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These are hypothetical performance results that have certain inherent limitations. Learn more

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 12/13/2016
Most recent certification approved 7/18/17 10:59 ET
Trades at broker Interactive Brokers (Stocks / Options)
Scaling percentage used 400%
# trading signals issued by system since certification 2
# trading signals executed in manager's Interactive Brokers (Stocks / Options) account 2
Percent signals followed since 12/13/2016 100%
This information was last updated 1/2/18 9:46 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 12/13/2016, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

ETFs with the odds
(98599432)

Created by: RichardDiehl RichardDiehl
Started: 12/2015
Stocks
Last trade: 293 days ago
Trading style: Equity Trend-following

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.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
15.7%
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.

(21.0%)
Max Drawdown
28
Num Trades
39.3%
Win Trades
3.4 : 1
Profit Factor
71.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                                                             (2.7%)(2.7%)
2016+3.1%(2.7%)+3.8%+0.3%+5.0%(8.1%)+0.9%  -  (0.3%)(3.3%)+6.2%+3.3%+7.5%
2017+3.0%+6.9%(0.1%)+1.6%+2.2%+0.8%+3.6%+0.2%+3.6%+4.4%+5.7%+2.1%+39.2%
2018+11.2%(8.1%)(5.5%)+0.1%+4.3%+1.0%+7.0%+6.1%+0.7%(10%)            +4.8%

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 24 hours.

