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SOXL8
(100410338)

Created by: CHARLESYING CHARLESYING
Started: 02/2016
Stocks
Last trade: 71 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 $240.00 per month.

50.8%
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.

(32.5%)
Max Drawdown
565
Num Trades
47.3%
Win Trades
0.8 : 1
Profit Factor
52.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016       +31.5%+28.4%(14.5%)+29.8%(7.1%)+35.5%+14.8%+12.0%(7.6%)+25.6%+2.6%+260.7%
2017+12.4%+7.5%+5.8%(6.1%)(1.1%)(0.5%)+1.5%+2.1%+0.3%(0.5%)(0.4%)+2.2%+24.4%
2018(0.7%)(1.6%)+3.6%(3.4%)+0.7%+1.0%(0.7%)(1.8%)(0.4%)(13.8%)(6.7%)(8.5%)(29.1%)
2019+10.7%+1.6%+6.6%  -  (0.1%)                                          +19.8%

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.

Trading Record

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Long
Short
Both
Win
Loss
Both
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Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/25/17 10:57 UBIO PROSHARES ULTRAPRO NASDAQ BIOTECHNOLOGY LONG 4,590 32.29 3/13/19 11:31 34.52 0.05%
Trade id #111770092
Max drawdown($601)
Time11/15/17 9:38
Quant open600
Worst price28.42
Drawdown as % of equity-0.05%
$10,169
Includes Typical Broker Commissions trade costs of $53.50
1/4/19 10:37 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,400 37.12 3/13 11:30 39.85 0.04%
Trade id #121785280
Max drawdown($344)
Time1/4/19 10:45
Quant open2,400
Worst price36.98
Drawdown as % of equity-0.04%
$6,525
Includes Typical Broker Commissions trade costs of $14.00
1/18/19 14:10 DGAZ VELOCITYSHARES 3X INV NATURAL LONG 10,670 106.10 3/13 11:17 107.70 2.21%
Trade id #122063867
Max drawdown($20,365)
Time3/6/19 6:54
Quant open1,010
Worst price85.94
Drawdown as % of equity-2.21%
$16,929
Includes Typical Broker Commissions trade costs of $65.70
2/25/19 14:10 LABD DIREXION DAILY S&P BIOTECH BEAR 3X LONG 2,420 20.07 3/13 11:16 22.02 0.62%
Trade id #122672266
Max drawdown($5,735)
Time3/4/19 9:30
Quant open2,420
Worst price17.70
Drawdown as % of equity-0.62%
$4,715
Includes Typical Broker Commissions trade costs of $5.20
3/7/19 9:42 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 52,300 34.25 3/13 10:49 34.26 1.12%
Trade id #122817891
Max drawdown($10,317)
Time3/7/19 13:05
Quant open6,420
Worst price31.98
Drawdown as % of equity-1.12%
$368
Includes Typical Broker Commissions trade costs of $139.20
2/28/19 15:43 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 16,088 7.50 3/13 10:47 7.27 0.74%
Trade id #122738517
Max drawdown($6,797)
Time3/4/19 8:01
Quant open16,088
Worst price7.08
Drawdown as % of equity-0.74%
($3,759)
Includes Typical Broker Commissions trade costs of $17.50
3/1/19 15:46 YANG DIREXION DAILY FTSE CHINA BEAR 3X LONG 1,000 44.90 3/13 10:45 45.30 0.25%
Trade id #122756951
Max drawdown($2,285)
Time3/5/19 15:47
Quant open1,000
Worst price42.61
Drawdown as % of equity-0.25%
$393
Includes Typical Broker Commissions trade costs of $12.50
3/5/19 11:18 GBTC GRAYSCALE BITCOIN TRUST (BTC) COMMON STOCK LONG 11,400 4.61 3/13 10:40 4.65 0%
Trade id #122790551
Max drawdown($30)
Time3/6/19 9:31
Quant open3,000
Worst price4.52
Drawdown as % of equity-0.00%
$513
Includes Typical Broker Commissions trade costs of $15.20
3/7/19 9:30 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 800 32.14 3/7 9:40 33.33 0.01%
Trade id #122817246
Max drawdown($81)
Time3/7/19 9:34
Quant open800
Worst price32.04
Drawdown as % of equity-0.01%
$941
Includes Typical Broker Commissions trade costs of $10.50
3/5/19 11:55 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 600 29.60 3/5 15:22 29.59 0.04%
Trade id #122791642
Max drawdown($354)
Time3/5/19 13:14
Quant open600
