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

TECL
(100590387)

Created by: CHARLESYING CHARLESYING
Started: 02/2016
Stocks
Last trade: 11 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.

22.3%
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.

(41.3%)
Max Drawdown
516
Num Trades
58.3%
Win Trades
0.4 : 1
Profit Factor
60.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016       +19.7%+30.9%(16.3%)+15.1%(5%)+24.2%+3.8%+5.6%(5.4%)+2.6%+6.2%+101.4%
2017+11.5%+14.8%+6.2%(4.6%)(1.7%)+3.5%(0.1%)+3.6%+0.2%(1.9%)+0.5%+2.4%+38.0%
2018+1.2%+0.7%(1.6%)(0.1%)+1.6%+2.6%(0.1%)(1.5%)(1.3%)(6.3%)(5.4%)(28.9%)(36.1%)
2019+2.5%+1.0%+1.8%                                                      +5.4%

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
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/26/18 13:30 UBOT DIREXION DAILY ROBOTICS AI AUTO BULL 3X LONG 2,700 7.70 3/13/19 11:25 8.22 0.04%
Trade id #121666867
Max drawdown($194)
Time1/3/19 10:45
Quant open800
Worst price6.47
Drawdown as % of equity-0.04%
$1,373
Includes Typical Broker Commissions trade costs of $28.70
3/4/19 11:02 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 7,700 30.05 3/13 11:24 30.87 0.01%
Trade id #122773165
Max drawdown($62)
Time3/13/19 11:03
Quant open20
Worst price26.92
Drawdown as % of equity-0.01%
$6,245
Includes Typical Broker Commissions trade costs of $60.20
1/4/19 9:50 RETL DIREXION DAILY RETAIL BULL 3X LONG 800 24.71 3/13 11:24 29.27 0.06%
Trade id #121782988
Max drawdown($271)
Time1/4/19 10:15
Quant open800
Worst price24.37
Drawdown as % of equity-0.06%
$3,642
Includes Typical Broker Commissions trade costs of $10.70
1/4/19 10:11 NAIL MARKET VECTORS HOMEBUILDR & SPS BULL 3X LONG 800 26.23 3/13 11:23 32.85 0.06%
Trade id #121783927
Max drawdown($279)
Time1/4/19 10:22
Quant open800
Worst price25.88
Drawdown as % of equity-0.06%
$5,288
Includes Typical Broker Commissions trade costs of $10.50
12/26/18 15:44 MJ ETFMG ALTERNATIVE HARVEST ETF LONG 800 24.92 3/13/19 11:23 28.91 0.02%
Trade id #121668716
Max drawdown($89)
Time12/27/18 14:20
Quant open100
Worst price23.26
Drawdown as % of equity-0.02%
$3,183
Includes Typical Broker Commissions trade costs of $10.70
1/4/19 9:52 GUSH DIREXION DAILY S&P OIL GAS EXPL PROD BUL LONG 1,600 9.24 3/13 11:22 11.25 0.08%
Trade id #121783194
Max drawdown($352)
Time1/4/19 11:26
Quant open1,600
Worst price9.02
Drawdown as % of equity-0.08%
$3,205
Includes Typical Broker Commissions trade costs of $10.20
12/31/18 12:04 GASL DIREXION DAILY NAT GAS RLTD BU LONG 2,400 6.12 3/13/19 11:22 7.52 0.03%
Trade id #121723186
Max drawdown($138)
Time1/2/19 9:36
Quant open300
Worst price4.67
Drawdown as % of equity-0.03%
$3,336
Includes Typical Broker Commissions trade costs of $18.20
11/1/18 9:30 JDST DIREXION DAILY JR GOLD BEAR LONG 1,820 71.34 3/13/19 11:21 73.12 0.66%
Trade id #120664503
Max drawdown($4,410)
Time11/6/18 8:01
Quant open1,000
Worst price66.13
Drawdown as % of equity-0.66%
$3,241
Includes Typical Broker Commissions trade costs of $10.20
1/18/19 14:13 DGAZ VELOCITYSHARES 3X INV NATURAL LONG 2,300 86.61 3/13 11:20 100.02 0.5%
Trade id #122063961
Max drawdown($2,411)
Time1/18/19 14:22
Quant open1,000
Worst price66.15
Drawdown as % of equity-0.50%
$30,828
Includes Typical Broker Commissions trade costs of $21.20
2/25/19 15:59 TECS DIREXION DAILY TECHNOLOGY BEAR 3X LONG 3,800 17.77 3/13 10:36 16.86 0.78%
Trade id #122675199
Max drawdown($3,762)
Time3/13/19 9:57
Quant open3,800
Worst price16.78
Drawdown as % of equity-0.78%
($3,463)
Includes Typical Broker Commissions trade costs of $5.00
3/11/19 14:10 TRNX TARONIS TECHNOLOGIES INC LONG 1,600 0.72 3/13 10:35 0.71 0.01%
Trade id #122867686
