0.31430
  • a (intercept, estimate of alpha)
    0.03924
  • Mean Square Error
    0.00474
  • DF error
    95.00000
  • t(b)
    5.32417
  • p(b)
    0.00000
  • t(a)
    1.57238
  • p(a)
    0.05959
  • Lowerbound of 95% confidence interval for beta
    0.19710
  • Upperbound of 95% confidence interval for beta
    0.43149
  • Lowerbound of 95% confidence interval for alpha
    -0.01030
  • Upperbound of 95% confidence interval for alpha
    0.08878
  • Treynor index (mean / b)
    0.22669
  • Jensen alpha (a)
    0.03924
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06788
  • SD
    0.07786
  • Sharpe ratio (Glass type estimate)
    0.87184
  • Sharpe ratio (Hedges UMVUE)
    0.86502
  • df
    96.00000
  • t
    2.47876
  • p
    0.00746
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16937
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.56994
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.16487
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.56516
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.39467
  • Upside Potential Ratio
    2.70223
  • Upside part of mean
    0.13153
  • Downside part of mean
    -0.06364
  • Upside SD
    0.06336
  • Downside SD
    0.04867
  • N nonnegative terms
    62.00000
  • N negative terms
    35.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    97.00000
  • Mean of predictor
    0.09420
  • Mean of criterion
    0.06788
  • SD of predictor
    0.11931
  • SD of criterion
    0.07786
  • Covariance
    0.00453
  • r
    0.48775
  • b (slope, estimate of beta)
    0.31831
  • a (intercept, estimate of alpha)
    0.03790
  • Mean Square Error
    0.00467
  • DF error
    95.00000
  • t(b)
    5.44568
  • p(b)
    0.00000
  • t(a)
    1.53719
  • p(a)
    0.06378
  • Lowerbound of 95% confidence interval for beta
    0.20227
  • Upperbound of 95% confidence interval for beta
    0.43435
  • Lowerbound of 95% confidence interval for alpha
    -0.01105
  • Upperbound of 95% confidence interval for alpha
    0.08685
  • Treynor index (mean / b)
    0.21327
  • Jensen alpha (a)
    0.03790
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03083
  • Expected Shortfall on VaR
    0.03986
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00935
  • Expected Shortfall on VaR
    0.02121
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    97.00000
  • Minimum
    0.93447
  • Quartile 1
    0.99817
  • Median
    1.00687
  • Quartile 3
    1.02013
  • Maximum
    1.06396
  • Mean of quarter 1
    0.98261
  • Mean of quarter 2
    1.00349
  • Mean of quarter 3
    1.01167
  • Mean of quarter 4
    1.03637
  • Inter Quartile Range
    0.02196
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.04124
  • Mean of outliers low
    0.94406
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.03093
  • Mean of outliers high
    1.05925
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.54072
  • VaR(95%) (moments method)
    0.01030
  • Expected Shortfall (moments method)
    0.02754
  • Extreme Value Index (regression method)
    0.01864
  • VaR(95%) (regression method)
    0.01728
  • Expected Shortfall (regression method)
    0.02709
  • 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)
    0.14463
  • Compounded annual return (geometric extrapolation)
    0.10053
  • Calmar ratio (compounded annual return / max draw down)
    1.00181
  • Compounded annual return / average of 25% largest draw downs
    1.73748
  • Compounded annual return / Expected Shortfall lognormal
    2.52232
  • 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
    0.07034
  • SD
    0.07868
  • Sharpe ratio (Glass type estimate)
    0.89398
  • Sharpe ratio (Hedges UMVUE)
    0.89367
  • df
    2128.00000
  • t
    2.54839
  • p
    0.00545
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.20581
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58198
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.20558
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.58175
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.37979
  • Upside Potential Ratio
    6.68960
  • Upside part of mean
    0.34103
  • Downside part of mean
    -0.27069
  • Upside SD
    0.06007
  • Downside SD
    0.05098
  • N nonnegative terms
    1013.00000
  • N negative terms
    1116.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2129.00000
  • Mean of predictor
    0.10165
  • Mean of criterion
    0.07034
  • SD of predictor
    0.12924
  • SD of criterion
    0.07868
  • Covariance
    0.00441
  • r
    0.43370
  • b (slope, estimate of beta)
    0.26404
  • a (intercept, estimate of alpha)
    0.04400
  • Mean Square Error
    0.00503
  • DF error
    2127.00000
  • t(b)
    22.19860
  • p(b)
    -0.00000
  • t(a)
    1.74662
  • p(a)
    0.04042
  • Lowerbound of 95% confidence interval for beta
