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EScalade
(120592986)

Created by: Heath Heath
Started: 10/2018
Futures
Last trade: 248 days ago
Trading style: Futures Trend-following Short Term

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 $80.00 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.

Trading Category: Futures
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
24.3%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(16.7%)
Max Drawdown
35
Num Trades
80.0%
Win Trades
1.8 : 1
Profit Factor
20.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                               +19.3%+23.1%(15.4%)+24.3%
2019  -    -    -    -    -    -    -                          0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 48 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/17/18 9:58 @ESH9 E-MINI S&P 500 SHORT 1 2579.25 12/17 10:12 2587.24 5.8%
Trade id #121526296
Max drawdown($399)
Time12/17/18 10:12
Quant open0
Worst price2587.24
Drawdown as % of equity-5.80%
($407)
Includes Typical Broker Commissions trade costs of $8.00
12/6/18 13:03 @ESZ8 E-MINI S&P 500 LONG 1 2659.32 12/6 13:19 2651.56 5.23%
Trade id #121381607
Max drawdown($388)
Time12/6/18 13:19
Quant open0
Worst price2651.56
Drawdown as % of equity-5.23%
($396)
Includes Typical Broker Commissions trade costs of $8.00
12/6/18 11:34 @ESZ8 E-MINI S&P 500 SHORT 1 2630.21 12/6 11:46 2637.28 4.66%
Trade id #121379161
Max drawdown($353)
Time12/6/18 11:46
Quant open0
Worst price2637.28
Drawdown as % of equity-4.66%
($361)
Includes Typical Broker Commissions trade costs of $8.00
12/6/18 10:00 @ESZ8 E-MINI S&P 500 SHORT 1 2652.20 12/6 10:00 2652.40 0.13%
Trade id #121374936
Max drawdown($10)
Time12/6/18 10:00
Quant open0
Worst price2652.40
Drawdown as % of equity-0.13%
($18)
Includes Typical Broker Commissions trade costs of $8.00
12/3/18 11:16 @ESZ8 E-MINI S&P 500 SHORT 1 2783.54 12/3 11:18 2782.30 n/a $54
Includes Typical Broker Commissions trade costs of $8.00
11/27/18 10:30 @ESZ8 E-MINI S&P 500 LONG 1 2669.65 11/27 10:34 2670.33 1.06%
Trade id #121190733
Max drawdown($82)
Time11/27/18 10:32
Quant open1
Worst price2668.00
Drawdown as % of equity-1.06%
$26
Includes Typical Broker Commissions trade costs of $8.00
11/19/18 10:50 @ESZ8 E-MINI S&P 500 SHORT 1 2715.00 11/19 11:13 2712.75 3.15%
Trade id #121045686
Max drawdown($237)
Time11/19/18 10:54
Quant open-1
Worst price2719.75
Drawdown as % of equity-3.15%
$105
Includes Typical Broker Commissions trade costs of $8.00
11/16/18 10:59 @ESZ8 E-MINI S&P 500 LONG 1 2733.41 11/16 11:00 2734.49 n/a $46
Includes Typical Broker Commissions trade costs of $8.00
11/16/18 8:58 @ESZ8 E-MINI S&P 500 SHORT 1 2719.85 11/16 9:28 2717.07 3.17%
Trade id #121000492
Max drawdown($232)
Time11/16/18 9:01
Quant open-1
Worst price2724.50
Drawdown as % of equity-3.17%
$131
Includes Typical Broker Commissions trade costs of $8.00
11/14/18 15:29 @ESZ8 E-MINI S&P 500 LONG 1 2714.81 11/14 15:30 2717.44 n/a $124
Includes Typical Broker Commissions trade costs of $8.00
11/14/18 14:15 @ESZ8 E-MINI S&P 500 SHORT 1 2697.85 11/14 14:15 2703.98 4.04%
Trade id #120945390
Max drawdown($306)
Time11/14/18 14:15
Quant open0
Worst price2703.98
Drawdown as % of equity-4.04%
($314)
Includes Typical Broker Commissions trade costs of $8.00
11/14/18 11:57 @ESZ8 E-MINI S&P 500 SHORT 1 2713.93 11/14 12:10 2710.00 2.3%
Trade id #120938547
Max drawdown($166)
Time11/14/18 12:02
Quant open-1
Worst price2717.25
Drawdown as % of equity-2.30%
$188
Includes Typical Broker Commissions trade costs of $8.00
11/13/18 13:34 @ESZ8 E-MINI S&P 500 SHORT 1 2734.85 11/13 14:01 2732.00 4.09%
Trade id #120912110
Max drawdown($295)