Max drawdown($47)
Time3/12/19 11:38
Quant open1,600
Worst price0.69
Drawdown as % of equity-0.01%
($27)
Includes Typical Broker Commissions trade costs of $5.00
3/11/19 14:09 TROV TROVAGENE LONG 2,000 4.71 3/13 10:35 4.58 0.24%
Trade id #122867657
Max drawdown($1,160)
Time3/12/19 16:20
Quant open2,000
Worst price4.13
Drawdown as % of equity-0.24%
($265)
Includes Typical Broker Commissions trade costs of $5.00
3/4/19 15:56 LABD DIREXION DAILY S&P BIOTECH BEAR 3X LONG 2,400 19.06 3/13 10:34 18.68 0.4%
Trade id #122780831
Max drawdown($1,920)
Time3/5/19 14:55
Quant open2,400
Worst price18.26
Drawdown as % of equity-0.40%
($917)
Includes Typical Broker Commissions trade costs of $5.00
3/1/19 15:54 GBTC GRAYSCALE BITCOIN TRUST (BTC) COMMON STOCK LONG 800 4.52 3/11 14:50 4.67 0.04%
Trade id #122757182
Max drawdown($200)
Time3/4/19 13:08
Quant open800
Worst price4.27
Drawdown as % of equity-0.04%
$115
Includes Typical Broker Commissions trade costs of $5.00
1/9/19 15:49 LABD DIREXION DAILY S&P BIOTECH BEAR 3X LONG 4,100 26.72 3/4 15:55 23.32 4.56%
Trade id #121885357
Max drawdown($21,637)
Time3/4/19 9:30
Quant open2,400
Worst price17.70
Drawdown as % of equity-4.56%
($13,929)
Includes Typical Broker Commissions trade costs of $15.50
3/1/19 10:02 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 800 29.45 3/1 15:50 28.34 0.2%
Trade id #122748711
Max drawdown($960)
Time3/1/19 15:31
Quant open800
Worst price28.25
Drawdown as % of equity-0.20%
($893)
Includes Typical Broker Commissions trade costs of $5.00
2/28/19 15:51 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 800 30.52 3/1 9:30 29.16 0.23%
Trade id #122738855
Max drawdown($1,088)
Time3/1/19 9:30
Quant open0
Worst price29.16
Drawdown as % of equity-0.23%
($1,093)
Includes Typical Broker Commissions trade costs of $5.00
2/25/19 15:58 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 800 30.16 2/27 15:59 30.74 0.07%
Trade id #122675158
Max drawdown($320)
Time2/26/19 15:09
Quant open800
Worst price29.76
Drawdown as % of equity-0.07%
$459
Includes Typical Broker Commissions trade costs of $5.00
1/23/19 15:49 TECS DIREXION DAILY TECHNOLOGY BEAR 3X LONG 3,800 23.97 2/25 15:59 17.76 5.29%
Trade id #122141136
Max drawdown($25,034)
Time2/25/19 10:19
Quant open3,800
Worst price17.38
Drawdown as % of equity-5.29%
($23,596)
Includes Typical Broker Commissions trade costs of $5.00
1/31/19 12:28 UGAZ VELOCITYSHARES 3X LONG NATURAL LONG 2,500 37.23 2/15 15:58 29.24 5.51%
Trade id #122295039
Max drawdown($25,947)
Time2/7/19 14:29
Quant open2,500
Worst price26.85
Drawdown as % of equity-5.51%
($19,980)
Includes Typical Broker Commissions trade costs of $5.00
1/23/19 15:43 UGAZ VELOCITYSHARES 3X LONG NATURAL LONG 2,000 43.02 1/31 12:28 37.22 2.95%
Trade id #122140957
Max drawdown($13,840)
Time1/31/19 12:05
Quant open2,000
Worst price36.10
Drawdown as % of equity-2.95%
($11,605)
Includes Typical Broker Commissions trade costs of $5.00
1/18/19 14:13 UGAZ VELOCITYSHARES 3X LONG NATURAL LONG 7,000 49.79 1/23 15:42 45.55 6.26%
Trade id #122063945
Max drawdown($29,684)
Time1/23/19 15:42
Quant open5,000
Worst price42.94
Drawdown as % of equity-6.26%
($29,741)
Includes Typical Broker Commissions trade costs of $57.00
1/23/19 14:45 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 300 53.19 1/23 14:59 52.01 0.07%
Trade id #122139617
Max drawdown($354)
Time1/23/19 14:59
Quant open0
Worst price52.01
Drawdown as % of equity-0.07%
($360)
Includes Typical Broker Commissions trade costs of $6.00
1/23/19 13:06 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 400 54.33 1/23 13:37 53.10 0.1%
Trade id #122137064
Max drawdown($492)
Time1/23/19 13:37
Quant open0
Worst price53.10