Worst price29.01
Drawdown as % of equity-0.04%
($15)
Includes Typical Broker Commissions trade costs of $8.50
3/5/19 11:24 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 400 29.61 3/5 11:37 29.25 0.02%
Trade id #122790640
Max drawdown($143)
Time3/5/19 11:37
Quant open0
Worst price29.25
Drawdown as % of equity-0.02%
($151)
Includes Typical Broker Commissions trade costs of $8.00
3/5/19 11:11 GBTC GRAYSCALE BITCOIN TRUST (BTC) COMMON STOCK LONG 5,000 4.53 3/5 11:14 4.60 n/a $345
Includes Typical Broker Commissions trade costs of $5.00
2/28/19 12:58 GBTC GRAYSCALE BITCOIN TRUST (BTC) COMMON STOCK LONG 5,800 4.51 3/5 11:10 4.51 0.02%
Trade id #122736104
Max drawdown($148)
Time3/4/19 13:08
Quant open800
Worst price4.27
Drawdown as % of equity-0.02%
($47)
Includes Typical Broker Commissions trade costs of $52.00
3/5/19 9:45 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 1,600 30.31 3/5 10:20 30.39 0.12%
Trade id #122788163
Max drawdown($1,097)
Time3/5/19 10:02
Quant open1,600
Worst price29.62
Drawdown as % of equity-0.12%
$122
Includes Typical Broker Commissions trade costs of $9.50
3/1/19 10:01 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 1,600 29.61 3/1 15:44 29.08 0.12%
Trade id #122748652
Max drawdown($1,092)
Time3/1/19 15:31
Quant open800
Worst price28.25
Drawdown as % of equity-0.12%
($866)
Includes Typical Broker Commissions trade costs of $10.00
3/1/19 10:13 JNUG DIREXION DAILY JR GOLD BULL LONG 2,400 10.66 3/1 15:43 9.83 0.22%
Trade id #122749004
Max drawdown($2,021)
Time3/1/19 15:43
Quant open2,400
Worst price9.82
Drawdown as % of equity-0.22%
($2,024)
Includes Typical Broker Commissions trade costs of $26.50
2/28/19 15:49 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 800 30.46 3/1 9:30 29.16 0.11%
Trade id #122738757
Max drawdown($1,040)
Time3/1/19 9:30
Quant open0
Worst price29.16
Drawdown as % of equity-0.11%
($1,045)
Includes Typical Broker Commissions trade costs of $5.00
2/6/19 15:54 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 50,888 7.44 2/28 15:43 7.33 1.42%
Trade id #122402951
Max drawdown($13,127)
Time2/25/19 9:01
Quant open16,088
Worst price6.78
Drawdown as % of equity-1.42%
($5,936)
Includes Typical Broker Commissions trade costs of $60.00
2/28/19 13:46 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 800 30.04 2/28 15:30 30.28 0.02%
Trade id #122736796
Max drawdown($182)
Time2/28/19 14:26
Quant open800
Worst price29.81
Drawdown as % of equity-0.02%
$184
Includes Typical Broker Commissions trade costs of $10.50
2/28/19 10:03 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 2,400 30.72 2/28 11:10 30.76 0%
Trade id #122731932
Max drawdown($40)
Time2/28/19 10:05
Quant open500
Worst price30.33
Drawdown as % of equity-0.00%
$71
Includes Typical Broker Commissions trade costs of $15.50
2/26/19 9:30 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 4,000 30.94 2/27 15:56 30.70 0.28%
Trade id #122684120
Max drawdown($2,600)
Time2/26/19 15:09
Quant open2,400
Worst price29.76
Drawdown as % of equity-0.28%
($1,016)
Includes Typical Broker Commissions trade costs of $52.50
2/26/19 9:36 GBTC GRAYSCALE BITCOIN TRUST (BTC) COMMON STOCK LONG 16,000 4.65 2/26 14:23 4.62 0.32%
Trade id #122684538
Max drawdown($2,926)
Time2/26/19 14:23
Quant open15,000
Worst price4.45
Drawdown as % of equity-0.32%
($462)
Includes Typical Broker Commissions trade costs of $59.50
2/15/19 14:54 LABD DIREXION DAILY S&P BIOTECH BEAR 3X LONG 2,420 22.82 2/25 14:08 20.32 0.77%
Trade id #122552078
Max drawdown($7,139)
Time2/25/19 9:41
Quant open2,420
Worst price19.87
Drawdown as % of equity-0.77%
($6,060)
Includes Typical Broker Commissions trade costs of $5.20