Time11/13/18 13:40
Quant open-1
Worst price2740.75
Drawdown as % of equity-4.09%
$135
Includes Typical Broker Commissions trade costs of $8.00
11/13/18 11:36 @ESZ8 E-MINI S&P 500 LONG 1 2744.45 11/13 11:51 2748.75 1.58%
Trade id #120908700
Max drawdown($110)
Time11/13/18 11:40
Quant open1
Worst price2742.25
Drawdown as % of equity-1.58%
$207
Includes Typical Broker Commissions trade costs of $8.00
11/12/18 11:44 @ESZ8 E-MINI S&P 500 SHORT 1 2741.25 11/12 11:50 2738.67 0.54%
Trade id #120884670
Max drawdown($37)
Time11/12/18 11:48
Quant open-1
Worst price2742.00
Drawdown as % of equity-0.54%
$121
Includes Typical Broker Commissions trade costs of $8.00
11/12/18 10:22 @ESZ8 E-MINI S&P 500 SHORT 1 2760.92 11/12 10:33 2756.42 1%
Trade id #120882320
Max drawdown($66)
Time11/12/18 10:27
Quant open-1
Worst price2762.25
Drawdown as % of equity-1.00%
$217
Includes Typical Broker Commissions trade costs of $8.00
11/8/18 14:57 @ESZ8 E-MINI S&P 500 SHORT 1 2803.00 11/8 15:00 2800.38 0%
Trade id #120836721
Max drawdown$0
Time11/8/18 14:59
Quant open-1
Worst price2803.00
Drawdown as % of equity0.00%
$123
Includes Typical Broker Commissions trade costs of $8.00
11/2/18 14:36 @ESZ8 E-MINI S&P 500 LONG 1 2716.38 11/2 14:43 2719.75 1.03%
Trade id #120704769
Max drawdown($68)
Time11/2/18 14:41
Quant open1
Worst price2715.00
Drawdown as % of equity-1.03%
$161
Includes Typical Broker Commissions trade costs of $8.00
11/2/18 13:11 @ESZ8 E-MINI S&P 500 SHORT 1 2707.88 11/2 13:43 2716.00 6.03%
Trade id #120702330
Max drawdown($406)
Time11/2/18 13:43
Quant open0
Worst price2716.00
Drawdown as % of equity-6.03%
($414)
Includes Typical Broker Commissions trade costs of $8.00
11/2/18 11:30 @ESZ8 E-MINI S&P 500 SHORT 1 2724.38 11/2 11:35 2722.38 1.42%
Trade id #120698389
Max drawdown($93)
Time11/2/18 11:33
Quant open-1
Worst price2726.25
Drawdown as % of equity-1.42%
$92
Includes Typical Broker Commissions trade costs of $8.00
11/2/18 10:57 @ESZ8 E-MINI S&P 500 SHORT 1 2733.50 11/2 11:04 2726.50 0.4%
Trade id #120697111
Max drawdown($25)
Time11/2/18 10:59
Quant open-1
Worst price2734.00
Drawdown as % of equity-0.40%
$342
Includes Typical Broker Commissions trade costs of $8.00
11/2/18 9:34 @ESZ8 E-MINI S&P 500 SHORT 1 2752.00 11/2 9:35 2748.50 n/a $167
Includes Typical Broker Commissions trade costs of $8.00
10/31/18 13:36 @ESZ8 E-MINI S&P 500 LONG 1 2723.00 10/31 13:41 2727.00 n/a $192
Includes Typical Broker Commissions trade costs of $8.00
10/31/18 9:36 @ESZ8 E-MINI S&P 500 LONG 1 2708.25 10/31 9:39 2711.50 0.86%
Trade id #120639774
Max drawdown($50)
Time10/31/18 9:38
Quant open1
Worst price2707.25
Drawdown as % of equity-0.86%
$155
Includes Typical Broker Commissions trade costs of $8.00
10/30/18 13:42 @ESZ8 E-MINI S&P 500 SHORT 1 2649.75 10/30 13:59 2656.50 5.54%
Trade id #120626433
Max drawdown($338)
Time10/30/18 13:59
Quant open0
Worst price2656.50
Drawdown as % of equity-5.54%
($346)
Includes Typical Broker Commissions trade costs of $8.00
10/30/18 13:20 @ESZ8 E-MINI S&P 500 SHORT 1 2654.75 10/30 13:21 2652.50 n/a $105
Includes Typical Broker Commissions trade costs of $8.00
10/30/18 11:55 @ESZ8 E-MINI S&P 500 LONG 1 2662.50 10/30 11:57 2664.75 0.85%
Trade id #120622899
Max drawdown($50)
Time10/30/18 11:57
Quant open1
Worst price2661.50
Drawdown as % of equity-0.85%
$105
Includes Typical Broker Commissions trade costs of $8.00
10/30/18 11:02 @ESZ8 E-MINI S&P 500 SHORT 1 2653.75 10/30 11:04 2651.50 0.22%
Trade id #120620878
Max drawdown($12)
Time10/30/18 11:04
Quant open-1
Worst price2654.00
Drawdown as % of equity-0.22%
$105
Includes Typical Broker Commissions trade costs of $8.00