Drawdown as % of equity-0.10%
($500)
Includes Typical Broker Commissions trade costs of $8.00
1/22/19 15:41 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 800 50.53 1/22 15:50 51.62 0.09%
Trade id #122117994
Max drawdown($416)
Time1/22/19 15:43
Quant open800
Worst price50.01
Drawdown as % of equity-0.09%
$867
Includes Typical Broker Commissions trade costs of $5.00
1/22/19 15:31 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 800 51.34 1/22 15:39 50.27 0.18%
Trade id #122117566
Max drawdown($856)
Time1/22/19 15:39
Quant open0
Worst price50.27
Drawdown as % of equity-0.18%
($861)
Includes Typical Broker Commissions trade costs of $5.00
1/22/19 14:53 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 800 51.48 1/22 15:04 51.63 0.11%
Trade id #122116022
Max drawdown($536)
Time1/22/19 14:58
Quant open800
Worst price50.81
Drawdown as % of equity-0.11%
$115
Includes Typical Broker Commissions trade costs of $5.00
1/22/19 14:44 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 800 50.60 1/22 14:50 51.20 0.02%
Trade id #122115679
Max drawdown($88)
Time1/22/19 14:47
Quant open800
Worst price50.49
Drawdown as % of equity-0.02%
$475
Includes Typical Broker Commissions trade costs of $5.00
1/22/19 14:14 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 1,600 49.55 1/22 14:30 50.18 0.11%
Trade id #122115130
Max drawdown($543)
Time1/22/19 14:19
Quant open800
Worst price48.97
Drawdown as % of equity-0.11%
$993
Includes Typical Broker Commissions trade costs of $7.50
1/22/19 13:31 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 2,400 49.40 1/22 14:10 49.52 0.15%
Trade id #122114203
Max drawdown($720)
Time1/22/19 13:52
Quant open800
Worst price48.71
Drawdown as % of equity-0.15%
$270
Includes Typical Broker Commissions trade costs of $10.00

Statistics

  • Strategy began
    2/11/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1136.36
  • Age
    38 months ago
  • What it trades
    Stocks
  • # Trades
    516
  • # Profitable
    301
  • % Profitable
    58.30%
  • Avg trade duration
    34.0 days
  • Max peak-to-valley drawdown
    41.26%
  • drawdown period
    June 06, 2018 - Jan 03, 2019
  • Annual Return (Compounded)
    22.3%
  • Avg win
    $692.83
  • Avg loss
    $2,547
  • Model Account Values (Raw)
  • Cash
    $341,668
  • Margin Used
    $0
  • Buying Power
    $897,386
  • Ratios
  • W:L ratio
    0.45:1
  • Sharpe Ratio
    1.022
  • Sortino Ratio
    1.512
  • Calmar Ratio
    0.617
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.34900
  • Return Statistics
  • Ann Return (w trading costs)
    22.3%
  • Ann Return (Compnd, No Fees)
    23.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    39.50%
  • Chance of 20% account loss
    15.50%
  • Chance of 30% account loss
    4.50%
  • Chance of 40% account loss
    1.00%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    489
  • 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
    $2,547
  • Avg Win
    $2,537
  • # Winners
    301
  • # Losers
    215
  • % Winners
    58.3%
  • Frequency
  • Avg Position Time (mins)
    48953.60
  • Avg Position Time (hrs)
    815.89
  • Avg Trade Length
    34.0 days
  • Last Trade Ago
    11
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24949
  • SD
    0.34579
  • Sharpe ratio (Glass type estimate)
    0.72151
  • Sharpe ratio (Hedges UMVUE)
    0.70592
  • df
    35.00000
  • t
    1.24969
  • p
    0.10985
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.42752
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.86057
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43768
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.84952