2/25/19 12:28 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 800 28.53 2/25 13:43 28.86 0%
Trade id #122670400
Max drawdown($3)
Time2/25/19 12:30
Quant open100
Worst price28.42
Drawdown as % of equity-0.00%
$253
Includes Typical Broker Commissions trade costs of $10.50
4/17/18 13:19 LABD DIREXION DAILY S&P BIOTECH BEAR 3X LONG 15,200 32.18 2/15/19 14:52 31.46 3.53%
Trade id #117545828
Max drawdown($32,546)
Time2/15/19 12:57
Quant open3,420
Worst price22.66
Drawdown as % of equity-3.53%
($10,909)
Includes Typical Broker Commissions trade costs of $31.00
1/23/19 14:15 YANG DIREXION DAILY FTSE CHINA BEAR 3X LONG 1,000 57.27 2/15 14:41 50.62 1.08%
Trade id #122139043
Max drawdown($9,900)
Time2/5/19 14:58
Quant open1,000
Worst price47.37
Drawdown as % of equity-1.08%
($6,655)
Includes Typical Broker Commissions trade costs of $5.00
1/31/19 11:54 UGAZ VELOCITYSHARES 3X LONG NATURAL LONG 2,500 36.58 2/8 14:32 28.01 2.64%
Trade id #122293945
Max drawdown($24,322)
Time2/7/19 14:29
Quant open2,500
Worst price26.85
Drawdown as % of equity-2.64%
($21,430)
Includes Typical Broker Commissions trade costs of $5.00
2/7/19 11:35 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 800 40.21 2/7 11:51 39.87 0.09%
Trade id #122416800
Max drawdown($800)
Time2/7/19 11:45
Quant open800
Worst price39.21
Drawdown as % of equity-0.09%
($277)
Includes Typical Broker Commissions trade costs of $5.00
2/7/19 10:52 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 300 38.48 2/7 11:27 39.10 0%
Trade id #122415367
Max drawdown($36)
Time2/7/19 10:56
Quant open300
Worst price38.36
Drawdown as % of equity-0.00%
$180
Includes Typical Broker Commissions trade costs of $6.00
2/7/19 10:05 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 300 38.51 2/7 10:12 37.62 0.03%
Trade id #122414033
Max drawdown($268)
Time2/7/19 10:12
Quant open0
Worst price37.62
Drawdown as % of equity-0.03%
($274)
Includes Typical Broker Commissions trade costs of $6.00

Statistics

  • Strategy began
    2/8/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1186.08
  • Age
    40 months ago
  • What it trades
    Stocks
  • # Trades
    565
  • # Profitable
    267
  • % Profitable
    47.30%
  • Avg trade duration
    20.2 days
  • Max peak-to-valley drawdown
    32.49%
  • drawdown period
    April 17, 2018 - Dec 31, 2018
  • Annual Return (Compounded)
    50.8%
  • Avg win
    $1,600
  • Avg loss
    $3,335
  • Model Account Values (Raw)
  • Cash
    $683,261
  • Margin Used
    $0
  • Buying Power
    $1,798,681
  • Ratios
  • W:L ratio
    0.80:1
  • Sharpe Ratio
    1.3
  • Sortino Ratio
    2.07
  • Calmar Ratio
    1.762
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.31620
  • Return Statistics
  • Ann Return (w trading costs)
    50.8%
  • Ann Return (Compnd, No Fees)
    51.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    36.00%
  • Chance of 20% account loss
    18.00%
  • Chance of 30% account loss
    6.50%
  • Chance of 40% account loss
    1.00%
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    354
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    8
  • Win / Loss
  • Avg Loss
    $3,336
  • Avg Win
    $5,777
  • # Winners
    267
  • # Losers
    298
  • % Winners
    47.3%
  • Frequency
  • Avg Position Time (mins)
    29155.20
  • Avg Position Time (hrs)
    485.92
  • Avg Trade Length
    20.2 days
  • Last Trade Ago
    57
  • Unknown
  • Alpha
    0.09
  • Beta
    0.70
  • Treynor Index
    0.17
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49260
  • SD
    0.40779
  • Sharpe ratio (Glass type estimate)
    1.20797
  • Sharpe ratio (Hedges UMVUE)
    1.18260
  • df
    36.00000
  • t
    2.12112
  • p
    0.02043
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.04980