10/30/18 10:10 @ESZ8 E-MINI S&P 500 LONG 1 2662.50 10/30 10:14 2664.75 1.32%
Trade id #120618903
Max drawdown($75)
Time10/30/18 10:14
Quant open1
Worst price2661.00
Drawdown as % of equity-1.32%
$105
Includes Typical Broker Commissions trade costs of $8.00
10/30/18 9:32 @ESZ8 E-MINI S&P 500 SHORT 1 2644.50 10/30 9:34 2642.25 1.35%
Trade id #120616775
Max drawdown($75)
Time10/30/18 9:34
Quant open-1
Worst price2646.00
Drawdown as % of equity-1.35%
$105
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    10/29/2018
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    289.75
  • Age
    10 months ago
  • What it trades
    Futures
  • # Trades
    35
  • # Profitable
    28
  • % Profitable
    80.00%
  • Avg trade duration
    8.1 minutes
  • Max peak-to-valley drawdown
    16.66%
  • drawdown period
    Nov 27, 2018 - Dec 17, 2018
  • Cumul. Return
    24.3%
  • Avg win
    $137.86
  • Avg loss
    $314.29
  • Model Account Values (Raw)
  • Cash
    $6,660
  • Margin Used
    $0
  • Buying Power
    $6,660
  • Ratios
  • W:L ratio
    1.75:1
  • Sharpe Ratio
    1.06
  • Sortino Ratio
    1.93
  • Calmar Ratio
    7.261
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.11500
  • Return Statistics
  • Ann Return (w trading costs)
    31.1%
  • Ann Return (Compnd, No Fees)
    41.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    5.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    731
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $314
  • Avg Win
    $138
  • # Winners
    28
  • # Losers
    7
  • % Winners
    80.0%
  • Frequency
  • Avg Position Time (mins)
    8.13
  • Avg Position Time (hrs)
    0.14
  • Avg Trade Length
    0.0 days
  • Last Trade Ago
    241
  • Regression
  • Alpha
    0.06
  • Beta
    0.14
  • Treynor Index
    0.45
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    5.275
  • Avg(MAE) / Avg(PL) - Winning trades
    0.690
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.000
  • Hold-and-Hope Ratio
    0.190
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.25525
  • SD
    1.09113
  • Sharpe ratio (Glass type estimate)
    1.15042
  • Sharpe ratio (Hedges UMVUE)
    0.64905
  • df
    2.00000
  • t
    0.57521
  • p
    0.31162
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.02668
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.08698
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.32214
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.62025
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.38873
  • Upside Potential Ratio
    6.42103
  • Upside part of mean
    1.83652
  • Downside part of mean
    -0.58127
  • Upside SD
    0.91826
  • Downside SD
    0.28602
  • N nonnegative terms
    1.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.23147
  • Mean of criterion
    1.25525
  • SD of predictor
    0.42183
  • SD of criterion
    1.09113
  • Covariance
    0.15688
  • r
    0.34085
  • b (slope, estimate of beta)
    0.88166
  • a (intercept, estimate of alpha)
    1.05117
  • Mean Square Error
    2.10448
  • DF error
    1.00000
  • t(b)
    0.36256
  • p(b)
    0.38928
  • t(a)
    0.35567
  • p(a)
    0.39123
  • Lowerbound of 95% confidence interval for beta
    -30.01670
  • Upperbound of 95% confidence interval for beta
    31.78000
  • Lowerbound of 95% confidence interval for alpha
    -36.50160
  • Upperbound of 95% confidence interval for alpha
    38.60390
  • Treynor index (mean / b)
    1.42373
  • Jensen alpha (a)
    1.05117
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.88347
  • SD
    0.94757
  • Sharpe ratio (Glass type estimate)
    0.93235
  • Sharpe ratio (Hedges UMVUE)
    0.52602