Trading Record

This strategy has placed 62 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/12/16 9:30 SSO PROSHARES ULTRA S&P500 LONG 800 64.69 6/27 9:38 61.09 6.01%
Trade id #102310618
Max drawdown($3,056)
Time6/27/16 7:51
Quant open800
Worst price60.87
Drawdown as % of equity-6.01%
($2,883)
Includes Typical Broker Commissions trade costs of $5.00
5/4/16 9:30 SSO PROSHARES ULTRA S&P500 LONG 800 63.29 5/11 13:54 64.70 1.32%
Trade id #102173280
Max drawdown($681)
Time5/6/16 8:47
Quant open800
Worst price62.44
Drawdown as % of equity-1.32%
$1,121
Includes Typical Broker Commissions trade costs of $5.00
3/4/16 10:07 SSO PROSHARES ULTRA S&P500 LONG 400 59.69 5/3 9:30 64.23 1.03%
Trade id #100992489
Max drawdown($511)
Time3/10/16 13:14
Quant open400
Worst price58.41
Drawdown as % of equity-1.03%
$1,808
Includes Typical Broker Commissions trade costs of $8.00
3/2/16 12:37 SSO PROSHARES ULTRA S&P500 LONG 400 58.70 3/2 15:58 59.38 0.03%
Trade id #100950649
Max drawdown($13)
Time3/2/16 14:11
Quant open400
Worst price58.67
Drawdown as % of equity-0.03%
$262
Includes Typical Broker Commissions trade costs of $8.00
2/24/16 9:51 SPY SPDR S&P 500 SHORT 250 190.33 2/26 10:21 195.60 3.61%
Trade id #100822906
Max drawdown($1,779)
Time2/26/16 5:04
Quant open-250
Worst price197.45
Drawdown as % of equity-3.61%
($1,322)
Includes Typical Broker Commissions trade costs of $5.00
1/21/16 15:06 SSO PROSHARES ULTRA S&P500 SHORT 800 52.66 1/25 9:32 54.50 3.5%
Trade id #100135641
Max drawdown($1,777)
Time1/22/16 14:18
Quant open-800
Worst price54.88
Drawdown as % of equity-3.50%
($1,480)
Includes Typical Broker Commissions trade costs of $5.00
1/21/16 13:51 SSO PROSHARES ULTRA S&P500 SHORT 800 52.84 1/21 14:57 53.06 0.33%
Trade id #100133970
Max drawdown($174)
Time1/21/16 14:57
Quant open0
Worst price53.06
Drawdown as % of equity-0.33%
($179)
Includes Typical Broker Commissions trade costs of $5.00
1/21/16 10:25 SSO PROSHARES ULTRA S&P500 SHORT 1,000 52.55 1/21 10:34 53.00 0.85%
Trade id #100128509
Max drawdown($450)
Time1/21/16 10:34
Quant open0
Worst price53.00
Drawdown as % of equity-0.85%
($455)
Includes Typical Broker Commissions trade costs of $5.00
1/21/16 9:48 SSO PROSHARES ULTRA S&P500 SHORT 1,000 51.61 1/21 10:23 52.54 2.54%
Trade id #100127073
Max drawdown($1,361)
Time1/21/16 10:21
Quant open-1,000
Worst price52.97
Drawdown as % of equity-2.54%
($941)
Includes Typical Broker Commissions trade costs of $12.50
1/21/16 9:40 SSO PROSHARES ULTRA S&P500 LONG 1,000 52.30 1/21 9:46 51.59 1.31%
Trade id #100126808
Max drawdown($709)
Time1/21/16 9:46
Quant open0
Worst price51.59
Drawdown as % of equity-1.31%
($714)
Includes Typical Broker Commissions trade costs of $5.00
1/20/16 15:53 SSO PROSHARES ULTRA S&P500 SHORT 1,000 52.32 1/21 9:38 52.30 1.79%
Trade id #100110305
Max drawdown($975)
Time1/21/16 8:38
Quant open-1,000
Worst price53.30
Drawdown as % of equity-1.79%
$19
Includes Typical Broker Commissions trade costs of $5.00
1/20/16 12:21 SSO PROSHARES ULTRA S&P500 SHORT 800 49.69 1/20 12:55 49.99 0.44%
Trade id #100103609
Max drawdown($239)
Time1/20/16 12:55
Quant open0
Worst price49.99
Drawdown as % of equity-0.44%
($250)
Includes Typical Broker Commissions trade costs of $10.50
1/12/16 15:51 SSO PROSHARES ULTRA S&P500 SHORT 800 56.72 1/20 11:40 50.64 1.11%
Trade id #99175200
Max drawdown($551)
Time1/13/16 8:39
Quant open-800
Worst price57.41
Drawdown as % of equity-1.11%
$4,851
Includes Typical Broker Commissions trade costs of $10.50
1/20/16 10:31 SH PROSHARES SHORT S&P500 LONG 600 46.25 1/20 11:21 46.30 0.07%
Trade id #100099600
Max drawdown($37)
Time1/20/16 10:33
Quant open1,200
Worst price23.09
Drawdown as % of equity-0.07%
$23
Includes Typical Broker Commissions trade costs of $5.00
1/12/16 12:42 SSO PROSHARES ULTRA S&P500 SHORT 800 55.52 1/12 15:04 56.04 1.24%
Trade id #99171653
Max drawdown($615)
Time1/12/16 14:59
Quant open-800
Worst price56.29
Drawdown as % of equity-1.24%
($420)
Includes Typical Broker Commissions trade costs of $5.00
1/6/16 9:41 SSO PROSHARES ULTRA S&P500 LONG 770 59.81 1/6 10:39 59.97 0.06%
Trade id #99050316
Max drawdown($29)
Time1/6/16 9:48
Quant open770
Worst price59.77
Drawdown as % of equity-0.06%
$119
Includes Typical Broker Commissions trade costs of $5.00
1/5/16 12:50 SSO PROSHARES ULTRA S&P500 SHORT 770 60.72 1/5 13:40 61.17 0.69%
Trade id #99034246
Max drawdown($346)
Time1/5/16 13:40
Quant open0
Worst price61.17
Drawdown as % of equity-0.69%
($351)
Includes Typical Broker Commissions trade costs of $5.00
1/4/16 14:39 SSO PROSHARES ULTRA S&P500 SHORT 770 60.28 1/4 15:34 60.31 0.15%
Trade id #99015081
Max drawdown($76)
Time1/4/16 14:46
Quant open-770
Worst price60.38
Drawdown as % of equity-0.15%
($28)
Includes Typical Broker Commissions trade costs of $5.00