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.35040
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.03347
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.33172
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.79676
  • Upside Potential Ratio
    5.24203
  • Upside part of mean
    0.68011
  • Downside part of mean
    -0.18751
  • Upside SD
    0.40643
  • Downside SD
    0.12974
  • N nonnegative terms
    21.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    37.00000
  • Mean of predictor
    0.12255
  • Mean of criterion
    0.49260
  • SD of predictor
    0.12819
  • SD of criterion
    0.40779
  • Covariance
    0.02036
  • r
    0.38953
  • b (slope, estimate of beta)
    1.23918
  • a (intercept, estimate of alpha)
    0.34074
  • Mean Square Error
    0.14509
  • DF error
    35.00000
  • t(b)
    2.50214
  • p(b)
    0.00858
  • t(a)
    1.51267
  • p(a)
    0.06967
  • Lowerbound of 95% confidence interval for beta
    0.23377
  • Upperbound of 95% confidence interval for beta
    2.24459
  • Lowerbound of 95% confidence interval for alpha
    -0.11656
  • Upperbound of 95% confidence interval for alpha
    0.79803
  • Treynor index (mean / b)
    0.39752
  • Jensen alpha (a)
    0.34074
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41379
  • SD
    0.36563
  • Sharpe ratio (Glass type estimate)
    1.13171
  • Sharpe ratio (Hedges UMVUE)
    1.10794
  • df
    36.00000
  • t
    1.98723
  • p
    0.02727
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.02191
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.27050
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.03721
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.25310
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.01381
  • Upside Potential Ratio
    4.44237
  • Upside part of mean
    0.60993
  • Downside part of mean
    -0.19614
  • Upside SD
    0.35424
  • Downside SD
    0.13730
  • N nonnegative terms
    21.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    37.00000
  • Mean of predictor
    0.11360
  • Mean of criterion
    0.41379
  • SD of predictor
    0.12967
  • SD of criterion
    0.36563
  • Covariance
    0.01899
  • r
    0.40048
  • b (slope, estimate of beta)
    1.12919
  • a (intercept, estimate of alpha)
    0.28551
  • Mean Square Error
    0.11545
  • DF error
    35.00000
  • t(b)
    2.58566
  • p(b)
    0.00702
  • t(a)
    1.42928
  • p(a)
    0.08090
  • Lowerbound of 95% confidence interval for beta
    0.24262
  • Upperbound of 95% confidence interval for beta
    2.01576
  • Lowerbound of 95% confidence interval for alpha
    -0.12002
  • Upperbound of 95% confidence interval for alpha
    0.69105
  • Treynor index (mean / b)
    0.36645
  • Jensen alpha (a)
    0.28551
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12988
  • Expected Shortfall on VaR
    0.16680
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03219
  • Expected Shortfall on VaR
    0.06880
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    37.00000
  • Minimum
    0.85860
  • Quartile 1
    0.99372
  • Median
    1.00718
  • Quartile 3
    1.06244
  • Maximum
    1.42428
  • Mean of quarter 1
    0.94691
  • Mean of quarter 2
    1.00071
  • Mean of quarter 3
    1.02823
  • Mean of quarter 4
    1.20838
  • Inter Quartile Range
    0.06872
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.05405
  • Mean of outliers low
    0.87200
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.13514
  • Mean of outliers high
    1.29474
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.96444
  • VaR(95%) (moments method)
    0.04761
  • Expected Shortfall (moments method)