  • df
    2.00000
  • t
    0.46618
  • p
    0.34347
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.17819
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.84244
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.42765
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.47970
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.86960
  • Upside Potential Ratio
    4.89959
  • Upside part of mean
    1.50844
  • Downside part of mean
    -0.62497
  • Upside SD
    0.75422
  • Downside SD
    0.30787
  • N nonnegative terms
    1.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.17055
  • Mean of criterion
    0.88347
  • SD of predictor
    0.42026
  • SD of criterion
    0.94757
  • Covariance
    0.16788
  • r
    0.42158
  • b (slope, estimate of beta)
    0.95054
  • a (intercept, estimate of alpha)
    0.72135
  • Mean Square Error
    1.47661
  • DF error
    1.00000
  • t(b)
    0.46491
  • p(b)
    0.36148
  • t(a)
    0.29380
  • p(a)
    0.40904
  • Lowerbound of 95% confidence interval for beta
    -25.02800
  • Upperbound of 95% confidence interval for beta
    26.92910
  • Lowerbound of 95% confidence interval for alpha
    -30.47500
  • Upperbound of 95% confidence interval for alpha
    31.91770
  • Treynor index (mean / b)
    0.92944
  • Jensen alpha (a)
    0.72135
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.31361
  • Expected Shortfall on VaR
    0.38473
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.13219
  • Expected Shortfall on VaR
    0.22182
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    0.85934
  • Quartile 1
    0.92967
  • Median
    1.00000
  • Quartile 3
    1.23073
  • Maximum
    1.46146
  • Mean of quarter 1
    0.85934
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.46146
  • Inter Quartile Range
    0.30106
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.14066
  • Quartile 1
    0.14066
  • Median
    0.14066
  • Quartile 3
    0.14066
  • Maximum
    0.14066
  • 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)
    1.02355
  • Compounded annual return (geometric extrapolation)
    1.48774
  • Calmar ratio (compounded annual return / max draw down)
    10.57670
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    3.86699
  • 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
    0.74288
  • SD
    0.29508
  • Sharpe ratio (Glass type estimate)
    2.51755
  • Sharpe ratio (Hedges UMVUE)
    2.49417
  • df
    81.00000
  • t
    1.40843
  • p
    0.08142
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.01482
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.03469
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.03024
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.01857
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.11532
  • Upside Potential Ratio
    8.72301
  • Upside part of mean
    1.26681
  • Downside part of mean
    -0.52393
  • Upside SD
    0.25889
  • Downside SD
    0.14523
  • N nonnegative terms
    17.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    82.00000
  • Mean of predictor
    0.32532
  • Mean of criterion
    0.74288
  • SD of predictor
    0.23446
  • SD of criterion
    0.29508
  • Covariance
    0.00631
  • r
    0.09126
  • b (slope, estimate of beta)
    0.11485
  • a (intercept, estimate of alpha)
    0.70600
  • Mean Square Error
    0.08743
  • DF error
    80.00000
  • t(b)
    0.81966
  • p(b)
    0.20742
  • t(a)
    1.32994
  • p(a)
    0.09366
  • Lowerbound of 95% confidence interval for beta
    -0.16400
  • Upperbound of 95% confidence interval for beta
    0.39371
  • Lowerbound of 95% confidence interval for alpha