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.29314
  • Upside Potential Ratio
    2.55025
  • Upside part of mean
    0.49204
  • Downside part of mean
    -0.24254
  • Upside SD
    0.29020
  • Downside SD
    0.19294
  • N nonnegative terms
    23.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    36.00000
  • Mean of predictor
    0.12215
  • Mean of criterion
    0.24949
  • SD of predictor
    0.12974
  • SD of criterion
    0.34579
  • Covariance
    0.02941
  • r
    0.65567
  • b (slope, estimate of beta)
    1.74758
  • a (intercept, estimate of alpha)
    0.03603
  • Mean Square Error
    0.07017
  • DF error
    34.00000
  • t(b)
    5.06347
  • p(b)
    0.00001
  • t(a)
    0.22709
  • p(a)
    0.41086
  • Lowerbound of 95% confidence interval for beta
    1.04618
  • Upperbound of 95% confidence interval for beta
    2.44898
  • Lowerbound of 95% confidence interval for alpha
    -0.28638
  • Upperbound of 95% confidence interval for alpha
    0.35843
  • Treynor index (mean / b)
    0.14277
  • Jensen alpha (a)
    0.03603
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19117
  • SD
    0.33813
  • Sharpe ratio (Glass type estimate)
    0.56538
  • Sharpe ratio (Hedges UMVUE)
    0.55317
  • df
    35.00000
  • t
    0.97927
  • p
    0.16708
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.57781
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.70067
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58581
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.69215
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.87047
  • Upside Potential Ratio
    2.07273
  • Upside part of mean
    0.45522
  • Downside part of mean
    -0.26404
  • Upside SD
    0.25684
  • Downside SD
    0.21962
  • N nonnegative terms
    23.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    36.00000
  • Mean of predictor
    0.11317
  • Mean of criterion
    0.19117
  • SD of predictor
    0.12936
  • SD of criterion
    0.33813
  • Covariance
    0.02894
  • r
    0.66170
  • b (slope, estimate of beta)
    1.72958
  • a (intercept, estimate of alpha)
    -0.00457
  • Mean Square Error
    0.06616
  • DF error
    34.00000
  • t(b)
    5.14606
  • p(b)
    0.00001
  • t(a)
    -0.02978
  • p(a)
    0.51179
  • Lowerbound of 95% confidence interval for beta
    1.04655
  • Upperbound of 95% confidence interval for beta
    2.41262
  • Lowerbound of 95% confidence interval for alpha
    -0.31611
  • Upperbound of 95% confidence interval for alpha
    0.30698
  • Treynor index (mean / b)
    0.11053
  • Jensen alpha (a)
    -0.00457
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13465
  • Expected Shortfall on VaR
    0.16870
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03603
  • Expected Shortfall on VaR
    0.08279
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    36.00000
  • Minimum
    0.72115
  • Quartile 1
    0.98802
  • Median
    1.01869
  • Quartile 3
    1.05208
  • Maximum
    1.38880
  • Mean of quarter 1
    0.92568
  • Mean of quarter 2
    1.00272
  • Mean of quarter 3
    1.02762
  • Mean of quarter 4
    1.13646
  • Inter Quartile Range
    0.06406
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.05556
  • Mean of outliers low
    0.79139
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.05556
  • Mean of outliers high
    1.28346
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.52566
  • VaR(95%) (moments method)
    0.05451
  • Expected Shortfall (moments method)
    0.14005
  • Extreme Value Index (regression method)
    0.67009
  • VaR(95%) (regression method)
    0.09055
  • Expected Shortfall (regression method)
    0.33296