1/4/16 14:02 SSO PROSHARES ULTRA S&P500 SHORT 770 60.34 1/4 14:22 60.66 0.48%
Trade id #99014364
Max drawdown($244)
Time1/4/16 14:22
Quant open0
Worst price60.66
Drawdown as % of equity-0.48%
($249)
Includes Typical Broker Commissions trade costs of $5.00
1/4/16 10:28 SSO PROSHARES ULTRA S&P500 SHORT 770 60.57 1/4 12:43 60.33 n/a $186
Includes Typical Broker Commissions trade costs of $5.00
12/31/15 12:59 SSO PROSHARES ULTRA S&P500 SHORT 725 63.99 1/4/16 9:30 60.81 0.05%
Trade id #98983838
Max drawdown($21)
Time12/31/15 13:02
Quant open-725
Worst price64.02
Drawdown as % of equity-0.05%
$2,301
Includes Typical Broker Commissions trade costs of $5.00
12/30/15 15:34 SSO PROSHARES ULTRA S&P500 SHORT 725 64.44 12/31 11:41 63.61 0.09%
Trade id #98971586
Max drawdown($43)
Time12/30/15 15:44
Quant open-725
Worst price64.50
Drawdown as % of equity-0.09%
$597
Includes Typical Broker Commissions trade costs of $5.00
12/30/15 9:33 SSO PROSHARES ULTRA S&P500 SHORT 725 64.85 12/30 10:54 64.85 0.17%
Trade id #98965148
Max drawdown($79)
Time12/30/15 10:06
Quant open-725
Worst price64.96
Drawdown as % of equity-0.17%
($6)
Includes Typical Broker Commissions trade costs of $5.00
12/28/15 15:30 SSO PROSHARES ULTRA S&P500 SHORT 500 63.70 12/28 15:56 63.78 0.1%
Trade id #98941678
Max drawdown($45)
Time12/28/15 15:35
Quant open-500
Worst price63.79
Drawdown as % of equity-0.10%
($50)
Includes Typical Broker Commissions trade costs of $10.00
12/28/15 12:15 SSO PROSHARES ULTRA S&P500 LONG 730 63.38 12/28 12:23 63.28 0.15%
Trade id #98938855
Max drawdown($73)
Time12/28/15 12:23
Quant open0
Worst price63.28
Drawdown as % of equity-0.15%
($78)
Includes Typical Broker Commissions trade costs of $5.00
12/28/15 10:51 SSO PROSHARES ULTRA S&P500 SHORT 730 63.07 12/28 11:09 63.20 0.2%
Trade id #98937059
Max drawdown($95)
Time12/28/15 11:09
Quant open0
Worst price63.20
Drawdown as % of equity-0.20%
($100)
Includes Typical Broker Commissions trade costs of $5.00
12/2/15 9:30 SSO PROSHARES ULTRA S&P500 LONG 730 66.89 12/28 9:31 63.49 10.7%
Trade id #98600298
Max drawdown($4,912)
Time12/14/15 11:39
Quant open730
Worst price60.16
Drawdown as % of equity-10.70%
($2,486)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    12/2/2015
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1054.91
  • Age
    35 months ago
  • What it trades
    Stocks
  • # Trades
    28
  • # Profitable
    11
  • % Profitable
    39.30%
  • Avg trade duration
    35.3 days
  • Max peak-to-valley drawdown
    20.95%
  • drawdown period
    Jan 26, 2018 - April 02, 2018
  • Annual Return (Compounded)
    15.7%
  • Avg win
    $3,551
  • Avg loss
    $699.29
  • Model Account Values (Raw)
  • Cash
    $26,387
  • Margin Used
    $0
  • Buying Power
    $54,109
  • Ratios
  • W:L ratio
    3.44:1
  • Sharpe Ratio
    0.893
  • Sortino Ratio
    1.192
  • Calmar Ratio
    0.956
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.57100
  • Return Statistics
  • Ann Return (w trading costs)
    15.7%
  • Ann Return (Compnd, No Fees)
    16.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    32.50%
  • Chance of 20% account loss
    8.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    320
  • Popularity (Last 6 weeks)
    892
  • C2 Score
    93.1
  • Trades-Own-System Certification
  • Trades Own System?
    184023
  • TOS percent
    400%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    7
  • Win / Loss
  • Avg Loss
    $699
  • Avg Win
    $3,552
  • # Winners
    11
  • # Losers
    17
  • % Winners
    39.3%
  • Frequency
  • Avg Position Time (mins)
    50901.30
  • Avg Position Time (hrs)
    848.36
  • Avg Trade Length
    35.3 days
  • Last Trade Ago
    293
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19004
  • SD
    0.12396
  • Sharpe ratio (Glass type estimate)
    1.53312
  • Sharpe ratio (Hedges UMVUE)
    1.49685
  • df
    32.00000
  • t
    2.54239
  • p
    0.00802
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.28258
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.76197
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25936
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.73434
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.83598
  • Upside Potential Ratio
    4.34270
  • Upside part of mean
    0.29101
  • Downside part of mean
    -0.10097
  • Upside SD
    0.11584
  • Downside SD
    0.06701
  • N nonnegative terms
    24.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.10204
  • Mean of criterion
    0.19004
  • SD of predictor
    0.09813
  • SD of criterion
    0.12396
  • Covariance
    0.00510
  • r
    0.41891
  • b (slope, estimate of beta)
    0.52918
  • a (intercept, estimate of alpha)
    0.13604
  • Mean Square Error
    0.01308
  • DF error
