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ETF Tri
(78921278)

Created by: DanJohnson DanJohnson
Started: 01/2013
Stocks
Last trade: 29 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 $17.00 per month.

6.0%
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.

(20.2%)
Max Drawdown
55
Num Trades
50.9%
Win Trades
4.1 : 1
Profit Factor
54.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2013(0.3%)(1.7%)+3.1%+6.7%(7.3%)(5.3%)+0.4%(4.3%)+2.3%+4.1%(3.4%)(1.1%)(7.5%)
2014+5.2%+3.3%(0.6%)+3.8%+4.1%  -  (1.2%)+4.2%(5.1%)+5.5%+3.6%+3.5%+29.1%
2015+12.2%(5.8%)  -  (2.6%)+0.8%(6.6%)+7.0%(4.5%)+1.5%+2.8%(1.5%)(1.3%)+0.5%
2016+5.5%+2.2%+7.3%(1.5%)+0.8%+8.1%+5.0%(3.4%)(1.3%)(6.1%)(2.1%)+2.3%+17.0%
2017+1.7%+2.1%(0.5%)+0.6%+1.0%+1.7%(0.4%)+3.5%(3.1%)+0.7%+2.8%+1.1%+11.8%
2018(0.7%)(6.6%)+0.5%(1%)+0.8%  -  +0.2%+2.4%(4.9%)(6.1%)+3.1%(1.4%)(13.3%)
2019+4.9%(0.3%)+0.4%                                                      +5.0%

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 81 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/23/18 9:30 ZROZ PIMCO 25+ YR ZERO CPN U.S. TRS LONG 65 112.80 1/14/19 10:15 112.53 1.15%
Trade id #119059333
Max drawdown($175)
Time12/17/18 9:31
Quant open65
Worst price110.10
Drawdown as % of equity-1.15%
($19)
Includes Typical Broker Commissions trade costs of $1.30
5/9/16 9:31 UPRO PROSHARES ULTRAPRO S&P500 LONG 53 24.26 1/14/19 9:30 37.04 0.08%
Trade id #102249078
Max drawdown($12)
Time5/15/16 22:34
Quant open15
Worst price0.00
Drawdown as % of equity-0.08%
$676
Includes Typical Broker Commissions trade costs of $1.06
5/30/17 9:30 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 101 20.20 11/5/18 9:30 15.39 3.49%
Trade id #111828574
Max drawdown($507)
Time11/2/18 15:13
Quant open101
Worst price15.17
Drawdown as % of equity-3.49%
($488)
Includes Typical Broker Commissions trade costs of $2.02
8/22/16 9:31 DZK DIREXION DAILY DEV MKTS BULL 3 LONG 23 50.75 10/1/18 9:41 72.20 n/a $494
Includes Typical Broker Commissions trade costs of $0.46
3/5/18 9:30 SCHR SCHWAB INTERMEDIATE-TERM U.S. LONG 35 52.31 7/23 9:30 52.16 0.04%
Trade id #116858428
Max drawdown($5)
Time7/3/18 9:31
Quant open35
Worst price52.15
Drawdown as % of equity-0.04%
($6)
Includes Typical Broker Commissions trade costs of $0.70
11/20/17 9:30 SCHO SCHWAB SHORT-TERM U.S. TREASUR LONG 155 50.19 7/23/18 9:30 49.65 0.56%
Trade id #114938553
Max drawdown($88)
Time7/2/18 15:12
Quant open155
Worst price49.62
Drawdown as % of equity-0.56%
($87)
Includes Typical Broker Commissions trade costs of $3.10
1/31/13 9:31 DRN DIREXION DAILY REAL ES BULL 3X LONG 270 13.13 3/5/18 9:31 16.31 1.96%
Trade id #78953137
Max drawdown($175)
Time8/19/13 16:01
Quant open22
Worst price34.51
Drawdown as % of equity-1.96%
$855
Includes Typical Broker Commissions trade costs of $5.40
1/29/18 9:30 UGL PROSHARES ULTRA GOLD LONG 45 43.07 3/5 9:30 41.46 0.8%
Trade id #116148584
Max drawdown($126)
Time3/1/18 10:21
Quant open45
Worst price40.26
Drawdown as % of equity-0.80%
($73)
Includes Typical Broker Commissions trade costs of $0.90
5/30/17 9:35 ZROZ PIMCO 25+ YR ZERO CPN U.S. TRS LONG 65 114.51 11/20 9:30 118.93 0.7%
Trade id #111829209
Max drawdown($113)
Time10/25/17 9:31
Quant open65
Worst price112.77
Drawdown as % of equity-0.70%
$286
Includes Typical Broker Commissions trade costs of $1.30
9/11/17 9:31 UGL PROSHARES ULTRA GOLD LONG 45 43.00 10/16 9:31 40.86 1.52%
Trade id #113620600
Max drawdown($245)
Time10/2/17 10:01
Quant open45
Worst price37.55
Drawdown as % of equity-1.52%
($97)
Includes Typical Broker Commissions trade costs of $0.90
12/5/16 9:32 SCHO SCHWAB SHORT-TERM U.S. TREASUR LONG 135 50.41 5/30/17 9:31 50.50 0.04%