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01255
  • Quartile 1
    0.02707
  • Median
    0.05593
  • Quartile 3
    0.13838
  • Maximum
    0.37248
  • Mean of quarter 1
    0.01981
  • Mean of quarter 2
    0.05593
  • Mean of quarter 3
    0.13838
  • Mean of quarter 4
    0.37248
  • Inter Quartile Range
    0.11131
  • 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
    0.20000
  • Mean of outliers high
    0.37248
  • 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)
    0.30982
  • Compounded annual return (geometric extrapolation)
    0.24493
  • Calmar ratio (compounded annual return / max draw down)
    0.65757
  • Compounded annual return / average of 25% largest draw downs
    0.65757
  • Compounded annual return / Expected Shortfall lognormal
    1.45188
  • 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
    0.21157
  • SD
    0.20673
  • Sharpe ratio (Glass type estimate)
    1.02341
  • Sharpe ratio (Hedges UMVUE)
    1.02245
  • df
    799.00000
  • t
    1.78831
  • p
    0.03705
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.09967
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.14585
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10031
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.14521
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.51179
  • Upside Potential Ratio
    7.72581
  • Upside part of mean
    1.08118
  • Downside part of mean
    -0.86961
  • Upside SD
    0.15254
  • Downside SD
    0.13994
  • N nonnegative terms
    403.00000
  • N negative terms
    397.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    800.00000
  • Mean of predictor
    0.11977
  • Mean of criterion
    0.21157
  • SD of predictor
    0.12726
  • SD of criterion
    0.20673
  • Covariance
    0.00942
  • r
    0.35817
  • b (slope, estimate of beta)
    0.58184
  • a (intercept, estimate of alpha)
    0.14200
  • Mean Square Error
    0.03730
  • DF error
    798.00000
  • t(b)
    10.83680
  • p(b)
    0.00000
  • t(a)
    1.28151
  • p(a)
    0.10019
  • Lowerbound of 95% confidence interval for beta
    0.47645
  • Upperbound of 95% confidence interval for beta
    0.68724
  • Lowerbound of 95% confidence interval for alpha
    -0.07544
  • Upperbound of 95% confidence interval for alpha
    0.35920
  • Treynor index (mean / b)
    0.36361
  • Jensen alpha (a)
    0.14188
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19006
  • SD
    0.20730
  • Sharpe ratio (Glass type estimate)
    0.91684
  • Sharpe ratio (Hedges UMVUE)
    0.91598
  • df
    799.00000
  • t
    1.60210
  • p
    0.05476
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.20598
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.03911
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.20656
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.03852
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.32443
  • Upside Potential Ratio
    7.45431
  • Upside part of mean
    1.06970
  • Downside part of mean
    -0.87964
  • Upside SD
    0.14988
  • Downside SD
    0.14350
  • N nonnegative terms
    403.00000
  • N negative terms
    397.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    800.00000
  • Mean of predictor
    0.11163
  • Mean of criterion
    0.19006
  • SD of predictor
    0.12746
  • SD of criterion
    0.20730
  • Covariance
    0.00945
  • r
    0.35749
  • b (slope, estimate of beta)
    0.58140
  • a (intercept, estimate of alpha)
    0.12516
  • Mean Square Error
    0.03753
  • DF error
    798.00000
  • t(b)
    10.81320
  • p(b)
    0.00000
  • t(a)
    1.12731
  • p(a)
    0.12998
  • Lowerbound of 95% confidence interval for beta
    0.47585