    0.24072
  • Upperbound of 95% confidence interval for beta
    0.28737
  • Lowerbound of 95% confidence interval for alpha
    -0.00534
  • Upperbound of 95% confidence interval for alpha
    0.09235
  • Treynor index (mean / b)
    0.26640
  • Jensen alpha (a)
    0.04350
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06723
  • SD
    0.07862
  • Sharpe ratio (Glass type estimate)
    0.85514
  • Sharpe ratio (Hedges UMVUE)
    0.85483
  • df
    2128.00000
  • t
    2.43765
  • p
    0.00743
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16701
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.54309
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.16679
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.54287
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.30515
  • Upside Potential Ratio
    6.58487
  • Upside part of mean
    0.33922
  • Downside part of mean
    -0.27198
  • Upside SD
    0.05952
  • Downside SD
    0.05151
  • N nonnegative terms
    1013.00000
  • N negative terms
    1116.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    2129.00000
  • Mean of predictor
    0.09326
  • Mean of criterion
    0.06723
  • SD of predictor
    0.12939
  • SD of criterion
    0.07862
  • Covariance
    0.00442
  • r
    0.43464
  • b (slope, estimate of beta)
    0.26411
  • a (intercept, estimate of alpha)
    0.04260
  • Mean Square Error
    0.00502
  • DF error
    2127.00000
  • t(b)
    22.25780
  • p(b)
    -0.00000
  • t(a)
    1.71302
  • p(a)
    0.04343
  • Lowerbound of 95% confidence interval for beta
    0.24084
  • Upperbound of 95% confidence interval for beta
    0.28738
  • Lowerbound of 95% confidence interval for alpha
    -0.00617
  • Upperbound of 95% confidence interval for alpha
    0.09138
  • Treynor index (mean / b)
    0.25457
  • Jensen alpha (a)
    0.04260
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00770
  • Expected Shortfall on VaR
    0.00971
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00238
  • Expected Shortfall on VaR
    0.00529
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    2129.00000
  • Minimum
    0.95130
  • Quartile 1
    0.99939
  • Median
    1.00007
  • Quartile 3
    1.00099
  • Maximum
    1.03451
  • Mean of quarter 1
    0.99628
  • Mean of quarter 2
    0.99981
  • Mean of quarter 3
    1.00041
  • Mean of quarter 4
    1.00501
  • Inter Quartile Range
    0.00160
  • Number outliers low
    178.00000
  • Percentage of outliers low
    0.08361
  • Mean of outliers low
    0.99175
  • Number of outliers high
    231.00000
  • Percentage of outliers high
    0.10850
  • Mean of outliers high
    1.00906
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.70116
  • VaR(95%) (moments method)
    0.00355
  • Expected Shortfall (moments method)
    0.01325
  • Extreme Value Index (regression method)
    0.39516
  • VaR(95%) (regression method)
    0.00295
  • Expected Shortfall (regression method)
    0.00602
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    153.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00059
  • Median
    0.00266
  • Quartile 3
    0.00788
  • Maximum
    0.12818
  • Mean of quarter 1
    0.00025
  • Mean of quarter 2
    0.00151
  • Mean of quarter 3
    0.00454
  • Mean of quarter 4
    0.02632
  • Inter Quartile Range
    0.00729
  • 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
    0.11111
  • Mean of outliers high
    0.04437
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.64525
  • VaR(95%) (moments method)
    0.02753
  • Expected Shortfall (moments method)
    0.08296
  • Extreme Value Index (regression method)
    0.61824
  • VaR(95%) (regression method)
    0.02612
  • Expected Shortfall (regression method)
    0.07276
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.14355
  • Compounded annual return (geometric extrapolation)
    0.09981
  • Calmar ratio (compounded annual return / max draw down)
    0.77873
  • Compounded annual return / average of 25% largest draw downs
    3.79208
  • Compounded annual return / Expected Shortfall lognormal
    10.27560
  • 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
    0.10583
  • SD
    0.07791
  • Sharpe ratio (Glass type estimate)
    1.35842
  • Sharpe ratio (Hedges UMVUE)
    1.35057
  • df
    130.00000
  • t
    0.96055
  • p
    0.45803
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.42084
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.13260
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.42609
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.12723
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.73789
  • Upside Potential Ratio
    8.70175
  • Upside part of mean
    0.33635
  • Downside part of mean
    -0.23052
  • Upside SD
    0.06761
  • Downside SD
    0.03865