Trade id #107728673
Max drawdown($5)
Time5/11/17 9:39
Quant open135
Worst price50.37
Drawdown as % of equity-0.04%
$9
Includes Typical Broker Commissions trade costs of $2.70
4/24/17 9:30 UGL PROSHARES ULTRA GOLD LONG 45 39.86 5/30 9:31 39.29 1.06%
Trade id #111225604
Max drawdown($163)
Time5/9/17 14:40
Quant open45
Worst price36.23
Drawdown as % of equity-1.06%
($27)
Includes Typical Broker Commissions trade costs of $0.90
1/9/17 9:30 SCHR SCHWAB INTERMEDIATE-TERM U.S. LONG 34 53.54 5/30 9:30 54.18 n/a $21
Includes Typical Broker Commissions trade costs of $0.68
2/24/14 9:46 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 138 15.24 1/9/17 9:30 19.45 0.17%
Trade id #86127915
Max drawdown($17)
Time3/11/14 10:38
Quant open18
Worst price49.15
Drawdown as % of equity-0.17%
$577
Includes Typical Broker Commissions trade costs of $2.76
1/25/16 9:31 SPHD INVESCO S&P HIGH DIV LOW VTLY LONG 40 32.25 12/5 9:32 38.70 0.11%
Trade id #100171766
Max drawdown($13)
Time1/25/16 15:42
Quant open40
Worst price31.90
Drawdown as % of equity-0.11%
$257
Includes Typical Broker Commissions trade costs of $0.80
1/25/16 9:30 OUSA OSHARES FTSE US QUALITY DVD ETF LONG 54 23.97 12/5 9:31 26.85 0.08%
Trade id #100171681
Max drawdown($10)
Time1/25/16 15:59
Quant open54
Worst price23.77
Drawdown as % of equity-0.08%
$155
Includes Typical Broker Commissions trade costs of $1.08
1/25/16 9:31 NOBL POWERSHARES S&P 500 ARISTOCRAT LONG 28 46.58 12/5 9:31 53.84 0.1%
Trade id #100171768
Max drawdown($12)
Time1/25/16 15:57
Quant open28
Worst price46.13
Drawdown as % of equity-0.10%
$202
Includes Typical Broker Commissions trade costs of $0.56
1/25/16 9:30 FTCS FIRST TRUST CAPITAL STRENGTH E LONG 36 36.01 12/5 9:30 40.70 0.27%
Trade id #100171739
Max drawdown($36)
Time2/11/16 11:36
Quant open36
Worst price35.00
Drawdown as % of equity-0.27%
$168
Includes Typical Broker Commissions trade costs of $0.72
1/25/16 9:31 FDL FIRST TRUST MORNINGSTAR DIV LE LONG 56 23.17 12/5 9:30 27.19 0.11%
Trade id #100171776
Max drawdown($14)
Time1/25/16 15:40
Quant open56
Worst price22.92
Drawdown as % of equity-0.11%
$224
Includes Typical Broker Commissions trade costs of $1.12
7/18/16 9:30 UGL PROSHARES ULTRA GOLD LONG 46 45.68 8/22 9:31 45.56 0.46%
Trade id #104676297
Max drawdown($74)
Time7/25/16 9:31
Quant open46
Worst price44.07
Drawdown as % of equity-0.46%
($7)
Includes Typical Broker Commissions trade costs of $0.92
10/21/13 9:45 SCHR SCHWAB INTERMEDIATE-TERM U.S. LONG 54 53.29 8/22/16 9:30 54.54 0.14%
Trade id #83609532
Max drawdown($13)
Time2/12/14 9:21
Quant open33
Worst price52.51
Drawdown as % of equity-0.14%
$66
Includes Typical Broker Commissions trade costs of $1.08
5/9/16 9:30 UGL PROSHARES ULTRA GOLD LONG 43 41.67 6/13 9:30 42.53 1.21%
Trade id #102248929
Max drawdown($177)
Time6/1/16 12:15
Quant open43
Worst price37.55
Drawdown as % of equity-1.21%
$36
Includes Typical Broker Commissions trade costs of $0.86
2/29/16 9:30 UGL PROSHARES ULTRA GOLD LONG 44 39.71 4/4 9:31 38.73 0.52%
Trade id #100893453
Max drawdown($75)
Time3/23/16 8:31
Quant open44
Worst price38.00
Drawdown as % of equity-0.52%
($44)
Includes Typical Broker Commissions trade costs of $0.88
1/31/13 9:30 UPRO PROSHARES ULTRAPRO S&P500 LONG 27 34.64 1/25/16 9:30 46.85 0.04%
Trade id #78952695
Max drawdown($3)
Time2/27/13 9:34
Quant open5
Worst price101.55
Drawdown as % of equity-0.04%
$329
Includes Typical Broker Commissions trade costs of $0.54
5/26/15 9:32 ZROZ PIMCO 25+ YR ZERO CPN U.S. TRS LONG 58 111.25 1/25/16 9:30 117.50 0.98%
Trade id #94617311
Max drawdown($125)
Time12/31/15 15:59
Quant open58
Worst price109.08
Drawdown as % of equity-0.98%
