Spy Strategy
(100866727)
Subscription terms. Subscriptions to this system cost $29.00 per month.
C2Star
C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.
You can read more about C2Star certification requirements here.
Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.
Trendfollowing
Tries to take advantage of long, medium or shortterm moves that seem to play out in various markets. Typically, trendfollowing analysis is backward looking; that is, it attempts to recognize and profit from alreadyestablished trends.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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2016  (1.3%)  +6.0%  +0.9%  +1.8%  +0.9%  +3.6%  +0.1%  (0.9%)  (2.4%)  +1.4%  +1.4%  +11.8%  
2017  +2.4%  +3.9%  (0.9%)  +0.1%    (0.2%)  +1.1%  (0.5%)  +1.5%  +1.5%      +9.2% 
2018        (0.6%)  (0.6%)  +0.1%  +1.4%  +3.1%  +0.1%  +0.1%      +3.5% 
2019      (0.1%)  +3.7%  (2.3%)    +0.6%    +1.8% 
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.
Started  $100,000  
Buy Power  $130,227  
Cash  $130,227  
Equity  $0  
Cumulative $  $30,227  
Includes dividends and cashsettled expirations:  $4,001  Itemized 
Total System Equity  $130,227  
Margined  $0  
Open P/L  $0 
Trading Record
Statistics

Strategy began2/26/2016

Suggested Minimum Cap$15,000

Strategy Age (days)1273.74

Age42 months ago

What it tradesStocks

# Trades25

# Profitable13

% Profitable52.00%

Avg trade duration26.8 days

Max peaktovalley drawdown4.72%

drawdown periodAug 23, 2016  Nov 11, 2016

Annual Return (Compounded)7.5%

Avg win$2,529

Avg loss$555.08
 Model Account Values (Raw)

Cash$130,227

Margin Used$0

Buying Power$130,227
 Ratios

W:L ratio6.14:1

Sharpe Ratio1.04

Sortino Ratio1.61

Calmar Ratio2.104
 CORRELATION STATISTICS

Correlation to SP5000.36860
 Return Statistics

Ann Return (w trading costs)7.5%

Ann Return (Compnd, No Fees)7.9%
 Risk of Ruin (MonteCarlo)

Chance of 10% account lossn/a

Chance of 20% account lossn/a

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)376

Popularity (Last 6 weeks)875
 TradesOwnSystem Certification

Trades Own System?

TOS percentn/a
 Win / Loss

Avg Loss$555

Avg Win$2,530

# Winners13

# Losers12

% Winners52.0%
 Frequency

Avg Position Time (mins)38569.30

Avg Position Time (hrs)642.82

Avg Trade Length26.8 days

Last Trade Ago22
 Leverage

Daily leverage (average)1.00

Daily leverage (max)1.01
 Regression

Alpha0.01

Beta0.13

Treynor Index0.12
 Maximum Adverse Excursion (MAE)

Avg(MAE) / Avg(PL)  All trades1.097

Avg(MAE) / Avg(PL)  Winning trades0.489

Avg(MAE) / Avg(PL)  Losing trades1.902

HoldandHope Ratio0.899
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.06332

SD0.05413

Sharpe ratio (Glass type estimate)1.16972

Sharpe ratio (Hedges UMVUE)1.14445

df35.00000

t2.02602

p0.02522

Lowerbound of 95% confidence interval for Sharpe Ratio0.00220

Upperbound of 95% confidence interval for Sharpe Ratio2.32594

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.01846

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.30736
 Statistics related to Sortino ratio