    -0.35019
  • Upperbound of 95% confidence interval for alpha
    1.76122
  • Treynor index (mean / b)
    6.46800
  • Jensen alpha (a)
    0.70552
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.70008
  • SD
    0.28869
  • Sharpe ratio (Glass type estimate)
    2.42502
  • Sharpe ratio (Hedges UMVUE)
    2.40250
  • df
    81.00000
  • t
    1.35666
  • p
    0.08933
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.10551
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.94091
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.12040
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.92539
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.71201
  • Upside Potential Ratio
    8.31121
  • Upside part of mean
    1.23483
  • Downside part of mean
    -0.53475
  • Upside SD
    0.24924
  • Downside SD
    0.14857
  • N nonnegative terms
    17.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    82.00000
  • Mean of predictor
    0.29804
  • Mean of criterion
    0.70008
  • SD of predictor
    0.23393
  • SD of criterion
    0.28869
  • Covariance
    0.00635
  • r
    0.09403
  • b (slope, estimate of beta)
    0.11603
  • a (intercept, estimate of alpha)
    0.66550
  • Mean Square Error
    0.08364
  • DF error
    80.00000
  • t(b)
    0.84473
  • p(b)
    0.20039
  • t(a)
    1.28334
  • p(a)
    0.10154
  • Lowerbound of 95% confidence interval for beta
    -0.15732
  • Upperbound of 95% confidence interval for beta
    0.38939
  • Lowerbound of 95% confidence interval for alpha
    -0.36648
  • Upperbound of 95% confidence interval for alpha
    1.69748
  • Treynor index (mean / b)
    6.03343
  • Jensen alpha (a)
    0.66550
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02631
  • Expected Shortfall on VaR
    0.03352
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00600
  • Expected Shortfall on VaR
    0.01341
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    82.00000
  • Minimum
    0.94645
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.10836
  • Mean of quarter 1
    0.99252
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01897
  • Inter Quartile Range
    0.00000
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.06098
  • Mean of outliers low
    0.96859
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.20732
  • Mean of outliers high
    1.02343
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -86.34220
  • VaR(95%) (moments method)
    -0.02378
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.29924
  • VaR(95%) (regression method)
    0.01150
  • Expected Shortfall (regression method)
    0.03342
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00087
  • Quartile 1
    0.03753
  • Median
    0.07418
  • Quartile 3
    0.11083
  • Maximum
    0.14749
  • Mean of quarter 1
    0.00087
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.14749
  • Inter Quartile Range
    0.07331
  • 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)
    0.81759
  • Compounded annual return (geometric extrapolation)
    1.07091
  • Calmar ratio (compounded annual return / max draw down)
    7.26096
  • Compounded annual return / average of 25% largest draw downs
    7.26096
  • Compounded annual return / Expected Shortfall lognormal
    31.94780

Strategy Description

https://youtu.be/dYYTphJmAk8

Summary Statistics

Strategy began
2018-10-29
Suggested Minimum Capital
$25,000
# Trades
35
# Profitable
28
% Profitable
80.0%
Correlation S&P500
0.115
Sharpe Ratio
1.06
Sortino Ratio
1.93
Beta
0.14
Alpha
0.06

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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