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25875
  • Mean of criterion
    0.10583
  • SD of predictor
    0.10687
  • SD of criterion
    0.07791
  • Covariance
    0.00445
  • r
    0.53417
  • b (slope, estimate of beta)
    0.38939
  • a (intercept, estimate of alpha)
    0.00508
  • Mean Square Error
    0.00437
  • DF error
    129.00000
  • t(b)
    7.17672
  • p(b)
    0.17688
  • t(a)
    0.05369
  • p(a)
    0.49699
  • Lowerbound of 95% confidence interval for beta
    0.28204
  • Upperbound of 95% confidence interval for beta
    0.49674
  • Lowerbound of 95% confidence interval for alpha
    -0.18199
  • Upperbound of 95% confidence interval for alpha
    0.19214
  • Treynor index (mean / b)
    0.27178
  • Jensen alpha (a)
    0.00508
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10281
  • SD
    0.07739
  • Sharpe ratio (Glass type estimate)
    1.32853
  • Sharpe ratio (Hedges UMVUE)
    1.32085
  • df
    130.00000
  • t
    0.93941
  • p
    0.45894
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.45052
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.10250
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.45560
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.09730
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.64670
  • Upside Potential Ratio
    8.59981
  • Upside part of mean
    0.33406
  • Downside part of mean
    -0.23125
  • Upside SD
    0.06689
  • Downside SD
    0.03885
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25291
  • Mean of criterion
    0.10281
  • SD of predictor
    0.10708
  • SD of criterion
    0.07739
  • Covariance
    0.00444
  • r
    0.53526
  • b (slope, estimate of beta)
    0.38685
  • a (intercept, estimate of alpha)
    0.00497
  • Mean Square Error
    0.00431
  • DF error
    129.00000
  • t(b)
    7.19729
  • p(b)
    0.17629
  • t(a)
    0.05302
  • p(a)
    0.49703
  • VAR (95 Confidence Intrvl)
    0.00800
  • Lowerbound of 95% confidence interval for beta
    0.28051
  • Upperbound of 95% confidence interval for beta
    0.49319
  • Lowerbound of 95% confidence interval for alpha
    -0.18060
  • Upperbound of 95% confidence interval for alpha
    0.19054
  • Treynor index (mean / b)
    0.26577
  • Jensen alpha (a)
    0.00497
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00744
  • Expected Shortfall on VaR
    0.00942
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00209
  • Expected Shortfall on VaR
    0.00449
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98602
  • Quartile 1
    0.99946
  • Median
    1.00004
  • Quartile 3
    1.00077
  • Maximum
    1.02734
  • Mean of quarter 1
    0.99691
  • Mean of quarter 2
    0.99982
  • Mean of quarter 3
    1.00035
  • Mean of quarter 4
    1.00496
  • Inter Quartile Range
    0.00130
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.99352
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.12214
  • Mean of outliers high
    1.00889
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.61460
  • VaR(95%) (moments method)
    0.00297
  • Expected Shortfall (moments method)
    0.00898
  • Extreme Value Index (regression method)
    0.26527
  • VaR(95%) (regression method)
    0.00314
  • Expected Shortfall (regression method)
    0.00588
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00063
  • Median
    0.00272
  • Quartile 3
    0.00523
  • Maximum
    0.03648
  • Mean of quarter 1
    0.00027
  • Mean of quarter 2
    0.00138
  • Mean of quarter 3
    0.00360
  • Mean of quarter 4
    0.01836
  • Inter Quartile Range
    0.00459
  • 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
    0.14286
  • Mean of outliers high
    0.03026
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.17481
  • VaR(95%) (moments method)
    0.01676
  • Expected Shortfall (moments method)
    0.02725
  • Extreme Value Index (regression method)
    0.60493
  • VaR(95%) (regression method)
    0.02844
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.08328
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -297853000
  • Max Equity Drawdown (num days)
    242
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13509
  • Compounded annual return (geometric extrapolation)
    0.13965
  • Calmar ratio (compounded annual return / max draw down)
    3.82787
  • Compounded annual return / average of 25% largest draw downs
    7.60798
  • Compounded annual return / Expected Shortfall lognormal
    14.81950

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
5279
# Profitable
3643
% Profitable
69.0%
Net Dividends
Correlation S&P500
0.431
Sharpe Ratio
0.69
Sortino Ratio
1.06
Beta
0.28
Alpha
0.01

Latest Activity

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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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