    31.00000
  • t(b)
    2.56860
  • p(b)
    0.00762
  • t(a)
    1.88706
  • p(a)
    0.03427
  • Lowerbound of 95% confidence interval for beta
    0.10900
  • Upperbound of 95% confidence interval for beta
    0.94936
  • Lowerbound of 95% confidence interval for alpha
    -0.01099
  • Upperbound of 95% confidence interval for alpha
    0.28308
  • Treynor index (mean / b)
    0.35912
  • Jensen alpha (a)
    0.13604
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18085
  • SD
    0.12283
  • Sharpe ratio (Glass type estimate)
    1.47240
  • Sharpe ratio (Hedges UMVUE)
    1.43757
  • df
    32.00000
  • t
    2.44170
  • p
    0.01016
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.22660
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.69719
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.20431
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.67083
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.63496
  • Upside Potential Ratio
    4.13636
  • Upside part of mean
    0.28389
  • Downside part of mean
    -0.10305
  • Upside SD
    0.11244
  • Downside SD
    0.06863
  • N nonnegative terms
    24.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    33.00000
  • Mean of predictor
    0.09673
  • Mean of criterion
    0.18085
  • SD of predictor
    0.09821
  • SD of criterion
    0.12283
  • Covariance
    0.00499
  • r
    0.41333
  • b (slope, estimate of beta)
    0.51693
  • a (intercept, estimate of alpha)
    0.13084
  • Mean Square Error
    0.01291
  • DF error
    31.00000
  • t(b)
    2.52728
  • p(b)
    0.00840
  • t(a)
    1.83456
  • p(a)
    0.03809
  • Lowerbound of 95% confidence interval for beta
    0.09977
  • Upperbound of 95% confidence interval for beta
    0.93408
  • Lowerbound of 95% confidence interval for alpha
    -0.01462
  • Upperbound of 95% confidence interval for alpha
    0.27631
  • Treynor index (mean / b)
    0.34985
  • Jensen alpha (a)
    0.13084
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04233
  • Expected Shortfall on VaR
    0.05633
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01240
  • Expected Shortfall on VaR
    0.02852
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    33.00000
  • Minimum
    0.93986
  • Quartile 1
    1.00039
  • Median
    1.02098
  • Quartile 3
    1.04115
  • Maximum
    1.08581
  • Mean of quarter 1
    0.97148
  • Mean of quarter 2
    1.01502
  • Mean of quarter 3
    1.03330
  • Mean of quarter 4
    1.05870
  • Inter Quartile Range
    0.04075
  • 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 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)
    -1.56372
  • VaR(95%) (regression method)
    0.04380
  • Expected Shortfall (regression method)
    0.04595
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00930
  • Quartile 1
    0.02207
  • Median
    0.02877
  • Quartile 3
    0.07656
  • Maximum
    0.09744
  • Mean of quarter 1
    0.01568
  • Mean of quarter 2
    0.02877
  • Mean of quarter 3
    0.07656
  • Mean of quarter 4
    0.09744
  • Inter Quartile Range
    0.05449
  • 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)
    0.28200
  • Compounded annual return (geometric extrapolation)
    0.23214
  • Calmar ratio (compounded annual return / max draw down)
    2.38238
  • Compounded annual return / average of 25% largest draw downs
    2.38238
  • Compounded annual return / Expected Shortfall lognormal
    4.12104
  • 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
    0.14826
  • SD
    0.16589
  • Sharpe ratio (Glass type estimate)
    0.89372
  • Sharpe ratio (Hedges UMVUE)
    0.89281
  • df
    741.00000
  • t
    1.50401
  • p
    0.06650
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27212
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.05896
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.27273
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.05835
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.19231
  • Upside Potential Ratio
    7.39786
  • Upside part of mean
    0.91989
  • Downside part of mean
    -0.77163
  • Upside SD
    0.11002
  • Downside SD
    0.12434
  • N nonnegative terms
    397.00000
  • N negative terms
    345.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    742.00000
  • Mean of predictor
    0.08048
  • Mean of criterion
    0.14826
  • SD of predictor
    0.12158
  • SD of criterion
    0.16589
  • Covariance
    0.01152
  • r
    0.57105
  • b (slope, estimate of beta)
    0.77914
  • a (intercept, estimate of alpha)
    0.08600
  • Mean Square Error
    0.01857
  • DF error
    740.00000
  • t(b)
    18.92290
  • p(b)
    0.00000
  • t(a)
    1.05564
  • p(a)
    0.14574
  • Lowerbound of 95% confidence interval for beta
    0.69831