    1.47957
  • Extreme Value Index (regression method)
    0.58169
  • VaR(95%) (regression method)
    0.04733
  • Expected Shortfall (regression method)
    0.13948
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.14140
  • Quartile 1
    0.17796
  • Median
    0.21451
  • Quartile 3
    0.25107
  • Maximum
    0.28763
  • Mean of quarter 1
    0.14140
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.28763
  • Inter Quartile Range
    0.07311
  • 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)
    0.94170
  • Compounded annual return (geometric extrapolation)
    0.55534
  • Calmar ratio (compounded annual return / max draw down)
    1.93078
  • Compounded annual return / average of 25% largest draw downs
    1.93078
  • Compounded annual return / Expected Shortfall lognormal
    3.32943
  • 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
    0.44195
  • SD
    0.27963
  • Sharpe ratio (Glass type estimate)
    1.58050
  • Sharpe ratio (Hedges UMVUE)
    1.57907
  • df
    828.00000
  • t
    2.81139
  • p
    0.00252
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.47557
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.68451
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47460
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.68353
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.48319
  • Upside Potential Ratio
    8.01017
  • Upside part of mean
    1.42563
  • Downside part of mean
    -0.98368
  • Upside SD
    0.21718
  • Downside SD
    0.17798
  • N nonnegative terms
    413.00000
  • N negative terms
    416.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    829.00000
  • Mean of predictor
    0.11839
  • Mean of criterion
    0.44195
  • SD of predictor
    0.12633
  • SD of criterion
    0.27963
  • Covariance
    0.01092
  • r
    0.30909
  • b (slope, estimate of beta)
    0.68417
  • a (intercept, estimate of alpha)
    0.36100
  • Mean Square Error
    0.07081
  • DF error
    827.00000
  • t(b)
    9.34632
  • p(b)
    -0.00000
  • t(a)
    2.40885
  • p(a)
    0.00811
  • Lowerbound of 95% confidence interval for beta
    0.54048
  • Upperbound of 95% confidence interval for beta
    0.82785
  • Lowerbound of 95% confidence interval for alpha
    0.06683
  • Upperbound of 95% confidence interval for alpha
    0.65507
  • Treynor index (mean / b)
    0.64597
  • Jensen alpha (a)
    0.36095
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40237
  • SD
    0.28059
  • Sharpe ratio (Glass type estimate)
    1.43404
  • Sharpe ratio (Hedges UMVUE)
    1.43274
  • df
    828.00000
  • t
    2.55086
  • p
    0.00546
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.32961
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.53763
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.32873
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.53674
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.17285
  • Upside Potential Ratio
    7.57436
  • Upside part of mean
    1.40264
  • Downside part of mean
    -1.00027
  • Upside SD
    0.21204
  • Downside SD
    0.18518
  • N nonnegative terms
    413.00000
  • N negative terms
    416.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    829.00000
  • Mean of predictor
    0.11037
  • Mean of criterion
    0.40237
  • SD of predictor
    0.12653
  • SD of criterion
    0.28059
  • Covariance
    0.01093
  • r
    0.30794
  • b (slope, estimate of beta)
    0.68285
  • a (intercept, estimate of alpha)
    0.32701
  • Mean Square Error
    0.07135
  • DF error
    827.00000
  • t(b)
    9.30776
  • p(b)
    -0.00000
  • t(a)
    2.17449
  • p(a)
    0.01498
  • Lowerbound of 95% confidence interval for beta