  • Upperbound of 95% confidence interval for beta
    0.68694
  • Lowerbound of 95% confidence interval for alpha
    -0.09277
  • Upperbound of 95% confidence interval for alpha
    0.34309
  • Treynor index (mean / b)
    0.32690
  • Jensen alpha (a)
    0.12516
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02013
  • Expected Shortfall on VaR
    0.02535
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00745
  • Expected Shortfall on VaR
    0.01603
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    800.00000
  • Minimum
    0.89232
  • Quartile 1
    0.99711
  • Median
    1.00014
  • Quartile 3
    1.00491
  • Maximum
    1.07300
  • Mean of quarter 1
    0.98813
  • Mean of quarter 2
    0.99881
  • Mean of quarter 3
    1.00199
  • Mean of quarter 4
    1.01473
  • Inter Quartile Range
    0.00780
  • Number outliers low
    53.00000
  • Percentage of outliers low
    0.06625
  • Mean of outliers low
    0.97366
  • Number of outliers high
    52.00000
  • Percentage of outliers high
    0.06500
  • Mean of outliers high
    1.03015
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.54395
  • VaR(95%) (moments method)
    0.01104
  • Expected Shortfall (moments method)
    0.02766
  • Extreme Value Index (regression method)
    0.34225
  • VaR(95%) (regression method)
    0.01016
  • Expected Shortfall (regression method)
    0.01907
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    37.00000
  • Minimum
    0.00008
  • Quartile 1
    0.00445
  • Median
    0.01043
  • Quartile 3
    0.03452
  • Maximum
    0.39451
  • Mean of quarter 1
    0.00180
  • Mean of quarter 2
    0.00825
  • Mean of quarter 3
    0.02207
  • Mean of quarter 4
    0.11943
  • Inter Quartile Range
    0.03006
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.10811
  • Mean of outliers high
    0.20105
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.64181
  • VaR(95%) (moments method)
    0.12292
  • Expected Shortfall (moments method)
    0.37131
  • Extreme Value Index (regression method)
    1.12904
  • VaR(95%) (regression method)
    0.13408
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.30966
  • Compounded annual return (geometric extrapolation)
    0.24354
  • Calmar ratio (compounded annual return / max draw down)
    0.61733
  • Compounded annual return / average of 25% largest draw downs
    2.03924
  • Compounded annual return / Expected Shortfall lognormal
    9.60604
  • 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
    -0.77843
  • SD
    0.20749
  • Sharpe ratio (Glass type estimate)
    -3.75162
  • Sharpe ratio (Hedges UMVUE)
    -3.72993
  • df
    130.00000
  • t
    -2.65279
  • p
    0.61331
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.55359
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.93570
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.53857
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.92129
  • Statistics related to Sortino ratio
  • Sortino ratio
    -4.38299
  • Upside Potential Ratio
    3.19459
  • Upside part of mean
    0.56737
  • Downside part of mean
    -1.34580
  • Upside SD
    0.11617
  • Downside SD
    0.17760
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.08173
  • Mean of criterion
    -0.77843
  • SD of predictor
    0.19473
  • SD of criterion
    0.20749
  • Covariance
    0.01075
  • r
    0.26599
  • b (slope, estimate of beta)
    0.28341
  • a (intercept, estimate of alpha)
    -0.75527
  • Mean Square Error
    0.04032
  • DF error
    129.00000
  • t(b)
    3.13393
  • p(b)
    0.33269
  • t(a)
    -2.65885
  • p(a)
    0.64384
  • Lowerbound of 95% confidence interval for beta
    0.10449