  • Upperbound of 95% confidence interval for beta
    0.85997
  • Lowerbound of 95% confidence interval for alpha
    -0.07355
  • Upperbound of 95% confidence interval for alpha
    0.24466
  • Treynor index (mean / b)
    0.19028
  • Jensen alpha (a)
    0.08555
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13436
  • SD
    0.16687
  • Sharpe ratio (Glass type estimate)
    0.80516
  • Sharpe ratio (Hedges UMVUE)
    0.80434
  • df
    741.00000
  • t
    1.35498
  • p
    0.08792
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.36047
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97028
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36103
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.96972
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.06187
  • Upside Potential Ratio
    7.22216
  • Upside part of mean
    0.91382
  • Downside part of mean
    -0.77946
  • Upside SD
    0.10894
  • Downside SD
    0.12653
  • N nonnegative terms
    397.00000
  • N negative terms
    345.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    742.00000
  • Mean of predictor
    0.07305
  • Mean of criterion
    0.13436
  • SD of predictor
    0.12195
  • SD of criterion
    0.16687
  • Covariance
    0.01168
  • r
    0.57389
  • b (slope, estimate of beta)
    0.78531
  • a (intercept, estimate of alpha)
    0.07699
  • Mean Square Error
    0.01870
  • DF error
    740.00000
  • t(b)
    19.06320
  • p(b)
    0.00000
  • t(a)
    0.94684
  • p(a)
    0.17202
  • Lowerbound of 95% confidence interval for beta
    0.70444
  • Upperbound of 95% confidence interval for beta
    0.86618
  • Lowerbound of 95% confidence interval for alpha
    -0.08264
  • Upperbound of 95% confidence interval for alpha
    0.23663
  • Treynor index (mean / b)
    0.17109
  • Jensen alpha (a)
    0.07699
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01631
  • Expected Shortfall on VaR
    0.02053
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00633
  • Expected Shortfall on VaR
    0.01374
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    742.00000
  • Minimum
    0.93818
  • Quartile 1
    0.99717
  • Median
    1.00054
  • Quartile 3
    1.00522
  • Maximum
    1.04536
  • Mean of quarter 1
    0.98927
  • Mean of quarter 2
    0.99922
  • Mean of quarter 3
    1.00257
  • Mean of quarter 4
    1.01163
  • Inter Quartile Range
    0.00805
  • Number outliers low
    30.00000
  • Percentage of outliers low
    0.04043
  • Mean of outliers low
    0.96856
  • Number of outliers high
    28.00000
  • Percentage of outliers high
    0.03774
  • Mean of outliers high
    1.02430
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.59240
  • VaR(95%) (moments method)
    0.01052
  • Expected Shortfall (moments method)
    0.02870
  • Extreme Value Index (regression method)
    0.39058
  • VaR(95%) (regression method)
    0.00935
  • Expected Shortfall (regression method)
    0.01828
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    36.00000
  • Minimum
    0.00016
  • Quartile 1
    0.00219
  • Median
    0.00655
  • Quartile 3
    0.02042
  • Maximum
    0.18420
  • Mean of quarter 1
    0.00099
  • Mean of quarter 2
    0.00443
  • Mean of quarter 3
    0.01271
  • Mean of quarter 4
    0.08108
  • Inter Quartile Range
    0.01823
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.13889
  • Mean of outliers high
    0.12009
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.11733
  • VaR(95%) (moments method)
    0.06641
  • Expected Shortfall (moments method)
    0.10213
  • Extreme Value Index (regression method)
    0.10579
  • VaR(95%) (regression method)
    0.10918
  • Expected Shortfall (regression method)
    0.17513
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.20598
  • Compounded annual return (geometric extrapolation)
    0.17617
  • Calmar ratio (compounded annual return / max draw down)
    0.95639
  • Compounded annual return / average of 25% largest draw downs
    2.17274
  • Compounded annual return / Expected Shortfall lognormal
    8.58063
  • 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
    0.10877
  • SD
    0.16546
  • Sharpe ratio (Glass type estimate)
    0.65738
  • Sharpe ratio (Hedges UMVUE)
    0.65358
  • df
    130.00000
  • t
    0.46483
  • p
    0.47963
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.11679
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.42913
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.11937
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.42652
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.87641
  • Upside Potential Ratio
    8.30719
  • Upside part of mean
    1.03101
  • Downside part of mean
    -0.92224
  • Upside SD
    0.10868