$361
Includes Typical Broker Commissions trade costs of $1.16
4/20/15 9:42 DZK DIREXION DAILY DEV MKTS BULL 3 LONG 8 71.32 9/8 9:30 50.92 1.65%
Trade id #93946402
Max drawdown($218)
Time8/24/15 9:37
Quant open8
Worst price44.01
Drawdown as % of equity-1.65%
($163)
Includes Typical Broker Commissions trade costs of $0.16
4/20/15 9:46 RDIV OPPENHEIMER S&P ULTRA DIVIDEND REVENUE ETF LONG 39 30.43 5/26 12:01 30.00 0.16%
Trade id #93946550
Max drawdown($19)
Time5/7/15 9:40
Quant open39
Worst price29.92
Drawdown as % of equity-0.16%
($18)
Includes Typical Broker Commissions trade costs of $0.78
4/20/15 9:48 FTCS FIRST TRUST CAPITAL STRENGTH E LONG 30 38.65 5/26 9:31 39.03 0.19%
Trade id #93946657
Max drawdown($23)
Time4/30/15 15:11
Quant open30
Worst price37.85
Drawdown as % of equity-0.19%
$10
Includes Typical Broker Commissions trade costs of $0.60
4/20/15 9:47 RPV INVESCO S&P 500 PURE VALUE LONG 21 55.35 5/26 9:30 55.47 0.1%
Trade id #93946606
Max drawdown($12)
Time5/7/15 9:39
Quant open21
Worst price54.76
Drawdown as % of equity-0.10%
$3
Includes Typical Broker Commissions trade costs of $0.42
4/20/15 9:44 NOBL POWERSHARES S&P 500 ARISTOCRAT LONG 23 50.58 5/26 9:30 50.80 0.17%
Trade id #93946467
Max drawdown($22)
Time4/30/15 15:11
Quant open23
Worst price49.61
Drawdown as % of equity-0.17%
$5
Includes Typical Broker Commissions trade costs of $0.46

Statistics

  • Strategy began
    1/30/2013
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    2240.83
  • Age
    75 months ago
  • What it trades
    Stocks
  • # Trades
    55
  • # Profitable
    28
  • % Profitable
    50.90%
  • Avg trade duration
    256.2 days
  • Max peak-to-valley drawdown
    20.25%
  • drawdown period
    May 23, 2018 - Nov 02, 2018
  • Annual Return (Compounded)
    6.0%
  • Avg win
    $239.29
  • Avg loss
    $82.93
  • Model Account Values (Raw)
  • Cash
    $11,696
  • Margin Used
    $0
  • Buying Power
    $11,928
  • Ratios
  • W:L ratio
    4.11:1
  • Sharpe Ratio
    0.535
  • Sortino Ratio
    0.724
  • Calmar Ratio
    0.429
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.15500
  • Return Statistics
  • Ann Return (w trading costs)
    6.0%
  • Ann Return (Compnd, No Fees)
    7.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    27.00%
  • Chance of 20% account loss
    7.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    750
  • C2 Score
    77.1
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    7
  • Win / Loss
  • Avg Loss
    $83
  • Avg Win
    $240
  • # Winners
    28
  • # Losers
    27
  • % Winners
    50.9%
  • Frequency
  • Avg Position Time (mins)
    368905.00
  • Avg Position Time (hrs)
    6148.42
  • Avg Trade Length
    256.2 days
  • Last Trade Ago
    31
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05505
  • SD
    0.12019
  • Sharpe ratio (Glass type estimate)
    0.45805
  • Sharpe ratio (Hedges UMVUE)
    0.45319
  • df
    71.00000
  • t
    1.12198
  • p
    0.13282
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34722
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.26013
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.35042
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.25681
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.73947
  • Upside Potential Ratio
    2.54035
  • Upside part of mean
    0.18912
  • Downside part of mean
    -0.13407
  • Upside SD
    0.09463
  • Downside SD
    0.07445
  • N nonnegative terms
    38.00000
  • N negative terms
    34.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    72.00000
  • Mean of predictor
    0.08308
  • Mean of criterion
    0.05505