Sortino ratio2.64013

Upside Potential Ratio4.41734

Upside part of mean0.10594

Downside part of mean0.04262

Upside SD0.05106

Downside SD0.02398

N nonnegative terms21.00000

N negative terms15.00000
 Statistics related to linear regression on benchmark

N of observations36.00000

Mean of predictor0.12061

Mean of criterion0.06332

SD of predictor0.11421

SD of criterion0.05413

Covariance0.00298

r0.48154

b (slope, estimate of beta)0.22823

a (intercept, estimate of alpha)0.03579

Mean Square Error0.00232

DF error34.00000

t(b)3.20374

p(b)0.00147

t(a)1.23047

p(a)0.11348

Lowerbound of 95% confidence interval for beta0.08345

Upperbound of 95% confidence interval for beta0.37300

Lowerbound of 95% confidence interval for alpha0.02332

Upperbound of 95% confidence interval for alpha0.09490

Treynor index (mean / b)0.27743

Jensen alpha (a)0.03579
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.06161

SD0.05350

Sharpe ratio (Glass type estimate)1.15147

Sharpe ratio (Hedges UMVUE)1.12658

df35.00000

t1.99440

p0.02697

Lowerbound of 95% confidence interval for Sharpe Ratio0.01936

Upperbound of 95% confidence interval for Sharpe Ratio2.30679

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.03537

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.28854
 Statistics related to Sortino ratio

Sortino ratio2.55356

Upside Potential Ratio4.32804

Upside part of mean0.10442

Downside part of mean0.04281

Upside SD0.05017

Downside SD0.02413

N nonnegative terms21.00000

N negative terms15.00000
 Statistics related to linear regression on benchmark

N of observations36.00000

Mean of predictor0.11341

Mean of criterion0.06161

SD of predictor0.11460

SD of criterion0.05350

Covariance0.00295

r0.48117

b (slope, estimate of beta)0.22464

a (intercept, estimate of alpha)0.03613

Mean Square Error0.00226

DF error34.00000

t(b)3.20054

p(b)0.00148

t(a)1.26312

p(a)0.10757

Lowerbound of 95% confidence interval for beta0.08200

Upperbound of 95% confidence interval for beta0.36728

Lowerbound of 95% confidence interval for alpha0.02200

Upperbound of 95% confidence interval for alpha0.09426

Treynor index (mean / b)0.27425

Jensen alpha (a)0.03613
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02007

Expected Shortfall on VaR0.02636
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00732

Expected Shortfall on VaR0.01435
 ORDER STATISTICS
 Quartiles of return rates

Number of observations36.00000

Minimum0.97990

Quartile 10.99869

Median1.00501

Quartile 31.01687

Maximum1.04660

Mean of quarter 10.98975

Mean of quarter 21.00126

Mean of quarter 31.01052

Mean of quarter 41.02889

Inter Quartile Range0.01818

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.02778

Mean of outliers high1.04660
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.84503

VaR(95%) (moments method)0.00885

Expected Shortfall (moments method)0.00987

Extreme Value Index (regression method)0.45866

VaR(95%) (regression method)0.01419

Expected Shortfall (regression method)0.01743
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations6.00000

Minimum0.00068

Quartile 10.00605

Median0.01191

Quartile 30.01560

Maximum0.03001

Mean of quarter 10.00257

Mean of quarter 20.01084

Mean of quarter 30.01298

Mean of quarter 40.02324

Inter Quartile Range0.00955

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.16667

Mean of outliers high0.03001
 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)0.10269

Compounded annual return (geometric extrapolation)0.09364

Calmar ratio (compounded annual return / max draw down)3.12070

Compounded annual return / average of 25% largest draw downs4.02883

Compounded annual return / Expected Shortfall lognormal3.55313

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.06016

SD0.04611

Sharpe ratio (Glass type estimate)1.30452

Sharpe ratio (Hedges UMVUE)1.30330

df804.00000

t2.28663

p0.01124

Lowerbound of 95% confidence interval for Sharpe Ratio0.18415

Upperbound of 95% confidence interval for Sharpe Ratio2.42409

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.18333

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.42326
 Statistics related to Sortino ratio