    0.53885
  • Upperbound of 95% confidence interval for beta
    0.82685
  • Lowerbound of 95% confidence interval for alpha
    0.03183
  • Upperbound of 95% confidence interval for alpha
    0.62219
  • Treynor index (mean / b)
    0.58926
  • Jensen alpha (a)
    0.32701
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02662
  • Expected Shortfall on VaR
    0.03362
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00843
  • Expected Shortfall on VaR
    0.01864
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    829.00000
  • Minimum
    0.84598
  • Quartile 1
    0.99725
  • Median
    1.00010
  • Quartile 3
    1.00438
  • Maximum
    1.08673
  • Mean of quarter 1
    0.98612
  • Mean of quarter 2
    0.99913
  • Mean of quarter 3
    1.00166
  • Mean of quarter 4
    1.02034
  • Inter Quartile Range
    0.00713
  • Number outliers low
    67.00000
  • Percentage of outliers low
    0.08082
  • Mean of outliers low
    0.97068
  • Number of outliers high
    91.00000
  • Percentage of outliers high
    0.10977
  • Mean of outliers high
    1.03518
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.56848
  • VaR(95%) (moments method)
    0.01171
  • Expected Shortfall (moments method)
    0.03141
  • Extreme Value Index (regression method)
    0.28249
  • VaR(95%) (regression method)
    0.01174
  • Expected Shortfall (regression method)
    0.02142
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    29.00000
  • Minimum
    0.00097
  • Quartile 1
    0.01217
  • Median
    0.03513
  • Quartile 3
    0.09059
  • Maximum
    0.30518
  • Mean of quarter 1
    0.00748
  • Mean of quarter 2
    0.02126
  • Mean of quarter 3
    0.05743
  • Mean of quarter 4
    0.17402
  • Inter Quartile Range
    0.07842
  • 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
    0.06897
  • Mean of outliers high
    0.26419
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.04434
  • VaR(95%) (moments method)
    0.17364
  • Expected Shortfall (moments method)
    0.22240
  • Extreme Value Index (regression method)
    0.17375
  • VaR(95%) (regression method)
    0.20028
  • Expected Shortfall (regression method)
    0.29168
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.91713
  • Compounded annual return (geometric extrapolation)
    0.53769
  • Calmar ratio (compounded annual return / max draw down)
    1.76186
  • Compounded annual return / average of 25% largest draw downs
    3.08991
  • Compounded annual return / Expected Shortfall lognormal
    15.99220
  • 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
    -0.02203
  • SD
    0.20437
  • Sharpe ratio (Glass type estimate)
    -0.10779
  • Sharpe ratio (Hedges UMVUE)
    -0.10716
  • df
    130.00000
  • t
    -0.07622
  • p
    0.50334
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.87950
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.66417
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.87900
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.66467
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.21297
  • Upside Potential Ratio
    6.97348
  • Upside part of mean
    0.72127
  • Downside part of mean
    -0.74330
  • Upside SD
    0.17536
  • Downside SD
    0.10343
  • N nonnegative terms
    55.00000
  • N negative terms
    76.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14092
  • Mean of criterion
    -0.02203
  • SD of predictor
    0.17594
  • SD of criterion
    0.20437
  • Covariance
    0.01178
  • r
    0.32774
  • b (slope, estimate of beta)
    0.38070
  • a (intercept, estimate of alpha)
    -0.07568
  • Mean Square Error
    0.03757
  • DF error
    129.00000
  • t(b)
    3.93999