  • SD of predictor
    0.11110
  • SD of criterion
    0.12019
  • Covariance
    0.00347
  • r
    0.25989
  • b (slope, estimate of beta)
    0.28114
  • a (intercept, estimate of alpha)
    0.03169
  • Mean Square Error
    0.01366
  • DF error
    70.00000
  • t(b)
    2.25180
  • p(b)
    0.01374
  • t(a)
    0.64907
  • p(a)
    0.25921
  • Lowerbound of 95% confidence interval for beta
    0.03213
  • Upperbound of 95% confidence interval for beta
    0.53015
  • Lowerbound of 95% confidence interval for alpha
    -0.06570
  • Upperbound of 95% confidence interval for alpha
    0.12909
  • Treynor index (mean / b)
    0.19581
  • Jensen alpha (a)
    0.03169
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04778
  • SD
    0.11931
  • Sharpe ratio (Glass type estimate)
    0.40046
  • Sharpe ratio (Hedges UMVUE)
    0.39621
  • df
    71.00000
  • t
    0.98092
  • p
    0.16498
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.40379
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.20193
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.40659
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.19901
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.62636
  • Upside Potential Ratio
    2.41734
  • Upside part of mean
    0.18439
  • Downside part of mean
    -0.13661
  • Upside SD
    0.09170
  • Downside SD
    0.07628
  • N nonnegative terms
    38.00000
  • N negative terms
    34.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    72.00000
  • Mean of predictor
    0.07655
  • Mean of criterion
    0.04778
  • SD of predictor
    0.11112
  • SD of criterion
    0.11931
  • Covariance
    0.00342
  • r
    0.25802
  • b (slope, estimate of beta)
    0.27704
  • a (intercept, estimate of alpha)
    0.02657
  • Mean Square Error
    0.01348
  • DF error
    70.00000
  • t(b)
    2.23441
  • p(b)
    0.01433
  • t(a)
    0.54973
  • p(a)
    0.29213
  • Lowerbound of 95% confidence interval for beta
    0.02975
  • Upperbound of 95% confidence interval for beta
    0.52433
  • Lowerbound of 95% confidence interval for alpha
    -0.06983
  • Upperbound of 95% confidence interval for alpha
    0.12297
  • Treynor index (mean / b)
    0.17246
  • Jensen alpha (a)
    0.02657
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05131
  • Expected Shortfall on VaR
    0.06479
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02499
  • Expected Shortfall on VaR
    0.04764
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    72.00000
  • Minimum
    0.92904
  • Quartile 1
    0.98716
  • Median
    1.00556
  • Quartile 3
    1.03079
  • Maximum
    1.09880
  • Mean of quarter 1
    0.96370
  • Mean of quarter 2
    0.99649
  • Mean of quarter 3
    1.01696
  • Mean of quarter 4
    1.05051
  • Inter Quartile Range
    0.04362
  • 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
    0.01389
  • Mean of outliers high
    1.09880
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.59777
  • VaR(95%) (moments method)
    0.03402
  • Expected Shortfall (moments method)
    0.03895
  • Extreme Value Index (regression method)
    -0.50161
  • VaR(95%) (regression method)
    0.04535
  • Expected Shortfall (regression method)
    0.05391
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00591
  • Quartile 1
    0.01840
  • Median
    0.06742
  • Quartile 3
    0.10161
  • Maximum
    0.15055
  • Mean of quarter 1
    0.01273
  • Mean of quarter 2
    0.04855
  • Mean of quarter 3
    0.08855
  • Mean of quarter 4
    0.13401
  • Inter Quartile Range
    0.08321
  • 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)
    -1.58283