Sortino ratio1.99338

Upside Potential Ratio8.62296

Upside part of mean0.26023

Downside part of mean0.20007

Upside SD0.03503

Downside SD0.03018

N nonnegative terms294.00000

N negative terms511.00000
 Statistics related to linear regression on benchmark

N of observations805.00000

Mean of predictor0.11313

Mean of criterion0.06016

SD of predictor0.13364

SD of criterion0.04611

Covariance0.00224

r0.36343

b (slope, estimate of beta)0.12540

a (intercept, estimate of alpha)0.04600

Mean Square Error0.00185

DF error803.00000

t(b)11.05450

p(b)0.00000

t(a)1.87192

p(a)0.03079

Lowerbound of 95% confidence interval for beta0.10314

Upperbound of 95% confidence interval for beta0.14767

Lowerbound of 95% confidence interval for alpha0.00223

Upperbound of 95% confidence interval for alpha0.09418

Treynor index (mean / b)0.47971

Jensen alpha (a)0.04597
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.05908

SD0.04611

Sharpe ratio (Glass type estimate)1.28148

Sharpe ratio (Hedges UMVUE)1.28028

df804.00000

t2.24625

p0.01248

Lowerbound of 95% confidence interval for Sharpe Ratio0.16118

Upperbound of 95% confidence interval for Sharpe Ratio2.40099

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.16038

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.40018
 Statistics related to Sortino ratio

Sortino ratio1.95079

Upside Potential Ratio8.57117

Upside part of mean0.25959

Downside part of mean0.20051

Upside SD0.03492

Downside SD0.03029

N nonnegative terms294.00000

N negative terms511.00000
 Statistics related to linear regression on benchmark

N of observations805.00000

Mean of predictor0.10416

Mean of criterion0.05908

SD of predictor0.13385

SD of criterion0.04611

Covariance0.00224

r0.36355

b (slope, estimate of beta)0.12523

a (intercept, estimate of alpha)0.04604

Mean Square Error0.00185

DF error803.00000

t(b)11.05880

p(b)0.00000

t(a)1.87561

p(a)0.03054

Lowerbound of 95% confidence interval for beta0.10300

Upperbound of 95% confidence interval for beta0.14745

Lowerbound of 95% confidence interval for alpha0.00214

Upperbound of 95% confidence interval for alpha0.09422

Treynor index (mean / b)0.47181

Jensen alpha (a)0.04604
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00445

Expected Shortfall on VaR0.00563
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00202

Expected Shortfall on VaR0.00413
 ORDER STATISTICS
 Quartiles of return rates

Number of observations805.00000

Minimum0.98297

Quartile 10.99969

Median1.00000

Quartile 31.00132

Maximum1.01188

Mean of quarter 10.99723

Mean of quarter 20.99999

Mean of quarter 31.00030

Mean of quarter 41.00384

Inter Quartile Range0.00163

Number outliers low77.00000

Percentage of outliers low0.09565

Mean of outliers low0.99500

Number of outliers high88.00000

Percentage of outliers high0.10932

Mean of outliers high1.00571
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.09143

VaR(95%) (moments method)0.00247

Expected Shortfall (moments method)0.00374

Extreme Value Index (regression method)0.13708

VaR(95%) (regression method)0.00275

Expected Shortfall (regression method)0.00436
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations37.00000

Minimum0.00003

Quartile 10.00114

Median0.00519

Quartile 30.01191

Maximum0.04320

Mean of quarter 10.00061

Mean of quarter 20.00276

Mean of quarter 30.00947

Mean of quarter 40.02088

Inter Quartile Range0.01076

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.05405

Mean of outliers high0.03566
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.24696

VaR(95%) (moments method)0.02292

Expected Shortfall (moments method)0.03408

Extreme Value Index (regression method)0.83542

VaR(95%) (regression method)0.02233

Expected Shortfall (regression method)0.09287
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.09972