  • Downside SD
    0.12411
  • 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
    0.04972
  • Mean of criterion
    0.10877
  • SD of predictor
    0.10785
  • SD of criterion
    0.16546
  • Covariance
    0.01339
  • r
    0.75021
  • b (slope, estimate of beta)
    1.15097
  • a (intercept, estimate of alpha)
    0.05154
  • Mean Square Error
    0.01206
  • DF error
    129.00000
  • t(b)
    12.88660
  • p(b)
    0.07206
  • t(a)
    0.33169
  • p(a)
    0.48142
  • Lowerbound of 95% confidence interval for beta
    0.97426
  • Upperbound of 95% confidence interval for beta
    1.32768
  • Lowerbound of 95% confidence interval for alpha
    -0.25589
  • Upperbound of 95% confidence interval for alpha
    0.35897
  • Treynor index (mean / b)
    0.09450
  • Jensen alpha (a)
    0.05154
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09506
  • SD
    0.16638
  • Sharpe ratio (Glass type estimate)
    0.57132
  • Sharpe ratio (Hedges UMVUE)
    0.56801
  • df
    130.00000
  • t
    0.40398
  • p
    0.48229
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.20245
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.34291
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.20465
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.34068
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.75452
  • Upside Potential Ratio
    8.13641
  • Upside part of mean
    1.02505
  • Downside part of mean
    -0.93000
  • Upside SD
    0.10787
  • Downside SD
    0.12598
  • 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
    0.04392
  • Mean of criterion
    0.09506
  • SD of predictor
    0.10816
  • SD of criterion
    0.16638
  • Covariance
    0.01350
  • r
    0.75012
  • b (slope, estimate of beta)
    1.15387
  • a (intercept, estimate of alpha)
    0.04438
  • Mean Square Error
    0.01220
  • DF error
    129.00000
  • t(b)
    12.88330
  • p(b)
    0.07210
  • t(a)
    0.28400
  • p(a)
    0.48409
  • Lowerbound of 95% confidence interval for beta
    0.97667
  • Upperbound of 95% confidence interval for beta
    1.33107
  • Lowerbound of 95% confidence interval for alpha
    -0.26478
  • Upperbound of 95% confidence interval for alpha
    0.35354
  • Treynor index (mean / b)
    0.08238
  • Jensen alpha (a)
    0.04438
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01641
  • Expected Shortfall on VaR
    0.02062
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00762
  • Expected Shortfall on VaR
    0.01554
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94732
  • Quartile 1
    0.99533
  • Median
    1.00095
  • Quartile 3
    1.00692
  • Maximum
    1.02643
  • Mean of quarter 1
    0.98803
  • Mean of quarter 2
    0.99832
  • Mean of quarter 3
    1.00389
  • Mean of quarter 4
    1.01195
  • Inter Quartile Range
    0.01158
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.96509
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.02643
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24409
  • VaR(95%) (moments method)
    0.01180
  • Expected Shortfall (moments method)
    0.01896
  • Extreme Value Index (regression method)
    0.31290
  • VaR(95%) (regression method)
    0.01180
  • Expected Shortfall (regression method)
    0.02000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00111
  • Quartile 1
    0.00724
  • Median
    0.02188
  • Quartile 3
    0.02929
  • Maximum
    0.11394
  • Mean of quarter 1
    0.00398
  • Mean of quarter 2
    0.01331
  • Mean of quarter 3
    0.02450
  • Mean of quarter 4
    0.06868
  • Inter Quartile Range
    0.02205
  • 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
    0.08333
  • Mean of outliers high
    0.11394
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.20683
  • VaR(95%) (moments method)
    0.07374
  • Expected Shortfall (moments method)
    0.09405
  • Extreme Value Index (regression method)
    1.41484
  • VaR(95%) (regression method)
    0.11166
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12682
  • Compounded annual return (geometric extrapolation)
    0.13084
  • Calmar ratio (compounded annual return / max draw down)
    1.14832
  • Compounded annual return / average of 25% largest draw downs
    1.90502
  • Compounded annual return / Expected Shortfall lognormal
    6.34628

Strategy Description

Trades 15 times per year on average. Uses SSO on long side, and sh on short side.

Summary Statistics

Strategy began
2015-12-02
Suggested Minimum Capital
$15,000
# Trades
28
# Profitable
11
% Profitable
39.3%
Net Dividends
Correlation S&P500
0.571
Sharpe Ratio
0.893

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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Suggested Minimum Capital

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