  • VaR(95%) (moments method)
    0.14202
  • Expected Shortfall (moments method)
    0.14460
  • Extreme Value Index (regression method)
    0.06099
  • VaR(95%) (regression method)
    0.16019
  • Expected Shortfall (regression method)
    0.19695
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.09580
  • Compounded annual return (geometric extrapolation)
    0.07862
  • Calmar ratio (compounded annual return / max draw down)
    0.52223
  • Compounded annual return / average of 25% largest draw downs
    0.58670
  • Compounded annual return / Expected Shortfall lognormal
    1.21357
  • 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
    0.05161
  • SD
    0.09648
  • Sharpe ratio (Glass type estimate)
    0.53492
  • Sharpe ratio (Hedges UMVUE)
    0.53466
  • df
    1576.00000
  • t
    1.31235
  • p
    0.48348
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.26427
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.33394
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.26444
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.33376
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.72436
  • Upside Potential Ratio
    8.11736
  • Upside part of mean
    0.57832
  • Downside part of mean
    -0.52671
  • Upside SD
    0.06509
  • Downside SD
    0.07124
  • N nonnegative terms
    887.00000
  • N negative terms
    690.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1577.00000
  • Mean of predictor
    0.08558
  • Mean of criterion
    0.05161
  • SD of predictor
    0.13075
  • SD of criterion
    0.09648
  • Covariance
    0.00207
  • r
    0.16407
  • b (slope, estimate of beta)
    0.12106
  • a (intercept, estimate of alpha)
    0.04100
  • Mean Square Error
    0.00906
  • DF error
    1575.00000
  • t(b)
    6.60091
  • p(b)
    0.39602
  • t(a)
    1.06208
  • p(a)
    0.48297
  • Lowerbound of 95% confidence interval for beta
    0.08509
  • Upperbound of 95% confidence interval for beta
    0.15704
  • Lowerbound of 95% confidence interval for alpha
    -0.03493
  • Upperbound of 95% confidence interval for alpha
    0.11742
  • Treynor index (mean / b)
    0.42628
  • Jensen alpha (a)
    0.04125
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04693
  • SD
    0.09667
  • Sharpe ratio (Glass type estimate)
    0.48549
  • Sharpe ratio (Hedges UMVUE)
    0.48526
  • df
    1576.00000
  • t
    1.19110
  • p
    0.48501
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31363
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.28450
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.31380
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.28432
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.65350
  • Upside Potential Ratio
    8.02232
  • Upside part of mean
    0.57615
  • Downside part of mean
    -0.52922
  • Upside SD
    0.06473
  • Downside SD
    0.07182
  • N nonnegative terms
    887.00000
  • N negative terms
    690.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1577.00000
  • Mean of predictor
    0.07700
  • Mean of criterion
    0.04693
  • SD of predictor
    0.13095
  • SD of criterion
    0.09667
  • Covariance
    0.00209
  • r
    0.16508
  • b (slope, estimate of beta)
    0.12187
  • a (intercept, estimate of alpha)
    0.03755
  • Mean Square Error
    0.00910
  • DF error
    1575.00000
  • t(b)
    6.64257
  • p(b)
    0.39539
  • t(a)
    0.96525
  • p(a)
    0.48452
  • Lowerbound of 95% confidence interval for beta
    0.08588
  • Upperbound of 95% confidence interval for beta
    0.15786
  • Lowerbound of 95% confidence interval for alpha
    -0.03875
  • Upperbound of 95% confidence interval for alpha