  • p(b)
    0.29515
  • t(a)
    -0.27574
  • p(a)
    0.51545
  • Lowerbound of 95% confidence interval for beta
    0.18953
  • Upperbound of 95% confidence interval for beta
    0.57188
  • Lowerbound of 95% confidence interval for alpha
    -0.61869
  • Upperbound of 95% confidence interval for alpha
    0.46733
  • Treynor index (mean / b)
    -0.05786
  • Jensen alpha (a)
    -0.07568
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04217
  • SD
    0.20012
  • Sharpe ratio (Glass type estimate)
    -0.21075
  • Sharpe ratio (Hedges UMVUE)
    -0.20953
  • df
    130.00000
  • t
    -0.14902
  • p
    0.50653
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.98231
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.56154
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.98145
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.56239
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.40364
  • Upside Potential Ratio
    6.76146
  • Upside part of mean
    0.70646
  • Downside part of mean
    -0.74864
  • Upside SD
    0.16980
  • Downside SD
    0.10448
  • N nonnegative terms
    55.00000
  • N negative terms
    76.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12555
  • Mean of criterion
    -0.04217
  • SD of predictor
    0.17564
  • SD of criterion
    0.20012
  • Covariance
    0.01154
  • r
    0.32831
  • b (slope, estimate of beta)
    0.37405
  • a (intercept, estimate of alpha)
    -0.08914
  • Mean Square Error
    0.03601
  • DF error
    129.00000
  • t(b)
    3.94770
  • p(b)
    0.29481
  • t(a)
    -0.33183
  • p(a)
    0.51859
  • Lowerbound of 95% confidence interval for beta
    0.18658
  • Upperbound of 95% confidence interval for beta
    0.56152
  • Lowerbound of 95% confidence interval for alpha
    -0.62061
  • Upperbound of 95% confidence interval for alpha
    0.44233
  • Treynor index (mean / b)
    -0.11275
  • Jensen alpha (a)
    -0.08914
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02029
  • Expected Shortfall on VaR
    0.02533
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00712
  • Expected Shortfall on VaR
    0.01428
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96798
  • Quartile 1
    0.99733
  • Median
    1.00000
  • Quartile 3
    1.00145
  • Maximum
    1.07400
  • Mean of quarter 1
    0.98967
  • Mean of quarter 2
    0.99930
  • Mean of quarter 3
    1.00040
  • Mean of quarter 4
    1.01074
  • Inter Quartile Range
    0.00412
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.98188
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.03211
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.03796
  • VaR(95%) (moments method)
    0.00778
  • Expected Shortfall (moments method)
    0.01074
  • Extreme Value Index (regression method)
    -0.05215
  • VaR(95%) (regression method)
    0.01018
  • Expected Shortfall (regression method)
    0.01438
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.17412
  • Quartile 1
    0.17412
  • Median
    0.17412
  • Quartile 3
    0.17412
  • Maximum
    0.17412
  • 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)
    -0.01422
  • Compounded annual return (geometric extrapolation)
    -0.01417
  • Calmar ratio (compounded annual return / max draw down)
    -0.08136
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.55935

Strategy Description

Summary Statistics

Strategy began
2016-02-08
Suggested Minimum Capital
$35,000
# Trades
565
# Profitable
267
% Profitable
47.3%
Net Dividends
Correlation S&P500
0.316
Sharpe Ratio
1.30
Sortino Ratio
2.07
Beta
0.70
Alpha
0.09

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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