  • Upperbound of 95% confidence interval for beta
    0.46234
  • Lowerbound of 95% confidence interval for alpha
    -1.31728
  • Upperbound of 95% confidence interval for alpha
    -0.19325
  • Treynor index (mean / b)
    -2.74665
  • Jensen alpha (a)
    -0.75527
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.80103
  • SD
    0.20842
  • Sharpe ratio (Glass type estimate)
    -3.84335
  • Sharpe ratio (Hedges UMVUE)
    -3.82114
  • df
    130.00000
  • t
    -2.71766
  • p
    0.61593
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.64703
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -1.02535
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.63159
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.01069
  • Statistics related to Sortino ratio
  • Sortino ratio
    -4.43233
  • Upside Potential Ratio
    3.10285
  • Upside part of mean
    0.56076
  • Downside part of mean
    -1.36180
  • Upside SD
    0.11356
  • Downside SD
    0.18072
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.10055
  • Mean of criterion
    -0.80103
  • SD of predictor
    0.19473
  • SD of criterion
    0.20842
  • Covariance
    0.01089
  • r
    0.26832
  • b (slope, estimate of beta)
    0.28718
  • a (intercept, estimate of alpha)
    -0.77216
  • Mean Square Error
    0.04062
  • DF error
    129.00000
  • t(b)
    3.16355
  • p(b)
    0.33125
  • t(a)
    -2.70754
  • p(a)
    0.64629
  • Lowerbound of 95% confidence interval for beta
    0.10758
  • Upperbound of 95% confidence interval for beta
    0.46679
  • Lowerbound of 95% confidence interval for alpha
    -1.33641
  • Upperbound of 95% confidence interval for alpha
    -0.20791
  • Treynor index (mean / b)
    -2.78927
  • Jensen alpha (a)
    -0.77216
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02395
  • Expected Shortfall on VaR
    0.02917
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01345
  • Expected Shortfall on VaR
    0.02614
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93897
  • Quartile 1
    0.99593
  • Median
    0.99922
  • Quartile 3
    1.00143
  • Maximum
    1.06426
  • Mean of quarter 1
    0.98209
  • Mean of quarter 2
    0.99785
  • Mean of quarter 3
    1.00025
  • Mean of quarter 4
    1.00845
  • Inter Quartile Range
    0.00550
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.15267
  • Mean of outliers low
    0.97517
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.01961
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.08125
  • VaR(95%) (moments method)
    0.01264
  • Expected Shortfall (moments method)
    0.01729
  • Extreme Value Index (regression method)
    -0.14608
  • VaR(95%) (regression method)
    0.01884
  • Expected Shortfall (regression method)
    0.02591
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01324
  • Quartile 1
    0.10487
  • Median
    0.19649
  • Quartile 3
    0.28812
  • Maximum
    0.37974
  • Mean of quarter 1
    0.01324
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.37974
  • Inter Quartile Range
    0.18325
  • 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)
    -0.64123
  • Compounded annual return (geometric extrapolation)
    -0.53843
  • Calmar ratio (compounded annual return / max draw down)
    -1.41788
  • Compounded annual return / average of 25% largest draw downs
    -1.41788
  • Compounded annual return / Expected Shortfall lognormal
    -18.45710

Strategy Description

Summary Statistics

Strategy began
2016-02-11
Suggested Minimum Capital
$35,000
# Trades
516
# Profitable
301
% Profitable
58.3%
Net Dividends
Correlation S&P500
0.349
Sharpe Ratio
1.022

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.