    0.11385
  • Treynor index (mean / b)
    0.38511
  • Jensen alpha (a)
    0.03755
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00960
  • Expected Shortfall on VaR
    0.01206
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00422
  • Expected Shortfall on VaR
    0.00869
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1577.00000
  • Minimum
    0.95456
  • Quartile 1
    0.99754
  • Median
    1.00066
  • Quartile 3
    1.00343
  • Maximum
    1.02340
  • Mean of quarter 1
    0.99297
  • Mean of quarter 2
    0.99929
  • Mean of quarter 3
    1.00201
  • Mean of quarter 4
    1.00697
  • Inter Quartile Range
    0.00588
  • Number outliers low
    56.00000
  • Percentage of outliers low
    0.03551
  • Mean of outliers low
    0.98340
  • Number of outliers high
    38.00000
  • Percentage of outliers high
    0.02410
  • Mean of outliers high
    1.01575
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17203
  • VaR(95%) (moments method)
    0.00645
  • Expected Shortfall (moments method)
    0.00987
  • Extreme Value Index (regression method)
    0.07357
  • VaR(95%) (regression method)
    0.00667
  • Expected Shortfall (regression method)
    0.00967
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    42.00000
  • Minimum
    0.00055
  • Quartile 1
    0.00323
  • Median
    0.00956
  • Quartile 3
    0.02235
  • Maximum
    0.18130
  • Mean of quarter 1
    0.00157
  • Mean of quarter 2
    0.00596
  • Mean of quarter 3
    0.01671
  • Mean of quarter 4
    0.07865
  • Inter Quartile Range
    0.01912
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.11493
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.06015
  • VaR(95%) (moments method)
    0.06396
  • Expected Shortfall (moments method)
    0.09360
  • Extreme Value Index (regression method)
    -0.09488
  • VaR(95%) (regression method)
    0.08404
  • Expected Shortfall (regression method)
    0.11589
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.09454
  • Compounded annual return (geometric extrapolation)
    0.07771
  • Calmar ratio (compounded annual return / max draw down)
    0.42863
  • Compounded annual return / average of 25% largest draw downs
    0.98806
  • Compounded annual return / Expected Shortfall lognormal
    6.44144
  • 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
    -0.05457
  • SD
    0.06691
  • Sharpe ratio (Glass type estimate)
    -0.81558
  • Sharpe ratio (Hedges UMVUE)
    -0.81086
  • df
    130.00000
  • t
    -0.57670
  • p
    0.52526
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.58771
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.95945
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.58442
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.96270
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.00917
  • Upside Potential Ratio
    6.70863
  • Upside part of mean
    0.36276
  • Downside part of mean
    -0.41733
  • Upside SD
    0.03912
  • Downside SD
    0.05407
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.06589
  • Mean of criterion
    -0.05457
  • SD of predictor
    0.19257
  • SD of criterion
    0.06691
  • Covariance
    0.00222
  • r
    0.17253
  • b (slope, estimate of beta)
    0.05995
  • a (intercept, estimate of alpha)
    -0.05062
  • Mean Square Error
    0.00438
  • DF error
    129.00000
  • t(b)
    1.98944
  • p(b)
    0.39071
  • t(a)
    -0.54089
  • p(a)
    0.53027
  • Lowerbound of 95% confidence interval for beta
    0.00033
  • Upperbound of 95% confidence interval for beta
    0.11956
  • Lowerbound of 95% confidence interval for alpha
    -0.23578