Compounded annual return (geometric extrapolation)0.09089

Calmar ratio (compounded annual return / max draw down)2.10362

Compounded annual return / average of 25% largest draw downs4.35278

Compounded annual return / Expected Shortfall lognormal16.13330

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

Mean0.01266

SD0.04341

Sharpe ratio (Glass type estimate)0.29166

Sharpe ratio (Hedges UMVUE)0.28998

df130.00000

t0.20624

p0.49096

Lowerbound of 95% confidence interval for Sharpe Ratio2.48085

Upperbound of 95% confidence interval for Sharpe Ratio3.06322

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.48205

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.06201
 Statistics related to Sortino ratio

Sortino ratio0.39496

Upside Potential Ratio6.41673

Upside part of mean0.20568

Downside part of mean0.19302

Upside SD0.02903

Downside SD0.03205

N nonnegative terms41.00000

N negative terms90.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.42085

Mean of criterion0.01266

SD of predictor0.16209

SD of criterion0.04341

Covariance0.00200

r0.28423

b (slope, estimate of beta)0.07611

a (intercept, estimate of alpha)0.01937

Mean Square Error0.00175

DF error129.00000

t(b)3.36710

p(b)0.32152

t(a)0.32373

p(a)0.51814

Lowerbound of 95% confidence interval for beta0.03139

Upperbound of 95% confidence interval for beta0.12084

Lowerbound of 95% confidence interval for alpha0.13777

Upperbound of 95% confidence interval for alpha0.09903

Treynor index (mean / b)0.16633

Jensen alpha (a)0.01937
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.01172

SD0.04345

Sharpe ratio (Glass type estimate)0.26979

Sharpe ratio (Hedges UMVUE)0.26823

df130.00000

t0.19077

p0.49163

Lowerbound of 95% confidence interval for Sharpe Ratio2.50269

Upperbound of 95% confidence interval for Sharpe Ratio3.04131

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.50377

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.04023
 Statistics related to Sortino ratio

Sortino ratio0.36430

Upside Potential Ratio6.37830

Upside part of mean0.20524

Downside part of mean0.19351

Upside SD0.02896

Downside SD0.03218

N nonnegative terms41.00000

N negative terms90.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.40751

Mean of criterion0.01172

SD of predictor0.16150

SD of criterion0.04345

Covariance0.00201

r0.28648

b (slope, estimate of beta)0.07707

a (intercept, estimate of alpha)0.01969

Mean Square Error0.00175

DF error129.00000

t(b)3.39613

p(b)0.32015

t(a)0.32910

p(a)0.51844

Lowerbound of 95% confidence interval for beta0.03217

Upperbound of 95% confidence interval for beta0.12198

Lowerbound of 95% confidence interval for alpha0.13804

Upperbound of 95% confidence interval for alpha0.09867

Treynor index (mean / b)0.15209

Jensen alpha (a)0.01969
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00436

Expected Shortfall on VaR0.00548
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00204

Expected Shortfall on VaR0.00425
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.98738

Quartile 11.00000

Median1.00000

Quartile 31.00071

Maximum1.00724

Mean of quarter 10.99736

Mean of quarter 21.00000

Mean of quarter 31.00011

Mean of quarter 41.00315

Inter Quartile Range0.00071

Number outliers low21.00000

Percentage of outliers low0.16031

Mean of outliers low0.99607

Number of outliers high21.00000

Percentage of outliers high0.16031

Mean of outliers high1.00429
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.46951

VaR(95%) (moments method)0.00270

Expected Shortfall (moments method)0.00621

Extreme Value Index (regression method)0.34925

VaR(95%) (regression method)0.00290

Expected Shortfall (regression method)0.00580
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations6.00000

Minimum0.00105

Quartile 10.00117

Median0.00137

Quartile 30.01385

Maximum0.02151

Mean of quarter 10.00110

Mean of quarter 20.00125

Mean of quarter 30.00150

Mean of quarter 40.01974

Inter Quartile Range0.01268

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)0.04002

Compounded annual return (geometric extrapolation)0.04042

Calmar ratio (compounded annual return / max draw down)1.87947

Compounded annual return / average of 25% largest draw downs2.04829

Compounded annual return / Expected Shortfall lognormal7.38126
Strategy Description
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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.