  • Upperbound of 95% confidence interval for alpha
    0.13454
  • Treynor index (mean / b)
    -0.91031
  • Jensen alpha (a)
    -0.05062
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.05680
  • SD
    0.06704
  • Sharpe ratio (Glass type estimate)
    -0.84725
  • Sharpe ratio (Hedges UMVUE)
    -0.84236
  • df
    130.00000
  • t
    -0.59910
  • p
    0.52624
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.61941
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.92803
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.61605
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.93134
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.04562
  • Upside Potential Ratio
    6.66365
  • Upside part of mean
    0.36196
  • Downside part of mean
    -0.41875
  • Upside SD
    0.03900
  • Downside SD
    0.05432
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.08429
  • Mean of criterion
    -0.05680
  • SD of predictor
    0.19255
  • SD of criterion
    0.06704
  • Covariance
    0.00222
  • r
    0.17214
  • b (slope, estimate of beta)
    0.05993
  • a (intercept, estimate of alpha)
    -0.05174
  • Mean Square Error
    0.00439
  • DF error
    129.00000
  • t(b)
    1.98480
  • p(b)
    0.39095
  • t(a)
    -0.55175
  • p(a)
    0.53088
  • Lowerbound of 95% confidence interval for beta
    0.00019
  • Upperbound of 95% confidence interval for beta
    0.11967
  • Lowerbound of 95% confidence interval for alpha
    -0.23730
  • Upperbound of 95% confidence interval for alpha
    0.13381
  • Treynor index (mean / b)
    -0.94768
  • Jensen alpha (a)
    -0.05174
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00700
  • Expected Shortfall on VaR
    0.00872
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00346
  • Expected Shortfall on VaR
    0.00694
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98683
  • Quartile 1
    0.99842
  • Median
    1.00035
  • Quartile 3
    1.00252
  • Maximum
    1.00970
  • Mean of quarter 1
    0.99439
  • Mean of quarter 2
    0.99952
  • Mean of quarter 3
    1.00137
  • Mean of quarter 4
    1.00436
  • Inter Quartile Range
    0.00410
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.98892
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.00970
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.15791
  • VaR(95%) (moments method)
    0.00455
  • Expected Shortfall (moments method)
    0.00594
  • Extreme Value Index (regression method)
    -0.27366
  • VaR(95%) (regression method)
    0.00583
  • Expected Shortfall (regression method)
    0.00746
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.08216
  • Quartile 1
    0.08216
  • Median
    0.08216
  • Quartile 3
    0.08216
  • Maximum
    0.08216
  • 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)
    -0.02868
  • Compounded annual return (geometric extrapolation)
    -0.02848
  • Calmar ratio (compounded annual return / max draw down)
    -0.34660
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -3.26558

Strategy Description

ETF allocation of major asset classes, long-only.
Combination of several strategies.
Uses both leveraged and non-leveraged ETFs.
Usually trades are updated every few weeks, with signals delivered during the weekend, for trade at the weeks opening (market order).
Non-discretionary algorithm.
Can be easily followed manually.

Summary Statistics

Strategy began
2013-01-30
Suggested Minimum Capital
$15,000
# Trades
55
# Profitable
28
% Profitable
50.9%
Net Dividends
Correlation S&P500
0.155
Sharpe Ratio
0.535

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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